GUIDE GOVERNING SMI RISK CONTROL INDICES

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1 GUIDE GOVERNING SMI RISK CONTROL IND ICES

2 SIX Swiss Exchange Ld 04/2012 i

3 C O N T E N T S 1. Index srucure Concep General principles Index Commission Review of index concep Terminaion of he index calculaion Review Frequency Ongoing Rebalancing Addiional Feaures Index calculaion Calculaion Mehod Deerminaion of he Targe Weigh (Tgw) Deerminaion of he Equiy Weigh (w) and Index Rebalancing Days Informaion on index evens Trade suspensions and marke disorsions Index correcions Trademark proecion, use and licensing Proecion Licensing Free usage Usage subjec o licence Conac Saic daa... 6 The informaion conained in his documen is given wihou warrany, implies no oblig aion of any kind on he par of SIX Group Ld or he companies associaed wih SIX Group Ld (referred o below as SIX Group Ld) and may be alered by SIX Group Ld a any ime wihou furher noice. To he exen permied by law, SIX Group Ld acceps no liabiliy whasoever for any errors conained in his documen. SIX Group Ld is under no obligaion whasoever o draw aenion o such errors. Technical documenaion mus be used only in conjuncion wih he correc sofware version and may be used and copied only in accordance wih he erms of he licence. All sofware described in he echnical documenaion is supplied on he basis of a licence agreemen and may be used or copied only in accordance wih he erms of he said licence agreemen. Copyrigh SIX Group Ld, All righs reserved. All rademarks observed. SIX Swiss Exchange Ld 12/2014 i

4 1. INDEX STRUCTURE 1.1 Concep A arge volailiy concep is applied o he SMI (TR) Index (CH ). Whereas he risk profile of he SMI (TR) Index is he unconrolled oucome of he exising marke-cap weighed index concep, he Risk Conrol Index conrols for risk by aiming for a arge volailiy of 5% (10%, 15%, 20%). In order o conrol for risk, he index shifs beween a risk free money marke invesmen (measured via SARON) and a risky par (measured by he SMI (TR) Index). 1.2 In order o achieve he saed index objecive SIX Swiss Exchange defines he general principles ha govern he index mehodology. SIX Swiss Exchange publishes he index objecive and rules for all indices. Represenaive: he developmen of he marke is represened by he index Tradable: he index componens are radable in erms of company size and marke Replicable: he developmen of he index can be replicaed in pracise wih a porfolio Sable: high index coninuiy Rules-based: index changes and calculaions are rulebased Projecable: changes in rules are wih appropriae lead ime (usually a leas 2 rading days) no rerospecive rule changes Transparen: Decisions are based on public informaion 1.3 Index Commission The Managemen Commiee of SIX Swiss Exchange is suppored by he Index Commission (advisory board) in all index-relaed maers, noably in connecion wih changes o he index rules and adjusmens, addiions and exclusions ouside of he esablished review and accepance period. The Index Commission convenes a leas wice a year. I provides valuable inpu on how exising producs can be improved and new ones creaed. SIX Swiss Exchange Ld 12/2014 1

5 1.4 Review of index concep 1.5 Terminaion of he index calculaion The validiy of he index conceps and rules is reviewed on a regular basis. In excepional cases a broad marke consulaion can be conduced. The changes o he index rules are publicly announced wih appropriae lead ime (usually 3 monhs). A decision o disconinue will be publicly announced by SIX Swiss Exchange wih appropriae lead ime. In case of exising financial producs linked o he index, of which SIX Swiss Exchange is aware, a marke consulaion is conduced in advance and a ransiion period is inroduced before he definiive erminaion. 1.6 Review Frequency 1.7 Ongoing Rebalancing The composiion of he SMI Risk Conrol indices is reviewed on a daily basis. If on a daily basis he risk of he curren SMI Risk Conrol Index composiion is below he argeed risk of 5% (10%, 15%, 20%), he allocaion will be adjused owards he risky asse, in case he curren risk profile is above he argeed 5% (10%, 15%, 20%), he allocaion will be adjused owards he risk free componen (SARON). 1.8 Addiional Feaures To avoid exreme leveraged posiions, a maximum exposure of 150% owards he risky asse is inroduced A olerance level of 5% is implemened o avoid high allocaion urnover due o minimal deviaions from he argeed risk 2. INDEX CALCULATION 2.1 Calculaion Mehod IndexTR IndexTR w 1 SMI SMI 1 1 w SARON Diff 1, 360 IndexER IndexER 1 w SARON SMI SMI Diff 1, w SARON 1 1 Diff 1, 360 where IndexER Excess Reurn Index Level on Index Level Deerminaion Dae SIX Swiss Exchange Ld 12/2014 2

6 IndexER 1 IndexTR IndexTR 1 w 1 SMI SMI 1 SARON Diff 1, Excess Reurn on Index Level Deerminaion Dae -1 Toal Reurn on Index Level Deerminaion Dae Toal Reurn on Index Level Deerminaion Dae -1 Equiy Weigh on Index Level Deerminaion Dae -1 Level of he SMI (TR) (CH ) on Index Level Deerminaion Dae Level of he SMI (TR) (CH ) on Index Level Deerminaion Dae -1 The SARON rae on he Index Level Deerminaion Dae Difference beween -1 and measured in calendar days 2.2 Deerminaion of he Targe Weigh (Tgw) On any Index Level Deerminaion Dae, he Targe Weigh shall be deermined as follows: Tgw Max TgVol Re alizedvol,(20,60) where TgVol 10% 252 SMI RealizedVol, n * log n SMI where n 19 (59) Max Re alized Vol 20,60 is he maximum of he realized volailiies measured over 20 days and 60 days s s1 s s ranging from -18 o (-58 o ) 2 SIX Swiss Exchange Ld 12/2014 3

7 . 2.3 Deerminaion of he Equiy Weigh (w) and Index Rebalancing Days The Equiy Weigh on he Index Sar Dae shall be equal o he Targe Weigh a he Index Sar Dae, w0 Min Cap,Tgw 0 On any Index Level Deerminaion Dae subsequen o he Index Sar Dae, he Equiy Weigh shall be deermined as follows: (i) If w abs 1 1 Tgw 1 Tolerance hen he Index Level Deerminaion Dae will be an Index Rebalancing Day and w Min Cap, Tgw 1 ; (ii) Oherwise, Index Level Deerminaion Dae will no be an Index Rebalancing Day and w w 1 where: Tolerance 5% w / 1 Equiy Weigh on Index Level Deerminaion Dae / -1 Tgw 1 Cap Targe Weigh on Index Level Deerminaion Dae 150% 2.4 Informaion on index evens Any relevan forhcoming exraordinary corporae evens ha resul in an adjusmen o he indices are published by via Invesor Service. The regisraion form is available on he SIX Swiss Exchange Websie. SIX Swiss Exchange acceps no liabiliy for Invesor Service Equiy. SIX Swiss Exchange Ld 12/2014 4

8 2.5 Trade suspensions and marke disorsions Should a daa source (for example a price source) no be available as resul of challenging economic condiions or oher marke disorions he las available daa will normally be used. In exreme cases a deviaion from he rules defined in his rulebook can occur, for example, shifing he schedule of a regular index review. All changes will be publicly announced a leas wo rading days in advance. 2.6 Index correcions Index correcions disinguish beween calculaion errors and incorrec inpu daa. Calculaion errors deeced wihin a rading day are correced immediaely. Inraday ick daa are no correced rerospecively. Calculaion errors ha are older or based on erroneous inpu daa are correced if echnically possible and economically viable. If significan differences exis, index values can also be correced rerospecively. 3. TRADEMARK PROTECTION, USE AND LICENSING 3.1 Proecion The names of he SIX Swiss Exchange Indices Trademarks are inernaionally regisered rademarks of SIX Swiss Exchange. 3.2 Licensing Free usage The names of he SIX Swiss Exchange Indices Trademarks may be freely used for he purpose of hones reporing of he relevan index. Insofar as i is echnically possible, he symbols and should be used, possibly wih a foonoe saing ha hese names are regisered rademarks of SIX Swiss Exchange, Zurich Usage subjec o licence Any addiional use of he SIX Swiss Exchange Indices Trademarks or any commercial use of he index figures (e.g., issue of index-linked financial insrumens or capial insurance wih or wihou menion of he rademark in he name or descripion) is only permissible wih a valid licensing agreemen. Offering prospecuses mus include he following disclaimers, which is accessible via he SIX Swiss Exchange Websie. SIX Swiss Exchange Ld 12/2014 5

9 4. CONTACT Informaion concerning SIX Swiss Exchange indices (index adjusmens, announcemens ec.) is available a he following Inerne address: Requess regarding he indices should be sen o he following address: SIX Swiss Exchange Ld c/o STOXX Ld. Selnausrasse 30 P.O. Box CH-8021 Zurich Telephone: +41(0) STATIC DATA A curren lis of all indices calculaed by SIX Swiss Exchange is accessible a he SIX Swiss Exchange Websie: SIX Swiss Exchange Ld 12/2014 6

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