J.P. Morgan FX Tracker Indices
Index Rules
26 November 2014, as last amended 27 May 2015 © All Rights Reserved
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Notices, Disclaimers and Conflicts Capitalized terms used in this section but not otherwise defined have the meanings set out in other parts of the Index Rules. Neither the Index Sponsor nor the Index Calculation Agent endorses or makes any representation or warranty, express or implied, in connection with any security, transaction, fund, structured deposit or other financial product or investment (each, a “Product”) that references the Index including as to the advisability or purchasing or entering into a Product or the results to be obtained by any party using the Index in connection with a Product. Furthermore, neither the Index Sponsor nor the Index Calculation Agent has any obligation or liability in connection with the administration, marketing or trading of any such Product. The Index is the exclusive property of the Index Sponsor and the Index Sponsor retains all proprietary rights in the Index. No one may reproduce, distribute or disseminate this document or the information contained in this document or an Index Level (as applicable) 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. Neither the Index Sponsor nor the Index Calculation Agent in their capacity as such has any liability whatsoever to any person who uses the Index (or any Index Level) in any circumstances. 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 Relevant Person. During the course of their businesses, the Index Sponsor, the Index Calculation Agent and any Relevant Person may enter into or promote, offer or sell transactions or investments (structured or otherwise) that reference the Index, any spot rate, any forward point or other financial level or price described herein. In addition, the Index Sponsor, the Index Calculation Agent and 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, any spot rate, any forward point or other financial level or price described herein, or may invest or engage in transactions with other persons, or on behalf of such persons, relating to any of these. Such activity could give rise to a conflict of interest, and such conflict may have an impact, positive or negative, on the Index Level. The Index Sponsor, the Index Calculation Agent and the Relevant Persons do not have any duty (a) to consider the circumstances of any person when participating in such transactions or (b) to conduct themselves in a manner that is favorable to anyone with exposure to the Index. Neither the Index Sponsor nor the Index Calculation Agent is under any obligation to continue the calculation, publication or dissemination of the Index. 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. Except as provided in the following paragraph, neither the Index Sponsor nor the Index Calculation Agent gives any representation, warranty or undertaking, of any type (whether express or implied, statutory or otherwise) in relation to the Index, as to (i) the condition, satisfactory quality, performance or fitness for purpose of the Index, (ii) the results to be achieved by an investment in any Product, (iii) any data included in or omissions from the Index, (iv) the use of the Index in connection with a Product, (v) the Index Level at any time on any day, (vi) the veracity, currency, completeness or accuracy of the information on which the Index is based (and without limitation, the Index Sponsor and the Index Calculation Agent accept no liability to any investor in a Product for any errors or omissions in that information or the results of any interruption to it and the Index Sponsor and the Index Calculation Agent shall be under no obligation to advise any person of any such error, omission or interruption), or (vii) any other matter. To the extent any such representation, warranty or undertaking could be deemed to have been given by the Index Sponsor or the Index Calculation Agent, it is excluded save to the extent that such exclusion is prohibited by law. To the fullest extent permitted by law, the Index Sponsor and the Index Calculation Agent shall have no liability or responsibility to any person or entity (including, without limitation, any investor in any Product) for any loss, damages, costs, charges, expenses or other liabilities howsoever arising, including, without limitation, liability for any special, punitive, indirect or consequential damages
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(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 any Product. Nothing in these Index Rules shall be taken to exclude any liability for fraud on the part of the Index Sponsor or Index Calculation Agent. 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. Notwithstanding anything to the contrary, nothing in these Index Rules should be construed to be investment advice or a recommendation to purchase a specific Product or enter into any transaction. Nothing in these Index Rules or any other communication between you and us should be deemed to or be construed as creating a “fiduciary relationship” or any relationship of agency or trust. JPMorgan and its subsidiaries, officers, directors, employees and agents, are not your fiduciary and do not accept any duty of care in respect of any person. 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 transaction 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 Product or entry into any transaction. The foregoing notices, disclaimers and conflicts disclosure is not intended to be exhaustive. Anyone reading these Index Rules should seek such advice as they consider necessary from their professional advisors, legal, tax or otherwise, without reliance on the Index Sponsor, Index Calculation Agent or any Relevant Person to satisfy them that they fully understand these Index Rules and the risks associated with the Index. These Index Rules have been developed with the possibility of one or more entities entering into or promoting, offering or selling Products (structured or otherwise) linked to the Index and the hedging of such transactions or Products in any manner that they see fit. Copyright JPMorgan Chase & Co. 2014. 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). THIS DOCUMENT IS IMPORTANT. YOU SHOULD NOT INVEST IN A PRODUCT LINKED TO THE INDEX UNLESS YOU HAVE ENSURED THAT YOU FULLY UNDERSTAND THE NATURE OF SUCH AN INVESTMENT AND THE RISKS INVOLVED AND ARE SATISFIED THAT THE INVESTMENT IS SUITABLE AND APPROPRIATE FOR YOUR CIRCUMSTANCES AND OBJECTIVES. IF YOU ARE IN ANY DOUBT ABOUT THIS YOU SHOULD TAKE ADVICE FROM AN APPROPRIATELY QUALIFIED ADVISER. EVEN IF YOU ARE A HIGHLY SOPHISTICATED INVESTOR WHO REGULARLY TRANSACTS IN PRODUCTS LINKED TO INDICES OF THIS TYPE, YOU ARE STRONGLY ADVISED TO TAKE SUCH ADVICE IN ANY EVENT.
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1. This Document This document (the “Index Rules”) comprises the rules and methodology of the J.P. Morgan FX Tracker Indices (each, an “Index” and collectively, the “Indices”). The Index Rules for the Indices comprise: (a) Part A, which sets out certain information related to the Indices and index mechanics that are specific to each Index; and (b) Part B, which sets out certain other general terms related to each Index.
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PART A
2. Introduction The J.P. Morgan FX Tracker Indices are a family of rules based proprietary indices. The family of indices currently includes twenty (20) reference currencies, each of which are expressed in a base currency (the reference currency and base currency, together, each a “Currency Pairi” and collectively, the “Currency Pairs”) and are described in greater detail in Section 3 below. Each index seeks to track the performance of a notional portfolio of synthetic forwards transactions that have a scheduled term of twenty (20) Calculation Days and reference a single Currency Pairi (each such index, which each individually references a Currency Pairi, an “Indexi” and collectively, the “Indices”). In respect of each Calculation Day that is not a Disrupted Day, each Indexi will synthetically initiate a new synthetic forward transaction on its applicable Currency Pairi, and that synthetic forward transaction will th have an initial notional amount equal to 1/20 of the Index Level of such Indexi on the immediately preceding Calculation Day that was not a Disrupted Day.
As of the Index Base Date, the notional portfolio of each Indexi initially held no synthetic forwards transaction, and on such Index Base Date and each subsequent Calculation Day that is not a Disrupted th Day, each Indexi initiate a new synthetic forward transaction. As of the twentieth (20 ) Calculation Day from the Index Base Date, the notional portfolio of each Indexi is generally composed of twenty (20) synthetic forwards transactions. The Index Calculation Agent will calculate the Index Level (as defined in Section 5 below) in respect of each Index on any Calculation Day that is not a Disrupted Day. In respect of each Calculation Dayt that is not a Disrupted Day, the Index Level for each Indexi is a valuation of its notional portfolio of synthetic forward transactions as of such Calculation Day and will be based on (a) the Index Level as of the immediately preceding Calculation Day that was not a Disrupted Day, (b) the change in the mark-to- market value of the portfolio of synthetic forward transactions on such Calculation Day that is not a Disrupted Day and (c) the settlement amount of any synthetic forward transaction referenced by that Indexi, which terminated in the period from and excluding the previous Calculation Day that was not a Disrupted Day to and including such Calculation Dayt.
The Index Level of each Indexi is a mathematical calculation only and the Indices do not actually buy, sell or hold any assets. In respect of each Calculation Day that is not a Disrupted Day, the Index Calculation Agent will determine and publish the Index Level as described in these Index Rules. Notwithstanding anything to the contrary, the Index Calculation Agent will not publish the Index Level in respect of any Calculation Day that is a Disrupted Day.
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3. Index Specifics
The following table sets forth the name of each Indexi, its Bloomberg Page, the applicable Currency Pairi, the market convention for quoting such Currency Pairi, the Reference Currency, the Base Currency and Financial Center. Index Name Bloomberg Page Index Currency Market Convention Reference Base Financial Base Pairi Currency Currency Center Date J.P. Morgan EUR FX Tracker Index JPFCTEUR
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J.P. Morgan CZK FX Tracker Index JPFCTCZK
The following table sets out certain information, including (among other things) the Index Base Date and the Index Live Date that pertains to each of the J.P. Morgan FX Tracker Indices. Currency of the Index: USD Initial Index Level: 100.00 Index Live Date: 26 November 2014 Index Sponsor: J.P. Morgan Securities plc or any successor or assign. See Section 7. Index Calculation Agent: J.P. Morgan Securities plc or any successor or assign. See Section 7.
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In order to calculate the Index Level of each Indexi, the Index Calculation Agent references the exchange rate for spot delivery (the “Spot Rate”) and the forward points for one week, one month and two month time periods (each, a “Forward Point” and collectively, the “Forward Points”) for each Currency Pair referenced by a specific Indexi. In respect of each Currency Pairi, the following table sets forth the Reuters Pages for the Spot Rate, the One Week Forward Point, the One Month Forward Point and the Two Month Forward Point and the applicable Fixing Time. One Week Forward One Month Forward Two Month Forward Spot Rate Currency Pairi Points Points Points Fixing Time (Reuters Page) (Reuters Page) (Reuters Page) (Reuters Page) EUR/USD USDEURFIX=WM USDEURSWFIX=WM USDEUR1MFIX=WM USDEUR2MFIX=WM 4:00 PM London Time GBP/USD USDGBPFIX=WM USDGBPSWFIX=WM USDGBP1MFIX=WM USDGBP2MFIX=WM 4:00 PM London Time USD/CHF USDCHFFIX=WM USDCHFSWFIX=WM USDCHF1MFIX=WM USDCHF2MFIX=WM 4:00 PM London Time USD/NOK USDNOKFIX=WM USDNOKSWFIX=WM USDNOK1MFIX=WM USDNOK2MFIX=WM 4:00 PM London Time USD/SEK USDSEKFIX=WM USDSEKSWFIX=WM USDSEK1MFIX=WM USDSEK2MFIX=WM 4:00 PM London Time AUD/USD USDAUDFIX=WM USDAUDSWFIX=WM USDAUD1MFIX=WM USDAUD2MFIX=WM 4:00 PM London Time NZD/USD USDNZDFIX=WM USDNZDSWFIX=WM USDNZD1MFIX=WM USDNZD2MFIX=WM 4:00 PM London Time USD/CAD USDCADFIX=WM USDCADSWFIX=WM USDCAD1MFIX=WM USDCAD2MFIX=WM 4:00 PM London Time USD/JPY USDJPYFIX=WM USDJPYSWFIX=WM USDJPY1MFIX=WM USDJPY2MFIX=WM 4:00 PM London Time USD/DKK USDDKKFIX=WM USDDKKSWFIX=WM USDDKK1MFIX=WM USDDKK2MFIX=WM 4:00 PM London Time USD/SGD USDSGDFIX=WM USDSGDSWFIX=WM USDSGD1MFIX=WM USDSGD2MFIX=WM 4:00 PM London Time USD/MXN USDMXNFIX=WM USDMXNSWFIX=WM USDMXN1MFIX=WM USDMXN2MFIX=WM 4:00 PM London Time USD/CZK USDCZKFIX=WM USDCZKSWFIX=WM USDCZK1MFIX=WM USDCZK2MFIX=WM 4:00 PM London Time USD/HUF USDHUFFIX=WM USDHUFSWFIX=WM USDHUF1MFIX=WM USDHUF2MFIX=WM 4:00 PM London Time USD/ILS USDILSFIX=WM USDILSSWFIX=WM USDILS1MFIX=WM USDILS2MFIX=WM 4:00 PM London Time USD/PLN USDPLNFIX=WM USDPLNSWFIX=WM USDPLN1MFIX=WM USDPLN2MFIX=WM 4:00 PM London Time USD/TRY USDTRYFIX=WM USDTRYSWFIX=WM USDTRY1MFIX=WM USDTRY2MFIX=WM 4:00 PM London Time USD/ZAR USDZARFIX=WM USDZARSWFIX=WM USDZAR1MFIX=WM USDZAR2MFIX=WM 4:00 PM London Time USD/RUB USDRUBFIX=WM USDRUBSWFIX=WM USDRUB1MFIX=WM USDRUB2MFIX=WM 4:00 PM London Time USD/RON USDRONFIX=WM USDRONSWFIX=WM USDRON1MFIX=WM USDRON2MFIX=WM 4:00 PM London Time
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4. Mathematical functions and constants Throughout the Index Rules, certain mathematical symbols and functions are used. Unless otherwise specified, these symbols and functions will have the following meanings: means the maximum of the numbers separated by commas and enclosed in parentheses. means the minimum of the numbers separated by commas and enclosed in parentheses.
means the square root of the number enclosed. means the sum of the numbers or formulas set forth in the enclosed parentheses from the lower bound indicated below the symbol to the upper bound indicated above the symbol.
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5. Index Methodology
Each of the steps below applies to each Indexi, which references a single Currency Pairi. The calculation of each Indexi is identical, except as otherwise noted below, and applies solely to the Currency Pairi referenced by such Indexi. For purposes of the calculations set forth below, each Indexi and its respective Currency Pairi shall be individually indexed as an “Indexi” and a “Currency Pairi”.
In respect of each Calculation Dayt that is not a Disrupted Day, each Indexi will initiate a synthetic forward transaction, which references its Currency Pairi. Each synthetic forward transaction shall have a term of twenty (20) Calculation Days (such forward transaction, a “Synthetic Forward”) unless a Spot Market Disruption Event has occurred or is continuing on its settlement date. The term of such Synthetic Forward will be twenty (20) Calculation Days, unless a Disrupted Day has occurred or is continuing on the Scheduled Forward Expiration Datei,k. See Step 11 below.
For purposes of the calculations set forth below, in respect of any Calculation Dayt and each Indexi and Currency Pairi, each Synthetic Forward initiated by Indexi in respect of such Calculation Day shall be individually indexed in respect of its Currency Pairi and its Start Datei,k and will be referenced by these Index Rules as a “Synthetic Forwardi,k”.
In respect of any Synthetic Forwardi,k, the Calculation Dayt on which such Index initiate such Synthetic Forwardi,k is referred to as “Start Datei,k.” Such Calculation Dayt must not be a Disrupted Day.
In respect of each Indexi, the Index Calculation Agent shall calculate the Index Level for each Indexi in accordance with the following steps:
Step 1: Calculation the Notionali,k of each Synthetic Forward
In respect of any Start Datei,k and each Indexi, the Index Calculation Agent shall determine notional amount (“Notionali,k”) of the Synthetic Forwardi,k in accordance with the following formula:
Where:
“Indexi,k-1” means, in respect of any Start Datei,k (other than the Index Base Date) and each Indexi, the Index Level as of the first Calculation Day that is not a Disrupted Day immediately preceding such Start Datei,k, and in respect of the Index Base Date for each Indexi, 100.000.
Step 2: In respect of any Currency Pairi, determine the Spot Settlement Datei,k and the Spot Ratei.t,mid
In respect of any Currency Pairi and any Calculation Dayt that is not a Disrupted Day, the Index Calculation Agent shall determine the spot settlement date (“Spot Settlement Datei,t”) that would apply to a foreign exchange spot transaction referencing such Currency Pairi that is initiated on such Calculation Dayt.
In respect of any Currencyi that is not CAD, TRY or RUB, the Spot Settlement Datei,t is the Currency Business Day immediately following the first Foreign Currency Business Day immediately following such Calculation Dayt (such first Foreign Currency Business Day, the “First Dayi,t”). In respect of any Currencyi that is CAD, TRY or RUB, the Spot Settlement Datei,t is the First Dayi,t.
In respect of any Currency Pairi and any Calculation Dayt, the Index Calculation Agent will calculate the “mid” associated with such spot rate for such Currency Pairi (such rate, “Spot Ratei,t,mid”) as follows:
Where:
“Spot Ratei,t,bid” means, in respect of any Currency Pairi and any Calculation Dayt, the “bid” price associated with the Spot Rate for such Currency Pairi as published on the applicable Reuters Page at the applicable Fixing Time on such Calculation Dayt. Provided that if such price is not available on the Reuters Page, then as published by the designated Bloomberg page for the related BFIX price for such Currency Pairi at the applicable Fixing Time on such Calculation Day; provided further that if such BFIX price is not available,
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then as last published on the applicable Reuters Page before the applicable Fixing Time on such Calculation Dayt.
“Spot Ratei,t,ask” means, in respect of any Currency Pairi and any Calculation Dayt, the “ask” price associated with the Spot Rate for such Currency Pairi as published on the applicable Reuters Page at the applicable Fixing Time on such Calculation Dayt. Provided that if such price is not available on the Reuters Page, then as published by the designated Bloomberg page for the related BFIX price for such Currency Pairi at the applicable Fixing Time on such Calculation Day; provided further that if such BFIX price is not available, then as last published on the applicable Reuters Page before the applicable Fixing Time on such Calculation Dayt.
Step 3: In respect of each Currency Pairi, determine the Scheduled Forward Expiration Datei,k and Scheduled Forward Settlement Datei,k for Synthetic Forwardi,k
In respect of each Currency Pairi and each Synthetic Forwardi,k, the Index Calculation Agent shall determine the scheduled expiry date (“Scheduled Forward Expiration Datei,k”) and the scheduled forward settlement date (“Scheduled Forward Settlement Datei,k”) that applies to such Synthetic Forwardi,k.
In respect of each Currencyi and each Synthetic Forwardi,k, the Scheduled Expiration Datei,k is the th twentieth (20 ) Calculation Day immediately following the Start Datei,k of such Synthetic Forwardi,k.
In respect of any Currencyi that is not CAD, TRY or RUB and any Scheduled Forward Expiration Datei,k, the Scheduled Forward Settlement Datei,k means the Currency Business Day immediately following the first Foreign Currency Business Day immediately following such Scheduled Forward Expiration Datei,k. In respect of any Currency Pairi that is CAD, TRY or RUB, and any Scheduled Forward Expiration Datei,k, the Spot Settlement Datei,t is the first Currency Business Day immediately following such Scheduled Forward Expiration Datei,k.
Step 4: Determine the One Week Forward Settlement Datei,t and the One Week Forward Ratei,t,mid
In respect of each Currency Pairi and any Calculation Dayt, the Index Calculation Agent shall determine the one week forward settlement date (“One Week Forward Settlement Datei,t”), which is the seventh th (7 ) Calendar Day immediately following the Spot Settlement Datei,t; provided, however that if such day is not a Currency Business Day, the immediately following day that is a Currency Business Day.
In respect of any Currency Pairi and any Calculation Dayt, the Index Calculation Agent will calculate the “mid” associated with such one week forward points for such Currency Pairi (such rate, “One Week FWPi,t,mid”) as follows:
Where:
“One Week FWPi,t,bid” means, in respect of any Currency Pairi and any Calculation Dayt, the “bid” price associated with the one week forward points for such Currency Pairi as published on the applicable Reuters Page at the applicable Fixing Time on such Calculation Dayt; provided that if such price is not available on the Reuters Page, then as published by the designated Bloomberg page for the related BFIX price for such Currency Pairi at the applicable Fixing Time on such Calculation Day; provided further that if such BFIX price is not available, then as last published on the applicable Reuters Page before the applicable Fixing Time on such Calculation Dayt.
“One Week FWPi,t,ask” means, in respect of any Currency Pairi and any Calculation Dayt, the “ask” price associated with the one week forward points for such Currency Pairi as published on the applicable Reuters Page at the applicable Fixing Time on such Calculation Dayt; provided that if such price is not available on the Reuters Page, then as published by the designated Bloomberg page for the related BFIX price for such Currency Pairi at the applicable Fixing Time on such Calculation Day; provided further that if such BFIX price is not available, then as last published on the applicable Reuters Page before the applicable Fixing Time on such Calculation Dayt.
Step 5: In respect of each Currency Pairi, determine the One Month Forward Settlement Datei,t and the One Month FWPi,t,mid
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In respect of each Currency Pairi and any Calculation Dayt, the Index Calculation Agent shall determine the one month forward settlement date (“One Month Forward Settlement Datei,t”) for the One Month Forward Transaction initiated on Start Datei,k, which is the same calendar day as the Spot Settlement Datei,t in the calendar month immediately following the Spot Settlement Datei,t; provided, however that if such day is not a Currency Business Day, then the immediately following Currency Business Day unless such day falls after the end of the then calendar month, in which case, the One Month Forward Settlement Datei,t will be the immediately preceding Currency Business Day; provided, further that if such day does not exist (e.g., February 30), then such day shall be the last Currency Business Day in such calendar month; provided, finally that if the Spot Settlement Datei,t is the last Currency Business Day of a calendar month, then such day shall be the last Currency Business Day of the following calendar month
In respect of any Currency Pairi and any Calculation Dayt, the Index Calculation Agent will calculate the “mid” associated with such one month forward points for such Currency Pairi (such rate, “One Month FWPi,t,mid” as follows:
Where:
“One Month FWPi,t,bid” means, in respect of any Currency Pairi and any Calculation Dayt, the “bid” price associated with the one month forward points for such Currency Pairi as published on the applicable Reuters Page at the applicable Fixing Time on such Calculation Dayt; provided that if such price is not available on the Reuters Page, then as published by the designated Bloomberg page for the related BFIX price for such Currency Pairi at the applicable Fixing Time on such Calculation Day; provided further that if such BFIX price is not available, then as last published on the applicable Reuters Page before the applicable Fixing Time on such Calculation Dayt.
“One Month FWPi,t,ask” means, in respect of any Currency Pairi and any Calculation Dayt, the “ask” price associated with the one month forward points for such Currency Pairi as published on the applicable Reuters Page at the applicable Fixing Time on such Calculation Dayt; provided that if such price is not available on the Reuters Page, then as published by the designated Bloomberg page for the related BFIX price for such Currency Pairi at the applicable Fixing Time on such Calculation Day; provided further that if such BFIX price is not available, then as last published on the applicable Reuters Page before the applicable Fixing Time on such Calculation Dayt.
Step 6: In respect of each Currency Pairi, determine the Two Month Forward Settlement Datei,t and the Two Month FWPi,t,mid
In respect of each Currency Pairi and any Calculation Dayt, the Index Calculation Agent shall determine the two month forward settlement date (“Two Month Forward Settlement Datei,t”) for the Two Month Forward Transaction initiated on Start Datei,k, which is the same calendar day as the Spot Settlement Datei,t in the second calendar month following the Spot Settlement Datei,t; provided, however that if such day is not a Currency Business Day, then the immediately following Currency Business Day unless such day falls after the end of the then calendar month, in which case, the Two Month Forward Settlement Datei,t will be the immediately preceding Currency Business Day; provided, further that if such day does not exist (e.g., February 30), then such day shall be the last Currency Business Day in such calendar month; provided, finally that if the Spot Settlement Datei,t is the last Currency Business Day of a calendar month, then such day shall be the last Currency Business Day of the second following month.
In respect of any Currency Pairi and any Calculation Dayt, the Index Calculation Agent will calculate the “mid” associated with such two month forward points for such Currency Pairi (such rate, “Two Month FWPi,t,mid” as follows:
Where:
“Two Month FWPi,t,bid” means, in respect of any Currency Pairi and any Calculation Dayt, the “bid” price associated with the two month forward points for such Currency Pairi as published on the applicable
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Reuters Page at the applicable Fixing Time on such Calculation Dayt; provided that if such price is not available on the Reuters Page, then as published by the designated Bloomberg page for the related BFIX price for such Currency Pairi at the applicable Fixing Time on such Calculation Day; provided further that if such BFIX price is not available, then as last published on the applicable Reuters Page before the applicable Fixing Time on such Calculation Dayt.
“Two Month FWPi,t,ask” means, in respect of any Currency Pairi and any Calculation Dayt, the “ask” price associated with the two month forward points for such Currency Pairi as published on the applicable Reuters Page at the applicable Fixing Time on such Calculation Dayt; provided that if such price is not available on the Reuters Page, then as published by the designated Bloomberg page for the related BFIX price for such Currency Pairi at the applicable Fixing Time on such Calculation Day; provided further that if such BFIX price is not available, then as last published on the applicable Reuters Page before the applicable Fixing Time on such Calculation Dayt.
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Step 7: In respect of each Currency Pairi and the Synthetic Forwardi,k initiated on that Start Datei,k, calculate the Strikei,k of such Synthetic Forwardi,k initiated on that Start Datei,k
In respect of each Currency Pairi and the Synthetic Forwardi,k initiated on that Start Datei,k, the Index Calculation Agent shall calculate the strike for such Synthetic Forwardi,k (“Strikei,k”) as follows:
Where:
“Spot Ratei,k” means, in respect of each Currency Pairi and any Start Datei,k, the Spot Ratei,t,mid as set forth in Step 3 above for such Currency Pairi as of such Start Datei,k.
“Interpolated FWPi,k,t” means, in respect of each Synthetic Forwardi,k and any Calculation Dayt, the interpolated forward points associated with such Synthetic Forwardi,k that are calculated as follows:
“One Week FWPi,t,mid” shall have the meaning set forth in Step 4 above.
“One Month FWPi,t,mid” shall have the meaning set forth in Step 5 above.
“Two Month FWPi,t,mid” shall have the meaning set forth in Step 6 above.
“Day Count Spot to Settlement” means, in respect of each Calculation Dayt and each Synthetic Forwardi,k, the number of calendar days from and including the applicable Spot Settlement Datei,t to but excluding Scheduled Forward Settlement Datei,k for such Synthetic Forwardi,k.
“Day Count Settlement to 1 week” means, in respect of each Calculation Dayt and each Synthetic Forwardi,k, the number of calendar days from and including the applicable Scheduled Forward Settlement Datei,k for such Synthetic Forwardi,k to but excluding One Week Forward Settlement Date i,t.
“Day Count Settlement to 1 month” means, in respect of each Calculation Dayt and each Synthetic Forwardi,k, the number of calendar days from and including the applicable Scheduled Forward Settlement Datei,k for such Synthetic Forwardi,k to but excluding One Month Forward Settlement Date i,t.
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“Day Count Settlement to 2 month” means, in respect of each Calculation Dayt and each Synthetic Forwardi,k, the number of calendar days from and including the applicable Scheduled Forward Settlement Datei,k for such Synthetic Forwardi,k to but excluding Two Month Forward Settlement Datei,t.
“Day Count Spot to 1 week” means, in respect of each Calculation Dayt the number of calendar days from and including the applicable Spot Settlement Datei,t to but excluding the One Week Forward Settlement Datei,t.
“Day Count 1 week to 1 month” means, in respect of each Calculation Dayt, the number of calendar days from and including the applicable One Week Forward Settlement Datei,k to but excluding the One Month Forward Settlement Datei,k.
“Day Count 1 month to 2 month” means, in respect of each Calculation Dayt the number of calendar days from and including the applicable One Month Settlement Datei,k to but excluding the Two Month Forward Settlement Datei,k.
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Step 8: In respect of each Synthetic Forwardi,k and any Calculation Dayt, Calculate the Forward Ratei,k,t of such Synthetic Forwardi,k as of such Calculation Dayt
In respect of each Synthetic Forwardi,k and any Calculation Dayt, the Index Calculation Agent shall calculate the forward rate of such Synthetic Forwardi,k as of such Calculation Dayt (such rate, “Forward Ratei,k,t”) as follows:
Where:
“Spot Ratei,t,mid” shall have the meaning set forth in Step 3 above.
“ ” shall have the meaning set forth in Step 7 above.
Step 9: Calculate the Mark-to-Market Valuet of each Synthetic Forwardi,k
In respect of any Calculation Dayt that is not a Disrupted Day and each Synthetic Forwardi,k that has a Scheduled Forward Expiry Date that is scheduled to occur after the Calculation Dayt (such Synthetic Forwardi,k, an “Unexpired Synthetic Forwardi,k”), the Index Calculation Agent shall calculate the mark- to-market value (in USD) of such Synthetic Forwardi,k as of such Calculation Dayt (“Mark-to-Market Valuei,k,t”) as follows:
Where:
“Notionali,k” shall have the meaning set forth in Step 1 above.
“Returni,k,t” means, in respect of any Calculation Dayt and each Unexpired Synthetic Forwardi,k:
(a) If USD is the Reference Currency of the Currency Pairi referenced by such Unexpired Synthetic Forwardi,k, then:
(b) If USD is not the Reference Currency of the Currency Pairi referenced by such Unexpired Synthetic Forwardi,k, then:
Where:
“Strikei,k” is defined in Step 7 above.
“Forward Ratei,k,t” is defined in Step 8 above.
Step 10: Calculate the Aggregate Mark-to-Market Valuei,k,t of each Synthetic Forwardi,k as of Calculation Dayt
In respect of any Calculation Dayt, the Index Calculation Agent shall calculate the aggregate mark-to- market value of each Unexpired Synthetic Forwardi,k (the “Aggregate Mark-to-Market Valuei,k,t”) referenced in the synthetic portfolio of the Index as follows:
Where:
“n” equals the number of Unexpired Synthetic Forwardi,k referenced in the synthetic portfolio of the Index. In respect of any Calculation Dayt, “n” is generally equal to 20.
“MarktoMarketi,k,t” shall have the meaning set forth in Step 9 above.
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Step 11: Calculate the Settlement Amountt
In respect of any Calculation Dayt that is not a Disrupted Day and each Indexi, the Index Calculation Agent shall calculate the aggregate sum of the notional settlement amount of each Synthetic Forwardi,k that has its Effective Expiration Date (such Synthetic Forwardi,k, a “Settling Synthetic Forwardi,k,t”) from but excluding the immediately preceding Calculation Day that is not a Disrupted Day to and including such Calculation Dayt (such period, the “Settlement Period” and each, individual notional settlement amount, “Settlement Amounti,k,t” and the aggregate amount, the “Settlement Amountt”). Generaly there is only one.
In respect of any Calculation Dayt in the Settlement Period that is not a Spot Disrupted Day and each Indexi, the Index Calculation Agent shall calculate the Settlement Amounti,k,t as follows:
Where: and
“Notionali,k” shall have the meaning set forth in Step 1 above.
“Settlement Returni,k,t” means, in respect of any Calculation Dayt in the Settlement Period that is not a Spot Disrupted Day and each Settling Synthetic Forwardi,k:
(a) If USD is the Reference Currency of the Currency Pairi referenced by such Settling Synthetic Forwardi,k, then:
(b) If USD is not the Reference Currency of the Currency Pairi referenced by such Settling Synthetic Forwardi,k, then:
Where:
“Strikei,k” is defined in Step 7 above.
“Spot Ratei,t,mid” is defined in Step 2 above.
In respect of any Calculation Dayt and each Indexi, the Index Calculation Agent shall calculate the Settlement Amountt as follows:
Where:
“m” means, in respect of any Calculation Dayt and each Indexi, the number of Settling Synthetic Forwardi,k,t that settled during the Settlement Period. In respect of any Calculation Dayt, “m” is generally equal to 1. Step 12: Calculate the Index Level
In respect of any Calculation Dayt that is not a Disrupted Day and each Indexi, the Index Calculation Agent shall calculate the index level of such Indexi as of such Calculation Dayt (in respect of each Indexi, the “Index Leveli,t”) as follows:
Where:
“Settlement Amounti,t” shall have the meaning set forth in Step 10 above.
“Aggregate MarktoMarketi,t” shall have the meaning set forth in Step 9 above.
“Aggregate MarktoMarketi,t-1” means, in respect of Calculation Dayt that is not a Disrupted Day, the Aggregate MarktoMarketi,t on the immediately preceding Calculation Day that is not a Disrupted Day.
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means with respect of Calculation Dayt, the Index Level on the immediately preceding Calculation Day which is not a Disrupted Day.
If in respect of any Calculation Dayt that is not a Disrupted Day, the calculation of Indext results in a level that is less than or equal to zero (0), then Indext in respect of that Calculation Day and each subsequent Calculation Day shall be deemed to be zero (0).
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PART B
1. Certain General Terms relating to the Index 1.1 Publication and availability of the Index Rules The Index Rules are published by J.P. Morgan Securities plc of 25 Bank Street, Canary Wharf, London E14 5JP, in its capacity as Index Sponsor. Copies of the Index Rules may be obtained free of charge on request to the Index Sponsor at its principal office in London. Subject to the Adjustment Provision, the Index Calculation Agent will publish the Index Level of the Index in respect of each Calculation Day as soon as reasonably practicable on or after such Calculation Day. The Index Level or any subsequent correction to an Index Level will be published on the Bloomberg page set out in Section 3 Part A of these Index Rules or on such other information source as the Index Calculation Agent may determine in its reasonable discretion. The Index Sponsor or Index Calculation Agent may, at any time and without notice, change the frequency of publication of the Index Level or the place of publication of the Index Level. Neither the Index Sponsor nor the Index Calculation Agent will be liable to any person for publishing or omitting to publish the Index Level at any particular time or in accordance with any particular method.
1.2 Amendments Economic, market, regulatory, legal, financial or other circumstances may arise that may necessitate or make desirable an amendment of the Index Rules. Notwithstanding the foregoing, the Index Sponsor may amend the Index Rules as it deems appropriate. Such amendments may include (without limitation): (a) correcting or curing any errors, omissions or contradictory provisions; (b) modifications to the methodology described in the Index Rules (including, without limitation, a change in the frequency of calculation of the Index Level) that are necessary or desirable in order for the calculation of each Indexi to continue notwithstanding any economic, market, regulatory, legal, financial or other circumstances as of the Index Base Date of such Index; (c) modifications of a formal, minor or technical nature; (d) modifications to reflect changes in market convention or practices, including but not limited to changes in settlement timelines for spot or forward foreign exchange transactions; or (e) to add Currency Pairs for new indices, which shall be calculated as Indices under these Index Rules. The Index Sponsor will notify the Index Calculation Agent (if a different entity than the Index Sponsor) before making an amendment pursuant to this Section 6.2. The Index Sponsor may, but is not obliged to, take into account the views of the Index Calculation Agent regarding any proposed amendment. Following any amendment, the Index Sponsor will make available (as soon as practicable) the amended version of the Index Rules and will include the effective date of such amendment in the new version of the Index Rules. However, the Index Sponsor is under no obligation to inform any person about any amendments to an Indexi (except as required by law). The Index Sponsor may, in its reasonable discretion, at any time and without notice, terminate the calculation and publication of any Indexi.
1.3 No advice or offer of securities The Index Rules do not constitute investment, taxation, legal, accounting or other advice, including 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.
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The Index Rules neither constitute an offer to purchase or sell securities nor constitute specific advice in whatever form (investment, tax, legal, accounting or regulatory) in respect of any investment that may be linked to the Index. 1.4 The Index is synthetic
The Index references a “notional” or synthetic exposure to a portfolio of synthetic forward transactions and 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 the synthetic exposures of synthetic forward transactions the performance of which is used as a reference point for calculating Index Levels.
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2. Index Sponsor and Index Calculation Agent 2.1 Identity and responsibilities J.P. Morgan Securities plc is the sponsor of the Index (the “Index Sponsor” which expression includes any successor in such capacity). The Index Sponsor is responsible for, among other things, the creation and design of the Index, the documentation of the Index Rules, and the appointment of the calculation agent of the Index (the“"Index Calculation Agen”"), which may be the Index Sponsor, a non-related third party or an affiliate or subsidiary of the Index Sponsor. The Index Sponsor may at any time and for any reason terminate the appointment of an Index Calculation Agent and appoint an alternative entity as the replacement Index Calculation Agent. The Index Calculation Agent is responsible for: (a) calculating the Index Level in respect of each Calculation Day in accordance with the Index Rules; and (b) determining (subject to the prior agreement of the Index Sponsor) if a Market Disruption Event, Disrupted Day, Extraordinary Event (or other similar event) has occurred and the related consequences and adjustments in accordance with the Index Rules.
The Index Sponsor may delegate and/or transfer any of its obligations or responsibilities in connection with the Index to one or more entities which it determines are appropriate. The Index Calculation Agent must obtain written permission from the Index Sponsor prior to any delegation or transfer of its responsibilities or obligations in connection with the Index to a third party. As of the Live Date, the Index Sponsor itself acts as the Index Calculation Agent.
2.2 Index Sponsor and Index Calculation Agent standards Each of the Index Sponsor and the Index Calculation Agent shall act in good faith and in a commercially reasonable manner in respect of determinations, interpretations and calculations made by it pursuant to the Index Rules. 2.3 Index Sponsor and Index Calculation Agent determinations The Index Sponsor and/or Index Calculation Agent may make certain calculations based on information obtained from publicly available sources without independently verifying such sources and accept no responsibility or liability for loss or damage in respect thereof. All determinations, interpretations and calculations of the Index Sponsor and the Index Calculation Agent relating to the Index Rules 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 Relevant Person in respect thereof. None of the Index Sponsor, the Index Calculation Agent or any Relevant Person shall: (a) be under any obligation to revise any determination, interpretation or calculation made or action taken for any reason in connection with the Index Rules or the Index; or
(b) have any responsibility to any person for any determination, interpretation or calculation made or anything done (or omitted to be done) (whether as a result of negligence or otherwise) in respect of the Index or in respect of the publication of the Index Level (or failure to publish such level) or any use to which any person may put the Index or the Index Levels.
“Relevant Person” means each of the Index Sponsor, the Index Calculation Agent and each of their respective affiliates and subsidiaries and their respective directors, officers, employees, representatives, delegates and agents. No Duties of Care and No Fiduciary Duties Subject to the regulatory obligations of the Index Sponsor and Index Calculation Agent, neither the Index Sponsor nor the Index Calculation Agent acts on behalf of, accepts any duty of care or any fiduciary duty to any person.
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3. Index Levels 3.1 Initial Index Level and Index Base Date 3.2 In respect of each Indexi, the Initial Index Level and Index Base Date are specified in Section 3 of Part A of these Index Rules. Publication of Index Levels In respect of each Indexi and any Calculation Dayt, if such Calculation Day is not a Disrupted Day, the Index Calculation Agent shall calculate and publish on the Bloomberg Page specified in Section 3 of Part A above (or such other information source that the Index Calculation Agent may select), the Index Level of such Indexi calculated as of such Calculation Day in accordance with the Index Rules.
In respect of each Indexi and any Calculation Dayt, if such Calculation Day is a Disrupted Day, the Index Calculation Agent will not calculate and publish the Index Level and the Index Calculation Agent will resume calculating and publishing the Index Level on the immediately following Calculation Day that is not a Disrupted Day. Notwithstanding anything to the contrary, in respect of each Indexi, the Index Sponsor may cease the calculation and publication of the Index Level of an Indexi at any time in its sole discretion and nothing in this document shall be construed as an agreement by the Index Sponsor to continue to calculate the Index Level for such Indexi if the Index Sponsor has elected to cease publication.
The Index Calculation Agent will publish the Index Levels of each Indexi to three decimal points and may vary its rounding convention in its sole discretion provided that it will not publish an Index Level with less than three decimal points. Notwithstanding anything to the contrary, the Index Calculation Agent may calculate and maintain the Index Level to greater accuracy for the determination of upcoming Index Levels or other calculations. 3.3 Index Live Date
As of the Index Live Date for each Indexi, all internal approvals had been obtained by the Index Sponsor in respect of each Indexi, and the Index Calculation Agent began calculating each Indexi on a live basis since the Index Live Date.
4. Corrections in respect of the Index If any publicly available financial information (including, but not limited to, the spot rates or forward points) published by the relevant recognized financial information source selected by the Index Calculation Agent and used in any calculation or determination is subsequently corrected, or the Index Calculation Agent identifies an error or omission in any of its calculations or determinations in respect of the Index, the Index Calculation Agent may, if the Index Calculation Agent determines that such error, omission or correction (as the case may be) is material and it is practicable, adjust or correct the relevant calculation or determination to take into account such correction as soon as it is reasonably practicable to do so.
5. Market Disruption Events
In respect of each Indexi and any Calculation Dayt, if such Calculation Day is not a Disrupted Day, the Index Calculation Agent shall publish (in a manner determined by the Index Calculation Agent from time to time) the Index Level of such Indexi calculated as of such Calculation Day in accordance with the Index Rules.
In respect of each Indexi and any Calculation Dayt, if such Calculation Day is a Disrupted Day, the Index Calculation Agent will not publish the Index Level and the Index Calculation Agent will resume publishing the Index Level on the immediately following Calculation Day that is not a Disrupted Day.
6. Extraordinary Events
6.1 Successor Reference Data
If any data referenced by an Indexi is (a) not calculated and announced by the applicable data provider or the sponsor of such data but is calculated and announced by a successor sponsor acceptable to the Index Calculation Agent, or (b) replaced by a successor or successor data using, in the determination of the Index Calculation Agent, the same or substantially similar formula for and method of calculation as used in the calculation of such data, then such reference data will be deemed to be the reference data so calculated and announced by that successor data provider or that successor reference data sponsor, as the case may be.
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6.2 Material Change in the Method or Formula of Calculating Reference Data
On any Calculation Dayt, if any data provider or other non-affiliated third party person with control over data referenced by an Indexi (e.g., a Spot Rate) makes a material change in the formula for or the method of calculating such reference data, then the Index Calculation Agent may make such adjustment(s) that it determines to be appropriate to any variable, calculation, methodology or detail in these Index Rules to account for such modification. Such adjustment may occur prior to, on or after the date of such material change, depending on when such change is announced and when the Index Calculation Agent becomes aware of such change.
6.3 Non-Publication of a Constituent as a result of Cancellation of a Constituent On any Calculation Day, if a data provider permanently cancels or ceases to publish the reference data, and no suitable successor data exists, the Index Calculation Agent shall either: (a) continue to calculate the Index Level using the latest terms specified in these Index Rules and the methodology of the applicable reference data at the time such reference data was cancelled; (b) make such adjustment(s) that it determines to be appropriate to any variable, calculation, methodology, valuation terms or any other rule in relation to any Indexi to account for such cancellation, including but not limited to excluding or substituting the affected data; or (c) cease to calculate and publish the Index Level.
Such adjustment may occur prior to, on or after the date of such cancellation, depending on when such cancellation is announced and when the Index Calculation Agent becomes aware of such change.
6.4 Change in Law Event or Other Event Without prejudice to the ability of the Index Calculation Agent to amend these Index Rules, the Index Calculation Agent may: (a) exclude; or (b) substitute, any reference data following (i) the occurrence (and/or continuation) of a Change in Law or (ii) in circumstances where it considers it reasonably necessary to do so to reflect the objective of an Indexi, including (without prejudice to the generality of the foregoing) any perception among market participants generally that the published value of the relevant reference data is inaccurate (e.g., an applicable spot rate or forward points do not accurately reflect the value in the markets). If such an event occurs, then the Index Calculation Agent may adjust these Index Rules as it determines to be appropriate to account for such inaccuracy on such date(s) selected by the Index Calculation Agent. The Index Calculation Agent is under no obligation to continue the calculation and publication of the Index upon the occurrence or existence of a Change in Law; and the Index Calculation Agent may decide to cancel an Indexi if it determines that the objective of such index can not be achieved.
6.5 Cancellation of a License or Impairment of Intellectual Property Rights relating to data If, at any time, any necessary license granted to the Index Calculation Agent, the Index Sponsor or any of their respective affiliates to use any data used to calculate the Index (including but not limited to any price, level or value used in calculating the Index) terminates, or the Index Calculation Agent’s rights to use any data used to calculate the Index (including but not limited to any price, level or value used in calculating the Index) is otherwise disputed, impaired or ceases (for any reason), the Index Calculation Agent may replace such data with a successor that is the same or substantially similar and may make such adjustments to these Index Rules as it determines to be appropriate to account for such event on such dates as selected by the Index Calculation Agent.
6.6 The Occurrence of an FX Succession Event in respect of the Base Currency or any Reference Currency A “FX Succession Event” means the occurrence of either of the following events:
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(a) a Reference Currency or the Base Currency is lawfully eliminated and replaced with, converted into, redenominated as, or exchanged for, another currency; or (b) any Relevant Country divides into two or more countries or economic regions, as applicable, each with a different lawful currency immediately after that event. The applicable Reference Currency or the Base Currency in respect of which an FX Succession Event has occurred is referred to as the “Former Currency.” (f) On and after the effective date of a FX Succession Event, as determined by the Index Calculation Agent, the Former Currency will be deemed to be replaced with: in the case of clause (a) above, the currency that lawfully replaces the Former Currency, into which the Former Currency is converted or redenominated, or for which the Former Currency is exchanged, as applicable, or (ii) in the case of clause (b) above, a currency selected by the Index Calculation Agent from among the lawful currencies resulting from the division that the Index Calculation Agent determines in good faith and in a commercially reasonable manner is most comparable to the Former Currency, taking into account the latest available quotation for the Spot Rate of the Former Currency relative to the Base Currency or the applicable Reference Currency relative to the Base Currency, as applicable, and any other information that it deems relevant. The replacement currency determined as described in clause (i) or (ii) above is referred to as a “Successor Currency.” The Index Calculation Agent may make additional adjustment to these Index Rules, as it determines is appropriate to account for such FX Succession Event.
7. Hypothetical Back-Tested Levels Any Index Level prior to the Index 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 model designed with the benefit of hindsight. The Index Calculation Agent, in calculating hypothetical back-tested index levels, may have applied the disruption provisions specified in these Index Rules differently 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 the Constituents (or other calculated values) 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, Constituent Closing Levels and Index levels. These assumptions may have a material impact on the hypothetical back-tested levels occurring on or before the Index Live Date. 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 modelling techniques 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.
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8. Definitions of Terms In respect of the Index, the terms defined below shall have the following meanings in the Index Rules:
“Aggregate Mark-to-Market Valuei,k,t” shall have the meaning set forth in Step 10 of Section 5. “Aggregate Return” shall have the meaning set forth in Section 5. “AUD” means the Australian dollar, which is the lawful currency of the Commonwealth of Australia, or any successor currency thereto.
“Base Currency” means, in respect of each Currency Pairi, the meaning set forth in Section 3.
“Bloomberg Page” means, in respect of each Indexi, the Bloomberg Page as set forth in Section 3. “CAD” means the Canadian dollar, which is the lawful currency of the Canada, or any successor currency thereto. “Calculation Day” means each calendar day in which banks are generally scheduled to be open for business in New York, New York and London, England other than a Saturday, Sunday or WMR Holiday.
“Calculation Dayt” means the Calculation Day in respect of which such calculation is occurring, which is indexed to time “t”.
“Calculation Dayt-1” means the Calculation Day immediately preceding such Calculation Dayt.
“Change in Law” means, in respect of each Indexi and any Currency Pairi, on or after the Live Date: (a) due to: (i) the adoption of, or any change in, any applicable law, regulation or rule (including, without limitation, any tax law); or (ii) the promulgation of, or any change in, the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable law, rule, regulation or order, in each case, 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) any financial asset relating to the Currency Pair or any Synthetic Forward or, (y) holding a position in any financial asset relating to the Currency Pair or any Synthetic Forward is (or, but for the consequent disposal or termination thereof, would otherwise be) in excess of any allowable position limit(s) applicable to any market participants that are brokers or financial intermediaries (individually or collectively) under any such law, rule, regulation; or (b) the occurrence or existence of any:
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(i) suspension or limitation imposed on trading in the underlying currencies or any financial asset relating to the Currency Pair or any Synthetic Forward; or (ii) any other event that causes trading in the underlying currencies or any financial asset relating to the Currency Pair or any Synthetic Forward to cease. “CHF” means the Swiss franc, which is the lawful currency of the Swiss Federation, or any successor currency thereto.
“Convertibility Event” means, in respect of any Calculation Dayt and a Currency Pairi, an event that, in effect, prevents, restricts or delays market participants’ ability to: (a) convert a Reference Currency into Base Currency through customary legal channels; or (b) convert a Reference Currency into Base Currency at a rate at least as favourable as the rate for domestic institutions located in the applicable Currency Jurisdiction; “CZK” means the Czech koruna, which is the lawful currency of the Czech Republic, or any successor currency thereto.
“Constituent” means, in respect of any Indexi, any Spot Rate or Forward Point reference by such Indexi.
“Currency Business Day” means, in respect of a Currency Pairi, each day on which banks and foreign exchange markets are open for general business (including dealings in foreign exchange and foreign currency deposits) in the Financial Centers applicable to both currencies of the Currency Pairi. “Currency Jurisdiction” means the country or economic union generally associated with the Base Currency or the Reference Currency (as the case may be).
“Currency Pairi” or “Currency Pairs” shall have the meaning set forth in Section 1, and in respect of each Indexi, each Currency Pairi is defined in Section 3.
“Deliverability Event” means, in respect of any Calculation Dayt and a Currency Pairi, an event that, in effect, prevents, restricts or delays market participants’ ability to: (a) deliver a Reference Currency from accounts inside the applicable Currency Jurisdiction to accounts outside of such Currency Jurisdiction; or (b) deliver a Reference Currency between accounts inside the applicable Currency Jurisdiction or to a party that is a non-resident of such Currency Jurisdiction;
“Discontinuity Event” means, in respect of any Calculation Dayt and a Currency Pairi, the occurrence or continuation of the
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pegging of a Reference Currency to the Base Currency (or vice versa), the imposition of a “hard” or “soft” floor to the exchange rate of a Currency Pair or the controlled appreciation or devaluation by the applicable Currency Jurisdiction (or any political subdivision or regulatory authority thereof) of such Reference Currency relative to the Base Currency (or vice versa), as determined by the Index Calculation Agent in good faith and a commercially reasonable manner. “DKK” means the Danish Krone, which is the lawful currency of the Kingdom of Denmark, or any successor currency thereto.
“Disrupted Day” means, in respect of any Currency Pairi and any Indexi, a day on which a Market Disruption Event has occurred or is continuing in respect of such Currency Pairi. A Disrupted Day shall only be deemed to have occurred in respect of the Currency Pairi that experienced a Market Disruption Event and shall only affect the Indexi that references such Currency Pairi.
“Effective Expiration Date” means, in respect of any Synthetic Forwardi,k, the Scheduled Forward Settlement Date of such Synthetic Forwardi,k, provided, however that if a Spot Market Disruption Event has occurred or is continuing in respect of the Currency Pairi referenced by such Synthetic Forwardi,k, then the Effective Expiration Date shall be the first Calculation Day immediately following such Scheduled Forward Settlement Date on which no Spot Market Disruption Event has occurred or is continuing in respect of the Currency Pairi. “EUR” means the currency introduced at the start of the third stage of the European economic and monetary union pursuant to the Treaty establishing the European Community, as amended, or any successor currency thereto. “Financial Center” shall have the meaning set forth in Section 3.
“First Dayi,t” shall have the meaning set forth in Step 2 of Section 5. “Fixing Time” shall have the meaning set forth in Section 3.
“Foreign Currency Business Day” means, in respect of a Currency Pairi, each day on which banks and foreign exchange markets are open for general business (including dealings in foreign exchange and foreign currency deposits) in the Financial Centers applicable to the currency of the Currency Pairi that is not USD. “Former Currency” shall have the meaning set forth in Section 7.6. “Forward Points” means One Week Forward Points, One Month Forward Points or Two Month Forward Points, as applicable.
“Forward Point Market Disruption Event” means, in respect of any Calculation Dayi and the Forward Points of any Currency Pairi, the occurrence or continuation of any one of the following events: (a) a Convertibility Event; (b) a Deliverability Event;
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(c) a Liquidity Event; (d) a Taxation Event; (e) a Price Source Disruption; or (f) a Discontinuity Event; “FX Succession Event” shall have the meaning set forth in Section 7.6. “GBP” means the Great British pound, which is the lawful currency of Great Britain, or any successor currency thereto. “HUF” means the Hungarian Forint, which is the lawful currency of Hungary, or any successor currency thereto.
“Indexi” or “Indices” shall have the meaning set forth in Section 1. “Index Base Date” shall have the meaning set forth in Section 3. “Index Bloomberg Ticker” shall have the meaning set forth in Section 3. “Index Calculation Agent” shall have the meaning set forth in Section 3.
“Index Level” means, in respect of each Indexi, the level of the Index as calculated in accordance with the provisions in Section 5. “Index Live Date” shall have the meaning set forth in Section 3. “Index Rules” shall have the meaning set forth in Section 1. “Index Sponsor” shall have the meaning set forth in Section 3. “Initial Index Level” shall have the meaning set forth in Section 3. “ILS” means the Israeli shekel, which is the lawful currency of the State of Israel or any successor currency thereto. “JPY” means the Japanese yen, which is the lawful currency of Japan or any successor currency thereto.
“Liquidity Event” means, in respect of any Calculation Dayt and a Currency Pairi, the imposition by a Currency Jurisdiction or the United States of America (or any political subdivision or regulatory authority thereof) of any capital or currency controls (such as a restriction placed on the holding of assets in or transactions through any account in such Currency Jurisdiction by a non-resident of such Currency Jurisdiction) or the publication of any notice of an intention to do so, which the Index Calculation Agent determines in good faith and in a commercially reasonable manner is likely to materially affect an investment made in the relevant Reference Currency.
“Mark-to-Market Valuei,k,t” shall have the meaning set forth in Step 9 of Section 5.
“Market Convention” means, in respect of each Currency Pairi, the meaning set forth in Section 3.
“Market Disruption Events” means, in respect of each Currency Pairi and any Indexi, the occurrence or continuation of: (a) in respect of the Spot Rate, a Spot Market Disruption Event; and (b) in respect of a Forward Point, a Forward
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Point Market Disruption Event. “MXN” means the Mexican peso, which is the lawful currency of the United Mexican States, or any successor currency thereto. “NOK” means the Norwegian krone, which is the lawful currency of the Kingdom of Norway, or any successor currency thereto.
“Notionali,k” shall have the meaning set forth in Step 1 of Section 5. “NZD” means the New Zealand, which is the lawful currency of the New Zealand, or any successor currency thereto. “One Month Forward Point” or
“One Month Forward Pointi” means, in respect of each Currency Pairi, the One Month Forward Point for such Currency Pairi as set forth in Section 3.
“One Month FWPi,t,mid” shall have the meaning set forth in Step 5 of Section 5.
“One Month Forward Settlement Datei,t” shall have the meaning set forth in Step 5 of Section 5. “One Week Forward Point” or
“One Week Forward Pointi” means, in respect of each Currency Pairi, the One Week Forward Point for such Currency Pairi as set forth in Section 3.
“One Week FWPi,t,mid” shall have the meaning set forth in Step 4 of Section 5.
“One Week Forward Settlement Datei,t” shall have the meaning set forth in Step 4 of Section 5. “PLN” means the Polish złoty, which is the lawful currency of the Republic of Poland, or any successor currency thereto.
“Price Source Disruption” means, in respect of any Calculation Dayt and a Currency Pairi, the Spot Rate or any of the Forward Points are not available on such Calculation Day. “Product” shall have the meaning set forth in “Notices, Disclaimers and Conflicts.”
“Reference Currency” means, in respect of each Currency Pairi, the meaning set forth in Section 3.
“Relevant Country” means, in respect of each Currency Pairi, the country or economic region generally associated with that Currency Pairi’s Base Currency or Reference Currency. “Relevant Person” shall have the meaning set forth in Section 7.3. “RON” means the Romanian Leu, which is the lawful currency of the Romania, or any successor currency thereto. “RUB” means the Russian ruble, which is the lawful currency of the Russian Federation, or any successor currency thereto.
“Scheduled Forward Settlement Datei,k” shall have the meaning set forth in Step 3 of Section 5. “SEK” means the Swedish krona, which is the lawful currency of the Kingdom of Sweden, or any successor currency thereto.
“Settling Synthetic Forwardi,k,t” shall have the meaning set forth in Step 11 of Section 5. “SGD” means the Singapore dollar, which is the lawful
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currency of the Republic of Singapore, or any successor currency thereto.
“Spot Disrupted Day” means, in respect of any Calculation Dayt and any Currency Pairi, a Calculation Day on which a Spot Market Disruption Event has occurred or is continuing.
“Spot Market Disruption Event” means, in respect of any Calculation Dayt and any Currency Pairi, the occurrence or continuation of any one of the following events: (a) a Convertibility Event; (b) a Deliverability Event; (c) a Liquidity Event; (d) a Taxation Event; (e) a Price Source Disruption; or (f) a Discontinuity Event;
“Spot Rate” or “Spot Ratei” means, in respect of each Currency Pairi, the Spot Rate for such Currency Pairi as set forth in Section 3.
“Spot Ratei,t,mid” shall have the meaning set forth in Step 2 of Section 5.
“Spot Settlement Datei,t” shall have the meaning set forth in Step 2 of Section 5.
“Start Datei,k” shall have the meaning set forth in Section 5.
“Strikei,k” shall have the meaning set forth Step 7 of Section 5.
“Synthetic Forwardi,k” shall have the meaning set forth in Section 5.
“Taxation Event” means, in respect of any Calculation Dayt and any Currency Pairi, the implementation by any Currency Jurisdiction (or any political subdivision 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 such Currency Jurisdiction (including, but not limited to, changes in tax laws and/or laws relating to capital markets and corporate ownership), which the Index Calculation Agent determines in a good faith and a commercially reasonable manner are likely to materially affect an investment made in the relevant Reference Currency. “TRY” means the Turkish lira, which is the lawful currency of the Republic of Turkey, or any successor currency thereto. “Two Month Forward Point” or
“Two Month Forward Pointi” means, in respect of each Currency Pairi, the Two Month Forward Point for such Currency Pairi as set forth in Section 3.
“Two Month FWPi,t,mid” shall have the meaning set forth in Step 6 of Section 5.
“Two Month Forward Settlement Datei,t” shall have the meaning set forth in Step 6 of Section 5. “Successor Currency” shall have the meaning set forth in Section 7.6.
“Unexpired Synthetic Forwardi,k” shall have the meaning set forth in Step 9 of Section 5. “USD” means the U.S. dollar, which is the lawful currency of the United States of America.
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“WMR Holiday” means a calendar day on which The WM Company does not publish fixings for the Currency Pairs. The WM Company’s policy relating to the publication of fixings and holidays is currently available at:
http://www.wmcompany.com/wmr/Publicati ons/ServiceHolidayCalendar/index.htm Notwithstanding anything to the contrary, the immediately preceding hyperlink is attached only for reference purposes only is any content on such website is not incorporated into these Index Rules. “ZAR” means the South African rand, which is the lawful currency of the Republic of South Africa, or any successor currency thereto.
9. Versions of the Index Rules and Index Adjustments Any amendment or adjustment to the Index Rules for the Index and the effective date of any such amendment or adjustment may but does not have to be reflected in a revised version of the Index Rules. Copies of the latest issue of the Index Rules and/or details of relevant adjustments (where not reflected in a revised version of the Index Rules) may be obtained free of charge on request to the Index Sponsor at its principal office in London, England.
Version Date Amendment 1.0 26 November 2014 Not Applicable (First Release) 2.0 27 May 2015 Update to the calendar convention for publication
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