INDEX SUPPLEMENT

J.P. Morgan Mozaic II

SM Index

This document contains information solely about the J.P. Morgan Mozaic IISM

Index (the “Index”), which

information has been provided by J.P. Morgan Securities LLC (“JPMS”) solely in its capacity as a licensor of the

Index. The Index and certain relevant “Risk Factors” are described in further detail within the document and are

qualified in their entirety by the index rules (the “Rules”), which are appended hereto. Please read the

information under the section titled “Important Information” below before reading any other material in this

document.

IMPORTANT INFORMATION

The Index has been and may be licensed to one or several licensees (collectively, the “Licensee”) for the

Licensee’s benefit. Neither the Licensee nor any product of the Licensee (the “Product”) is sponsored,

operated, endorsed, sold or promoted by JPMS or any of its affiliates (together and individually,

“J.P. Morgan”). J.P. Morgan makes no representation and no warranty, express or implied, to owners of the

Product (or any person taking exposure to it) or any member of the public in any other circumstances (each a

“Contract Owner”): (a) regarding the advisability of investing in securities or other financial or insurance

products generally or in the Product particularly; or (b) the suitability or appropriateness of an exposure to the

Index in seeking to achieve any particular objective. It is for those taking an exposure to the Product and/or the

Index to satisfy themselves of these matters and such persons should seek appropriate professional advice before

making any investment. J.P. Morgan is not responsible for and does not have any obligation or liability in

connection with the issuance, administration, marketing or trading of the Product. The publication of the Index

and the referencing of any asset, instrument or other factor of any kind in the Index do not constitute any form of

investment recommendation or advice in respect of any such asset, instrument or other factor by J.P. Morgan,

and no person should rely upon it as such. J.P. Morgan does not act as an investment adviser or investment

manager in respect of the Index or the Product and does not accept any fiduciary duties in relation to the

Index, the Licensee, the Product or any Contract Owner.

The Index has been designed and is compiled, calculated, maintained and sponsored by J.P. Morgan

without regard to the Licensee, the Product or any Contract Owner. The ability of the Licensee to make use of

the Index may be terminated on short notice and it is the responsibility of the Licensee to provide for the

consequences of that in the design of the Product. J.P. Morgan does not accept any legal obligation to take

the needs of any person who may invest in a Product into account in designing, compiling, calculating,

maintaining or sponsoring the Index or in any decision to cease doing so.

J.P. Morgan does not give any representation, warranty or undertaking of any type (whether express or

implied, statutory or otherwise) in relation to the Index, as to condition, satisfactory quality, performance or

fitness for purpose or as to the results to be achieved by an investment in the Product or any data included in or

omissions from the Index, or the use of the Index in connection with the Product or the veracity, currency,

completeness or accuracy of the information on which the Index is based (and, without limitation, J.P. Morgan

accepts no liability to any Contract Owner for any errors or omissions in that information or the results of any

interruption to it and J.P. Morgan shall be under no obligation to advise any person of any such error, omission

or interruption). To the extent any such representation, warranty or undertaking could be deemed to have

been given by J.P. Morgan, it is excluded save to the extent that such exclusion is prohibited by law. To the

fullest extent permitted by law, J.P. Morgan shall have no liability or responsibility to any person or entity

(including, without limitation, to any Contract Owner) for any losses, damages, costs, charges, expenses or

other liabilities howsoever arising, including, without limitation, liability for any special, punitive, indirect or

consequential damages (including loss of business or loss of profit, loss of time and loss of goodwill), even if

notified of the possibility of the same, arising in connection with the design, compilation, calculation,

maintenance or sponsoring of the Index or in connection with the Product.

The Index is the exclusive property of J.P. Morgan. J.P. Morgan is under no obligation to continue

compiling, calculating, maintaining or sponsoring the Index and may delegate or transfer to a third party some or

all of its functions in relation to the Index.

J.P. Morgan may independently issue or sponsor other indices or products that are similar to and may

compete with the Index and the Product. J.P. Morgan may also transact in assets or instruments referenced in

the Index (or in financial instruments such as derivatives that reference those assets or instruments). It is possible

that these activities could have an effect (positive or negative) on the value of the Index and the Product.

Each of the above paragraphs is severable. If the contents of any such paragraph is held to be or

becomes invalid or unenforceable in any respect in any jurisdiction, it shall have no effect in that respect, but

without prejudice to the remainder of this notice.

January 6, 2017

TABLE OF CONTENTS

Page

Risk Factors ................................................................................................................................................................... 1 The J.P. Morgan Mozaic II

SM Index ............................................................................................................................ 14

Background Relating to the Basket Constituents of the Index .................................................................................... 43 Background on Futures Contracts ............................................................................................................................... 43 Background on the Bloomberg Commodity Sector Indices ........................................................................................ 45 Background on the DAX

® Index ................................................................................................................................. 55

Background on the FTSE® 100 Index .......................................................................................................................... 63

Background on the NASDAQ-100 Index®

.................................................................................................................. 65 Background on the Russell 2000

® Index ..................................................................................................................... 69

Background on the S&P 500® Index ........................................................................................................................... 77

Background on the TOPIX® Index .............................................................................................................................. 82

Background on the Federal Republic of Germany....................................................................................................... 84 Background on Japan ................................................................................................................................................... 85 Background on the United Kingdom ........................................................................................................................... 86 Annex A: The J.P. Morgan Mozaic II

SM Index Rules ................................................................................................ A-1

A-1

RISK FACTORS

Risks Relating to the Index

J.P. Morgan Securities plc (“JPMS plc”), the Index Sponsor and the Index Calculation Agent, may adjust the

Index in a way that affects its level, and JPMS plc has no obligation to consider any person’s interests.

JPMS plc, an affiliate of JPMorgan Chase & Co., currently acts as the Index Sponsor and the Index Calculation

Agent (each as defined below) and is responsible for calculating and maintaining the Index and developing the

guidelines and policies governing its composition and calculation. The rules governing the Index may be amended

at any time by JPMS plc, in its sole discretion, and the rules permit the use of discretion by JPMS plc in relation to

the Index in specific instances, including but not limited to the determination of the levels to be used in the event of

market disruptions that affect its ability to calculate and publish the levels of the Index and the interpretation of rules

governing the Index. Although JPMS plc acting as the Index Sponsor or 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 the policies

and judgments for which JPMS plc is responsible could have an impact, positive or negative, on the level of the

Index and therefore on the value of any investments or instruments linked to the Index. JPMS plc may also amend

the rules governing the Index in certain circumstances.

Although judgments, policies and determinations concerning the Index are made by JPMS plc, JPMorgan Chase

Bank, N.A., as the parent company of JPMS plc, ultimately controls JPMS plc. JPMS plc has no obligation to

consider any person’s interests in taking any actions that might affect the value of any instrument linked to the

Index. Furthermore, the inclusion of the Basket Constituents (as defined below) in the Index is not an investment

recommendation by JPMS or JPMS plc of the Basket Constituents or any of the futures contracts underlying the

Basket Constituents. See “The J.P. Morgan Mozaic IISM

Index.”

The Index may not be successful or outperform any alternative strategy that might be employed in respect of

the Basket Constituents.

The Index follows a notional rules-based proprietary strategy that operates on the basis of pre-determined rules.

No assurance can be given that the investment strategy on which the Index is based will be successful or that the

Index will outperform any alternative strategy that might be employed in respect of the Basket Constituents.

The Index should not be compared to any other index or strategy sponsored by any of JPMorgan Chase &

Co.’s affiliates (each, a “J.P. Morgan Index”) and cannot necessarily be considered a revised, enhanced or

modified version of any other J.P. Morgan Index.

The Index follows a notional rules-based proprietary strategy that may have objectives, features and/or

constituents that are similar to those of other J.P. Morgan Indices. No assurance can be given that these similarities

will form a basis for comparison between the Index and any other J.P. Morgan Index, and no assurance can be given

that the Index would be more successful than or outperform any other J.P. Morgan Index. The Index operates

independently and does not necessarily revise, enhance, modify or seek to outperform any other J.P. Morgan Index.

There are risks associated with the Index’s momentum investment strategy.

The Index is constructed using what is generally known as a momentum investment strategy. Momentum

investing generally seeks to capitalize on positive trends in the returns of financial instruments. As such, the

weights of the Basket Constituents are based on the performance of the Basket Constituents from the immediately

preceding six months. However, there is no guarantee that trends existing in the preceding six months will continue

in the future. A momentum strategy is different from a strategy that seeks long-term exposure to a notional portfolio

consisting of constant components with fixed weights. The Index may fail to realize gains that could occur as a

result of obtaining exposures to financial instruments that have experienced negative returns, but which

subsequently experience a sudden spike in positive returns. As a result, if market conditions do not represent a

continuation of prior observed trends, the level of the Index, which is rebalanced based on prior trends, may decline.

Additionally, even when the values of the Basket Constituents are trending downwards, the Index will not reduce the

number of Basket Constituents it tracks in order to avoid tracking Basket Constituents with negative performance.

Due to the “long-only” construction of the Index, the weight of each Basket Constituent will not fall below zero at

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any time even if the relevant Basket Constituent displayed a negative performance over the relevant six-month

period. No assurance can be given that the investment strategy used to construct the Index will cause the Index to

outperform any alternative index that might be constructed from the Basket Constituents.

The Index may perform poorly during periods characterized by short-term volatility.

The Index’s strategy is based on momentum investing. Momentum investing strategies are effective at

identifying the current market direction in trending markets. However, in non-trending, sideways markets,

momentum investment strategies are subject to “whipsaws.” A whipsaw occurs when the market reverses and does

the opposite of what is indicated by the trend indicator, resulting in a trading loss during the particular period.

Consequently, the Index may perform poorly in non-trending, “choppy” markets characterized by short-term

volatility.

The Index may not approximate its target volatility.

No assurance can be given that the Index will approximate its target volatility. The actual realized volatility of

the Index may be greater or less than its target volatility. The monthly weights of the Basket Constituents tracked by

the Index are based on their historical volatility (and their collective historical volatility as a portfolio) over specified

measurement periods and are subject to maximum aggregate and individual weighting constraints. However, there

is no guarantee that trends existing in the relevant measurement periods will continue in the future. The volatility of

the notional portfolio on any day may change quickly and unexpectedly. Accordingly, the actual realized volatility

of the Index on a daily basis may be greater than or less than the target volatility, which may adversely affect the

level of the Index.

The Index may be subject to increased volatility due to the potential use of significant leverage.

The Index may use leverage to increase the return from any of its Basket Constituents because the sum of the

weights of the Basket Constituents may be greater than 100%, up to a maximum total weight of 300%. In addition,

the weights of some of the Bond Constituents (as defined below) can reflect significant leverage, up to 250%.

Where a Basket Component is leveraged, any price movements in that Basket Constituent will result in greater

changes in its value than if leverage were not used. In particular, the use of leverage will magnify any negative

performance of the relevant Basket Constituents, which, in turn, could adversely affect the level of the Index.

The Index may be partially uninvested or become entirely uninvested, which will result in a portion or all of

the Index reflecting no return.

Because of the method by which the weight of each Basket Constituent selected for inclusion in the Index is

determined, the weight of a selected Basket Constituent generally decreases as its historical volatility and the

correlations between the Basket Constituents over the specified measurement periods increase. If one or more of the

selected Basket Constituents experiences historical volatility over the specified measurement periods greater than

the target volatility of 4.2%, the total weight of the Basket Constituents included in the Index may be less than

100%. A total weight of less than 100% means that the Index is partially uninvested. The Index will reflect no

return with respect to the uninvested portion.

In addition, the exposure flattening feature of the Index described in the immediately following risk factor may

cause the Index to reduce or eliminate its exposure to each Basket Constituent for a short period. During any period

of exposure flattening, the Index may be partially or entirely uninvested. The Index will reflect no return with

respect to the uninvested portion and, if the Index is entirely uninvested, the Index will reflect no return.

The exposure flattening feature of the Index may adversely affect the performance of the Index.

If the level of the Index falls by more than 3% over a one-week period, subject to the conditions described

under “The J.P. Morgan Mozaic IISM

Index—Exposure Flattening” below, the Index will attempt to eliminate its

exposure to each Basket Constituent for a short period by progressively decreasing the exposure of each Basket

Constituent to 0%. This decrease in the exposure of the Basket Constituents is referred to in this index supplement

as “exposure flattening.” After five weekdays, the Index will attempt to restore its exposure to each Basket

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Constituent by progressively increasing its exposure to each Basket Constituent until that exposure has been fully

restored, subject to the initiation of further exposure flattening.

There can be no assurance that the timing of any exposure flattening will avoid any declines in the values of the

Basket Constituents. Even if the Index has been declining steadily, the Index will begin to restore exposure to the

Basket Constituents on the fifth weekday after exposure flattening has been triggered, and exposure flattening

cannot be triggered again until the following weekday (i.e., the sixth weekday after exposure flattening has been

triggered). In addition, whether exposure flattening is triggered will be based on changes in the level of the Index

and not on changes in the values of the underlying Basket Constituents. As a result, following an occurrence of

exposure flattening, the determination of whether additional exposure flattening will be triggered will be based on a

level of the Index that reflects the effects of exposure flattening.

Furthermore, the exposure flattening feature of the Index may adversely affect the performance of the Index.

For example, if, after the level of the Index falls and exposure flattening is triggered, the values of the Basket

Constituents included in the Index recover during the period in which the Index’s exposure to the Basket

Constituents has been reduced or eliminated, the Index will not participate in the recovery of the Basket

Constituents. As a result, the level of the Index may trail the value of a hypothetical identically constituted notional

portfolio that does not include an exposure flattening feature. In particular, for the period from November 1, 1996

(the Index base date ) to the establishment of the Index on December 28, 2016, the exposure flattening feature has

caused the hypothetical back-tested performance of the Index to trail the performance of a hypothetical identically

constituted notional portfolio that does not include an exposure flattening feature.

The Index may not track any particular Basket Constituent for any period of time.

The level of the Index will be based on the monthly performance of a notional portfolio of the Basket

Constituents selected each month. Except for rebalancing periods during which the Index’s exposure is split

between the prior month’s and the current month’s selected Basket Constituents, the Index will typically provide

exposure to nine Basket Constituents. Accordingly, the Index may not track any particular Basket Constituent for

any period of time.

The exposure of the Index to Bond Constituents may be greater, perhaps significantly greater, than its

exposure to Equity Constituents and Commodity Constituents.

Under the method by which the weight of each Basket Constituent selected for inclusion in the Index is

determined, the weight of a selected Basket Constituent generally increases as its historical volatility over the

specified measurement periods decreases, subject to the maximum weight of that Basket Constituent. The

maximum weight of each Equity Constituent and Commodity Constituent (each as defined below) is 15%, while the

maximum weights of the Bond Constituents range from 45% to 250%. Accordingly, the exposure of the Index to

Bond Constituents may be greater, perhaps significantly greater, than its exposure to Equity Constituents and

Commodity Constituents. If the Index has greater exposure to Bond Constituents than to Equity Constituents and

Commodity Constituents, then a 1% change in the value of those Bond Constituents will have a greater impact on

the Index’s return than a 1% change in the values of those Equity Constituents and Commodity Constituents.

However, the returns of those Bond Constituents may be significantly lower than the returns of those Equity

Constituents and Commodity Constituents, which may adversely affect the level of the Index.

The investment strategy used to construct the Index involves monthly rebalancing and weighting constraints

that are applied to the Basket Constituents.

The Basket Constituents are subject to monthly rebalancing based on historical performance and volatility and

weighting constraints. By contrast, a notional portfolio that does not rebalance monthly and is not subject to any

weighting constraints could see greater compounded gains over time through exposure to a consistently and rapidly

appreciating portfolio consisting of the Basket Constituents. Therefore, the return on an instrument linked to the

Index realized by an investor or by others that may have exposure to the Index may be less than the return that could

be realized on an alternative investment in the Basket Constituents that is not subject to monthly rebalancing or

weighting constraints. No assurance can be given that the investment strategy used to construct the Index will

outperform any alternative investment in the Basket Constituents.

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The Index is an “excess return” index and not a “total return” index because it does not reflect interest that

could be earned on funds notionally committed to the trading of futures contracts.

The Index is an excess return index and not a total return index. The return from investing in futures contracts

derives from three sources: (a) changes in the price of the relevant futures contracts (which is known as the “price

return”); (b) any profit or loss realized when rolling the relevant futures contracts (which is known as the “roll

return”); and (c) any interest earned on the cash deposited as collateral for the purchase of the relevant futures

contracts (which is known as the “collateral return”).

Some indices, including the Index, that track futures contracts are excess return indices that measure the returns

accrued from investing in uncollateralized futures contracts (i.e., the sum of the price return and the roll return

associated with an investment in futures contracts). By contrast, a total return index, in addition to reflecting those

returns, also reflects interest that could be earned on funds committed to the trading of the underlying futures

contracts (i.e., the collateral return associated with an investment in futures contracts). Investing in instruments

linked to the Index will not generate the same return as would be generated from investing directly in the relevant

futures contracts or in a total return index related to those futures contracts.

If the values of the Basket Constituents change, the level of the Index may not change in the same manner.

Changes in the values of the Basket Constituents may not result in a comparable change in the level of the Index

or the market value of any investment or instrument linked to the Index.

The Index comprises notional assets.

The exposures to the futures contracts underlying the Basket Constituents are purely notional and will exist

solely in the records maintained by or on behalf of the Index Calculation Agent. There is no actual portfolio of

assets to which any person is entitled or in which any person has any ownership interest. Consequently, there is no

claim against any of the reference assets that compose the Index.

The Index has a limited operating history and may perform in unanticipated ways.

The Index was established on December 28, 2016 and therefore has a limited operating history. Past

performance should not be considered indicative of future performance.

The Index is subject to market risks.

The performance of the Index is dependent on the performance of the Basket Constituents. As a consequence,

any investment or instrument linked to the Index is exposed to the performance of the Basket Constituents.

The Basket Constituents composing the Index may be replaced by a substitute upon the occurrence of certain

extraordinary events.

As described under “The J.P. Morgan Mozaic IISM

Index — Succession Events and Extraordinary Events”

below, following the occurrence of certain extraordinary events with respect to a Basket Constituent, the affected

Basket Constituent may be replaced by a substitute position in a futures contract or a substitute index.

These extraordinary events generally include events that could materially interfere with the ability of market

participants to transact in, or events that could materially change the underlying economic exposure of, positions

with respect to the Index, a Basket Constituent or its underlying components, where that material interference or

change is not acceptable to the Index Calculation Agent. See “The J.P. Morgan Mozaic IISM

Index — Succession

Events and Extraordinary Events” below for a list of numerous other events that could trigger an extraordinary event

and cause a Basket Constituent to be replaced by a substitute.

If the Index Calculation Agent determines in its discretion that no suitable substitute is available for an affected

Basket Constituent, then the level of the Basket Constituent will be fixed at a level determined by the Index

Calculation Agent until the next rebalancing of the Index, at which time that Basket Constituent will be removed

from the Index.

5

The changing of a Basket Constituent may affect the performance of the Index, and therefore, the return on any

investment or instrument linked to the Index, as the replacement Basket Constituent may perform significantly better

or worse than the affected Basket Constituent.

Correlation of performances among the Basket Constituents may reduce the performance of the Index.

Performances of the Basket Constituents may become highly correlated from time to time, including, but not

limited to, a period in which there is a substantial decline in the assets represented by one or more of the Basket

Constituents that have a higher weighting in the Index relative to any of the other assets. High correlation during

periods of negative returns among Basket Constituents representing any one or more assets and that have a

substantial percentage weighting in the Index could have an adverse effect on the performance of the Index.

Changes in the value of the Basket Constituents may offset each other.

Because the Index is linked to the performance of the Basket Constituents, which collectively represent futures

contracts on different assets, price movements between the Basket Constituents representing different assets may not

correlate with each other. At a time when the value of a Basket Constituent representing a particular asset increases,

the value of other Basket Constituents representing different assets may not increase as much or may decline.

Therefore, in calculating the level of the Index, increases in the values of some of the Basket Constituents may be

moderated, or more than offset, by lesser increases or declines in the values of other Basket Constituents.

Risks Relating to the Basket Constituents Generally

The Index is subject to significant risks associated with futures contracts.

The Basket Constituents each track the returns of futures contracts. The price of a futures contract depends not

only on the price of the underlying asset referenced by the futures contract, but also on a range of other factors,

including but not limited to changing supply and demand relationships, interest rates, governmental and regulatory

policies and the policies of the exchanges on which the futures contracts trade. In addition, the futures markets are

subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the

markets, the participation of speculators and government regulation and intervention. These factors and others can

cause the prices of futures contracts to be volatile and could adversely affect the level of the Index.

Suspension or disruptions of market trading in futures contracts may adversely affect the value of any

instruments linked to the Index.

Futures markets are subject to temporary distortions or other disruptions due to various factors, including lack

of liquidity, the participation of speculators, and government regulation and intervention. In addition, futures

exchanges generally have regulations that limit the amount of futures contract price fluctuations that may occur in a

single day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum

price of a contract on any given day as a result of these limits is referred to as a “limit price.” Once the limit price

has been reached in a particular contract, no trades may be made at a price beyond the limit, or trading may be

limited for a set period of time. Limit prices have the effect of precluding trading in a particular contract or forcing

the liquidation of contracts at potentially disadvantageous times or prices. These circumstances could delay the

publication of the level of the Index and could adversely affect the level of the Index.

An increase in the margin requirements for futures contracts included in the Basket Constituents may

adversely affect the level of the Index.

Futures exchanges require market participants to post collateral in order to open and keep open positions in

futures contracts. If an exchange increases the amount of collateral required to be posted to hold positions in futures

contracts underlying the Basket Constituents, market participants who are unwilling or unable to post additional

collateral may liquidate their positions, which may cause the price of the relevant futures contracts to decline

significantly. As a result, the level of the Index may be adversely affected.

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The Index may in the future include contracts that are not traded on regulated futures exchanges.

The Index, through its exposure to the Basket Constituents, is currently based solely on futures contracts traded

on regulated futures exchanges (referred to in the United States as “designated contract markets”). If these

exchange-traded futures contracts cease to exist, or if the calculation agent for the Basket Constituents substitutes a

futures contract in certain circumstances, the Index may in the future include futures contracts or over-the-counter

contracts traded on trading facilities that are subject to lesser degrees of regulation or, in some cases, no substantive

regulation. As a result, trading in such contracts, and the manner in which prices and volumes are reported by the

relevant trading facilities, may not be subject to the provisions of, and the protections afforded by, the U.S.

Commodity Exchange Act, or other applicable statutes and related regulations that govern trading on regulated U.S.

futures exchanges or similar statutes and regulations that govern trading on regulated non-U.S. futures exchanges.

In addition, many electronic trading facilities have only recently initiated trading and do not have significant trading

histories. As a result, the trading of contracts on such facilities, and the inclusion of such contracts in the Index,

through its exposure to the Basket Constituents, may be subject to certain risks not presented by futures contracts

traded on regulated futures exchanges, including risks related to the liquidity and price histories of the relevant

contracts.

Negative roll returns associated with the futures contracts constituting the Basket Constituents may adversely

affect the performance of the Basket Constituents.

The Basket Constituents each reference futures contracts. Unlike common equity securities, futures contracts,

by their terms, have stated expirations. As the exchange-traded futures contracts that compose the Basket

Constituents approach expiration, they are replaced by similar contracts that have a later expiration. For example, a

futures contract notionally purchased and held in June may specify a September expiration date. As time passes, the

contract expiring in September is replaced by a contract for delivery in December. This is accomplished by

notionally selling the September contract and notionally purchasing the December contract. This process is referred

to as “rolling.” Excluding other considerations, if prices are higher in the distant delivery months than in the nearer

delivery months, the notional purchase of the December contract would take place at a price that is higher than the

price of the September contract, thereby creating a negative “roll return.” Negative roll returns adversely affect the

returns of the Basket Constituents and, therefore, the level of the Index. Because of the potential effects of negative

roll returns, it is possible for the value of a Basket Constituent to decrease significantly over time, even when the

near-term or spot prices of the underlying assets or instruments are stable or increasing. In addition, interest rates

have been historically low for an extended period and, if interest rates revert to their historical means, the likelihood

that a roll return related to any Basket Constituent will be negative, as well as the adverse effect of negative roll

returns on any Basket Constituent, will increase.

Risks Relating to the Futures Constituents

There are risks associated with non-U.S. securities markets.

The equity securities composing the indices referenced by some of the Underlying Futures Contracts (as defined

below) and the government bonds referenced by other Underlying Futures Contracts (such equity securities and

government bonds, the “underlying securities”) have been issued by non-U.S. companies or governments. There

are, therefore, risks associated with the securities markets in those countries where the non-U.S. underlying

securities are traded, including risks of volatility in those markets, governmental intervention in those markets and

cross shareholdings in companies in certain countries. Also, there is generally less publicly available information

about companies and governments in some of these jurisdictions than about U.S. companies that are subject to the

reporting requirements of the Securities and Exchange Commission (the “SEC”), and generally non-U.S. companies

and governments are subject to accounting, auditing and financial reporting standards and requirements and

securities trading rules different from those applicable to U.S. reporting companies.

The prices of securities in non-U.S. markets may be affected by political, economic, financial and social factors

in those markets, including changes in a country’s government, economic and fiscal policies, currency exchange

laws or other laws or restrictions. Moreover, the economies of these countries may differ favorably or unfavorably

from the economy of the United States in such respects as growth of gross national product, rate of inflation, capital

reinvestment, resources and self-sufficiency. These countries may be subjected to different and, in some cases,

more adverse economic environments.

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Some or all of these factors may influence the value of the relevant Futures Constituents (as defined below), and

therefore, the Index. The impact of any of the factors set forth above may enhance or offset some or all of any

change resulting from another factor or factors. The future performance of a Futures Constituent cannot be

predicted based on its historical performance. The value of any Futures Constituent may decrease.

There are significant risks associated with fixed-income securities, including interest rate-related risks.

Investing in or otherwise obtaining exposure in part to the Bond Constituents, differs significantly from

investing directly in bonds to be held to maturity, as the values of the Bond Constituents change, at times

significantly, during each trading day based upon the current market prices of the government bonds referenced by

the Underlying Futures Contracts of the Bond Constituents (such government bonds, the “underlying bonds”). The

market prices of the underlying bonds are volatile and significantly influenced by a number of factors, particularly

the duration of the underlying bonds, the yields on the underlying bonds as compared to current market interest rates

and the actual or perceived credit quality of the governmental issuers of the underlying bonds.

In general, fixed-income securities are significantly affected by changes in current market interest rates. As

interest rates rise, the prices of fixed-income securities, such as the underlying bonds, are likely to decrease.

Instruments with longer durations tend to be more sensitive to interest rate changes, usually making them more

volatile than securities with shorter durations. As a result, rising interest rates may cause the value of the long-dated

bonds underlying the relevant Bond Constituents to decline, possibly significantly.

Interest rates are subject to volatility due to a variety of factors, including:

sentiment regarding underlying strength or weakness in economies of the governments issuing the

underlying bonds and global economies;

expectations regarding the level of price inflation;

sentiment regarding credit quality of the governments issuing the underlying bonds and global credit

markets;

central bank policies regarding interest rates; and

the performance of global capital markets.

The underlying bonds have traded at implied nominal yields near historical lows for an extended period of time.

If the yields of the underlying bonds revert to their historical means as a result of a general increase in interest rates,

government policies or actions, or perceptions of reduced credit quality of the relevant governments or otherwise,

the value of the underlying bonds will decline.

The markets and economies of the local governments of the issuers of the underlying bonds are subject to

unpredictable changes.

The market prices of the Underlying Futures Contracts of the Bond Constituents generally increase or decrease

in connection with, among other factors, the market’s expectations about increases or decreases in the market price

of the underlying bonds. Accordingly, the level of the Index may be affected by unpredictable changes, or

expectations of changes, in the local markets for the underlying bonds. Changes in the governments issuing the

underlying bonds include changes in:

economic performance, including any financial or economic crises and changes in the gross domestic

product, the principal sectors, inflation, employment and labor, and prevailing prices and wages;

the monetary system, including the monetary policy, the exchange rate policy, the economic and tax

policies, banking regulation, credit allocation and exchange controls;

the external sector, including the amount and types of foreign trade, the geographic distribution of trade, the

balance of payments, and reserves and exchange rates;

public finance, including the budget process, any entry into or termination of any economic or monetary

agreement or union (including the United Kingdom vote to exit the European Union, commonly known as

8

“Brexit”), the prevailing accounting methodology, the measures of fiscal balance, revenues and

expenditures, and any government enterprise or privatization program; and

public debt, including external debt, debt service and the debt record.

These factors interrelate in complex ways, and the effect of one factor on the market value of the underlying

bonds, and therefore on the Underlying Futures Contracts that reference the underlying bonds, may offset or

enhance the effect of another factor, which could have a negative impact on the performance of the Index.

The Bond Constituents may be affected by changes in the perceived creditworthiness of the governments that

issue the underlying bonds.

The prices of each underlying bond and the related Underlying Futures Contracts are significantly influenced by

the creditworthiness of the government that issues that underlying bond. U.S. rating agencies have downgraded the

credit ratings and/or assigned negative outlooks to many governments worldwide, including the United States, the

United Kingdom, Germany and Japan, and may continue to do so in the future. Any perceived decline in the

creditworthiness of the governments that issue the underlying bonds, as a result of a credit rating downgrade or

otherwise, may cause the yield on the relevant underlying bonds to increase and the prices of such underlying bonds

to fall, perhaps significantly, and may cause increased volatility in local or global credit markets. In addition, any

perceived improvement in the creditworthiness of the governments that issue the underlying bonds may result in an

increase in the risk tolerance of market participants, which may cause the yield on the relevant underlying bonds to

increase and the prices of such underlying bonds to fall. Any such decline over the term of any investment or

instrument linked to the Index would adversely impact the prices of the relevant Underlying Futures Contracts and

could have a negative impact on the level of the Index.

Currency exchange risk.

The prices of the Underlying Futures Contracts of some of the Futures Constituents are denominated in non-

U.S. currencies, and the returns, but not the notional values, of those non-U.S. currency-denominated Underlying

Futures Contracts are converted into U.S. dollars for the purposes of calculating the levels of those Futures

Constituents. Accordingly, there is exposure to currency exchange rate risk with respect to the returns of those non-

U.S. currency-denominated Underlying Futures Contracts in each of the relevant currencies. That currency

exchange risk will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar,

together with whether each such non-U.S. currency-denominated Underlying Futures Contract appreciates or

declines in value, as adjusted by the applicable Index weights of the associated Futures Constituents in the Index.

For example, if a non-U.S. currency-denominated Underlying Futures Contract has a positive daily return (as

measured in its local currency), and the U.S. dollar strengthens against that non-U.S. currency-denominated

Underlying Futures Contract’s currency, the associated Futures Constituent’s contribution to the Index’s return

would be less than it would have been had its contribution been based solely on its local currency return. In

addition, if a non-U.S. currency-denominated Underlying Futures Contract has a negative daily return (as measured

in its local currency), and the U.S. dollar weakens against that non-U.S. currency-denominated Underlying Futures

Contract’s currency, the associated Futures Constituent’s negative contribution to the Index’s return would be

greater than it would have been had its contribution been based solely on its local currency return.

Of particular importance to potential currency exchange risk are:

existing and expected rates of inflation;

existing and expected interest rate levels;

the balance of payments;

political, civil or military unrest; and

the extent of governmental surpluses or deficits in the relevant countries and the United States.

9

All of these factors are, in turn, sensitive to the monetary, fiscal and trade policies pursued by the governments

of the relevant countries, the United States and other countries important to international trade and finance.

J.P. Morgan has no control over exchange rates.

Foreign exchange rates can either float or be fixed by sovereign governments. Exchange rates of the currencies

used by most economically developed nations are permitted to fluctuate in value relative to the U.S. dollar and to

each other. However, from time to time governments and, in the case of countries using the euro, the European

Central Bank, may use a variety of techniques, such as intervention by a central bank, the imposition of regulatory

controls or taxes or changes in interest rates to influence the exchange rates of their currencies. Governments may

also issue a new currency to replace an existing currency or alter the exchange rate or relative exchange

characteristics by a devaluation or revaluation of a currency. These governmental actions could change or interfere

with currency valuations and currency fluctuations that would otherwise occur in response to economic forces, as

well as in response to the movement of currencies across borders. As a consequence, these governmental actions

could adversely affect the performance of the Index.

JPMorgan Chase & Co. is currently one of the companies that makes up the S&P 500® Index.

JPMorgan Chase & Co., and the other issuers of the securities included in the indices referenced by the

Underlying Futures Contracts, will have no obligation to consider the interests of a holder of any investments or

instruments linked to the Index in taking any action that might affect the performance of the Index.

JPMS is a primary dealer in connection with purchases and sales of U.S. Treasury securities by the U.S.

Federal Reserve and JPMS’s actions in that capacity may affect the level of the Index.

JPMS is one of the primary dealers through which the U.S. Federal Reserve conducts open-market purchases

and sales of U.S. Treasury and federal agency securities, including U.S. Treasury notes. These activities may affect

the prices and yields on the U.S. Treasury notes, which may in turn affect the level of the Bond Constituents that

reference Underlying Futures Contracts on U.S. Treasury notes and the level of the Index. JPMS has no obligation

to take into consideration any person’s interests as a holder of any instrument linked to the Index when undertaking

these activities.

JPMS and its affiliates cannot provide assurance that the public information provided on the issuer of an

underlying bond is accurate or complete.

All disclosures contained in this index supplement are derived from publicly available documents and other

publicly available information, without independent verification. JPMS has not participated, and will not

participate, in the preparation of such documents or made any due diligence inquiry with respect to the issuer of an

underlying bond. JPMS does not make any representation that such publicly available documents or any other

publicly available information regarding the issuer of an underlying bond is accurate or complete, and is not

responsible for public disclosure of information by the issuer of an underlying bond, whether contained in filings

with the SEC or otherwise. Furthermore, JPMS cannot give any assurance that all events occurring prior to the date

of this index supplement (including events that would affect the accuracy or completeness of the publicly available

documents of the issuer of an underlying bond) that would affect the price of that underlying bond will have been

publicly disclosed. Subsequent disclosure of any of those events or the disclosure of or failure to disclose material

future events concerning the issuer of any underlying bond could adversely affect the Index. Any prospective

purchaser of an instrument linked to the Index should undertake an independent investigation of the issuer of any

underlying bond as in its judgment is appropriate to make an informed decision with respect to such investment.

Risks Relating to the Commodity Constituents

The commodity futures contracts underlying the Commodity Constituents are subject to legal and regulatory

regimes that may change in ways that may have an adverse effect on the level of the Index.

Futures contracts and options on futures contracts markets, including the futures contracts underlying the

Commodity Constituents, are subject to extensive regulation and margin requirements. The Commodity Futures

Trading Commission (the “CFTC”) and the exchanges on which those futures contracts trade are authorized to take

10

extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of

speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of

trading. Furthermore, certain exchanges have regulations that limit the amount of fluctuation in futures contract

prices that may occur. These limits could adversely affect the market prices of relevant futures contracts and

forward contracts. The regulation of commodity transactions in the United States is subject to ongoing modification

by governmental and judicial action. In addition, various non-U.S. governments have expressed concern regarding

the disruptive effects of speculative trading in the commodity markets and the need to regulate the derivative

markets in general. The effect on the level of the Index of any future regulatory change is impossible to predict but

could be substantial and adverse to the interests of investors in instruments referencing the Index.

Notably, with respect to agricultural and exempt commodities as defined in the Commodity Exchange Act

(generally, physical commodities such as agricultural commodities, energy commodities and metals), the Dodd-

Frank Wall Street Reform and Consumer Protection Act, which was enacted on July 21, 2010, amended the

Commodity Exchange Act to provide the CFTC with additional authority to establish limits on the number of

positions, other than bona fide hedge positions, that may be held by any person in a commodity through futures

contracts, options on futures contracts and other related derivatives, such as swaps, that are economically equivalent

to those contracts. In addition, designated contract markets and swap execution facilities, as defined in the

Commodity Exchange Act, are authorized to establish and enforce position limits or position accountability

requirements on their own markets or facilities, which must be at least as stringent as the CFTC’s where CFTC

limits also apply.

On December 5, 2016, the CFTC proposed rules to establish position limits that will apply to 25 agricultural,

metals and energy futures contracts and futures, options and swaps that are economically equivalent to those futures

contracts. While the Commodity Constituents do not provide exposure to agriculture-based futures contracts, they

do provide exposure to metals- and energy-based futures contracts, and therefore the proposed limits would apply to

a number of commodity futures contracts underlying the Commodity Constituents, such as NYMEX Light Sweet

Crude Oil, NYMEX NY Harbor USLD, NY Harbor Gasoline Blendstock and Henry Hub Natural Gas futures; and

COMEX Gold, Silver and Copper futures and NYMEX Palladium futures. The limits will apply to a person’s

combined position in futures, options and swaps on the same underlying commodity. The rules, if enacted in their

proposed form, may reduce liquidity in the exchange-traded market for those commodity-based futures contracts,

which may, in turn, have an adverse effect on the performance of the Index.

Commodity futures prices may change unpredictably, affecting the values of the Commodity Constituents

and the Index in unforeseeable ways.

Trading in commodity futures contracts underlying the Commodity Constituents is speculative and can be

extremely volatile. A decrease in the price of any of the commodities upon which the futures contracts that compose

the Commodity Constituents are based may have a material adverse effect on the performance of the Index and the

return on an investment or instrument linked to the Index. Market prices of the commodities on which the futures

contracts that compose the Commodity Constituents are based may fluctuate rapidly based on numerous factors,

including: changes in supply and demand relationships, governmental programs and policies, national and

international monetary, trade, political and economic events, wars and acts of terror, changes in interest and

exchange rates, speculation and trading activities in commodities and related contracts, weather, and agricultural,

trade, fiscal and exchange control policies. The price volatility of each commodity also affects the value of the

futures and forward contracts related to that commodity and therefore its price at any particular time. The price of

any one commodity may be correlated to a greater or lesser degree with the prices of any other commodity and

factors affecting the general supply and demand as well as the prices of other commodities may affect the particular

commodity in question. The commodities markets are subject to temporary distortions or other disruptions due to

various factors, including the lack of liquidity in the markets, the participation of speculators and government

regulation and intervention. Many commodities are also highly cyclical. These factors, some of which are specific

to the nature of each such commodity, may affect the value of the different commodities upon which the futures

contracts that compose the Commodity Constituents are based, and may cause the values of the futures contracts

themselves to move in inconsistent directions at inconsistent rates. This, in turn, will affect the values of the

Commodity Constituents and the performance of the Index. It is not possible to predict the aggregate effect of all or

any combination of these factors.

11

The Commodity Constituents do not offer direct exposure to commodity spot prices.

The values of the Commodity Constituents are intended to track generally the performance of commodity-

futures contracts on physical commodities, not physical commodities (or their spot prices). The price of a futures

contract reflects the expected value of the commodity upon delivery in the future, whereas the spot price of a

commodity reflects the immediate delivery value of the commodity. A variety of factors can lead to a disparity

between the expected future price of a commodity and the spot price at a given point in time, such as the cost of

storing the commodity for the term of the futures contract, interest charges incurred to finance the purchase of the

commodity and expectations concerning supply and demand for the commodity. The price movements of a futures

contract are typically correlated with the movements of the spot price of the reference commodity, but the

correlation is generally imperfect and price movements in the spot market may not be reflected in the futures market

(and vice versa). Accordingly, investments or instruments linked to the Index may underperform a similar

investment that reflects the return on physical commodities.

The prices of commodities are volatile and are affected by numerous factors, some of which are specific to the

commodity sector for each commodity futures contract underlying the Commodity Constituents.

A change in the price of any of the commodity futures contracts underlying the Commodity Constituents may

have a material adverse effect on the performance of the Index and the return on an investment or instrument linked

to the Index. Commodities futures contracts are subject to the effect of numerous factors, certain of which are

specific to the commodity sector for each commodity futures contract underlying the Commodity Constituents, as

discussed below.

Energy Sector

Global prices of energy commodities, including WTI crude oil, Brent crude oil, RBOB gasoline, heating oil and

natural gas, are primarily affected by the global demand for and supply of these commodities, but they are also

significantly influenced by speculative actions and by currency exchange rates. In addition, prices for energy

commodities are affected by governmental programs and policies, national and international political and economic

events, changes in interest and exchange rates, trading activities in commodities and related contracts, trade, fiscal,

monetary and exchange control policies, and with respect to oil, drought, floods, weather, government intervention,

environmental policies, embargoes and tariffs. Demand for refined petroleum products by consumers, as well as by

the agricultural, manufacturing and transportation industries, affects the price of energy commodities. Sudden

disruptions in the supplies of energy commodities, such as those caused by war, natural events, accidents or acts of

terrorism, may cause prices of energy commodity futures contracts to become extremely volatile and unpredictable.

Also, sudden and dramatic changes in the futures market may occur, for example, upon a cessation of hostilities that

may exist in countries producing energy commodities, the introduction of new or previously withheld supplies into

the market or the introduction of substitute products or commodities. In particular, supplies of crude oil may

increase or decrease depending on, among other factors, production decisions by the Organization of the Oil and

Petroleum Exporting Countries (“OPEC”) and other crude oil producers. Crude oil prices are determined with

significant influence by OPEC, which has the capacity to influence oil prices worldwide because its members

possess a significant portion of the world’s oil supply. Demand for energy commodities such as oil and gasoline is

generally linked to economic activity and will tend to reflect general economic conditions.

Industrial Metals Sector

Global prices of industrial metals commodities, including aluminum, copper and zinc, are primarily affected by

the global demand for and supply of these commodities, but they are also significantly influenced by speculative

actions and by currency exchange rates. Demand for industrial metals is significantly influenced by the level of

global industrial economic activity. Prices for industrial metals commodities are affected by governmental programs

and policies, national and international political and economic events, changes in interest and exchange rates,

trading activities in commodities and related contracts, trade, fiscal, monetary and exchange control policies,

government intervention, embargoes and tariffs. An additional, but highly volatile, component of demand for

industrial metals is adjustments to inventory in response to changes in economic activity and/or pricing levels, which

will influence decisions to invest in new mines and smelters. Sudden disruptions in the supplies of industrial metals,

such as those caused by war, natural events, accidents, acts of terrorism, transportation problems, labor strikes and

shortages of power, may cause prices of industrial metals futures contracts to become extremely volatile and

12

unpredictable. The introduction of new or previously withheld supplies into the market or the introduction of

substitute products or commodities will also affect the prices of industrial metals commodities.

Precious Metals Sector

Global prices of precious metals commodities, including gold and silver, are primarily affected by the global

demand for and supply of those commodities, but they are also significantly influenced by speculative actions and

by currency exchange rates. Demand for precious metals is significantly influenced by the level of global industrial

economic activity. Prices for precious metals are affected by governmental programs and policies, national and

international political and economic events, expectations with respect to the rate of inflation, changes in interest and

exchange rates, trading activities in commodities and related contracts, trade, fiscal, monetary and exchange control

policies, government intervention, embargoes and tariffs. Sudden disruptions in the supplies of precious metals,

such as those caused by war, natural events, accidents, acts of terrorism, transportation problems, labor strikes and

shortages of power, may cause prices of precious metals futures contracts to become extremely volatile and

unpredictable. In addition, prices for precious metals can be affected by numerous other factors, including jewelry

demand and production levels.

JPMS and its affiliates have no affiliation with UBS Securities LLC (“UBS”) or Bloomberg Finance L.P.

(“Bloomberg”) and are not responsible for their public disclosure of information.

JPMS and its affiliates are not affiliated with UBS or Bloomberg in any way (except for arrangements discussed

below in “The Bloomberg Commodity Sector Indices — License Agreement”) and have no ability to control UBS or

Bloomberg, including with respect to any errors in or discontinuation of disclosure regarding their methods or

policies relating to the calculation of the Bloomberg Commodity Indices (as defined under “The Bloomberg

Commodity Sector Indices” in this index supplement). Neither UBS nor Bloomberg is under any obligation to

continue to calculate any of the Bloomberg Commodity Indices nor are they required to calculate any successor

index. If either of UBS or Bloomberg discontinues or suspends the calculation of a relevant index, it may become

difficult to determine the level of the Index.

Bloomberg may be required to replace a contract underlying a Bloomberg Commodity Index if the existing

futures contract is terminated or replaced.

A futures contract known as a “Designated Contract” has been selected as the reference contract for each of the

underlying physical commodities included in each Bloomberg Commodity Index. Data concerning these

Designated Contracts will be used to calculate each Bloomberg Commodity Index. The termination or replacement

of a futures contract on an established exchange occurs infrequently; however, if one or more Designated Contracts

were to be terminated or replaced by an exchange, a comparable futures contract would be selected by Bloomberg to

replace each such Designated Contract. The termination or replacement of any Designated Contract may have an

adverse impact on the level of the relevant Bloomberg Commodity Index. Suspension or disruptions of market

trading in the commodity and related futures markets may adversely affect the performance of the Index.

There may be, in the future, exposure to contracts that are not traded on regulated futures exchanges.

At present, the Bloomberg Commodity Indices are composed exclusively of regulated futures contracts;

however, the Bloomberg Commodity Indices may in the future include over-the-counter contracts (such as swaps

and forward contracts) traded on trading facilities that are subject to lesser degrees of regulation or, in some cases,

no substantive regulation. As a result, trading in such contracts, and the manner in which prices and volumes are

reported by the relevant trading facilities, may not be subject to the same provisions of, and the protections afforded

by, the Commodity Exchange Act, as amended, or other applicable statutes and related regulations that govern

trading on regulated futures exchanges. In addition, many electronic trading facilities have only recently initiated

trading and do not have significant trading histories. As a result, the trading of contracts on such facilities and the

inclusion of such contracts in a Bloomberg Commodity Index may result in exposure to certain risks not presented

by most exchange-traded futures contracts, including risks related to the liquidity and price histories of the relevant

contracts.

13

Risks associated with the Bloomberg Commodity Indices may adversely affect the performance of the Index.

Because the Bloomberg Commodity Indices reflect the return on exchange-traded futures contracts on different

physical commodities, the Bloomberg Commodity Indices may be less diversified than other funds or investment

portfolios investing in a broader range of products and, therefore, could experience greater volatility. Additionally,

the annual composition of the Bloomberg Commodity Indices will be calculated in reliance upon historical price,

liquidity and production data that are subject to potential errors in data sources or errors that may affect the

weighting of components of the Bloomberg Commodity Indices. Any discrepancies that require revision are not

applied retroactively but will be reflected in the weighting calculations of the Bloomberg Commodity Indices for the

following year. However, Bloomberg may not discover every discrepancy. Furthermore, the annual weightings for

the Bloomberg Commodity Indices are determined each year in the third or fourth quarter and announced as

promptly as practicable following the calculation by Bloomberg under the supervision of the Bloomberg

Commodity Index Oversight Committee, which has a significant degree of discretion in exercising its supervisory

duties with respect to the Bloomberg Commodity Indices and has no obligation to take the needs of any parties to

transactions involving the Bloomberg Commodity Indices into consideration when reweighting or making any other

changes to the Bloomberg Commodity Indices. Finally, subject to the minimum/maximum diversification limits

described in “The Bloomberg Commodity Sector Indices — Diversification Rules,” the commodities underlying the

exchange-traded futures contracts included in the Bloomberg Commodity Indices from time to time are concentrated

in a single sector. There are, therefore, risks similar to a concentrated securities investment in a limited number of

sectors.

Trading and other transactions by UBS and its affiliates in the futures contracts constituting the Bloomberg

Commodity Indices and the underlying commodities may affect the level of the Bloomberg Commodity

Indices.

UBS and its affiliates actively trade futures contracts and options on futures contracts on the commodities

underlying the Bloomberg Commodity Indices. UBS and its affiliates also actively enter into or trade market

securities, swaps, options, derivatives, and related instruments that are linked to the performance of the Bloomberg

Commodity Indices, the futures contracts underlying the Bloomberg Commodity Indices or the commodities

underlying these futures contracts. Certain of UBS’s affiliates may underwrite or issue other securities or financial

instruments indexed to the Bloomberg Commodity Indices and related indices, and UBS and certain of its affiliates

may license the Bloomberg Commodity Indices for publication or for use by unaffiliated third parties.

These activities could present conflicts of interest and could affect the levels of the Bloomberg Commodity

Indices. For instance, a market maker in a financial instrument linked to the performance of a Bloomberg

Commodity Index may expect to hedge some or all of its position in that financial instrument. Purchase (or selling)

activity in the underlying components of a Bloomberg Commodity Index in order to hedge the market maker’s

position in the financial instrument may affect the market price of the futures contracts included in such Bloomberg

Commodity Index, which in turn may affect the level of such Bloomberg Commodity Index and the level of the

Index. With respect to any of the activities described above, none of UBS or its respective affiliates has any

obligation to take the needs of any buyers, sellers or holders of any instruments linked in the Index into

consideration at any time.

14

THE J.P. MORGAN MOZAIC IISM

INDEX

General

The J.P. Morgan Mozaic IISM

Index (the “Index”) was developed and is maintained and calculated by

J.P. Morgan Securities plc (“JPMS plc”). The description of the Index and its methodology included in this index

supplement is based on rules formulated by JPMS plc (the “Rules”). The Rules, and not this description, will

govern the calculation and constitution of the Index and other decisions and actions related to its maintenance. The

Rules in effect as of the date of this index supplement are attached as Annex A to this index supplement. The Index

is the intellectual property of JPMS plc, and JPMS plc reserves all rights with respect to its ownership of the Index.

The Index is reported by Bloomberg L.P. under the ticker symbol “JMOZAIC2.”

The Index is a notional dynamic index that tracks the return of a basket consisting typically of nine constituents

selected from a universe of 15 excess return constituents (each, a “Basket Constituent”) while targeting an

annualized volatility of 4.2% (the “Target Volatility”).

The 15 Basket Constituents currently include (a) unfunded rolling positions in U.S., U.K., German or Japanese

equity index futures contracts (each, an “Equity Constituent”), (b) unfunded rolling positions in U.S., U.K.,

German or Japanese government bond futures contracts (each, a “Bond Constituent”) and (c) excess return

commodity sector indices for the energy, industrial metals and precious metals sectors (each, a “Commodity

Constituent”). The Basket Constituents are set forth in Tables 1, 2 and 3 below. Each Equity Constituent and Bond

Constituent is referred to in this index supplement as a “Futures Constituent.” Each futures contract underlying a

Futures Constituent as of a particular time is referred to in this index supplement as an “Underlying Futures

Contract.” The Index is an “excess return” index because it provides notional exposure to futures contract returns

that reflect changes in the price of those futures contracts, as well as their “roll” returns described below. The Index

is not a “total return” index because it does not reflect interest that could be earned on funds notionally committed to

the trading of futures contracts. The excess returns of each Futures Constituent not denominated in U.S. dollars are

converted into U.S. dollars for purposes of calculating the Index.

On the second-to-last weekday of each calendar month (each, a “Monthly Selection Date”), the Index

Calculation Agent identifies the composition of the Index that will be implemented when the Index is rebalanced

during the following calendar month, based on historical performance, volatility and correlation of the Basket

Constituents and subject to a maximum total weight of 300% (the “Maximum Total Weight”) and the maximum

weight for each Basket Constituent as set forth in Tables 1, 2 and 3 below (with respect to each Basket Constituent,

the “Constituent Weight Cap”), as summarized below.

First, the Index Calculation Agent selects for inclusion the nine Basket Constituents with the highest recent

historical performance, subject to the conditions described below.

Second, the Index Calculation Agent identifies the Preliminary Weights (as defined below) of the Basket

Constituents selected for inclusion in the Index based on each Basket Constituent’s recent volatility. Volatility is a

measure of the degree of variation in the returns of an asset over a period of time. The recent volatility of each

Basket Constituent used for this purpose is the highest historical volatility of that Basket Constituent measured over

three periods. Each selected Basket Constituent’s Preliminary Weight is set such that its recent volatility as adjusted

by its Preliminary Weight is equal to the ratio of the Target Volatility of 4.2% to the number of Basket Constituents

selected for inclusion (typically nine). If the recent volatility of a selected Basket Constituent is greater than the

Target Volatility, its Preliminary Weight will be proportionately decreased relative to an equal weighting of the

selected Basket Constituents. Conversely, if the recent volatility of a selected Basket Constituent over those periods

is less than the Target Volatility, its Preliminary Weight will be proportionately increased relative to an equal

weighting of the selected Basket Constituents.

Third, the Index Calculation Agent determines the Monthly Constituent Weights (as defined below) of the

selected Basket Constituents by scaling up or down their Preliminary Weights proportionally so that the recent

volatility of the hypothetical portfolio composed of the Basket Constituents with weights set equal to the Monthly

Constituent Weights equals the Target Volatility, subject to the Maximum Total Weight of 300% and the individual

Constituent Weight Caps. The recent volatility of the hypothetical portfolio used for this purpose is the highest

historical volatility of that hypothetical portfolio measured over three periods. Once the Monthly Constituent

15

Weights for the Basket Constituents have been determined, the Index Calculation Agent determines the number of

units of each Basket Constituent corresponding to that Basket Constituent’s Monthly Constituent Weight.

The composition of the Index is then implemented at the beginning of the following calendar month over a five-

day rebalancing period, determined separately for each Basket Constituent. The Index may provide exposure to

more or fewer than nine Basket Constituents while it is being rebalanced each month.

In addition, if the Index level declines by more than 3% over a one-week period, subject to the conditions

described under “Exposure Flattening” below, the Index will attempt to eliminate its exposure to each Basket

Constituent for a short period by progressively decreasing the exposure of each Basket Constituent to 0%. This

decrease in the exposure of the Basket Constituents is referred to in this index supplement as “exposure flattening.”

On the fifth weekday after exposure flattening has been triggered, the Index will attempt to restore its exposure to

each Basket Constituent by progressively increasing its exposure to each Basket Constituent until that exposure has

been fully restored, subject to the triggering of any further exposure flattening.

The closing level of the Index (the “Index Level”) was set equal to 100 on November 1, 1996 (the “Index Base

Date”). The Index Calculation Agent began calculating the Index on a live basis on December 28, 2016 (the “Index

Live Date”). The Index Level with respect to each weekday following the Index Base Date is calculated by

adjusting the Index Level as of the immediately preceding weekday to reflect the return of the selected Basket

Constituents since that weekday, taking into account any exposure flattening and the weights of the selected Basket

Constituents as of the close on the immediately preceding weekday.

If the combined exposure to the Basket Constituents is less than 100%, whether due to the total weight of

the Basket Constituents being less than 100% or due to exposure flattening, the Index will not be fully

invested. Any uninvested portion will earn no return. In addition, if the combined exposure to the Basket

Constituents is greater than 100%, the Index will be subject to increased volatility. In particular, the use of

leverage will magnify any negative performance of the Basket Constituents, which could adversely affect the

Index Level.

The Index is described as a notional portfolio or basket 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 references

certain underlying financial instruments, the performance of which will be used as a reference point for

calculating the Index Level.

No assurance can be given that the investment strategy used to construct the Index will be successful or

that the Index will outperform any alternative basket or strategy that might be constructed from the Basket

Constituents. Furthermore, no assurance can be given that the Index will approximate its Target Volatility.

The actual realized volatility of the Index may be greater or less than its Target Volatility.

The Index Sponsor and the Index Calculation Agent

JPMS plc is currently the sponsor of the Index (together with any successor sponsor or assign, the “Index

Sponsor”). The Index Sponsor may appoint a successor sponsor or assign, delegate or transfer any or all of its

rights, obligations or responsibilities in its capacity as Index Sponsor in connection with the Index to one or more

entities (including an unrelated third party) that the Index Sponsor determines is appropriate.

The Index Sponsor is also responsible for the appointment of the calculation agent of the Index (the “Index

Calculation Agent”), which may be the Index Sponsor, an unrelated third party or an affiliate or subsidiary of the

Index Sponsor. JPMS plc is currently the Index Calculation Agent. The Index Sponsor may at any time and for any

reason (i) appoint a successor Index Calculation Agent if the Index Sponsor is at that time the Index Calculation

Agent or (ii) terminate the appointment of the Index Calculation Agent and appoint an alternative entity as a

replacement Index Calculation Agent if the Index Sponsor is not at that time the Index Calculation Agent. The

Index Calculation Agent (unless the Index Calculation Agent is the same entity as the Index Sponsor) must obtain

written permission from the Index Sponsor prior to any delegation or transfer of the Index Calculation Agent’s

responsibilities or obligations in connection with the Index.

16

The Index Calculation Agent is responsible for (i) calculating the Index Level for each weekday in accordance

with the Rules and (ii) determining (among other things and subject to the prior agreement of the Index Sponsor or

at the direction of the Index Sponsor) if a Futures Market Disruption Event or Extraordinary Event (each as defined

below) has occurred and whether any input necessary to perform any calculations under the Rules is not published

or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent, and any

related consequences or adjustments in accordance with the Rules.

The Basket Constituents of the Index

Subject to the occurrence of an Extraordinary Event, Table 1 below sets forth each Equity Constituent, as well

as the following for each Equity Constituent: its Basket Constituent number (designated as “i” in Table 1), its ticker

on the Futures Exchange (as defined below), the index related to its Underlying Futures Contracts (the “Equity

Reference Index”), its current Futures Exchange, the currency in which its Underlying Futures Contracts are

currently denominated (the “Futures Denomination Currency”) and its Constituent Weight Cap.

Table 1

i

Equity Constituent

(Futures Exchange Ticker)

Equity Reference

Index

Futures

Exchange

Futures

Denomination

Currency

Constituent

Weight Cap

1

Rolling equity index futures position

in the E-mini S&P 500 Futures

Contract (ES)

S&P 500® Index Chicago

Mercantile Exchange

U.S. dollars 15%

2

Rolling equity index futures position

in the E-mini NASDAQ 100 Futures

Contract (NQ)

Nasdaq-100

Index®

Chicago

Mercantile Exchange

U.S. dollars 15%

3

Rolling equity index futures position

in the Russell 2000® Index Mini

Futures Contract (TF)*

Russell 2000® Index

ICE Futures U.S. U.S. dollars 15%

4

Rolling equity index futures position

in the DAX® Futures Contract

(FDAX)

DAX® Index Eurex

Deutschland European Union

euros 15%

5

Rolling equity index futures position

in the FTSE 100 Index Futures

Contract (Z)

FTSE® 100 Index ICE Futures

Europe

British pounds

sterling 15%

6 Rolling equity index futures position

in the TOPIX Futures Contract (n/a)

Tokyo Stock Price

Index (TOPIX) Osaka Exchange Japanese yen 15%

* Subject to the occurrence of the U.S. Small Cap Exchange Succession Event as described under “U.S. Small

Cap Exchange Succession Event” below.

17

Subject to the occurrence of an Extraordinary Event, Table 2 below sets forth each Bond Constituent, as well as

the following for each Bond Constituent: its Basket Constituent number (designated as “i” in Table 2), its ticker on

the Futures Exchange, its current Futures Exchange, its Futures Denomination Currency and its Constituent Weight

Cap.

Table 2

i

Bond Constituent

(Futures Exchange Ticker)

Futures

Exchange

Futures

Denomination

Currency

Constituent

Weight Cap

7 Rolling government bond futures position in the Short-Term U.S. Treasury Note Futures (2-Year) Contract (ZT)

Chicago Board of Trade

U.S. dollars 250%

8 Rolling government bond futures position in the Medium-Term U.S. Treasury Note Futures (5-Year) Contract (ZF)

Chicago Board of Trade

U.S. dollars 75%

9

Rolling government bond futures position in the Long-

Term U.S. Treasury Note Futures (6½- to 10-Year)

Contract (ZN)

Chicago Board of Trade

U.S. dollars 45%

10 Rolling government bond futures position in the Euro-Bund Futures Contract (FGBL)

Eurex Deutschland

European Union euros

45%

11 Rolling government bond futures position in the Long Gilt

Futures Contract (R)

ICE Futures

Europe

British pounds

sterling 45%

12 Rolling government bond futures position in the 10-year JGB Futures Contract (n/a)

Osaka Exchange Japanese yen 120%

Subject to the occurrence of an Extraordinary Event, Table 3 below sets forth each Commodity Constituent, as

well as the following for each Commodity Constituent: its Basket Constituent number (designated as “i” in Table 3),

its Bloomberg ticker, the commodities referenced by the futures contracts it tracks and its Constituent Weight Cap.

Table 3

i

Commodity Constituent

(Bloomberg Ticker) Underlying Commodities

Constituent

Weight Cap

13 Bloomberg Energy SubindexSM (BCOMEN)

Crude oil, ULS diesel, natural gas and RBOB gasoline

15%

14 Bloomberg Industrial Metals

SubindexSM (BCOMIN)

Aluminum, copper, lead, nickel, tin and

zinc 15%

15 Bloomberg Precious Metals SubindexSM (BCOMPR)

Gold, platinum and silver 15%

“Futures Exchange” means, in respect of any Futures Constituent, the exchange or quotation system on which

the relevant futures contracts referenced by that Futures Constituent are listed for trading, any successor to that

exchange or quotation system or any substitute exchange or quotation system to which trading has temporarily

relocated (so long as the Index Calculation Agent has determined that there is comparable liquidity relative to the

futures or options contracts relating to that Futures Constituent on that temporary substitute exchange or quotation

system as on the original exchange or quotation system).

Determining the Composition of the Index

On each Monthly Selection Date (i.e., the second-to-last weekday of each calendar month), the Index

Calculation Agent identifies the composition of the Index that will be implemented when the Index is rebalanced

during the following calendar month, based on historical performance, volatility and correlation of the Basket

Constituents, and subject to the Maximum Total Weight of 300% and the individual Constituent Weight Caps, as

described below.

18

Step 1: Select the Basket Constituents to Be Included in the Index

On each Monthly Selection Date, the Index Calculation Agent selects the Basket Constituents that will be

included in the Index following the next Index rebalancing based on their historical performance. For this purpose,

the historical performance of each Basket Constituent (with respect to each Basket Constituent, the “Performance”)

is the six-month excess return of that Basket Constituent calculated as follows:

if that Basket Constituent is a Futures Constituent, the percentage change in the Futures Tracker Level (as

defined below) of that Futures Constituent from the 130th immediately preceding weekday to the relevant

Monthly Selection Date; and

if that Basket Constituent is a Commodity Constituent, the percentage change in the Commodity Closing

Index Current Level (as defined below) of that Commodity Constituent from the 130th immediately

preceding weekday to the relevant Monthly Selection Date.

The Index Calculation Agent then selects for inclusion the nine Basket Constituents with the highest

Performance, provided that, if the Volatility (as defined below) of any of the Basket Constituents selected for

inclusion in the Index upon the next Index rebalancing is zero, that Basket Constituent will be deemed not to be

selected for inclusion, leaving fewer than nine Basket Constituents selected for inclusion. In the event of a tie,

preference will be given to the Basket Constituent(s) with the lowest Basket Constituent number(s) (as set forth in

Tables 1, 2 and 3 above).

Step 2: Determine the Preliminary Weights of the Basket Constituents

On each Monthly Selection Date, the Index Calculation Agent next identifies the Preliminary Weights of the

Basket Constituents selected for inclusion in the Index upon the next Index rebalancing based on their historical

volatility. Volatility is a measure of the degree of variation in the returns of an asset over a period of time. For this

purpose, the historical volatility of each Basket Constituent (with respect to each Basket Constituent, the

“Volatility”) is calculated as the greatest of the annualized realized volatilities of that Basket Constituent determined

over periods of 22, 65 and 130 days in the manner set forth in the Rules. Using the greatest of the annualized

realized volatilities determined over multiple periods causes the historical volatility used to determine the

Preliminary Weight of a Basket Constituent to reflect any recent increase in the volatility of that Basket Constituent

while lessening the impact of any recent decrease in its volatility.

On each Monthly Selection Date, the “Preliminary Weight” of each selected Basket Constituent is set by

allocating an equal weight to each Basket Constituent selected for inclusion in the Index upon the next Index

rebalancing and then multiplying those weights by the ratio of the Target Volatility of 4.2% to the Volatility of the

relevant Basket Constituent as of that Monthly Selection Date. Accordingly, if the Volatility of a selected Basket

Constituent is greater than the Target Volatility, its Preliminary Weight will be proportionately decreased relative to

an equal weighting of the selected Basket Constituents. Conversely, if the Volatility of a selected Basket

Constituent is less than the Target Volatility, its Preliminary Weight will be proportionately increased relative to an

equal weighting of the selected Basket Constituents.

On each Monthly Selection Date, the Preliminary Weight of each Basket Constituent not selected for inclusion

in the Index upon the next Index rebalancing is set equal to zero.

Step 3: Determine the Monthly Constituent Weights of the Basket Constituents

The historical volatility of a portfolio is determined based on the weight and historical volatility of each of its

constituents, as well as the degree of historical correlation between those constituents. Correlation is a measure of

the degree to which the returns of two assets are similar to each other over a given period in terms of timing and

direction. A portfolio with a lower degree of correlation between its constituents will have a lower volatility than a

portfolio with a higher degree of correlation between its constituents, assuming that the volatilities and weights of

the individual constituents are the same. The diversification of a portfolio also increases as the degree of correlation

between its constituents decreases. This is because the returns of constituents with a lower degree of correlation will

offset each other to a greater extent than the returns of constituents with a higher degree of correlation, resulting, all

else being equal, in less variability in portfolio returns for a portfolio composed of constituents with a lower degree

19

of correlation and more variability in portfolio returns for a portfolio composed of constituents with a higher degree

of correlation. Unless all of its constituents are perfectly correlated, the historical volatility of a portfolio will be

lower than the weighted average of the historical volatilities of its constituents.

Accordingly, while the Preliminary Weights of the selected Basket Constituents reflect the Target Volatility,

after taking into account the correlation between the selected Basket Constituents, the historical volatility of a

hypothetical portfolio composed of the Basket Constituents with weights set equal to the Preliminary Weights (the

“Preliminary Portfolio”) would likely be less than the Target Volatility. In addition, the Preliminary Weights do

not take into account the Maximum Total Weight or the Constituent Weight Caps.

Consequently, after determining the Preliminary Weights on each Monthly Selection Date, the Index

Calculation Agent determines the Monthly Constituent Weights of the Basket Constituents by adjusting their

Preliminary Weights to reflect the ratio of the Target Volatility to the historical volatility of the Preliminary

Portfolio as a whole as of that Monthly Selection Date, subject to the Maximum Total Weight of 300% and the

individual Constituent Weight Caps. For this purpose, the historical volatility of the Preliminary Portfolio (with

respect to the Preliminary Portfolio, the “Volatility”) is calculated as the greatest of the annualized realized

volatilities of the Preliminary Portfolio determined over periods of 22, 65 and 130 days in the manner set forth in the

Rules.

On each Monthly Selection Date, the “Monthly Constituent Weight” of each Basket Constituent is equal to

the smallest of the following:

the Preliminary Weight of that Basket Constituent for that Monthly Selection Date multiplied by the ratio

of (i) the Target Volatility of 4.2% to (ii) the Volatility of the Preliminary Portfolio for that Monthly

Selection Date;

the Maximum Total Weight multiplied by the ratio of (i) the Preliminary Weight of that Basket Constituent

for that Monthly Selection Date to (ii) the sum of the Preliminary Weights for that Monthly Selection Date;

and

the Constituent Weight Cap of that Basket Constituent.

On each Monthly Selection Date, the Monthly Constituent Weight of each Basket Constituent not selected for

inclusion in the Index upon the next Index rebalancing will equal zero.

Step 4: Convert the Monthly Constituent Weights of the Basket Constituents into Units

Once the Monthly Constituent Weights for the Basket Constituents have been determined, on each Monthly

Selection Date, the Index Calculation Agent determines the number of units of each Basket Constituent

corresponding to that Basket Constituent’s Monthly Constituent Weight (with respect to a Basket Constituent, the

“Monthly Unit Amount”) based on the Available Index Level for that Monthly Selection Date.

The Monthly Unit Amount of each Basket Constituent on a Monthly Selection Date is calculated as the number

of units of that Basket Constituent to which one could obtain exposure at a price equal to the Futures Tracker Level

(in the case of a Basket Constituent that is a Futures Constituent) or the Commodity Closing Index Current Level (in

the case of a Basket Constituent that is a Commodity Constituent), as applicable, on that Monthly Selection Date

with the portion of the Available Index Level (expressed in U.S. dollars) corresponding to that Basket Constituent’s

Monthly Constituent Weight. Accordingly, the Monthly Unit Amount of each Basket Constituent on a Monthly

Selection Date is calculated as follows:

Monthly Unit Amountki = Monthly Weightk

i ×Available Index Levelk

Constituent Levelki

where:

Monthly Weightki means Monthly Weight of that Basket Constituent on that Monthly Selection Date;

20

Available Index Levelk means the Available Index Level on that Monthly Selection Date; and

Constituent Levelki means the Futures Tracker Level (in the case of a Basket Constituent that is a Futures

Constituent) or the Commodity Closing Index Current Level (in the case of a Basket Constituent that is a

Commodity Constituent), as applicable, of that Basket Constituent on that Monthly Selection Date.

On each Monthly Selection Date, the Monthly Unit Amount of each Basket Constituent not selected for

inclusion in the Index upon the next Index rebalancing will equal zero.

The “Available Index Level” for a weekday means:

if all inputs necessary to perform the calculation of the Index Level in respect of that weekday are

published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation

Agent on that weekday, the Index Level for that weekday; or

if any inputs necessary to perform the calculation of the Index Level in respect of that weekday are not

published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation

Agent on that weekday (without regard to when or whether they are subsequently published or otherwise

made available by the relevant exchange or input sponsor to the Index Calculation Agent), the Index Level

for the immediately preceding weekday with respect to which all inputs necessary to perform the

calculation of the Index Level in respect of that immediately preceding weekday were published or

otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent on that

immediately preceding weekday.

See “Publication of the Index Level” below for additional information.

Monthly Rebalancing of the Index

Each calendar month, the Index is rebalanced to implement the composition of the Index that was determined

on the Monthly Selection Date corresponding to that rebalancing (i.e., the second-to-last weekday of the

immediately preceding calendar month). This rebalancing is accomplished each calendar month for each Basket

Constituent over a period of five Futures Constituent Monthly Rebalancing Days (in the case of a Basket Constituent

that is a Futures Constituent) or over a period of five Commodity Constituent Monthly Rebalancing Days (in the

case of a Basket Constituent that is a Commodity Constituent).

21

Monthly Rebalancing of Futures Constituents

For each Futures Constituent, the “Futures Constituent Monthly Rebalancing Days” of each calendar month

are determined as set forth in the table below:

Futures Constituent Monthly Rebalancing Days

First The earlier to occur in the relevant calendar month of (i) the first Futures Constituent Scheduled Day that is either a

Futures Constituent Valid Day or a Futures Constituent Roll Determination Day (as defined below) and (ii) the ninth Futures Constituent Scheduled Day

Second The earlier to occur in the relevant calendar month of (i) the second Futures Constituent Scheduled Day that is either

a Futures Constituent Valid Day or a Futures Constituent Roll Determination Day and (ii) the tenth Futures Constituent Scheduled Day

Third The earlier to occur in the relevant calendar month of (i) the third Futures Constituent Scheduled Day that is either a

Futures Constituent Valid Day or a Futures Constituent Roll Determination Day and (ii) the eleventh Futures Constituent Scheduled Day

Fourth The earlier to occur in the relevant calendar month of (i) the fourth Futures Constituent Scheduled Day that is either

a Futures Constituent Valid Day or a Futures Constituent Roll Determination Day and (ii) the twelfth Futures Constituent Scheduled Day

Fifth The earlier to occur in the relevant calendar month of (i) the fifth Futures Constituent Scheduled Day that is either a

Futures Constituent Valid Day or a Futures Constituent Roll Determination Day and (ii) the thirteenth Futures Constituent Scheduled Day

A “Futures Constituent Scheduled Day” means, for a Futures Constituent, a weekday on which (a) the

Futures Exchange for that Futures Constituent is scheduled to be open for trading for its regular trading session and

(b) in the case of a Futures Constituent whose Futures Denomination Currency is not U.S. dollars, the FX Rate (as

defined below) relevant to that Futures Constituent is scheduled to be calculated and published by the WM

Company (or any successor, as identified by the Index Calculation Agent).

A “Futures Constituent Valid Day” means a Futures Constituent Scheduled Day on which no Futures Market

Disruption Event (as defined below) occurs or is continuing.

A “Futures Constituent Monthly Rebalancing Determination Day” for a Futures Constituent is a Futures

Constituent Monthly Rebalancing Day that is not a Futures Constituent Valid Day for that Futures Constituent.

A “Futures Constituent Roll Determination Day” means, for a Futures Constituent, as determined as of the

final day of an Actual Roll Period for that Futures Constituent, a Futures Constituent Effective Roll Day (as defined

below) for that Actual Roll Period (i) that is not a Futures Constituent Valid Day and (ii) that occurs in an Actual

Roll Period in which no Futures Constituent Valid Day occurs from and including that Futures Constituent Effective

Roll Day to and including the Futures Contract Cut-off Day for that Actual Roll Period.

Monthly Rebalancing of Commodity Constituents

For each Commodity Constituent, the “Commodity Constituent Monthly Rebalancing Days” of each

calendar month are the first five Commodity Constituent Scheduled Days for that Commodity Constituent in that

calendar month on which each Relevant Commodity Exchange for each of the Relevant Commodity Contracts (as

defined below) referenced by that Commodity Constituent is scheduled to be open for trading in those individual

commodity futures contracts.

A “Commodity Constituent Scheduled Day” means, for a Commodity Constituent, a day on which the

official closing level for that Commodity Constituent is scheduled to be published by the relevant sponsor of that

Commodity Constituent.

“Relevant Commodity Exchange” means, in respect of any Relevant Commodity Contract referenced by a

Commodity Constituent, the applicable commodities futures exchange on which the Relevant Commodity Contracts

for that Commodity Constituent trade, as provided by the index rules or methodology of that Commodity

Constituent.

22

Determining the Current Unit Amounts

On each weekday, the Index Calculation Agent determines the number of units of exposure to be provided by

the Index (subject to “exposure flattening” as described below) for each Basket Constituent (the “Current Unit

Amount” of that Basket Constituent). Following the full implementation of the rebalancing of a Basket Constituent

for a calendar month, the Current Unit Amount of a Basket Constituent will be equal to the Monthly Unit Amount

determined on the Monthly Selection Date corresponding to that rebalancing. That Current Unit Amount will

remain unchanged until the commencement of the next rebalancing of that Basket Constituent in the following

calendar month; however, the exposure provided by the Index to the Basket Constituent may be reduced by

exposure flattening, as described below.

During the implementation of a rebalancing of a Basket Constituent, the Current Unit Amount will be a

weighted average of the Monthly Unit Amount of that Basket Constituent being implemented in that rebalancing

(the “Incoming Monthly Unit Amount”) and the Monthly Unit Amount of that Basket Constituent that was

implemented in the immediately preceding rebalancing (the “Outgoing Monthly Unit Amount”). The weights of

each Monthly Unit Amount used to determine that weighted average on each weekday occurring on or after a

Futures Constituent Monthly Rebalancing Day or Commodity Constituent Monthly Rebalancing Day, as applicable,

will be as set forth in the table below until the next occurring Futures Constituent Monthly Rebalancing Day or

Commodity Constituent Monthly Rebalancing Day, as applicable.

Futures Constituent Monthly Rebalancing Day or

Commodity Constituent Monthly Rebalancing Day

Weight of the

Outgoing Monthly

Unit Amount

Weight of the

Incoming Monthly

Unit Amount

First 80% 20%

Second 60% 40%

Third 40% 60%

Fourth 20% 80%

Fifth 0% 100%

Before the implementation of a rebalancing of a Basket Constituent, the Current Unit Amount will equal 100%

of the Monthly Unit Amount of that Basket Constituent that was implemented in the immediately preceding

rebalancing. After the implementation of a rebalancing of a Basket Constituent, the Current Unit Amount will equal

100% of the Monthly Unit Amount of that Basket Constituent that was implemented in that rebalancing.

Exposure Flattening

The Effective Exposure of a Basket Constituent represents the percentage of that Basket Constituent’s Current

Unit Amount to which the Index will provide exposure. The Effective Exposure will vary from 0% to 100%,

depending on any exposure flattening.

As of each weekday, if the Available Index Level has fallen by more than 3% from the sixth immediately

preceding weekday to the immediately preceding weekday, “exposure flattening” will be deemed to have been

triggered, provided that exposure flattening was not triggered on any of the five immediately preceding weekdays.

Once exposure flattening has been triggered, the Index will attempt to eliminate its exposure to each Basket

Constituent for a short period by progressively decreasing the Effective Exposure of each Basket Constituent to 0%.

On the fifth weekday after exposure flattening has been triggered, the Index will attempt to restore its exposure to

each Basket Constituent by progressively increasing its Effective Exposure to 100%, subject to the triggering of any

further exposure flattening.

The “Effective Exposure” of each Basket Constituent on each weekday is determined as follows:

if that weekday is a Futures Constituent Effective Calculation Day (in the case of a Basket Constituent that

is a Futures Constituent) or a Commodity Constituent Scheduled Day on which each Relevant Commodity

Exchange for each of the individual commodity futures contracts referenced by the relevant Commodity

Constituent is scheduled to be open for trading in those individual commodity futures contracts (in the case

23

of a Basket Constituent that is a Commodity Constituent), the Effective Exposure of that Basket

Constituent will be equal to:

if exposure flattening has been triggered on that weekday or any of the four immediately preceding

weekdays, the Effective Exposure of that Basket Constituent on the immediately preceding weekday

minus 1/3 (or approximately 33.33%), subject to the minimum Effective Exposure of 0%; or

if exposure flattening has not been triggered on that weekday or any of the four immediately preceding

weekdays, the Effective Exposure of that Basket Constituent on the immediately preceding weekday

plus 1/3 (or approximately 33.33%), subject to the maximum Effective Exposure of 100%; or

if that weekday is not a Futures Constituent Effective Calculation Day (in the case of a Basket Constituent

that is a Futures Constituent) or a Commodity Constituent Scheduled Day on which each Relevant

Commodity Exchange for each of the individual commodity futures contracts referenced by the relevant

Commodity Constituent is scheduled to be open for trading in those individual commodity futures contracts

(in the case of a Basket Constituent that is a Commodity Constituent), the Effective Exposure of that

Basket Constituent will be equal to its Effective Exposure on the immediately preceding weekday.

A Futures Constituent Effective Calculation Day for a Futures Constituent generally refers to a weekday on

which the Futures Tracker Level of that Futures Constituent is not subject to disruption or a weekday on which the

Index Calculation Agent has calculated its good faith estimate of that Futures Tracker Level under “— Treatment of

Basket Constituents for Certain Determination Days” below. More specifically, a “Futures Constituent Effective

Calculation Day” for a Futures Constituent means a weekday that is, with respect to that Futures Constituent, any

of (i) a Futures Constituent Valid Day, (ii) a Futures Constituent Roll Determination Day and (iii) a Futures

Constituent Monthly Rebalancing Determination Day.

Publication of the Index Level

The Index Calculation Agent will calculate and publish the Index Level for each weekday. Under the Index

methodology, in cases where any input to be used in the calculation of the Index Level for any weekday is not

scheduled to be published or otherwise made available on that weekday, the value for that input from the

immediately preceding day on which it was scheduled to be published or otherwise made available is used to

calculate the Index Level. However, if any input to be used in the calculation of the Index Level for any weekday

that was scheduled to be published or otherwise made available on or prior to that weekday is unavailable or is

otherwise disrupted or not tradable as determined under the Index methodology, the Index Calculation Agent will

postpone calculation and publication of the Index Level for that weekday until the first following weekday on which

(i) a tradable value for any such input is available to, or calculable by, the Index Calculation Agent or (ii) a good

faith estimate of the value for any such input has been made by the Index Calculation Agent under the circumstances

described below.

For purposes of publication only, the Index Calculation Agent will round all Index Levels to two decimal places

before publishing or otherwise making those levels available in U.S. dollars. The Index Calculation Agent may

calculate the Index to a greater degree of accuracy or specificity and may use any rounding convention it considers

appropriate for any data used or calculations performed (which may include using data with a higher level of

specificity than that which is published on any particular data source) to determine the Index Level.

Calculating the Index Level

The Index Level was set equal to 100 on the Index Base Date. The Index Level for each subsequent weekday is

calculated by adjusting the Index Level as of the immediately preceding weekday to reflect the return of the Basket

Constituents since that weekday, taking into account any exposure flattening (as represented by the Effective

Exposure of each Basket Constituent) and the weights of the Basket Constituents tracked by the Index (as

represented in the Current Unit Amount of each Basket Constituent) as of the close on the immediately preceding

weekday. Accordingly, the Index Level for each subsequent weekday is calculated as follows, where each such

weekday is referred to as the “current weekday”:

24

Indext = Indext−1 + ∑[Effective Exposuret−1i × Current Unit Amountt−1

i × (FTLR(t)i − FTLR(t−1)

i )]

12

i=1

+ ∑ [Effective Exposuret−1i × Current Unit Amountt−1

i × (CLR(t)i − CLR(t−1)

i )]

15

i=13

where:

Indext−1 means the Index Level for the immediately preceding weekday;

Effective Exposuret−1i means the Effective Exposure of the relevant Basket Constituent for the

immediately preceding weekday;

Current Unit Amountt−1i means the Current Unit Amount of the relevant Basket Constituent for the

immediately preceding weekday;

FTLR(t)i means the Futures Tracker Level of the relevant Basket Constituent, which is a Futures

Constituent, for the Relevant Futures Input Day associated with the current weekday;

FTLR(t−1)i means the Futures Tracker Level of the relevant Basket Constituent, which is a Futures

Constituent, for the Relevant Futures Input Day associated with the immediately preceding weekday;

CLR(t)i means the Commodity Level of the relevant Basket Constituent, which is a Commodity Constituent,

for the Relevant Commodity Input Day associated with the current weekday; and

CLR(t−1)i means the Commodity Level of the relevant Basket Constituent, which is a Commodity

Constituent, for the Relevant Commodity Input Day associated with the immediately preceding weekday.

Relevant Input Days

While the Index Calculation Agent will calculate and publish the Index Level for each weekday, the inputs used

to calculate the Index Level for that weekday may be from days occurring before or after that weekday as set forth

below and as described under “Publication of the Index Level” above.

For a Futures Constituent and in respect of a weekday, the “Relevant Futures Input Day” is determined as

follows:

if that weekday is a Futures Constituent Scheduled Day for that Futures Constituent and:

if that weekday is a Futures Constituent Effective Calculation Day for that Futures Constituent, then

the Relevant Futures Input Day associated with that weekday will be that weekday; and

if that weekday is not a Futures Constituent Effective Calculation Day for that Futures Constituent,

then the Relevant Futures Input Day associated with that weekday will be the next Futures Constituent

Scheduled Day for that Futures Constituent following that weekday that is a Futures Constituent

Effective Calculation Day for that Futures Constituent; and

if that weekday is not a Futures Constituent Scheduled Day for that Futures Constituent and:

if the Futures Constituent Scheduled Day immediately preceding that weekday is a Futures Constituent

Effective Calculation Day for that Futures Constituent, then the Relevant Futures Input Day associated

with that weekday will be the Futures Constituent Scheduled Day for that Futures Constituent

immediately preceding that weekday; and

if the Futures Constituent Scheduled Day immediately preceding that weekday is not a Futures

Constituent Effective Calculation Day for that Futures Constituent, then the Relevant Futures Input

25

Day associated with that weekday will be the next Futures Constituent Scheduled Day for that Futures

Constituent following that weekday that is a Futures Constituent Effective Calculation Day for that

Futures Constituent.

For a Commodity Constituent and in respect of a weekday, the “Relevant Commodity Input Day” is

determined as follows:

if a weekday is a Commodity Constituent Scheduled Day for that Commodity Constituent, then the

Relevant Commodity Input Day associated with that weekday will be that weekday; and

if a weekday is not a Commodity Constituent Scheduled Day for that Commodity Constituent, then the

Relevant Commodity Input Day associated with that weekday will be the Commodity Constituent

Scheduled Day immediately preceding that weekday.

If the final settlement prices for any futures referenced by a Commodity Constituent are subject to disruption on a

Relevant Commodity Input Day, the determination of the Commodity Level for that Commodity Constituent may be

postponed as described under “Determining Commodity Levels” below.

Determining Futures Constituent Rolls and Calculating the Futures Tracker Levels

Unlike common equity securities, futures contracts, by their terms, have stated expirations. At a specific point

in time prior to expiration, trading in a futures contract for the current delivery month will cease. As a result, a

market participant wishing to maintain its exposure to a futures contract with the nearest expiration must close out

its position in the expiring contract and establish a new position in the contract for the next delivery month, a

process referred to as “rolling.” For example, a market participant with a long position in a futures contract expiring

in September who wishes to maintain a position in the nearest delivery month will, as the September contract nears

expiration, sell the September contract, which serves to close out the existing long position, and buy a futures

contract expiring in December. This will “roll” the September position into a December position, and, when the

September contract expires, the market participant will still have a long position in the nearest delivery month.

Each Futures Constituent represents a rolling position in futures contracts. Accordingly, on a periodic basis

consistent with the expiries of the relevant underlying futures contracts, the Index Calculation Agent will roll the

exposure of each Futures Constituent from the particular futures contract to which it currently has exposure (such

particular futures contract, the Earlier Expiry Futures Contract, as defined below) to a different particular futures

contract (such particular futures contract, the Later Expiry Futures Contract, as defined below). As of the date of

this index supplement, each Futures Constituent rolls on a quarterly basis.

The formula used to calculate the Futures Tracker Level on any given weekday depends on whether the

applicable Futures Constituent is in the process of rolling from the Earlier Expiry Futures Contract to the Later

Expiry Futures Contract. During this rolling process, the Futures Tracker Level of each Futures Constituent reflects

exposure to both the Earlier Expiry Futures Contract and the Later Expiry Futures Contract. At all other times, the

Futures Tracker Level of each Futures Constituent reflects exposure only to the Earlier Expiry Futures Contract.

Determining Futures Constituent Actual Roll Periods

Each roll of a Futures Constituent is scheduled to begin on the “Scheduled Roll Initiation Day” for that roll:

for a Futures Constituent that represents a rolling equity index futures position in the E-mini S&P 500

Futures Contract, the E-mini NASDAQ 100 Futures Contract or the Russell 2000® Index Mini Futures

Contract, the Scheduled Roll Initiation Day for a roll will be the sixth Futures Constituent Scheduled Day

prior to the Futures Contract Cut-off Day for the relevant contract; and

for each other Futures Constituent, the Scheduled Roll Initiation Day for a roll will be the fifth Futures

Constituent Scheduled Day prior to the Futures Contract Cut-off Day for the relevant contract.

Each roll of a Futures Constituent will be completed on or before the Futures Contract Cut-off Day for that roll.

The “Futures Contract Cut-off Day,” for a particular futures contract, is the earlier of (i) the last scheduled trading

26

day for that futures contract and (ii) the first scheduled notice date for that futures contract, in each case as specified

by the relevant Futures Exchange.

Each roll of a Futures Constituent is completed over a period referred to as the “Actual Roll Period,” which,

for each Futures Constituent, consists of the five Futures Constituent Effective Roll Days associated with that roll,

provided that more than one Futures Constituent Effective Roll Day may occur on the same calendar day. Twenty

percent of the total notional exposure to a Futures Constituent will be rolled on each Futures Constituent Effective

Roll Day. If more than one Futures Constituent Effective Roll Day occurs on the same day, 20% of the total

notional exposure to the relevant Futures Constituent will be rolled on that day with respect to each of those Futures

Constituent Effective Roll Days. As a result, up to 100% of the total notional exposure to the relevant Futures

Constituent could be rolled in a single day.

The “Futures Constituent Effective Roll Days” for a given Actual Roll Period and a Futures Constituent are

determined as set forth in the table below, where the five Futures Constituent Scheduled Days commencing on and

including the Scheduled Roll Initiation Day for that Actual Roll Period are each referred to as a “Scheduled Roll

Day”:

Futures Constituent Effective Roll Days

First The earliest to occur of (i) the first Futures Constituent Valid Day that occurs on or following the first Scheduled

Roll Day, (ii) the first Futures Constituent Monthly Rebalancing Determination Day that occurs on or following the

first Scheduled Roll Day and (iii) the Futures Contract Cut-off Day

Second The earliest to occur of (i) the first Futures Constituent Valid Day that occurs on or following the second Scheduled

Roll Day, (ii) the first Futures Constituent Monthly Rebalancing Determination Day that occurs on or following the second Scheduled Roll Day and (iii) the Futures Contract Cut-off Day

Third The earliest to occur of (i) the first Futures Constituent Valid Day that occurs on or following the third Scheduled

Roll Day, (ii) the first Futures Constituent Monthly Rebalancing Determination Day that occurs on or following the

third Scheduled Roll Day and (iii) the Futures Contract Cut-off Day

Fourth The earliest to occur of (i) the first Futures Constituent Valid Day that occurs on or following the fourth Scheduled

Roll Day, (ii) the first Futures Constituent Monthly Rebalancing Determination Day that occurs on or following the fourth Scheduled Roll Day and (iii) the Futures Contract Cut-off Day

Fifth The earliest to occur of (i) the first Futures Constituent Valid Day that occurs on or following the fifth Scheduled

Roll Day, (ii) the first Futures Constituent Monthly Rebalancing Determination Day that occurs on or following the fifth Scheduled Roll Day and (iii) the Futures Contract Cut-off Day

Determining the Earlier Expiry Futures Contract and the Later Expiry Futures Contract

For a given weekday and a Futures Constituent, the “Earlier Expiry Futures Contract” (within the relevant

underlying futures contract series) will be:

from and including April 10, 1996 (the “Futures Constituent Base Date”) to and including the final

Futures Constituent Effective Roll Day for the first Actual Roll Period following the Futures Constituent

Base Date, the particular futures contract whose Futures Contract Cut-off Day most closely followed the

Futures Constituent Base Date; and

following the final Futures Constituent Effective Roll Day for the first Actual Roll Period following the

Base Date, the particular futures contract that the Index Calculation Agent determined to be the Later

Expiry Futures Contract for the immediately preceding Actual Roll Period.

For a given Actual Roll Period, the Index Calculation Agent will determine the “Later Expiry Futures

Contract” as follows:

for an Equity Constituent (other than as provided under “U.S. Small Cap Exchange Succession Event”

below), the Later Expiry Futures Contract will be the particular futures contract (within the relevant futures

contract series) whose Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day

of the Earlier Expiry Futures Contract; and

27

for a Bond Constituent, the Index Calculation Agent will first determine the most recent date prior to but

excluding the Scheduled Roll Initiation Day of that Actual Roll Period for which both of the following are

published or otherwise made available by the Futures Exchange to the Index Calculation Agent (x) the

aggregate open interest calculated by the Futures Exchange for the underlying futures contract series to

which the Earlier Expiry Futures Contract belongs and (y) the open interest calculated by the Futures

Exchange for the Earlier Expiry Futures Contract in particular; the Index Calculation Agent will then

determine an amount equal to the product of (i) 50% and (ii) an amount equal to (a) the aggregate open

interest minus (b) the open interest for the Earlier Expiry Futures Contract (such amount, the “Open

Interest Threshold”), in each case in respect of that most recent date; and:

if the open interest calculated and published or otherwise made available by the Futures Exchange to

the Index Calculation Agent for the particular futures contract (within the underlying futures contract

series) whose Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day of

the Earlier Expiry Futures Contract is greater than the Open Interest Threshold, the Later Expiry

Futures Contract will be the particular futures contract (within the relevant futures contract series)

whose Futures Contract Cut-off Day is the closest following the Futures Contract Cut-off Day of the

Earlier Expiry Futures Contract;

if (1) the open interest calculated and published or otherwise made available by the Futures Exchange

to the Index Calculation Agent for the particular futures contract (within the relevant futures contract

series) whose Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day of

the Earlier Expiry Futures Contract is less than or equal to the Open Interest Threshold and (2) the

Index Calculation Agent in its sole discretion determines that the particular futures contract (within the

relevant futures contract series) whose Futures Contract Cut-off Day is the second-closest following

the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract could be reasonably expected

to represent 80% or more of the average daily trading volume for the thirty Futures Constituent

Scheduled Days immediately following but excluding the Futures Contract Cut-off Day of the Earlier

Expiry Futures Contract, the Later Expiry Futures Contract will be the particular futures contract

(within the relevant futures contract series) whose Futures Contract Cut-off Day is the second closest

following the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract; and

if (1) the open interest calculated and published or otherwise made available by the Futures Exchange

to the Index Calculation Agent for the particular futures contract (within the relevant futures contract

series) whose Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day of

the Earlier Expiry Futures Contract is less than or equal to the Open Interest Threshold and (2) the

Index Calculation Agent in its sole discretion does not determine that the particular futures contract

(within the relevant futures contract series) whose Futures Contract Cut-off Day is the second closest

following the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract could be reasonably

expected to represent 80% or more of the average daily trading volume for the thirty Futures

Constituent Scheduled Days immediately following but excluding the Futures Contract Cut-off Day of

the Earlier Expiry Futures Contract, the Later Expiry Futures Contract will be the particular futures

contract (within the relevant futures contract series) whose Futures Contract Cut-off Day is the closest

following the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract.

Calculating the Futures Tracker Levels

The level of the rolling futures position that represents each Futures Constituent (with respect to a Futures

Constituent, the “Futures Tracker Level”) was set at 1,000 on the Futures Constituent Base Date. Subject to the

provisions of “— Treatment of Basket Constituents for Certain Determination Days” below under which the Futures

Tracker Level may be a good faith estimate determined by the Index Calculation Agent, the Futures Tracker Level

for each Futures Constituent for each subsequent weekday will be determined as follows, where each such weekday

is referred to as the “current weekday”:

if the current weekday is not a Futures Constituent Effective Calculation Day for the relevant Futures

Constituent, the Futures Tracker Level of that Futures Constituent will be equal to the Futures Tracker

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Level of that Futures Constituent for the immediately preceding Futures Constituent Effective Calculation

Day for that Futures Constituent; or

if the current weekday is a Futures Constituent Effective Calculation Day (the “current Futures Constituent

Effective Calculation Day”) for the relevant Futures Constituent that does not fall within an Actual Roll

Period, the Futures Tracker Level of that Futures Constituent will be calculated by adjusting the Futures

Tracker Level of that Futures Constituent as of the immediately preceding Futures Constituent Effective

Calculation Day to reflect the return of the Earlier Expiry Futures Contract since the immediately preceding

Futures Constituent Effective Calculation Day, where that return is expressed in U.S. dollars, as follows:

FTLti = FTLprior

i × [1 + (Earliert

i

Earlierpriori

− 1) ×FXt

i

FXpriori

]

if the current weekday is a Futures Constituent Effective Calculation Day for the relevant Futures

Constituent that falls within an Actual Roll Period, which is referred to as the “current Actual Roll Period,”

the Futures Tracker Level of that Futures Constituent will be calculated by adjusting the Futures Tracker

Level of that Futures Constituent as of the immediately preceding Futures Constituent Effective Calculation

Day to reflect weighted average return of Earlier Expiry Futures Contract and the Later Expiry Futures

Contract since the immediately preceding Futures Constituent Effective Calculation Day, where that return

is expressed in U.S. dollars, as follows:

FTLti = FTLprior

i × [1 + (Weightprior

i × Earlierti + (1 − Weightprior

i ) × Laterti

Weightpriori × Earlierprior

i + (1 − Weightpriori ) × Laterprior

i− 1) ×

FXti

FXpriori

]

where:

FTLpriori means the Futures Tracker Level of the relevant Futures Constituent for the immediately

preceding Futures Constituent Effective Calculation Day;

Earlierti means the Futures Closing Level for the current Futures Constituent Effective Calculation

Day of the current Earlier Expiry Futures Contract for the relevant Futures Constituent;

Earlierpriori means the Futures Closing Level for the immediately preceding Futures Constituent

Effective Calculation Day of the current Earlier Expiry Futures Contract for the relevant Futures

Constituent;

Laterti means the Futures Closing Level for the current Futures Constituent Effective Calculation Day

of the current Later Expiry Futures Contract for the relevant Futures Constituent;

Laterpriori means the Futures Closing Level for the immediately preceding Futures Constituent

Effective Calculation Day of the current Later Expiry Futures Contract for the relevant Futures

Constituent;

FXti means the FX Rate for the relevant Futures Constituent for the current Futures Constituent

Effective Calculation Day;

FXpriori means the FX Rate for the relevant Futures Constituent for the immediately preceding Futures

Constituent Effective Calculation Day; and

Weightpriori means the weight of the current Earlier Expiry Futures Contract for the relevant Futures

Constituent for the immediately preceding Futures Constituent Effective Calculation Day, where the

weight on that immediately preceding Futures Constituent Effective Calculation Day will be:

if that immediately preceding Futures Constituent Effective Calculation Day occurs prior to the

current Actual Roll Period, 100%; or

29

if that immediately preceding Futures Constituent Effective Calculation Day occurs during the

current Actual Roll Period, the weight associated with the first Scheduled Roll Day occurring on

or immediately prior to that Futures Constituent Effective Calculation Day, as set forth in the table

below:

Scheduled Roll Day Weight

First 80%

Second 60%

Third 40%

Fourth 20%

“Futures Closing Level” means, for a Referenced Contract of a Futures Constituent and in respect of a Futures

Constituent Scheduled Day, the official settlement price of that Referenced Contract of that Futures Constituent on

that Futures Constituent Scheduled Day as calculated and published by the Futures Exchange. The Referenced

Contracts (as defined below) of a Futures Constituent generally refer to the Earlier Expiry Futures Contract and the

Later Expiry Futures Contract of that Futures Constituent (during an Actual Roll Period) or the Earlier Expiry

Futures Contract (outside an Actual Roll Period).

“FX Rate” means, for a Futures Constituent and in respect of a weekday:

if the Futures Denomination Currency of the Futures Constituent is U.S. dollars, one;

if the Futures Denomination Currency of the Futures Constituent is European Union euros or Great Britain

pounds, the “mid” exchange rate expressed as the number of U.S. dollars per one unit of that currency; or

if the Futures Denomination Currency of the Futures Constituent is Japanese yen, the “mid” exchange rate

expressed as the number of U.S. dollars per one Japanese yen, calculated as one divided by the number of

Japanese yen per one U.S. dollar,

in the case of the second and third bullet points above, as determined by the Index Calculation Agent by reference to

the official closing spot rate published or otherwise made available to the Index Calculation Agent by or on behalf of

the WM Company (or any successor) on or by means of the relevant page, service or other source (or any successor

or replacement page, service or other authorized source, reasonably determined by the Index Calculation Agent to be

reliable), at or around 4:00 p.m. London, United Kingdom time, or such other time as the WM Company publishes

or otherwise makes available to the Index Calculation Agent the official closing spot rate on the relevant date, or,

only if the WM Company (or its affiliates or assigns) ceases providing that service, such other information service

provider or vendor determined by the Index Calculation Agent, for the purpose of displaying rates or prices

comparable to that rate; provided that if the relevant exchange rate is not published on the relevant weekday, the

relevant closing spot rate in respect of that day will be determined by the Index Calculation Agent in good faith and

in a commercially reasonable manner taking into account all information it deems relevant to that determination.

Determining Commodity Levels

The closing level of each Commodity Constituent on any Commodity Constituent Scheduled Day is calculated

by the sponsor of that Commodity Constituent based on prices for each relevant futures contract, regardless of

whether those futures contracts are subject to disruption on that Commodity Constituent Scheduled Day. Each

Commodity Constituent is associated with a corresponding settlement index (each, a “Settlement Index”). Table 4

below sets forth the Bloomberg ticker of the settlement index associated with each Commodity Constituent.

30

Table 4

Commodity Constituent

(Bloomberg Ticker) Settlement Index Bloomberg Ticker

Bloomberg Energy SubindexSM (BCOMEN) BCOMTEN

Bloomberg Industrial Metals SubindexSM (BCOMIN) BCOMTIN

Bloomberg Precious Metals SubindexSM (BCOMPR) BCOMTPM

The Commodity Settlement Index Level of each Settlement Index on any Commodity Constituent Scheduled

Day is calculated by the sponsor of that Settlement Index based on (i) the final settlement prices for those futures

contracts referenced by the Commodity Constituent for which the Relevant Commodity Exchange is scheduled to be

open for trading in such commodity futures and that are not subject to disruption on that Commodity Constituent

Scheduled Day and (ii) for a futures contract referenced by the Commodity Constituent for which the Relevant

Commodity Exchange is not scheduled to be open for trading in such commodity futures or that is subject to

disruption on that Commodity Constituent Scheduled Day, the final settlement price on the next available day on

which that commodity futures exchange is open for trading in that futures contract on which no disruption occurs or

is continuing for that futures contract. Absent a holiday for or a disruption in the futures contracts referenced by a

Commodity Constituent, the methodology used to calculate the closing level of a Commodity Constituent and the

methodology used to calculate the Commodity Settlement Index Level of the Settlement Index associated with that

Commodity Constituent would be expected to produce the same levels on each Commodity Constituent Scheduled

Day. Bloomberg Finance L.P. is currently the sponsor and calculation agent of each Commodity Constituent and

each associated Settlement Index.

Under the Index methodology, the closing level (referred to in the Rules as the “Commodity Closing Index

Level”) is referenced in this index supplement in the determination of the Commodity Closing Index Current Level

and is used for the purposes of calculating the Index Level, as well as to determine Monthly Constituent Weights

and exposure flattening. The Commodity Settlement Index Level is used solely for the purposes of calculating the

Index Level and is not used for purposes of determining Monthly Constituent Weights or exposure flattening.

The Commodity Level of a Commodity Constituent on a Relevant Commodity Input Day will generally be the

Commodity Closing Index Current Level of that Commodity Constituent for that Relevant Commodity Input Day,

unless the Relevant Commodity Exchange for any futures contract referenced by that Commodity Constituent is not

scheduled to be open for trading in such futures contract on that Relevant Commodity Input Day, or the final

settlement prices for any futures contracts referenced by that Commodity Constituent are subject to disruption on

that Relevant Commodity Input Day. If the final settlement prices for any futures contracts referenced by that

Commodity Constituent are subject to disruption on that Relevant Commodity Input Day, the Commodity Level of

that Commodity Constituent on that Relevant Commodity Input Day will be the Commodity Settlement Index Level

of the Settlement Index associated with that Commodity Constituent for that Relevant Commodity Input Day, unless

that Relevant Commodity Input Day is a Commodity Constituent Monthly Rebalancing Determination Day (as

defined below) or that Commodity Settlement Index Level is not available prior to the immediately following

Commodity Constituent Monthly Rebalancing Determination Day. Under those circumstances, the Commodity

Level of that Commodity Constituent used to calculate the Index Level will be the Index Calculation Agent’s good

faith estimate of the Commodity Settlement Index Level of the Settlement Index associated with that Commodity

Constituent for that Relevant Commodity Input Day as determined on that Commodity Constituent Monthly

Rebalancing Determination Day.

More specifically, the “Commodity Level” of a Commodity Constituent on a Relevant Commodity Input Day

will be:

if the Commodity Settlement Index Level for a Relevant Commodity Input Day (i) is published or

otherwise made available by or on behalf of the index sponsor to the Index Calculation Agent on that

Relevant Commodity Input Day and (ii) is equal to the Commodity Closing Index Current Level for that

Relevant Commodity Input Day, then the Commodity Level will be the Commodity Closing Index Current

Level for that Relevant Commodity Input Day;

31

if (i) the Commodity Settlement Index Level for that Relevant Commodity Input Day is either (a) not

published or otherwise made available by or on behalf of the index sponsor to the Index Calculation Agent

on that Relevant Commodity Input Day, but becomes (or has become) published or otherwise made

available by or on behalf of the index sponsor to the Index Calculation Agent prior to the next occurrence

of a Commodity Constituent Monthly Rebalancing Determination Day, or (b) published or otherwise made

available by or on behalf of the index sponsor to the Index Calculation Agent on that Relevant Commodity

Input Day but is not equal to the Commodity Closing Index Current Level for that Relevant Commodity

Input Day and (ii) that Relevant Commodity Input Day is not a Commodity Constituent Monthly

Rebalancing Determination Day, then the Commodity Level will be the Commodity Settlement Index

Level for that Relevant Commodity Input Day; and

in all cases not covered in the two bullet points above, the Index Calculation Agent’s good faith estimate of

the Commodity Settlement Index Level for that Relevant Commodity Input Day calculated as set forth

under “— Treatment of Basket Constituents for Certain Determination Days — Treatment of a Relevant

Commodity Constituent Determination Input Day for a Commodity Constituent” below. Under these

circumstances, that Relevant Commodity Input Day is referred to as a “Relevant Commodity Constituent

Determination Input Day.”

“Commodity Closing Index Current Level” means, in respect of a Commodity Constituent and a weekday:

if that weekday is a Commodity Constituent Scheduled Day for that Commodity Constituent:

the official closing level of that Commodity Constituent published or otherwise made available to the

Index Calculation Agent by the relevant sponsor of that Commodity Constituent for that Commodity

Constituent Scheduled Day (so long as that official closing level does not, in the determination of the

Index Calculation Agent, reflect manifest error on the part of the relevant sponsor of that Commodity

Constituent);

if the Index Calculation Agent determines that the official closing level of that Commodity Constituent

published or otherwise made available to the Index Calculation Agent by the relevant sponsor of that

Commodity Constituent for that Commodity Constituent Scheduled Day reflects manifest error on the

part of the relevant sponsor of that Commodity Constituent, the closing level of that Commodity

Constituent calculated in good faith and in a commercially reasonable manner based on the formula for

and method of calculating that Commodity Constituent; or

if the relevant sponsor of that Commodity Constituent fails to announce publicly, make available to the

Index Calculation Agent or publish the official closing level of that Commodity Constituent scheduled

to be published or otherwise made available to the Index Calculation Agent by the relevant sponsor of

that Commodity Constituent for that Commodity Constituent Scheduled Day by 8:00 p.m., New York

time on that Commodity Constituent Scheduled Day, the closing level of that Commodity Constituent

as calculated in good faith and in a commercially reasonable manner based on the formula for and

method of calculating that Commodity Constituent; and

if that weekday is not a Commodity Constituent Scheduled Day for that Commodity Constituent, the

Commodity Closing Index Current Level in respect of the immediately preceding Commodity Constituent

Scheduled Day.

“Commodity Settlement Index Level” means, in respect of a Commodity Constituent Scheduled Day and for

the Settlement Index associated with a Commodity Constituent:

the official closing level of that Settlement Index as published or otherwise made available to the Index

Calculation Agent by the relevant sponsor of that Settlement Index for that Commodity Constituent

Scheduled Day (so long as that official closing level does not, in the determination of the Index Calculation

Agent, reflect manifest error on the part of the relevant sponsor of that Settlement Index);

32

if the Index Calculation Agent determines that the official closing level of that Settlement Index published

or otherwise made available to the Index Calculation Agent by the relevant sponsor of that Settlement

Index for that Commodity Constituent Scheduled Day reflects manifest error on the part of the relevant

sponsor of that Settlement Index, the closing level of that Settlement Index calculated in good faith and in a

commercially reasonable manner based on the formula for and method of calculating that Settlement Index;

or

if the relevant sponsor of that Settlement Index postpones the publication of or fails to announce publicly,

make available to the Index Calculation Agent or publish the official closing level of that Settlement Index

scheduled to be published or otherwise made available to the Index Calculation Agent by the relevant

sponsor of that Settlement Index for that Commodity Constituent Scheduled Day by 8:00 p.m., New York

time on the Commodity Constituent Scheduled Day on which that official closing level could have been

published pursuant to the methodology of the Settlement Index, the closing level of that Settlement Index

as calculated in good faith and in a commercially reasonable manner based on the formula for and method

of calculating that Settlement Index.

A “Commodity Constituent Monthly Rebalancing Determination Day” means, for a Commodity

Constituent, a Commodity Constituent Monthly Rebalancing Day for which the Commodity Settlement Index Level

is not published or otherwise made available by the relevant exchange or index sponsor to the Index Calculation

Agent on or prior to the eighth Commodity Constituent Scheduled Day following that Commodity Constituent

Monthly Rebalancing Day.

Treatment of Basket Constituents for Certain Determination Days

Treatment of a Futures Constituent Roll Determination Day for a Futures Constituent

In the event of the occurrence of a Futures Constituent Roll Determination Day for a Futures Constituent, the

Index Calculation Agent will calculate its good faith estimate of the Futures Tracker Level for that Futures

Constituent for that Futures Constituent Roll Determination Day, using for (i) the Futures Closing Level of each

Referenced Contract and (ii) the FX Rate, in each case if relevant to the occurrence or continuation of a Futures

Market Disruption Event affecting that Futures Constituent, its good faith estimate of that relevant Futures Closing

Level or FX Rate. Any such estimate may be subject to correction (i) upon or following the subsequent availability

of such an input, (ii) upon or following final settlement by the Futures Exchange of positions in the Earlier Expiry

Futures Contract in respect of that Futures Constituent and that Futures Constituent Roll Determination Day, (iii)

upon or following the discontinuation of that Futures Market Disruption Event and (iv) upon or following the next

Futures Constituent Valid Day for that Futures Constituent.

“Referenced Contract” means, in respect of a weekday and a Futures Constituent:

(i) if that weekday is in an Actual Roll Period for that Futures Constituent, the Earlier Expiry Futures Contract

and the Later Expiry Futures Contract of that Futures Constituent; and

(ii) if that weekday is not in an Actual Roll Period for that Futures Constituent, the Earlier Expiry Futures

Contract.

Treatment of a Futures Constituent Monthly Rebalancing Determination Day for a Futures Constituent

In the event of the occurrence of a Futures Constituent Monthly Rebalancing Determination Day for a Futures

Constituent, the Index Calculation Agent will calculate its good faith estimate of the Futures Tracker Level for that

Futures Constituent for that Futures Constituent Monthly Rebalancing Determination Day, using for (i) the Futures

Closing Level of each Referenced Contract and (ii) the FX Rate, in each case if relevant to the occurrence or

continuation of a Futures Market Disruption Event affecting that Futures Constituent, its good faith estimate of any

such relevant Futures Closing Level or FX Rate. Any such estimate may be subject to correction (i) upon or

following the subsequent availability of such an input, (ii) upon or following the discontinuation of that Futures

Market Disruption Event and (iii) upon or following the next Futures Constituent Valid Day for that Futures

Constituent.

33

Treatment of a Relevant Commodity Constituent Determination Input Day for a Commodity Constituent

In the event of the occurrence of a Relevant Commodity Constituent Determination Input Day for a Commodity

Constituent, the Index Calculation Agent will calculate its good faith estimate of the Commodity Settlement Index

Level for that day by reference to the official settlement prices determined in clauses (i) and (ii) below taking into

account the formula for and method of calculating the Settlement Index last in effect prior to the scheduled date of

determination:

(i) absent market disruption, trading suspension or limitation, or determination of a limit price by the exchange

on which a relevant underlying commodity futures contract (each, a “Relevant Commodity Contract”)

referenced by the Commodity Constituent trades, for any Relevant Commodity Contract for which the

official settlement price of that Relevant Commodity Contract is published or otherwise made available by

or on behalf of the relevant sponsor of that Relevant Commodity Contract to the Index Calculation Agent

on that date of determination, the Commodity Settlement Index Level (or portion of that level based on that

Relevant Commodity Contract) will be determined by reference to that official settlement price on the

scheduled date of determination; and

(ii) in the case of market disruption, trading suspension or determination of a limit price by the exchange on

which a Relevant Commodity Contract trades, or in the case of any Relevant Commodity Contract for

which the official settlement price of that Relevant Commodity Contract is not published or otherwise

made available by or on behalf of the relevant sponsor of that Relevant Commodity Contract to the Index

Calculation Agent on that date of determination, the Commodity Settlement Index Level (or portion of that

level based on that Relevant Commodity Contract) will be determined by reference to the Index Calculation

Agent’s good faith estimate of that official settlement price following the resolution of that market

disruption, trading suspension or limitation, determination of a limit price by the exchange on which a

Relevant Commodity Contract trades, or non-publication of that official settlement price. Any such

estimate may be subject to correction (a) in the case of market disruption, trading suspension or limitation,

determination of a limit price by the exchange on which a Relevant Commodity Contract trades, upon or

following the subsequent availability of the official settlement price of the relevant underlying commodity

futures contract relating to that Relevant Commodity Contract that is not affected by a market disruption,

trading suspension or limitation, determination of a limit price by the exchange on which a Relevant

Commodity Contract trades, (b) in the case of any Relevant Commodity Contract for which the official

settlement price of that Relevant Commodity Contract is not published or otherwise made available by or

on behalf of the Relevant Commodity Exchange for that Relevant Commodity Contract to the Index

Calculation Agent on that date of determination, upon or following the subsequent availability of that

official settlement price of the Relevant Commodity Contract, (c) upon or following the availability of the

Commodity Settlement Index Level for that Commodity Constituent for that Relevant Commodity

Constituent Determination Input Day and (d) upon or following the next Commodity Constituent

Scheduled Day on which the Commodity Settlement Index Level of that Commodity Constituent for that

Commodity Constituent Scheduled Day is published or otherwise made available by or on behalf of the

index sponsor of the Settlement Index associated with that Commodity Constituent to the Index Calculation

Agent on that Commodity Constituent Scheduled Day.

For the avoidance of doubt, the levels estimated above would be used solely for the purposes of calculating the

Index Level and not for purposes of determining Monthly Unit Amounts or whether to implement exposure

flattening for the Index, in each case as described above.

Definitions

“Futures Market Disruption Event” means, for a Futures Constituent, the occurrence or continuation on a

Futures Constituent Scheduled Day, as determined by the Index Calculation Agent in its sole discretion, of:

(i) a failure by the Futures Exchange or its agent to publish the Futures Closing Level of any Referenced

Contract for that Futures Constituent and in respect of that Futures Constituent Scheduled Day on that

Futures Constituent Scheduled Day;

34

(ii) any event that, in the determination of the Index Calculation Agent, disrupts or impairs the ability of market

participants to effect transactions in or obtain levels or market values for (a) any Referenced Contract for

that Futures Constituent and in respect of that Futures Constituent Scheduled Day or (b) any options

contracts or other financial contracts relating to any Referenced Contract for the Futures Constituent and in

respect of that Futures Constituent Scheduled Day;

(iii) the occurrence or existence of a suspension, absence or material limitation of trading in any Referenced

Contract for that Futures Constituent and in respect of that Futures Constituent Scheduled Day, including,

without limitation, a suspension of trading by reason of (a) a price change exceeding limits set by an

exchange or market, (b) an imbalance of orders or (c) a disparity in bid and ask quotes;

(iv) the occurrence or existence of a suspension, absence or material limitation of trading on the Futures

Exchange or primary exchange or market for trading in any Referenced Contract of that Futures

Constituent for more than two hours of trading during, or during the last one-half hour period preceding the

close of, the principal trading session on that applicable Futures Exchange, primary exchange or market;

(v) the occurrence or existence of a suspension, absence or material limitation of trading on the Futures

Exchange or primary exchange or market for trading in any futures contracts that are part of the underlying

futures contract series for a Futures Constituent that, in the aggregate, represents a material proportion of

the liquidity in that relevant underlying futures contract series for more than two hours of trading during, or

during the last one-half hour period preceding the close of, the principal trading session on that applicable

Futures Exchange, primary exchange or market;

(vi) in respect of any Futures Constituent for which the Futures Denomination Currency is not U.S. dollars, any

event that the Index Calculation Agent determines in its sole discretion affects the convertibility of the

Futures Denomination Currency into U.S. dollars in a material way for market participants during the last

one-half hour period preceding or during the first one-half hour period following 4:00 p.m. London, United

Kingdom time, on that Futures Constituent Scheduled Day; or

(vii) in respect of any Equity Constituent, an Equity Index Disruption Event in respect of that Equity

Constituent’s Equity Reference Index,

and the Index Calculation Agent determines in its sole discretion that the applicable event described above could

materially interfere with the ability of market participants to transact in positions with respect to the Index

(including, without limitation, positions with respect to any Futures Constituent or the Equity Reference Index of

any Equity Constituent).

“Equity Index Disruption Event” means, for an Equity Reference Index, in each case as determined by the

Index Calculation Agent in its sole discretion:

(i) the occurrence or existence of a suspension, absence or material limitation of trading of securities then

constituting 20% or more of the level of that Equity Reference Index on the relevant primary exchanges for

those securities for more than two hours of trading during, or during the last one-half hour period preceding

the close of, the principal trading session on those relevant primary exchanges; or

(ii) if applicable, the occurrence or existence of a suspension, absence or material limitation of trading on the

primary exchange or market for trading in futures or options contracts related to that Equity Reference

Index for more than two hours of trading during, or during the last one-half hour period preceding the close

of, the principal trading sessions on that applicable exchange or market.

For the purpose of determining whether an Equity Index Disruption Event in respect of an Equity Reference

Index has occurred:

(i) a limitation on the hours or number of days of trading will not constitute an Equity Index Disruption Event

if it results from an announced change in the regular business hours of the relevant primary exchange or the

primary exchange or market for trading in futures or options contracts related to the relevant securities;

35

(ii) limitations pursuant to the rules of any relevant primary exchange similar to New York Stock Exchange

Rule 80B (or any applicable rule or regulation enacted or promulgated by any other self-regulatory

organization or any government agency of scope similar to New York Stock Exchange Rule 80B as

determined by the Index Calculation Agent) on trading during significant market fluctuations will

constitute a suspension, absence or material limitation of trading;

(iii) a suspension of trading in futures or options contracts on that Equity Reference Index by the primary

exchange or market for trading in those contracts by reason of (a) a price change exceeding limits set by

that exchange or market, (b) an imbalance of orders relating to those contracts or securities or (c) a

disparity in bid and ask quotes relating to those contracts or securities, will constitute a suspension, absence

or material limitation of trading in futures or options contracts related to that Equity Reference Index; and

(iv) a suspension, absence or material limitation of trading on any relevant primary exchange or, if applicable,

on the primary exchange or market on which futures or options contracts related to that Equity Reference

Index are traded will not include any time when that exchange or market is itself closed for trading under

ordinary circumstances.

For the purpose of determining whether an Equity Index Disruption Event with respect to a Futures Constituent

Scheduled Day exists at any time, if trading in a security or component included in the applicable Equity Reference

Index is materially suspended or materially limited at that time, then the relevant percentage contribution of that

security or component to the level of the applicable Equity Reference Index will be based on a comparison of (i) the

portion of the level of the applicable Equity Reference Index attributable to that security or component relative to

(ii) the overall level of the applicable Equity Reference Index, in each case immediately before that suspension or

limitation.

Succession Events and Extraordinary Events

Certain events may have the effect of any one or more of the Basket Constituents being succeeded to, being

subject to a material change in its calculation or being cancelled, as described below.

Succession Events in respect of Basket Constituents

(i) For a Basket Constituent, (a) if any associated currency is (or, in the case of a Futures Constituent, the

Futures Denomination Currency changes or is) lawfully eliminated and replaced, converted, redenominated

or exchanged for any successor currency, (b) yet that replacement or successor currency (or Futures

Denomination Currency) is acceptable to the Index Calculation Agent;

(ii) for a Futures Constituent, (a) if the Futures Closing Levels of its Referenced Contracts are calculated or

announced in the ordinary course, but are not calculated or are not announced by or on behalf of the

Futures Exchange or the relevant agent or information provider that such Futures Exchange designates, (b)

yet those Futures Closing Levels are calculated and announced by or on behalf of a successor exchange

acceptable to the Index Calculation Agent or an agent or information provider (in either case, that such

successor exchange designates) acceptable to the Index Calculation Agent;

(iii) for a Futures Constituent, (a) if the contract specifications of its Referenced Contracts are modified by the

Futures Exchange (including, without limitation, whether quarterly or monthly expiries are contemplated),

(b) yet those modified contract specifications are acceptable to the Index Calculation Agent;

(iv) for a Commodity Constituent and for a Settlement Index associated with a Commodity Constituent, or for

the Equity Reference Index of an Equity Constituent, (a) if the relevant index is replaced by a successor

index, (b) yet that successor index uses, in the determination of the Index Calculation Agent, the same or a

substantially similar formula for and method of calculation as used in the calculation of the relevant index

or that successor index is otherwise acceptable to the Index Calculation Agent; or

(v) for a Commodity Constituent and for a Settlement Index associated with a Commodity Constituent, or for

the Equity Reference Index of an Equity Constituent, (a) if the relevant index sponsor makes a material

change in the formula for or the method of calculating that index or in any other way materially modifies

36

that index (other than a modification prescribed in that formula or method to maintain that index in routine

circumstances), (b) yet that change or modification is acceptable to the Index Calculation Agent,

then, in the case of each of clauses (i) to (v) above (each such clause, a “Successor Provision”), that Basket

Constituent, that currency, that Futures Denomination Currency, that Commodity Constituent, that Settlement Index

associated with a Commodity Constituent, that Equity Reference Index or the Futures Exchange, agent or

information provider will thereafter be deemed to be the successor Basket Constituent, successor currency,

successor Futures Denomination Currency, successor Settlement Index, successor Equity Reference Index or the

successor exchange, agent or information provider described in the relevant clause above, in each case, with effect

from a date determined by the Index Calculation Agent. In each such case, the Index Calculation Agent will, in

good faith, make such adjustments that it determines to be appropriate to any variable, calculation methodology,

valuation terms or any other rule in relation to the Index to account for that change (including, in relation to that

currency or Futures Denomination Currency, to the extent that any such elimination, conversion, redenomination or

exchange results in two (2) or more currencies that were formally associated with the original currency, the Index

Calculation Agent may modify the Rules to account for that elimination, conversion, redenomination or exchange,

for example, by selecting one of the applicable currencies to be a successor currency or amending the formulas for

calculating the Index to account for the new currency or FX Rate, if any).

For the avoidance of doubt, the Index Calculation Agent will not accept a particular successor futures contract,

successor currency or successor index if the Index Calculation Agent determines, in its sole discretion, that doing so

would immediately result in the occurrence of an Extraordinary Event. Upon the acceptance of a successor futures

contract, successor currency or successor index, that successor will take the place of the relevant Referenced

Contract, currency, Commodity Constituent (or associated Settlement Index) or Equity Reference Index of the

corresponding Basket Constituent. Further, where applicable, the prior Performance of that successor futures

contract, successor currency or index will be used in the determination of future Monthly Unit Amounts if the inputs

necessary to calculate the relevant prior Performance of that successor are published or otherwise made available by

the relevant exchange or input sponsor to the Index Calculation Agent; provided that, if the inputs necessary to

calculate some portion of the relevant prior Performance of that successor is not published or otherwise made

available by the relevant exchange or input sponsor to the Index Calculation Agent, the prior Performance of the

replaced futures contract, currency or index will be used (in place of that portion of the relevant prior performance

of that successor for which the necessary inputs are not published or otherwise made available by the relevant

exchange or input sponsor to the Index Calculation Agent) in the determination of future Monthly Unit Amounts

with such adjustments as the Index Calculation Agent determines in good faith are appropriate to account for the use

of prior Performance of both that successor and that replaced futures contract, currency or index.

Extraordinary Events for a Basket Constituent

If an Extraordinary Event occurs in respect of a Basket Constituent (or the Settlement Index associated with a

Commodity Constituent), the Index Calculation Agent, acting in good faith and a commercially reasonable manner,

will select as a substitute for that Basket Constituent a futures contract or an index (such substitute futures contract

or index being referred to herein as a “substitute futures contract” or “substitute index,” respectively) that, in any

case, the Index Calculation Agent determines, in its sole discretion, possesses substantially similar characteristics or

provides a substantially similar exposure (as considered prior to the occurrence of that Extraordinary Event).

If this occurs, the Index Calculation Agent will, in good faith, make such adjustments that it determines to be

appropriate to any variable, calculation methodology, valuation terms or any other rule in relation to the Index to

account for that substitution; provided that, for any Basket Constituent (or the Settlement Index associated with a

Commodity Constituent), if the Index Calculation Agent determines, in its sole discretion, that no such substitute

futures contract or substitute index is available, then the Index Calculation Agent will, in its sole discretion, (a)

determine its good faith estimate of the closing level of that Basket Constituent (or the Settlement Index associated

with a Commodity Constituent) as of a date on or prior to the occurrence of that Extraordinary Event and use that

estimate of the closing price (without modification over time) in respect of that Basket Constituent (or the

Settlement Index associated with a Commodity Constituent) in subsequent calculations of the Index Level of the

Index until the final Futures Constituent Monthly Rebalancing Determination Day or Commodity Constituent

Monthly Rebalancing Determination Day, as applicable, in the immediately following monthly rebalancing period,

(b) remove that Basket Constituent (or that Settlement Index associated with a Commodity Constituent) from the

37

Index and (c) in good faith, make such adjustments that it determines to be appropriate to any variable, calculation

methodology, valuation terms or any other rule in relation to the Index to account for that removal.

The Index Calculation Agent will not select a particular substitute futures contract or index if the Index

Calculation Agent determines, in its sole discretion, that doing so would immediately result in the occurrence of an

Extraordinary Event. Upon the selection of a substitute futures contract or index, that substitute will take the place

of the relevant Basket Constituent (or the Settlement Index associated with a Commodity Constituent). For the

avoidance of doubt, the prior Performance of that substitute futures contract or index will be used in the

determination of future Monthly Unit Amounts if the inputs necessary to calculate the relevant prior Performance of

that substitute are published or otherwise made available by the relevant exchange or input sponsor to the Index

Calculation Agent; provided that, if the inputs necessary to calculate some portion of the relevant prior Performance

of that substitute are not published or otherwise made available by the relevant exchange or input sponsor to the

Index Calculation Agent, the prior Performance of the replaced futures contract or index will be used (in place of

that portion of the relevant prior performance of that substitute for which the necessary inputs are not published or

otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent) in the

determination of future Monthly Unit Amounts, with such adjustments as the Index Calculation Agent determines in

good faith are appropriate to account for the use of prior Performance of both that substitute and that replaced

futures contract or index.

An “Extraordinary Event” occurs if the Index Calculation Agent determines in its sole discretion that (i) on

any weekday in respect of a Basket Constituent one or more of the following events has occurred and (ii) the

applicable event or events described below materially interferes with the ability of market participants to transact in

positions with respect to the Index (including, without limitation, positions with respect to any Basket Constituent,

the Settlement Index associated with a Commodity Constituent or the Equity Reference Index of any Equity

Constituent):

(a) for any Equity Reference Index for an Equity Constituent, for any Commodity Constituent or for the

Settlement Index associated with a Commodity Constituent, the sponsor or issuer of the relevant index

permanently cancels the Equity Reference Index, Commodity Constituent or the Settlement Index, and no

successor exists, or the Equity Reference Index’s, the Commodity Constituent’s or the Settlement Index’s

level is not calculated and is not announced by or on behalf of the relevant sponsor or issuer of that index,

and is not calculated and announced by or on behalf of a successor sponsor or issuer acceptable to the Index

Calculation Agent;

(b) for any Futures Constituent, the Futures Exchange delists a Referenced Contract;

(c) for any Futures Constituent, the Futures Exchange does not list a Later Expiry Futures Contract before the

Scheduled Roll Initiation Day of the Earlier Expiry Futures Contract;

(d) for any relevant Basket Constituent, the event specified in clause (a) of any Successor Provision occurs, but

the relevant event specified in clause (b) of that Successor Provision does not occur;

(e) in respect of any Futures Constituent, a Futures Market Disruption Event occurs for ten consecutive Futures

Constituent Scheduled Days and the Index Calculation Agent determines that that Futures Market

Disruption Event is reasonably likely to continue for a period of an indeterminate duration;

(f) in respect of any Commodity Constituent or any Settlement Index associated with a Commodity

Constituent, a failure by the relevant sponsor to publish the official closing level for that index for ten

consecutive Commodity Constituent Scheduled Days and the Index Calculation Agent determines that such

non-publication is reasonably likely to continue for a period of an indeterminate duration;

(g) in respect of an Equity Constituent that has an Equity Reference Index, a failure by the relevant sponsor to

publish the closing level for that Equity Reference Index for ten consecutive scheduled publication days

and the Index Calculation Agent determines that such non-publication is reasonably likely to continue for a

period of an indeterminate duration;

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(h) in respect of any Basket Constituent, (1) a suspension or limitation on trading in respect of a Relevant

Underlying is announced or imposed for ten consecutive relevant days or for a period of indeterminate

duration that the Index Calculation Agent determines is reasonably likely to include ten consecutive

relevant days or (2) any other event occurs or condition exists that causes trading to cease in respect of a

Relevant Underlying for ten consecutive relevant days;

(i) in respect of any Futures Constituent whose Futures Denomination Currency is not U.S. dollars, an FX

Material Event occurs;

(j) in respect of any Futures Constituent, the exchange or the central counterparty or other legal obligor in

respect of any Relevant Contract becomes, for any reason, subject to voluntary or involuntary termination,

liquidation, bankruptcy, insolvency, dissolution or winding-up or any other analogous proceeding;

(k) in respect of any Futures Constituent, the Aggregate Open Interest declines below an amount equal to 20%

of its Aggregate Open Interest on (1) December 27, 2016, if the futures contract was a Futures Constituent

as of December 27, 2016, or (2) the date on which that futures contract became a Futures Constituent;

(l) in respect of any Futures Constituent, the Average Aggregate Volume declines below an amount equal to

20% of its Average Aggregate Volume on (1) December 27, 2016, if the futures contract was a Futures

Constituent as of December 27, 2016, or (2) the date on which that futures contract became a Futures

Constituent;

(m) in respect of any Equity Constituent that has an Equity Reference Index, the Futures Closing Level of the

Earlier Expiry Futures Contract of a Futures Constituent reflects a premium greater than 20% or a discount

greater than 20% as compared to the closing level of the Equity Reference Index for a period of five

consecutive Futures Constituent Scheduled Days;

(n) in respect of any Basket Constituent and a Monthly Selection Date, the Volatility of that Basket Constituent

is less than 0.05%;

(o) if, at any time, any relevant license or other right or ability of the Index Calculation Agent or the Index

Sponsor (or any of their affiliates) to use any Basket Constituent, underlying reference input or relevant

data or information or to refer to the level, price or other information in respect of any Basket Constituent,

underlying reference input or relevant data or information (or other component or input of the Index or

other matter that could affect the Index) terminates, becomes impaired, ceases or cannot be obtained or will

cease to be available on commercially reasonable terms or the Index Calculation Agent’s right or ability to

use (1) any Basket Constituent for the purposes of the Index or (2) the Index in connection with the grant or

receipt of any other inbound or outbound licensing or sub-licensing rights is otherwise impaired, ceases or

cannot be obtained or will cease to be available on commercially reasonable terms (for any reason); or

(p) the occurrence or continuation of a Change in Law.

An “FX Material Event” means, in each case as determined by the Index Calculation Agent in its sole

discretion:

(i) an event in relation to any currency relevant to the determination of the relevant FX Rate between the

Futures Denomination Currency and U.S. dollars that the Index Calculation Agent determines has the effect

of preventing, restricting or delaying:

(a) the convertibility of the Futures Denomination Currency into U.S. dollars through customary legal

channels;

(b) the convertibility of the Futures Denomination Currency into U.S. dollars at a rate at least as favorable

as the rate for domestic institutions located in the country whose lawful currency is the Futures

Denomination Currency (for the purposes of this definition, the “Relevant Country”);

39

(c) the delivery of the Futures Denomination Currency from accounts inside the Relevant Country to

accounts outside the Relevant Country; or

(d) the delivery of the Futures Denomination Currency between accounts inside the Relevant Country or to

a party that is a non-resident of the Relevant Country;

(ii) the imposition by the Relevant Country (or any political or regulatory authority thereof) of any capital

controls, or the publication of any notice of an intention to do so, that the Index Calculation Agent

determines is likely to have a material effect on the ability of market participants to obtain reliable spot

exchange rates for the Futures Denomination Currency from a recognized financial source;

(iii) the implementation by the Relevant Country (or any political or regulatory authority thereof) or the

publication of any notice of an intention to implement any changes to the laws or regulations relating to

foreign investment in the Relevant Country (including, but not limited to, changes in tax laws or laws

relating to capital markets and corporate ownership), that the Index Calculation Agent determines are likely

to have a material effect on the ability of market participants to obtain reliable spot exchange rates for the

Futures Denomination Currency from a recognized financial information source; or

(iv) any other event that the Index Calculation Agent determines affects the convertibility of the Futures

Denomination Currency into U.S. dollars in a material way for market participants on any date or at any

relevant time.

“Aggregate Open Interest” means, with respect to a Futures Constituent and a Futures Constituent Scheduled

Day, the aggregate open interest in that Futures Constituent at all expiries, as reported by the Futures Exchange.

“Average Aggregate Volume” means, with respect to a Futures Constituent and a Futures Constituent

Scheduled Day, the ratio of (a) the total volume of trading in such Futures Constituent at all expiries from but

excluding the calendar day six months prior to that Futures Constituent Scheduled Day, to and including that Futures

Constituent Scheduled Day, as reported by the Futures Exchange, divided by (b) the total number of Futures

Constituent Scheduled Days from but excluding the calendar day six months prior to such Futures Constituent

Scheduled Day, to and including that Futures Constituent Scheduled Day.

A “Change in Law” occurs when, due to either:

(i) the adoption of, or any change in, any applicable law, regulation or rule (including, without limitation, (a)

any tax law or (b) adoption or promulgation of new regulations authorized or mandated by existing statute);

or

(ii) the promulgation of, or any change in, the announcement or statement of a formal or informal interpretation

by any court, tribunal or regulatory authority (or any representative thereof) with competent jurisdiction of

any applicable law, rule, regulation or order (including, without limitation, as implemented by the U.S.

Commodity Futures Trading Commission, the U.S. Securities and Exchange Commission or any exchange

or trading facility); and

the Index Calculation Agent determines in good faith that (a) it is contrary to that law, rule, regulation or order for

any market participants that are brokers or financial intermediaries (individually or collectively) to hold, acquire or

dispose of (in whole or in part) a position in or a transaction referencing or relating to (1) the Index, (2) any Basket

Constituent, (3) the Settlement Index associated with any Commodity Constituent, (4) a component of a Commodity

Constituent or the Settlement Index associated with any Commodity Constituent, (5) a deliverable bond in respect of

the Relevant Contract for a Bond Constituent, (6) a component of any Equity Reference Index of an Equity

Constituent, (7) U.S. dollars or (8) the Futures Denomination Currency for any Futures Constituent (each such

underlying described in any of the immediately preceding clauses (2), (3), (4), (5), (6), (7), and (8) being a

“Relevant Underlying”) or (b) holding a position in or a transaction referencing or relating to the Index or any

Relevant Underlying is (or, but for the consequent disposal or termination thereof, would otherwise be) in excess of

any allowable position limits applicable to any market participants that are brokers or financial intermediaries

(individually or collectively) under any such law, rule or regulation in relation to the Index or any Relevant

Underlying, including in any case traded on any exchange, market or other trading facility.

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U.S. Small Cap Exchange Succession Event

Based on an announcement by CME Group Inc. and FTSE Russell in August 2015, it is expected that effective

in the third quarter of 2017, FTSE Russell will grant the Chicago Mercantile Exchange (“CME”) the right to create

and list futures contracts on the Russell 2000® Index, which is the Equity Reference Index referenced by the Futures

Constituent that represents a rolling equity index futures position in the Russell 2000® Index Mini Futures Contract

(“U.S. Small Cap Equity Constituent”). This grant is expected to coincide with the expiration of the current

agreement between FTSE Russell and ICE (Intercontinental Exchange), granting ICE the right to create and list

futures contracts on the Russell 2000® Index. As a result, it is expected that, for the purposes of the Rules, the

relevant equity index futures contract series associated with the U.S. Small Cap Equity Constituent as of the Index

Live Date will undergo a one-time transition from the relevant equity index futures contract series whose Equity

Reference Index is the Russell 2000® Index and whose Futures Exchange is the ICE (such series, the “ICE Original

Series”) to a successor equity index futures contract series whose Equity Reference Index is the Russell 2000® Index

and whose Futures Exchange is the CME (each such series, a “CME Successor Series”) that will first be identified

as the Later Expiry Futures Contract for a particular Scheduled Roll Period by the Index Calculation Agent, in

accordance with this “U.S. Small Cap Exchange Succession Event” section. This one-time transition during a single

Scheduled Roll Period from a contract in the ICE Original Series to which the relevant Earlier Expiry Futures

Contract belongs to a contract in a CME Successor Series to which the corresponding Later Expiry Futures Contract

belongs is referred to in this index supplement as the occurrence of the “U.S. Small Cap Exchange Succession

Event.”

Solely in the case of the U.S. Small Cap Equity Constituent for a given Actual Roll Period falling during the

period from and including July 3, 2017 to and including the occurrence of the U.S. Small Cap Exchange Succession

Event, the Index Calculation Agent will determine the Later Expiry Futures Contract as follows:

(i) the Index Calculation Agent will first identify any existing CME Successor Series;

(ii) the Index Calculation Agent will then determine the most recent date (if any) prior to but excluding the

Scheduled Roll Initiation Day of that Actual Roll Period for which both of the following are published

or otherwise made available by the relevant Futures Exchange to the Index Calculation Agent (x) the

aggregate open interest calculated by the ICE for the ICE Original Series to which the Earlier Expiry

Futures Contract belongs and (y) the aggregate open interest calculated by the CME for each CME

Successor Series:

(a) if there is no such date, then the Later Expiry Futures Contract will be the particular futures

contract, within the relevant ICE Original Series, whose Futures Contract Cut-off Day most

closely follows the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract in

accordance with the normal operation of the provisions described under “Determining Futures

Constituent Rolls and Calculating the Futures Tracker Levels — Determining the Earlier Expiry

Futures Contract and the Later Expiry Futures Contract” above;

(b) if there is such a date, and on that date the product of (x) the Multiplier and (y) the aggregate open

interest for the ICE Original Series to which the Earlier Expiry Futures Contract belongs is greater

than or equal to the product of (x) the Multiplier and (y) the aggregate open interest for one of the

CME Successor Series, then the Later Expiry Futures Contract will be the particular futures

contract (within the ICE Original Series to which the Earlier Expiry Futures Contract belongs)

whose Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day of the

Earlier Expiry Futures Contract, in accordance with the normal operation of the provisions

described under “Determining Futures Constituent Rolls and Calculating the Futures Tracker

Levels — Determining the Earlier Expiry Futures Contract and the Later Expiry Futures Contract”

above; and

(c) if there is such a date, and on that date the product of (x) the Multiplier and (y) the aggregate open

interest for one of the CME Successor Series is greater than the product of (x) the Multiplier and

(y) the aggregate open interest of the ICE Original Series to which the Earlier Expiry Futures

Contract belongs, then the relevant equity index futures contract series for the U.S. Small Cap

Equity Constituent will become the CME Successor Series with the highest product of (x) its

41

Multiplier and (y) its aggregate open interest on such a date among all the existing CME

Successor Series, and the Later Expiry Futures Contract will be the particular futures contract

(within the CME Successor Series identified immediately above in this paragraph (c)) whose

Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day of the Earlier

Expiry Futures Contract.

For the avoidance of doubt, during the applicable Actual Roll Period for the transition, if on any weekday either

the Futures Exchange for the Earlier Expiry Futures Contract or the Futures Exchange for the Later Expiry Futures

Contract is not scheduled to be open for trading for its regular trading session in either Relevant Contract, then that

day will not be a Futures Constituent Scheduled Day in respect of the U.S. Small Cap Equity Constituent.

“Multiplier” means, for an Equity Constituent, the multiplier (expressed as a dollar amount) specified by the

relevant Futures Exchange by reference to which each futures contract is valued (by applying that Multiplier to the

Equity Reference Index associated with that Equity Constituent).

In connection with the occurrence of the U.S. Small Cap Exchange Succession Event, the Index Calculation

Agent will, in good faith, make such adjustments that it determines to be appropriate to any variable, calculation

methodology, valuation terms or any other rule in relation to the Index to account for that change.

Corrections

If (i) the Futures Closing Level of any Futures Constituent, the Commodity Closing Index Current Level of a

Commodity Constituent or the Commodity Settlement Index Level of the Settlement Index associated with any

Commodity Constituent, or the FX Rate in respect on any Futures Constituent as of any date that is published or

otherwise made available to the Index Calculation Agent in respect of the relevant Basket Constituent is

subsequently corrected and that correction is published or otherwise made available to the Index Calculation Agent

in respect of that Basket Constituent; or (ii) the Index Calculation Agent identifies an error or omission in any of its

calculations, determinations or interpretations in respect of the Index, then the Index Calculation Agent may, if

practicable and if the Index Calculation Agent determines in good faith that such correction, error or omission (as

the case may be) is material, adjust or correct the relevant calculation, determination or interpretation or the Index

Level as of any weekday to take into account that correction.

Amendment of the Rules; Termination of the Index

The Rules may be supplemented, amended or restated from time to time in the sole discretion of the Index

Sponsor. The Rules will be made available (in a manner determined by the Index Sponsor from time to time)

following such supplementation, amendment or restatement. Copies of the current Rules are available from the

Index Sponsor upon request.

Although the Rules are intended to be comprehensive and accurate, ambiguities may arise and errors or

omissions may have been made. In such circumstances, the Index Sponsor will resolve such ambiguities and, if

necessary, amend the Rules to reflect such resolution. In the case of any inaccuracy, the Index Sponsor may amend

the Rules to address errors or omissions. The Index Sponsor is under no obligation to inform any person of any

amendments to the Index (except as may be required by law).

The Index Sponsor may, in its reasonable discretion, at any time and without notice, terminate the calculation or

publication of the Index. Notwithstanding anything to the contrary herein, the Index Sponsor may, at any time and

without notice, change the frequency of publication of the Index Level, the means or place of publication of the

Index Level or cease the calculation, publication or dissemination of the Index Level, and nothing in this document

will be construed as an agreement by the Index Sponsor or the Index Calculation Agent to continue to calculate,

publish or disseminate the Index Level if the Index Sponsor has elected to cease that calculation, publication or

dissemination.

Index Sponsor and Index Calculation Agent Determinations

The Index Calculation Agent will act in good faith and in a commercially reasonable manner in making

determinations, interpretations and calculations pursuant to the Rules. Subject to the prior agreement of the Index

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Sponsor, the Index Calculation Agent’s determinations and calculations related to the Index and the Index

Calculation Agent’s interpretations of the Rules will be final.

None of the Index Sponsor, the Index Calculation Agent, or any of their respective affiliates or subsidiaries or

any of their respective directors, officers, employees, representatives, delegates or agents (each, a “Relevant

Person”) will have any responsibility to any person (whether as a result of negligence or otherwise) for any

determinations, interpretations or calculations made or anything done (or omitted to be determined or done) in

connection with the Index or any use to which any person may put the Index or the Index Levels (as defined herein).

Subject to the prior agreement of the Index Sponsor, the Index Calculation Agent may make certain

determinations, adjustments, amendments and interpretations related to the Index. All of those determinations,

adjustments, amendments and interpretations (in each case, subject to that prior agreement on the part of the Index

Sponsor) of the Index Calculation Agent related to the Index and all calculations performed by the Index Calculation

Agent related to the Index will be final, conclusive and binding and no person will be entitled to make any claim

against the Index Sponsor, the Index Calculation Agent, or any of the Relevant Persons in respect thereof. Once a

determination, adjustment, amendment or interpretation is made or action is taken by the Index Calculation Agent

(in each case, as agreed in advance by the Index Sponsor) in relation to the Index, or a calculation is performed by

the Index Calculation Agent in relation to the Index, none of the Index Sponsor, the Index Calculation Agent or any

Relevant Person will be under any obligation to revise any such determination, adjustment, amendment,

interpretation or calculation made or anything done (or omitted to be determined, adjusted, amended, interpreted,

calculated or done) for any reason.

The Index Calculation Agent’s exercise of discretion, or failure to exercise discretion, in relation to the Index

may have a detrimental effect on the Index Level and the volatility of the Index. The Index Sponsor or the Index

Calculation Agent may make certain determinations or calculations based on information obtained from publicly

available sources without independently verifying such information.

43

BACKGROUND RELATING TO THE BASKET CONSTITUENTS OF THE INDEX

BACKGROUND ON FUTURES CONTRACTS

Futures contracts are contracts that legally obligate the holder to buy or sell an asset at a predetermined delivery

price during a specified future time period. Each Futures Constituent is an unfunded rolling position in futures

contracts and each Commodity Constituent is an excess return commodity sector index that tracks futures contracts

See “The J.P. Morgan Mozaic IISM

Index” above.

Overview of Futures Markets

Futures contracts are traded on regulated futures exchanges, in the over-the-counter market and on various types

of physical and electronic trading facilities and markets. As of the date of this index supplement, all of the futures

contracts associated with the Basket Constituents are exchange-traded futures contracts. An exchange-traded futures

contract provides for the purchase and sale of a specified type and quantity of an underlying asset or financial

instrument during a stated delivery month for a fixed price. A futures contract provides for a specified settlement

month in which the cash settlement is made or in which the underlying asset or financial instrument is to be

delivered by the seller (whose position is therefore described as “short”) and acquired by the purchaser (whose

position is therefore described as “long”).

A futures contract on a government bond typically permits satisfaction of the delivery obligation by delivery of

any of the bonds referenced by that futures contract that meet the specification identified by the relevant exchange.

The deliverable bonds may feature different coupons and maturities and consequently also different prices. At any

given time, certain deliverable bonds will be more economical to acquire and deliver than others, which are

commonly referred to as the “cheapest to deliver.” The price for futures contract on a government bond on any day

generally tracks the price of the particular bonds that are “cheapest to deliver” on that day.

No purchase price is paid or received on the purchase or sale of a futures contract. Instead, an amount of cash

or cash equivalents must be deposited with the broker as “initial margin.” This amount varies based on the

requirements imposed by the exchange clearing houses, but it may be lower than 5% of the notional value of the

contract. This margin deposit provides collateral for the obligations of the parties to the futures contract.

By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker

involved, a market participant may be able to earn interest on its margin funds, thereby increasing the total return

that it may realize from an investment in futures contracts.

In the United States, futures contracts are traded on organized exchanges, known as “designated contract

markets.” At any time prior to the expiration of a futures contract, a trader may elect to close out its position by

taking an opposite position on the exchange on which the trader obtained the position, subject to the availability of a

liquid secondary market. This operates to terminate the position and fix the trader’s profit or loss. Futures contracts

are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a “futures

commission merchant,” which is a member of the clearing house.

Unlike common equity securities, futures contracts, by their terms, have stated expirations. At a specific point

in time prior to expiration, trading in a futures contract for the current delivery month will cease. As a result, a

market participant wishing to maintain its exposure to a futures contract on a particular asset or financial instrument

with the nearest expiration must close out its position in the expiring contract and establish a new position in the

contract for the next delivery month, a process referred to as “rolling.” For example, a market participant with a

long position in a futures contract expiring in November who wishes to maintain a position in the nearest delivery

month will, as the November contract nears expiration, sell the November contract, which serves to close out the

existing long position, and buy a futures contract expiring in December. This will “roll” the November position into

a December position, and, when the November contract expires, the market participant will still have a long position

in the nearest delivery month.

Futures exchanges and clearing houses in the United States are subject to regulation by the Commodity Futures

Trading Commission. Exchanges may adopt rules and take other actions that affect trading, including imposing

speculative position limits, maximum price fluctuations and trading halts and suspensions and requiring liquidation

44

of contracts in certain circumstances. Futures markets outside the United States are generally subject to regulation

by comparable regulatory authorities. The structure and nature of trading on non-U.S. exchanges, however, may

differ from this description.

45

BACKGROUND ON THE BLOOMBERG COMMODITY SECTOR INDICES

All information contained in this index supplement regarding the Bloomberg Commodity IndexSM

and its sector

sub-indices (each, a “Bloomberg Commodity Index” and collectively, the “Bloomberg Commodity Indices”),

including, without limitation, their make-up, methods of calculation and changes in their components, has been

derived from publicly available information, without independent verification. This information reflects the policies

of, and is subject to change by, UBS Securities LLC (“UBS”) and Bloomberg Finance L.P. (“Bloomberg”). UBS

and Bloomberg are not involved in the offering of any instrument linked to the Index in any way and have no

obligation to consider the interests of any investor or any other person in taking any action that might affect the

value of instruments linked to the Index. UBS and Bloomberg have no obligation to continue to publish, and may

discontinue publication of, the Bloomberg Commodity Indices at any time in their sole discretion.

On July 1, 2014, Bloomberg became responsible for the governance, calculation, distribution and licensing of

the Bloomberg Commodity Indices. The Dow Jones-UBS Commodity IndexSM

was renamed to the Bloomberg

Commodity IndexSM

and the ticker changed from “DJUBS” to “BCOM.” UBS has maintained its ownership, but

Bloomberg calculates the Bloomberg Commodity Index on behalf of UBS. Material changes or amendments to the

index methodology are subject to approval by the Bloomberg index oversight committee in consultation, if practical,

with UBS.

Overview

The Bloomberg Commodity IndexSM

was introduced in July of 1998 to provide a unique, diversified,

economically rational and liquid benchmark for commodities as an asset class. The Bloomberg Commodity IndexSM

currently is composed of the prices of twenty-two exchange-traded futures contracts on physical commodities. A

futures contract is a bilateral agreement providing for the purchase and sale of a specified type and quantity of a

commodity or financial instrument during a stated delivery month for a fixed price. For a general description of the

commodity futures markets, please see “Background on Futures Contracts” in this index supplement. The

commodities included in the Bloomberg Commodity IndexSM

for 2017 and 2016 are as follows: aluminum, coffee,

copper, corn, cotton, crude oil (WTI and Brent), gold, ultra-low-sulfur diesel (“ULS diesel”), lean hogs, live cattle,

natural gas, nickel, silver, soybean meal, soybean oil, soybeans, sugar, unleaded gasoline, wheat (soft and hard red

winter) and zinc. The Bloomberg Commodity IndexSM

tracks futures contracts that trade on the Chicago Board of

Trade (“CBOT”), the New York Board of Trade (“NYBOT”), the Commodities Exchange division of the New

York Mercantile Exchange (“COMEX”), the New York Mercantile Exchange (“NYMEX”), the Chicago

Mercantile Exchange (“CME”), the London Metals Exchange (“LME”) and ICE Futures Europe.

The Bloomberg Commodity IndexSM

is composed of exchange-traded futures contracts on physical

commodities and is designed to be a highly liquid and diversified benchmark for commodities as an asset class. Its

component weightings are determined primarily based on liquidity data, which is the relative amount of trading

activity of a particular commodity. The excess return version of the Bloomberg Commodity IndexSM

is published by

Bloomberg L.P. under the ticker symbol “BCOM.”

The sector sub-indices of the Bloomberg Commodity IndexSM

follow the methodology of the Bloomberg

Commodity IndexSM

, except that the calculation of each sector sub-index utilizes the prices of the relevant futures

contracts (listed under “— Designated Contracts for Each Commodity”) and the relevant Commodity Index

Multipliers (determined as described under “— Commodity Index Multipliers”). The excess return versions of the

Bloomberg Energy SubindexSM

, the Bloomberg Industrial Metals SubindexSM

and the Bloomberg Precious Metals

SubindexSM

are published by Bloomberg L.P. under the ticker symbols BCOMEN, BCOMIN and BCOMPR,

respectively.

UBS and its affiliates actively trade futures contracts and options on futures contracts on the commodities that

underlie the Bloomberg Commodity IndexSM

, as well as commodities, including commodities included in the

Bloomberg Commodity IndexSM

. For information about how this trading may affect the value of the Bloomberg

Commodity Indices, see “Risk Factors — Trading and other transactions by UBS and its affiliates in the futures

contracts constituting the Bloomberg Commodity Indices and the underlying commodities may affect the level of

the Bloomberg Commodity Indices” in this index supplement.

46

Benchmark Governance

Bloomberg has established the Benchmark Oversight Committee (“BOC”) in order to monitor, manage and/or

improve the objectivity, reliability, consistency, transparency and management and implementation of the

benchmark rules, including those applicable to the Bloomberg Commodity IndexSM

. The BOC is the uppermost

governance body and consists of senior representatives from various Bloomberg business units. Voting members of

the BOC do not directly participate in the index business.

The BOC meets on a quarterly basis to review matters such as material risks, conflicts of interest, industry

developments, client complaints and material index errors and restatements. To assist in its oversight, the BOC has

constituted the Index Operating Subcommittee (“IOS”). The IOS is composed of senior benchmark and strategy

index managers designed by the BOC. Members include Bloomberg personnel with significant index experience.

The IOS meets at least monthly to address matters such as new index approvals, periodic reviews of existing indices,

index pricing, management of errors and restatements, identification and management of actual and potential

conflicts of interest, approvals of changes to indices and approvals of cessation of indices. The IOS also consults

with the Index Advisory Councils on the matters outlined below. The IOS reports to the BOC at least quarterly on

all matters delegated to it.

Index Advisory Council (“IAC”)

IACs are composed of key market participants and other influential individuals to assist Bloomberg in setting

index priorities, to discuss potential rules changes and to provide ideas for new products. IACs are generally

constituted on an annual basis. While potential benchmark changes are discussed through this process, all feedback

received is non-binding and all final decisions on benchmark index rules are made by the IOS (subject to BOC

review) after the review period has ended.

Internal and External Reviews

Index administration is subject to Bloomberg’s internal compliance function which periodically reviews various

aspects of Bloomberg’s businesses in order to determine whether such businesses are adhering to applicable firm-

wide policies and procedures, and assess whether applicable internal controls are functioning properly.

In addition to the compliance function, Bloomberg may from time to time appoint an independent external

auditor with appropriate experience and capability to periodically review and report on its adherence to the IOSCO

Principles for Financial Benchmarks. The frequency of such external reviews will depend on the size and

complexity of the operations and the breadth and depth of the index use by Stakeholders.

Four Main Principles Guiding the Creation of the Bloomberg Commodity IndexSM

The Bloomberg Commodity IndexSM

was created using the following four main principles:

ECONOMIC SIGNIFICANCE. A commodity index should fairly represent the importance of a

diversified group of commodities to the world economy. To achieve a fair representation, the Bloomberg

Commodity IndexSM

uses both liquidity data and dollar-weighted production data in determining the

relative quantities of included commodities. The Bloomberg Commodity IndexSM

primarily relies on

liquidity data, or the relative amount of trading activity of a particular commodity, as an important

indicator of the value placed on that commodity by financial and physical market participants. The

Bloomberg Commodity IndexSM

also relies on production data as a useful measure of the importance of a

commodity to the world economy. Production data alone, however, may underestimate the economic

significance of storable commodities (e.g., gold) relative to non-storable commodities (e.g., live cattle).

Production data alone also may underestimate the investment value that financial market participants

place on certain commodities, and/or the amount of commercial activity that is centered around various

commodities. Accordingly, production statistics alone do not necessarily provide as accurate a reflection

of economic importance as the markets themselves. The Bloomberg Commodity IndexSM

thus relies on

data that is both endogenous to the futures market (liquidity) and exogenous to the futures market

(production) in determining relative weightings.

47

DIVERSIFICATION. A second major goal of the Bloomberg Commodity IndexSM

is to provide

diversified exposure to commodities as an asset class. Disproportionate weighting of any particular

commodity or sector increases volatility and negates the concept of a broad-based commodity index.

Instead of diversified commodities exposure, the investor is unduly subjected to micro-economic shocks

in one commodity or sector. As described further below, diversification rules have been established and

are applied annually. Additionally, the Bloomberg Commodity IndexSM

is re-balanced annually on a

price-percentage basis in order to maintain diversified commodities exposure over time.

CONTINUITY. The third goal of the Bloomberg Commodity IndexSM

is to be responsive to the

changing nature of commodity markets in a manner that does not completely reshape the character of the

Bloomberg Commodity IndexSM

from year to year. The Bloomberg Commodity IndexSM

is intended to

provide a stable benchmark so that end-users may be reasonably confident that historical performance

data (including such diverse measures as correlation, spot yield, roll yield and volatility) is based on a

structure that bears some resemblance to both the current and future composition of the Bloomberg

Commodity IndexSM

.

LIQUIDITY. Another goal of the Bloomberg Commodity IndexSM

is to provide a highly liquid index.

The explicit inclusion of liquidity as a weighting factor helps to ensure that the Bloomberg Commodity

IndexSM

can accommodate substantial investment flows. The liquidity of an index affects transaction

costs associated with current investments. It also may affect the reliability of historical price

performance data.

These four principles represent goals of the Bloomberg Commodity IndexSM

and its creators, and there can be

no assurance that these goals will be achieved.

Composition of the Bloomberg Commodity IndexSM

— Commodities Available for Inclusion

Commodities have been selected that are believed to be both sufficiently significant to the world economy to

merit consideration for inclusion in the Bloomberg Commodity IndexSM

and tradable through a qualifying related

futures contract. With the exception of several metals contracts (aluminum, lead, tin, nickel and zinc) that trade on

the LME and contracts for Brent crude, which trade on ICE Futures Europe, each of the potential commodities is

currently the subject of at least one futures contract that trades on a U.S. exchange.

The 24 commodities currently available for inclusion in the Bloomberg Commodity IndexSM

are aluminum,

cocoa, coffee, copper, corn, cotton, crude oil (WTI and Brent), gold, ULS diesel, lead, lean hogs, live cattle, natural

gas, nickel, platinum, silver, soybean meal, soybean oil, soybeans, sugar, tin, unleaded gasoline, wheat (soft

(Chicago) and hard red winter (KC HRW)) and zinc.

The 20 commodities included in the Bloomberg Commodity IndexSM

(each, an “Index Commodity” and

collectively, the “Index Commodities”) for 2017 and 2016 are as follows: aluminum, coffee, copper, corn, cotton,

crude oil (WTI and Brent), gold, ULS diesel, lean hogs, live cattle, natural gas, nickel, silver, soybean meal, soybean

oil, soybeans, sugar, unleaded gasoline, wheat (soft and hard red winter) and zinc.

Designated Contracts for Each Commodity

One or more futures contracts known as a “Designated Contract” is selected by Bloomberg for each

commodity available for inclusion in the Bloomberg Commodity IndexSM

. Historically, through and including the

composition of the Bloomberg Commodity IndexSM

for 2017 and 2016, Bloomberg has chosen for each Commodity

one Designated Contract that is traded in North America and denominated in U.S. dollars (with the exception of

several LME contracts, which are traded in London, and with the exception of crude oil, for which two Designated

Contracts have been selected starting in 2012, and wheat, for which two Designated Contracts that are traded in

North America have been selected starting in 2013).

Bloomberg may in the future select more than one Designated Contract for additional commodities or may

select Designated Contracts that are traded outside of the United States or in currencies other than the U.S. dollar.

For example, in the event that changes in regulations concerning position limits materially affect the ability of

48

market participants to replicate the Bloomberg Commodity IndexSM

in the underlying futures markets, it may

become appropriate to include multiple Designated Contracts for more commodities (in addition to crude oil and

wheat) in order to enhance liquidity.

The termination or replacement of a futures contract on an established exchange occurs infrequently; if a

Designated Contract were to be terminated or replaced, a comparable futures contract, if available, would be

selected to replace that Designated Contract. Please see “Risk Factors — Bloomberg may be required to replace a

contract underlying a Bloomberg Commodity Index if the existing futures contract is terminated or replaced” in this

index supplement.

The 2017 and 2016 Designated Contracts for the commodities underlying the Bloomberg Commodity IndexSM

are set forth in the table below:

Commodity Designated Contract Exchange Units Price quote Aluminum High Grade Primary Aluminum LME 25 metric tons USD/metric ton Coffee Coffee “C” NYBOT 37,500 lbs U.S. cents/pound Copper* Copper COMEX 25,000 lbs U.S. cents/pound Corn Corn CBOT 5,000 bushels U.S. cents/bushel Cotton Cotton NYBOT 50,000 lbs U.S. cents/pound Crude (WTI) Light, Sweet Crude Oil NYMEX 1,000 barrels USD/barrel Crude (Brent) Brent Crude Oil ICE Futures

Europe 1,000 barrels USD/barrel

Gold Gold COMEX 100 troy oz. USD/troy oz. Lean Hogs Lean Hogs CME 40,000 lbs U.S. cents/pound Live Cattle Live Cattle CME 40,000 lbs U.S. cents/pound Natural Gas Henry Hub Natural Gas NYMEX 10,000 mmbtu USD/mmbtu Nickel Primary Nickel LME 6 metric tons USD/metric ton Silver Silver COMEX 5,000 troy oz. U.S. cents/troy oz. Soybeans Soybeans CBOT 5,000 bushels U.S. cents/bushel Soybean Meal Soybean Meal CBOT 100 short tons USD/short ton Soybean Oil Soybean Oil CBOT 60,000 lbs U.S. cents/pound Sugar World Sugar No. 11 NYBOT 112,000 lbs U.S. cents/pound ULS diesel ULS diesel NYMEX 42,000 gallons U.S. cents/gallon Unleaded

Gasoline (RBOB) Reformulated Gasoline Blendstock

for Oxygen Blending NYMEX 42,000 gal U.S. cents/gallon

Wheat (Chicago) Soft Wheat CBOT 5,000 bushels U.S. cents/bushel Wheat (KC

HRW) Hard Red Winter Wheat CBOT 5,000 bushels U.S. cents/ bushel

Zinc Special High Grade Zinc LME 25 metric tons USD/metric ton

* The Bloomberg Commodity IndexSM

uses the copper contract traded on the COMEX division of the New

York Mercantile Exchange for copper contract prices and LME volume data in determining the weighting for

the Bloomberg Commodity IndexSM

.

In addition to the commodities set forth in the above table, cocoa, lead, platinum and tin also are considered

annually for inclusion in the Bloomberg Commodity IndexSM

.

Commodity Groups

For purposes of applying the diversification rules discussed above and below, the commodities available for

inclusion in the Bloomberg Commodity IndexSM

are assigned to Commodity Groups. The Commodity Groups, and

the commodities currently included in each Commodity Group, are as follows:

Commodity Group: Commodities: Commodity Group: Commodities:

49

Commodity Group: Commodities: Commodity Group: Commodities:

Energy Crude Oil (WTI and

Brent)

ULS diesel

Natural Gas

Unleaded Gasoline

(RBOB)

Livestock Lean Hogs

Live Cattle

Precious Metals Gold

Silver

Platinum

Grains Corn

Soybeans

Soybean Meal

Soybean Oil

Wheat (Chicago and KC

HRW)

Industrial Metals Aluminum

Copper

Lead

Nickel

Tin

Zinc

Softs Cocoa

Coffee

Cotton

Sugar

The Bloomberg Energy SubindexSM

, the Bloomberg Industrial Metals SubindexSM

and the Bloomberg Precious

Metals SubindexSM

represent the energy, precious metals and industrial metals Commodity Groups of the

Bloomberg Commodity IndexSM

, respectively.

Bloomberg Commodity IndexSM

Breakdown by Commodity Group

The Commodity Group Breakdown set forth below is based on the weightings and composition of the

Bloomberg Commodity IndexSM

set forth under “The Bloomberg Commodity IndexSM

2017 Commodity Index

Target Weights” below.

Energy 30.57%

Precious Metals 15.29%

Industrial Metals 17.39%

Livestock 6.07%

Grains 23.46%

Softs 7.22%

In addition, the Commodity Group Breakdown set forth below is based on the weightings and composition of

the Bloomberg Commodity IndexSM

set forth under “The Bloomberg Commodity IndexSM

2016 Commodity Index

Target Weights” below.

Energy 31.03%

Precious Metals 15.59%

Industrial Metals 17.11%

Livestock 5.63%

Grains 23.22%

50

Softs 7.41%

Annual Reweightings and Rebalancings of The Bloomberg Commodity IndexSM

The Bloomberg Commodity IndexSM

is reweighted and rebalanced each year in January on a price-percentage

basis. The annual weightings for the Bloomberg Commodity IndexSM

are determined each year in the third or fourth

quarter by Bloomberg index managers operating under the supervision of the IOC following advice from the IAC

and are published as promptly as practicable following the calculation. The annual weightings for the next calendar

year are implemented the following January.

For example, the target composition of the Bloomberg Commodity IndexSM

for 2017 was published on October

20, 2016. The January 2017 reweighting and rebalancing will be based on the following percentages:

The Bloomberg Commodity IndexSM

2017 Commodity Index Target Weights

Commodity Weighting

Crude Oil

WTI Crude Oil: 7.1781390%

Brent Crude Oil: 7.8218610%

15.000000%

Gold 11.1715570%

Natural Gas 7.9765050%

Copper 7.5907620%

Corn 7.4103730%

Soybeans 5.8387700%

Aluminum 4.5682530%

Wheat

Chicago: 3.3174200%

KC HRW: 1.1834590%

4.5008790%

Silver 4.1152560%

Sugar 3.3978760%

ULS Diesel* 3.8295210%

Unleaded Gasoline 3.7645450%

Live Cattle 3.9771090%

Soybean Oil 2.8074440%

Soybean Meal 2.9015200%

Zinc 2.6893410%

Coffee 2.3774300%

Nickel 2.5409170%

Lean Hogs 2.0941230%

Cotton 1.4478190%

* CME’s heating oil contract on NYMEX was renamed ULS diesel futures after the April 2013 contract.

51

In addition, the target composition of the Bloomberg Commodity IndexSM

for 2016 was published on October

29, 2015. The January 2016 reweighting and rebalancing was based on the following percentages:

The Bloomberg Commodity IndexSM

2016 Commodity Index Target Weights

Commodity Weighting

Crude Oil

WTI Crude Oil: 7.4697630%

Brent Crude Oil: 7.5302370%

15.000000%

Gold 11.3798610%

Natural Gas 8.4488420%

Copper 7.6272480%

Corn 7.3587030%

Soybeans 5.7038300%

Aluminum 4.5987080%

Wheat

Chicago: 3.3268340%

KC HRW: 1.1531400%

4.4799740%

Silver 4.2131830%

Sugar 3.6272510%

ULS Diesel* 3.8290390%

Unleaded Gasoline 3.7478780%

Live Cattle 3.5666190%

Soybean Oil 2.8375480%

Soybean Meal 2.8446630%

Zinc 2.5276320%

Coffee 2.2943230%

Nickel 2.3593750%

Lean Hogs 2.0621330%

Cotton 1.4931910%

Information concerning the Bloomberg Commodity IndexSM

, including weightings and composition, may be

obtained at the Bloomberg website at www.bloombergindexes.com/bloomberg-commodity-index-family.

Information contained in the Bloomberg website is not incorporated by reference in, and should not be considered

part of, this index supplement.

Determination of Relative Weightings

The relative weightings of the Index Commodities are determined annually according to both liquidity and

dollar-adjusted production data in 2/3 and 1/3 shares, respectively. Each year, for each Designated Contract selected

as a reference contract for a commodity designated for potential inclusion in the Bloomberg Commodity IndexSM

,

liquidity is measured by the Commodity Liquidity Percentage (“CLP”) and production by the Commodity

52

Production Percentage (“CPP”). The CLP for each Designated Contract is determined by taking a five-year average

of the product of trading volume and the historical dollar value of that Designated Contract, and dividing the result

by the sum of such products for all Designated Contracts. The CPP is determined for each commodity by taking a

five-year average of annual world production figures, adjusted by the historical U.S. dollar value of the applicable

Designated Contract, and dividing the result by the sum of such production figures for all the commodities that were

designated for potential inclusion in the Bloomberg Commodity IndexSM

. The CLP and the CPP are then combined

(using a ratio of 2:1) to establish the Commodity Index Percentage (“CIP”) for each commodity. This CIP is then

adjusted in accordance with certain diversification rules to determine the Index Commodities that will be included in

the Bloomberg Commodity IndexSM

and their respective percentage weights.

Diversification Rules

The Bloomberg Commodity IndexSM

is designed to provide diversified exposure to commodities as an asset

class. To ensure that no single commodity or commodity sector dominates the Bloomberg Commodity IndexSM

, the

following diversification rules are applied to the annual reweighting and rebalancing of the Bloomberg Commodity

IndexSM

as of January of each year:

No single commodity (e.g., natural gas or silver) may constitute more than 15% of the Bloomberg

Commodity IndexSM

.

No single commodity sector, together with its derivatives (e.g., WTI crude oil and Brent crude oil,

together with ULS diesel and unleaded gasoline), may constitute more than 25% of the Bloomberg

Commodity IndexSM

.

No related group of commodities designated as a “Commodity Group” (e.g., energy, precious metals,

livestock or grains) may constitute more than 33% of the Bloomberg Commodity IndexSM

.

No single commodity included in the Bloomberg Commodity IndexSM

may constitute less than 2% of the

Bloomberg Commodity IndexSM

, as liquidity allows.

Any single commodity constituting less than 0.4% of the Bloomberg Commodity IndexSM

will be

eliminated.

Adjust gold and silver percentages so that their weights are equal to their CIP without violating the

previous diversification rules.

The ratio of CIP divided by the associated CLP must be less than or equal to 3.5.

Following the annual reweighting and rebalancing of the Bloomberg Commodity IndexSM

in January, the

percentage of any Index Commodity or Commodity Group at any time prior to the next reweighting or rebalancing

will fluctuate and may exceed or be less than the percentages established in January.

Commodity Index Multipliers

Following application of the diversification rules discussed above, CIPs are incorporated into the Bloomberg

Commodity IndexSM

by calculating the new unit weights for each Designated Contract. Near the beginning of each

new calendar year, the CIPs, along with the settlement prices determined on that date for Designated Contracts

included in the Bloomberg Commodity IndexSM

, are used to determine a Commodity Index Multiplier (“CIM”) for

each Designated Contract. This CIM is used to achieve the percentage weightings of the Designated Contracts, in

dollar terms, indicated by their respective CIPs. After the CIMs are calculated, they remain fixed throughout the

year. As a result, the observed price percentage of each Designated Contract will float throughout the year, until the

CIMs are reset the following year based on new CIPs.

53

Calculations

The excess return version of the Bloomberg Commodity IndexSM

is calculated by Bloomberg by applying the

impact of the changes to the futures prices of commodities included in the Bloomberg Commodity IndexSM

(based

on their relative weightings). Once the CIMs are determined as discussed above, the calculation of the excess return

version of the Bloomberg Commodity IndexSM

is a mathematical process whereby the CIMs for the Index

Commodities are multiplied by the prices in U.S. dollars for the applicable Designated Contracts. These products

are then summed. The percentage change in this sum is then applied to the prior Bloomberg Commodity IndexSM

excess return level to calculate the new Bloomberg Commodity IndexSM

excess return level.

The Bloomberg Commodity IndexSM

Is a Rolling Index

The Bloomberg Commodity IndexSM

is composed of futures contracts on physical commodities. Unlike

equities, which typically entitle the holder to a continuing stake in a corporation, commodity futures contracts

normally specify a certain date for the delivery of the underlying commodity. In order to avoid delivering the

underlying physical commodities and to maintain exposure to the underlying physical commodities, periodically

futures contracts on physical commodities specifying delivery on a nearby date must be sold and futures contracts on

physical commodities that have not yet reached the delivery period must be purchased. The rollover for each

contract occurs over a period of five Index Business Days (as defined below) each month according to a

pre-determined schedule. This process is known as “rolling” a futures position. The Bloomberg Commodity

IndexSM

is a “rolling index.”

An “Index Business Day” is a day on which the sum of the Commodity Index Percentages (as defined above in

“Determination of Relative Weightings”) for the Index Commodities that are open for trading is greater than 50%.

For example, based on the weighting of the Index Commodities for 2016, if the CBOT, the NYMEX and the LME

are each closed for trading on the same day, an Index Business Day will not exist.

Bloomberg Commodity IndexSM

Calculation Disruption Events

From time to time, disruptions can occur in trading futures contracts on various commodity exchanges. The

daily calculation of the Bloomberg Commodity IndexSM

will be adjusted in the event that Bloomberg determines

that any of the following index calculation disruption events exists:

(a) the termination or suspension of, or material limitation or disruption in the trading of any futures contract

used in the calculation of the Bloomberg Commodity IndexSM

on that day;

(b) the settlement price of any futures contract used in the calculation of the Bloomberg Commodity IndexSM

reflects the maximum permitted price change from the previous day’s settlement price;

(c) the failure of an exchange to publish official settlement prices for any futures contract used in the

calculation of the Bloomberg Commodity IndexSM

; or

(d) with respect to any futures contract used in the calculation of the Bloomberg Commodity IndexSM

that

trades on the LME, a business day on which the LME is not open for trading.

License Agreement

The Bloomberg Commodity Indices are joint products of UBS and Bloomberg, and have been licensed for use

by JPMorgan Chase & Co. and its affiliates, including JPMorgan Financial, in connection with certain financial

products, including any investment or instrument linked to the Index. “Bloomberg,” “Bloomberg Commodity

IndexSM

” and “BCOM” are service and/or trademarks of Bloomberg.

The instrument, linked to the Index are not sponsored, endorsed, sold or promoted by UBS, Bloomberg or any

of their subsidiaries or affiliates. None of UBS, Bloomberg or any of their subsidiaries or affiliates makes any

representation or warranty, express or implied, to the owners of or counterparts to the instruments linked to the

Index or any member of the public regarding the advisability of investing in financial instruments or commodities

generally or in the instruments linked to the Index. The only relationship of UBS, Bloomberg or any of their

54

subsidiaries or affiliates to the Bank in connection with the instruments linked to the Index is the licensing of certain

trademarks, trade names and service marks and of the Bloomberg Commodity Indices, which are determined,

composed and calculated by Bloomberg in conjunction with UBS Securities without regard to the Index Sponsor or

the instruments linked to the Index. UBS and Bloomberg have no obligation to take the needs of the Index Sponsor

or the owners of instruments linked to the Index into consideration in determining, composing or calculating the

Bloomberg Commodity Indices. None of UBS, Bloomberg or any of their respective subsidiaries or affiliates is

responsible for or has participated in the determination of the timing of, prices at, or quantities of the instruments

linked to the Index to be issued or in the determination or calculation of the equation by which the instruments

linked to the Index are to be converted into cash. None of UBS, Bloomberg or any of their subsidiaries or affiliates

shall have any obligation or liability, including, without limitation, to investors in instruments linked to the Index, in

connection with the administration, marketing or trading of the instruments linked to the Index. Notwithstanding the

foregoing, UBS, Bloomberg and their respective subsidiaries and affiliates may independently issue and/or sponsor

financial products unrelated to the instruments linked to the Index, but which may be similar to and competitive with

the instruments linked to the Index. In addition, UBS, Bloomberg and their subsidiaries and affiliates actively trade

commodities, commodity indices and commodity futures (including the Bloomberg Commodity Indices), as well as

swaps, options and derivatives which are linked to the performance of such commodities, commodity indices and

commodity futures. It is possible that this trading activity will affect the value of the Bloomberg Commodity

Indices and the instruments linked to the Index.

This index supplement relates only to the instruments linked to the Index and does not relate to the

exchange-traded physical commodities underlying any of the Bloomberg Commodity IndexSM

components.

Purchasers of an instrument linked to the Index should not conclude that the inclusion of a futures contract in the

Bloomberg Commodity IndexSM

is any form of investment recommendation of the futures contract or the underlying

exchange-traded physical commodity by UBS, Bloomberg or any of their subsidiaries or affiliates. The information

in this index supplement regarding the Bloomberg Commodity IndexSM

components has been derived solely from

publicly available documents. None of UBS, Bloomberg or any of their subsidiaries or affiliates has made any due

diligence inquiries with respect to the Bloomberg Commodity IndexSM

components in connection with the

instruments linked to the Index. None of UBS, Bloomberg or any of their subsidiaries or affiliates makes any

representation that these publicly available documents or any other publicly available information regarding the

Bloomberg Commodity IndexSM

components, including without limitation a description of factors that affect the

prices of such components, are accurate or complete.

NONE OF UBS, BLOOMBERG OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES

GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE BLOOMBERG

COMMODITY INDICES OR ANY DATA RELATED THERETO AND NONE OF UBS, BLOOMBERG

OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES SHALL HAVE ANY LIABILITY FOR ANY

ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. NONE OF UBS, BLOOMBERG OR ANY OF

THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO

RESULTS TO BE OBTAINED BY THE PRODUCT ISSUER, OWNERS OF INSTRUMENTS LINKED TO

THE INDEX, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG

COMMODITY INDICES OR ANY DATA RELATED THERETO. NONE OF UBS, BLOOMBERG OR

ANY OF THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY EXPRESS OR IMPLIED

WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR

FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG

COMMODITY INDICES OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE

FOREGOING, IN NO EVENT SHALL UBS, BLOOMBERG OR ANY OF THEIR SUBSIDIARIES OR

AFFILIATES HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL

OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE POSSIBILITY

THEREOF. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR

ARRANGEMENTS AMONG UBS, BLOOMBERG AND THE ISSUER, OTHER THAN UBS AND THE

LICENSORS OF BLOOMBERG.

55

BACKGROUND ON THE DAX® INDEX

All information contained in this index supplement regarding the DAX® Index (Price Return), including,

without limitation, its make-up, method of calculation and changes in its components, has been derived from

publicly available information, without independent verification. This information reflects the policies of, and is

subject to change by, Deutsche Börse AG (“Deutsche Börse”). The DAX® Index (Price Return) is calculated,

maintained and published by Deutsche Börse. Deutsche Börse has no obligation to continue to publish, and may

discontinue publication of, the DAX® Index (Price Return).

The DAX® Index (Price Return) is reported by Bloomberg L.P. under the ticker symbol “DAXK.”

The DAX® Index (Price Return) comprises the 30 largest companies with the highest turnover on the FWB

®

Frankfurt Stock Exchange. These companies are selected from the continuously traded companies in the Prime

Standard segment that meet certain selection criteria. To be listed in the Prime Standard, a company must meet

minimum statutory requirements, which include the regular publication of financial reports, and must satisfy

additional transparency requirements. The reference date of the Index is December 30, 1987.

The Index is capital-weighted, meaning the weight of any individual issue is proportionate to its respective

share in the overall capitalization of all index component issuers. The weight of any single company is capped at

10% of the Index capitalization, measured quarterly. Weighting is based exclusively on the free float portion of the

issued share capital of any class of shares involved. Both the number of shares included in the issued share capital

and the free float factor are updated on one day each quarter (this date, the “chaining date” and the process by which

these updates are made, “chaining”). The Index is a price index, which measures the actual price performance and

is only adjusted for income from subscription rights and special distributions.

Methodology of the Index

The Working Committee for Equity Indices and the Management Board of Deutsche Börse

The Working Committee for Equity Indices (the “Committee”) advises Deutsche Börse on all issues related to

the Index, recommending changes to the composition of the Index on the basis of the various principles and

regulations. The Committee acts as an advisory body based on the basic principles mentioned and the rules of the

guidelines. In this capacity, it can recommend any necessary adjustments to the rulebook.

The Committee consists of Deutsche Börse employees and representatives of leading national and

international financial institutions. The Committee’s meetings usually take place on the respective fifth trading day

in March, June, September and December. Extraordinary meetings may also be convened.

The selection of companies in the DAX® Index (Price Return) is based on the quantitative criteria of order book

volume and free float market capitalization. The reporting date for collecting data is the last trading day of the

month for which the ranking list is created. The ranking list is created and published monthly by Deutsche Börse.

On the basis of the ranking list, the Committee issues a recommendation of whether a company should be replaced

and if so, which company should replace it.

Free Float

Free float refers to the freely tradable shares of a company that are not held in fixed ownership. The following

rules apply to determine the free float:

1. All shareholdings of an owner which, on an accumulated basis, account for at least 5% of a company’s share

capital attributed to a class of shares are considered to be non-free float. Shareholdings of an owner also include

shareholdings:

held by the family of the owner as defined by section §15a of the German Securities Trading Act

(“WpHG”);

for which a pooling has been arranged in which the owner has an interest;

56

managed or kept in safe custody by a third party for account of the owner;

held by a company which the owner controls as defined by section 290(2) of the German Commercial Code

(HGB); and

subject to a statutory or contractual qualifying period of at least six months.

This does not include shareholdings of:

asset managers and trust companies;

funds and pension funds; and

investment companies or foreign investment companies in their respective special fund assets

insofar as they are held as part of short-term investment strategies and the size of a shareholding does not exceed

25% of a company’s share capital. This does not apply to shareholdings held by venture capital companies,

government funds or shareholdings held by their financial agencies, or supranational funds.

In this context, shares for which the acquirer has at the time of purchase clearly and publicly stated that

strategic goals are being pursued and that the intention is to influence the company policies and ongoing business of

the company in the long-term are not considered a short-term investment. In addition, shares having been acquired

through a public purchase offer will not be considered a short­term investment.

2. Shares of an owner that are subject to a statutory or contractual qualifying period of at least six months with

regard to their disposal and shares held by the issuing company (treasury shares) are — irrespective of the size of a

shareholding — always considered fixed holdings.

3. In the case of an ongoing takeover, shares that are under the control of the overtaking companies via

derivatives will also be considered for the determination of the stock’s free float. The derivatives need to be subject

to registration and correspondingly registered according to legislation in WpHG and the German Securities

Acquisition and Takeover Act (“WpÜG”).

The various criteria in nos. 1 to 3 are also fully applied to classes of shares that are subject to restrictions of

ownership. For the purpose of the determination of the free float as described above, each ISIN under which shares

are traded is considered a separate share class.

If Deutsche Börse determines and publishes a company’s free float within the framework of a scheduled

chaining, this free float factor will only be changed or corrected at the next scheduled chaining date. This is also the

case if Deutsche Börse learns of facts or circumstances following the determination of the free float that would have

resulted in the determination of a different free float factor had they been known at the time of the determination.

Deutsche Börse will, however, provide information on the correction to be made to the free float factor at the next

scheduled chaining date immediately after becoming aware of such facts or circumstances.

Index Composition

Selection Criteria

The basic criteria for including companies in the DAX® Index (Price Return) are:

an existing listing in the Prime Standard segment (i.e. there is no public information on the existence of an

application for revocation pursuant to Section 46 of the Exchange Rules for the FWB® Frankfurt Stock

Exchange (the “FWB Exchange Rules”), which provides for revocation of admission of securities to the

regulated market (General Standard) upon application by the issuer);

continuous trading on Deutsche Börse’s electronic trading system Xetra®;

57

a minimum free float of 10%;

legal headquarters or operating headquarters in Germany; and

a minimum period since first listing of at least 30 trading days

There is expanded criteria for foreign companies, under which foreign companies must:

have a registered office in Germany (other than the registered office this can also be an operating

headquarter); or

have their focus of trading volume on Xetra® and their legal headquarters in the European Union (“EU”) or

in a European Free Trade Association (“EFTA”) country.

A company focuses its trading volume on Xetra® if at least 33% of its total turnover within the EU or the EFTA

has been transacted via the FWB® Frankfurt Stock Exchange over the last 12 months. The total turnover includes

the turnover of all stock listings belonging to a company that arise due to trading on regulated exchanges and

multilateral trading facilities.

Companies that satisfied the prerequisites listed above are selected for inclusion in the DAX® Index (Price

Return) based on the quantitative criteria of order book volume and free float market capitalization. The reporting

date for collecting data is the last trading day of the month for which the ranking list is created. The ranking list is

created and published monthly by Deutsche Börse.

Creating the Ranking List

To create the ranking list, the parameters relevant for the allocation of a rank — order book volume and free

float market capitalization — are recorded and the basis criteria are checked on the recording date (last trading day

of the month).

A volume-weighted average price (“VWAP”) over 20 trading days (20-trading day VWAP) is used to calculate

the free float market capitalization. This is calculated as the average value of daily VWAPs based on Xetra® prices

of the last 20 trading days in a class. The 20-trading day VWAP on the last trading day of a month is used to create

the ranking list.

The order book volume is the sum of the daily turnover of a class over a period of twelve months. The

following special provisions apply:

if the order book volumes of a company are not available for the whole twelve-month period due to the

time of its commencement of trading or its initial listing on one of the transparency standards, the order

book volumes of the first 20 trading days are taken away and the remainder of the relevant data is linearly

projected for twelve months. This procedure, however, is only applicable to companies that have been

traded for at least 30 days as per the reporting date, taking order book volumes of at least ten days into

account for projection purposes;

if the transparency standard is changed (Entry, General and Prime Standard), the order book volumes from

the original transparency standard are taken into account; and

in the case of a merger of two companies, the order book volumes of both companies are aggregated,

provided that both companies were listed on the Frankfurt Stock Exchange prior to the merger. A

requirement for aggregating order book volumes is that the company or companies that no longer exist are

no longer listed separately on one of the transparency standards (Prime, General or Entry Standards) on the

FWB®

Frankfurt Stock Exchange. The order book volumes are aggregated retroactively at this point for the

allocation of a rank.

Inclusion in the Ranking List

58

All of the share classes listed on Prime Standard on Xetra® are listed on the ranking list. A ranking is given to

the share classes that meet the selection criteria outlined above. Classes that do not meet the above criteria given are

listed on the ranking list but do not receive a ranking. Each ISIN under which shares in a company are traded is

considered a separate class in this regard. If a company has several share classes, only the largest or most liquid

share class is given a ranking.

Exclusion from Ranking

1. A company can be removed from the DAX® Index (Price Return) immediately if its index weight based on its

current free float market capitalization exceeds 10 % and its annualized 30-day volatility (annualized volatility of

the share price over the last 30 days) exceeds 250%. The relevant figures are published by Deutsche Börse on a

daily basis. A company that is excluded from the DAX® Index (Price Return) due to a violation of the volatility

criterion will only be considered for a ranking if its 30-day volatility falls below 150% at the time of ranking and on

any of the 14 trading days prior to this date. Re-inclusion in the ranking is also only possible for the company’s

class which was excluded from the Index.

2. If a foreign company does not meet the trading criteria on Xetra® on the monthly ranking list, the company

will not be ranked. A foreign company will only be ranked once it meets the trading criteria on Xetra® again.

3. To ensure the position of the DAX® Index (Price Return) as a leading equity index, Deutsche Börse reserves

the right to exclude certain companies from being ranked on the ranking list after consultation with the Committee.

An appropriate reason for such an exclusion may be, for example, the fact that it is a foreign company with the

holding's headquarters in Germany but the focus of its business activity is abroad.

Adjustments to Index Composition

The index composition of DAX® is reviewed quarterly based on the Fast Exit and Fast Entry rules. The index

composition of DAX® is reviewed every September based on the Regular Exit and Regular Entry rules.

The purpose of the review on the basis of the Fast Exit and Fast Entry rules is to account for significant changes

in rankings. These changes may occur when companies no longer possess the required size (free float market

capitalization) or liquidity (order book volume), which may arise due to large issues (e.g., major changes in the free

float or a steep price drop) and should be taken into consideration promptly in the index.

The selection of companies in the DAX® Index (Price Return) is based on the quantitative criteria of free float

market capitalization and order book volume. The currently valid ranking list always forms the basis for the

application of the rules outlined below. The four rules are applied successively.

Fast Exit: a company is replaced if it has a worse rank than the “candidate rank” in one of the two criteria

of free float market capitalization or order book volume (e.g., greater than 45 in the free float market

capitalization criterion or greater than 45 in the order book volume criterion in the DAX® Index (Price

Return) ranks). It is replaced by the company with the highest free float market capitalization that has the

corresponding ranking positions for both criteria in the “alternate candidate rank.” If there are no

companies that meet these conditions, the successor is determined by relaxing the order book volume

criterion twice gradually, each time by five ranks (e.g., 35/40 then 35/45 in the DAX® Index (Price Return)

ranks). If there is still no company that meets the criteria, the company with the highest free float market

capitalization is determined as the successor.

Fast Entry: a company is included if it has the same or better rank than the “candidate rank” in both the free

float market capitalization and order book volume criteria (e.g., smaller than or equal to rank 25 for the free

float market capitalization criterion and smaller than or equal to rank 25 in the order book volume criterion

in the DAX® Index (Price Return) ranks). The company with the lowest free float market capitalization

that is ranked worse than the “alternate candidate rank” in one of the criteria is excluded (e.g., greater than

35 in one of the two criteria in the DAX® Index (Price Return) ranks). If there are no companies in the

selection index that meet these criteria, the company with the lowest free float market capitalization is

removed from the selection index.

59

Regular Exit: a company may be replaced if it has a worse rank than the “candidate rank” in one of the two

criteria of free float market capitalization or order book volume (for example, greater than 40 in the free

float market capitalization criterion or greater than 40 in the order book volume criterion in the DAX®

Index (Price Return) ranks). It may be replaced by the company with the highest free float market

capitalization that has the corresponding ranking positions for both criteria in the “alternate candidate

rank.” If no successor can be determined, no change takes place.

Regular Entry: a company may be included if it has the same or better rank than the “candidate rank” in

both the free float market capitalization and order book volume criteria (e.g., a smaller than or equal to rank

30 for the free float market capitalization criterion and smaller than or equal to rank 30 in the order book

volume criterion in the DAX®

Index (Price Return) ranks). The company with the lowest free float market

capitalization that is ranked worse than the “alternate candidate rank” in one of the criteria may be excluded

(e.g., greater than 35 in one of the two criteria in the DAX® Index (Price Return) ranks). If no alternate

candidate can be determined, no exchange takes place.

In principle, the following applies to all four rules: If several companies fulfill the criteria, the best/ worst

candidate in terms of free float market capitalization is included/replaced.

In exceptional cases, for example, takeovers announced at short notice or significant changes in the free float,

Deutsche Börse AG may deviate from rules 1-4 mentioned above. The Committee can be consulted as an advisory

council. Furthermore, Deutsche Börse AG may also decide to undertake a market consultation.

Decisions regarding changes to the composition of the Index are published after 10 p.m. CET on the third

trading day in March, June, September and December in a press release and online at http://www.dax-indices.com

Actions in Case of Shortfalls or Surpluses

It may be the case that there is a shortfall in the DAX® Index (Price Return) during the index review. This may

occur when a company no longer meets the basic criteria. An example would be a company publicly announcing

the discontinuation of the Prime Standard listing. Remaining in the DAX® Index (Price Return) is, therefore, no

longer justified, however this will only take effect in the next regular review. In this case, the company would be

removed during the regular review before the application of the four rules above. Consequently there would be a

shortfall in the selection index.

If a shortfall exists in the DAX® Index (Price Return), this shortfall is treated as a Fast Exit. Consequently, the

Fast Exit rule of the DAX® Index (Price Return) is applied. In this case, the company which caused the shortfall is

considered the Fast Exit candidate. A company that, in turn, could be accepted into the DAX® Index (Price Return)

is found using the Fast Exit rule.

The DAX® Index (Price Return) is restored to the fixed number of companies before the four rules are applied

(Fast Exit, Fast Entry, Regular Exit, Regular Entry). The aim of this is to ensure that the DAX® Index (Price

Return) contains the designated number of companies before the review of the DAX® Index (Price Return) is

performed.

Extraordinary Index Review

Notwithstanding the rules on ordinary adjustment, extraordinary changes to the composition must be made if

the events described below take place. A successor is selected based on the currently applicable, i.e., most recently

published ranking list and the rules for an ordinary adjustment. The changes in principle take place after the

announcement with a notice period of two trading days.

Insolvency of Companies

Companies for which insolvency proceedings are not initiated for lack of assets, or which are currently in

liquidation, are immediately removed from the DAX® Index (Price Return).

60

In contrast, companies that have filed an application for the opening of insolvency proceedings are only

removed from the DAX® Index (Price Return) in the course of the next quarterly review of the index

composition. This also holds true once the insolvency proceedings begin.

Breach of the Basis Criteria

Companies no longer meeting the basis criteria necessary in order to remain in the Index (e.g., regarding

the minimum free float, an Entry, General or Prime Standard listing or continuous trading) are removed

from the DAX® Index (Price Return) as Deutsche Börse becomes aware of this. This is done based on the

“fast exit” rule. Deutsche Börse communicates this decision and replaces the relevant company, usually

two full trading days after the announcement. In justified cases (e.g., in the event of the inclusion of the

successor company in the DAX® Index (Price Return)), the replacement can be delayed by up to ten trading

days. Where non-compliance with these rules on a future date is already certain, the relevant company may

be replaced as early as on the next chaining date.

Companies that no longer meet the additional requirements for foreign companies will not be immediately

removed from the DAX® Index (Price Return), but will be reviewed during the next quarterly review.

Breach of the Volatility Criteria

A company can be removed immediately if its DAX® Index (Price Return) weight based on its current free

float market capitalization exceeds 10 % and its annualized 30-day volatility exceeds 250%. The relevant

figures are published by Deutsche Börse on a daily basis.

Conversion of Preferred Shares into Ordinary Shares

If the ordinary shares are already included in the DAX® Index (Price Return), then no chaining is carried

out. The number or shares remains unchanged until the next chaining date.

If preferred shares are already included in the DAX® Index (Price Return), then the ordinary shares are

included in the DAX® Index (Price Return), taking the place of the preferred shares. The number of

ordinary shares and the free float factor are adopted from the class of the preferred shares, and are subject

to adjustment only on the next regular chaining date. If the conversion occurs in the ratio 1:1, no further

amendments will be carried out. In all other cases, the mathematical price difference will be balanced by

the Ci factor described under “Index Calculation” below.

Extraordinary Free Float Adjustments

If the free float factor of a company included in the DAX® Index (Price Return) changes by more than 10

percentage points during the period between two regular chaining dates due to a corporate measure (e.g.,

subscription right or changes in share capital), the free float factor will be updated extraordinarily.

Deutsche Börse will announce the new free float factor at least two trading days before the change becomes

effective.

Free float adjustments resulting from ongoing acquisitions (acquisitions as defined by the WpÜG) will be

made extraordinarily in the DAX® Index (Price Return) after the initial announcement and the final

announcement at the end of the offer period. Index changes will be announced two trading days before the

change becomes effective. Shares held in fixed ownership will remain unchanged until further information,

i.e., according to the WpHG or other official sources, is available.

The extraordinary adjustment in each case will be carried out as described above, with the only difference

that the index composition will not be changed and only the free float factor of the affected company will

be updated.

Adjustments in the Case of Mergers and Acquisitions

Two possible scenarios may occur in this context:

61

If the absorbing or emerging company meets the basis criteria for inclusion in the DAX® Index

(Price Return), then as soon as the free float of the absorbed company falls below 10%, the

company is removed from the DAX® Index (Price Return). The absorbed company is replaced by

the absorbing or emerging company on the same date.

If the absorbing company is already included in the DAX® Index (Price Return) or does not meet

the basis criteria for inclusion in the DAX® Index (Price Return), then as soon as the free float of

the absorbed company falls below 10%, the company is removed from the DAX® Index (Price

Return). On the same date, the absorbed company is replaced by a new company.

Conversion into Tendered Shares

The conversion of tendered shares is subject to the following process during the period between the first offer

and the closing of the transaction:

If the company being taken over is a component in the DAX® Index (Price Return), the company’s

shares in the DAX® Index (Price Return) will be replaced by the tendered shares without chaining

if the acceptance rate is at least 50% (according to section 23 WpUG). The number of shares and

the free float factor are assumed by the replaced shares and modified during the next regular

chaining. A requirement for this replacement is that the tendered shares fulfill the basis criteria to

remain in the DAX® Index (Price Return) and the new or acquiring company is not included in the

DAX® Index (Price Return).

In the event that the transaction is reversed, the tendered shares will be removed from the DAX®

Index (Price Return) and reverted into the company’s original shares in the DAX® Index (Price

Return).

Index Calculation

The Index is weighted by market capitalization; however, only freely available and tradable shares (“free float”)

are taken into account. The Index is a price index, which measures the actual price performance and is only adjusted

for income from subscription rights and special distributions.

The Index Formula

The Index is conceived according to the Laspeyres formula set out below:

𝐼𝑛𝑑𝑒𝑥𝑡 = 𝐾𝑡 ×∑ 𝑝𝑖𝑡 × 𝑓𝑓𝑖𝑇 × 𝑞𝑖𝑇 × 𝑐𝑖𝑡

∑ 𝑝𝑖0 × 𝑞𝑖0

× 𝐵𝑎𝑠𝑒

whereby:

cit = Adjustment factor of company i at time t

ffiT = Free float factor of share class i at time T

n = Number of shares in the Index

pi0 = Closing price of share i on the trading day before the first inclusion in the Index

piT = Price of share i at time t

qi0 = Number of shares of company i on the trading day before the first inclusion in the Index

qiT = Number of shares of company i at time T

62

t = Calculation time of the Index

KT = The Index chaining factor valid as of chaining date T

T = Date of the last chaining

The formula set out below is equivalent in analytic terms, but designed to achieve relative weighting:

Indext = Kt

∑ =1ni p

it(KT

ffiT

qiT

∑ =1 ni q

i0

100 Cit)

∑ =1ni p

i0

qi0

∑ =1 qi0

ni

100 Base =

∑ =1 pit Fi

ni

A Base

whereby: A = ∑ =1n

i pi0 qi0 100

∑ =1ni qi0

and: Fi = Kt ffiT qiT

∑ =1ni qi0

100 cit

The Index calculation can be reproduced in simplified terms by using the expression Fi:

Multiply the current price by the respective Fi weighting factor;

Take the sum of these products; and

Divide this by the base value (A) which remains constant until a modification in the Index composition

occurs.

The Fi factors provide information on the number of shares required from each company to track the underlying

Index portfolio.

Calculation Frequency

Index calculation is performed on every trading day of FWB® Frankfurt Stock Exchange, using prices traded on

Deutsche Börse’s electronic trading system Xetra®, whereby the last determined prices are used. The Index is

calculated once a day, at the close of trading. The Index is distributed as soon as current prices are available for all

companies included in the Index (but no later than 9:06 a.m.). If no opening prices for individual companies are

available, the respective closing prices of the previous day are used instead to calculate the Index.

In the event of a suspension during trading hours, the last price determined before such a suspension is used for

all subsequent computations. If such suspension occurs before the start of trading, the closing price of the previous

day is taken instead. The “official” closing index level is calculated using the respective closing prices (or last

prices) established on Xetra®.

Adjustments and Corrections

The Index is only adjusted for income from subscription rights and special distributions.

The working committee of Deutsche Börse reserves the right to correct any incorrect index values with

immediate effect after becoming aware of such incorrect index values. A historical correction is usually applied as

of the start of the calculation of the current business day. Deutsche Börse will inform the general public of any such

corrections immediately.

63

BACKGROUND ON THE FTSE® 100 INDEX

All information in this index supplement regarding the FTSE® 100 Index, including, without limitation, its

make-up, method of calculation and changes in its components, has been derived from publicly available

information, without independent verification. This information reflects the policies of, and is subject to change by,

FTSE International Limited (“FTSE”). FTSE has no obligation to continue to publish, and may discontinue

publication of, the FTSE® 100 Index.

The FTSE® 100 Index is reported by Bloomberg L.P. under the ticker symbol “UKX.”

The FTSE®100 Index is an index calculated, published and disseminated by FTSE Russell, a company owned

wholly by London Stock Exchange Group plc (the “LSEG”). The FTSE® 100 Index measures the composite price

performance of stocks of the largest 100 companies (determined on the basis of market capitalization) traded on the

London Stock Exchange (the “LSE”). Publication of the FTSE® 100 Index began in January 1984.

Composition of the FTSE® 100 Index

The 100 stocks included in the FTSE® 100 Index (the “FTSE Underlying Stocks”) were selected from a

reference group of stocks trading on the LSE that were selected by excluding certain stocks that have low liquidity

based on public float, accuracy and reliability of prices, size and number of trading days. The FTSE Underlying

Stocks were selected from this reference group by selecting 100 stocks with the largest market value. Where there

are multiple lines of equity capital in a company, all are included and priced separately, provided that the secondary

line’s full market capitalization (i.e. before the application of any investability weightings), is greater than 25% of

the full market capitalization of the company’s principal line and the secondary line satisfies the eligibility rules and

screens in its own right in all respects. A list of the issuers of the FTSE Underlying Stocks is available from FTSE

Russell.

The FTSE® 100 Index is overseen and reviewed quarterly by the FTSE Russell Europe, Middle East & Africa

Regional Equity Advisory Committee (the “Index Steering Committee”) in order to maintain continuity in the

level. The Index Steering Committee undertakes the reviews of the FTSE® 100 Index and ensures that constituent

changes and index calculations are made in accordance with the ground rules of the FTSE® 100 Index. The

meetings to review the constituents are held on the Wednesday before the first Friday in March, June, September

and December. Each review is based on data from the close of business on the Tuesday before the first Friday of the

review month. Any constituent changes are implemented after the close of business on the third Friday of the

review month (i.e. effective Monday), following the expiry of the ICE Futures Europe futures and options contracts.

The FTSE Underlying Stocks may be replaced, if necessary, in accordance with deletion/addition rules that

provide generally for the removal and replacement of a stock from the FTSE® 100 Index if such stock is delisted or

its issuer is subject to a takeover offer that has been declared unconditional or it has ceased, in the opinion of the

Index Steering Committee, to be a viable component of the FTSE® 100 Index. To maintain continuity, a stock will

be added at the quarterly review if it has risen to 90th place or above and a stock will be deleted if at the quarterly

review it has fallen to 111th place or below, in each case ranked on the basis of market capitalization. A constant

number of constituents will be maintained for the FTSE® 100 Index. Where a greater number of companies qualify

to be inserted in the index than those qualifying to be deleted, the lowest ranking constituents presently included in

the index will be deleted to ensure that an equal number of companies are inserted and deleted at the periodic

review. Likewise, where a greater number of companies qualify to be deleted than those qualifying to be inserted,

the securities of the highest ranking companies which are presently not included in the index will be inserted to

match the number of companies being deleted at the periodic review.

Companies that are large enough to be constituents of the FTSE® 100 Index but do not pass the liquidity test are

excluded. At the next annual review, the companies are re-tested against all eligibility screens.

Calculation of the FTSE® 100 Index

The FTSE® 100 Index is calculated by (i) multiplying the per share price of each stock included in the FTSE

®

100 Index by the number of outstanding shares, (ii) calculating the sum of all these products (such sum being

hereinafter the “FTSE Aggregate Market Value”) as of the starting date of the FTSE® 100 Index, (iii) dividing the

64

FTSE Aggregate Market Value by a divisor which represents the FTSE Aggregate Market Value on the base date of

the FTSE® 100 Index and which can be adjusted to allow changes in the issued share capital of individual

underlying stocks including the deletion and addition of stocks, the substitution of stocks, stock dividends and stock

splits to be made without distorting the FTSE® 100 Index and (iv) multiplying the result by 1,000. Because of such

capitalization weighting, movements in share prices of companies with relatively larger market capitalization will

have a greater effect on the level of the entire FTSE® 100 Index than will movements in share prices of companies

with relatively smaller market capitalization.

65

BACKGROUND ON THE NASDAQ-100 INDEX®

All information contained in this index supplement regarding the Nasdaq-100 Index®, including, without

limitation, its make-up, method of calculation and changes in its components, has been derived from publicly

available information, without independent verification. This information reflects the policies of, and is subject to

change by, The Nasdaq Stock Market, Inc. (“Nasdaq”). The Nasdaq-100 Index®

was developed by Nasdaq and is

calculated, maintained and published by The NASDAQ OMX Group, Inc. (“NASDAQ OMX”). Neither Nasdaq

nor NASDAQ OMX has any obligation to continue to publish, and may discontinue publication of, the Nasdaq-100

Index®.

The Nasdaq-100 Index® is reported by Bloomberg L.P. under the ticker symbol “NDX.”

The Nasdaq-100 Index®

is a modified market capitalization-weighted index of stocks of the 100 largest non-

financial companies listed on The NASDAQ Stock Market. The Nasdaq-100 Index®, which includes companies

across a variety of major industry groups, was launched on January 31, 1985, with a base index value of 125.00, as

adjusted. Current information regarding the market value of the Nasdaq-100 Index®

is available from Nasdaq as

well as numerous market information services.

The Nasdaq-100 Index®

share weights of the component securities of the Nasdaq-100 Index®

at any time are

based upon the total shares outstanding in each of those securities and are additionally subject, in certain cases, to

rebalancing. Accordingly, each underlying stock’s influence on the level of the Nasdaq- 100 Index®

is directly

proportional to the value of its Nasdaq-100 Index®

share weight.

Calculation of the Nasdaq-100 Index®

At any moment in time, the value of the Nasdaq-100 Index®

equals the aggregate value of the then-current

Nasdaq-100 Index®

share weights of each of the Nasdaq-100 Index®

component securities, which are based on the

total shares outstanding of each such Nasdaq-100 Index®

component security, multiplied by each such security’s

respective last sale price on The NASDAQ Stock Market (which may be the official closing price published by The

NASDAQ Stock Market), and divided by a scaling factor (the “divisor”), which becomes the basis for the reported

Nasdaq-100 Index®

value. The divisor serves the purpose of scaling such aggregate value to a lower order of

magnitude which is more desirable for Nasdaq-100 Index®

reporting purposes.

Underlying Stock Eligibility Criteria

Initial Eligibility Criteria

To be eligible for initial inclusion in the Nasdaq-100 Index®, a security must meet the following criteria:

the issuer of the security’s U.S. listing must be exclusively on the NASDAQ Global Select Market or

the NASDAQ Global Market (unless the security was dually listed on another U.S. market prior to

January 1, 2004 and has continuously maintained such listing);

a security must be issued by a non-financial company;

a security may not be issued by an issuer currently in bankruptcy proceedings;

a security must have an average daily trading volume of at least 200,000 shares (measured annually

during the ranking review process described below);

if the issuer of the security is organized under the laws of a jurisdiction outside the United States, then

that security must have listed options on a recognized options market in the United States or be eligible

for listed-options trading on a recognized options market in the United States (measured annually

during the ranking review process);

the issuer of the security may not have entered into a definitive agreement or other arrangement which

would likely result in the security no longer being Nasdaq-100 Index® eligible;

66

the issuer of the security may not have annual financial statements with an audit opinion that is

currently withdrawn; and

the security must have “seasoned” on the NASDAQ, NYSE or NYSE MKT. Generally, a company is

considered to be seasoned if it has been listed on a market for at least three full months (excluding the

first month of initial listing).

Continued Eligibility Criteria

In addition, to be eligible for continued inclusion in the Nasdaq-100 Index®, the security must meet the

following criteria:

the issuer of the security’s primary U.S. listing must be exclusively listed on the NASDAQ Global

Select Market or the NASDAQ Global Market;

the security must be issued by a non-financial company;

the security may not be issued by an issuer currently in bankruptcy proceedings;

the security must have an average daily trading volume of at least 200,000 shares in the previous three

month trading period (measured annually during the ranking review process);

if the issuer of the security is organized under the laws of a jurisdiction outside the United States, then

that security must have listed options on a recognized options market in the United States or be eligible

for listed-options trading on a recognized options market in the United States;

the issuer must have an adjusted market capitalization equal to or exceeding 0.10% of the aggregate

adjusted market capitalization of the Nasdaq-100 Index®

at each month-end. In the event a company

does not meet this criterion for two consecutive month-ends, it will be removed from the Nasdaq-100

Index®

effective after the close of trading on the third Friday of the following month; and

the issuer of the security may not have annual financial statements with an audit opinion that is

currently withdrawn.

For the purposes of Nasdaq-100 Index®

eligibility criteria, if the security is a depositary receipt representing a

security of a non-U.S. issuer, then references to the “issuer” are references to the issuer of the underlying security.

These Nasdaq-100 Index®

eligibility criteria may be revised from time to time by Nasdaq without regard to

instruments linked to the Index.

Annual Ranking Review

The composition of the Nasdaq-100 Index®

is evaluated on an annual basis, except under extraordinary

circumstances that may result in an interim evaluation, as follows (this evaluation is referred to herein as the

“Ranking Review”). Securities listed on The NASDAQ Stock Market that meet the applicable eligibility criteria

are ranked by market value. Nasdaq-100 Index®

-eligible securities that are already in the Nasdaq-100 Index®

and

whose issuer is ranked in the top 100 eligible companies (based on market capitalization) are retained in the Nasdaq-

100 Index®. A Nasdaq-100

® Index issuer that is ranked 101 to 125 is also retained, provided that such issuer was

ranked in the top 100 eligible issuers as of the previous Ranking Review or was added to the Nasdaq-100 Index®

subsequent to the previous Ranking Review. Nasdaq-100 Index® issuers not meeting such criteria are replaced. The

replacement securities chosen are those Nasdaq-100 Index®

-eligible securities not currently in the Nasdaq-100

Index® whose issuers have the largest market capitalization. The data used in the ranking includes end of October

market data and is updated for total shares outstanding submitted in a publicly filed SEC document via EDGAR

through the end of November.

Generally, the list of annual additions and deletions as a result of the annual evaluation is publicly announced

via a press release in the early part of December. Replacements are made effective after the close of trading on the

67

third Friday in December. Moreover, if at any time during the year other than the Ranking Review, a Nasdaq-100

Index®

issuer no longer meets the continued eligibility criteria or is otherwise determined by Nasdaq to become

ineligible for continued inclusion in the Nasdaq-100 Index®, the issuer security will be replaced with the largest

market capitalization security not currently in the Nasdaq-100 Index®

and meeting the Nasdaq-100 Index®

initial

eligibility criteria listed above. Ordinarily, a security will be removed from the Nasdaq-100 Index® at its last sale

price. If, however, at the time of its removal the security is halted from trading on its primary listing market and an

official closing price cannot readily be determined, the security may, in Nasdaq’s discretion, be removed at a zero

price. The zero price will be applied to the security after the close of the market but prior to the time the official

closing value of the Nasdaq-100 Index® is disseminated, which is ordinarily 5:16:00 p.m. EST.

Index Maintenance

Changes in the price and/or the aggregate value of the then-current Nasdaq-100 Index® share weights of each of

the Nasdaq-100 Index® component securities driven by corporate events such as stock dividends, stock splits and

certain spin-offs and rights issuances are adjusted on the ex-date. If the change in total shares outstanding arising

from other corporate actions is greater than or equal to 10.0%, the change will be made to the Nasdaq-100 Index®

as

soon as practicable. Otherwise, if the change in total shares outstanding is less than 10.0%, then all such changes

are accumulated and made effective at one time on a quarterly basis after the close of trading on the third Friday in

each of March, June, September and December. The Nasdaq-100 Index®

share weights for those underlying stocks

are derived from each security’s total shares outstanding. The Nasdaq-100 Index®

share weights for those

underlying stocks are adjusted by the same percentage amount by which the total shares outstanding have changed

in those Nasdaq-100 Index® securities.

The price of the component security is adjusted for the amount of the special cash dividend. A dividend is

considered special if the information provided by the listing exchange in their announcement of the ex-date indicates

that the dividend is special. A special dividend may also be referred to as extra, extraordinary, non-recurring, one-

time, unusual, etc.

Index Rebalancing

On a quarterly basis coinciding with the quarterly scheduled Index Share adjustment procedures, the Nasdaq-

100 Index®

will be rebalanced if it is determined that: (1) the current weight of the single largest market

capitalization component security is greater than 24.0% and (2) the “collective weight” of those component

securities whose individual current weights are in excess of 4.5%, when added together, exceed 48.0% of the

Nasdaq-100 Index®. In addition, a special rebalancing of the Nasdaq-100 Index

® may be conducted at any time if it

is determined necessary to maintain the integrity of the Nasdaq-100 Index®.

If either one or both of these weight distribution requirements are met upon quarterly review or it is determined

that a special rebalancing is required, a weight rebalancing will be performed.

First, relating to weight distribution requirement (1) above, if the current weight of the single largest

component security exceeds 24.0%, then the weights of all Large Stocks (those greater than 1%) will be scaled

down proportionately towards 1.0% by enough for the adjusted weight of the single largest component security to be

set to 20.0%.

Second, relating to weight distribution requirement (2) above, for those component securities whose individual

current weights or adjusted weights in accordance with the preceding step are in excess of 4.5%, if their “collective

weight” exceeds 48.0%, then the weights of all Large Stocks will be scaled down proportionately towards 1.0% by

just enough for the “collective weight,” so adjusted, to be set to 40.0%.

The aggregate weight reduction among the Large Stocks resulting from either or both of the above rescaling

will then be redistributed to the Small Stocks (those stocks less than or equal to 1%) in the following iterative

manner.

In the first iteration, the weight of the largest Small Stock will be scaled upwards by a factor which sets it equal

to the average Index weight of 1.0%. The weights of each of the smaller remaining Small Stocks will be scaled up

by the same factor reduced in relation to each stock’s relative ranking among the Small Stocks such that the smaller

68

the component security in the ranking, the less the scale-up of its weight. This is intended to reduce the market

impact of the weight rebalancing on the smallest component securities in the Nasdaq-100 Index®.

In the second iteration, the weight of the second largest Small Stock, already adjusted in the first iteration, will

be scaled upwards by a factor which sets it equal to the average index weight of 1.0%. The weights of each of the

smaller remaining Small Stocks will be scaled up by this same factor reduced in relation to each stock’s relative

ranking among the Small Stocks such that, once again, the smaller the stock in the ranking, the less the scale-up of

its weight.

Additional iterations will be performed until the accumulated increase in weight among the Small Stocks

exactly equals the aggregate weight reduction among the Large Stocks from rebalancing in accordance with weight

distribution requirement (1) and/or weight distribution requirement (2).

Then, to complete the rebalancing procedure, once the final percent weights of each of the component securities

are set, the Nasdaq-100 Index® share weights will be determined anew based upon the last sale prices and aggregate

capitalization of the Nasdaq-100 Index® at the close of trading on the last day in February, May, August and

November. Changes to the Nasdaq-100 Index® share weights will be made effective after the close of trading on the

third Friday in March, June, September and December and an adjustment to the Nasdaq-100 Index® divisor will be

made to ensure continuity of the Nasdaq-100 Index®.

Ordinarily, new rebalanced weights will be determined by applying the above procedures to the current Nasdaq-

100 Index® share weights. However, NASDAQ OMX may from time to time determine rebalanced weights, if

necessary, by applying the above procedure to the actual current market capitalization of the component securities.

In such instances, NASDAQ OMX would announce the different basis for rebalancing prior to its implementation.

During at the quarterly rebalancing, data is cutoff as of the previous month-end and no changes are made to the

Nasdaq-100 Index® from that cutoff until the quarterly share change effective date with the single exception for

corporate actions with an ex-date. NASDAQ OMX may, from time to time, exercise reasonable discretion as it

deems appropriate in order to ensure the integrity of the Nasdaq-100 Index®.

69

BACKGROUND ON THE RUSSELL 2000® INDEX

All information contained in this index supplement regarding the Russell 2000® Index (a “Russell Index”),

including, without limitation, its make-up, method of calculation and changes in its components, has been derived

from publicly available information, without independent verification. This information reflects the policies of, and

is subject to change by, FTSE Russell, a company wholly owned by London Stock Exchange Group plc (the

“LSEG”). The Russell Indices were developed by Russell Investment Group and are calculated, maintained and

published by FTSE Russell. FTSE Russell has no obligation to publish, and may discontinue the publication of, the

Russell Indices.

The Russell 2000® Index measures the capitalization-weighted price performance of the small-capitalization

stocks included in the Russell 2000® Index (the “Component Stocks”) and is designed to track the performance of

the small-capitalization segment of the U.S. equity market. All stocks included in the Russell 2000® Index are

traded on an eligible U.S. exchange, as described above. The companies included in the Russell 2000® Index are the

middle 2,000 of the companies that form the Russell 3000E™ Index, which is composed of the 4,000 largest U.S.

companies as determined by total market capitalization and represents approximately 99% of the U.S. equity market.

The Russell 2000® Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”

Selection of Stocks Underlying the Russell Indices

The Russell Indices are sub-indices of the Russell 3000E™ Index. To be eligible for inclusion in the Russell

3000E™ Index and, consequently, a Russell Index, a company’s stock must be listed on the last trading day in May

of a given year, and FTSE Russell must have access to documentation on that date verifying the company’s

eligibility for inclusion. Eligible initial public offerings (“IPOs”) are added to Russell Indices at the end of each

calendar quarter, based on total market capitalization rankings within the market-adjusted capitalization breaks

established during the most recent reconstitution. To be added to any Russell Index during a quarter outside of

reconstitution, IPOs must meet all eligibility criteria, and as of the most recent reconstitution, must (i) be priced and

traded and (ii) rank larger in total market capitalization than the market-adjusted smallest company in the Russell

3000E™ Index as of the latest June reconstitution. A one-month window will be used to ensure that companies

submitting the requisite filings just outside of the quarter are not excluded from eligibility.

U.S. companies are eligible for inclusion in the Russell 3000E™ Index and, consequently, any Russell Index.

FTSE Russell uses the following method for determining whether a company is a U.S. company. If a company

incorporates in, has a stated headquarters location in and also trades in the same country (ADRs and ADSs are not

eligible), the company is assigned to its country of incorporation. If any of the three do not match, FTSE Russell

then defines three Home Country Indicators (“HCIs”). The HCIs are as follows:

country of incorporation;

country of headquarters; and

country of the most liquid exchange as defined by two-year average daily dollar trading volume from all

exchanges within a country.

After the HCIs are defined, the next step in the country assignment involves an analysis of assets by location.

FTSE Russell cross-compares the primary location of the company’s assets with the three HCIs. If the primary

location of assets matches any of the HCIs, then the company is assigned to its primary asset location.

If there is not enough information to determine a company’s primary country of assets, FTSE Russell uses the

primary location of the company’s revenue for the same cross-comparison and assigns the company to the

appropriate country in a similar fashion. FTSE Russell uses an average of two years of assets or revenue data for

analysis to reduce potential turnover.

If conclusive country details cannot be derived from assets or revenue, FTSE Russell assigns the company to

the country where its headquarters are located unless the country is a Benefit Driven Incorporation (“BDI”) country.

If the country in which its headquarters are located is a BDI country, the company is assigned to the country of its

most liquid stock exchange. The BDI countries are Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados,

70

Belize, Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe

Islands, Gibraltar, Guernsey, Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint

Maarten and Turks and Caicos Islands.

The following securities are specifically excluded from the Russell Indices: (i) stocks that are not traded on an

eligible U.S. exchange (Bulletin Board, Pink Sheet and over-the-counter (“OTC”) securities are not eligible,

including securities for which prices are displayed on the FINRA Alternative Display Facility); (ii) preferred stock,

convertible preferred stock, redeemable shares, participating preferred stock, warrants, rights, installment receipts

and trust receipts; and (iii) securities issued by royalty trusts, limited liability companies, closed-end investment

companies (due to SEC treatment of reporting, business development companies are no longer eligible as of the June

2014 annual reconstitution), blank-check companies, special purpose acquisition companies, limited partnerships,

exchange-traded funds and mutual funds.

The primary criterion used to determine the initial list of securities eligible for the Russell 3000E™ Index and,

consequently, any Russell Index, is total market capitalization, which is defined as the total number of outstanding

shares times the closing price of the shares as of the last trading day in May for those securities being considered at

annual reconstitution. An IPO’s eligibility is determined each quarter. Common stock, non-restricted exchangeable

shares and partnership units/membership interests (in certain cases) are used to calculate a company’s total market

capitalization. Exchangeable shares are shares that may be exchanged at any time, at the holder’s option, on a one-

for-one basis for common stock. Partnership units/membership interests represent an economic interest in a limited

partnership or limited liability company. FTSE Russell includes partnership units/membership interests as part of

total market capitalization when the company in question is a holding company whose sole asset is its partnership

units/membership interests in an underlying entity. In these cases, total market capitalization will be calculated

based on 100% of the value of all partnership units/membership interests. Any other form of shares — such as

preferred or convertible preferred stock, redeemable shares, participating preferred stock, warrants and rights or trust

receipts — is excluded from the calculation. If multiple share classes of common stock exist, they are combined. In

cases where the common stock share classes act independently of each other (e.g., tracking stocks), each class is

considered for inclusion separately.

During annual reconstitution, a stock’s closing price on its primary exchange on the last trading day in May

(typically, but a confirmed timetable is announced each spring) is used to determine total market capitalization. If

an eligible company trades under multiple share classes, FTSE Russell will review each share class independently

for inclusion in the Russell 3000E™ Index, and consequently, any Russell Index. Share classes in addition to the

primary share class that meet minimum size, liquidity and float requirements will also be eligible. Those share

classes must have a total market capitalization larger than that of the smallest company currently included in the

Russell 3000E™ Index, must have an average daily dollar trading value in excess of the median average daily dollar

trading value of all stocks eligible for inclusion in the Russell 3000E™ Index and must have greater float than 5% of

shares available in the marketplace. If the additional share class does not meet the requirements, the shares will be

aggregated with the primary share class to maintain a representative index weight for the company. For

reconstitution ranking purposes, all share classes for a company, including unlisted shares, will be aggregated and

total market capitalization will be based on the primary share class’s closing price. Rank will be determined based

on cumulative market capitalization. As of the 2016 annual reconstruction, share classes not qualifying for

eligibility independently will not be aggregated with the primary share class within the available shares calculation.

For companies with multiple share classes, the primary share class will be designated as the share class with the

highest two-year trading volume as of the last trading day in May. In the absence of two years’ worth of data, all

available data will be used in the determination. If the difference between trading volumes for each share class is

less than 20%, the share class with the most available shares outstanding will be used as the primary share class. At

least 100-day trading volume is necessary to consider the class as a primary share class for existing members. New

members will be analyzed on all available data, even if that data is for less than 100 days. If applicable, shares held

across different share classes will be represented on a mathematically equivalent basis. Growth, value, defensive

and dynamic probabilities will be based on that of the primary share class and assigned consistently across all

additional share classes. Shares of an additional share class distributed through mandatory corporation action to a

company’s existing shareholders or made available via initial public offering will be evaluated for separate

membership in the Russell 3000E™ Index, and consequently, any Russell Index. Index membership of additional

share classes that are added due to corporate actions will mirror that of the primary share class, as will style and

stability probabilities.

71

Once the market capitalization for each security is determined by use of total shares and price as described

above, each security is placed in the appropriate Russell market capitalization-based index. The largest 4,000

securities become members of the Russell 3000E™ Index. If eligible securities total less than 4,000, the Russell

3000E™ will include all eligible securities. Market capitalization breakpoints for the Russell 2000® Index are

determined by the break between the companies #1,001 and #3,000 (based on descending total market

capitalization).

After the initial market capitalization breakpoints are determined by the ranges listed above, new members are

assigned on the basis of the breakpoints and existing members are reviewed to determine if they fall within a

cumulative 5% market cap range around these new market capitalization breakpoints. If an existing member’s

market cap falls within this cumulative 5% of the market capitalization breakpoint, it will remain in its current index

rather than be moved to a different market capitalization-based Russell index. Companies that fall on the edge of

market capitalization breakpoints are often still within the manager’s opportunity set, since they have not

significantly grown or declined in market capitalization. As an exception, there will be no percentile banding at the

bottom of the Russell 3000® Index (stock 3,000) or the Russell 3000E™ Index (stock 4,000).

Set forth below are the steps in calculating percentile ranges:

Sort the Russell 3000E™ Index members in descending order by total market capitalization.

Calculate the total market capitalization of the Russell 3000E™ Index by summing all members’ total

market capitalizations.

Calculate percentiles for each company in the Russell 3000E™ Index by dividing the cumulative market

cap associated with each member by the total market cap of the Russell 3000E™ index.

Calculate a range of five percentiles around the newly determined market cap breakpoints, by subtracting,

and then adding, 2.5% from/to the calculated percentile of the market cap breakpoint.

After membership is determined, a security’s shares are adjusted to include only those shares available to the

public (“free float”). The purpose of this adjustment is to exclude from market calculations the capitalization that is

not available for purchase and is not part of the investable opportunity set. Stocks in the Russell Indices are

weighted by their available (also called float-adjusted) market capitalization, which is calculated by multiplying the

primary closing price by the available shares. Adjustments to shares are reviewed at reconstitution and for major

corporate actions such as mergers. For merger and spin-off transactions that are effective between the last trading

day in May and the Friday prior to annual reconstitution in June, the market capitalizations of the impacted

securities are recalculated and membership is reevaluated as of the effective date of the corporate action. For

corporate events that occur during the final week of reconstitution (during which reconstitution is finalized Friday

after U.S. market close), market capitalizations and memberships will not be reevaluated. Non-index members that

have been considered ineligible as of rank day (the last trading day in May) will not be reevaluated in the event of a

subsequent corporate action that occurs between rank day and the reconstitution effective date.

Companies with only a total market capitalization of less than $30 million are not eligible for inclusion in the

Russell 3000E™ Index or, consequently, any Russell Index.

In addition, companies with only 5% or less of their shares available in the marketplace are not eligible for

inclusion in the Russell 3000E™ Index or, consequently, any Russell Index. When unavailable shares are

determined to be 94.5% or greater, this will be rounded to 95%. Also, stocks must have a closing price at or above

$1.00 on their primary exchange on the last trading day in May to be eligible for inclusion in any Russell Index at

annual reconstitution. In order to reduce unnecessary turnover, if an existing Component Stock’s closing price is

less than $1.00 on its primary exchange on the last trading day in May, it will be considered eligible if the average of

the daily closing prices from its primary exchange during the month of May is equal to or greater than $1.00. If an

existing index member does not trade on the last trading day in May, it must price at $1.00 or above on another

eligible U.S. exchange to remain eligible. A stock added during the quarterly IPOs process is considered a new

index addition and therefore must have a close price on its primary exchange at or above $1.00 on the last day of the

IPO eligibility period in order to qualify for index inclusion.

72

Companies that produce unrelated business taxable income (“UBTI”) are restricted from ownership for tax-

exempt investors. In recognition of this, FTSE Russell screens all real estate investment trusts and publicly traded

partnerships, removing any security from eligibility that generates or has historically generated UBTI and has not

taken steps to block UBTI to equity holders. The research process is conducted as part of FTSE Russell’s annual

rebalance effort. Additional screening will not be assessed or changed outside of the reconstitution period.

Information used to confirm UBTI impact includes the following publicly available sources: 10-K, SEC Form S-3,

K-1, company annual report, dividend notices and the company website.

The Russell Indices are reconstituted annually to reflect changes in the marketplace. The list of companies is

ranked based on total market capitalization as of the last trading day in May, with the actual reconstitution occurring

on the last Friday in June each year, except that if the last Friday in June of any year is the 29th or 30th,

reconstitution will occur on the preceding Friday. Changes in the Component Stocks are pre-announced and subject

to change if any corporate activity occurs or if any new information is received prior to release. IPOs are considered

for inclusion on a quarterly basis.

Capitalization Adjustments

The following types of shares are removed from total market capitalization to arrive at free float or

available market capitalization. Adjustments are based on information recorded in SEC corporate filings,

including DEF 14, 424B, and 10K filings, or other reliable sources in the event of missing or questionable

data (but not 13F filings).

Officers’ and directors’ holdings — Shares held by officers and directors are considered unavailable and

removed entirely from available shares. FTSE Russell’s float research process allows removal of

options/warrants/convertibles from the officer and director holdings when those shares are provided in a

summed format within the footnotes. However, if FTSE Russell determines that a company is being

excluded from membership in the Russell 3000E™ Index solely on the basis of the minimum float

requirement, FTSE Russell will use best available information found within SEC filings, filed on or before

the rank day in May;

Large private holdings — Shares held privately will be removed from available shares if they exceed 10%

of shares outstanding. Share percentage is determined by those shares held either by an individual or by a

group of individuals acting together. Private equity and venture capital firms are considered large private

holders;

Institutional holdings — Shares held by investment companies, partnerships, insurance companies, mutual

funds and banks will be removed from available shares if their holding is greater than 30%. If a firm has a

direct relationship to the company, such as board representation, they will be considered strategic and will

be excluded regardless of the size of holding per the officers and directors’ exclusion rule;

Publicly listed companies — Shares held by publicly listed companies will be removed from the available

shares of a member of the Russell 3000E™ Index. Institutional holdings will be considered as available

unless the 30% threshold is surpassed, regardless of listing;

ESOP or LESOP shares — Shares held by an Employee Stock Ownership Plan (“ESOP”) or a Leveraged

Employee Stock Ownership Plan (“LESOP”) are considered unavailable and removed entirely from

available shares;

IPO lock-ups — Shares locked up during an IPO are not available to the public and will be excluded from

available shares at the time the IPO enters the Russell 3000E™ Index;

Government Holdings:

Direct government holders — those holdings listed as “government of” or shares held by

government controlled/affiliated entities are considered unavailable and will be removed entirely

from available shares;

73

Indirect government holders — shares held by government investment boards and/or investment

arms will be treated similarly to large private holdings and removed if the holding is greater than

10%; and

Government pensions — any holding by a government pension plan is considered an institutional

holding and will not be removed from available shares unless the holding is greater than 30%.

Corporate Actions Affecting the Russell Indices

FTSE Russell applies corporate actions to its indices on a daily basis, both to reflect the evolution of securities

and to ensure that the indices remain highly representative of the U.S. equity market. A company’s membership in a

Russell Index and its weight in that index can be impacted by these corporate actions. FTSE Russell uses a variety

of reliable public sources to determine when an action is final, including a company’s press releases and regulatory

filings; local exchange notifications; and official updates from other data providers FTSE Russell deems

trustworthy. Prior to the completion of a corporate action, FTSE Russell estimates the effective date on the basis of

the same above sources. As new information becomes available, FTSE Russell may revise the anticipated effective

date and the terms of the corporate action, before ultimately confirming its effective date. Depending upon the time

an action is determined to be final, FTSE Russell either (1) applies the action before the open on the ex-date or (2)

applies the action providing appropriate notice, referred to as a “delayed action” (see specific action types for details

on timing and procedure). FTSE Russell applies the following methodology guidelines when adjusting the

applicable Russell Index in response to corporate actions:

“No Replacement” Rule — Securities that leave the relevant Russell Index for any reason (e.g., mergers,

acquisitions or other similar corporate activity) are not replaced. Thus, the number of securities in the

relevant Russell Index over a year will fluctuate according to corporate activity.

Mergers and Acquisitions — Mergers and acquisitions (“M&A”) activity may result in changes to index

membership as well as to the shares included in the relevant Russell Index. Adjustment due to M&A

activity are applied to the relevant Russell Index after the action is determined to be final, typically after the

close of the last trade date of the target company, with provision of appropriate notice. In the event that a

Russell Index member is being acquired for cash or delisted subsequent to an index review, it will be

removed from the index concurrent with the index review assuming that the event can be considered “final”

and a minimum of two days’ notice can be provided, e.g., the last trade date of a constituent being acquired

is confirmed for the day following the index review. The Russell Index member will be moved from the

index in conjunction with the index review, assuming that two days’ notice can be provided. To avoid

unnecessary delays, FTSE Russell may consider M&A transactions “final” prior to shareholder approval or

prior to a delisting notice. FTSE Russell will consider prevailing shareholder sentiment, board/director

recommendations, exchange notification, expected completion date and stock price versus offer value when

making this decision.

Acquisition of a Russell Index member for cash — The target company is deleted from the

relevant Russell Index at the last traded price. In the event that trading in the target company has

halted at the time of implementation, it will be deleted from the relevant Russell Index using the

cash terms.

Merger between Russell Index members for stock — The target company is deleted from the

relevant Russell Index and the shares of the acquiring stock are increased, according to the offer

terms. FTSE Russell affects the action after it has considered the transaction as final with the

provision of a minimum two days’ notice. In the absence of an active market for the target

company at the time of index implementation, the target company will be deleted from the

relevant Russell Index using a synthetic price based on the offer terms.

Merger between Russell Index members for cash or stock, or a combination thereof — The target

company is deleted from the relevant Russell Index and the shares of the acquiring company are

simultaneously increased per the election results and the announced number of shares being issued

(adjusted to account for FTSE Russell’s current float factor of the target). If the terms are cash

74

and stock (no option); then the shares of the acquirer will be increased per the offer terms. In the

absence of an active market for the target company at the time of implementation, the target

company will be deleted from the relevant Russell Index using a synthetic price based on the

default offer terms (the consideration an investor will receive for non-election).

Acquisition of a Russell Index member by a non-member — Where the target company has been

acquired by a non-member for shares, or a combination of cash and shares, the acquiring company

will be included in the relevant Russell Index provided it is eligible in all other respects. If the

acquiring company has a different nationality assignment, it will be transferred to the appropriate

country index, with suitable noticed after the listing of the new shares. Only the shares received as

a result of the acquisition will be included in the relevant Russell Index on the effective date; any

shares previously attributed to the non-member will be added subsequently in accordance with the

shares in issue update policy (see Section 5.0). The new company will be added to the index on

the effective date using the offer terms (i.e. last close of the target company multiplied by the offer

terms).

Changes to Shares Outstanding — Changes to shares outstanding due to buybacks (including Dutch

auctions), secondary offerings, and other potential corporate activity are updated at the end of each month.

For FTSE Russell to implement a month-end change to available shares outstanding, the cumulative change

to available shares must be greater than 5%. Share changes that are confirmed by FTSE Russell’s vendors

and verified by FTSE Russell by use of an SEC filing at least six days prior to month end are implemented

and communicated to FTSE Russell’s subscribers five trading days prior to month end. The float factor last

determined (either at reconstitution or due to a corporate action implementation) is applied to the new

shares. If the float factor has been updated since reconstitution due to the implementation of a corporate

action, the updated float factor will be used. If any new shares issued are unavailable according to the

filing, that portion will not be added to the relevant Russell Index.

Changes to available shares outstanding due to merger activity between members of the relevant Russell

Index and non-members will be implemented if the availability of the newly issued shares can be

confirmed within the appropriate filings or press releases. When the new shares are partially available,

FTSE Russell will increase shares per the available amount if the cumulative change to available shares

outstanding is greater than 5%. When the availability of new shares cannot be confirmed with an

appropriate source, FTSE Russell will defer any increase to the next reconstitution, allowing for further

information to be announced. This applies to mergers with both publicly listed and privately held non-

members.

November and December month-end share changes will be processed as one event after the close on the

third Friday of each December along with fourth quarter IPO additions. This date is used rather than

December month end due to low liquidity in the financial markets at year end and the proximity of a

separate November month-end process.

Because annual reconstitution occurs in June, month-end share changes are not scheduled for the month of

June. Residual changes to shares outstanding that are not addressed as part of the annual reconstitution

process are rolled into the following July month-end process.

Spin-offs — If a constituent company is split and forms two or more companies by issuing new equity to

existing shareholders, then the resulting companies may be eligible to continue as constituents in the

Russell 2000® Index. FTSE Russell recognizes two distinct scenarios which will be implemented as

follows:

Spin-off of an Eligible Security: When a spin-off results in an eligible security being listed on an

eligible exchange, the spin-off company will remain in the relevant Russell Index on the ex-date of

the distribution. The spin-off company will be retained until the next annual reconstitution, where

it will be re-ranked or deleted, if evaluated for inclusion. Where the spin-off company has not

commenced trading within 20 business days from the ex-date of the distribution and no firm

trading date has been announced, then it will normally be deleted at zero value with two days’

75

notice. The ICB/RGS classifications and Free Float of the spun-off company will initially mirror

that of the parent. Any subsequent required When an index constituent spins off an ineligible

security type or the spin-off company is listed on an ineligible exchange only, the security will be

added to the relevant Russell Index on the ex-date change to either the parent or the spun-off

company will be applied with the appropriate notice period. The free float within the Russell

2000® Index will be evaluated at annual reconstitution.

Spin-off of an Ineligible Security: When an index constituent spins off an ineligible security type

or the spin-off company is listed on an ineligible exchange only, the security will be added to the

relevant Russell Index on the ex-date of the distribution. It will remain in the Russell 2000® Index

for two business days and then deleted at market price. If the ineligible security does not trade on

the ex-date it will remain in the Russell 2000® Index until it commences trading and then deleted

after two business days at market price. Where the spin-off entity has not commenced trading

within 20 business days from the ex-date of the distribution and no firm trading date has been

announced, then it will normally be deleted at zero value with T+2 notice. If when-issued trade

exists prior to the ex-date, the spin-off will not be added and a price adjustment only will be

implemented.

Tender Offers — In the case of a cash tender offer, the target company will normally be removed from the

relevant Russell Index with a minimum two days’ notice when (i) offer acceptances reach 90%,

shareholders have validly tendered, the shares have been irrevocably accepted for payment, all pertinent

offer conditions have been reasonably met and the acquirer has not explicitly stated it does not intend to

acquire the remaining shares, (ii) where the offer acceptances are below 90%, there is reason to believe that

the remaining free float is under 5% based on information available at the time or (iii) following

completion of the offer, the acquirer has stated an intent to finalize the acquisition via a short-form merger,

squeeze-out, top-up option or any other compulsory mechanism.

The target company is deleted from the relevant Russell Index at the last traded price. In the event that

trading in the target company has halted at the time of implementation, it will be deleted from the relevant

Russell Index at a price based on the offer terms. In the event where a company has been deleted from the

relevant Russell Index but retains a listing with a float greater than 5%, it will be considered for index

eligibility as a new issue following a period of 12 months.

Where the conditions for deletion are not met, FTSE Russell may implement a free float change based on

the reported acceptance results at the expiration of the initial, subsequent, or final offer period where (i) the

minimum acceptance level as stipulated by the acquirer has been met, (ii) shareholders have validly

tendered and the shares have been irrevocably accepted for payment and (iii) all pertinent offer conditions

have been reasonably met. A minimum two days’ notice period of the change is generally provided. If the

offer includes a stock consideration, the acquiring company’s shares will be increased proportionate to the

free float change of the target company. The target company will then be deleted as a second step, if the

conditions for deletion are achieved at the expiration of a subsequent offer period.

Voluntary Exchange Offers — A publicly traded company may offer to exchange or split off some or all of

its ownership in a separate publicly traded company. Shareholders are given the option to retain their

shares; or to exchange them, in full or in part, for shares of the “split-off” company. Once the offer expires,

FTSE Russell will decrease the available shares in the offering company, and increase the available shares

of the “split-off” company, based on the results of the offering. FTSE Russell will effect this change based

on, but not limited to, preliminary results, company filings, and exchange notices.

Bankruptcy and Voluntary Liquidations — A company that files for a Chapter 7 liquidation bankruptcy or

that files a liquidation plan will be removed from the relevant Russell Index at the time of filing. When

shareholder approval is required to finalize the liquidation plan, FTSE Russell will remove the security

once shareholder approval has been granted. A company that files for a Chapter 11 reorganization

bankruptcy will remain a member of the relevant Russell Index, unless the company’s stock is delisted

from the primary exchange, in which case normal delisting rules apply. If a company files for bankruptcy,

its stock is delisted, and it can be confirmed that the stock will not trade OTC, FTSE Russell may remove

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the stock at a nominal price of $0.0001. If a price of the company on an ineligible market is available, the

company may be removed using this price.

77

BACKGROUND ON THE S&P 500® INDEX

All information contained in this index supplement regarding the S&P 500®

Index, including, without

limitation, its make-up, method of calculation and changes in its components, has been derived from publicly

available information, without independent verification. This information reflects the policies of, and is subject to

change by, S&P Dow Jones Indices LLC (“S&P Dow Jones”). The S&P 500® Index is calculated, maintained and

published by S&P Dow Jones. S&P Dow Jones has no obligation to continue to publish, and may discontinue the

publication of, the S&P 500® Index.

The S&P 500® Index consists of stocks of 500 companies selected to provide a performance benchmark for the

U.S. equity markets. The S&P 500® Index is reported by Bloomberg L.P. under the ticker symbol “SPX.”

Composition of the S&P 500® Index

Changes to the S&P 500® Index are made as needed, with no annual or semi-annual reconstitution. Constituent

changes are typically announced one to five days before they are scheduled to be implemented.

Effective with the September 2015 rebalance, each class of stock for a company with multiple share classes is

separately evaluated for inclusion, and separately weighted, in the S&P 500® Index. It is possible that one listed

share class may be included in the S&P 500® Index while a second listed share class of the same company is

excluded. Unlisted share classes will not be combined with any other listed share classes, but these unlisted share

classes will be included in the company total market capitalization. For companies that issue a second publicly

traded share class to index share class holders, the newly issued share class will be considered for inclusion if the

event is mandatory and the market capitalization of the distributed class is not considered to be de minimis.

Additions to the S&P 500® Index are evaluated based on the following eligibility criteria:

Market Capitalization. The unadjusted company market capitalization should be within a specified range,

which is currently $5.3 billion or more. This range is reviewed from time to time to assure consistency

with market conditions. The market capitalization of a potential addition to the S&P 500® Index is looked

at in the context of its short- and medium-term historical trends, as well as those of its industry. S&P 500®

Index membership eligibility for a company with multiple share classes is based on the total market

capitalization of the company, including all publicly listed and unlisted share classes, if applicable. For

spin-offs, S&P 500® Index membership eligibility is determined using when-issued prices, if available.

Liquidity. Using composite pricing and volume, the ratio of annual dollar value traded to float-adjusted

market capitalization should be 1.00 or greater, and the stock should trade a minimum of 250,000 shares in

each of the six months leading up to the evaluation date. For companies with multiple share classes, each

listed share class is viewed independently to determine if its meets the liquidity criteria.

Domicile. The company should be a U.S. company, meaning a company that has the following

characteristics:

the company should file 10-K annual reports;

the U.S. portion of fixed assets and revenues should constitute a plurality of the total, but need not

exceed 50%. When these factors are in conflict, assets determine plurality. Revenue determines

plurality when there is incomplete asset information. If this criteria is not met or is ambiguous,

S&P Dow Jones may still deem the company to be a U.S. company for index purposes if its

primary listing, headquarters and incorporation are all in the United States and/or “a domicile of

convenience” (Bermuda, Channel Islands, Gibraltar, islands in the Caribbean, Isle of Man,

Luxembourg, Liberia or Panama);

the primary listing of the common stock is the New York Stock Exchange, NYSE Arca , NYSE

MKT, the NASDAQ Global Select Market, the NASDAQ Select Market, the NASDAQ Capital

Market, Bats BZX, Bats BYX, Bats EDGA or Bats EDGX exchanges. ADRs are not eligible for

inclusion; and

78

the company should have a corporate governance structure consistent with U.S. practice.

In situations where the only factor suggesting that a company is not a U.S. company is its tax registration in

a “domicile of convenience” or another location chosen for tax-related reasons, S&P Dow Jones normally

determines that the company is still a U.S. company. The final determination of domicile eligibility is

made by the S&P Dow Jones’s U.S. index committee, which can consider other factors including, but not

limited to, publicly available ownership information and location of management and employees.

Public Float. There should be a public float of at least 50% of the company’s stock. For companies with

multiple share classes, each share class is evaluated separately. Only those share classes with a public float

of at least 50% are considered for inclusion.

Sector Classification. The company is evaluated for its contribution to sector balance maintenance, as

measured by a comparison of each GICS® sector’s weight in the S&P 500

® Index with its weight in the

S&P Total Market Index (which is a market-capitalization weighted index that includes all eligible

securities described below), in the relevant market capitalization range.

Financial Viability. The sum of the most recent four consecutive quarters’ Generally Accepted Accounting

Principles (GAAP) earnings (net income excluding discontinued operations) should be positive as should

the most recent quarter. For equity real estate investment trusts (REITs), financial viability is based on

GAAP earnings and/or Funds From Operations (FFO), if reported.

Treatment of IPOs. Initial public offerings should be seasoned for six to 12 months before being considered

for addition to the S&P 500® Index.

Eligible Securities. Eligible securities are the common stock of U.S. companies with a primary listing on

one of the following U.S. exchanges: the New York Stock Exchange, NYSE Arca , NYSE MKT, the

NASDAQ Global Select Market, the NASDAQ Select Market, the NASDAQ Capital Market, Bats BZX,

Bats BYX, Bats EDGA or Bats EDGX exchanges. Ineligible exchanges include the OBC bulletin board

and pink sheets. Eligible organizational structures and share types are corporations (including equity and

mortgage REITs) and common stock (i.e., shares). Ineligible organizational structures and share types

include business development companies (BDCs), limited partnerships, master limited partnerships, limited

liability companies (LLCs), closed-end funds, ETFs, ETNs, royalty trusts, preferred and convertible

preferred stock, unit trusts, equity warrants, convertible bonds, investment trusts, rights, ADRs and tracking

stocks.

Removals from the S&P 500® Index are evaluated based as follows:

Companies that are involved in mergers, acquisitions, or significant restructuring such that they no longer

meet inclusion criteria. Companies delisted as a result of merger, acquisition or other corporate action are

removed at a time announced by S&P Dow Jones, normally at the close of the last day of trading or

expiration of a tender offer. Constituents that are halted from trading may be kept in the S&P 500® Index

until trading resumes, at the discretion of S&P Dow Jones. If a stock is moved to the pink sheets or the

bulletin board, the stock is removed.

Companies that substantially violate one or more of the addition criteria. S&P Dow Jones believes

turnover in index membership should be avoided when possible. At times a stock may appear to

temporarily violate one or more of the addition criteria. However, the addition criteria are for addition to

an index, not for continued membership. As a result, an index constituent that appears to violate criteria for

addition to that index is not deleted unless ongoing conditions warrant an index change. When a stock is

removed from an index, S&P Dow Jones explains the basis for the removal.

Calculation of the S&P 500® Index

The S&P 500® Index is a float-adjusted market capitalization-weighted index. On any given day, the index

value of the S&P 500® Index is the total float-adjusted market capitalization of the S&P 500

® Index’s constituents

79

divided by its divisor. The float-adjusted market capitalization reflects the price of each stock in the S&P 500®

Index multiplied by the number of shares used in the index value calculation.

Float Adjustment. Float adjustment means that the number of shares outstanding is reduced to exclude closely

held shares from the calculation of the index value because such shares are not available to investors. The goal of

float adjustment is to distinguish between strategic (control) shareholders, whose holdings depend on concerns such

as maintaining control rather than the economic fortunes of the company, and those holders whose investments

depend on the stock’s price and their evaluation of a company’s future prospects. Generally, these “control holders”

include officers and directors, private equity, venture capital & special equity firms, other publicly traded companies

that hold shares for control, strategic partners, holders of restricted shares, employee stock ownership plans,

employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock or

government entities at all levels (other than government retirement/pension funds) and any individual person who

controls a 5% or greater stake in a company as reported in regulatory filings. Shares that are not considered

outstanding are also not included in the available float. These generally include treasury stock, stock options, equity

participation units, warrants, preferred stock, convertible stock and rights.

For each component, S&P Dow Jones calculates an Investable Weight Factor (“IWF”), which represents the

portion of the total shares outstanding that are considered part of the public float for purposes of the S&P 500®

Index.

Divisor. Continuity in index values of the S&P 500® Index is maintained by adjusting its divisor for all changes

in its constituents’ share capital after its base date. This includes additions and deletions to the S&P 500® Index,

rights issues, share buybacks and issuances and non-zero price spin-offs. The value of the S&P 500® Index’s divisor

over time is, in effect, a chronological summary of all changes affecting the base capital of the S&P 500® Index.

The divisor of the S&P 500® Index is adjusted such that the index value of the S&P 500

® Index at an instant just

prior to a change in base capital equals the index value of the S&P 500® Index at an instant immediately following

that change.

Maintenance of the S&P 500® Index

Changes in response to corporate actions and market developments can be made at any time. Constituent

changes are typically announced one to five days before they are scheduled to be implemented.

Share Updates. Changes in a company’s shares outstanding due to its acquisition of another public company are

made as soon as reasonably possible. At S&P Dow Jones’ discretion, de minimis merger and acquisition share

changes are accumulated and implemented with the quarterly share rebalancing. All other changes of less than 5%

are accumulated and made quarterly on the third Friday of March, June, September and December.

5% Rule. Changes in a company’s total shares outstanding of 5% or more due to public offerings are made as

soon as reasonably possible. Other changes of 5% or more (for example, due to tender offers, Dutch auctions,

voluntary exchange offers, company stock repurchases, private placements, acquisitions of private companies or

non-index companies that do not trade on a major exchange, redemptions, exercise of options, warrants, conversion

of preferred stock, notes, debt, equity participations, at-the-market stock offerings or other recapitalizations) are

made weekly, and are announced on Fridays for implementation after the close of trading the following Friday (one

week later). If an exchange holiday/closure falls on a Friday, the weekly share change announcement will be made

the day before the exchange holiday/closure and the implementation date will remain after the close of trading the

following Friday (i.e., one week later).

If a 5% or more share change causes a company’s IWF to change by five percentage points or more (for

example from 0.80 to 0.85), the IWF is updated at the same time as the share change. IWF changes resulting from

partial tender offers are considered on a case-by-case basis.

For weekly share reviews involving companies with multiple share classes, the 5% share change threshold is

based on each individual share class rather than total company shares.

Share/IWF Freezes. A share/IWF freeze period is implemented during each quarterly rebalancing. The freeze

period begins after the market close on the Tuesday preceding the second Friday of each rebalancing month (i.e.,

80

March, June, September, and December) and ends after the market close on the third Friday of a rebalancing month.

Pro-forma files are normally released after the market close on the second Friday, one week prior to the rebalancing

effective date. In September, preliminary share and float data are released on the first Friday of the month, but the

share freeze period for September will follow the same schedule as the other three quarterly share freeze periods.

During the share/IWF freeze period, shares and IWFs are not changed except for certain corporate action events

(such as merger activity, stock splits and rights offerings). There is no weekly share change announcement on the

second Friday of a rebalance month.

Corporate Actions. Corporate actions (such as stock splits, stock dividends, non-zero price spin-offs and rights

offerings) are applied after the close of trading on the day prior to the ex-date.

Other Adjustments. In cases where there is no achievable market price for a stock being deleted, it can be

removed at a zero or minimal price at the S&P Dow Jones’s U.S. index committee’s discretion, in recognition of the

constraints faced by investors in trading bankrupt or suspended stocks.

The table below summarizes types of index maintenance adjustments and indicates whether or not a divisor

adjustment is required.

Type of

Corporate Action Comments

Divisor

Adjustment

Company added/deleted Net change in market value determines divisor adjustment. Yes

Change in shares

outstanding

Any combination of secondary issuance, share repurchase or

buy back – share counts revised to reflect change.

Yes

Stock split Share count revised to reflect new count. Divisor adjustment

is not required since the share count and price changes are

offsetting.

No

Non-zero price spin-off If the spun-off company is not being added to the index, the

divisor adjustment reflects the decline in index market value

(i.e., the value of the spun-off unit).

Yes

Non-zero price spin-off Spun-off company added to the index, no company removed

from the index.

No

Non-zero price spin-off Spun-off company added to the index, another company

removed to keep number of names fixed. Divisor adjustment

reflects deletion.

Yes

Change in IWF Increasing (decreasing) the IWF increases (decreases) the

total market value of the index. The divisor change reflects

the change in market value caused by the change to an IWF.

Yes

Special dividend When a company pays a special dividend, the share price is

assumed to drop by the amount of the dividend; the divisor

adjustment reflects this drop in index market value.

Yes

Rights offering Each shareholder receives the right to buy a proportional

number of additional shares at a set (often discounted) price.

The calculation assumes that the offering is fully subscribed.

Divisor adjustment reflects increase in market capitalization

measured as the shares issued multiplied by the price paid.

Yes

Stock splits and stock dividends do not affect the divisor, because following a split or dividend, both the stock

price and number of shares outstanding are adjusted by S&P Dow Jones so that there is no change in the market

value of the relevant component. All stock split and dividend adjustments are made after the close of trading on the

day before the ex-date.

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Governance of the S&P 500® Index

The S&P 500® Index is maintained by S&P Dow Jones’s U.S. index committee. All index committee members

are full-time professional members of S&P Dow Jones’ staff. The index committee meets monthly. At each

meeting, the index committee reviews pending corporate actions that may affect index constituents, statistics

comparing the composition of the indices to the market, companies that are being considered as candidates for

addition to an index, and any significant market events. In addition, the index committee may revise index policy

covering rules for selecting companies, treatment of dividends, share counts or other matters.

82

BACKGROUND ON THE TOPIX® INDEX

All information contained in this index supplement regarding the Tokyo Stock Price Index, or the TOPIX®

Index, including, without limitation, its make-up, method of calculation and changes in its components, has been

derived from publicly available information, without independent verification. This information reflects the policies

of, and is subject to change by, the Tokyo Stock Exchange (the “TSE”). The TOPIX® Index is calculated,

maintained and published by the TSE. The TSE has no obligation to continue to publish, and may discontinue

publication of, the TOPIX® Index.

The TOPIX® Index is reported by Bloomberg L.P. under the ticker symbol “TPX.”

The component stocks of the TOPIX® Index consist of all Japanese common stocks listed on the First Section of

the TSE. The TOPIX® Index measures changes in the aggregate market value of these stocks. The TOPIX

® Index

was developed by the TSE. Publication of the TOPIX® Index began on July 1, 1969, based on an initial Index value

of 100 at January 4, 1968, which was reset at 1,000 on April 1, 1998. The TOPIX® Index is computed and

published every second via TSE’s Market Information System, and is reported to securities companies across Japan

and available worldwide through computerized information networks.

The TSE Japanese stock market is divided into two sections: the First Section and the Second Section. Listings

of stocks on the TSE are divided between these two sections, with stocks listed on the First Section typically being

limited to larger, longer established and more actively traded issues and the Second Section to smaller and newly

listed companies. The component stocks of the TOPIX® Index are determined based on market capitalization and

liquidity. Review and selection of component stocks is conducted semiannually, based on market data as of the base

date for selection.

The TOPIX® Index is a free-float adjusted market capitalization-weighted index, with the market price of each

component stock multiplied by the number of shares listed (as adjusted by multiplying the free-float weight

(“FFW”) to take into account only the listed shares deemed to be available for trading in the market). The TSE is

responsible for calculating and maintaining the TOPIX® Index, and can add, delete or substitute the stocks

underlying the TOPIX®

Index or make other methodological changes that could change the value of the TOPIX®

Index. The underlying stocks may be removed, if necessary, in accordance with deletion/addition rules which

provide generally for the deletion of a stock from the TOPIX® Index if such stock ceases to meet the criteria for

inclusion. Stocks listed on the Second Section of the TSE may be transferred to the First Section if they satisfy

applicable criteria. Such criteria include numerical minimum values for number of shares listed, number of

shareholders and average monthly trading volume, among others. Similarly, when a First Section stock falls within

the coverage of TSE rules prescribing reassignment thereof to the Second Section, such stock will be removed from

the First Section.

The TOPIX® Index is not expressed in Japanese yen, but is presented in terms of points (as a decimal figure),

rounded to the nearest one-hundredth. The TOPIX® Index is calculated by multiplying 100 by the figure obtained

by dividing the current free-float adjusted market value (the current market price per share at the time of the index

calculation multiplied by the number of free-float adjusted common shares listed on the First Section of the TSE at

the same instance) (as adjusted by multiplying the FFW) (the “Current Market Value”) by the base market value

(i.e., the Current Market Value on the base date) (the “Base Market Value”).

The calculation of the TOPIX® Index can be represented by the following formula:

Index = Current Market Value

× 100 Base Market Value

In order to maintain continuity, the Base Market Value is adjusted from time to time to ensure that it reflects

only price movements resulting from auction market activity, and to eliminate the effects of other factors and

prevent any instantaneous change or discontinuity in the level of the TOPIX® Index. Such factors include, without

limitation: new listings, delistings, new share issues either through public offerings or through rights offerings to

shareholders, issuance of shares as a consequence of exercise of convertible bonds or warrants, and transfer of listed

securities from the First Section to the Second Section of the TSE.

83

The formula for the adjustment is as follows:

Free-float adjusted Market Value on

business day before adjustment date

=

(Free-float adjusted Market Value on business day

before adjustment date ± Adjustment Amount)

Base Market Value before adjustment Base Market Value after adjustment

Where Adjustment Amount is equal to the changes in the number of shares included in the calculation of the

TOPIX® Index multiplied by the price of those shares used for the purposes of the adjustment.

Therefore,

New Base Market

Value =

Old Base Market Value ×

(Free-float adjusted Market Value on business day

before adjustment date ± Adjustment Amount)

Free-float adjusted Market Value on business day

before adjustment date

The Base Market Value remains at the new value until a further adjustment is necessary as a result of another

change. As a result of such change affecting the Current Market Value or any stock underlying the TOPIX® Index,

the Base Market Value is adjusted in such a way that the new value of the TOPIX® Index will equal the level of the

TOPIX® Index immediately prior to such change.

No adjustment is made to the Base Market Value, however, in the case of events such as stock splits or

decreases in capital without compensation, which theoretically do not affect market capitalization.

The Tokyo Stock Exchange

The TSE is one of the world’s largest securities exchanges in terms of market capitalization. Trading hours are

currently from 9:00 a.m. to 11:00 a.m. and from 12:30 p.m. to 3:00 p.m., Tokyo time, Monday through Friday.

Due to the time zone difference, the TSE will close on any normal trading day prior to the opening of business

in New York City on the same calendar day. Therefore, the closing level of the TOPIX® Index

on a trading day will

generally be available in the United States by the opening of business on the same calendar day.

The TSE has adopted certain measures, including daily price floors and ceilings on individual stocks, intended

to prevent any extreme short-term price fluctuations resulting from order imbalances. In general, any stock listed on

the TSE cannot be traded at a price lower than the applicable price floor or higher than the applicable price ceiling.

These price floors and ceilings are expressed in absolute Japanese yen, rather than percentage limits based on the

closing price of the stock on the previous trading day. In addition, when there is a major order imbalance in a listed

stock, the TSE posts a “special bid quote” or a “special asked quote” for that stock at a specified higher or lower

price level than the stock’s last sale price in order to solicit counter-orders and balance supply and demand for the

stock. Prospective investors should also be aware that the TSE may suspend the trading of individual stocks in

certain limited and extraordinary circumstances, including, for example, unusual trading activity in that stock. As a

result, changes in the TOPIX® Index

may be limited by price limitations or special quotes, or by suspension of

trading, on individual stocks that make up the TOPIX® Index, and these limitations, in turn, may adversely affect the

Index.

84

BACKGROUND ON THE FEDERAL REPUBLIC OF GERMANY

Any and all disclosures contained in this index supplement regarding the Federal Republic of Germany

(“Germany”) and German debt securities, including Bund (the “German Bonds”), have been derived from publicly

available documents, without independent verification. In connection with any offering of instruments linked to the

Index, the Bank has not participated in the preparation of those documents or made any due diligence inquiry with

respect to the information provided in those documents. Furthermore, no assurance can be given that all events

occurring prior to the date of this index supplement (including events that would affect the accuracy or completeness

of the publicly available documents) that would affect the performance of Germany or the German Bonds have been

publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material

future events concerning Germany or the German Bonds described in those publicly available documents could

affect the performance of the German Bonds and, therefore, the Index. Neither the Bank nor any of its affiliates

makes any representation as to the performance of Germany or the German Bonds.

Germany

Germany is a foreign sovereign government. Germany, as co-signatory with respect to Landwirtschaftliche

Rentenbank and as guarantor and co-signatory with respect to KfW, has filed financial and other information with

the SEC in registration statements under Schedule B of the Securities Act of 1933. Information filed by Germany

with the SEC can be reviewed, without cost, electronically through a web site maintained by the SEC. The address

of the SEC’s web site is http://www.sec.gov. Information filed with the SEC by Germany can be located by

reference to Landwirtschaftliche Rentenbank’s CIK Code: 0001144797, and KfW’s CIK Code: 0000821533.

In addition, information filed with the SEC can be inspected and copied at the Public Reference Section of the

SEC, 100 F Street, N.E., Room 1580, Washington D.C. 20549. Copies of this material can also be obtained from

the Public Reference Section, at prescribed rates.

Various third-party websites contain detailed information regarding Germany and its government, economy and

fiscal affairs, including (i) http://www.cia.gov (World Factbook); (ii) http://databank.worldbank.org (World

dataBank); and (iii) http://www.imf.org (International Monetary Fund). Information contained in these third-party

websites is not incorporated by reference in, and should not be considered a part of, this index supplement. The

Bank makes no representation or warranty as to the accuracy or completeness of information contained on these

third-party websites.

Germany and its various agencies and affiliates also maintain websites that contain such information, in

English, including (i) http://www.deutsche-finanzagentur.de (Bundesrepublik Deutschland Finanzagentur GmbH);

(ii) http://www.bundesbank.de (Deutsche Bundesbank); and (iii) http://www.destatis.de (Statistisches Bundesamt

Deutschland). Information contained in these German websites is not incorporated by reference in, and should not

be considered a part of, this index supplement. The Bank makes no representation or warranty as to the accuracy or

completeness of information contained on these German websites.

German Bonds

The German Bonds are German-government debt securities issued by the German Finance Agency. The

German Bonds pay a fixed coupon every year until maturity, at which point the holder is entitled to receive the final

coupon payment and the return of the principal. The coupon rate for German Bond issuances varies, with the rate

generally reflecting the market interest rate at the time of the first issue of the relevant German Bonds.

85

BACKGROUND ON JAPAN

Any and all disclosures contained in this index supplement regarding Japan and Japanese government bonds

(“Japanese Bonds”) have been derived from publicly available documents, without independent verification. In

connection with any offering of instruments linked to the Index, the Bank has not participated in the preparation of

those documents or made any due diligence inquiry with respect to the information provided in those documents.

Furthermore, no assurance can be given that all events occurring prior to the date of this index supplement

(including events that would affect the accuracy or completeness of the publicly available documents) that would

affect the performance of Japan or the Japanese Bonds have been publicly disclosed. Subsequent disclosure of any

such events or the disclosure of or failure to disclose material future events concerning Japan or the Japanese Bonds

described in those publicly available documents could affect the performance of the Japanese Bonds and, therefore,

the Index. Neither the Bank nor any of its affiliates makes any representation as to the performance of Japan or the

Japanese Bonds.

Japan

Japan is a foreign sovereign government. Japan, as registrant, has filed financial and other information

specified by the SEC in annual reports pursuant to the Securities Act of 1933. Additionally, Japan, as guarantor

with respect to the Japan Finance Corporation, has filed financial and other information with the SEC in registration

statements under Schedule B of the Securities Act of 1933. Information filed by Japan with the SEC can be

reviewed, without cost, electronically through a web site maintained by the SEC. The address of the SEC’s web site

is http://www.sec.gov. Information filed with the SEC by Japan as registrant can be located by reference to its CIK

Code: 0000837056 and as guarantor by reference to Japan Finance Corporation’s CIK Code: 0001109604.

In addition, information filed with the SEC can be inspected and copied at the Public Reference Section of the

SEC, 100 F Street, N.E., Room 1580, Washington, D.C. 20549. Copies of this material can also be obtained from

the Public Reference Section, at prescribed rates.

Various third party websites contain detailed information regarding Japan and its government, economy and

fiscal affairs, including (i) http://www.cia.gov (World Factbook); (ii) http://databank.worldbank.org (World

dataBank); and (iii) http://www.imf.org (International Monetary Fund). Information contained in these third-party

websites is not incorporated by reference in, and should not be considered a part of, this index supplement. The

Bank makes no representation or warranty as to the accuracy or completeness of information contained on these

third-party websites.

Japan and its various agencies and affiliates also maintain websites that contain such information, in English,

including (i) http://www.mof.go.jp (Ministry of Finance Japan); (ii ) http://www.boj.or.jp (Bank of Japan); and (iii)

http://www.stat.go.jp (Statistics Bureau and Director-General for Policy Planning of Japan). Information contained

in these Japanese websites is not incorporated by reference in, and should not be considered a part of, this index

supplement. The Bank makes no representation or warranty as to the accuracy or completeness of information

contained on these Japanese websites.

Japanese Bonds

Japanese Bonds are Japan-government debt securities issued by the Ministry of Finance Japan. Japanese Bonds

pay a fixed coupon every six months until maturity, at which point the holder is entitled to receive the final coupon

payment and the return of the principal. The coupon rate for Japanese Bond issuances varies, with the rate generally

reflecting the market interest rate at the time of the first issue of the Japanese Bonds.

86

BACKGROUND ON THE UNITED KINGDOM

Any and all disclosures contained in this index supplement regarding the United Kingdom of Great Britain and

Northern Ireland (“United Kingdom”) and conventional gilts (“Gilts”) have been derived from publicly available

documents, without independent verification. In connection with any offering of instruments linked to the Index, the

Bank has not participated in the preparation of those documents or made any due diligence inquiry with respect to

the information provided in those documents. Furthermore, no assurance can be given that all events occurring prior

to the date of this index supplement (including events that would affect the accuracy or completeness of the publicly

available documents) that would affect the performance of the United Kingdom or the Gilts have been publicly

disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events

concerning the United Kingdom or the Gilts described in those publicly available documents could affect the

performance of the Gilts and, therefore, the Index. Neither the Bank nor any of its affiliates makes any

representation to you as to the performance of the United Kingdom or the Gilts.

The United Kingdom

The United Kingdom is a foreign sovereign government. Various third-party websites contain detailed

information regarding the United Kingdom and its government, economy and fiscal affairs, including (i)

http://www.cia.gov (World Factbook); (ii) http://databank.worldbank.org (World dataBank); and (iii)

http://www.imf.org (International Monetary Fund). Information contained in these third-party websites is not

incorporated by reference in, and should not be considered a part of, this index supplement. The Bank makes no

representation or warranty as to the accuracy or completeness of information contained on these third-party

websites.

The United Kingdom and its various agencies and affiliates also maintain websites that contain such

information, in English, including (i) http://www.hm-treasury.gov.uk/ (HM Treasury); (ii) http://www.dmo.gov.uk/

(United Kingdom Office of Debt Management); (iii) http://www.bankofengland.co.uk (Bank of England); and (iv)

http://www.ons.gov.uk/ons/index.html (Office for National Statistics). Information contained in these British

websites is not incorporated by reference in, and should not be considered a part of, this index supplement. The

Bank makes no representation or warranty as to the accuracy or completeness of information contained on these

British websites.

Gilts

The Gilts are United Kingdom-government debt securities issued by the United Kingdom Debt Management

Office. Gilts pay a fixed coupon every six months until maturity, at which point the holder is entitled to receive the

final coupon payment and the return of the principal. The coupon rate for Gilt issuances varies, with the rate

generally reflecting the market interest rate at the time of the first issue of the relevant Gilts.

A-1

ANNEX A: THE J.P. MORGAN MOZAIC II INDEX RULES

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The J.P. Morgan Mozaic IISM Index Index Rules

December 28, 2016

© All Rights Reserved

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CONTENTS

1. Introduction ......................................................................................................................................................... 4

2. Index Sponsor and Index Calculation Agent ..................................................................................................... 4

2.1 Identity and responsibilities ........................................................................................................................ 4

2.2 Index Sponsor determinations and Index Calculation Agent determinations ........................................... 5

3. Amendments........................................................................................................................................................ 5

4. General Notes on the Index ................................................................................................................................ 5

5. Publication of Index Levels and rounding ......................................................................................................... 7

6. The Basket Constituents ..................................................................................................................................... 8

7. Futures Tracker Level of each Futures Constituent ....................................................................................... 12

7.1 Scheduled Roll Period for each Futures Constituent ................................................................................ 12

7.2 Actual Roll Period for a Futures Constituent ............................................................................................ 13

7.3 Implementation of the roll ........................................................................................................................ 15

7.4 Futures Tracker Level of a Futures Constituent ....................................................................................... 17

8. Initial composition of the Index ....................................................................................................................... 19

9. Monthly Units for the Basket Constituents ..................................................................................................... 19

9.1 Identifying the Preliminary Weight of each Basket Constituent for a Monthly Selection Date ................. 20

9.2 Identifying the Monthly Constituent Weight of each Basket Constituent for a Monthly Selection Date 25

9.3 Unitizing the Monthly Constituent Weight of each Basket Constituent for a Monthly Selection Date ... 28

10. Monthly Rebalancing ........................................................................................................................................ 29

10.1 Futures Constituent Effective Monthly Rebalancing Days ....................................................................... 29

10.2 Commodity Monthly Effective Rebalancing Days for a Commodity Constituent .................................... 31

10.3 Determination of the Current Units for a Basket Constituent in respect of a Weekday t ....................... 33

10.4 Determination of the Current Units for a Basket Constituent in respect of a Weekday t-1 .................... 34

11. Exposure flattening ........................................................................................................................................... 34

11.1 Calculating the Flattening Signal ............................................................................................................. 34

11.2 Calculating the Effective Exposure for each Futures Constituent............................................................ 36

11.3 Calculating the Effective Exposure for each Commodity Constituent ..................................................... 37

12. Index Levels ....................................................................................................................................................... 38

12.1 Determination of the Relevant Futures Input Day ................................................................................... 39

12.2 Determination of the Relevant Commodity Input Day ............................................................................. 40

12.3 Determination of whether a Relevant Commodity Input Day is a Relevant Commodity Constituent Closing Input Day, a Relevant Commodity Constituent Settlement Input Day or a Relevant Commodity Constituent Determination Input Day .................................................................................................................... 40

12.4 Calculation of the Index Level ................................................................................................................... 41

12.5 Closing level for a Commodity Constituent ............................................................................................... 42

13. Treatment of Basket Constituents for determination days............................................................................ 43

13.1 Treatment of a Futures Constituent Roll Determination Day for a Futures Constituent........................ 43

13.2 Treatment of a Futures Constituent Monthly Rebalancing Determination Day for a Futures Constituent .............................................................................................................................................................. 43

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13.3 Treatment of a Relevant Commodity Constituent Determination Input Day for a Commodity Constituent .............................................................................................................................................................. 44

13.4 Definitions related to determinations ...................................................................................................... 45

14. U.S. Small Cap Exchange Succession Event ..................................................................................................... 46

15. Succession events and Extraordinary Events ................................................................................................. 48

15.1 Succession events for Basket Constituents................................................................................................ 48

15.2 Extraordinary Events for a Basket Constituent ........................................................................................ 49

15.3 Definitions related to an Extraordinary Event ......................................................................................... 50

16. Hypothetical back-tested levels ....................................................................................................................... 52

17. No advice or offer of securities......................................................................................................................... 53

18. Corrections ........................................................................................................................................................ 53

19. Definitions ......................................................................................................................................................... 54

Schedule 1................................................................................................................................................................... 62

Notices, Disclaimers and Conflicts of Interest ......................................................................................................... 63

Index Disclaimers....................................................................................................................................................... 66

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THE J.P. MORGAN MOZAIC IISM INDEX INDEX RULES

1. Introduction

This document comprises the rules (as may be supplemented, amended or restated from time to time, the “Index Rules”) of the J.P. Morgan Mozaic IISM Index (the “Index”), a notional rules-based proprietary index. ALL PERSONS READING THIS DOCUMENT SHOULD REFER TO THE RISK FACTORS AND NOTICES, DISCLAIMERS AND CONFLICTS OF INTEREST SECTIONS BELOW AND CONSIDER THE INFORMATION CONTAINED IN THIS DOCUMENT IN LIGHT OF SUCH RISK FACTORS, NOTICES, DISCLAIMERS AND CONFLICTS OF INTEREST. NOTHING IN THE INDEX RULES CONSTITUTES AN OFFER TO BUY OR SELL ANY FINANCIAL PRODUCT, PARTICIPATE IN ANY TRANSACTION OR ADOPT ANY INVESTMENT STRATEGY. THE INDEX RULES DO NOT CONSTITUTE INVESTMENT, LEGAL, TAX, REGULATORY OR ACCOUNTING ADVICE. This document is published by the Index Sponsor.

2. Index Sponsor and Index Calculation Agent

2.1 Identity and responsibilities

As of the Live Date (as defined and specified in Section 8 (Initial composition of the Index) below), J.P. Morgan Securities plc (“JPMS plc”) is the sponsor of the Index (the “Index Sponsor”, which term shall include any successor or assign of the Index Sponsor). The Index Sponsor may appoint a successor sponsor or assign, delegate or transfer any or all of its rights, obligations or responsibilities in its capacity as Index Sponsor in connection with the Index to one or more entities (including an unrelated third party) that the Index Sponsor determines appropriate. The Index Calculation Agent (unless the Index Calculation Agent is the same entity as the Index Sponsor) must obtain written permission from the Index Sponsor prior to any delegation or transfer of the Index Calculation Agent’s responsibilities or obligations in connection with the Index. The initial Index Sponsor is responsible for, among other things, the creation and design of the Index and the documentation of the Index Rules. The Index Sponsor is responsible for the appointment of the calculation agent of the Index (the “Index Calculation Agent”), which may be the Index Sponsor, an unrelated third party or an affiliate or subsidiary of the Index Sponsor. The Index Calculation Agent will (unless the Index Calculation Agent is the same entity as the Index Sponsor) be an agent of the Index Sponsor. As of the Live Date, the Index Sponsor has appointed JPMS plc to be the initial Index Calculation Agent. The Index Sponsor may at any time and for any reason (i) appoint a successor Index Calculation Agent, if the Index Sponsor is at that time the Index Calculation Agent or (ii) terminate the appointment of the Index Calculation Agent and appoint an alternative entity as a replacement Index Calculation Agent, if the Index Sponsor is not at that time the Index Calculation Agent. The Index Calculation Agent is responsible for (i) calculating the Index Level for each Scheduled Publication Day (each as defined herein) in accordance with the Index Rules and (ii) determining (among other things and subject to the prior agreement of the Index Sponsor or at the direction of the Index Sponsor) if a Futures Market Disruption Event or Extraordinary Event (each as defined herein) has occurred, whether any input necessary to perform any calculations under the Index Rules is not published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent (as further described in Section 5 (Publication of Index Levels and rounding), and any related consequences or adjustments in accordance with the Index Rules. The Index Calculation Agent shall act in good faith and in a commercially reasonable manner in making determinations, interpretations and calculations pursuant to the Index Rules. Subject to the prior agreement of the Index Sponsor, the Index Calculation Agent’s determinations and calculations related to the Index and the Index Calculation Agent’s interpretations of the Index Rules shall be final.

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None of the Index Sponsor, the Index Calculation Agent, or any of their respective affiliates or subsidiaries or any of their respective directors, officers, employees, representatives, delegates or agents (each, a “Relevant Person”) shall have any responsibility to any person (whether as a result of negligence or otherwise) for any determinations, interpretations or calculations made or anything done (or omitted to be determined or done) in connection with the Index or any use to which any person may put the Index or the Index Levels. The Index Sponsor may, in its reasonable discretion, at any time and without notice, terminate the calculation or publication of the Index.

2.2 Index Sponsor determinations and Index Calculation Agent determinations

The Index Calculation Agent’s exercise of discretion, or failure to exercise discretion, in relation to the Index may have a detrimental effect on the Index Level and the volatility of the Index. The Index Sponsor or the Index Calculation Agent may make certain determinations or calculations based on information obtained from publicly available sources without independently verifying such information. Subject to the prior agreement of the Index Sponsor, the Index Calculation Agent may make certain determinations, adjustments, amendments and interpretations related to the Index. All such determinations, adjustments, amendments and interpretations (in each case, subject to such prior agreement on the part of the Index Sponsor) of the Index Calculation Agent related to the Index and all calculations performed by the Index Calculation Agent related to the Index shall be final, conclusive and binding and no person shall be entitled to make any claim against the Index Sponsor, the Index Calculation Agent, or any of the Relevant Persons in respect thereof. Once a determination, adjustment, amendment or interpretation is made or action is taken by the Index Calculation Agent (in each case, as agreed in advance by the Index Sponsor) in relation to the Index, or a calculation is performed by the Index Calculation Agent in relation to the Index, none of the Index Sponsor, the Index Calculation Agent or any Relevant Person shall be under any obligation to revise any such determination, adjustment, amendment, interpretation or calculation made or anything done (or omitted to be determined, adjusted, amended, interpreted, calculated or done) for any reason.

3. Amendments

The Index Rules may be supplemented, amended or restated from time to time in the sole discretion of the Index Sponsor. The Index Rules will be made available (in a manner determined by the Index Sponsor from time to time) following such supplementation, amendment or restatement. Copies of the current Index Rules are available from the Index Sponsor upon request. Although the Index Rules are intended to be comprehensive and accurate, ambiguities may arise and errors or omissions may have been made. In such circumstances, the Index Sponsor will resolve such ambiguities and, if necessary, amend the Index Rules to reflect such resolution. In the case of any inaccuracy, the Index Sponsor may amend the Index Rules to address errors or omissions. The Index Sponsor is under no obligation to inform any person of any amendments to the Index (except as may be required by law).

4. General Notes on the Index

The J.P. Morgan Mozaic IISM Index is a notional dynamic index that tracks the excess return of a basket selected from a possible universe of a total of fifteen (15) constituents (the “Basket Constituents”), consisting of (i) a total of six (6) separate rolling futures positions in equity index futures contracts (each such rolling equity index futures position, an “Equity Constituent”), (ii) a total of six (6) separate rolling futures positions in government bond futures contracts (each such rolling government bond futures position, a “Bond Constituent”) and (iii) a total of three (3) separate excess return commodity sector indices (each, a “Commodity Constituent”). Each Basket Constituent is subject to the provisions of Section 15 (Succession events and Extraordinary Events). The U.S. Small Cap Equity Constituent is additionally subject to the provisions of Section 14 (U.S. Small Cap Exchange Succession Event). Excess return indices track returns from hypothetical exposures to certain futures contracts that take into account changes in the price level of the underlying futures contracts as well as roll yield, but not “total

-6-

returns.” A futures index that reflects “total returns” would reflect the returns from a notional fully collateralized investment in the underlying futures contracts, including any interest that could be earned on funds committed to the margin on the underlying futures contracts. Each Equity Constituent and each Bond Constituent is referred to herein as a “Futures Constituent”. As of a particular time, each futures contract underlying a Futures Constituent is referred to herein as a Referenced Contract (as defined in Section 13.4 (Definitions related to determinations). Each Commodity Constituent has a corresponding excess return commodity sector Settlement Index (as defined in Section 12.5 (Closing level for a Commodity Constituent)) associated with such Commodity Constituent. On a periodic basis, the Index Calculation Agent will effect a synthetic roll in relation to each Futures Constituent in order to calculate an excess return Futures Tracker Level for each such Futures Constituent (as defined and further described in Section 7 (Futures Tracker Level of each Futures Constituent)). The Index Calculation Agent will determine the Futures Tracker Level of each Futures Constituent in U.S. dollar terms by periodically performing a foreign exchange conversion of the excess returns of each non-U.S. dollar denominated Futures Constituent into U.S. dollars. The Index uses a monthly selection process that assigns Monthly Units (as defined in Section 9 (Monthly Units for the Basket Constituents)) to each Basket Constituent. Monthly Units will be determined by reference to the returns and volatilities of each of the Basket Constituents measured over certain performance observation periods, each of which includes and ends on the related Monthly Selection Date (as defined below) and by reference to the Target Volatility (as defined in Section 19 (Definitions)) of four point two percent (4.2%). Those Monthly Unit exposures are then effected by means of a monthly rebalancing over five (5) days for each Basket Constituent, as further described in Section 9. The monthly selection process is designed to select nine (9) Basket Constituents for inclusion in the Index upon the completion of each monthly rebalance, although the number of Basket Constituents to which the Index has exposure at a given time may vary (primarily because during the monthly rebalance, which occurs over a number of days, the Index will likely have exposure to more than nine (9) Basket Constituents. The Index may also have zero (0) exposure to the Basket Constituents following the application of exposure flattening, pursuant to Section 11 (Exposure flattening), as described below). Each of the new Monthly Units (being the Monthly Units to which each Basket Constituent of the Index is rebalancing) with respect to a current monthly rebalancing period will be determined on the second-to-last Weekday (as defined in Section 19 (Definitions)) of the calendar month immediately prior to such period (such date, the “Monthly Selection Date” in respect of such monthly rebalancing period) in accordance with the methodology set forth in Section 9 (Monthly Units for the Basket Constituents). Monthly rebalancing of the Index is described in further detail in Section 10 (Monthly Rebalancing). The Index also includes an exposure flattening feature, which, depending on the recent performance of the Index, may cause the exposure of the Index to all Basket Constituents that have non-zero Current Units within the Index to be decreased to zero (0) for a specified period, as described in Section 11 (Exposure flattening). No assurance can be given that the investment strategy used to construct the Index will be successful or that the Index will outperform any alternative basket or strategy that might be constructed from the Basket Constituents. Furthermore, no assurance can be given that the Index will achieve its Target Volatility (as defined in Section 19 (Definitions)). It should be noted in particular that the Realized Volatility (as defined in Section 9.1 (Identifying the Preliminary Weight of each Basket Constituent for a Monthly Selection Date)) of the Index may be greater or less than the Target Volatility. The Index is described as a notional basket of assets or positions because there is no actual portfolio of assets or positions to which any person is entitled or in which any person has any ownership interest. The Index merely references a basket of certain assets or positions, the performance of which will be used as a reference point for calculating the Index Level.

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5. Publication of Index Levels and rounding

The Index Calculation Agent shall calculate and publish or otherwise make available (in a manner determined by the Index Calculation Agent from time to time) the Index Level for each Scheduled Publication Day in accordance with the methodology herein. Index Levels for each Scheduled Publication Day may be obtained by reference to Bloomberg ticker “JMOZAIC2 Index” or from a successor or alternate source as may be identified by the Index Calculation Agent from time to time. The Index Calculation Agent will calculate and publish the level of the Index (the “Index Level”) for each Scheduled Publication Day for the Index (which shall be each Weekday). Such publication will occur on such Scheduled Publication Day if all inputs necessary to perform such calculation are published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent on such Scheduled Publication Day as further described in Section 12 (Index Levels) below, including, without limitation, inputs necessary to perform the calculations in Section 12, such as inputs necessary to perform the calculations relevant to determining the Futures Tracker Level (as determined in accordance with Section 7 (Futures Tracker Level of each Futures Constituent) below) of the relevant Futures Constituents to which the Index has exposure for each corresponding Relevant Futures Input Day (as defined in Section 12.1 (Determination of the Relevant Futures Input Day) below), inputs necessary to perform the calculations relevant to determining the Commodity Closing Index Level or Commodity Settlement Index Level (each as defined in Section 19 (Definitions) below), as applicable, of the relevant Commodity Constituents to which the Index has exposure for each corresponding Relevant Commodity Input Day (as defined in Section 12. 2 (Determination of the Relevant Commodity Input Day) below) and the Index Level for the immediately preceding Scheduled Publication Day. If, however, any necessary inputs are not published or otherwise made available by the relevant exchange or input sponsor, the Index Calculation Agent will postpone calculation and publication of the Index Level for such Scheduled Publication Day until the first following Weekday on which such inputs (x) are published or otherwise made available by the relevant exchange or input sponsor (whether (i) by means of publication on the relevant source for each relevant input as specified herein or (ii) as otherwise provided to the Index Calculation Agent by or on behalf of the exchange, sponsor, calculation agent or other authorized provider or source of such input as the Index Calculation Agent, in its reasonable determination, considers to be reliable) or (y) are determined by means of a good faith estimate made by the Index Calculation Agent pursuant to Section 13 (Treatment of Basket Constituents for determination days) below. Notwithstanding anything to the contrary herein, the Index Sponsor may, at any time and without notice, change the frequency of publication of the Index Level, the means or place of publication of the Index Level or cease the calculation, publication or dissemination of the Index Level, and nothing in this document shall be construed as an agreement by the Index Sponsor or the Index Calculation Agent to continue to calculate, publish or disseminate the Index Level if the Index Sponsor has elected to cease such calculation, publication or dissemination. For purposes of publication only, the Index Calculation Agent will round all Index Levels to two (2) decimal places before publishing or otherwise making such levels available in U.S. dollars (“USD” or the “Currency of the Index”). The Index Calculation Agent may calculate the Index to a greater degree of accuracy or specificity and may use any rounding convention it considers appropriate for any data used or calculations performed (which may include using data with a higher level of specificity than that which is published on any particular data source) to determine the Index Level. None of the Index Sponsor, the Index Calculation Agent or any other Relevant Person will be liable to any person for publishing or omitting to publish the Index Level at any particular time or on any particular venue or in accordance with any particular methodology.

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6. The Basket Constituents

The Index is a notional dynamic index (the excess returns of each non-U.S. dollar denominated constituent of which are periodically converted into U.S. dollars) that tracks a basket of excess return constituents selected from a possible universe of a total of fifteen (15) Basket Constituents, consisting of:

(i) a total of six (6) separate Equity Constituents, each consisting of a rolling equity index futures position in the underlying series of equity futures contracts specified in Table 1 below,

(ii) a total of six (6) separate Bond Constituents, each consisting of a rolling government bond futures

position in the underlying series of government bond futures contracts specified in Table 2 below, and

(iii) a total of three (3) separate Commodity Constituents, each consisting of an excess return sector sub-

index of the Bloomberg Commodity IndexSM, which itself is an excess return index, specified in Table 3 below.

The excess returns of a Futures Constituent whose underlying futures contract series is not denominated in the Currency of the Index are periodically converted from the currency in which the settlement price of such futures contract series is denominated or expressed (such currency, the “Futures Denomination Currency”) into the Currency of the Index. The Futures Denomination Currency for each Futures Constituent as of the Live Date is specified in Table 1 or Table 2 below. Each Basket Constituent is subject to a separately applied cap on its monthly portfolio weight (such cap, the “Constituent Weight Cap”), which is specified for each Basket Constituent in the tables below. Each Basket Constituent is subject to the provisions of Section 15 (Succession events and Extraordinary Events) below. The U.S. Small Cap Equity Constituent is additionally subject to the provisions of Section 14 (U.S. Small Cap Exchange Succession Event) below.

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Table 1 below sets forth each Equity Constituent, the corresponding series of relevant equity index futures contracts in which such Equity Constituent represents a rolling futures position, the Constituent Weight Cap, the Futures Denomination Currency (and, where applicable, in parentheses after such Futures Denomination Currency, the associated page, service or source as of the Live Date (provided solely for ease of identification) on or by means of which the WM Company (or any successor) publishes or otherwise makes available to the Index Calculation Agent the relevant official FX fixing applicable to conversion of the relevant Futures Denomination Currency into U.S. dollars), the Equity Reference Index, the Futures Exchange (each as defined in Section 19 (Definitions) below) and the Futures Exchange ticker associated with the relevant equity index futures contract series.

Table 1

i Equity Constituent

Relevant equity index futures

contract series Constituent Weight Cap

Futures Denomination Currency (FX fixing page)

Equity Reference

Index Futures

Exchange

Futures Exchange

Ticker 1 rolling equity index futures position

in the E-mini S&P 500 Futures Contract (the “U.S. Large Cap Equity

Constituent”)

E-mini S&P 500 Futures Contracts

15% USD S&P 500® Index

Chicago Mercantile Exchange

ES

2 rolling equity index futures position in the E-mini Nasdaq-100 Futures Contract (the “U.S. Nasdaq Equity

Constituent”)

E-mini Nasdaq-100 Futures Contracts

15% USD Nasdaq-100 Index®

Chicago Mercantile Exchange

NQ

3 rolling equity index futures position in the Russell 2000® Index Mini

Futures Contract (the “U.S. Small Cap Equity Constituent”)

Russell 2000® Index Mini Futures

Contracts

15% USD Russell 2000® Index

ICE Futures U.S.

TF

4 rolling equity index futures position in the DAX® Futures Contract (the

“German Equity Constituent”)

DAX® Futures Contracts

15% EUR (WMRSPOT05)

DAX® Index Eurex Deutschland

FDAX

5 rolling equity index futures position in the FTSE 100 Index Futures

Contract (the “U.K. Equity Constituent”)

FTSE 100 Index Futures Contracts

15% GBP (WMRSPOT07)

FTSE® 100 Index

ICE Futures Europe

Z

6 rolling equity index futures position in the TOPIX Futures Contract (the “Japanese Equity Constituent”)

TOPIX Futures Contracts

15% JPY (WMRSPOT12)

Tokyo Stock Price Index

Osaka Exchange

n/a

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Table 2 below sets forth each Bond Constituent, the corresponding series of relevant bond futures contracts in which such Bond Constituent represents a rolling futures position, the Constituent Weight Cap, the Futures Denomination Currency (and, where applicable, in parentheses after such Futures Denomination Currency, the associated page, service or source as of the Live Date (provided solely for ease of identification) on or by means of which the WM Company (or any successor) publishes or otherwise makes available to the Index Calculation Agent the relevant official FX fixing applicable to conversion of the relevant Futures Denomination Currency into U.S. dollars), the Futures Exchange and the Futures Exchange ticker associated with the relevant bond futures contract series.

Table 2

i Bond Constituent

Relevant bond futures contract

series Constituent Weight Cap

Futures Denomination Currency (FX fixing

page) Futures Exchange

Futures Exchange

Ticker 7 rolling government bond futures position in the

Short-Term U.S. Treasury Note Futures (2-Year) Contract (the “Short-Term U.S. Treasury Note

Constituent”)

Short-Term U.S. Treasury Note

Futures (2-Year) Contracts

250% USD Chicago Board of Trade

ZT

8 rolling government bond futures position in the Medium-Term U.S. Treasury Note Futures (5-

Year) Contract (the “Medium-Term U.S. Treasury Note Constituent”)

Medium-Term U.S. Treasury Note

Futures (5-Year) Contracts

75% USD Chicago Board of Trade

ZF

9 rolling government bond futures position in the Long-Term U.S. Treasury Note Futures (6½ to

10-Year) Contract (the “Long-Term U.S. Treasury Note Constituent”)

Long-Term U.S. Treasury Note

Futures (6½ to 10-Year) Contracts

45% USD Chicago Board of Trade

ZN

10 rolling government bond futures position in the Euro-Bund Futures Contract (the “German

Government Bond Constituent”)

Euro-Bund Futures Contracts

45% EUR (WMRSPOT05)

Eurex Deutschland FGBL

11 rolling government bond futures position in the Long Gilt Futures Contract (the “U.K.

Government Bond Constituent”)

Long Gilt Futures Contracts

45% GBP (WMRSPOT07)

ICE Futures Europe

R

12 rolling government bond futures position in the 10-year JGB Futures Contract (the “Japanese

Government Bond Constituent”)

10-year JGB Futures Contracts

120% JPY (WMRSPOT12)

Osaka Exchange n/a

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Table 3 below sets forth each Commodity Constituent, the Constituent Weight Cap, additional information regarding the Commodity Constituent and its associated Bloomberg ticker (provided solely for ease of identification). As of any date of determination, the individual commodities composing each sector referenced by a Commodity Constituent are those included in the corresponding sector index within the Bloomberg Commodity IndexSM on such date. As of the Live Date, the index sponsor of each Commodity Closing Index is Bloomberg Finance L.P.

Table 3

i Commodity Constituent Constituent Weight Cap Additional information

Bloomberg ticker

13 The Bloomberg Energy SubindexSM (the “Energy Commodities Constituent”), which is a sub-index of the Bloomberg Commodity IndexSM

15% The Bloomberg Energy SubindexSM is designed to be a benchmark for energy-related commodities as an asset class.

BCOMEN

14 The Bloomberg Industrial Metals SubindexSM (the “Industrial Metals Commodities Constituent”), which is a sub-index of the Bloomberg Commodity IndexSM

15% The Bloomberg Industrial Metals SubindexSM is designed to be a benchmark for industrial metals as an asset class.

BCOMIN

15 The Bloomberg Precious Metals SubindexSM (the “Precious Metals Commodities Constituent”), which is a sub-index of the Bloomberg Commodity IndexSM

15% The Bloomberg Precious Metals SubindexSM is designed to be a benchmark for precious metals as an asset class.

BCOMPR

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7. Futures Tracker Level of each Futures Constituent

7.1 Scheduled Roll Period for each Futures Constituent

On a periodic basis consistent with the expiries of the relevant underlying futures contracts within the series specified in Table 1 and Table 2 in Section 6 (The Basket Constituents) above (such periodic basis being quarterly in the case of a series of futures contracts with quarterly expiries, as is the case for each of the Futures Constituents as of the Live Date), the Index Calculation Agent will roll the exposure of each Futures Constituent from the particular futures contract to which it has current exposure (such particular futures contract, the Earlier Expiry Futures Contract, as defined below) to a different particular futures contract, determined pursuant to Section 7.3 (Implementation of the roll) below (such different particular futures contract, the Later Expiry Futures Contract, as defined in Section 7.3 below). Each scheduled roll period for a Futures Constituent i (such period, the “Scheduled Roll Period”) will consist of the five (5) Futures Constituent Scheduled Days (as defined below) commencing on and including the first (1st) day of such Scheduled Roll Period (such first day, the “Scheduled Roll Initiation Day” for such Futures Constituent) as set forth in Table 4 below and ending on and including the final day of such Scheduled Roll Period (such final day, the related “Scheduled Roll Completion Day” for such Futures Constituent) as set forth in Table 4 below (with each of the five (5) Futures Constituent Scheduled Days composing such Scheduled Roll Period referred to herein as a “Scheduled Roll Day”). Twenty percent (20%) of the total notional exposure to a Futures Constituent is scheduled to be rolled as of each Scheduled Roll Day during a Scheduled Roll Period. Each of the Scheduled Roll Initiation Day and the Scheduled Roll Completion Day for a particular futures contract of each Futures Constituent i specified in Table 4 below is identified in relation to the date (such date, the “Futures Contract Cut-off Day” for each applicable particular futures contract) that is the earlier to occur of (i) the last scheduled trading day for such particular futures contract and (ii) the first scheduled notice date for such particular futures contract, in each case as specified by the relevant Futures Exchange.

Table 4

i Futures Constituent Scheduled Roll Initiation Day for

Futures Constituent i Scheduled Roll Completion Day for

Futures Constituent i 1 U.S. Large Cap Equity

Constituent The day that is six (6) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

The day that is two (2) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

2 U.S. Nasdaq Equity Constituent

The day that is six (6) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

The day that is two (2) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

3 U.S. Small Cap Equity Constituent

The day that is six (6) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

The day that is two (2) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

4 German Equity Constituent

The day that is five (5) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

The Futures Constituent Scheduled Day immediately prior to the Futures Contract Cut-off Day.

5 U.K. Equity Constituent

The day that is five (5) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

The Futures Constituent Scheduled Day immediately prior to the Futures Contract Cut-off Day.

6 Japanese Equity Constituent

The day that is five (5) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

The Futures Constituent Scheduled Day immediately prior to the Futures Contract Cut-off Day.

7 Short-Term U.S. Treasury Note Constituent

The day that is five (5) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

The Futures Constituent Scheduled Day immediately prior to the Futures Contract Cut-off Day.

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i Futures Constituent Scheduled Roll Initiation Day for

Futures Constituent i Scheduled Roll Completion Day for

Futures Constituent i 8 Medium-Term U.S.

Treasury Note Constituent

The day that is five (5) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

The Futures Constituent Scheduled Day immediately prior to the Futures Contract Cut-off Day.

9 Long-Term U.S. Treasury Note Constituent

The day that is five (5) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

The Futures Constituent Scheduled Day immediately prior to the Futures Contract Cut-off Day.

10 German Government Bond Constituent

The day that is five (5) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

The Futures Constituent Scheduled Day immediately prior to the Futures Contract Cut-off Day.

11 U.K. Government Bond Constituent

The day that is five (5) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

The Futures Constituent Scheduled Day immediately prior to the Futures Contract Cut-off Day.

12 Japanese Government Bond Constituent

The day that is five (5) Futures Constituent Scheduled Days prior to the Futures Contract Cut-off Day.

The Futures Constituent Scheduled Day immediately prior to the Futures Contract Cut-off Day.

where: “Futures Constituent Scheduled Day” means,

(i) for a Futures Constituent whose Futures Denomination Currency is U.S. dollars, a Weekday on which the Futures Exchange for such Futures Constituent is scheduled to be open for trading for its regular trading session, or

(ii) for a Futures Constituent whose Futures Denomination Currency is not U.S. dollars, a Weekday on

which (a) the FX Rate relevant to such Futures Constituent is scheduled to be calculated and published by the WM Company (or any successor, as identified by the Index Calculation Agent) and (b) the Futures Exchange for such Futures Constituent is scheduled to be open for trading for its regular trading session.

7.2 Actual Roll Period for a Futures Constituent

For each Futures Constituent i and each Scheduled Roll Period, the Index Calculation Agent shall determine, for the portion of the roll scheduled to occur on a Scheduled Roll Day, the Futures Constituent Scheduled Day on which the roll of such portion shall be effected (such Futures Constituent Scheduled Day, a “Futures Constituent Effective Roll Day”), as follows:

(i) The Futures Constituent Effective Roll Day associated with the first (1st) Scheduled Roll Day in a Scheduled Roll Period shall be the earliest to occur of (x) the first (1st) Futures Constituent Valid Day that occurs on or following such first (1st) Scheduled Roll Day, (y) the first (1st) Futures Constituent Monthly Rebalancing Determination Day that occurs on or following such first (1st) Scheduled Roll Day and (z) the Futures Contract Cut-off Day.

(ii) The Futures Constituent Effective Roll Day associated with the second (2nd) Scheduled Roll Day in a

Scheduled Roll Period shall be the earliest to occur of (x) the first (1st) Futures Constituent Valid Day that occurs on or following such second (2nd) Scheduled Roll Day, (y) the first (1st) Futures Constituent Monthly Rebalancing Determination Day that occurs on or following such second (2nd) Scheduled Roll Day and (z) the Futures Contract Cut-off Day.

(iii) The Futures Constituent Effective Roll Day associated with the third (3rd) Scheduled Roll Day in a

Scheduled Roll Period shall be the earliest to occur of (x) the first (1st) Futures Constituent Valid Day that occurs on or following such third (3rd) Scheduled Roll Day, (y) the first (1st) Futures Constituent

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Monthly Rebalancing Determination Day that occurs on or following such third (3rd) Scheduled Roll Day and (z) the Futures Contract Cut-off Day.

(iv) The Futures Constituent Effective Roll Day associated with the fourth (4th) Scheduled Roll Day in a

Scheduled Roll Period shall be the earliest to occur of (x) the first (1st) Futures Constituent Valid Day that occurs on or following such fourth (4th) Scheduled Roll Day, (y) the first (1st) Futures Constituent Monthly Rebalancing Determination Day that occurs on or following such fourth (4th) Scheduled Roll Day and (z) the Futures Contract Cut-off Day.

(v) The Futures Constituent Effective Roll Day associated with the fifth (5th) Scheduled Roll Day in a

Scheduled Roll Period shall be the earliest to occur of (x) the first (1st) Futures Constituent Valid Day that occurs on or following such fifth (5th) Scheduled Roll Day, (y) the first (1st) Futures Constituent Monthly Rebalancing Determination Day that occurs on or following such fifth (5th) Scheduled Roll Day and (z) the Futures Contract Cut-off Day.

The proportion of the total exposure scheduled to be rolled on a Scheduled Roll Day (twenty percent (20%) for each Scheduled Roll Day) during a given Scheduled Roll Period will be rolled on the Futures Constituent Effective Roll Day associated with such Scheduled Roll Day. If two (2) or more consecutive Scheduled Roll Days during the same Scheduled Roll Period are associated with the same Futures Constituent Effective Roll Day, then the proportion of the total exposure for any such Scheduled Roll Days will be rolled on that same Futures Constituent Effective Roll Day. where: “Futures Constituent Valid Day” means a Futures Constituent Scheduled Day on which no Futures Market Disruption Event (as defined in Section 13.4 (Definitions related to determinations) below) occurs or is continuing. “Futures Constituent Monthly Rebalancing Determination Day” has the meaning given to such term in Section 10.1 (Futures Constituent Effective Monthly Rebalancing Days) below. “Futures Constituent Roll Determination Day” means, for a Futures Constituent, as determined as of the Actual Roll Completion Day for an Actual Roll Period for such Futures Constituent, a Futures Constituent Effective Roll Day for such Actual Roll Period (x) that is not a Futures Constituent Valid Day and (y) that occurs in an Actual Roll Period in which no Futures Constituent Valid Day occurs from and including such Futures Constituent Effective Roll Day to and including the Futures Contract Cut-off Day for such Actual Roll Period. The “Actual Roll Period” corresponding to a Scheduled Roll Period for a Futures Constituent i is the period from and including the first (1st) Futures Constituent Effective Roll Day for such Scheduled Roll Period (being the Futures Constituent Effective Roll Day associated with the Scheduled Roll Initiation Day) to and including the last Futures Constituent Effective Roll Day associated with such Scheduled Roll Period (being the Futures Constituent Effective Roll Day associated with the Scheduled Roll Completion Day). The “Actual Roll Completion Day” means, for an Actual Roll Period for a Futures Constituent i, the Futures Constituent Effective Roll Day associated with the Scheduled Roll Completion Day for the associated Scheduled Roll Period.

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7.3 Implementation of the roll

For a given Weekday t and a Futures Constituent i, the “Earlier Expiry Futures Contract” (within the relevant futures contract series) shall be:

(i) From and including April 10, 1996 (the “Base Date”) to and including the Actual Roll Completion Day for the first Actual Roll Period following the Base Date, the particular futures contract whose Futures Contract Cut-off Day most closely followed the Base Date.

(ii) Following the Actual Roll Completion Day for the first (1st) Actual Roll Period following the Base Date,

the particular futures contract that the Index Calculation Agent determined to be the Later Expiry Futures Contract (as defined below) for the immediately preceding Scheduled Roll Period and the associated Actual Roll Period.

For a given Scheduled Roll Period for a Futures Constituent i and the associated Actual Roll Period, the Index Calculation Agent will determine the “Later Expiry Futures Contract” as follows:

(i) For an Equity Constituent (other than as provided in Section 14 (U.S. Small Cap Equity Constituent Exchange Succession Event) below, in the instance where the U.S. Small Cap Equity Constituent Exchange Succession Event is triggered), the Later Expiry Futures Contract shall be the particular futures contract (within the relevant futures contract series) whose Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract.

(ii) For a Bond Constituent, the Index Calculation Agent shall first determine the most recent date prior to but excluding the first (1st) Scheduled Roll Day of such Scheduled Roll Period for which both of the following are published or otherwise made available by the Futures Exchange to the Index Calculation Agent (x) the aggregate open interest calculated by the Futures Exchange for the underlying futures contract series to which the Earlier Expiry Futures Contract belongs and (y) the open interest calculated by the Futures Exchange for the Earlier Expiry Futures Contract in particular; the Index Calculation Agent shall then determine an amount equal to the product of (x) fifty percent (50%) and (y) an amount equal to (1) the aggregate open interest minus (2) the open interest for the Earlier Expiry Futures Contract (such amount, the “Open Interest Threshold”), in each case in respect of such most recent date, and: (a) If the open interest calculated and published or otherwise made available by the Futures

Exchange to the Index Calculation Agent for the particular futures contract (within the underlying futures contract series) whose Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract is greater than the Open Interest Threshold, the Later Expiry Futures Contract shall be the particular futures contract (within the relevant futures contract series) whose Futures Contract Cut-off Day is the closest following the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract.

(b) If (1) the open interest calculated and published or otherwise made available by the Futures

Exchange to the Index Calculation Agent for the particular futures contract (within the relevant futures contract series) whose Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract is less than or equal to the Open Interest Threshold and (2) the Index Calculation Agent in its sole discretion determines that the particular futures contract (within the relevant futures contract series) whose Futures Contract Cut-off Day is the second (2nd) closest following the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract could be reasonably expected to represent eighty percent (80%) or more of the average daily trading volume for the thirty (30) Futures Constituent Scheduled Days immediately following but excluding the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract, the Later Expiry Futures Contract shall be the particular futures contract (within the relevant futures contract series) whose Futures Contract Cut-off Day is the second closest following the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract.

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(c) If (1) the open interest calculated and published or otherwise made available by the Futures

Exchange to the Index Calculation Agent for the particular futures contract (within the relevant futures contract series) whose Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract is less than or equal to the Open Interest Threshold and (2) the Index Calculation Agent in its sole discretion does not determine that the particular futures contract (within the relevant futures contract series) whose Futures Contract Cut-off Day is the second (2nd) closest following the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract could be reasonably expected to represent eighty percent (80%) or more of the average daily trading volume for the thirty (30) Futures Constituent Scheduled Days immediately following but excluding the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract, the Later Expiry Futures Contract shall be the particular futures contract (within the relevant futures contract series) whose Futures Contract Cut-off Day is the closest following the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract.

In order to implement the roll for a Futures Constituent i and in respect of a Weekday t for an Actual Roll Period, the Index Calculation Agent shall calculate the notional exposure of such Futures Constituent i to the Earlier Expiry Futures Contract in respect of such Weekday t, (such weight, the “Earlier Expiry Futures Contract Weight” or “ 𝐖𝐞𝐢𝐠𝐡𝐭𝐭

𝐢 ”), in accordance with the following methodology:

(i) If such Weekday t is a Futures Constituent Effective Roll Day in an Actual Roll Period for such Futures Constituent i, in the case of a Weekday t that is:

(a) the first (1st) Scheduled Roll Day for such Futures Constituent, then the Earlier Expiry

Futures Contract Weight for such Weekday t shall be equal to eighty percent (80%), which can be expressed as Weightt

i = 80%.

(b) the second (2nd) Scheduled Roll Day for such Futures Constituent i, then the Earlier Expiry Futures Contract Weight for such Weekday t shall be equal to sixty percent (60%), which can be expressed as Weightt

i = 60%.

(c) the third (3rd) Scheduled Roll Day for such Futures Constituent i, then the Earlier Expiry Futures Contract Weight for such Weekday t shall be equal to forty percent (40%), which can be expressed as Weightt

i = 40%.

(d) the fourth (4th) Scheduled Roll Day for such Futures Constituent i, then the Earlier Expiry Futures Contract Weight for such Weekday t shall be equal to twenty percent (20%), which can be expressed as Weightt

i = 20%.

(e) a calendar day that occurs on or after the fifth (5th) Scheduled Roll Day for such Futures Constituent i, then the Earlier Expiry Futures Contract Weight for such Weekday t shall be equal to one hundred percent (100%), which can be expressed as Weightt

i = 100%.

(ii) If such Weekday t occurs in an Actual Roll Period but such Weekday t is not a Futures Constituent Effective Roll Day for such Futures Constituent i, in the case in which the Futures Constituent Effective Roll Day immediately preceding such Weekday t is:

(a) the first (1st) Scheduled Roll Day for such Futures Constituent, then the Earlier Expiry Futures Contract Weight for such Weekday t shall be equal to eighty percent (80%), which can be expressed as Weightt

i = 80%.

(b) the second (2nd) Scheduled Roll Day for such Futures Constituent, then the Earlier Expiry Futures Contract Weight for such Weekday t shall be equal to sixty percent (60%), which can be expressed as Weightt

i = 60%.

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(c) the third (3rd) Scheduled Roll Day for such Futures Constituent, then the Earlier Expiry Futures Contract Weight for such Weekday t shall be equal to forty percent (40%), which can be expressed as Weightt

i = 40%.

(d) the fourth (4th) Scheduled Roll Day for such Futures Constituent, then the Earlier Expiry Futures Contract Weight for such Weekday t shall be equal to twenty percent (20%), which can be expressed as Weightt

i = 20%.

(iii) If such Weekday t does not occur in an Actual Roll Period for such Futures Constituent i, then the Earlier Expiry Futures Contract Weight for such Weekday t shall be equal to one hundred percent (100%), which can be expressed as Weightt

i = 100%.

7.4 Futures Tracker Level of a Futures Constituent

As of the Base Date, the “Futures Tracker Level” of each Futures Constituent i was set at one thousand (1,000.00). Subject to Section 13 (Treatment of Basket Constituents for determination days) below, the Futures Tracker Level of a Futures Constituent i (in U.S. dollar terms) in respect of a Weekday t following the Base Date (“FTLt

i ”) shall be determined as follows:

(i) Subject to Section 13.1 (Treatment of a Futures Constituent Roll Determination Day for a Futures Constituent) below, if such Weekday t does not occur during an Actual Roll Period for Futures Constituent i,

(a) in the case in which such Weekday is either (x) a Futures Constituent Valid Day or (y) a

Futures Constituent Monthly Rebalancing Determination Day, then the Futures Tracker Level shall be calculated as follows:

FTLti = FTLprior

i × [1 + (Earliert

i

Earlierpriori

− 1) ×FXt

i

FXpriori

]

(b) in the case in which such Weekday is neither (1) a Futures Constituent Valid Day nor (2) a

Futures Constituent Monthly Rebalancing Determination Day, then the Futures Tracker Level shall be equal to the Futures Tracker Level for the most recent of (x) the Futures Constituent Valid Day immediately preceding such Weekday t, (y) the Futures Constituent Roll Determination Day immediately preceding such Weekday t and (z) the Futures Constituent Monthly Rebalancing Determination Day immediately preceding such Weekday t, which can be expressed as FTLt

i = FTLpriori .

(ii) Subject to Section 13.1 and Section 13.2 (Treatment of a Futures Constituent Monthly Rebalancing

Determination Day for a Futures Constituent) below, if such Weekday t occurs during an Actual Roll Period for Futures Constituent i:

(a) in the case in which such Weekday is any of (x) a Futures Constituent Valid Day, (y) a

Futures Constituent Roll Determination Day, or (z) a Futures Constituent Monthly Rebalancing Determination Day, then the Futures Tracker Level shall be calculated as follows:

FTLti = FTLprior

i × [1 + (Weightprior

i × Earlierti + (1 − Weightprior

i ) × Laterti

Weightpriori × Earlierprior

i + (1 − Weightpriori ) × Laterprior

i− 1) ×

FXti

FXpriori

]

(b) in the case in which such Weekday is not any of (1) a Futures Constituent Valid Day, (2) a

Futures Constituent Roll Determination Day, or (3) a Futures Constituent Monthly

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Rebalancing Determination Day, then the Futures Tracker Level shall be equal to the Futures Tracker Level for the most recent of (x) the Futures Constituent Valid Day immediately preceding such Weekday t, (y) the Futures Constituent Roll Determination Day immediately preceding such Weekday t, and (z) the Futures Constituent Monthly Rebalancing Determination Day immediately preceding such Weekday t, which can be expressed as FTLt

i = FTLpriori .

where:

FTLpriori means, for a Futures Constituent i and in respect of a Weekday t, the Futures Tracker Level

of such Futures Constituent i for the most recent of (x) the Futures Constituent Valid Day for such Futures Constituent i immediately preceding such Weekday t, (y) the Futures Constituent Roll Determination Day for such Futures Constituent i immediately preceding such Weekday t, and (z) the Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i immediately preceding such Weekday t.

Earliert

i means, for a Futures Constituent i and in respect of a Weekday t, the Futures Closing Level for such Weekday t of the Earlier Expiry Futures Contract for such Futures Constituent i for such Weekday t.

Earlierprior

i means, for a Futures Constituent i and in respect of a Weekday t, the Futures Closing Level of

the contract that is the Earlier Expiry Futures Contract for such Futures Constituent i for such Weekday t, which is such Futures Closing Level for the day that is the most recent of (x) the Futures Constituent Valid Day for such Futures Constituent i immediately preceding such Weekday t, (y) the Futures Constituent Roll Determination Day for such Futures Constituent i immediately preceding such Weekday t, and (z) the Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i immediately preceding such Weekday t.

Latert

i means, for a Futures Constituent i and in respect of a Weekday t, the Futures Closing Level for such Weekday t of the Later Expiry Futures Contract for such Futures Constituent i for such Weekday t.

Laterprior

i means, for a Futures Constituent i and in respect of a Weekday t, the Futures Closing Level of

the contract that is the Later Expiry Futures Contract for such Futures Constituent i for such Weekday t, which is such Futures Closing Level for the day that is the most recent of (x) the Futures Constituent Valid Day for such Futures Constituent i immediately preceding such Weekday t, (y) the Futures Constituent Roll Determination Day for such Futures Constituent i immediately preceding such Weekday t, and (z) the Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i immediately preceding such Weekday t.

Futures Closing Level means, for an Earlier Expiry Futures Contract or a Later Expiry Futures Contract that is

a Referenced Contract of a Futures Constituent i and in respect of a Futures Constituent Scheduled Day, the official settlement price of such Referenced Contract of such Futures Constituent on such Futures Constituent Scheduled Day as calculated and published by the Futures Exchange.

FXt

i means, for a Futures Constituent i and in respect of a Weekday t, the FX Rate (as defined below) for such Futures Constituent i for such Weekday t.

FXpriori means, for a Futures Constituent i and in respect of a Weekday t, the FX Rate for such

Futures Constituent for the most recent of (x) the Futures Constituent Valid Day for such Futures Constituent i immediately preceding such Weekday t, (y) the Futures Constituent

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Roll Determination Day for such Futures Constituent i immediately preceding such Weekday t, and (z) the Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i immediately preceding such Weekday t.

FX Rate means, for a Futures Constituent i and in respect of a Weekday t, (i) if the Futures

Denomination Currency of the Futures Constituent is U.S. dollars, one (1), (ii) if the Futures Denomination Currency of the Futures Constituent is European Union euros or Great Britain pounds, the “mid” exchange rate expressed as the number of U.S. dollars per one unit of such currency or (iii) if the Futures Denomination Currency of the Futures Constituent is Japanese yen, the “mid” exchange rate expressed as the number of U.S. dollars per one Japanese yen, calculated as one divided by the number of Japanese yen per one U.S. dollar, in the case of clause (ii) or clause (iii), as determined by the Index Calculation Agent by reference to the official closing spot rate published or otherwise made available to the Index Calculation Agent by or on behalf of the WM Company (or any successor) on or by means of the relevant page, service or other source (or any successor or replacement page, service or other authorized source, reasonably determined by the Index Calculation Agent to be reliable), at or around the Fixing Time (as defined in Section 19 (Definitions) below) or such other time as the WM Company publishes or otherwise makes available to the Index Calculation Agent the official closing spot rate on the relevant date, or, only if the WM Company (or its affiliates or assigns) ceases providing such service, such other information service provider or vendor determined by the Index Calculation Agent, for the purpose of displaying rates or prices comparable to that rate; provided that if the relevant exchange rate is not published on the relevant Weekday, the relevant closing spot rate in respect of such day shall be determined by the Index Calculation Agent in good faith and in a commercially reasonable manner taking into account all information it deems relevant to such determination. For informational purposes only, as of the Live Date, the relevant FX fixing page for each such rate is specified in Table 1 or Table 2 in Section 6 (The Basket Constituents) above.

Weightpriori means, for a Futures Constituent i and in respect of a Weekday t, the Earlier Expiry Futures

Contract Weight of such Futures Constituent i for the most recent of (x) the Futures Constituent Valid Day immediately preceding such Weekday t, (y) the Futures Constituent Roll Determination Day immediately preceding such Weekday t, and (z) the Futures Constituent Monthly Rebalancing Determination Day immediately preceding such Weekday t.

8. Initial composition of the Index

As of November 1, 1996 (the “Start Date”), the Index is deemed to have been entirely composed of notional exposures determined as of the Monthly Selection Date immediately prior to the Start Date, which is deemed to have been October 30, 1996 (the “Starting Selection Date”). Following the Start Date, the composition of the Index will be adjusted in accordance with the methodology described in these Index Rules, and the first Monthly Re-weighting Period is deemed to have occurred in the month immediately following the Start Date, which was the month of December 1996. As of December 28, 2016 (the “Live Date”), the Index Calculation Agent began calculating the Index on a live basis. Any Index Level prior to the Live Date is a hypothetical, back-tested level (as further described in Section 16 (Hypothetical back-tested levels)).

9. Monthly Units for the Basket Constituents

As of the Starting Selection Date for the initial monthly rebalancing period and thereafter on a monthly basis as of each subsequent Monthly Selection Date for a monthly rebalancing period, the Index Calculation Agent will determine the unitized amount of each Basket Constituent i (the “Monthly Units”) within the Index, whether zero (0) or a positive number, in accordance with the methodology described below in this Section 9. The monthly selection process is designed to select up to nine (9) Basket Constituents for inclusion in the Index as implemented by means of a monthly rebalancing, although the number of constituents to which the Index has exposure at a given time may vary from this number.

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9.1 Identifying the Preliminary Weight of each Basket Constituent for a Monthly Selection Date

With respect to a Monthly Selection Date, the Index Calculation Agent will:

(a) Calculate Performanceki , the performance of Basket Constituent i (“Performance”) as follows:

(i) in the case of a Basket Constituent i that is a Futures Constituent:

Performanceki =

FTLki

FTLk−130i

− 1

(ii) in the case of a Basket Constituent i that is a Commodity Constituent:

Performanceki =

CCILR(k)i

CCILR(k−130)i

− 1

where:

FTLki means, for a Futures Constituent i and in respect of a Monthly Selection Date k, the Futures

Tracker Level of such Futures Constituent i in respect of such Monthly Selection Date k. FTLk−130

i means, for a Futures Constituent i and in respect of a Monthly Selection Date k, the Futures Tracker Level of such Futures Constituent for the Weekday that is one hundred thirty (130) Weekdays prior to such Monthly Selection Date k.

CCILR(k)i means, for a Commodity Constituent i and in respect of a Monthly Selection Date k, the

Commodity Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to such Monthly Selection Date k.

CCILR(k−130)i means, for a Commodity Constituent i and in respect of a Monthly Selection Date k, the

Commodity Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to such Weekday that is one hundred thirty (130) Weekdays prior to such Monthly Selection Date.

(b) Rank each Basket Constituent i from the Basket Constituent with the highest Performance to the

Basket Constituent with the lowest Performance assigning each such Basket Constituent i a Rank (the “Rank”) in respect of Monthly Selection Date k in accordance with the following formula: one (1) plus the number of Basket Constituents whose Performance is greater than, but not equal to, the Performance of such Basket Constituent i, plus the number of Basket Constituents whose Performance is equal to the Performance of such Basket Constituent i and whose constituent designation integer i (as set forth in Table 1, Table 2 and Table 3 of Section 6 (The Basket Constituents) above) is less than, but not equal to, the constituent designation integer i of such Basket Constituent i.

(c) Calculate 22D Volatilityki , the volatility of the daily returns of each Basket Constituent i for the

twenty-two (22) Weekdays immediately prior to and including such Monthly Selection Date k (the “Constituent 22D Volatility”), in accordance with the following formula:

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(i) in the case of a Basket Constituent i that is a Futures Constituent:

22D Volatilityki =

√260 ×

∑ [ln (FTLt

i

FTLt−1i ) −

122

× ∑ ln (FTLs

i

FTLs−1i )k

s=k−21 ]

2

kt=k−21

21

(ii) in the case of a Basket Constituent i that is a Commodity Constituent:

22D Volatilityki =

√260 ×

∑ [ln (CCILR(t)

i

CCILR(t−1)i ) −

122

× ∑ ln (CCILR(s)

i

CCILR(s−1)i )k

s=k−21 ]

2

kt=k−21

21

where: FTLt

i means, for a Futures Constituent and in respect of a Monthly Selection Date k, the Futures Tracker Level of such Futures Constituent i for each Weekday t, from and including the Weekday that is twenty-one (21) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

FTLt−1

i means, for a Futures Constituent and in respect of a Weekday t, the Futures Tracker Level of such Futures Constituent i for the Weekday immediately prior to that Weekday t.

FTLs

i means, for a Futures Constituent and in respect of a Monthly Selection Date k, the Futures Tracker Level of such Futures Constituent i for each Weekday s, from and including the Weekday that is twenty-one (21) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

FTLs−1

i means, for a Futures Constituent and in respect of a Weekday s, the Futures Tracker Level of such Futures Constituent i for the Weekday immediately prior to that Weekday s.

CCILR(t)i means, for a Commodity Constituent and in respect of a Monthly Selection Date k, the

Commodity Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to each Weekday t, from and including the Weekday that is twenty-one (21) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

CCILR(t−1)i means, for a Commodity Constituent and in respect of a Weekday t, the Commodity Closing

Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to the Weekday immediately prior to that Weekday t.

CCILR(s)i means, for a Commodity Constituent and in respect of a Monthly Selection Date k, the

Commodity Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to each Weekday s, from and including the Weekday that is twenty-one (21) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

CCILR(s−1)i means, for a Commodity Constituent and in respect of a Weekday s, the Commodity

Closing Index Level of such Commodity Constituent i for the most recent Commodity

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Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to the Weekday immediately prior to that Weekday s.

ln( ) means the natural logarithm function.

(d) Calculate 65D Volatilityk

i , the volatility of the daily returns of each Basket Constituent i for the sixty-five (65) Weekdays immediately prior to and including such Monthly Selection Date k (the “Constituent 65D Volatility”), in accordance with the following formula:

(i) in the case of a Basket Constituent i that is a Futures Constituent:

65D Volatilityki =

√260 ×

∑ [ln (FTLt

i

FTLt−1i ) −

165

× ∑ ln (FTLs

i

FTLs−1i )k

s=k−64 ]

2

kt=k−64

64

(ii) in the case of a Basket Constituent i that is a Commodity Constituent:

65D Volatilityki =

√260 ×

∑ [ln (CCILR(t)

i

CCILR(t−1)i ) −

165

× ∑ ln (CCILR(s)

i

CCILR(s−1)i )k

s=k−64 ]

2

kt=k−64

64

where: FTLt

i means, for a Futures Constituent and in respect of a Monthly Selection Date k, the Futures Tracker Level of such Futures Constituent i for each Weekday t, from and including the Weekday that is sixty-four (64) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

FTLt−1

i means, for a Futures Constituent and in respect of a Weekday t, the Futures Tracker Level of such Futures Constituent i for the Weekday immediately prior to that Weekday t.

FTLs

i means, for a Futures Constituent and in respect of a Monthly Selection Date k, the Futures Tracker Level of such Futures Constituent i for each Weekday s, from and including the Weekday that is sixty-four (64) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

FTLs−1

i means, for a Futures Constituent and in respect of a Weekday s, the Futures Tracker Level of such Futures Constituent i for the Weekday immediately prior to that Weekday s.

CCILR(t)i means, for a Commodity Constituent and in respect of a Monthly Selection Date k, the

Commodity Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to each Weekday t, from and including the Weekday that is sixty-four (64) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

CCILR(t−1)i means, for a Commodity Constituent and in respect of a Weekday t, the Commodity Closing

Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to the Weekday immediately prior to that Weekday t.

-23-

CCILR(s)i means, for a Commodity Constituent and in respect of a Monthly Selection Date k, the

Commodity Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to each Weekday s, from and including the Weekday that is sixty-four (64) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

CCILR(s−1)i means, for a Commodity Constituent and in respect of a Weekday s, the Commodity

Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to the Weekday immediately prior to that Weekday s.

(e) Calculate 130D Volatilityk

i , the volatility of the daily returns of each Basket Constituent i for the one hundred thirty (130) Weekdays immediately prior to and including such Monthly Selection Date k (the “Constituent 130D Volatility”), in accordance with the following formula:

(i) in the case of a Basket Constituent i that is a Futures Constituent:

130D Volatilityki =

√260 ×

∑ [ln (FTLt

i

FTLt−1i ) −

1130

× ∑ ln (FTLs

i

FTLs−1i )k

s=k−129 ]

2

kt=k−129

129

(ii) in the case of a Basket Constituent i that is a Commodity Constituent:

130D Volatilityki =

√260 ×

∑ [ln (CCILR(t)

i

CCILR(t−1)i ) −

1130

× ∑ ln (CCILR(s)

i

CCILR(s−1)i )k

s=k−129 ]

2

kt=k−129

129

where: FTLt

i means, for a Futures Constituent and in respect of a Monthly Selection Date k, the Futures Tracker Level of such Futures Constituent i for each Weekday t, from and including the Weekday that is one hundred twenty-nine (129) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

FTLt−1

i means, for a Futures Constituent and in respect of a Weekday t, the Futures Tracker Level of such Futures Constituent i for the Weekday immediately prior to that Weekday t.

FTLs

i means, for a Futures Constituent and in respect of a Monthly Selection Date k, the Futures Tracker Level of such Futures Constituent i for each Weekday s, from and including the Weekday that is one hundred twenty-nine (129) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

FTLs−1

i means, for a Futures Constituent and in respect of a Weekday s, the Futures Tracker Level of such Futures Constituent i for the Weekday immediately prior to that Weekday s.

CCILR(t)i means, for a Commodity Constituent and in respect of a Monthly Selection Date k, the

Commodity Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to each Weekday t, from and including the Weekday that is one hundred twenty-nine (129) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

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CCILR(t−1)i means, for a Commodity Constituent and in respect of a Weekday t, the Commodity Closing

Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to the Weekday immediately prior to that Weekday t.

CCILR(s)i means, for a Commodity Constituent and in respect of a Monthly Selection Date k, the

Commodity Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to each Weekday s, from and including the Weekday that is one hundred twenty-nine (129) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

CCILR(s−1)i means, for a Commodity Constituent and in respect of a Weekday s, the Commodity

Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to the Weekday immediately prior to that Weekday s.

(f) Calculate Realized Volatilityki , in respect of a Monthly Selection Date k and a Basket Constituent i,

which shall equal the greatest value among (i) the Constituent 22D Volatility, (ii) the Constituent 65D Volatility and (iii) the Constituent 130D Volatility (such greatest value, the “Realized Volatility” for such Basket Constituent i for such Monthly Selection Date k), which can be expressed as:

Realized Volatilityki = max(22D Volatilityk

i , 65D Volatilityki , 130D Volatilityk

i )

where: max( ) means the maximum function.

(g) Calculate Prelim Wtk

i , the preliminary weight of each Basket Constituent i within the Preliminary Portfolio in respect of Monthly Selection Date k (the “Preliminary Weight”) in accordance with the following: If:

(i) the Rank of Basket Constituent i and in respect of Monthly Selection Date k (as calculated in accordance with paragraph (b) above) is less than or equal to nine (9); and

(ii) the Realized Volatility of Basket Constituent i and in respect of a Monthly Selection Date k (as calculated in accordance with paragraph (f) above) is not equal to zero (0);

then the Preliminary Weight of such Basket Constituent i shall be calculated as follows:

Prelim Wtki =

1

N×

Target Volatility

Realized Volatilityki

where: N means the number of Basket Constituents that satisfy conditions (i) and (ii) above. Target Volatility means Target Volatility, which has the meaning given to such term in Section 19

(Definitions) below.

Realized Volatilityki means, in respect of a Basket Constituent i and a Monthly Selection Date k, the

Realized Volatility of such Basket Constituent i for such Monthly Selection Date k, calculated in accordance with paragraph (f) above.

-25-

If a Basket Constituent i does not satisfy both conditions (i) and (ii) above, then the Preliminary Weight of Basket Constituent i and in respect of Monthly Selection Date k shall be equal to zero (0).

9.2 Identifying the Monthly Constituent Weight of each Basket Constituent for a Monthly Selection Date

With respect to a Monthly Selection Date, the Index Calculation Agent will: (a) Calculate Qt, the daily logarithmic return of the Preliminary Portfolio (the “Preliminary Portfolio

Return”) in accordance with the following formula:

Qt = ln (1 + ∑ [Prelim Wtki ×

FTLti − FTLt−1

i

FTLki

]

12

i=1

+ ∑ [Prelim Wtki ×

CCILR(t)i − CCILR(t−1)

i

CCILR(k)i

]

15

i=13

)

where:

Prelim Wtki means the Preliminary Weight of Basket Constituent i and in respect of Monthly Selection

Date k, calculated in accordance with 9.1 (Identifying the Preliminary Weight of each Basket Constituent for a Monthly Selection Date).

FTLt

i means, for a Futures Constituent and in respect of a Monthly Selection Date k, the Futures Tracker Level of such Futures Constituent i for each Weekday t, from and including the Weekday that is one hundred twenty-nine (129) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

FTLt−1

i means, for a Futures Constituent and in respect of a Weekday t, the Futures Tracker Level of such Futures Constituent i for the Weekday immediately prior to that Weekday t.

FTLki means, for a Futures Constituent and in respect of a Monthly Selection Date k, the Futures

Tracker Level of such Futures Constituent i for such Monthly Selection Date k.

CCILR(t)i means, for a Commodity Constituent and in respect of a Monthly Selection Date k, the

Commodity Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to each Weekday t, from and including the Weekday that is one hundred twenty-nine (129) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

CCILR(t−1)i means, for a Commodity Constituent and in respect of a Weekday t, the Commodity Closing

Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to the Weekday immediately prior to that Weekday t.

CCILR(k)i means, for a Commodity Constituent and in respect of a Monthly Selection Date k, the

Commodity Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to such Monthly Selection Date k.

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(b) Calculate 22D Volatilitykp

, the volatility of the Preliminary Portfolio Returns for the twenty-two (22)

Weekdays immediately prior to and including such Monthly Selection Date k (the “Portfolio 22D Volatility”), in accordance with the following formula:

22D Volatilitykp

=√

260 ×∑ [Qt − ∑

Qs

22ks=k−21 ]

2kt=k−21

21

where: Qt means, in respect of a Monthly Selection Date k, the Preliminary Portfolio Return for each

Weekday t, from and including the Weekday that is twenty one (21) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

Qs means, in respect of a Monthly Selection Date k, the Preliminary Portfolio Return for each

Weekday s, from and including the Weekday that is twenty one (21) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

(c) Calculate 65D Volatilityk

p, the volatility of the Preliminary Portfolio Returns for the sixty-five (65)

Weekdays immediately prior to and including such Monthly Selection Date k (the “Portfolio 65D Volatility”), in accordance with the following formula:

65D Volatilitykp

=√

260 ×∑ [Qt − ∑

Qs

65ks=k−64 ]

2kt=k−64

64

where: Qt means, in respect of a Monthly Selection Date k, the Preliminary Portfolio Return for each

Weekday t, from and including the Weekday that is sixty four (64) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

Qs means, in respect of a Monthly Selection Date k, the Preliminary Portfolio Return for each

Weekday s, from and including the Weekday that is sixty four (64) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

(d) Calculate 130D Volatilityk

p, the volatility of the Preliminary Portfolio Returns for the one hundred

thirty (130) Weekdays immediately prior to and including such Monthly Selection Date k (the “Portfolio 130D Volatility”), in accordance with the following formula:

130D Volatilitykp

=√

260 ×∑ [Qt − ∑

Qs

130ks=k−129 ]

2kt=k−129

129

where: Qt means, in respect of a Monthly Selection Date k, the Preliminary Portfolio Return for each

Weekday t, from and including the Weekday that is one hundred twenty nine (129) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

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Qs means, in respect of a Monthly Selection Date k, the Preliminary Portfolio Return for each Weekday s, from and including the Weekday that is one hundred twenty nine (129) Weekdays immediately prior to such Monthly Selection Date k to and including such Monthly Selection Date k.

(e) Calculate Realized Volatilityk

p, the greatest value among (i) the Portfolio 22D Volatility, (ii) the

Portfolio 65D Volatility and (iii) the Portfolio 130D Volatility, in each case in respect of the applicable Monthly Selection Date k (such greatest value, the “Preliminary Portfolio Volatility”), which can be expressed as:

Realized Volatilitykp

= max(22D Volatilitykp

, 65D Volatilitykp

, 130D Volatilitykp

)

(f) Calculate Monthly Wtki , the Monthly Weight of each Basket Constituent i and in respect of Monthly

Selection Date k, in accordance with the following:

(i) If the Preliminary Weight of Basket Constituent i and in respect of Monthly Selection Date k (as calculated in accordance with Section 9.1 (Identifying the Preliminary Weight of each Basket Constituent for a Monthly Selection Date) above) is zero (0), then the Monthly Weight of such Basket Constituent i and in respect of Monthly Selection Date k shall be zero (0).

(ii) If the Preliminary Weight of Basket Constituent i and in respect of Monthly Selection Date k

(as calculated in accordance with Section 9.1 above) is not equal to zero (0), then the Monthly Weight of such Basket Constituent i and in respect of Monthly Selection Date k shall be calculated in accordance with the following formula:

Monthly Wtki = Prelim Wtk

i × min (Target Volatility

Realized Volatilitykp ,

Max Total Wt

∑ (Prelim Wtk

j)15

j=1

,Wt Capi

Prelim Wtki

)

where:

Prelim Wtki means the Preliminary Weight of Basket Constituent i and in respect of Monthly Selection

Date k as determined in accordance with Section 9.1 above. Realized Volatilityk

p means the Preliminary Portfolio Volatility in respect of Monthly Selection Date k

as determined in accordance with paragraph (e) above. Target Volatility means Target Volatility, which has the meaning given to such term in Section 19

(Definitions) below. Max Total Wt means the Maximum Total Weight, which has the meaning given to such term in

Section 19 (Definitions) below.

Prelim Wtkj

means the Preliminary Weight of each Basket Constituent j in respect of Monthly

Selection Date k as determined in accordance with Section 9.1 above. Wt Capi means the Constituent Weight Cap of Basket Constituent i defined in Section 6 (The Basket

Constituents) above. min( ) means the minimum function.

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9.3 Unitizing the Monthly Constituent Weight of each Basket Constituent for a Monthly Selection Date

With respect to a Monthly Selection Date k, the Index Calculation Agent will calculate Monthly Unitski , the

Monthly Units for each Basket Constituent i, which shall be equal to the Monthly Constituent Weight “unitized” (i.e., converted into a fixed number of units or reference underlyings to trade) as follows:

(i) in the case of a Basket Constituent i that is a Futures Constituent:

Monthly Unitski = Monthly Wtk

i ×Available Levelk

FTLki

(ii) in the case of a Basket Constituent i that is a Commodity Constituent:

Monthly Unitski = Monthly Wtk

i ×Available Levelk

CCILR(k)i

where: Monthly Wtk

i means the Monthly Constituent Weight of Basket Constituent i and in respect of Monthly Selection Date k as determined in accordance with Section 9.2 (Identifying the Monthly Constituent Weight of each Basket Constituent for a Monthly Selection Date) above.

Available Levelk means (i) if all inputs necessary to perform the calculation of the Index Level in respect of

Monthly Selection Date k are published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent on such Monthly Selection Date k (including, without limitation, inputs necessary to perform the calculations in Section 12 (Index Levels) below, such as inputs necessary to perform the calculations relevant to determining the Futures Tracker Level of the relevant Futures Constituents to which the Index has exposure for each corresponding Relevant Futures Input Day, inputs necessary to perform the calculations relevant to determining the Commodity Closing Index Level or Commodity Settlement Index Level, as applicable, of the relevant Commodity Constituents to which the Index has exposure for each corresponding Relevant Commodity Input Day and the Index Level for the immediately preceding Scheduled Publication Day), the Index Level for such Monthly Selection Date k or (ii) if any inputs necessary to perform the calculation of the Index Level in respect of Monthly Selection Date k are not published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent on such Monthly Selection Date k (without regard to when or whether they are subsequently published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent), the Index Level for the most recent Scheduled Publication Day prior to such Monthly Selection Date k with respect to which all inputs necessary to perform the calculation of the Index Level in respect of such Scheduled Publication Day were published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent on such Scheduled Publication Day (including, without limitation, inputs necessary to perform the calculations in Section 12 below, such as inputs necessary to perform the calculations relevant to determining the Futures Tracker Level of the relevant Futures Constituents to which the Index has exposure for each corresponding Relevant Futures Input Day, inputs necessary to perform the calculations relevant to determining the Commodity Closing Index Level or Commodity Settlement Index Level, as applicable, of the relevant Commodity Constituents to which the Index has exposure for each corresponding Relevant Commodity Input Day and the Index Level for the immediately preceding Scheduled Publication Day) (without regard to whether such inputs were published or otherwise made available to the Index Calculation Agent between such Scheduled Publication Day and such Monthly Selection Date k).

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FTLki means, for a Futures Constituent and in respect of a Monthly Selection Date k, the Futures

Tracker Level of such Futures Constituent i for such Monthly Selection Date k.

CCILR(k)i means, for a Commodity Constituent and in respect of a Monthly Selection Date k, the

Commodity Closing Index Level of such Commodity Constituent i for the most recent Commodity Constituent Scheduled Day for such Commodity Constituent i that occurs on or prior to such Monthly Selection Date k.

10. Monthly Rebalancing

The Index Calculation Agent will rebalance the exposure of each Basket Constituent (i) to the Monthly Units for a given calendar month, calculated as of the Monthly Selection Date for such calendar month (such exposure, the “Next Monthly Units”) and (ii) from the relevant Monthly Units for the immediately preceding calendar month, calculated as of the Monthly Selection Date for the immediately preceding calendar month (such exposure, the “Prior Monthly Units”). Such monthly rebalancing will be implemented over the first five (5) Futures Constituent Effective Monthly Rebalancing Days (as defined below) of the relevant calendar month in the case of a Futures Constituent and will be implemented over the first five (5) Commodity Constituent Effective Monthly Rebalancing Days of the relevant calendar month in the case of a Commodity Constituent.

10.1 Futures Constituent Effective Monthly Rebalancing Days

For each Futures Constituent i, the Index Calculation Agent shall determine the period consisting of each of the first five (5) Futures Constituent Scheduled Days for the relevant calendar month for such Futures Constituent (each such day, a “Futures Constituent Scheduled Monthly Rebalancing Day” for the relevant calendar month for such Futures Constituent). Each Futures Constituent Scheduled Monthly Rebalancing Day shall have an associated Futures Constituent Effective Monthly Rebalancing Day. As a result, the proportion of the Monthly Units scheduled to be rebalanced (twenty percent (20%) for each Futures Constituent Scheduled Monthly Rebalancing Day in a given monthly rebalancing period) shall be rebalanced as of a Futures Constituent Scheduled Day determined as follows (such Futures Constituent Scheduled Day, the “Futures Constituent Effective Monthly Rebalancing Day” associated with such Futures Scheduled Monthly Rebalancing Day):

(i) The Futures Constituent Effective Monthly Rebalancing Day associated with the first (1st) Futures Constituent Scheduled Monthly Rebalancing Day shall be the earlier to occur in the relevant calendar month of (x) the first (1st) Futures Constituent Scheduled Day that is either a Futures Constituent Valid Day or a Futures Constituent Roll Determination Day and (y) the ninth (9th) Futures Constituent Scheduled Day.

(ii) The Futures Constituent Effective Monthly Rebalancing Day associated with the second (2nd) Futures

Constituent Scheduled Monthly Rebalancing Day shall be the earlier to occur in the relevant calendar month of (x) the second (2nd) Futures Constituent Scheduled Day that is either a Futures Constituent Valid Day or a Futures Constituent Roll Determination Day and (y) the tenth (10th) Futures Constituent Scheduled Day.

(iii) The Futures Constituent Effective Monthly Rebalancing Day associated with the third (3rd) Futures

Constituent Scheduled Monthly Rebalancing Day shall be the earlier to occur in the relevant calendar month of (x) the third (3rd) Futures Constituent Scheduled Day that is either a Futures Constituent Valid Day or a Futures Constituent Roll Determination Day and (y) the eleventh (11th) Futures Constituent Scheduled Day.

(iv) The Futures Constituent Effective Monthly Rebalancing Day associated with the fourth (4th) Futures

Constituent Scheduled Monthly Rebalancing Day shall be the earlier to occur in the relevant calendar

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month of (x) the fourth (4th) Futures Constituent Scheduled Day that is either a Futures Constituent Valid Day or a Futures Constituent Roll Determination Day and (y) the twelfth (12th) Futures Constituent Scheduled Day.

(v) The Futures Constituent Effective Monthly Rebalancing Day associated with the fifth (5th) Futures

Constituent Scheduled Monthly Rebalancing Day shall be the earlier to occur in the relevant calendar month of (x) the fifth (5th) Futures Constituent Scheduled Day that is either a Futures Constituent Valid Day or a Futures Constituent Roll Determination Day and (y) the thirteenth (13th) Futures Constituent Scheduled Day.

Only a single Scheduled Monthly Rebalancing Day during a given monthly rebalancing period can be associated with a particular Futures Constituent Effective Monthly Rebalancing Day. A “Futures Constituent Monthly Rebalancing Determination Day” for a Futures Constituent is a Futures Constituent Effective Monthly Rebalancing Day that is not a Futures Constituent Valid Day for such Futures Constituent. In order to implement the monthly rebalancing for a Futures Constituent i and in respect of a Weekday t, the Index Calculation Agent shall determine the notional exposure of such Futures Constituent to the Next Monthly Units in respect of such Weekday (such exposure, the “Rebalanced Exposure” or “Rebalanced Expt

i ” for such Futures Constituent i) in accordance with the following methodology:

(i) If such Weekday t is a Futures Constituent Effective Monthly Rebalancing Day for such Futures Constituent i in a given calendar month: (a) in the case of the first (1st) Futures Constituent Effective Monthly Rebalancing Day in the relevant

calendar month for such Futures Constituent, then the Rebalanced Exposure shall be equal to twenty percent (20%), which can be expressed as Rebalanced Expt

i = 20%.

(b) in the case of the second (2nd) Futures Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Futures Constituent, then the Rebalanced Exposure shall be equal to forty percent (40%), which can be expressed as Rebalanced Expt

i = 40%.

(c) in the case of the third (3rd) Futures Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Futures Constituent, then the Rebalanced Exposure shall be equal to sixty percent (60%), which can be expressed as Rebalanced Expt

i = 60%.

(d) in the case of the fourth (4th) Futures Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Futures Constituent, then the Rebalanced Exposure shall be equal to eighty percent (80%), which can be expressed as Rebalanced Expt

i = 80%. (e) in the case of the fifth (5th) Futures Constituent Effective Monthly Rebalancing Day in the

relevant calendar month for such Futures Constituent, then the Rebalanced Exposure shall be equal to one hundred percent (100%), which can be expressed as Rebalanced Expt

i = 100%.

(ii) If such Weekday t is not a Futures Constituent Effective Monthly Rebalancing Day for such Futures Constituent i,

(a) in the case in which there is no Futures Constituent Effective Monthly Rebalancing Day in the

relevant calendar month preceding such Weekday t, then the Rebalanced Exposure for Weekday t shall be equal to zero percent (0%), which can be expressed as Rebalanced Expt

i = 0%.

(b) in the case in which the Futures Constituent Effective Monthly Rebalancing Day immediately preceding such Weekday t in the relevant calendar month is the first (1st) Futures Constituent

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Effective Monthly Rebalancing Day in the relevant calendar month for such Futures Constituent, the Rebalanced Exposure for Weekday t shall be equal to twenty percent (20%), which can be expressed as Rebalanced Expt

i = 20%.

(c) in the case in which the Futures Constituent Effective Monthly Rebalancing Day immediately preceding such Weekday t in the relevant calendar month is the second (2nd) Futures Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Futures Constituent, the Rebalanced Exposure for Weekday t shall be equal to forty percent (40%), which can be expressed as Rebalanced Expt

i = 40%.

(d) in the case in which the Futures Constituent Effective Monthly Rebalancing Day immediately preceding such Weekday t in the relevant calendar month is the third (3rd) Futures Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Futures Constituent, the Rebalanced Exposure for Weekday t shall be equal to sixty percent (60%), which can be expressed as Rebalanced Expt

i = 60%.

(e) in the case in which the Futures Constituent Effective Monthly Rebalancing Day immediately preceding such Weekday t in the relevant calendar month is the fourth (4th) Futures Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Futures Constituent, the Rebalanced Exposure for Weekday t shall be equal to eighty percent (80%), which can be expressed as Rebalanced Expt

i = 80%. (f) in the case in which the Futures Constituent Effective Monthly Rebalancing Day immediately

preceding such Weekday t in the relevant calendar month is the fifth (5th) Futures Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Futures Constituent, the Rebalanced Exposure for Weekday t shall be equal to one hundred percent (100%), which can be expressed as Rebalanced Expt

i = 100%.

10.2 Commodity Monthly Effective Rebalancing Days for a Commodity Constituent

For each Commodity Constituent i, the Index Calculation Agent shall determine the period consisting of each of the first five (5) Commodity Constituent Scheduled Days for the relevant calendar month for such Commodity Constituent on which each Relevant Commodity Exchange for each of the individual commodity futures contracts referenced by such Commodity Constituent is scheduled to be open for trading in such individual commodity futures contracts (each such day, a “Commodity Constituent Scheduled Monthly Rebalancing Day” for the relevant calendar month for such Commodity Constituent). Each Commodity Constituent Scheduled Monthly Rebalancing Day shall have an associated Commodity Constituent Effective Monthly Rebalancing Day. As such, the proportion of the Monthly Units scheduled to be rebalanced (twenty percent (20%) for each Commodity Constituent Scheduled Monthly Rebalancing Day in a given monthly rebalancing period) shall be rebalanced as of such Commodity Constituent Scheduled Monthly Rebalancing Day (such Commodity Constituent Scheduled Monthly Rebalancing Day, also known as the “Commodity Constituent Effective Monthly Rebalancing Day” associated with such Commodity Constituent Scheduled Monthly Rebalancing Day).

(i) The Commodity Constituent Effective Monthly Rebalancing Day associated with the first (1st) Commodity Constituent Scheduled Monthly Rebalancing Day shall be such first (1st) Commodity Constituent Scheduled Monthly Rebalancing Day.

(ii) The Commodity Constituent Effective Monthly Rebalancing Day associated with the second (2nd)

Commodity Constituent Scheduled Monthly Rebalancing Day shall be such second (2nd) Commodity Constituent Scheduled Monthly Rebalancing Day.

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(iii) The Commodity Constituent Effective Monthly Rebalancing Day associated with the third (3rd) Commodity Constituent Scheduled Monthly Rebalancing Day shall be such third (3rd) Commodity Constituent Scheduled Monthly Rebalancing Day.

(iv) The Commodity Constituent Effective Monthly Rebalancing Day associated with the fourth (4th)

Commodity Constituent Scheduled Monthly Rebalancing Day shall be such fourth (4th) Commodity Constituent Scheduled Monthly Rebalancing Day.

(v) The Commodity Constituent Effective Monthly Rebalancing Day associated with the fifth (5th)

Commodity Constituent Scheduled Monthly Rebalancing Day shall be such fifth (5th) Commodity Constituent Scheduled Monthly Rebalancing Day.

Only a single Commodity Constituent Scheduled Monthly Rebalancing Day during a given monthly rebalancing period can be associated with a particular Commodity Constituent Effective Monthly Rebalancing Day. “Commodity Constituent Monthly Rebalancing Determination Day” means, for a Commodity Constituent i, a Commodity Constituent Effective Monthly Rebalancing Day for which the Commodity Settlement Index Level is not published or otherwise made available by the relevant exchange or index sponsor to the Index Calculation Agent on or prior to the eighth (8th) Commodity Constituent Scheduled Day following such Commodity Constituent Effective Monthly Rebalancing Day. In order to implement the monthly rebalancing for a Commodity Constituent i in respect of a Weekday t, the Index Calculation Agent shall calculate the notional exposure of such Commodity Constituent to the Next Monthly Units in respect of such Weekday (such exposure, the “Rebalanced Exposure” or "𝐑𝐞𝐛𝐚𝐥𝐚𝐧𝐜𝐞𝐝 𝐄𝐱𝐩𝐭

𝐢" for such Commodity Constituent i) in accordance with the following methodology:

(i) If such Weekday t is a Commodity Constituent Effective Monthly Rebalancing Day for such Commodity Constituent i in a given calendar month: (a) in the case of the first (1st) Commodity Constituent Effective Monthly Rebalancing Day in the

relevant calendar month for such Commodity Constituent, then the Rebalanced Exposure shall be equal to twenty percent (20%), which can be expressed as Rebalanced Expt

i = 20%.

(b) in the case of the second (2nd) Commodity Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Commodity Constituent, then the Rebalanced Exposure shall be equal to forty percent (40%), which can be expressed as Rebalanced Expt

i = 40%.

(c) in the case of the third (3rd) Commodity Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Commodity Constituent, then the Rebalanced Exposure shall be equal to sixty percent (60%), which can be expressed as Rebalanced Expt

i = 60%.

(d) in the case of the fourth (4th) Commodity Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Commodity Constituent, then the Rebalanced Exposure shall be equal to eighty percent (80%), which can be expressed as Rebalanced Expt

i = 80%. (e) in the case of the fifth (5th) Commodity Constituent Effective Monthly Rebalancing Day in the

relevant calendar month for such Commodity Constituent, then the Rebalanced Exposure shall be equal to one hundred percent (100%), which can be expressed as Rebalanced Expt

i = 100%.

(ii) If such Weekday t is not a Commodity Constituent Effective Monthly Rebalancing Day for such Commodity Constituent i:

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(a) in the case in which there is no Commodity Constituent Effective Monthly Rebalancing Day in the relevant calendar month preceding such Weekday t, then the Rebalanced Exposure shall be equal to zero percent (0%), which can be expressed as Rebalanced Expt

i = 0%.

(b) in the case in which the Commodity Constituent Effective Monthly Rebalancing Day immediately preceding such Weekday t in the relevant calendar month is the first (1st) Commodity Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Commodity Constituent, then the Rebalanced Exposure shall be equal to twenty percent (20%), which can be expressed as Rebalanced Expt

i = 20%.

(c) in the case in which the Commodity Constituent Effective Monthly Rebalancing Day immediately preceding such Weekday t in the relevant calendar month is the second (2nd) Commodity Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Commodity Constituent, then the Rebalanced Exposure shall be equal to forty percent (40%), which can be expressed as Rebalanced Expt

i = 40%.

(d) in the case in which the Commodity Constituent Effective Monthly Rebalancing Day immediately preceding such Weekday t in the relevant calendar month is the third (3rd) Commodity Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Commodity Constituent, then the Rebalanced Exposure shall be equal to sixty percent (60%), which can be expressed as Rebalanced Expt

i = 60%.

(e) in the case in which the Commodity Constituent Effective Monthly Rebalancing Day immediately preceding such Weekday t in the relevant calendar month is the fourth (4th) Commodity Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Commodity Constituent, then the Rebalanced Exposure shall be equal to eighty percent (80%), which can be expressed as Rebalanced Expt

i = 80%. (f) in the case in which the Commodity Constituent Effective Monthly Rebalancing Day immediately

preceding such Weekday t in the relevant calendar month is the fifth (5th) Commodity Constituent Effective Monthly Rebalancing Day in the relevant calendar month for such Commodity Constituent, then the Rebalanced Exposure shall be equal to one hundred percent (100%), which can be expressed as Rebalanced Expt

i = 100%.

10.3 Determination of the Current Units for a Basket Constituent in respect of a Weekday t

The Index Calculation Agent will calculate, for each Basket Constituent i and in respect of each Weekday t, such Basket Constituent’s current weighted-average units (the “Current Units” or “Current Unitst

i”), pursuant to the following formula:

Current Unitsti = (1 − Rebalanced Expt

i ) × Prior Monthly Unitsti + Rebalanced Expt

i × Next Monthly Unitsti

where: Rebalanced Expt

i means, for a Basket Constituent i and in respect of a Weekday t, the Rebalanced Exposure determined for Weekday t in accordance with Section 10.1 (Futures Constituent Effective Monthly Rebalancing Days) for a Futures Constituent or in accordance with Section 10.2 (Commodity Monthly Effective Rebalancing Days for a Commodity Constituent) for a Commodity Constituent.

Next Monthly Unitst

i means, for a Basket Constituent i and in respect of a Weekday t, the Next Monthly Units of Basket Constituent i determined for Weekday t.

Prior Monthly Unitst

i means, for a Basket Constituent i and in respect of a Weekday t, the Prior Monthly Units of Basket Constituent i determined for Weekday t.

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10.4 Determination of the Current Units for a Basket Constituent in respect of a Weekday t-1

The Index Calculation Agent will also calculate, for each Basket Constituent i and in respect of each Weekday t, such Basket Constituent’s current weighted-average units in respect of the Weekday immediately prior to Weekday t (the “Current Units” or “Current Unitst−1

i ”), pursuant to the following formula:

Current Unitst−1i = (1 − Rebalanced Expt−1

i ) × Prior Monthly Unitst−1i + Rebalanced Expt−1

i × Next Monthly Unitst−1i

where: Rebalanced Expt−1

i means, for a Basket Constituent i and in respect of a Weekday t, the Rebalanced Exposure determined for the Weekday immediately preceding Weekday t.

Next Monthly Unitst−1

i means, for a Basket Constituent i and in respect of a Weekday t, the Next Monthly Units of Basket Constituent i determined for the Weekday immediately preceding Weekday t.

Prior Monthly Unitst−1i means, for a Basket Constituent i and in respect of a Weekday t, the Prior Monthly

Units of Basket Constituent i determined for the Weekday immediately preceding Weekday t.

11. Exposure flattening

In respect of each Weekday t, the Index Calculation Agent will determine whether the exposure of the Index to the Basket Constituents that have non-zero Current Units in the Index, determined in respect of such Weekday, shall be flattened towards zero (0) (or re-initiated in the case of Basket Constituents that would have non-zero Current Units in the Index, determined in respect of such Weekday, but for previously triggered exposure flattening), by reference to a Flattening Signal (as defined in Section 11.1 below). If the Flattening Signal calculated in respect of a Weekday t is reduced from one (1) to zero (0), the Index will flatten its exposures (a) for each Futures Constituent that has non-zero Current Units in the Index, determined in respect of each of the first (1st) three (3) Weekdays that are any of (x) a Futures Constituent Valid Day for such Futures Constituent i, (y) a Futures Constituent Roll Determination Day for such Futures Constituent i, or (z) a Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i and (b) for each Commodity Constituent that has non-zero Current Units in the Index, determined in respect of each of the first (1st) three (3) Commodity Constituent Scheduled Days on which each Relevant Commodity Exchange for each of the individual commodity futures contracts referenced by such Commodity Constituent is scheduled to be open for trading in such individual commodity futures contracts, as further detailed in Section 11.1 and Section 11.2 below. If the Flattening Signal calculated in respect of a Weekday t is increased from zero (0) to one (1), the Index Calculation Agent will re-initiate the exposure for each Basket Constituent that has non-zero Current Units in the Index, determined in respect of each of the first (1st) three (3) Weekdays that are any of (x) a Futures Constituent Valid Day for such Futures Constituent i, (y) a Futures Constituent Roll Determination Day for such Futures Constituent i, or (z) a Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i and (b) for each Commodity Constituent that has non-zero Current Units in the Index, determined in respect of each of the first (1st) three (3) Commodity Constituent Scheduled Days on which each Relevant Commodity Exchange for each of the individual commodity futures contracts referenced by such Commodity Constituent is scheduled to be open for trading in such individual commodity futures contracts, as further detailed in Section 11.1 and Section 11.2 below.

11.1 Calculating the Flattening Signal

As of the Start Date for the Index, the Flattening Signal was one (1). In respect of each Weekday t following the Start Date, the Index Calculation Agent shall calculate the Flattening Signal for such Weekday t (the “Flattening Signal” or Flattening Signalt) as follows:

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(i) In respect of a Weekday t, if the Flattening Signalt−1 = 1, then:

(a) If Available Level t−1

Available Level t−6− 1 < Exposure Flattening Threshold, then the Flattening Signal shall be zero

(0), which can be expressed as Flattening Signalt = 0.

(b) If Available Level t−1

Available Level t−6− 1 ≥ Exposure Flattening Threshold, then the Flattening Signal shall be one

(1), which can be expressed as Flattening Signalt = 1.

(ii) In respect of a Weekday t, if the Flattening Signal calculated for the Weekday immediately prior to such Weekday t is zero (0) and:

(a) If the Flattening Signal is also zero (0) in respect of each of the four (4) Weekdays from and

including the Weekday that is five (5) Weekdays prior to Weekday t, to but excluding such immediately prior Weekday, then the Flattening Signal shall be one (1), which can be expressed as Flattening Signalt = 1.

(b) If the Flattening Signal is one (1) in respect of any of the four (4) Weekdays from and including

the Weekday that is five (5) Weekdays prior to Weekday t, to but excluding such immediately prior Weekday, then the Flattening Signal shall be zero (0), which can be expressed as Flattening Signalt = 0.

where: Available Level t−1 means, in respect of a Weekday t, (i) if all inputs necessary to perform the calculation of

the Index Level in respect of the Scheduled Publication Day immediately prior to such Weekday t (the “Relevant Scheduled Publication Day”) are published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent on such Relevant Scheduled Publication Day (including, without limitation, inputs necessary to perform the calculations in Section 12 (Index Levels) below, such as inputs necessary to perform the calculations relevant to determining the Futures Tracker Level of the relevant Futures Constituents to which the Index has exposure for each corresponding Relevant Futures Input Day, inputs necessary to perform the calculations relevant to determining the Commodity Closing Index Level or Commodity Settlement Index Level, as applicable, of the relevant Commodity Constituents to which the Index has exposure for each corresponding Relevant Commodity Input Day and the Index Level for the Scheduled Publication Day immediately preceding such Relevant Scheduled Publication Day), the Index Level for such Relevant Scheduled Publication Day or (ii) if any inputs necessary to perform the calculation of the Index Level in respect of such Relevant Scheduled Publication Day are not published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent on such Relevant Scheduled Publication Day (without regard to when or whether they are subsequently published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent), the Index Level for the most recent Scheduled Publication Day (the “Prior Scheduled Publication Day”) prior to such Relevant Scheduled Publication Day with respect to which all inputs necessary to perform the calculation of the Index Level in respect of such Prior Scheduled Publication Day were published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent on such Prior Scheduled Publication Day (including, without limitation, inputs necessary to perform the calculations in Section 12 below, such as inputs necessary to perform the calculations relevant to determining the Futures Tracker Level of the relevant Futures Constituents to which the Index has exposure for each corresponding Relevant Futures Input Day, inputs necessary to perform the calculations relevant to determining the Commodity Closing Index Level or Commodity Settlement Index Level, as applicable, of the relevant Commodity Constituents to which the Index has exposure for each

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corresponding Relevant Commodity Input Day and the Index Level for the Scheduled Publication Day immediately preceding such Prior Scheduled Publication Day) (without regard to whether such inputs were published or otherwise made available to the Index Calculation Agent between such Prior Scheduled Publication Day and such Weekday t).

Available Level t−6 means, in respect of a Weekday t, (i) if all inputs necessary to perform the calculation of

the Index Level for the Scheduled Publication Day (the “Relevant Scheduled Day”) that is six (6) Weekdays prior to such Weekday t are published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent on such Relevant Scheduled Day (including, without limitation, inputs necessary to perform the calculations in Section 12 below, such as inputs necessary to perform the calculations relevant to determining the Futures Tracker Level of the relevant Futures Constituents to which the Index has exposure for each corresponding Relevant Futures Input Day, inputs necessary to perform the calculations relevant to determining the Commodity Closing Index Level or Commodity Settlement Index Level, as applicable, of the relevant Commodity Constituents to which the Index has exposure for each corresponding Relevant Commodity Input Day and the Index Level for the Scheduled Publication Day immediately preceding such Relevant Scheduled Day), the Index Level for such Relevant Scheduled Day or (ii) if any inputs necessary to perform the calculation of the Index Level in respect of such Relevant Scheduled Day are not published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent on such Relevant Scheduled Day (without regard to when or whether they are subsequently published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent), the Index Level for the most recent Scheduled Publication Day (the “Prior Scheduled Day”) prior to the Relevant Scheduled Day with respect to which all inputs necessary to perform the calculation of the Index Level in respect of such Prior Scheduled Day were published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent on such Prior Scheduled Day (including, without limitation, inputs necessary to perform the calculations in Section 12 below, such as inputs necessary to perform the calculations relevant to determining the Futures Tracker Level of the relevant Futures Constituents to which the Index has exposure for each corresponding Relevant Futures Input Day, inputs necessary to perform the calculations relevant to determining the Commodity Closing Index Level or Commodity Settlement Index Level, as applicable, of the relevant Commodity Constituents to which the Index has exposure for each corresponding Relevant Commodity Input Day and the Index Level for the Scheduled Publication Day immediately preceding such Prior Scheduled Day) (without regard to whether such inputs were published or otherwise made available to the Index Calculation Agent between such Prior Scheduled Day and such Weekday t).

Exposure Flattening Threshold is minus three percent (-3.00%), being the “Exposure Flattening

Threshold”.

11.2 Calculating the Effective Exposure for each Futures Constituent

As of the Start Date for the Index, the Effective Exposure (as defined below) for each Futures Constituent was one (1). For each Futures Constituent i and in respect of each Weekday t, the Index Calculation Agent shall calculate Effective Expt

i (the “Effective Exposure”) as follows:

(i) In the case of a Weekday t that is any of (x) a Futures Constituent Valid Day for such Futures Constituent i, (y) a Futures Constituent Roll Determination Day for such Futures Constituent i, or (z) a Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i, the Effective Exposure of such Futures Constituent i in respect of such Weekday t is calculated as follows: (a) If the Flattening Signal for such Futures Constituent i and in respect of such Weekday t is equal to

the Effective Exposure for the Weekday immediately prior to such Weekday t, then the Effective

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Exposure in respect of such Weekday t shall be equal to the Effective Exposure for such immediately prior Weekday, which can be expressed as Effective Expt

i = Effective Expt−1i .

(b) If the Flattening Signal for such Futures Constituent i and in respect of such Weekday t is greater

than the Effective Exposure for the Weekday immediately prior to such Weekday t, then the Effective Exposure in respect of such Weekday t shall be equal to the Effective Exposure for such immediately prior Weekday plus one third (1/3), which can be expressed as Effective Expt

i =

Effective Expt−1i + 1

3⁄ .

(c) If the Flattening Signal for such Futures Constituent i and in respect of such Weekday t is less

than the Effective Exposure for the Weekday immediately prior to such Weekday t, then the Effective Exposure in respect of such Weekday t shall be equal to the Effective Exposure for such immediately prior Weekday minus one third (1/3), which can be expressed as Effective Expt

i =

Effective Expt−1i − 1

3⁄ .

where: Flattening Signalt means, in respect of a Weekday t, the Flattening Signal for such Weekday t. Effective Expt−1

i means, for a Futures Constituent i and in respect of a Weekday t, the Effective Exposure of such Futures Constituent i for the Weekday immediately prior to such Weekday t.

(ii) In the case of a Weekday t that is not any of (x) a Futures Constituent Valid Day for such Futures

Constituent i, (y) a Futures Constituent Roll Determination Day for such Futures Constituent i, or (z) a Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i, the Effective Exposure for such Futures Constituent i and in respect of such Weekday t shall be equal to the Effective Exposure for such Futures Constituent i for the most recent of (x) the Futures Constituent Valid Day for such Futures Constituent i immediately preceding such Weekday t, (y) the Futures Constituent Roll Determination Day for such Futures Constituent i immediately preceding such Weekday t or (z) the Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i immediately preceding such Weekday t

11.3 Calculating the Effective Exposure for each Commodity Constituent

As of the Start Date for the Index, the Effective Exposure (as defined below) for each Commodity Constituent was one (1). For each Commodity Constituent i and in respect of each Weekday t, the Index Calculation Agent shall calculate Effective Expt

i (the “Effective Exposure”) as follows:

(i) In the case of a Weekday t that is a Commodity Constituent Scheduled Day on which each Relevant Commodity Exchange for each of the individual commodity futures contracts referenced by such Commodity Constituent is scheduled to be open for trading in such individual commodity futures contracts, then the Effective Exposure for such Commodity Constituent i and in respect of such Weekday t is calculated as follows: (a) If the Flattening Signal for such Commodity Constituent i and in respect of such Weekday t is

equal to the Effective Exposure for the Weekday immediately prior to such Weekday t, then the Effective Exposure in respect of such Weekday t shall be equal to the Effective Exposure for such

immediately preceding Weekday, which can be expressed as Effective Expti = Effective Exp

t−1i .

(b) If the Flattening Signal for such Commodity Constituent i and in respect of such Weekday t is

greater than the Effective Exposure for the Weekday immediately prior to such Weekday t, then the Effective Exposure in respect of such Weekday t shall be equal to the Effective Exposure for

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such immediately preceding Weekday plus one third (1/3), which can be expressed as

Effective Expti = Effective Expt−1

i + 13⁄ .

(c) If the Flattening Signal for such Commodity Constituent i and in respect of Weekday t is less than

the Effective Exposure for the Weekday immediately prior to such Weekday t, then the Effective Exposure for such Weekday t shall be equal to the Effective Exposure for such immediately preceding Weekday minus one third (1/3), which can be expressed as

Effective Expti = Effective Expt−1

i − 13⁄ .

where: Flattening Signalt means, in respect of a Weekday t, the Flattening Signal calculated in respect of such

Weekday t. Effective Expt−1

i means, for a Commodity Constituent i and in respect of a Weekday t, the Effective Exposure of Commodity Constituent i calculated for the Weekday immediately prior to such Weekday t.

(ii) In the case of a Weekday t that is not a Commodity Constituent Scheduled Day on which each

Relevant Commodity Exchange for each of the individual commodity futures contracts referenced by such Commodity Constituent is scheduled to be open for trading in such individual commodity futures contracts, then the Effective Exposure shall be equal to the Effective Exposure for the most recent Commodity Constituent Scheduled Day immediately preceding such Weekday t.

12. Index Levels

The following general description of the methodology by which the Index Calculation Agent calculates the Index Level in respect of a given Scheduled Publication Day (subject to the provisions of Section 13 (Treatment of Basket Constituents for determination days) below) is intended to constitute a summary of the operative provisions contained in Section 12.1, Section 12.2, Section 12.3, Section 12.4 and Section 12.5 below. This general description is provided solely for informational purposes and is not intended to be an operative provision of these Index Rules. The actual methodology by which the Index Level is calculated (subject to the provisions of Section 13 below) in respect of a particular Scheduled Publication Day is set forth in greater detail in the operative provisions of this Section 12 identified above. In respect of each Scheduled Publication Day following the Start Date, the Index Calculation Agent will calculate the Index Level (subject to the provisions of Section 13 below) in accordance with Section 12.4 below, by reference to the following inputs:

(i) the Index Level in respect of the immediately preceding Scheduled Publication Day; (ii) the Current Units in the Index of each Basket Constituent determined for the immediately preceding

Scheduled Publication Day, (iii) the change from the immediately preceding Scheduled Publication Day in the Futures Tracker Level

for each Futures Constituent that has non-zero Current Units in the Index determined for the immediately preceding Scheduled Publication Day,

(iv) the change from the immediately preceding Scheduled Publication Day in the Commodity Closing Index Level for each Commodity Constituent that has non-zero Current Units in the Index determined for of the immediately preceding Scheduled Publication Day, and

(v) the Effective Exposure of each Basket Constituent determined for the immediately preceding Scheduled Publication Day.

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On certain days, however, the calculation of the Index Level may be affected by certain events including, without limitation, market disruption or an exchange holiday. In such circumstances, the Index Calculation will calculate the Index Level in respect of such Scheduled Publication Day by applying what is sometimes referred to as a “value what you can when you can” approach, in accordance with the following:

(i) For each Futures Constituent, the Index Calculation Agent will identify a Futures Constituent Scheduled Day in respect of which a market participant could obtain a tradable level (such day, a Relevant Futures Input Day as defined in Section 12.1 below), and shall use the Futures Tracker Level for such Futures Constituent in respect of such Relevant Futures Input Day to calculate the Index Level;

(ii) For each Commodity Constituent, the Index Calculation Agent will identify a Commodity Constituent

Scheduled Day in respect of which a market participant could obtain a tradable level (such day, a Relevant Commodity Input Day as defined in Section 12.2 below), and shall use such level for such Commodity Constituent in respect of such Relevant Commodity Input Day to calculate the Index Level; and

(iii) For each Commodity Constituent and its associated Relevant Commodity Input Day, the Index

Calculation Agent will identify a source of a tradable level in accordance with Section 12.3 below:

(a) If such Relevant Commodity Input Day is a Relevant Commodity Constituent Closing Input Day (as defined in Section 12.3 below), then the Index Calculation Agent shall use the Commodity Closing Index Level for such Commodity Constituent in respect of such Relevant Commodity Input Day to calculate the Index Level.

(b) If such Relevant Commodity Input Day is a Relevant Commodity Constituent Settlement

Input Day (as defined in Section 12.3 below), then the Index Calculation Agent shall use the Commodity Settlement Index Level for such Commodity Constituent in respect of such Relevant Commodity Input Day to calculate the Index Level.

(c) If such Relevant Commodity Input Day is a Relevant Commodity Constituent Determination

Input Day (as defined in Section 12.3 below), then the Index Calculation Agent shall use a good faith estimate of the Commodity Settlement Index Level for such Commodity Constituent in respect of such Relevant Commodity Input Day to calculate the Index Level.

As described in Section 12.3 below, given that the Commodity Closing Index Level for each Commodity Constituent is used to calculate the Index Level only for days on which such Commodity Closing Index Level equals the corresponding Commodity Settlement Index Level, the level used in such calculation of the Index Level shall always be either equal to, or a good faith estimate of, such Commodity Constituent’s Commodity Settlement Index Level in respect of the Relevant Commodity Input Day. More information is provided regarding the Commodity Settlement Index Level, and its relationship to a Commodity Constituent and its Commodity Closing Index Level, in Section 12.5 below.

12.1 Determination of the Relevant Futures Input Day

For a Futures Constituent i in respect of a Scheduled Publication Day, the “Relevant Futures Input Day” is determined as follows:

(i) If a Scheduled Publication Day is a Futures Constituent Scheduled Day for such Futures Constituent i:

(a) in the case in which such Scheduled Publication Day is any of (x) a Futures Constituent Valid Day for such Futures Constituent i, (y) a Futures Constituent Roll Determination Day for such Futures Constituent i, or (z) a Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i, then the Relevant Futures Input Day associated with that Scheduled Publication Day will be that Scheduled Publication Day.

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(b) in the case in which such Scheduled Publication Day is not any of (1) a Futures Constituent Valid

Day for such Futures Constituent i, (2) a Futures Constituent Roll Determination Day for such Futures Constituent i, or (3) a Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i, then the Relevant Futures Input Day associated with that Scheduled Publication Day will be the next Futures Constituent Scheduled Day for such Futures Constituent i following that Scheduled Publication Day that is any of (x) a Futures Constituent Valid Day for such Futures Constituent i, (y) a Futures Constituent Roll Determination Day for such Futures Constituent i, or (z) a Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i.

(ii) If that Scheduled Publication Day is not a Futures Constituent Scheduled Day for such Futures

Constituent i:

(a) in the case in which the Futures Constituent Scheduled Day immediately preceding that Scheduled Publication Day is any of (x) a Futures Constituent Valid Day for such Futures Constituent i, (y) a Futures Constituent Roll Determination Day for such Futures Constituent i, or (z) a Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i, then the Relevant Futures Input Day associated with that Scheduled Publication Day will be the Futures Constituent Scheduled Day immediately preceding that Scheduled Publication Day.

(b) in the case in which the Futures Constituent Scheduled Day immediately preceding that

Scheduled Publication Day is not any of (1) a Futures Constituent Valid Day for such Futures Constituent i, (2) a Futures Constituent Roll Determination Day for such Futures Constituent i, or (3) a Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i, then the Relevant Futures Input Day associated with that Scheduled Publication Day will be the next Futures Constituent Scheduled Day for such Futures Constituent i following that Scheduled Publication Day that is any of (x) a Futures Constituent Valid Day for such Futures Constituent i, (y) a Futures Constituent Roll Determination Day for such Futures Constituent i, or (z) a Futures Constituent Monthly Rebalancing Determination Day for such Futures Constituent i.

12.2 Determination of the Relevant Commodity Input Day

For a Commodity Constituent i and in respect of a Scheduled Publication Day, the “Relevant Commodity Input Day” is determined as follows:

(i) If a Scheduled Publication Day is a Commodity Constituent Scheduled Day for such Commodity Constituent i, then the Relevant Commodity Input Day associated with that Scheduled Publication Day will be that Scheduled Publication Day.

(ii) If a Scheduled Publication Day is not a Commodity Constituent Scheduled Day for such Commodity

Constituent i, then the Relevant Commodity Input Day associated with that Scheduled Publication Day will be the Commodity Constituent Scheduled Day immediately preceding that Scheduled Publication Day.

12.3 Determination of whether a Relevant Commodity Input Day is a Relevant Commodity Constituent Closing Input Day, a Relevant Commodity Constituent Settlement Input Day or a Relevant Commodity Constituent Determination Input Day

(i) If the Commodity Settlement Index Level for a Relevant Commodity Input Day (x) is published or otherwise made available by or on behalf of the index sponsor to the Index Calculation Agent on that Relevant Commodity Input Day and (y) is equal to the Commodity Closing Index Level for that Relevant Commodity Input Day, then that Relevant Commodity Input Day shall be a “Relevant Commodity Constituent Closing Input Day”.

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(ii) If the Commodity Settlement Index Level for that Relevant Commodity Input Day is either (x) not published or otherwise made available by or on behalf of the index sponsor to the Index Calculation Agent on that Relevant Commodity Input Day or (y) published or otherwise made available by or on behalf of the index sponsor to the Index Calculation Agent on that Relevant Commodity Input Day, but is not equal to the Commodity Closing Index Level for that Relevant Commodity Input Day:

(a) in the case in which (1) that Relevant Commodity Input Day is not a Commodity Constituent

Monthly Rebalancing Determination Day and (2) the Commodity Settlement Index Level for that Relevant Commodity Input Day is or has been published or otherwise made available by or on behalf of the index sponsor to the Index Calculation Agent prior to the next occurrence of a Commodity Constituent Monthly Rebalancing Determination Day, then that Relevant Commodity Input Day shall be a “Relevant Commodity Constituent Settlement Input Day”.

(b) in the case in which (1) that Relevant Commodity Input Day is not a Commodity Constituent

Monthly Rebalancing Determination Day and (2) the Commodity Settlement Index Level for that Relevant Commodity Input Day for that Relevant Commodity Input Day is not published or otherwise made available by or on behalf of the index sponsor to the Index Calculation Agent prior to the next occurrence of a Commodity Constituent Monthly Rebalancing Determination Day, then that Relevant Commodity Input Day shall be a “Relevant Commodity Constituent Determination Input Day”.

(c) in the case in which that Relevant Commodity Input Day is a Commodity Constituent Monthly

Rebalancing Determination Day, then that Relevant Commodity Input Day shall be a “Relevant Commodity Constituent Determination Input Day”.

12.4 Calculation of the Index Level

As of the Start Date (as specified in Section 8 (Initial composition of the Index) above), the Index Level is set at 100.00. In respect of each Scheduled Publication Day t thereafter, Indext (the “Index Level”) is calculated as follows:

Indext = Indext−1 + ∑[Effective Expt−1i × Current Unitst−1

i × (FTLR(t)i − FTLR(t−1)

i )]

12

i=1

+ ∑ [Effective Expt−1i × Current Unitst−1

i × (CSILR(t)i − CSILR(t−1)

i )]

15

i=13

where: Indext−1 means, in respect of a Scheduled Publication Day t, the Index Level for the Scheduled

Publication Day immediately prior to such Scheduled Publication Day t. Effective Expt−1

i means, for a Basket Constituent i and in respect of a Scheduled Publication Day t, the Effective Exposure (as determined in accordance with Section 11 (Exposure flattening) above) of such Basket Constituent i in respect of the Scheduled Publication Day immediately prior to such Scheduled Publication Day t.

Current Unitst−1

i means, for a Basket Constituent i and in respect of a Scheduled Publication Day t, the Current Units (as determined in accordance with Section 10.4 (Determination of the Current Units for a Basket Constituent in respect of a Weekday t-1) above) of such Basket Constituent i in respect of the Scheduled Publication Day immediately prior to such Scheduled Publication Day t.

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FTLR(t)i means, for a Futures Constituent i and in respect of a Scheduled Publication Day t, the

Futures Tracker Level of such Futures Constituent i in respect of the Relevant Futures Input Day associated with such Scheduled Publication Day t.

FTLR(t−1)i means, for a Futures Constituent i and in respect of a Scheduled Publication Day t, the

Futures Tracker Level of such Futures Constituent i in respect of the Relevant Futures Input Day associated with the Scheduled Publication Day immediately prior to such Scheduled Publication Day t.

CSILR(t)i means, for a Commodity Constituent i and in respect of a Scheduled Publication Day t, if the

Relevant Commodity Input Day associated with such Scheduled Publication Day t is: (i) a Relevant Commodity Constituent Closing Input Day, then the Commodity Closing Index

Level of such Commodity Constituent i in respect of that Relevant Commodity Constituent Closing Input Day;

(ii) a Relevant Commodity Constituent Settlement Input Day, then the Commodity Settlement Index Level of such Commodity Constituent i in respect of that Relevant Commodity Constituent Settlement Input Day; or

(iii) a Relevant Commodity Constituent Determination Input Day, then the good faith estimate of the Commodity Settlement Index Level determined for such Commodity Constituent i pursuant to Section 13.3 (Treatment of a Relevant Commodity Constituent Determination Input Day for a Commodity Constituent) below in respect of that Relevant Commodity Constituent Determination Input Day.

CSILR(t−1)i means, for a Commodity Constituent i and in respect of a Scheduled Publication Day t, if the

Relevant Commodity Input Day associated with the Scheduled Publication Day immediately prior to such Scheduled Publication Day t is: (i) a Relevant Commodity Constituent Closing Input Day, the Commodity Closing Index

Level of such Commodity Constituent i in respect of that Relevant Commodity Constituent Closing Input Day;

(ii) a Relevant Commodity Constituent Settlement Input Day, the Commodity Settlement Index Level of such Commodity Constituent i in respect of that Relevant Commodity Constituent Settlement Input Day; or

(iii) a Relevant Commodity Constituent Determination Input Day, the good faith estimate of the Commodity Settlement Index Level determined for such Commodity Constituent i pursuant to Section 13.3 below in respect of that Relevant Commodity Constituent Determination Input Day.

12.5 Closing level for a Commodity Constituent

The Commodity Closing Index Level (as defined in Section 19 (Definitions) below) of a Commodity Constituent set forth in Table 3 above is scheduled to be determined and published on each Commodity Constituent Scheduled Day by or on behalf of the sponsor of such Commodity Constituent, in accordance with the methodology for such index, based on prices for each of the futures contracts referenced in that index methodology. For the avoidance of doubt, the Commodity Closing Index Level of a Commodity Constituent is used in calculations relating to monthly rebalancing and exposure flattening. Each Commodity Constituent is associated with a single excess return commodity sector settlement index (for each Commodity Constituent, the corresponding “Settlement Index”). The official closing level of each such Settlement Index is published or otherwise made available by or on behalf of the index sponsor to the Index Calculation Agent by the relevant sponsor of such Commodity Constituent for each Commodity Constituent Scheduled Day. As of the Live Date, the index sponsor of each Commodity Closing Index and each corresponding Settlement Index is Bloomberg Finance L.P. The single Settlement Index associated with a particular Commodity Constituent is designed and calculated by the sponsor of such index to track, in the event of a disruption affecting a futures contract referenced in the index methodology for that Commodity

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Constituent for any date of determination, the expected settlement value of a notional swap referencing such Commodity Constituent in respect of such date (assuming market standard terms under the swap). As a result, the daily official closing level of a Settlement Index on any date of determination is calculated by the index sponsor or on behalf of the index sponsor to reflect the settlement level of a Commodity Constituent by reference to the prevailing practice for pricing of over-the-counter derivatives, such as swaps, using: (i) final settlement prices for those futures referenced by the Commodity Constituent that are not subject to disruption for such day and (ii) for a futures contract referenced by the Commodity Constituent that is subject to disruption for such date of determination, the final settlement price for the next available day for which such disruption is no longer continuing for such futures contract (referred to as a “value what you can when you can” approach for the futures contracts referenced by the Commodity Constituent). Absent a disruption in the futures contracts referenced by a Commodity Constituent, the methodology used to calculate the official closing level of a Commodity Constituent and the methodology used to calculate the official closing level of the Settlement Index associated with that same Commodity Constituent would be expected to produce identical official closing levels for the Commodity Constituent and the associated Settlement Index, so that the Commodity Closing Index Level and the Commodity Settlement Index Level would be expected to be identical for any non-disrupted date of determination. As of the Live Date, Bloomberg Finance L.P. is the index sponsor and calculation agent for each Commodity Constituent and each associated Settlement Index. As of the Live Date, the Bloomberg ticker used by Bloomberg Finance L.P. (provided herein solely for ease of identification) to disseminate the levels of the Commodity Settlement Index Level associated with:

(i) the Energy Commodities Constituent (Bloomberg ticker BCOMEN) is BCOMTEN,

(ii) the Industrial Metals Commodities Constituent (Bloomberg ticker BCOMIN) is BCOMTIN and

(iii) the Precious Metals Commodities Constituent (Bloomberg ticker BCOMPR) is BCOMTPM.

13. Treatment of Basket Constituents for determination days

13.1 Treatment of a Futures Constituent Roll Determination Day for a Futures Constituent

In the event of the occurrence of a Futures Constituent Roll Determination Day for a Futures Constituent, the Index Calculation Agent will calculate its good faith estimate of the Futures Tracker Level for such Futures Constituent for such Futures Constituent Roll Determination Day, using for (x) the Futures Closing Level of each Referenced Contract and (y) the FX Rate, in each case if relevant to the occurrence or continuation of a Futures Market Disruption Event affecting such Futures Constituent, its good faith estimate of any such relevant Futures Closing Level or FX Rate. Any such estimate may be subject to correction (i) upon or following the subsequent availability of such an input, (ii) upon or following final settlement by the Futures Exchange of positions in the Earlier Expiry Futures Contract in respect of such Futures Constituent and such Futures Constituent Roll Determination Day, (iii) upon or following the discontinuation of such Futures Market Disruption Event and (iv) upon or following the next Futures Constituent Valid Day for such Futures Constituent.

13.2 Treatment of a Futures Constituent Monthly Rebalancing Determination Day for a Futures Constituent

In the event of the occurrence of a Futures Constituent Monthly Rebalancing Determination Day for a Futures Constituent, the Index Calculation Agent will calculate its good faith estimate of the Futures Tracker Level for such Futures Constituent for such Futures Constituent Monthly Rebalancing Determination Day, using for (x) the Futures Closing Level of each Referenced Contract and (y) the FX Rate, in each case if relevant to the occurrence or continuation of a Futures Market Disruption Event affecting such Futures Constituent, its good faith estimate of any such relevant Futures Closing Level or FX Rate. Any such estimate may be subject to correction (i) upon or following the subsequent availability of such an input, (ii) upon or following the discontinuation of such Futures Market Disruption Event and (iii) upon or following the next Futures Constituent Valid Day for such Futures Constituent.

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13.3 Treatment of a Relevant Commodity Constituent Determination Input Day for a Commodity Constituent

In the event of the occurrence of a Relevant Commodity Constituent Determination Input Day for a Commodity Constituent, the Index Calculation Agent will calculate its good faith estimate of the Commodity Settlement Index Level for such day by reference to the official settlement prices determined in clauses (i) and (ii) below, taking into account the formula for and method of calculating the Settlement Index last in effect prior to the scheduled date of determination:

(i) absent market disruption, trading suspension or limitation, or determination of a limit price by the exchange on which a relevant underlying commodity futures contract (each, a “Relevant Commodity Contract”) referenced by the Commodity Constituent trades, for any Relevant Commodity Contract for which the official settlement price of such Relevant Commodity Contract is published or otherwise made available by or on behalf of the relevant sponsor of such Relevant Commodity Contract to the Index Calculation Agent on such date of determination, the Commodity Settlement Index Level (or portion of such level based on such Relevant Commodity Contract) will be determined by reference to such official settlement price on the scheduled date of determination.

(ii) in the case of market disruption, trading suspension or limitation, determination of a limit price by

the exchange on which a Relevant Commodity Contract trades, or in the case of any Relevant Commodity Contract for which the official settlement price of such Relevant Commodity Contract is not published or otherwise made available by or on behalf of the relevant sponsor of such Relevant Commodity Contract to the Index Calculation Agent on such date of determination, the Commodity Settlement Index Level (or portion of such level based on such Relevant Commodity Contract) will be determined by reference to the Index Calculation Agent’s good faith estimate of such official settlement price following the resolution of such market disruption, trading suspension or limitation, determination of a limit price by the exchange on which a Relevant Commodity Contract trades, or non-publication of such official settlement price. Any such estimate may be subject to correction (w) in the case of market disruption, trading suspension or limitation, determination of a limit price by the exchange on which a Relevant Commodity Contract trades, upon or following the subsequent availability of the official settlement price of the relevant underlying commodity futures contract relating to such Relevant Commodity Contract that is not affected by a market disruption, trading suspension or limitation, determination of a limit price by the exchange on which a Relevant Commodity Contract trades, (x) in the case of any Relevant Commodity Contract for which the official settlement price of such Relevant Commodity Contract is not published or otherwise made available by or on behalf of the Relevant Commodity Exchange for such Relevant Commodity Contract to the Index Calculation Agent on such date of determination, upon or following the subsequent availability of the official settlement price of the Relevant Commodity Contract or (y) upon or following the availability of the Commodity Settlement Index Level for such Commodity Constituent for such Relevant Commodity Constituent Determination Input Day and (z) upon or following the next Commodity Constituent Scheduled Day on which the Commodity Settlement Index Level of such Commodity Constituent for such Commodity Constituent Scheduled Day is published or otherwise made available by or on behalf of the index sponsor of the Settlement Index associated with such Commodity Constituent to the Index Calculation Agent on such Commodity Constituent Scheduled Day.

For the avoidance of doubt, the levels estimated above would solely be used for the purposes of calculating the Index Level pursuant to Section 12 (Index Levels) above, and would not be used in the calculation of subsequent Monthly Units pursuant to Section 9 (Monthly Units for the Basket Constituents) above or in determining whether to implement exposure flattening for the Index pursuant to Section 11.1 (Calculating the Flattening Signal) above.

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13.4 Definitions related to determinations

“Futures Market Disruption Event” means, for a Futures Constituent, the occurrence or continuation on a Futures Constituent Scheduled Day, as determined by the Index Calculation Agent in its sole discretion, of: (i) a failure by the Futures Exchange or its agent to publish the Futures Closing Level of any

Referenced Contract for such Futures Constituent and in respect of such Futures Constituent Scheduled Day on such Futures Constituent Scheduled Day;

(ii) any event that, in the determination of the Index Calculation Agent, disrupts or impairs the ability of market participants to effect transactions in or obtain levels or market values for (a) any Referenced Contract for such Futures Constituent and in respect of such Futures Constituent Scheduled Day or (b) any options contracts or other financial contracts relating to any Referenced Contract for the Futures Constituent and in respect of such Futures Constituent Scheduled Day;

(iii) the occurrence or existence of a suspension, absence or material limitation of trading in any Referenced Contract for such Futures Constituent and in respect of such Futures Constituent Scheduled Day, including, without limitation, a suspension of trading by reason of (a) a price change exceeding limits set by an exchange or market, (b) an imbalance of orders or (c) a disparity in bid and ask quotes;

(iv) the occurrence or existence of a suspension, absence or material limitation of trading on the Futures Exchange or primary exchange or market for trading in any Referenced Contract of such Futures Constituent for more than two (2) hours of trading during, or during the last one-half (½) hour period preceding the close of, the principal trading session on such applicable Futures Exchange, primary exchange or market;

(v) the occurrence or existence of a suspension, absence or material limitation of trading on the Futures Exchange or primary exchange or market for trading in any futures contracts that are part of the underlying futures contract series for a Futures Constituent that, in the aggregate, represents a material proportion of the liquidity in such relevant underlying futures contract series for more than two (2) hours of trading during, or during the last one-half (½) hour period preceding the close of, the principal trading session on such applicable Futures Exchange, primary exchange or market;

(vi) in respect of any Futures Constituent for which the Futures Denomination Currency is not the same as the Currency of the Index, any event that the Index Calculation Agent determines in its sole discretion affects the convertibility of the Futures Denomination Currency into the Currency of the Index in a material way for market participants during the last one-half (½) hour period preceding or during the first one-half (½) hour period following the Fixing Time (as defined in Section 19 (Definitions) below) on such Futures Constituent Scheduled Day; or

(vii) in respect of any Equity Constituent, an Equity Index Disruption Event in respect of such Equity Constituent’s Equity Reference Index;

and the Index Calculation Agent determines in its sole discretion that the applicable event described above could materially interfere with the ability of market participants to transact in positions with respect to the Index (including, without limitation, positions with respect to any Futures Constituent or the Equity Reference Index of any Equity Constituent).

“Referenced Contract” means, in respect of a Weekday and a Futures Constituent:

(i) if such Weekday is in an Actual Roll Period for such Futures Constituent, the Earlier Expiry Futures Contract and the Later Expiry Futures Contract of such Futures Constituent; and

(ii) if such Weekday is not in an Actual Roll Period for such Futures Constituent, the Earlier Expiry Futures Contract.

“Equity Index Disruption Event” means, for an Equity Reference Index, in each case as determined by the

Index Calculation Agent in its sole discretion: (i) the occurrence or existence of a suspension, absence or material limitation of trading of

securities then constituting twenty percent (20%) or more of the level of such Equity Reference Index on the relevant primary exchanges for such securities for more than two (2) hours of

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trading during, or during the last one-half (½) hour period preceding the close of, the principal trading session on such relevant primary exchanges; or

(ii) if applicable, the occurrence or existence of a suspension, absence or material limitation of trading on the primary exchange or market for trading in futures or options contracts related to such Equity Reference Index for more than two (2) hours of trading during, or during the last one-half (½) hour period preceding the close of, the principal trading sessions on such applicable exchange or market.

For the purpose of determining whether an Equity Index Disruption Event in respect of an Equity Reference Index has occurred: (i) a limitation on the hours or number of days of trading will not constitute an Equity Index

Disruption Event if it results from an announced change in the regular business hours of the relevant primary exchange or the primary exchange or market for trading in futures or options contracts related to the relevant securities;

(ii) limitations pursuant to the rules of any relevant primary exchange similar to New York Stock Exchange Rule 80B (or any applicable rule or regulation enacted or promulgated by any other self-regulatory organization or any government agency of scope similar to New York Stock Exchange Rule 80B as determined by the Index Calculation Agent) on trading during significant market fluctuations will constitute a suspension, absence or material limitation of trading;

(iii) a suspension of trading in futures or options contracts on the such Equity Reference Index by the primary exchange or market for trading in such contracts by reason of (a) a price change exceeding limits set by such exchange or market, (b) an imbalance of orders relating to such contracts or securities or (c) a disparity in bid and ask quotes relating to such contracts or securities, will constitute a suspension, absence or material limitation of trading in futures or options contracts related to such Equity Reference Index; and

(iv) a suspension, absence or material limitation of trading on any relevant primary exchange or, if applicable, on the primary exchange or market on which futures or options contracts related to such Equity Reference Index are traded will not include any time when such exchange or market is itself closed for trading under ordinary circumstances.

For the purpose of determining whether an Equity Index Disruption Event with respect to a Futures Constituent Scheduled Day exists at any time, if trading in a security or component included in the applicable Equity Reference Index is materially suspended or materially limited at that time, then the relevant percentage contribution of that security or component to the level of the applicable Equity Reference Index will be based on a comparison of (x) the portion of the level of the applicable Equity Reference Index attributable to that security or component relative to (y) the overall level of the applicable Equity Reference Index, in each case immediately before that suspension or limitation.

14. U.S. Small Cap Exchange Succession Event

Based on an announcement by CME Group and FTSE Russell on August 3, 2015, it is expected that effective in the third quarter of 2017, FTSE Russell will grant the Chicago Mercantile Exchange (“CME”) the right to create and list futures contracts on the Russell 2000® Index, which is the Equity Reference Index referenced by the U.S. Small Cap Equity Constituent. This grant is expected to coincide with the expiration of the current agreement between FTSE Russell and ICE (Intercontinental Exchange), granting ICE the right to create and list futures contracts on the Russell 2000® Index. As a result, it is expected that, for the purposes of these Index Rules, the relevant equity index futures contract series associated with the U.S. Small Cap Equity Constituent as of the Live Date will undergo a one-time transition from such relevant equity index futures contract series whose Equity Reference Index is the Russell 2000® Index and whose Futures Exchange is the ICE (such series, the “ICE Original Series”) to a successor equity index futures contract series whose Equity Reference Index is the Russell 2000® Index and whose Futures Exchange is the CME (each such series, a “CME Successor Series”) that will first be identified as the Later Expiry Futures Contract for a particular Scheduled Roll Period by the Index Calculation Agent, in accordance with this Section 14. This one-time transition during a single Scheduled Roll Period from a contract in the ICE Original Series to which the relevant Earlier Expiry Futures Contract belongs to a contract in a CME Successor Series to which the corresponding Later

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Expiry Futures Contract belongs is referred to herein as the occurrence of the “U.S. Small Cap Exchange Succession Event”. Solely in the case of the U.S. Small Cap Equity Constituent for a given Scheduled Roll Period and the associated Actual Roll Period falling during the period from and including July 3, 2017 to and including the occurrence of the U.S. Small Cap Exchange Succession Event, the Index Calculation Agent will determine the Later Expiry Futures Contract as follows:

(i) the Index Calculation Agent shall first identify any existing CME Successor Series;

(ii) the Index Calculation Agent shall then determine the most recent date (if any) prior to but excluding the first (1st) Scheduled Roll Day of such Scheduled Roll Period for which both of the following are published or otherwise made available by the relevant Futures Exchange to the Index Calculation Agent (x) the aggregate open interest calculated by the ICE for the ICE Original Series to which the Earlier Expiry Futures Contract belongs and (y) the aggregate open interest calculated by the CME for each CME Successor Series:

(a) If there is no such date, then the Later Expiry Futures Contract shall be the particular futures

contract, within the relevant ICE Original Series, whose Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract, in accordance with the normal operation of Section 7.3 (Implementation of the roll) above.

(b) If there is such a date, and on such date the product of (x) the Multiplier (as defined below) and

(y) the aggregate open interest for the ICE Original Series to which the Earlier Expiry Futures Contract belongs is greater than or equal to the product of (x) the Multiplier and (y) the aggregate open interest for one of the CME Successor Series, then the Later Expiry Futures Contract shall be the particular futures contract (within the ICE Original Series to which the Earlier Expiry Futures Contract belongs) whose Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract, in accordance with the normal operation of Section 7.3 above.

(c) If there is such a date, and on such a date the product of (x) the Multiplier and (y) the aggregate

open interest for one of the CME Successor Series is greater than the product of (x) the Multiplier and (y) the aggregate open interest of the ICE Original Series to which the Earlier Expiry Futures Contract belongs, then the relevant equity index futures contract series for the U.S. Small Cap Equity Constituent shall become the CME Successor Series with the highest product of (x) its Multiplier and (y) its aggregate open interest on such a date among all the existing CME Successor Series, and the Later Expiry Futures Contract shall be the particular futures contract (within the CME Successor Series identified immediately above in this paragraph (c)) whose Futures Contract Cut-off Day most closely follows the Futures Contract Cut-off Day of the Earlier Expiry Futures Contract.

For the avoidance of doubt, during the applicable Actual Roll Period for the transition, if on any Weekday either the Futures Exchange for the Earlier Expiry Futures Contract or the Futures Exchange for the Later Expiry Futures Contract is not scheduled to be open for trading for its regular trading session in either Relevant Contract, then such day shall not be a Futures Constituent Scheduled Day in respect of the U.S. Small Cap Equity Constituent. “Multiplier” means, for an Equity Constituent, the multiplier (expressed as a dollar amount) specified by the relevant Futures Exchange by reference to which each futures contract is valued (by applying such Multiplier to the Equity Reference Index associated with such Equity Constituent. In connection with the occurrence of the U.S. Small Cap Exchange Succession Event, the Index Calculation Agent shall, in good faith, make such adjustments that it determines to be appropriate to any variable,

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calculation methodology, valuation terms or any other rule in relation to the Index to account for such change.

15. Succession events and Extraordinary Events

15.1 Succession events for Basket Constituents

(a) For a Basket Constituent, (x) if any associated currency is (or, in the case of a Futures Constituent, the Futures Denomination Currency changes or is) lawfully eliminated and replaced, converted, redenominated or exchanged for any successor currency, (y) yet such replacement or successor currency (or Futures Denomination Currency) is acceptable to the Index Calculation Agent;

(b) for a Futures Constituent, (x) if the Futures Closing Levels of its Referenced Contracts are calculated or announced in the ordinary course, but are not calculated or are not announced by or on behalf of the Futures Exchange or the relevant agent or information provider that such Futures Exchange designates, (y) yet such Closing Levels are calculated and announced by or on behalf of a successor exchange acceptable to the Index Calculation Agent or an agent or information provider (in either case, that such successor exchange designates) acceptable to the Index Calculation Agent;

(c) for a Futures Constituent, (x) if the contract specifications of its Referenced Contracts are modified by the Futures Exchange (including, without limitation, whether quarterly or monthly expiries are contemplated), (y) yet such modified contract specifications are acceptable to the Index Calculation Agent;

(d) for a Commodity Constituent and for a Settlement Index associated with a Commodity Constituent, or

for the Equity Reference Index of an Equity Constituent, (x) if the relevant index is replaced by a successor index, (y) yet such successor index uses, in the determination of the Index Calculation Agent, the same or a substantially similar formula for and method of calculation as used in the calculation of the relevant index or such successor index is otherwise acceptable to the Index Calculation Agent; or

(e) for a Commodity Constituent and for a Settlement Index associated with a Commodity Constituent, or

for the Equity Reference Index of an Equity Constituent, (x) if the relevant index sponsor makes a material change in the formula for or the method of calculating that index or in any other way materially modifies that index (other than a modification prescribed in that formula or method to maintain that index in routine circumstances), (y) yet such change or modification is acceptable to the Index Calculation Agent,

then, in each case, that Basket Constituent, that currency, that Futures Denomination Currency, that Commodity Constituent, that Settlement Index associated with a Commodity Constituent, that Equity Reference Index or the Futures Exchange, agent or information provider will thereafter be deemed to be the successor Basket Constituent, successor currency, successor Futures Denomination Currency, successor Settlement Index, successor Equity Reference Index or the successor exchange, agent or information provider described in the relevant clause above, in each case, with effect from a date determined by the Index Calculation Agent. In each such case, the Index Calculation Agent shall, in good faith, make such adjustments that it determines to be appropriate to any variable, calculation methodology, valuation terms or any other rule in relation to the Index to account for such change (including, in relation to such currency or Futures Denomination Currency, to the extent that any such elimination, conversion, redenomination or exchange results in two (2) or more currencies that were formally associated with the original currency, the Index Calculation Agent may modify these Index Rules to account for such elimination, conversion, redenomination or exchange, for example, by selecting one of the applicable currencies to be a successor currency or amending the formulas for calculating the Index to account for the new currency or FX Rate, if any). For the avoidance of doubt, the Index Calculation Agent shall not accept a particular successor futures contract, successor currency or successor index if the Index Calculation Agent determines, in its sole

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discretion, that doing so would immediately result in the occurrence of an Extraordinary Event. Upon the acceptance of a successor futures contract, successor currency or successor index, such successor shall take the place of the relevant Referenced Contract, currency, Commodity Constituent (or associated Settlement Index) or Equity Reference Index of the corresponding Basket Constituent. Further, where applicable, the prior Performance of such successor futures contract, successor currency or index shall be used in the determination of future Monthly Units if the inputs necessary to calculate the relevant prior Performance of such successor are published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent; provided that, if the inputs necessary to calculate some portion of the relevant prior Performance of such successor is not published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent, the prior Performance of the replaced futures contract, currency or index shall be used (in place of such portion of the relevant prior performance of such successor for which the necessary inputs are not published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent) in the determination of future Monthly Units with such adjustments as the Index Calculation Agent determines in good faith are appropriate to account for the use of prior Performance of both such successor and such replaced futures contract, currency or index.

15.2 Extraordinary Events for a Basket Constituent

If an Extraordinary Event occurs in respect of a Basket Constituent (or the Settlement Index associated with a Commodity Constituent), the Index Calculation Agent, acting in good faith and a commercially reasonable manner, shall select as a substitute for such Basket Constituent a futures contract or an index (such substitute futures contract or index being referred to herein as a “substitute futures contract” or “substitute index,” respectively) that, in any case, the Index Calculation Agent determines, in its sole discretion, possesses substantially similar characteristics or provides a substantially similar exposure (as considered prior to the occurrence of such Extraordinary Event). In such a case, the Index Calculation Agent shall, in good faith, make such adjustments that it determines to be appropriate to any variable, calculation methodology, valuation terms or any other rule in relation to the Index to account for such substitution; provided that, for any Basket Constituent (or the Settlement Index associated with a Commodity Constituent), if the Index Calculation Agent determines, in its sole discretion, that no such substitute futures contract or substitute index is available, then the Index Calculation Agent will, in its sole discretion, (x) determine its good faith estimate of the closing level of such Basket Constituent (or the Settlement Index associated with a Commodity Constituent) as of a date on or prior to the occurrence of such Extraordinary Event and use such estimate of the closing price (without modification over time) in respect of such Basket Constituent (or the Settlement Index associated with a Commodity Constituent) in subsequent calculations of the Index Level of the Index until the final Futures Constituent Monthly Rebalancing Determination Day or Commodity Constituent Monthly Rebalancing Determination Day, as applicable, in the immediately following monthly rebalancing period, (y) remove such Basket Constituent (or such Settlement Index associated with a Commodity Constituent) from the Index and (z) in good faith, make such adjustments that it determines to be appropriate to any variable, calculation methodology, valuation terms or any other rule in relation to the Index to account for such removal. The Index Calculation Agent shall not select a particular substitute futures contract or index if the Index Calculation Agent determines, in its sole discretion, that doing so would immediately result in the occurrence of an Extraordinary Event. Upon the selection of a substitute futures contract or index, such substitute shall take the place of the relevant Basket Constituent (or the Settlement Index associated with a Commodity Constituent). For the avoidance of doubt, the prior Performance of such substitute futures contract or index shall be used in the determination of future Monthly Units if the inputs necessary to calculate the relevant prior Performance of such substitute are published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent; provided that, if the inputs necessary to calculate some portion of the relevant prior Performance of such substitute is not published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent the prior Performance of the replaced futures contract or index shall be used (in place of such portion of the relevant prior performance of such substitute for which the necessary inputs are not published or otherwise made available by the relevant exchange or input sponsor to the Index Calculation Agent) in the determination of future Monthly Units with

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such adjustments as the Index Calculation Agent determines in good faith are appropriate to account for the use of prior Performance of both such substitute and such replaced futures contract or index.

15.3 Definitions related to an Extraordinary Event

An “Extraordinary Event” occurs if the Index Calculation Agent determines in its sole discretion that (i) on any Weekday in respect of a Basket Constituent, one or more of the following events has occurred and (ii) the applicable event or events described below materially interferes with the ability of market participants to transact in positions with respect to the Index (including, without limitation, positions with respect to any Basket Constituent, the Settlement Index associated with a Commodity Constituent or the Equity Reference Index of any Equity Constituent):

(a) for any Equity Reference Index for an Equity Constituent, for any Commodity Constituent, or for the Settlement Index associated with a Commodity Constituent, the sponsor or issuer of the relevant index permanently cancels the Equity Reference Index, Commodity Constituent or the Settlement Index, and no successor exists, or the Equity Reference Index’s or the Commodity Constituent’s or the Settlement Index’s level is not calculated and is not announced by or on behalf of the relevant sponsor or issuer of such index, and is not calculated and announced by or on behalf of a successor sponsor or issuer acceptable to the Index Calculation Agent;

(b) for any Futures Constituent, the Futures Exchange delists a Referenced Contract;

(c) for any Futures Constituent, the Futures Exchange does not list a Later Expiry Futures Contract

before the Scheduled Roll Initiation Day of the Earlier Expiry Futures Contract;

(d) for any relevant Basket Constituent, the event specified in clause (x) of subsection (a), (b), (c), (d) or (e) of Section 15.1 (Succession events for Basket Constituents) above occurs, but the relevant event specified in clause (y) of such subsection of Section 15.1 does not occur;

(e) in respect of any Futures Constituent, a Futures Market Disruption Event occurs for ten (10)

consecutive Futures Constituent Scheduled Days and the Index Calculation Agent determines that such Futures Market Disruption Event is reasonably likely to continue for a period of an indeterminate duration;

(f) in respect of any Commodity Constituent or any Settlement Index associated with a Commodity

Constituent, a failure by the relevant sponsor to publish the official closing level for such index for ten (10) consecutive Commodity Constituent Scheduled Days and the Index Calculation Agent determines that such non-publication is reasonably likely to continue for a period of an indeterminate duration;

(g) in respect of an Equity Constituent that has an Equity Reference Index, a failure by the relevant

sponsor to publish the closing level for such Equity Reference Index for ten (10) consecutive scheduled publication days and the Index Calculation Agent determines that such non-publication is reasonably likely to continue for a period of an indeterminate duration;

(h) in respect of any Basket Constituent, (x) a suspension or limitation on trading in respect of a Relevant

Underlying is announced or imposed for ten (10) consecutive relevant days or for a period of indeterminate duration that the Index Calculation Agent determines is reasonably likely to include ten (10) consecutive relevant days or (y) any other event occurs or condition exists that causes trading to cease in respect of a Relevant Underlying for ten (10) consecutive relevant days;

(i) in respect of any Futures Constituent whose Futures Denomination Currency is not U.S. dollars, an FX

Material Event occurs;

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(j) in respect of any Futures Constituent, the exchange or the central counterparty or other legal obligor in respect of any Relevant Contract becomes, for any reason, subject to voluntary or involuntary termination, liquidation, bankruptcy, insolvency, dissolution or winding-up or any other analogous proceeding;

(k) in respect of any Futures Constituent, the Aggregate Open Interest declines below an amount equal to

twenty percent (20%) of its Aggregate Open Interest on (i) December 27, 2016 if the futures contract was a Futures Constituent as of the December 27, 2016 or (ii) the date on which such futures contract became a Futures Constituent;

(l) in respect of any Futures Constituent, the Average Aggregate Volume declines below an amount

equal to twenty percent (20%) of its Average Aggregate Volume on (i) December 27, 2016 if the futures contract was a Futures Constituent as of December 27, 2016 or (ii) the date on which such futures contract became a Futures Constituent;

(m) in respect of any Equity Constituent that has an Equity Reference Index, the Futures Closing Level of

the Earlier Expiry Futures Contract of a Futures Constituent reflects a premium greater than twenty percent (20%) or a discount greater than twenty percent (20%) as compared to the closing level of the Equity Reference Index for a period of five (5) consecutive Futures Constituent Scheduled Days;

(n) in respect of any Basket Constituent and a Monthly Selection Date, the Realized Volatility of such

Basket Constituent is less than five basis points (0.05%);

(o) if, at any time, any relevant license or other right or ability of the Index Calculation Agent or the Index Sponsor (or any of their affiliates) to use any Basket Constituent, underlying reference input or relevant data or information or to refer to the level or price or other information in respect of any Basket Constituent, underlying reference input or relevant data or information (or other component or input of the Index or other matter that could affect the Index) terminates, becomes impaired, ceases or cannot be obtained or will cease to be available on commercially reasonable terms or the Index Calculation Agent’s right or ability to use (i) any Basket Constituent for the purposes of the Index or (ii) the Index in connection with the grant or receipt of any other inbound or outbound licensing or sub-licensing rights is otherwise impaired, ceases or cannot be obtained or will cease to be available on commercially reasonable terms (for any reason); or

(p) the occurrence or continuation of a Change in Law.

An “FX Material Event” means, in each case as determined by the Index Calculation Agent in its sole discretion:

(i) an event in relation to any currency relevant to the determination of the relevant FX Rate between the Futures Denomination Currency and the Currency of the Index that the Index Calculation Agent determines has the effect of preventing, restricting or delaying:

(a) the convertibility of the Futures Denomination Currency into the Currency of the Index through

customary legal channels;

(b) the convertibility of the Futures Denomination Currency into the Currency of the Index at a rate at least as favorable as the rate for domestic institutions located in the country whose lawful currency is the Futures Denomination Currency (for the purposes of this definition, the “Relevant Country”);

(c) the delivery of the Futures Denomination Currency from accounts inside the Relevant Country to

accounts outside the Relevant Country; or

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(d) the delivery of the Futures Denomination Currency between accounts inside the Relevant Country or to a party that is a non-resident of the Relevant Country;

(ii) the imposition by the Relevant Country (or any political or regulatory authority thereof) of any

capital controls, or the publication of any notice of an intention to do so, that the Index Calculation Agent determines is likely to have a material effect on the ability of market participants to obtain reliable spot exchange rates for the Futures Denomination Currency from a recognized financial source;

(iii) the implementation by the Relevant Country (or any political or regulatory authority thereof) or the

publication of any notice of an intention to implement any changes to the laws or regulations relating to foreign investment in the Relevant Country (including, but not limited to, changes in tax laws or laws relating to capital markets and corporate ownership), that the Index Calculation Agent determines are likely to have a material effect on the ability of market participants to obtain reliable spot exchange rates for the Futures Denomination Currency from a recognized financial information source; or

(iv) any other event that the Index Calculation Agent determines affects the convertibility of the Futures

Denomination Currency into the Currency of the Index in a material way for market participants on any date or at any relevant time.

A “Change in Law” occurs when, due to either:

(i) the adoption of, or any change in, any applicable law, regulation or rule (including, without limitation, (x) any tax law or (y) adoption or promulgation of new regulations authorized or mandated by existing statute); or

(ii) the promulgation of, or any change in, the announcement or statement of a formal or informal

interpretation by any court, tribunal or regulatory authority (or any representative thereof) with competent jurisdiction of any applicable law, rule, regulation or order (including, without limitation, as implemented by the U.S. Commodity Futures Trading Commission, the U.S. Securities and Exchange Commission or any exchange or trading facility), and

the Index Calculation Agent determines in good faith that (x) it is contrary to such law, rule, regulation or order for any market participants that are brokers or financial intermediaries (individually or collectively) to hold, acquire or dispose of (in whole or in part) a position in or a transaction referencing or relating to (1) the Index, (2) any Basket Constituent, (3) the Settlement Index associated with any Commodity Constituent, (4) a component of a Commodity Constituent or the Settlement Index associated with any Commodity Constituent, (5) a deliverable bond in respect of the Relevant Contract for a Bond Constituent, (6) a component of any Equity Reference Index of an Equity Constituent, (7) the Currency of the Index or (8) the Futures Denomination Currency for any Futures Constituent (each such underlying described in any of the immediately preceding clauses (2), (3), (4), (5), (6), (7) and (8) being a “Relevant Underlying”) or (y) holding a position in or a transaction referencing or relating to the Index or any Relevant Underlying is (or, but for the consequent disposal or termination thereof, would otherwise be) in excess of any allowable position limits applicable to any market participants that are brokers or financial intermediaries (individually or collectively) under any such law, rule or regulation in relation to the Index or any Relevant Underlying, including in any case traded on any exchange,, market or other trading facility.

16. Hypothetical back-tested levels

Any Index Level prior to the Live Date is a hypothetical, back-tested level. Such levels should not be taken as an indication of future performance, and no assurance can be given as to the levels or performance of the Index on a future date. Back-tested results are achieved by means of a retroactive application of a back-tested methodology designed with the benefit of hindsight. The Index Calculation Agent, in calculating hypothetical back-tested index levels, may have applied the disruption provisions set out in these Index Rules differently

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than it otherwise would have applied such provisions in a “live” calculation scenario. Additionally, the precision and rounding of the levels of the Index or any reference input may differ from the methodology applied on a going-forward basis. In calculating the hypothetical back-tested levels, the Index Calculation Agent may have made certain assumptions in respect of the timing surrounding the publication of certain indicators and reference input levels. These assumptions may have a material impact on the hypothetical back-tested levels. No representation is made that any investment that references the Index will or is likely to achieve returns similar to any hypothetical back-tested returns. Alternative methodologies or assumptions might provide different results. Finally, hypothetical back-tested results of past performance are neither an indicator nor a guarantee of future performance or returns. Actual results and performance may vary compared to such hypothetical back-tested levels.

17. No advice or offer of securities

By developing the methodology for the Index and publishing these Index Rules, none of the Index Sponsor, the Index Calculation Agent or any other Relevant Person: (a) has rendered or is rendering legal, regulatory, investment, tax, accounting or other advice to an investor in relation to any product or investment that is linked to or references the Index; and (b) is, subject to any regulatory obligations of the Index Sponsor, Index Calculation Agent or other Relevant Person, a fiduciary or accepts any duty of care under applicable law governing such product or investment or in the jurisdiction in which any investor purchases a product or investment that is linked to or references the Index or in the jurisdiction of the Index Sponsor, Index Calculation Agent or other Relevant Person. Each investor in a product or investment that is linked to or references the Index should make its own investment decision based on its own judgment and on its own examination of the Index and the applicable product or investment, and each investor should consult its own legal, regulatory, investment, tax, accounting and other professional advisers as it deems necessary in connection with the relevant product or investment. The Index Rules do not constitute investment, taxation, legal, accounting or other advice, whether advice within the meaning of Article 53 of the Financial Services and Markets Act 2000 (Regulated Activities) Order 2001 or investment advice within the meaning of Article 4(4) of the Markets in Financial Instruments Directive 2004/39/EC or otherwise. These Index Rules do not constitute an offer to purchase or sell securities in whatever form in respect of any product or investment that may be linked to the Index.

18. Corrections

If (i) the Futures Closing Level of any Futures Constituent, the Commodity Closing Index Level of a Commodity Constituent or the Commodity Settlement Index Level of the Settlement Index associated with any Commodity Constituent, or the FX Rate in respect on any Futures Constituent as of any date that is published or otherwise made available to the Index Calculation Agent in respect of the relevant Basket Constituent is subsequently corrected and such correction is published or otherwise made available to the Index Calculation Agent in respect of such Basket Constituent; or (ii) the Index Calculation Agent identifies an error or omission in any of its calculations, determinations or interpretations in respect of the Index, then the Index Calculation Agent may, if practicable and if the Index Calculation Agent determines in good faith that such correction, error or omission (as the case may be) is material, adjust or correct the relevant calculation, determination or interpretation or the Index Level as of any Scheduled Publication Day to take into account any such correction.

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19. Definitions

Terms not otherwise defined herein, shall have the following meanings: “Actual Roll Completion Day” has the meaning given to such term in Section 7.2 (Actual Roll Period for a

Futures Constituent). “Actual Roll Period” has the meaning given to such term in Section 7.2 (Actual Roll Period for a

Futures Constituent). “Aggregate Open Interest” means, with respect to a Futures Constituent and a Futures Constituent

Scheduled Day, the aggregate open interest in such Futures Constituent at all expiries, as reported by the Futures Exchange. The Aggregate Open Interest for each Futures Constituent on December 27, 2016 is provided in Schedule 1 to these Index Rules.

“Average Aggregate Volume” means, with respect to a Futures Constituent and a Futures Constituent

Scheduled Day, the ratio of (i) the total volume of trading in such Futures Constituent at all expiries from but excluding the calendar day six (6) months prior to such Futures Constituent Scheduled Day, to and including such Futures Constituent Scheduled Day, as reported by the Futures Exchange, divided by (ii) the total number of Futures Constituent Scheduled Days from but excluding the calendar day six (6) months prior to such Futures Constituent Scheduled Day, to and including such Futures Constituent Scheduled Day. The Average Aggregate Volume for each Futures Constituent on December 27, 2016 is provided in Schedule 1 to these Index Rules.

“Base Date” means, in respect of the Futures Constituents, the date specified in Section

7.3 (Implementation of the roll). “Basket Constituent” has the meaning given to such term in Section 4 (General Notes on the

Index), subject to the provisions of Section 15 (Succession events and Extraordinary Events) and, in the case of the U.S. Small Cap Equity Constituent, subject to the provisions of Section 14 (U.S. Small Cap Exchange Succession Event).

“Bond Constituent” has the meaning given to such term in Section 4 (General Notes on the

Index), subject to the provisions of Section 15 (Succession events and Extraordinary Events).

“Change in Law” has the meaning given to such term in Section 15.3 (Definitions related to an

Extraordinary Event). “CME” has the meaning given to such term in Section 14 (U.S. Small Cap Exchange

Succession Event). “CME Successor Series” has the meaning given to such term in Section 14 (U.S. Small Cap Equity

Constituent Exchange Succession Event). “Commodity Closing Index Level” means, in respect of a Commodity Constituent Scheduled Day and for a

Commodity Constituent, (a) the official closing level of such Commodity Constituent published or otherwise made available to the Index Calculation Agent by the relevant sponsor of such Commodity Constituent for such

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Commodity Constituent Scheduled Day (so long as such official closing level does not, in the determination of the Index Calculation Agent, reflect manifest error on the part of the relevant sponsor of such Commodity Constituent), (b) if the Index Calculation Agent determines that the official closing level of such Commodity Constituent published or otherwise made available to the Index Calculation Agent by the relevant sponsor of such Commodity Constituent for such Commodity Constituent Scheduled Day reflects manifest error on the part of the relevant sponsor of such Commodity Constituent, the closing level of such Commodity Constituent as calculated in good faith and in a commercially reasonable manner based on the formula for and method of calculating such Commodity Constituent, or (c) if the relevant sponsor of such Commodity Constituent fails to announce publicly, make available to the Index Calculation Agent or publish the official closing level of such Commodity Constituent scheduled to be published or otherwise made available to the Index Calculation Agent by the relevant sponsor of such Commodity Constituent for such Commodity Constituent Scheduled Day by 8:00 PM, New York time on such Commodity Constituent Scheduled Day, the closing level of such Commodity Constituent as calculated in good faith and in a commercially reasonable manner based on the formula for and method of calculating such Commodity Constituent.

“Commodity Constituent” has the meaning given to such term in Section 4 (General Notes on the

Index), subject to the provisions of Section 15 (Succession events and Extraordinary Events).

“Commodity Constituent Effective Monthly Rebalancing Day” has the meaning given to such term in

Section 10.2 (Commodity Monthly Effective Rebalancing Days for a Commodity Constituent).

“Commodity Constituent Monthly Rebalancing Determination Day” has the meaning given to such term

in Section 10.2 (Commodity Monthly Effective Rebalancing Days for a Commodity Constituent).

“Commodity Constituent Scheduled Day” means, for a Commodity Constituent, a day on which the

Commodity Closing Index Level for that Commodity Constituent is scheduled to be published by the relevant sponsor of such Commodity Constituent.

“Commodity Constituent Scheduled Monthly Rebalancing Day” has the meaning given to such term in

Section 10.2 (Commodity Monthly Effective Rebalancing Days for a Commodity Constituent).

“Commodity Settlement Index Level” means, in respect of a Commodity Constituent Scheduled Day and for

the Settlement Index associated with a Commodity Constituent, (a) the official closing level of such Settlement Index as published or otherwise made available to the Index Calculation Agent by the relevant sponsor of such Settlement Index for such Commodity Constituent Scheduled Day (so long as such official closing level does not, in the determination of the Index Calculation Agent, reflect manifest error on the part of the relevant sponsor of such Settlement Index), (b) if the Index Calculation Agent determines that the official closing level of such Settlement Index published or otherwise made available to the Index Calculation Agent by the relevant sponsor of such Settlement Index for such Commodity Constituent Scheduled Day reflects manifest error on the part of the relevant sponsor of such Settlement Index, the closing level of such Settlement Index as

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calculated in good faith and in a commercially reasonable manner based on the formula for and method of calculating such Settlement Index, or (c) if the relevant sponsor of such Settlement Index postpones the publication of or fails to announce publicly, make available to the Index Calculation Agent or publish the official closing level of such Settlement Index scheduled to be published or otherwise made available to the Index Calculation Agent by the relevant sponsor of such Settlement Index for such Commodity Constituent Scheduled Day by 8:00 PM, New York time on the Commodity Constituent Scheduled Day on which such official closing level could have been published pursuant to the methodology of the Settlement Index, the closing level of such Settlement Index as calculated in good faith and in a commercially reasonable manner based on the formula for and method of calculating such Settlement Index.

“Constituent Weight Cap” in respect of each Basket Constituent, has the meaning given to such term in

Section 6 (The Basket Constituents). “Currency of the Index” has the meaning given to such term in Section 5 (Publication of Index Levels

and rounding). “Current Units” has the meaning given to such term in Section 10.3 (Determination of the

Current Units for a Basket Constituent in respect of a Weekday t), or Section 10.4 (Determination of the Current Units for a Basket Constituent in respect of a Weekday t-1), as applicable.

“Earlier Expiry Futures Contract” has the meaning given to such term in Section 7.2 (Actual Roll Period for a

Futures Constituent). “Earlier Expiry Futures Contract Weight” has the meaning given to such term in Section 7.3

(Implementation of the roll). “Effective Exposure” has the meaning given to such term in Section 11.2 (Calculating the Effective

Exposure for each Futures Constituent) or Section 11.3 (Calculating the Effective Exposure for each Commodity Constituent), as applicable.

“Energy Commodities Constituent” has the meaning given to such term in Section 4 (General Notes on the

Index), subject to the provisions of Section 15 (Succession events and Extraordinary Events).

“Equity Constituent” has the meaning given to such term in Section 6 (The Basket Constituents),

subject to the provisions of Section 15 (Succession events and Extraordinary Events) and, in the case of the U.S. Small Cap Equity Constituent, subject to the provisions of Section 14 (U.S. Small Cap Exchange Succession Event).

“Equity Index Disruption Event” has the meaning given to such term in Section 13.4 (Definitions related to

determinations). “Equity Reference Index” means, for an Equity Constituent, the index to which such Equity

Constituent’s final cash settlement value is related. The Equity Reference Index for each Equity Constituent is provided in Section 6 (The Basket Constituents).

“EUR” means the euro, which is the lawful currency of the European Union, subject

to the terms set forth in Section 15.1 (Succession events for Basket Constituents).

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“Exposure Flattening Threshold” has the meaning given to such term in Section 11.1 (Calculating the

Flattening Signal). “Extraordinary Event” has the meaning given to such term in Section 15.3 (Definitions related to an

Extraordinary Event). “Fixing Time” means approximately 4:00 PM London, United Kingdom time. “Flattening Signal” has the meaning given to such term in Section 11.1 (Calculating the

Flattening Signal). “Futures Closing Level” has the meaning given to such term in Section 7.4 (Futures Tracker Level of

a Futures Constituent). “Futures Constituent” has the meaning given to such term in Section 4 (General Notes on the

Index). “Futures Constituent Effective Monthly Rebalancing Day” has the meaning given to such term in Section

10.1 (Futures Constituent Effective Monthly Rebalancing Days). “Futures Constituent Monthly Rebalancing Determination Day” has the meaning given to such term in

Section 10.1 (Futures Constituent Effective Monthly Rebalancing Days). “Futures Constituent Effective Roll Day” has the meaning given to such term in Section 7.2 (Actual Roll

Period for a Futures Constituent). “Futures Constituent Roll Determination Day” has the meaning given to such term in Section 7.2 (Actual

Roll Period for a Futures Constituent). “Futures Constituent Scheduled Day” has the meaning given to such term in Section 7.1 (Scheduled Roll

Period for each Futures Constituent). “Futures Constituent Scheduled Monthly Rebalancing Day” has the meaning given to such term in Section

10.1 (Futures Constituent Effective Monthly Rebalancing Days). “Futures Constituent Valid Day” has the meaning given to such term in Section 7.2 (Actual Roll Period for a

Futures Constituent). “Futures Contract Cut-off Day” has the meaning given to such term in Section 7.1 (Scheduled Roll Period for

each Futures Constituent). “Futures Denomination Currency” has the meaning given to such term in Section 6 (The Basket

Constituents). “Futures Exchange” means, in respect of any Futures Constituent, the exchange or quotation

system on which the relevant futures contracts referenced by such Futures Constituent are listed for trading, any successor to such exchange or quotation system or any substitute exchange or quotation system to which trading has temporarily relocated (so long as the Index Calculation Agent has determined that there is comparable liquidity relative to the futures or options contracts relating to the Futures Constituent on such temporary substitute exchange or quotation system as on the original exchange or quotation system).

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“Futures Market Disruption Event” has the meaning given to such term in Section 13.4 (Definitions related to determinations).

“FX Rate” has the meaning given to such term in Section 7.4 (Futures Tracker Levels of

the Futures Constituents). “FX Material Event” has the meaning given to such term in Section 15.3 (Definitions related to an

Extraordinary Event). “GBP” means the Great Britain pound, which is the lawful currency of the United

Kingdom, subject to the terms set forth in Section 15.1 (Succession events for Basket Constituents).

“German Equity Constituent” has the meaning given to such term in Section 6 (The Basket Constituents). “German Government Bond Constituent” has the meaning given to such term in Section 6 (The Basket

Constituents). “ICE Original Series” has the meaning given to such term in Section 14 (U.S. Small Cap Equity Constituent

Exchange Succession Event). “Index” means the J.P. Morgan Mozaic IISM Index. “Index Calculation Agent” has the meaning given to such term in Section 2 (Index Sponsor and Index

Calculation Agent). “Index Level” has the meaning given to such term in Section 5 (Publication of Index Levels

and rounding). “Index Rules” has the meaning given to such term in Section 1 (Introduction). “Index Sponsor” has the meaning given to such term in Section 2 (Index Sponsor and Index

Calculation Agent). “Industrial Metals Commodities Constituent” has the meaning given to such term in Section 4 (General

Notes on the Index), subject to the provisions of Section 15 (Succession events and Extraordinary Events).

“JPMS plc” means J.P. Morgan Securities plc. “Japanese Equity Constituent” has the meaning given to such term in Section 6 (The Basket Constituents). “Japanese Government Bond Constituent” has the meaning given to such term in Section 6 (The Basket

Constituents). “JPY” means the Japanese yen, which is the lawful currency of Japan, subject to

the terms set forth in Section 15.1 (Succession events for Basket Constituents).

“Later Expiry Futures Contract” has the meaning given to such term in Section 7.3 (Implementation of the

roll), subject to the provisions of Section 14 (U.S. Small Cap Equity Constituent Exchange Succession Event).

“Live Date” has the meaning given to such term in Section 8 (Initial composition of the

Index).

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“Long-Term U.S. Treasury Note Constituent” has the meaning given to such term in Section 6 (The Basket

Constituents). “Maximum Total Weight” means three hundred percent (300%). “Medium-Term U.S. Treasury Note Constituent” has the meaning given to such term in Section 6 (The

Basket Constituents). “Monthly Selection Date” has the meaning given to such term in Section 4 (General Notes on the

Index). “Monthly Units” has the meaning given to such term in Section 9 (Monthly Units for the

Basket Constituents). “Multiplier” has the meaning given to such term in Section 14 (U.S. Small Cap Exchange

Succession Event). “Next Monthly Units” has the meaning given to such term in Section 10 (Monthly Rebalancing). “Open Interest Threshold” has the meaning given to such term in Section 7.3 (Implementation of the

roll). “Performance” means, in respect of a Basket Constituent, the performance determined by

the Index Calculation Agent in accordance with Section 9.1 (Identifying the Preliminary Weight of each Basket Constituent for a Monthly Selection Date).

“Precious Metals Commodities Constituent” has the meaning given to such term in Section 4 (General

Notes on the Index), subject to the provisions of Section 15 (Succession events and Extraordinary Events).

“Preliminary Portfolio” means a notional basket composed of notional exposures to the Basket

Constituents equal to the Preliminary Weights. “Preliminary Portfolio Return” has the meaning given to such term in Section 9.2 (Identifying the Monthly

Constituent Weight of each Basket Constituent for a Monthly Selection Date). “Preliminary Portfolio Volatility” has the meaning given to such term in Section 9.2 (Identifying the Monthly

Constituent Weight of each Basket Constituent for a Monthly Selection Date). “Preliminary Weight” has the meaning given to such term in Section 9.1 (Identifying the

Preliminary Weight of each Basket Constituent for a Monthly Selection Date). “Prior Monthly Units” has the meaning given to such term in Section 10 (Monthly Rebalancing). “Prior Scheduled Day” has the meaning given to such term in Section 11.1 (Calculating the

Flattening Signal). “Prior Scheduled Publication Day” has the meaning given to such term in Section 11.1 (Calculating the

Flattening Signal). “Rank” has the meaning given to such term in Section 9.1 (Identifying the

Preliminary Weight of each Basket Constituent for a Monthly Selection Date).

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“Realized Volatility” has the meaning given to such term in Section 9.1 (Identifying the Preliminary Weight of each Basket Constituent for a Monthly Selection Date).

“Rebalanced Exposure” has the meaning given to such term in Section 10.1 (Futures Constituent

Effective Monthly Rebalancing Days). “Referenced Contract” has the meaning given to such term in Section 13.4 (Definitions related to

determinations). “Relevant Commodity” has the meaning given to such term in Section 13.3 (Treatment of a Relevant

Commodity Constituent Determination Input Day for a Commodity Constituent).

“Relevant Commodity Constituent Closing Input Day” has the meaning given to such term in Section

12.2 (Determination of the Relevant Commodity Input Day). “Relevant Commodity Constituent Determination Input Day” has the meaning given to such term in

Section 12.2 (Determination of the Relevant Commodity Input Day). “Relevant Commodity Constituent Settlement Input Day” has the meaning given to such term in Section

12.2 (Determination of the Relevant Commodity Input Day). “Relevant Commodity Contract” has the meaning given to such term in Section 13.3 (Treatment of a

Relevant Commodity Constituent Determination Input Day for a Commodity Constituent).

“Relevant Commodity Exchange” means, in respect of any Relevant Commodity Contract referenced by a

Commodity Constituent, the applicable commodities futures exchange on which such Relevant Commodity Contract for that Commodity Constituent trade.

“Relevant Commodity Input Day” has the meaning given to such term in Section 12.2 (Determination of the

Relevant Commodity Input Day). “Relevant Country” has the meaning given to such term in Section 15.3 (Definitions related to an

Extraordinary Event). “Relevant Futures Input Day” has the meaning given to such term in Section 12.1 (Determination of the

Relevant Futures Input Day). “Relevant Person” has the meaning given to such term in Section 2 (Index Sponsor and Index

Calculation Agent). “Relevant Scheduled Day” has the meaning given to such term in Section 11.1 (Calculating the

Flattening Signal). “Relevant Scheduled Publication Day” has the meaning given to such term in Section 11.1 (Calculating the

Flattening Signal). “Relevant Underlying” has the meaning given to such term in Section 15.3 (Definitions related to an

Extraordinary Event). “Scheduled Roll Completion Day with respect to a Futures Constituent i and a Scheduled Roll Period, is as

set forth in Table 4 in Section 7.1 (Scheduled Roll Period for each Futures Constituent).

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“Scheduled Roll Day” has the meaning given to such term in Section 7.1 (Scheduled Roll Period for

each Futures Constituent). “Scheduled Roll Initiation Day” with respect to a Futures Constituent i and a Scheduled Roll Period, is as set

forth in Table 4 in Section 7.1 (Scheduled Roll Period for each Futures Constituent).

“Scheduled Publication Day” means a Weekday. “Scheduled Roll Period” has the meaning given to such term in Section 7.1 (Scheduled Roll Period for

each Futures Constituent). “Settlement Index” has the meaning given to such term in Section 12.5 (Closing level for a

Commodity Constituent). “Short-Term U.S. Treasury Note Constituent” has the meaning given to such term in Section 6 (The Basket

Constituents). “Start Date” for the Index, has the meaning given to such term in Section 8 (Initial

composition of the Index). “Starting Selection Date” has the meaning given to such term in Section 8 (Initial composition of the

Index). “Target Volatility” means the target volatility of the Index, of four point two percent (4.2%). “U.K. Equity Constituent” has the meaning given to such term in Section 6 (The Basket Constituents). “U.K. Government Bond Constituent” has the meaning given to such term in Section 6 (The Basket

Constituents). “Underlying Futures Contract” has the meaning given to such term in Section 4 (General Notes on the

Index). “USD” means the U.S. dollar, which is the lawful currency of the United States of

America subject to the terms set forth in Section 15.1 (Succession events for Basket Constituents).

“U.S. Large Cap Equity Constituent” has the meaning given to such term in Section 6 (The Basket

Constituents). “U.S. Nasdaq Equity Constituent” has the meaning given to such term in Section 6 (The Basket Constituents). “U.S. Small Cap Equity Constituent” has the meaning given to such term in Section 6 (The Basket

Constituents), subject to the provisions of Section 14 (U.S. Small Cap Exchange Succession Event).

“U.S. Small Cap Equity Constituent Exchange Succession Event” has the meaning given to such term in

Section 14 (U.S. Small Cap Equity Constituent Exchange Succession Event). “Weekday” means a calendar day that is a Monday, Tuesday, Wednesday, Thursday or

Friday.

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Schedule 1

i Futures Constituent Aggregate Open Interest on

December 27, 2016 Average Aggregate Volume on

December 27, 2016*

1 U.S. Large Cap Equity Constituent

2,754,179 1,769,352

2 U.S. Nasdaq Equity Constituent

224,401 231,297

3 U.S. Small Cap Equity Constituent

676,871 106,855

4 German Equity Constituent

137,165 96,604

5 U.K. Equity Constituent

758,095 148,423

6 Japanese Equity Constituent

543,355 70,834

7 Short-Term U.S. Treasury Note Constituent

1,136,039 332,049

8 Medium-Term U.S. Treasury Note Constituent

2,966,451 808,785

9 Long-Term U.S. Treasury Note Constituent

3,029,608 1,389,124

10 German Government Bond Constituent

1,552,446 731,183

11 U.K. Government Bond Constituent

588,004 208,381

12 Japanese Government Bond Constituent

82,235 26,725

* Rounded to an integer number of contracts.

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Notices, Disclaimers and Conflicts of Interest

The Index Rules have been prepared solely for informational purposes and nothing in the Index Rules constitutes (i) an offer to buy or sell any securities, participate in any transaction or adopt any investment linked to the Index or (ii) legal, tax, regulatory, financial or accounting advice. The Index Rules may change at any time without prior notice. None of the Relevant Persons makes any representation or warranty, whatsoever, express or implied, as to the results that may be obtained through the use of this document or the Index. Each Relevant Person hereby expressly disclaims, to the fullest extent permitted by law, all warranties of accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any information contained in this document. No Relevant Person shall have any liability or responsibility to any person or entity (including, without limitation, any investor in any product or investment referencing the Index) for any loss, damages, costs, charges, expenses or other liabilities howsoever arising, including, without limitation, liability for any special, punitive, indirect, consequential or other damages (including loss of business or loss of profit, loss of time and loss of goodwill), even if notified of the possibility of any such damages. No Relevant Person is under any obligation to continue the calculation, publication and dissemination of the Index or the Index Level. The Index Sponsor may at any time and without notice terminate the calculation, publication or dissemination of the Index. The Index Sponsor may delegate or transfer to a third party some or all of its functions in relation to the Index. Potential conflicts of interest may exist between the structure and operation of the Index, roles and responsibilities of the Index Sponsor and Index Calculation Agent and the normal business activities of the Index Sponsor, the Index Calculation Agent or any other Relevant Person. During the course of their normal business, the Index Sponsor or any of the other Relevant Persons may (i) enter into or promote, offer or sell transactions or investments (structured or otherwise) linked to the Index or any of the Basket Constituents or (ii) act as an investment manager, investment advisor, administrator, custodian, prime broker or other service provider to any of the Basket Constituent. In addition, any Relevant Person may have, or may have had, interests or positions, or may buy, sell or otherwise trade positions in or relating to the Index or any of the Basket Constituents, or may invest or engage in transactions with other persons, or on behalf of such persons relating to any of these items. Such activity may or may not have an impact on the Index Level but all persons reading this document should be aware that a conflict of interest could arise where anyone is acting in more than one capacity, and such conflict may have an impact, positive or negative, on the Index Level. Neither the Index Calculation Agent nor any other Relevant Person has any duty to consider the circumstances of any person when participating in such transactions or to conduct themselves in a manner that is favorable to anyone with exposure to the Index. Furthermore, neither the Index Sponsor nor any other Relevant Person has any obligation or liability in connection with the administration, marketing or trading of any instrument or investment that references the Index and is not obliged to enter into or promote any such instrument or investment. The Index Rules have been developed with the possibility of the Index Sponsor or any of the other Relevant Persons entering into or promoting, offering or selling transactions or investments (structured or otherwise) linked to the Index and hedging such transactions or investments in any manner that they see fit. Accordingly it should be assumed that the Index Rules have and will be analyzed from this point of view. The Index Sponsor or the Index Calculation Agent may make certain calculations based on information obtained from publicly available sources without independently verifying such information and accepts no responsibility or liability in respect of such calculations or information. As mentioned above, the Index is described as a notional basket 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 reference assets, the performance of which will be used as a reference point for calculating the Index Level.

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Notwithstanding anything to the contrary herein, nothing in these Index Rules should be construed to be investment advice or a recommendation to purchase a specific instrument or make a specific investment. Nothing in these Index Rules or any other communication between you and J.P. Morgan Chase & Co. (together with its affiliates, “J.P. Morgan”) should be deemed to or be construed as creating a “fiduciary relationship”. J.P. Morgan and its subsidiaries, officers, directors, employees and agents, are not your fiduciary. You should make your own investment decision based on your own judgment and on your own examination of the specific product that you are purchasing or investment that you are entering into, and you should consult your own legal, regulatory, investment, tax, accounting and other professional advisers as you deem necessary in connection with any purchase of a financial product or undertaking any investment. The Index is the exclusive property of the Index Sponsor and the Index Sponsor retains all proprietary rights in the Index. The Index is protected by copyright and trade secret rights and is and will always remain the sole property of J.P. Morgan, all rights, title and full ownership in and to the Index are expressly reserved to and will remain with J.P. Morgan, the Index was developed, compiled, prepared and arranged by J.P. Morgan through the expenditure of substantial time, effort and money and constitutes valuable intellectual property and trade secrets of J.P. Morgan and all proprietary and intellectual property rights of any nature, including patents, copyrights, trademarks and trade secrets regarding the Index and the Index Rules, and any and all copies, modifications, enhancements and derivative works thereof are owned by and will remain the property of J.P. Morgan.

Third parties shall not use the Index Sponsor’s intellectual property without the prior written consent of the Index Sponsor (including in situations where a third party performs certain functions in relation to the Index) and may not (directly or indirectly) (a) share, reproduce, distribute or otherwise disseminate the Index, Index Rules or any related data in any form without the express prior written consent of J.P. Morgan (b) alter, remove or conceal any copyright, trademark or other proprietary notice or disclaimer regarding the Index, (c) modify, copy, translate, distribute, recompile, decompile, disassemble or reverse engineer the Index; (d) make or distribute any other form of or any derivative work from, the Index or (e) grant any rights in, permit or provide access to the Index or the Index Rules in a manner that could infringe the intellectual property rights of J.P. Morgan or any third party or violate any applicable laws, tariffs, rules or regulations.

Any third party who enters into a transaction or investment or purchases a product that references the Index is thereby deemed to acknowledge that (i) THE INDEX, INDEX RULES AND RELATED DATA ARE PROVIDED “AS IS” WITH ALL FAULTS, (ii) ALL WARRANTIES AND REPRESENTATIONS OF ANY KIND WITH REGARD TO THE INDEX ARE DISCLAIMED BY J.P. MORGAN, INCLUDING ANY IMPLIED WARRANTIES OF MERCHANTABILITY, QUALITY, ACCURACY, FITNESS FOR A PARTICULAR PURPOSE OR AGAINST INFRINGEMENT AND WARRANTIES AS TO ANY RESULTS TO BE OBTAINED BY OR FROM THE USE OF THE INDEX, (iii) J.P. MORGAN DOES NOT GUARANTEE THE AVAILABILITY, SEQUENCE, TIMELINESS, ACCURACY OR COMPLETENESS OF THE INDEX, (iv) J.P. MORGAN MAY DISCONTINUE CALCULATION OF THE INDEX AT ANY TIME WITHOUT PRIOR NOTICE AND, (v) TO THE FULLEST EXTENT PERMITTED BY APPLICABLE LAW, J.P. MORGAN WILL NOT BE LIABLE (IN CONTRACT, TORT OR OTHERWISE) FOR ANY ORDINARY, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL, PUNITIVE OR EXEMPLARY DAMAGES IN CONNECTION WITH ANY USE OF THE INDEX, THE INDEX RULES OR ANY ASSOCIATED DATA, EVEN IF J.P. MORGAN HAS BEEN APPRISED OF THE LIKELIHOOD OF SUCH DAMAGES OCCURRING, and agrees to release, indemnify, defend and hold J.P. Morgan harmless from and against any claim, liability, loss, injury, damage, cost, or expense of any kind (including reasonable attorney’s fees), as incurred, relating to or arising out of such third party’s use of the Index, the Index Rules or any associated data. No one may reproduce or disseminate the information contained in this document or the Index Level of the Index without the prior written consent of the Index Sponsor. 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. The Index Rules shall be governed by and construed in accordance with the laws of New York.

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Copyright JPMorgan Chase & Co. 2016. All rights reserved. J.P. Morgan is the marketing name for JPMorgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P. Morgan Securities plc is authorized by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority and is a member of the London Stock Exchange. The Index Sponsor owns all intellectual property rights in: (i) the development of and methodology for producing the Index, (ii) the Index Levels and (iii) these Index Rules. Third parties shall not use the Index Sponsor’s intellectual property without the prior written consent of the Index Sponsor (including in situations where a third party performs certain functions in relation to the Index).

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Index Disclaimers

“Bloomberg®” and “Bloomberg Commodity IndexSM” are service marks of Bloomberg Finance L.P. and its affiliates (collectively, “Bloomberg”) and have been licensed for use for certain purposes by J.P. Morgan. The Index is not sponsored, endorsed, sold or promoted by Bloomberg, UBS AG, UBS Securities LLC (“UBS Securities”) or any of their subsidiaries or affiliates. None of Bloomberg, UBS AG, UBS Securities or any of their subsidiaries or affiliates makes any representation or warranty, express or implied, to the owners of products linked to the Index or counterparties to the Index or any member of the public regarding the advisability of investing in securities or commodities generally or in the Index particularly. The only relationship of Bloomberg, UBS AG, UBS Securities or any of their subsidiaries or affiliates to the Licensee is the licensing of certain trademarks, trade names and service marks and of the Bloomberg Commodity IndexSM, which is determined, composed and calculated by Bloomberg in conjunction with UBS Securities without regard to J.P. Morgan or the Index. Bloomberg and UBS Securities have no obligation to take the needs of J.P. Morgan or the owners of any product linked to the Index into consideration in determining, composing or calculating Bloomberg Commodity IndexSM. None of Bloomberg, UBS AG, UBS Securities or any of their respective subsidiaries or affiliates is responsible for or has participated in the determination of the timing of, prices at, or quantities of products linked to the Index to be issued or in the determination or calculation of the equation by which a product linked to the Index is to be converted into cash. None of Bloomberg, UBS AG, UBS Securities or any of their subsidiaries or affiliates shall have any obligation or liability, including, without limitation, to holders of products linked to the Index, in connection with the administration, marketing or trading of the Index. Notwithstanding the foregoing, UBS AG, UBS Securities and their respective subsidiaries and affiliates may independently issue or sponsor financial products unrelated to the Index currently being issued by Licensee, but which may be similar to and competitive with the Index. In addition, UBS AG, UBS Securities and their subsidiaries and affiliates actively trade commodities, commodity indexes and commodity futures (including the Bloomberg Commodity IndexSM and Bloomberg Commodity Index Total ReturnSM), as well as swaps, options and derivatives which are linked to the performance of such commodities, commodity indexes and commodity futures. It is possible that this trading activity will affect the value of the Bloomberg Commodity IndexSM and the Index. The Index Rules relate only to the Index and do not relate to the exchange-traded physical commodities underlying any of the Bloomberg Commodity IndexSM components. Purchasers of products linked to the Index should not conclude that the inclusion of a futures contract in the Bloomberg Commodity IndexSM is any form of investment recommendation of the futures contract or the underlying exchange-traded physical commodity by Bloomberg, UBS AG, UBS Securities or any of their subsidiaries or affiliates. The information in the Index Rules regarding the Bloomberg Commodity IndexSM components has been derived solely from publicly available documents. None of Bloomberg, UBS AG, UBS Securities or any of their subsidiaries or affiliates has made any due diligence inquiries with respect to the Bloomberg Commodity IndexSM components in connection with the Index. None of Bloomberg, UBS AG, UBS Securities or any of their subsidiaries or affiliates makes any representation that these publicly available documents or any other publicly available information regarding the Bloomberg Commodity IndexSM components, including without limitation a description of factors that affect the prices of such components, are accurate or complete. NONE OF BLOOMBERG, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE BLOOMBERG COMMODITY INDEXSM OR ANY DATA RELATED THERETO AND NONE OF BLOOMBERG, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. NONE OF BLOOMBERG, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY J.P. MORGAN, OWNERS OF PRODUCTS LINKED TO THE INDEX OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG COMMODITY INDEXSM OR ANY DATA RELATED THERETO. NONE OF BLOOMBERG, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG COMMODITY INDEXSM OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE MAXIMUM EXTENT ALLOWED BY LAW, BLOOMBERG, ITS LICENSORS (INCLUDING UBS), AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND VENDORS SHALL HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY LOST PROFITS OR INDIRECT, CONSEQUENTIAL, INCIDENTAL OR PUNITIVE DAMAGES OR LOSSES—ARISING IN CONNECTION WITH THE BLOOMBERG COMMODITY INDEX OR ANY DATA OR VALUES RELATING THERETO—WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. 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