SEB Commodity Indices v1 FILE/SEB_Commodity_Index_Rules.pdf3(9) 1. Excess Return Index 1.1 Index Description The SEB Commodity Index Excess Return (the “Index”) measures the performance of a basket of

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  • SEB Commodity Indices

    Index Rules

    September 2013

  • 2(9)

    Foreword This document contains a new edition of the SEB Commodity Index Rules (the Index Rules). These Index Rules replace the SEB Commodity Index Excess Return Index Rules published in September 2012. Changes to the Excess Return Index, since September 2012, have been the addition of Constituent Base Weight Smoothing as well as clarification of how correlation calculations are performed. Index Rules for the SEB Commodity Index Total Return has also been added. These changes are set out in further detail below.

    Amendments The Index Rules for an index may be amended from time to time at the sole discretion of SEB and will be republished (in a manner determined by SEB) no later than one (1) calendar month following such amendment. Although the Index Rules are intended to be comprehensive, ambiguities may arise. If so, SEB will resolve such ambiguities and, if necessary, amend the Index Rules to reflect such resolution.

    Limitation of liability The Index Rules in respect of an index neither constitute an offer to purchase or sell securities nor specific advice of whatever form (tax, legal, accounting, regulatory or otherwise) in respect of any investment strategy or investment that may be linked to such index. Neither SEB nor the Calculation Agent does in any capacity endorse or make any representation or warranty, express or implied, in connection with any investment strategy or investment linked to the index. Anyone reading these Index Rules should seek such advice as they consider necessary from their professional advisors, legal, tax or otherwise, without reliance on SEB or the Calculation Agent to satisfy themselves that they fully understand these Index Rules and the risks associated with an index or any investments linked to an index. Furthermore, this document is not intended for distribution to, or use by any person in, a jurisdiction where such distribution is prohibited by law or regulation.

    Neither SEB nor the Calculation Agent shall in any capacity be liable for any direct, indirect, incidental, special or consequential damages or lost profits related to or arising out of the use of an index, whether in negligence or otherwise. SEB and the Calculation Agent expressly disclaim all warranties of accuracy, completeness, merchantability or fitness for any particular purpose, with respect to an index. Neither SEB nor the Calculation Agent make any warranty or representation whatsoever, express or implied, in respect of an index, the results to be obtained by the use thereof or the value of an index at any given time.

    Neither SEB nor the Calculation Agent is liable for loss or damage resulting from Swedish or foreign legislative enactment, actions of Swedish or foreign authorities, war, power failure, telecommunication failure, fire, water damage, strike, blockade, lockout, boycott, or other similar circumstances outside the control of the SEB or the Calculation Agent. The reservation with respect to strikes, blockade, lockout and boycott also applies if SEB or the Calculation Agent adopts or is the object of such conflict measures.

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    1. Excess Return Index

    1.1 Index Description

    The SEB Commodity Index Excess Return (the Index) measures the performance of a basket of commodities. Each commodity is represented by a futures based index, further specified in the Information Annex. The Index is rebalanced quarterly to a predefined set of weights, also specified in the Information Annex. Further, the Index is subject to restrictions on the maximum weight for a single or a pair of commodities. The Index is the property of Skandinaviska Enskilda Banken AB (publ) (SEB).

    1.2 Calculations

    1.2.1 Terms and Definitions Relating to the Index

    Index SEB Commodity Index Excess Return

    Calculation Agent SEB or any affiliate, subsidiary or third person from time to time designated by SEB to act in its behalf as calculation agent in connection with an Index.

    Index Owner SEB

    Index Currency US Dollar (USD)

    Calculation Date,

    t

    Any Scheduled Valuation Day on which no Market Disruption Event occurs. Calculation Date t-1 means the Calculation Date immediately preceding Calculation Date t

    Index Base Level,

    I0

    100

    Index Base Date,

    t=0

    2004-09-20

    Index Level, "It" In respect of any Calculation Date t, the level of the Index calculated and announced by the Calculation Agent on such date, in accordance with section 1.2.2

    Index Constituent,

    Ci The i

    th Index Constituent of the Index as specified in the Information Annex

    Commodity Weight In respect of a Calculation Date t, either (i) a Constituent Weight, or (ii) the sum of two, or more, Constituent Weights, if the corresponding

    Index Constituents, Ci, are considered Highly Correlated, as

    defined in Appendix 1

    Constituent Base

    Weight, qi The weight of the i

    th Index Constituent as specified in the Information Annex,

    subject to smoothing as defined in Appendix 1, 1.2.

    Constituent

    Business Day

    A day when an Index Constituent is scheduled to be calculated and announced

    Scheduled

    Valuation Day

    Each day on which the sum of the Constituent Base Weights of the Index Constituents, for which the day also is a Constituent Business Day, equals 80% or more

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    1.2.2 Determination of the Index Level It

    As of each Calculation Date t, Index Level It is determined by the Calculation Agent in accordance

    with the following formula:

    i

    rbirbi

    titiirbt

    FXS

    FXSqII

    ,,

    ,,

    where

    rbI = the Index Level as of the last Index Rebalance Day rb < t,

    rbiS

    , = the Constituent Level as of the last Index Rebalance Day rb < t,

    rbiFX

    , = the Currency Conversion Rate as of the last Index Rebalance Day rb < t

    The Index Level is rounded to five (5) decimal places.

    Currency

    Conversion Rate,

    "FXi,t"

    As of the Calculation Date t and Index Constituent Ci, (i) 1.0,

    if the Index Constituent is denoted in the Index Currency (ii) the EURUSD spot fixing rate, published by The World Markets

    Company PLC, if the Index Constituent is denoted in EUR

    Constituent Level,

    Si,t The index level of the i

    th constituent as of the Calculation Date t

    Index Rebalance

    Day, "t=rb"

    Either: the second Calculation Date in January, April, July and October, which is also

    a Constituent Business Day for all Index Constituents; or the Calculation Date, t following the Calculation Date, t-1 on which a

    Rebalance Signals is triggered. The first Index Rebalance Day is defined as the Index Base Date.

    Constituent

    Weight, wi,t,

    As of the Calculation Date t,

    t

    rbirbi

    titiirbti I

    FXS

    FXSqIw

    ,,

    ,,,

    Rebalance Signal As of the Calculation Date t, a Rebalance Signal is triggered if the 35% Rule and/or the 20% Rule is violated

    35% Rule A Commodity Weight cannot exceed 35%

    20% Rule Two, or more, Commodity Weights cannot each exceed 20%

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    1.3 Disruptions and Consequences thereof

    1.3.1 Market Disruption Events

    Market Disruption Event means that, in respect of a Scheduled Valuation Day:

    (i) the Constituent Level is not published on the corresponding Constituent Business Day or the occurrence of any event which prevents the Calculation Agent from ascertaining the Constituent Level; or

    (ii) the Currency Conversion Rate is not published or the occurrence of any event which prevents the Calculation Agent from ascertaining the Currency Conversion Rate.

    Any Scheduled Valuation Day on which a Market Disruption Event has occurred will be considered as a Disrupted Day.

    1.3.2 Consequences of a Market Disruption Event

    If the Calculation Agent determines that a Scheduled Valuation Day is a Disrupted Day, the Calculation Agent will make the relevant calculations on the first following Scheduled Valuation Day which is not a Disrupted Day. Should more than twenty (20) Disrupted Days occur in succession, the Calculation Agent may permanently cancel the Index on such twentieth Disrupted Day.

    1.4 Index Adjustment Event

    Index Adjustment Event means the occurrence of any of the following situations which the Calculation Agent, in consultation with the Index Owner, deems material and relevant for the calculation of the Index Level, including, but not limited to:

    (i) all trading or pricing of the Index Constituent or related derivative contracts ceases permanently; (ii) the method for calculating the price of the Index Constituent or related derivative contracts are

    changed significantly; (iii) the composition or content of the Index Constituent or in related derivative contracts are changed

    significantly; or (iv) the exchange rolling schedule of the Index Constituents is changed.

    Following the occurrence of an Index Adjustment Event, the Calculation Agent, in consultation with the Index Owner may:

    (i) make an adjustment or decide to modify a provision regarding adjustment or permanently cancel the Index to account for such event; or

    (ii) make an adjustment to the formula or the method for calculating the Index Level or permanently cancel the Index to account for such event.

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    2. Total Return Index This section sets out the rules for the SEB Commodity Index Total Return (the TR Index). Terms defined in Section 1 shall have the same meaning in this Section 2 unless given a different meaning in this Section 2.

    2.1 Index De