iq-foxx multi asset smart beta tr index

iQ-FOXX Indices Ltd.Company No. 8026051 19 Thomas Cribb MewsE6 5PD LondonUnited Kingdom

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Index Methodology

iQ-FOXX MULTI ASSET SMART BETA TR INDEX

iQ-FOXX Indices Ltd.©2012 iQ-FOXX Indices Ltd. All rights reserved

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This document comprises the Index Rules (the “Index Rules”) for the iQ-FOXX MULTI ASSET SMART BETA TR INDEX (the “Index”). The Index Rules are provided by the Index Sponsor (the “Index Spon-sor”). The Index is calculated and published by the Index Calculation Agent (the “Index Calculation Agent”). The Index Rules may be amended from time to time by the Index Sponsor. Any change will, in general, only be made where it is required to update and/or improve the Index Rules or to address an error, omission or ambiguity. All changes to the rules will be approved by the Index Committee (the “Index Committee”).

The iQ-FOXX MULTI ASSET SMART BETA TR INDEX and the trademarks used in the index name are the intellectual property of iQ-FOXX Indices Ltd. and/or its licensors. The index is used under license from iQ-FOXX Indices Ltd.. The securities or financial instruments based on the index are in no way sponsored, endorsed, sold or promoted by iQ-FOXX Indices Ltd. and/or its licensors and neither iQ-FOXX Indices Ltd. nor its licensors shall have any liability with respect thereto.

1

Introduction

General Notes

The iQ-FOXX MULTI ASSET SMART BETA TR INDEX (Bloomberg Ticker: C2IQWOM3 Index) is a multi strategy index comprised of four dynamic investable strategies across four [4] asset classes: Bond, Currency, Equity and Commodity. It is a total return index, denominated in EUR and comprises of:

» a 25% dynamic long/neutral exposure to the GERMAN long term national debt securities with 8.5 - 10.5 yrs maturity,

» a 25% dynamic long/short exposure to the G10 EUR cross forward rates,

» a 25% long/neutral exposure to a diversified basket of 5 commodities, and

» a 25% dynamic long/neutral exposure to the EURO ZONE equity market.

The index objectives are to reduce downside risk, to achieve stable positive returns with low vola-tility and to outperform a static Benchmark of a 25% fixed Long exposure to Bond Futures, a 25% fixed Long exposure to EUR/USD, a 25% fixed Long exposure to a Commodity Benchmark (EUR) and a 25% fixed Long exposure the EURO ZONE equity market with less volatility over the medium to long term. The index is designed to have low correlation with traditional asset classes.

The exposures to the GERMAN long term national debt securities with 8.5 - 10.5 yrs maturity, the exposure to the G10 forward rates, the exposure to a diversified basket of 6 commodities, and the exposure to the EURO ZONE equity market is reset to 25:25:25:25 once a year on the first Monday of each calendar year which is a trading day (the “Trading Day”) and a business day (the “Business Day”). After the yearly reset each of these exposures shall not exceed 40%. The maximum gross ex-posure shall not exceed 100%. No leverage is allowed. The index follows a rules-based investment strategy and is based on iQ-FOXX’s proprietary indicators models. The models use macroeconomic, fundamental and microeconomic variables to predict the price development of the

» GERMAN long term national debt securities with 8.5 - 10.5 yrs maturity,

» G10 EUR cross forward rates,

» basket of 6 commodities, and

» EURO ZONE equity market.

Definition of the Eligible Futures Markets

Table 1: Eligible Bond Future Contracts and EONIABond Future Bloomberg Ticker Exchange

Bond Future March RXHy* EUX-Eurex

Bond Future June RXMy* EUX-Eurex

Bond Future September RXUy* EUX-Eurex

Bond Future December RXZy* EUX-Eurex

EONIA EONIA Index

y* represents the year


The iQ-FOXX MULTI ASSET SMART BETA TR INDEX is a measure of 25% of the price development of the GERMAN long term national debt securities with 8.5 - 10.5 yrs maturity, of 25% of the price development of the G10 forward rates, of 25% of the price development of a diversified basket of 6 commodities and of 25% of the price development of the EURO ZONE equity market according to these exposures.

It should be noted that the Index is described as being comprised of a Net Asset Value (the “NAV”) based on notional trading long or neutral positions in Bond Futures, a NAV based on notional long or short positions in G10 EUR cross forward rates, a NAV based on notional trading long or neutral positions in a commodity basket of 6 commodity futures and a NAV based on notional trading long or neutral positions in Equity Futures. There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. The Index merely references certain hypothetical NAV based on trading futures positions advance or decline, the performance of which will be used as a reference point for the purposes of calculating the official value of the Index (the “Official Index Level”).

2

The only eligible futures and forward contracts are:

» the current and most liquid contract of the German Bond Future with a term of 8.5-10.5 years,

» the G10 EUR-based cross currencies and the respective 1 month and 3 months forward rates,

» the 6 commodity futures contracts from the list of tradable commodity futures which offer the optimal roll yield and expire in the next 12 months, and

» the current and most liquid contract of Euro zone Equity Futures.

Futures and forward positions will be rolled on dates specified in the index methodology.

The eligible Bond Futures, shown in Table 1, refers to the long-term notional debt securities issued by the German Federal Government with a term of 8.5-10.5 years.

Table 2: Eligible G10 EUR-base Cross Currencies

Table 3: Eligible one month Interbank Offered Rates

Exchange Rates Bloomberg Ticker

EUR/USD Exchange Rate EURUSD Curncy

EUR/JPY Exchange Rate EURJPY Curncy

EUR/GBP Exchange Rate EURGBP Curncy

EUR/CHF Exchange Rate EURCHF Curncy

EUR/AUD Exchange Rate EURAUD Curncy

EUR/NZD Exchange Rate EURNZD Curncy

EUR/CAD Exchange Rate EURCAD Curncy

EUR/NOK Exchange Rate EURNOK Curncy

EUR/SEK Exchange Rate EURSEK Curncy

1-month LIBOR Rates Bloomberg Ticker

1-month LIBOR US US0001M Index

1-month LIBOR EU EE0001M Index

1-month LIBOR Japan JY0001M Index

1-month LIBOR UK BP0001M Index

1-month LIBOR Switzerland SF0001M Index

1-month LIBOR Australia AU0001M Index

1-month LIBOR New Zealand NDBB1M Index

1-month LIBOR Canada CD0001M Index

1-month IBOR Norway NIBOR1M Index

1-month IBOR Sweden EURSEK Curncy

Table 4: Eligible three months Interbank Offered Rates3-month LIBOR Rates Bloomberg Ticker

3-month LIBOR US US0003M Index

3-month LIBOR EU EE0003M Index

3-month LIBOR Japan JY0003M Index

3-month LIBOR UK BP0003M Index

3-month LIBOR Switzerland SF0003M Index

3-month LIBOR Australia AU0003M Index

3-month LIBOR New Zealand NDBB3M Index

3-month LIBOR Canada CD0003M Index

3-month IBOR Norway NIBOR1M Index

3-month IBOR Sweden EURSEK Curncy


The G10 EUR-based cross currencies are shown in Table 2.

3

The G10 EUR-based forwards are based on 1 month and 3 months Interbank Offered Rates (“IBOR”) as shown in Table 3 and Table 4.

Table 5: Eligible Commodity Futures contracts and German Gov. Bonds 1-3 yrsCommodity Future Bloomberg Ticker Weight Exchange Contracts

LIGHT CRUDE OILCL 35% NYMEX

CLFy*, CLGy*, CLHy*, CLJy*, CLKy*, CLMy*, CLNy*, CLQy*, CLUy*, CLVy*, CLXy* and CLZy*

HEATING OILHO 20% NYMEX

HOFy*, HOGy*, HOHy*, HOJy*, HOKy*, HOMy*, HONy*, HOQy*, HOUy*, HOVy*, HOXy* and HOZy*

GOLDGC 10% COMEX

GCGy*, GCJy*, GCMy*, GCQy*, GCVy* and GCZy*

AluminiumLA 12% LME

LAFy*, LAGy*, LAHy*, LAJy*, LAKy*, LAMy*, LANy*, LAQy*, LAUy*, LAVy*, LAXy* and LAZy*

CORN C 11.25% CBOT C Hy*, C Ky*, C Ny*, C Uy*, and C Zy*

WHEATW 11.25% CBOT

W Hy*, W Ky*, W Ny*, W Uy*, and W Zy*

Table 6: Eligible Euro zone Equity Futures ContractsEquity Future Bloomberg Ticker Exchange

Euro zone Equity Futures March VGHy* EUR-Eurex

Euro zone Equity Futures June VGMy* EUR-Eurex

Euro zone Equity Futures September VGUy* EUR-Eurex

Euro zone Equity Futures December VGZy* EUR-Eurex



Index Rebalancing


The 6 eligible commodity futures contracts and German Gov. Bonds 1-3 yrs are shown in Table 5.

4

The eligible Euro zone Equity Futures are shown in Table 6.

The weightings between the four asset classes are reset to 25:25:25:25 once a year on the first Mon-day of each calendar year which is a trading day and a business day. After the yearly reset these weightings will vary in the index until the next reset is completed. Between two yearly resets the index is rebalanced whenever there is a Rebalancing Event (the “Rebalancing Event”) in one, in more or in all asset classes.

A Rebalancing Event in the bond asset class occurs whenever there is:

» a change in the dynamic exposure to the Bond Future or

» a roll-over to the next front month Bond Future future contract has been triggered.

Indicative Index Level


A Rebalancing Event for the Bond Future is implemented with close price of the Bond Futures at 22:00 pm CET as a reference price on the day of change.

A Rebalancing Event in the currency asset class occurs whenever there is:

» a change in the dynamic exposure to one or to more G10 EUR-based currencies or

» a roll-over of a forward contract has been triggered.

A Rebalancing Event for the G10 EUR-based currencies occurs every 3rd Wednesday of each month and is implemented with close prices as of 17:00 pm New York local time as a reference price on the day of change.

A Rebalancing Event in the commodity asset class occurs whenever there is:

» a change in the dynamic exposure to one or to more commodities or

» a roll-over of a future contract has been triggered.

A Rebalancing Event for the commodity futures is implemented with close prices of the respective commodity future as a reference price on the day of change.

A Rebalancing Event in the equity asset class occurs whenever there is:

» a change in the dynamic exposure to the Equity Future or

» a roll-over to the next front month Equity Future contract has been triggered.

A Rebalancing Event for the Equity Future is implemented with Volume Weighted Average Price (the “VWAP”) of the Equity Futures between 09:05 am and 09:15 am CET as a reference price on the day of change.

On a daily bases the Index Sponsor determines the index composition based on iQ-FOXX Models in accordance with the Index Rules and provides the relevant index composition information to the Index Calculation Agent on all Business Days. In case that such a delivery is not possible for any reasons the Index Calculation Agent will use the last available index composition information.

5

The Indicative Index Level of the Index (the “Indicative Index Level”) is published by the Index Sponsor on every Business Day (or if any such day is not a Scheduled Trading Day for the relevant Exchanges, the next following Business Day that is a Scheduled Trading Day, each such day a “Valu-ation Day”) at 9:00 a.m. CET on Bloomberg page FOXX <GO> and on www.iq-foxx.com. The Indic-ative Index Level is calculated using close price for the eligible Bond Futures at 22:00 pm CET, close prices for the G10 EUR-based cross currencies at 17:00 pm New York, close prices for the eligible commodity futures at the respective exchanges, and Volume Weighted Average Price (the “VWAP”) for the eligible Equity Futures between 17:20 pm and 17:30 pm CET of the previous day.

Index Adjustments

Rolls of Eligible Future and Forward Contracts

Index Maintenance

Index Calculation


An adjustment of 0.5 basis points of the rebalanced portion of the Index is deducted from the Indicative Index Level anytime whenever there is a Rebalancing Event for the Bond Futures. No adjustment is taken into account for a Rebalancing event for the G10 EUR-based cross currencies and for the commodities. An adjustment of 1.5 basis points of the rebalanced portion of the Index is deducted from the Indicative Index Level anytime whenever there is a Rebalancing Event for the Equity Futures.

6

Current Bond Futures contracts are rolled into the next front month Bond Future contracts two business days prior to the existing Bond Future contracts expiry date (the “Expiry Date”). The rolls are completed with close price for the Bond Future at 22:00 pm CET on the 2nd Business Day prior to the Expiry Date. Adjustment of 2 x 0.5 basis points of the rebalanced portion of the index level is deducted from the Indicative Index Level.

Forward contracts for the G10 EUR-based cross currencies are rolled every 3rd Wednesday of each month. No adjustment is taken into account.

Commodity contracts are rolled two business days prior to the Expiry Date of the respective active contract. No adjustment is taken into account.

Current Equity Futures contracts are rolled into the next front month Equity Futures contracts two business days prior to the existing Equity Futures contracts expiry date (the “Expiry Date”). The rolls are completed with VWAP of the Equity Futures contracts between 09:05 am and 09:15 am CET of the 2nd Business Day prior to the Expiry Date. Adjustment of 2 x 1.5 basis points of the rebalanced portion of index level is deducted from the Indicative Index Level.

iQ-FOXX Indices Ltd. is Index Sponsor of the Index. The Index Sponsor is responsible for the main-tenance of the iQ-FOXX methodology and index rules for the determination of the index compo-sition.

iQ-FOXX Indices Ltd. is Index Calculating Agent for the Index. The Index Calculating Agent is re-sponsible for calculation and publishing of the Official Index Level (the “Official Index Level”) with respect to the iQ-FOXX MULTI ASSET SMART BETA TR INDEX. References throughout this document to the Index Calculation Agent shall mean iQ-FOXX Indices Ltd.. The Index Calculation Agent’s de-terminations in respect to the IQ-FOXX MULTI ASSET SMART BETA TR INDEX and the interpretation of the Index Rules shall be final.

Official Index Level

Calculating the Official Index Level


The Official Index Level is calculated by the Index Calculation Agent and published on Bloomberg page FOXX <GO> and on www.iq-foxx.com each day until 9:00 a.m. CET on every Business Day (or if any such day is not a Scheduled Trading Day in London or Frankfurt, the next following Business Day that is a Scheduled Trading Day, each such day a “Valuation Day”). The Official Index Level is calculated using close price for the eligible Bond Futures at 22:00 pm CET, close prices for the G10 EUR-based cross currencies at 17:00 pm New York, close prices for the eligible commodity futures at the respective exchanges, and Volume Weighted Average Price (the “VWAP”) of the eligible Equity Futures between 17:20 pm and 17:30 pm CET of the previous day. The Official Index Level is report-ed in EUR with two (2) decimal places. The Index Level starts on 1 January, 2002 (the “Base Date”) with a base value of one hundred (100.00).

7

The Official Index Level on every Valuation Day “t” is calculated in accordance with the following formula:

ttt EquityComdtytXFBondt NAVNAVNAVNAVIndex +++=

The Net Asset Value allocated to Bond, Currency (“FX”), Commodity and Equity is reset to 25:25:25:25 once a year on the first Monday of each calendar year which is a trading day (the “Trading Day”) and a business day (the “Business Day”) according to the following formula:

where

a) No Rebalancing Event

In case of no Rebalancing Event the Net Asset Value allocated to Bond on every Valuation Day “t” is calculated in accordance with the following formula:

−+= −

− BondttCC

BondBondBondBond feedays

rcNAVNAVtttt

*360

*1* ,11

.%52*

,%52*

,%52*

,%52*

1

1

1

1

−

−

−

−

=

=

=

=

tEquity

tComdty

tXF

tBond

IndexNAV

IndexNAV

IndexNAV

IndexNAV

t

t

t

t

Variable Description

Indext

Official Index Level as determined by the Index Sponsor and/or Index Calculation Agent for day t

NAVBond t

Net Asset Value allocated to Bond on day t s

NAVEquity t

Net Asset Value allocated to Equity on day t

NAVFX t

Net Asset Value allocated to FX on day t

NAVComdty tk

Net Asset Value allocated to Commodity on day t

In case of no Rebalancing Event the Net Asset Value allocated to FX on every Valuation Day “t” is calculated in accordance with the following formula:

with

−

+= ∏

+=−

t

sk

EONIAkkFXt

k

s

idaysNAVi

1,1 1

360*1*

where


it

interest obtained since last rebalancing

NAVFXs

NAVFX

as determined by the Index Calculation Agent for the last rebalancing day s

k indicates the weekdays between last rebalancing day s and actual date t

iEONIA k

European Interbank Offered Rate (EONIA) as fixed for day k

daysk-1,k

days between date k-1 and date k

and

−+= ∑ ∑

= =

3

1

3

1,,,,1*

j jstsltsFXt jjs

FWshortFWlongNAVforward


8


NAVbond t

Net Asset Value allocated to Bond on day t

rBond t

C Daily performance factor based on the dynamic exposure to Bond using close price at 22:00 CET for day t

cBond t

Current exposure factor to Bond as determined at 8:00 a.m. CET by the Index Sponsor and/or Index Calculation Agent for day t (possible values are 0 and 1)

feebond t

Index fee for the allocated Net Asset Value in the Bond of 0.5% p.a.

where

ttFX forwardiNAV

t+=


forwardt

Profit/losses by transacting forward rates at instant in time t

NAVFXs

NAVFX


FWlongs,t,lj

return of taking a long position from day s to day t in the forward of currency lj

FWshorts,t,sj k

return of taking a short position from day s to day t in the forward of currency sj

deposits,lj

, deposits,sj

deposit rate (1-month resp. 3-month IBOR) as fixed for day s for currency lj (long position) resp. sj (short position)

dayss,t


xt,lj

resp.xs,lj

exchange rate of currency lj versus the EUR at day t resp. day s

xt,sj

resp.xs,sj

exchange rate of currency sj versus the EUR at day t resp. day s

In case of no Rebalancing Event the Net Asset Value allocated to Commodity on every Valuation Day “t” is calculated in accordance with the following formula:

−++= ∑ ∑

= =

−

−

5

1

5

1

31

1*1*1

j

GEt

j

comdtyt

comdtyt

comdtytComdtyComdty

yrs

ttrcrcNAVNAV

where


NAVcomdty t-1

NAVcomdty t-1

as determined by the Index Calculation Agent for day t-1

rtcomdty Performance from investments in commodities at day t

rtGE 1-3yrs Performance form investment the cash in GERMAN short term national debt securities with 1 - 3 yrs maturity (GRG1TR Index) at

day t

ctcomdty Exposures to the 6 commodities at instant in time t; it has a value of 1, if the exposure is 100%, and 0 otherwise if the cash is

invested in GERMAN short term national debt securities with 1 - 3 yrs maturity

In case of no Rebalancing Event the Net Asset Value allocated to Equity on every Valuation Day “t” is calculated in accordance with the following formula:

−+= −

− EquityttCC

EquityEquityEquityEquity feedays

rcNAVNAVtttt

*360

*1* ,11

where


9

with

j

jj

jlt

lslstslts x

xdepositdaysFWlong

,

,,,,, *

360*1*

31

+=

and

j

jj

jst

sssstssts x

xdepositdaysFWshort

,

,,,,, *

360*1*

31

+=

where


NAVEquity t


rEquity t

CC Daily performance factor based on the dynamic exposure to Equity using VWAP 17:20 – 17:30 CET for day t and t-1

cEquity t

current exposure factor to Equity as determined at 8:00 a.m. CET by the Index Sponsor and/or Index Calculation Agent for day t (possible values are 0 and 1)

cEquity t-1

Exposure factor to Equity as determined at 8:00 a.m. CET by the Index Sponsor and/or Index Calculation Agent for day t-1 (possible values are 0 and 1)

dayst-1,t

days between calculation date t-1 and calculation date t

feeEquity

Index fee for the allocated Net Asset Value in the Equity of 1% p.a.


b) Rebalancing Event

In case of a Rebalancing Event the Net Asset Value allocated to the Bond Future on every Valuation Day “t” is calculated in accordance with the following formula:

( )COBondtBondBondBond ttt

rcNAVNAV *1*00:22,

+=

where

( )( )( )BondttBondBondBondttOC

BondtBondBondBond adjcabsfeedays

rcNAVNAVttt

*1**360

*1* ,1,1

1100:22, −−

− ∆−

−+=

−

In case of a Rebalancing Event the Net Asset Value allocated to FX on every Valuation Day “t” is calculated in accordance with the following formula:

ttFX forwardiNAV

t+=

with

10


NAVbond t

Net Asset Value allocated to Bond on day t

rBond t,22:00

Daily performance factor based on the dynamic exposure to the Bond using close price at 22:00 CET for day t and t-1

rBond t

CO Overnight performance factor based on the dynamic exposure to Bond using close price at 22:00 CET for day t

rBond t

OC Intraday performance factor based on the dynamic exposure to Bond using settlement price 22:00 CET for day t

cBond t

Current exposure factor to Bond as determined at 8:00 a.m. CET by the Index Sponsor and/or Index Calculation Agent for day t (possible values are 0 and 1)

cBond t-1

Exposure factor to Bond as determined at 8:00 a.m. CET by the Index Sponsor and/or Index Calculation Agent for day t-1 (possible values are 0 and 1)

absBond

(∆ cBondt-1,t

) i) change in the current exposure factor to Bond from t-1 to t as determined by the Index Sponsor and/or Index Calcula-tion Agent for day t; ii) equals the nominal value of actually held Bond Futures contracts in case of a Roll of the existing Bond Future contracts into the next front month Bond Future contracts

adjBond

Adjustment of 0.005% i) due to change in the current exposure factor to Bond; ii) due to a Roll of the existing Bond Future contracts into the next front month Bond Future contracts

dayst-1,t


feebond t

Index fee for the allocated Net Asset Value in the Bond of 0.5% p.a.

−

+= ∏

+=−

t

sk

EONIAkkFXt

k

s

idaysNAVi

1,1 1

360*1*


where

and

−+= ∑ ∑

= =

3

1

3

1,,,,1*

j jstsltsFXt jjs

FWshortFWlongNAVforward

with

ljt

ljsljstsljts x

xdepositdaysFWlong

,

,,,,, *

360*1*

31

+=

and

sjt

sjssjstssjts x

xdepositdaysFWshort

,

,,,,, *

360*1*

31

+=

where

In case of a Rebalancing Event the Net Asset Value allocated to Comodity on every Valuation Day “t” is calculated in accordance with the following formula:

−++= ∑ ∑

= =

−

−

6

1

6

1

31

1*1*1

j

GEt

j

comdtyt

comdtyt

comdtytComdtyComdty

yrs

ttrcrcNAVNAV

11


it

interest obtained since last rebalancing

NAVFX s

NAVFX s


k indicates the weekdays between last rebalancing day s and actual date t

iEONIA k

Exposures to the 6 commodities at instant in time t; it has a value of 1, if the exposure is 100%, and 0 otherwise if the cash is invested in GERMAN short term national debt securities with 1 - 3 yrs maturity

daysk-1,k



forwardt

Profit/losses by transacting forward rates at instant in time t

NAVFXs

NAVFX


FWlongs,t,lj

return of taking a long position from day s to day t in the forward of currency lj

FWshorts,t,sj k

return of taking a short position from day s to day t in the forward of currency sj

deposits,lj

, deposits,sj

deposit rate (1-month resp. 3-month IBOR) as fixed for day s for currency lj (long position) resp. sj (short position)

dayss,t


xt,lj

resp.xs,lj

exchange rate of currency lj versus the EUR at day t resp. day s

xt,sj

resp.xs,sj

exchange rate of currency sj versus the EUR at day t resp. day s


NAVEquity t


rEquity t

CO Overnight performance factor based on the dynamic exposure to Equity using VWAP 09:15 CET for day t

rEquity t

OC Intraday performance factor based on the dynamic exposure to Equity using VWAP 09:15 CET for day t

cEquity t

Current exposure factor to Equity as determined at 8:00 a.m. CET by the Index Sponsor and/or Index Calculation Agent for day t (possible values are 0 and 1)

cEquity t-1

Exposure factor to Equity as determined at 8:00 a.m. CET by the Index Sponsor and/or Index Calculation Agent for day t-1 (possible values are 0 and 1)

absEquity

(∆ cEquity t-1,t

) i) change in the current exposure factor to Equity from t-1 to t as determined by the Index Sponsor and/or Index Calcula-tion Agent for day t; ii) equals the nominal value of actually held Equity Futures contracts in case of a Roll of the existing Equity Future contracts into the next front month Equity Future contracts

adjEquity

Adjustment of 0.015% i) due to change in the current exposure factor to Equity; ii) due to a Roll of the existing Equity Future contracts into the next front month Equity Future contracts

dayst-1,t


feeEquity t

Index fee for the allocated Net Asset Value in the Equity of 1% p.a.

It should be noted that the Official Reference Prices for the calculation of the Official Index Level are defined as the close price of the current eligible Bond Futures at 22:00 CET as published on Bloomberg page RXA Comdty, the close prices of the G10 EUR-based currencies at 17:00 New York time as published on Bloomberg page Curncy WCR, the close prices of the eligible commodity futures as published on Bloomberg pages CLA Comdty, HOA Comdty, GCA Comdty, LAA Comdty, C 1 Comdty, W 1 Comdty, and the Volume Weighted Average Price (VWAP) of the current eligible Equity Futures between 17:20-17:30 CET as published on Bloomberg page VG1 Index under the section VWAP.


where

In case of a Rebalancing Event the Net Asset Value allocated to Equity on every Valuation Day “t” is calculated in accordance with the following formula:

( )COEquitytEquityEquityEquity ttt

rcNAVNAV *1*51:90,

+=

where

( )( )( )EquityttEquityEquityEquityttOC

EquitytEquityEquityEquity adjcabsfeedays

rcNAVNAVttt

*1**360

*1*,1

,11151:90, −

−

−∆−

−+=

−

where

12


NAVcomdty t-1

NAVcomdty t-1

as determined by the Index Calculation Agent for day t-1

rtcomdty Performance from investments in commodities at day t

rtGE 1-3yrs Performance form investment the cash in GERMAN short term national debt securities with 1 - 3 yrs maturity (GRG1TR Index) at

day t

ctcomdty Exposures to the 6 commodities at instant in time t; it has a value of 1, if the exposure is 100%, and 0 otherwise if the cash is

invested in GERMAN short term national debt securities with 1 - 3 yrs maturity

Market Disruption Events

Extraordinary Events

Corrections

Responsibility

Index Fee


If a Rebalancing Date is not a Scheduled Trading Day or is a Disrupted Day, then the relevant Rebal-ancing Date shall be deemed the first following Business Day that is a Scheduled Trading Day and is not a Disrupted Day.

If any Valuation Day is not a Scheduled Trading Day or is a Disrupted Day, then the relevant Rebal-ancing Date shall be deemed the first following Business Day that is a Scheduled Trading Day and is not a Disrupted Day.

13

The relevant exchanges stated in Table 1, Table 5 and Table 6 or the corresponding Futures market ceases to function.

In the event that the official prices of the eligible Bond Futures, of G10 EUR-based currencies for-wards, of the eligible commodity Futures or of the eligible Equity Futures on any Valuation Day is subsequently corrected and the correction is published subsequently, then the Index Calculation Agent may, if practicable and the correction is deemed material by the Index Calculation Agent, ad-just or correct the Index Level published on any relevant Valuation Day and publish such corrected Index Level as soon as is reasonably practicable.

iQ-FOXX Indices Ltd. as the Index Sponsor and/or the Index Calculation Agent or their respective affiliates or subsidiaries or any of their respective directors, officers, employees, delegates or agents (each a “Relevant Person”) shall have no responsibility to any person (whether as a result of negli-gence or otherwise) for any determinations made or anything done (or omitted to be determined or done) in respect of the iQ-FOXX MULTI ASSET SMART BETA TR INDEX or in respect of the pub-lication of the Official Index Level (or failure to publish such value) and any use which any person may put the iQ-FOXX MULTI ASSET SMART BETA TR INDEX or any Index Level. All determinations in respect of the iQ-FOXX MULTI ASSET SMART BETA TR INDEX shall be final, conclusive and binding and no person shall be entitled to make any claim against any of the Relevant Persons in respect thereof. Once a determination or calculation is made or action taken by the Index Calculation Agent or any other Relevant Person in respect of the iQ-FOXX MULTI ASSET SMART BETA TR INDEX, nei-ther the Index Calculation Agent nor any other Relevant Person shall be under any obligation to revise any determination or calculation made or action taken for any reason.

The iQ-FOXX MULTI ASSET SMART BETA TR INDEX includes an annual index fee of ca. 0.375% p.a. which is deducted from the Official Index Level on a daily bases.

Miscellaneous

Definitions


Except where expressly indicated otherwise, any determination required to be made or action re-quired to be taken in respect of the Index on a day that is not a Business Day, shall be made or taken (as the case may be) on the next following Business Day.

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Terms not otherwise defined herein shall have the following meanings:

“Business Day” means, for the purposes of a Rebalancing Date, each day (other than a Saturday or a Sunday) on which commercial banks in United Kingdom, Germany and Austria are generally op-erating for business.

“iQ-FOXX Models” means, Proprietary algorithms which determine the dynamic exposure to Bond, Currencies, Commodity and Equity.

“Disrupted Day” means, any Scheduled Trading Day on which the Eurex Exchange fails to open for trading during its regular trading session or on which a Market Disruption Event occurs or exists.

“Exchange” means, relevant Exchanges, where the eligible Futures are traded. “Exchange Business Day” means, any Scheduled Trading Day on which the relevant Exchanges are open for trading during its regular trading session, notwithstanding if any Exchange closes prior to its Scheduled Closing Time.

“Exchange Disruption” means, any event (other than Early Closure) that disrupts or impairs (as de-termined by the Index Calculation Agent) the ability of market participants in general (i) to effect transactions in, or obtain market values for, any of the Index Constituents and/or Eligible Futures (as applicable).

“Expiry Date” means, the date on which the current contract expires.

“Index” means, iQ-FOXX MULTI ASSET SMART BETA TR INDEX.

“Index Calculation Agent” means, iQ-FOXX Indices Ltd.

“Index Committee” means, Index Sponsor’s and Index Calculation Agent’s officers, who together approve any change to the Index Rules.

“Index Fee” means, the fee which is paid to the Index Sponsor and/or to the Index Calculation Agent which is based to the asset under management (AUM) in investment products linked to the index. This index fee can be used for marketing activities.

“Index Investment”, means, any product, investment or transaction, whether in securitised form, over-the-counter form or otherwise, the returns on which are referenced to the Index.

“Index Rules” means, the steps, as described in this documents, following which the dynamic ex-posures are generated based on which the position in the eligible futures contracts is determined.

“Index Sponsor” means, iQ-FOXX Indices Ltd.

Registered Trademarks


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“Indicative Index Level” means, the non-official daily index level calculated by the Index Sponsor and published on Bloomberg page FOXX <GO> and on www.iq-foxx.com.

“Market Disruption Event” means, in respect of an Index Constituent or Eligible Future (as the case may be) and a Fixing Date, Rebalancing Date or a Valuation Day (as the case may be), the occurrence or existence of (i) Trading Disruption, (ii) Exchange Disruption, which in either case the Calculation Agent determines is material, or (iii) Early Closure.

“Net Asset Value” means, notional amount expressed in index points based on long, short or neu-tral positions in the eligible future contracts. The start value on 1st January 2002 is 100 index points.

“Official Index Level” means, official index level calculated by the Index Calculation Agent.

“Rebalancing Event” means, i) a change in the dynamic exposure to the Bond Future, ii) a change in the dynamic exposure to the G10 EUR-based Currencies, iii) a change in the dynamic exposure to the 6 Commodity Futures, iv) a change in the dynamic exposure to the Equity Future, or v) a futures contract roll-over.

“Relevant Person” means, the Index Sponsor and/or the Index Calculation Agent and any of their respective affiliates or subsidiaries or any of their respective directors, officers, employees, repre-sentatives, delegates or agents.

“Scheduled Closing Time” means, in respect of an Exchange and a Scheduled Trading Day, the scheduled weekday closing time of such Exchange on such Scheduled Trading Day, without regard to after hours or other trading outside of the regular trading session hours.

“Selected Variables” means, those Variables which are used to generating the dynamic exposures.

“Trading Disruption” means, in respect to the relevant Exchanges, any suspension of or limitation imposed on trading by the relevant Exchange or otherwise and whether by reason of movements in price exceeding limits permitted by the relevant Exchange or otherwise in any of the Index Con-stituents and/or Eligible Futures (as applicable).

“Valuation Day” means, an Exchange Business Day on which the calculation of the Official Index Level is done based on close price 22:00 CET for the Bond Futures, on close prices at 17:00 New York time of the G10 EUR-based Currencies, on close prices of the 6 Commodity Futures on the relevant exchanges and on VWAP 17:20 – 17:30 pm CET for the Equity Futures of the previous day

iQ-FOXX is a registered trademark of iQ-FOXX Indices Ltd. No use of this trademark may be used, in part or in whole, to describe products or services by third parties.

ALL PERSONS READING THIS DOCUMENT SHOULD REFER TO THE RISK FACTORS, DISCLAIMERS AND CONFLICTS SECTIONS BELOW AND CONSIDER THE INFORMATION CONTAINED IN THIS DOCUMENT IN LIGHT OF SUCH RISK FACTORS, DISCLAIMERS AND CONFLICTS.

Risk Factors

iQ-FOXX Indicators Models


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The following list of risk factors does not purport to be a complete list or explanation of all the risks associated with the Index.

Lack of Operating History, Backtesting and Continuation of the Index

The Index is only recently established and therefore has no history to evaluate its likely perfor-mance. Any back-testing or similar analysis performed by any person in respect of the Index must be considered illustrative only and not indicative of the actual performance of the Index as such back-testing may be based on estimates, assumptions, information or rules not used by the Index Sponsor when determining the composition of the Index or the Index Calculation Agent when de-termining the Official Index Level pursuant to these Rules.

With respect to any back-testing information prepared by either the Index Sponsor or the Index Calculation Agent (as the case may be), the Index Sponsor and the Index Calculation Agent (as the case may be) expressly disclaim any responsibility for (i) the accuracy or completeness of the mod-els, assumptions, estimates and data used in deriving any “back-testing” information they prepared, (ii) any errors or omissions in computing or disseminating the “back-testing” information, and (iii) any uses to which the “back-testing” information may be put by any recipient of such information. Further, both the Index Allocation Agent and the Index Calculation Agent expressly disclaim any re-sponsibility for any back-testing information not prepared by either the Index Sponsor or the Index Calculation Agent (as the case may be).

The actual performance of the Index may be materially different from the results presented in any back-testing information relating to the Index. Past performance should not be considered indica-tive of future performance.

Neither the Index Sponsor nor the Index Calculation Agent is under any obligation to continue the calculation, publication and dissemination of the Index.time of the G10 EUR-based Currencies, on close prices of the 6 Commodity Futures on the relevant exchanges and on VWAP 17:20 – 17:30 pm CET for the Equity Futures of the previous day

The iQ-FOXX proprietary indicator models are developed, owned and operated by iQ-FOXX Indi-ces Ltd.. Only iQ-FOXX Indices Ltd. and the personnel employed know how the iQ-FOXX indicator models work. iQ-FOXX Indices Ltd. operates the iQ-FOXX indicator models in its sole and absolute discretion and it is solely responsible for developing and maintaining the algorithms, defining its parameters and providing it with any relevant inputs. There can be no assurance that the param-eters and/or variables selected by iQ-FOXX Indices Ltd. will, at any point in time, be the same as or even similar to those that might be selected by any other person following an investment strategy using macroeconomic, fundamental and technical variables. iQ-FOXX Indices Ltd. may make any modification or change to the iQ-FOXX indicator models at any time and is under no obligation to disclose to any person the nature or frequency of any such modification or change. It should also be noted that turnover in respect of any key staff employed within iQ-FOXX Indices Ltd. could have an impact (either positive or negative) on the performance of the iQ-FOXX indicator models.

There can be no assurance that the iQ-FOXX indicator models will be successful in producing an Index that will generate above-market returns with no worse than moderate volatility or that Index will outperform any other investment strategy that might be employed in respect of the Eligible Futures.

Notional Transaction Costs and other Adjustments to the Official Index Level

Index Sponsor and Index Calculation Agent Discretion

Potential Conflict of Interest

Notices, Disclaimers and Conflicts


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The Official Index Level will be published net of all Notional Costs relating to the rebalancing and maintenance of the Index. These deductions and adjustments will be made regardless of whether the value of Index Constituents that comprise the Index appreciate, and they will reduce the value of the Official Index Level.

The Index Sponsor and the Index Calculation Agent are entitled to exercise certain discretions in relation to the Index. Although the Index Sponsor and the Index Calculation Agent will make all determinations and take all action in relation to the Index acting in good faith, it should be noted that such discretion could have an impact, positive or negative, on the Official Index Level.

Potential conflicts of interest may exist in the structure and operation of the Index and the conduct of normal business activities by the Index Sponsor and/or the Index Calculation Agent and any of their respective affiliates or subsidiaries or any of their respective directors, officers, employees, representatives, delegates or agents (each a “Relevant Person”). Please refer to the disclaimer below for more information.

The foregoing list of risk factors is not intended to be exhaustive. Anyone reading this document should seek such advice as they consider necessary from their professional advisors, legal, tax or otherwise, without reliance on any Relevant Person to satisfy themselves that they fully understand these Index Rules and the risks associated with the Index.

These Rules have been prepared solely for informational purposes and nothing herein constitutes an offer to buy or sell any securities, participate in any transaction or adopt any investment strategy or legal, tax, regulatory or accounting advice. The Rules are of the date specified above and may change at any time without prior notice.

Neither the Index Sponsor nor the Index Calculation Agent nor any of their respective affiliates or subsidiaries or their respective Relevant Person make any representation or warranty, whatsoever, express or implied, as to the results that may be obtained through the use of iQ-FOXX indicator models, the Index or any information contained in this document. Each Relevant Person hereby ex-pressly disclaims all warranties of accuracy, completeness, merchantability, or fitness for a particular purpose with respect to the iQ-FOXX indicator models, the Index and any information contained in this document and no Relevant Person shall have any liability (direct or indirect, special, punitive consequential or otherwise) to any person even if notified of the possibility of any such damages.

Neither the Index Sponsor nor the Index Calculation Agent is under any obligation to continue the calculation, publication and dissemination of the Index or the Official Index Level.

Furthermore, the Index is based on proprietary iQ-FOXX indicator models using macroeconomic, fundamental and technical variables and is not intended to be a benchmark for, or representative of, any particular market or any segment thereof.


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The iQ-FOXX indicator models are based on proprietary algorithms, developed, owned and op-erated solely by iQ-FOXX Indices Ltd.. Only iQ-FOXX Indices Ltd. and/or any of its affiliates or sub-sidiaries or their respective directors, officers, employees, representatives, delegates or agents are involved in the development, maintenance or operation of the iQ-FOXX indicator models.

As mentioned above, it should be noted that the Index is described as being comprised of notional trading positions because there is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. The Index merely identifies certain assets in the market, the performance of which will be used as a reference point for the purposes of calculating the Official Index Level.

No one may reproduce or disseminate the information contained in this document or the Official Index Level without the prior written consent of the Index Calculation Agent. This document is not intended for distribution to, or use by any person in, a jurisdiction where such distribution is pro-hibited by law or regulation.

These Rules shall be governed by and construed in accordance with the laws of Austria.


» The information including without limitation all text and data (collectively, the “Information”) is the property of iQ-FOXX Indi-ces Ltd. (iQ-FOXX), its subsidiaries and/or their subsidiaries, or their direct or indirect suppliers or any third party involved in the making or compiling of the Information (collectively (including iQ-FOXX), the “iQ-FOXX’s Parties” or individually, an “iQ-FOXX’s Party”), as applicable, and is provided for informational purposes only. The Information may not be reproduced or redissemi-nated in whole or in part without prior written permission from the applicable iQ-FOXX’s Party.

» The Information may not be used to verify or correct other data, to create indices, models or analytics, or in connection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, financial products or other investment vehicles based on, linked to, tracking or otherwise derived from any iQ-FOXX products or data.

» Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the Information constitutes an offer to sell (or a solicitation of an offer to buy), or a promotion or recommen-dation of, any security, financial product or other investment vehicle or any trading strategy, and none of the iQ-FOXX’s Parties endorses, approves or otherwise expresses any opinion regarding any issuer, securities, financial products or instruments or trading strategies. None of the Information, iQ-FOXX indices, models or other products or services is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such.

» The user of the Information assumes the entire risk of any use it may make or permit to be made of the Information.

» None of the iQ-FOXX’s parties makes any express or implied warranties or representations with respect to the information (or the results to be obtained by the use thereof), and to the maximum extent permitted by law, iQ-FOXX, on its behalf and on the behalf of each iQ-FOXX’s party, hereby expressly disclaims all implied warranties (including, without limitation, any implied warranties of originality, accuracy, timeliness, non-infringement, completeness, merchantability and fitness for a particular purpose) with respect to any of the information.

» Without limiting any of the foregoing and to the maximum extent permitted by law, in no event shall any of the iQ-FOXX’s Parties have any liability regarding any of the Information for any direct, indirect, special, punitive, consequential (including lost profits) or any other damages even if notified of the possibility of such damages. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited, including without limitation (as applicable), any liability for death or personal injury to the extent that such injury results from the negligence or willful default of itself, its servants, agents or sub-contractors.

» Any use of or access to products, services or information of iQ-FOXX requires a license from iQ-FOXX. iQ-FOXX product name is a registered trademark of iQ-FOXX Indices Ltd.. The iQ-FOXX index methodology was developed by and is the exclusive property of iQ-FOXX.

iQ-FOXX Indices Ltd. 2012. All rights reserved.

Disclaimer

iQ-FOXX Indices Ltd. » Steineichengasse 27 » 1100 Vienna » Austria » P +43 (0)1 688 37 66 » [email protected] » www.iq-foxx.com

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