Nordea G10 Alpha Carry Index

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1 Nordea G10 Alpha Carry Index Index Rules v1.1 Verson as of 10/10/2013

2 1 (6) Page 1 Index Descrpton The G10 Alpha Carry Index, the Index, follows the development of a rule based strategy whch nvests and borrows to the overnght rate n the dfferent G10 currences. The postons are calculated from a carry strategy, whch s long hgh yeldng currences versus low yeldng currences. In addton to the carry strategy dfferent flters are appled whch close the postons n unfavourable condtons. The Index s the property of Nordea AB. 2 Defntons Index calculator Index currency NASDAQ OMX Stockholm AB (NASDAQ OMX). EUR. 2.1 Calculaton Days Busness Day Calculaton Date, t Index Base Date, t 0 Index Launch Date Any scheduled WM/Reuters Intra-Day Spot Rates 1 (se chapter 2.3) fxng day whch s not a Saturday, Sunday or a holday as defned by the ECB target calendar. Any Scheduled Busness Day on whch no dsrupton event occurs. t 0 = (YYYY-MM-DD) (YYYY-MM-DD). 2.2 Lst of traded currences Defne the set G10 = {1,2,,10}. Denote by Ccy, G10, the currences traded n the strategy. Ccy 1 = EUR Ccy 2 = USD Ccy 3 = JPY Ccy 4 = GBP Ccy 5 = CHF 1 The WM/Reuters Intra-Day Spot Rates provded by The World Markets Company plc ( WM ) n conjuncton wth Reuters. WM shall not be lable for any errors n or delays n provdng or makng avalable the data contaned wthn ths servce or for any actons taken n relance on the same, except to the extent that the same s drectly caused by ts or ts employees neglgence.

3 2 (6) Page Ccy 6 = AUD Ccy 7 = CAD Ccy 8 = NZD Ccy 9 = SEK Ccy 10 = NOK Defne by G9 = {2,,10} the subset of currences that does not nclude EUR. 2.3 Exchange rates and overnght nterest rates Denote the spot exchange rate, at calculaton day t, between currences and j by Fx t,j = Ccy Ccy j t Ths means that Fx t,j s the value of one unt of currency gven n currency j. Wth ths defnton the value of one unt of currency n terms of currency j s Ccy = Ccy Ccy j = Fx,j Ccy t Ccy j. For example: f EURSEK s tradng at 8.3 ths gves j t that Fx 9,1 t = 1/8.3,.e. one SEK s worth 1/8.3 EUR. All postons are funded through the EUR (Ccy 1 ) currency,.e. the strategy s only exposed to changes n the spot rates Fx,1 t Spot exchange rate defntons The spot exchange rates on calculaton day t, Fx,1 t, G9, s calculated by nvertng the CET WM/Reuters Intra-Day Spot Rate fxng value Fx 1, t, for the respectve cross Fx 1, t, that appear on the spot exchange rate source, Bloomberg page: WMCO <GO>. For the spot exchange rate Fx 1, t denote by FxA 1, t and FxB 1, t the Ask and Bd 13:00 CET WM/Reuters Intra-Day Spot fxng values respectvely. Defne the nverted Ask and Bd rates as FxA,1 t = 1/FxB 1, t and FxB,1 t = 1/FxA 1, t Overnght rate defntons Denote the overnght nterest rate for currency on calculaton day t by r t. On each Calculaton Date, t, the overnght rate, r t, for each currency s set equal to the most recent value avalable at CET 22:00 from the overnght rate source n table 1 below. Snce the day count conventon for the GBP and CAD overnght rates s act/365 the GBP and CAD overnght rates from the overnght rate source s scaled wth the rato 360/365.

4 3 (6) Page Ccy Interest rate source 1 EUR Reuters rc EONIA= 2 USD Reuters rc USDONFSR= 3 JPY Reuters rc JPYSNFSR= 4 GBP Reuters rc GBPONFSR= 5 CHF Reuters rc CHFSNFSR= 6 AUD Reuters rc AUCASHT=RB 7 CAD Reuters rc CORRA= 8 NZD Reuters rc NZCASH=RBN 9 SEK Reuters rc STIBORTN= 10 NOK Reuters rc NOWA= Table 1. Overnght nterest rate source. 2.4 Index value Index value, I t The ndex value, n EUR, on calculaton day t. 3 Index Calculaton 3.1 Calculaton of poston Denote by w t the weght, at calculaton day t, of a poston n currency (Ccy ). The weghts are publshed by Nordea to NASDAQ OMX before CET on each calculaton day. On each calculaton day t, denote by s t, s t < t, the most recent tme when the weght w t from the strategy calculaton changed value. The postons A t, taken n n currency (Ccy ) on calculaton day t > t 0, are calculated as A t = w t I t 1. The one day lag n the ndex value ensures that the traded amount s known at t. For the base date the poston A t0 s calculated wth an ndex value that s not lagged,.e. A t0 = w t0 I t Calculaton of spot value When the strategy trades,.e. ether open or close a poston n currency (Ccy ), t buys to the ask Fxng value, FxA t,1, and sells to the bd Fxng value, FxB t,1. At calculaton day t, the EUR value of a poston n currency (Ccy ), traded at calculaton day θ = s t, s calculated as V θ,t = FxT t,1 t 1,1 FxT θ t 1 k=θ 1 + r k τ k+1 k=θ (1 + r 1 k τ k+1 )

5 4 (6) Page where r t s the overnght rate at calculaton day t n currency, τ k+1 s the number of calendar days between calculaton days k+2 and k+3 dvded by 360. Snce FX spot rates are used to take the currency postons the ndex s valued/calculated wth two settlement days gvng the two day adjustment of the day dfference. FxT θ,1, s the level of the spot exchange rate traded at θ. If w θ > 0 then t equals to the ask value, else t equals to the bd value. FxT t,1, s the subsequent valuaton level of the spot exchange rate at tme t. If w θ > 0 then t equals to the bd value, else t equals to the ask value. The value of a currency poston can thus be wrtten as V θ,t = Z wθ FxB t,1 + 1 Zwθ FxA t,1 Z wθ FxA θ,1 + 1 Zwθ FxB θ,1 t 1 t 1 k=θ 1 + r k τ k+1 k=θ (1 + r 1 k τ k+1 ) where Z x = 1 f x > 0 else Z x = 0. The ntal value V θ,θ s gven by V θ,θ Z wθ FxB,1,1 θ + 1 Z wθ FxA θ = Z wθ FxA,1 θ + 1 Z wθ FxB 1,1 θ.e. t wll dffer from zero due to the bd ask spread. 3.3 Calculaton of ndex value On the Index Base Date, t 0, the ndex value I 0 s set to 500. The ndex value for calculaton days t > t 0 s calculated accordng to 2 I t = I t 1 + G10 A st V st,t 1 (1 + r t 1 τ t ) V st + TC,t 1 t where the last term, the trade cost, s calculated as TC t = A t V t,t f w t w t 1 and w t 0 otherwse t s zero. The daly EUR nterest on the accumulated EUR values n all open postons s subtracted from the ndex n order to ensure that the ndex wll be of type Excess Return. 2 Index value pror to the launch date s calculated based on partly other data sources than specfed here.

6 5 (6) Page 4 Dsrupton events Dsrupton event means the occurrence of an event beyond the control of NASDAQ OMX and Nordea whch precludes the calculaton and/or the publcaton of the ndex as per the above outlned ndex rules. () In the event the spot exchange rate source fals to publsh one or several vald fxng rate(s) at the CET fxng, Nordea may determne alternatve relevant rate(s), n good fath and n a reasonable commercal manner. () In the event Nordea fals to publsh one or several vald overnght rate(s), NASDAQ OMX shall use the overnght rate(s) from the precedng Busness Day and nform Nordea hereof. () In the event Nordea fals to publsh one or several vald weghts before CET 13.00, NASDAQ OMX shall use the weghts from the precedng Busness Day and nform Nordea hereof. (v) In the event that the spot exchange source s beng permanently dsabled Nordea and NASDAQ OMX wll decde the replacement source as soon as practcally possble. (v) In the event that Nordea n ts own dscreton deems that the overnght rate source do not reflect actual overnght rates receved n the market, Nordea may determne alternatve relevant overnght rate(s), n good fath and n a reasonable commercal manner. 4.1 Index dsrupton events In case of sgnfcantly restrcted tradng n any of the G10 currences or complete system falure, NASDAQ OMX and Nordea have the rght to characterze ths as an ndex dsrupton event () If an ndex dsrupton event occurs on a Busness Day then there wll be no new ndex value calculated and announced on such day and the ndex value wll reman the same as the precedng Busness Day. The next Busness Day on whch the Index s calculated and announced by NASDAQ OMX shall n such case be the frst succeedng Busness Day on whch Nordea and NASDAQ OMX determnes that an Index Dsrupton Event no longer exsts. () If an Index Dsrupton Event contnues for twenty consecutve Busness Days, then NASDAQ OMX may, subject to agreement wth Nordea, permanently cancel the Index on such twenteth Index Busness Day. In the event of other dsrupton events NASDAQ OMX shall act accordngly. 5 Lmts of Lablty

7 6 (6) Page Nordea and NASDAQ OMX are not lable for any loss or damage resultng from Swedsh or foregn legslatve enactment, actons of Swedsh or foregn authortes, war, power falure, telecommuncaton falure, fre, water damage, strke, blockade, lockout, boycott, or other smlar crcumstances outsde the control of Nordea or NASDAQ OMX. The reservaton wth respect to strkes, blockade, lockout and boycott also apples f Nordea or NASDAQ OMX adopts or s the object of such conflct measures. Nordea and NASDAQ OMX are not responsble n any crcumstance for loss of data, non-payment of profts or other ndrect or consequental damage arsng from the use of the Index. Nordea and NASDAQ OMX provde no express or mpled warrantes regardng the results whch may be obtaned as a consequence of the use of the Index or regardng the value of the Index at any gven tme or otherwse. Nordea and NASDAQ OMX make no express or mpled warrantes of merchantablty or ftness for a partcular purpose for use wth respect to the Index and exclude all lablty for any loss or shall n no case be lable for errors or defects n the Index nor oblgated to provde notce of, or publsh, errors n the Index.

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