The MSFX SM Indices Manual Edition

Transcription

1 The MS SM ndices Manual 00 Edition Updated June 4, 00

2 MS ndices Manual 00 Edition The data and information (the nformation ) presented in this MS ndices Manual reflect the methodology (the MS ndices Methodology ) for calculating and determining the level of each of the MS ndices (the MS ndices or individually, an MS ndex ). This MS ndices Manual and the MS ndices Methodology were created and compiled, and are published, by the Morgan Stanley nstitutional Research epartment (the ndex Sponsor ), and are the exclusive property of Morgan Stanley & Co. ncorporated ( Morgan Stanley ). The nformation and the MS ndices Methodology may not be used as the basis of any product, or reproduced, redistributed or transmitted in whole or part, in any form or by any means, electronic or mechanical, including photocopying, or by any information storage or retrieval system, without the express prior written consent of Morgan Stanley. The nformation and the MS ndices Methodology are not intended, and should not be construed, as an offer to sell, or a solicitation of an offer to purchase, any securities or other financial instruments. Each of Morgan Stanley and its affiliates and their officers, directors and employees may have positions or engage in transactions in securities or other financial instruments based on or indexed or otherwise related to the MS ndices. MORGAN STANLEY, THE NEX SPONSOR, ANY AFFLATE OF MORGAN STANLEY OR ANY OTHER PARTY NVOLVE N, OR RELATE TO, MAKNG OR COMPLNG ANY MS NEX (NVUALLY AN COLLECTVELY COVERE PARTY OR COVERE PARTES ) SHALL HAVE NO LABLTY, CONTNGENT OR OTHERWSE, TO ANY PERSON OR ENTTY FOR THE QUALTY, ACCURACY, TMELNESS AN/OR COMPLETENESS OF THE NFORMATON, THE MS NCES, THE MS NCES METHOOLOGY OR ANY ATA NCLUE N THS MS NCES MANUAL, OR FOR ELAYS, OMSSONS OR NTERRUPTONS N THE ELVERY OF THE MS NCES OR ATA RELATE THERETO. THE COVERE PARTES MAKE NO WARRANTY, EXPRESS OR MPLE, AS TO THE RESULTS TO BE OBTANE BY ANY PERSON OR ENTTY N CONNECTON WTH ANY USE OF THE MS NCES OR, THE MS NCES METHOOLOGY, NCLUNG BUT NOT LMTE TO THE TRANG OF OR NVESTMENTS N PROUCTS BASE ON OR NEXE OR RELATE TO THE MS NCES, ANY ATA RELATE THERETO OR ANY COMPONENTS THEREOF. THE COVERE PARTES MAKE NO EXPRESS OR MPLE WARRANTES, AN HEREBY EXPRESSLY SCLAM ALL WARRANTES OF MERCHANTABLTY OR FTNESS FOR A PARTCULAR PURPOSE OR USE WTH RESPECT TO THE NFORMATON, THE MS NCES, THE MS NCES METHOOLOGY OR ANY ATA RELATE THERETO. WTHOUT LMTNG ANY OF THE FOREGONG, N NO EVENT SHALL THE COVERE PARTES HAVE ANY LABLTY FOR ANY SPECAL, PUNTVE, NRECT OR CONSEQUENTAL AMAGES (NCLUNG LOST PROFTS) N CONNECTON WTH ANY USE BY ANY PERSON OF THE MS NCES, THE MS NCES METHOOLOGY OR ANY PROUCTS BASE ON OR NEXE OR RELATE THERETO, EVEN F NOTFE OF THE POSSBLTY OF SUCH AMAGES. This edition of the MS ndices Manual reflects the methodology that will be utilized with respect to the determination and calculation of the MS ndices as of June 00, unless amended in accordance with the provisions herein. After June 00, the methodology shall remain in effect until amended or replaced by an updated version. However, the MS Methodology is subject to revision and adjustment by the ndex Sponsor, as described herein. 00. Morgan Stanley & Co. ncorporated. All Rights Reserved. MS SM is a registered service mark of Morgan Stanley & Co. ncorporated.

3 Table of Contents MS ndices Manual 00 Edition Section : ntroduction Page(s). Overview of the MS ndices 5. The MS ndices Manual 6.3 The MS Currencies 7.4 The MS ndices 8-3 A. MS Total Return (TR) ndices and Related Bloomberg ndex Tickers 8-. eveloped Market Currencies - US 8. Emerging Market Currencies - US 9. eveloped Market Currencies - EUR 0 V. eveloped Market Currencies GBP V. iversified eveloped Market Basket ndices US, EUR, GBP B. MS Excess Return (ER) ndices and Related Bloomberg ndex Tickers 3.5 Certain Basic Foreign Exchange Market Concepts and efinitions 4.6 The MS ndices Committee 5 Section : ndex Rules. Calculation and Publication of the MS ndices 6. ata Sources 6.3 The MS ndices Methodologies 7-40 Single Exposure ndices eveloped Market Currency Long ndices (Total Return) (US) AU, GBP, EUR, NZ vs. US 7 eveloped Market Currency Short ndices (Total Return) (US) AU, GBP, EUR, NZ vs. US 8 eveloped Market Currency Long ndices (Total Return) (US) JPY, NOK, SEK, CHF vs. US 9 eveloped Market Currency Short ndices (Total Return) (US) JPY, NOK, SEK, CHF vs. US 0 eveloped Market Currency Long ndex (Total Return) (US) CA vs. US eveloped Market Currency Short ndex (Total Return) (US) CA vs. US eveloped Market EUR Cross-Currency Long and Short ndices (Total Return) (EUR) AU, CA, CHF, GBP, JPY, NOK, NZ, SEK, US vs. EUR eveloped Market GBP Cross-Currency Long and Short ndices (Total Return) (GBP) AU, CA, CHF, EUR, JPY, NOK, NZ, SEK, US vs. GBP Emerging Market Currency Long ndices (Total Return) (US) CZK, HUF, LS, MXN, SG, ZAR vs. US 7-8 Emerging Market Currency Short ndices (Total Return) (US) CZK, HUF, LS, MXN, SG, ZAR vs. US 9-30 Emerging Market Currency Long ndices (Total Return) (US) NFs BRL, CNY, NR vs. US 3 Emerging Market Currency Short ndices (Total Return) (US) NFs BRL, CNY, NR vs. US 3 3

4 MS ndices Manual 00 Edition iversified eveloped Market Basket ndices iversified ollar Long and Short Basket ndices (US) 33 iversified Euro Long and Short Basket ndices (EUR) 34 iversified Pound Long and Short Basket ndices (GBP) 35 The MS ouble ndices eveloped Market Currency ouble Long ndices (Total Return) (US) - AU, GBP, EUR, NZ vs. US 36 eveloped Market Currency ouble Short ndices (Total Return) (US) - AU, GBP, EUR, NZ vs. US 36 eveloped Market Currency ouble Long ndices (Total Return) (US) - JPY, NOK, SEK, CHF vs. US 36 eveloped Market Currency ouble Short ndices (Total Return) (US) - JPY, NOK, SEK, CHF vs. US 36 eveloped Market Currency ouble Long ndex (Total Return) (US) CA vs. US 37 eveloped Market Currency ouble Short ndex (Total Return) (US) CA vs. US 37 eveloped Market EUR Cross-Currency ouble ndices (Total Return) (EUR) - AU, CA, CHF, GBP, JPY, NOK, NZ, SEK, US vs. EUR eveloped Market GBP Cross-Currency ouble ndices (Total Return) (GBP) - AU, CA, CHF, EUR, JPY, NOK, NZ, SEK, US vs. GBP The MS Triple ndices eveloped Market Currency Triple Long ndices (Total Return) (US) - AU, GBP, EUR, NZ vs. US 38 eveloped Market Currency Triple Short ndices (Total Return) (US) - AU, GBP, EUR, NZ vs. US 38 eveloped Market Currency Triple Long ndices (Total Return) (US) - JPY, NOK, SEK, CHF vs. US 38 eveloped Market Currency Triple Short ndices (Total Return) (US) - JPY, NOK, SEK, CHF vs. US 38 eveloped Market Currency Triple Long ndex (Total Return) (US) CA vs. US 39 eveloped Market Currency Triple Short ndex (Total Return) (US) CA vs. US 39 eveloped Market EUR Cross-Currency Triple ndices (Total Return) (EUR) - AU, CA, CHF, GBP, JPY, NOK, NZ, SEK, US vs. EUR eveloped Market GBP Cross-Currency Triple ndices (Total Return) (GBP) - AU, CA, CHF, EUR, JPY, NOK, NZ, SEK, US vs. GBP The MS Excess Return ndices 40 Section : Adjustments, Market isruption Events and iscontinuance 4-4. Adjustments to the MS ndices 4. Market isruption Events 4.3 iscontinuance of the MS ndices 4 4

5 MS ndices Manual 00 Edition. ntroduction. Overview of the MS ndices The MS ndices suite consists of tradable indices (together, the MS ndices and individually, an MS ndex ) relating to (A) nine (9) developed market and nine (9) emerging market currencies, each valued relative to the U.S. dollar, (B) nine (9) developed market currencies valued relative to the European Union euro (the EUR cross-currencies ), (C) nine (9) developed market currencies valued relative to the British pound (the GBP cross-currencies ) (together, the MS Currencies and individually, an MS Currency ) and () three (3) basket of currencies valued as a weighted sum of other indices (the iversified eveloped Market Basket ndices ). The MS ndices were designed as tradable benchmarks for the foreign exchange rate performance of the related MS Currency pairs. The MS ndices were created by and are calculated and disseminated daily on a real time basis by or for the ndex Sponsor using an objective and systematic methodology that uses publicly available data sources that reflect actual quotes or trades by market participants. The MS ndices provide long, short and leveraged benchmarks for investments in a wide range of currencies. Each currency pair has both a long version (the MS Long ndices or, individually, an MS Long ndex ) and short version (the MS Short ndices or, individually, an MS Short ndex ), and may also have a x leveraged long and x leveraged short version (the MS ouble ndices ) or 3x leveraged long and 3x leveraged short version (the MS Triple ndices ), as more fully detailed herein. Each MS ndex will have both (i) a total return version, reflecting the performance of a constant fully collateralized currency investment in the related MS Currency, and (ii) may have an excess return version, reflecting the performance of a pure currency investment in the related MS Currency. The ndex Sponsor first began publishing certain of the MS indices in July 009 and has / will continue to roll out publication and calculation of new MS ndices listed herein its sole discretion. n addition, the ndex Sponsor has calculated historical levels for each of the MS ndices being published using the methodology contained herein; provided however, that historical levels published may have been calculated using generic Bloomberg mid level data sources rather than the actual reference sources set forth under The MS ndices Methodologies herein. The MS ndices will be set to a value of 00 as of the date of its initial calculation. Levels for the MS ndices will be published daily by or for the ndex Sponsor between 8:00 a.m. and 4:30 p.m. ( time) on each business day for the related MS Currency, with such levels being updated on a live basis approximately every 5 seconds on the related reference sources set forth herein. An official closing level will be published (i) for the MS ndices related to all MS Currencies other than BRL, CNY and NR, on any day where The WM Company ( WM ) publishes a close for the specific currency, and (ii) for the MS ndices related to BRL, CNY and NR, on any day where the official fixing rate is published on the fixing source for the specific currency. 5

6 MS ndices Manual 00 Edition. The MS ndices Manual This MS ndices Manual describes the current MS ndices Methodology used by the ndex Sponsor in determining and calculating the MS ndices levels on any given day. The ndex Sponsor is committed to using commercially reasonable efforts to maintain the MS ndices as liquid, tradable indices that serve as benchmarks for foreign exchange rate investing in the MS Currencies. As a result, modifications or refinements to the MS ndices Methodology, and consequently this MS ndices Manual, may be necessary from time to time. The ndex Sponsor reserves the right to make such modifications or refinements, after consultation with the MS ndices Committee, as it believes necessary in order to preserve and enhance the utility and tradability of the MS ndices as benchmarks for foreign exchange rate investing in the MS Currencies. Neither this MS ndices Manual nor any set of procedures, however, are capable of anticipating all possible circumstances and events that may affect the MS ndices and their respective calculation methodologies. The detailed rules-based approach contained in this MS ndices Manual may not at all times be able to reflect the underlying liquidity and condition of a specific market, particularly in periods of extraordinary market volatility or rapid technological change. Accordingly, the ndex Sponsor, after consultation with the MS ndices Committee, may make certain determinations that cannot be adequately reflected in this MS ndices Manual with regard to an MS Currency, the related exchange rate or the related MS ndex, should conditions exist (as described herein) or upon the occurrence of certain extraordinary market events and market emergencies, that in the discretion of the ndex Sponsor and ndex Committee, would undermine the effectiveness of the related MS ndex as a measure for the related foreign exchange rate performance or as a tradable index. All questions of interpretation with respect to the application of the provisions of this MS ndices Manual, including any determinations that need to be made in the event of an adjustment event, market disruption, discontinuance or other circumstances or events that affect the MS ndices, will be resolved in a commercially reasonable manner by the ndex Sponsor after consultation with the MS ndices Committee (as discussed below). The composition of the MS ndices, and the value of the MS ndices on any given day, as determined and published by the ndex Sponsor, are dispositive. Wherever practicable, any modifications, adjustments or actions will be publicly announced by the ndex Sponsor prior to their effective date. 6

7 MS ndices Manual 00 Edition.3 The MS Currencies eveloped Market Currencies (vs. US) Australian dollar (AU) British pound (GBP) Canadian dollar (CA) European Union euro (EUR) Japanese yen (JPY) New Zealand dollar (NZ) Norwegian krone (NOK) Swedish krona (SEK) Swiss franc (CHF) Standard Quotation US per AU US per GBP CA per US US per EUR JPY per US US per NZ NOK per US SEK per US CHF per US Emerging Market Currencies (vs. US) Brazilian real (BRL) Chinese renminbi (Yuan) (CNY) Czech koruna (CZK) Hungarian forint (HUF) ndian rupee (NR) sraeli shekel (LS) Mexican peso (MXN) Singapore dollar (SG) South African rand (ZAR) Standard Quotation BRL per US CNY per US CZK per US HUF per US NR per US LS per US MXN per US SG per US ZAR per US eveloped Market EUR Cross-Currencies (vs. EUR) Australian dollar (AU) British pound (GBP) Canadian dollar (CA) Japanese yen (JPY) New Zealand dollar (NZ) Norwegian krone (NOK) Swedish krona (SEK) Swiss franc (CHF) United States dollar (US) Standard Quotation AU per EUR EUR per GBP CA per EUR JPY per EUR NZ per EUR NOK per EUR SEK per EUR CHF per EUR US per EUR eveloped Market GBP Cross-Currencies (vs. GBP) Australian dollar (AU) British pound (GBP) Canadian dollar (CA) Japanese yen (JPY) New Zealand dollar (NZ) Norwegian krone (NOK) Swedish krona (SEK) Swiss franc (CHF) United States dollar Standard Quotation AU per GBP EUR per GBP CA per GBP JPY per GBP NZ per GBP NOK per GBP SEK per GBP CHF per GBP US per EUR 7

8 .4 The MS ndices MS ndices Manual 00 Edition A list of all of the MS ndices can be accessed on Bloomberg Page ALLX MSCE and each MS ndex can be found using the respective Bloomberg ndex Ticker set forth next to each MS ndex set forth below.* A. MS Total Return (TR) ndices and Related Bloomberg ndex Tickers. eveloped Market Currencies - US Long and Short ndices Total Return (US) ouble Long and ouble Short ndices Total Return (US) eveloped Market Currency ndices (TR) (US) Bloomberg eveloped Market Currency Bloomberg ndex Ticker ouble ndices (TR) (US) ndex Ticker Long Australian ollar ndex (TR) MSCEAUL ouble Long Australian ollar ndex (TR) MSCEAL Short Australian ollar ndex (TR) MSCEAUS ouble Short Australian ollar ndex (TR) MSCEAS Long British Pound ndex (TR) MSCEGBPL ouble Long British Pound ndex (TR) MSCEGBL Short British Pound ndex (TR) MSCEGBPS ouble Short British Pound ndex (TR) MSCEGBS Long Canadian ollar ndex (TR) MSCECAL ouble Long Canadian ollar ndex (TR) MSCECAL Short Canadian ollar ndex (TR) MSCECAS ouble Short Canadian ollar ndex (TR) MSCECAS Long Euro ndex (TR) MSCEEURL ouble Long Euro ndex (TR) MSCEEUL Short Euro ndex (TR) MSCEEURS ouble Short Euro ndex (TR) MSCEEUS Long Japanese Yen ndex (TR) MSCEJPYL ouble Long Japanese Yen ndex (TR) MSCEJPL Short Japanese Yen ndex (TR) MSCEJPYS ouble Short Japanese Yen ndex (TR) MSCEJPS Long New Zealand ollar ndex (TR) MSCENZL ouble Long New Zealand ollar ndex (TR) MSCENZL Short New Zealand ollar ndex (TR) MSCENZS ouble Short New Zealand ollar ndex (TR) MSCENZS Long Norwegian Krone ndex (TR) MSCENOKL ouble Long Norwegian Krone ndex (TR) MSCENOL Short Norwegian Krone ndex (TR) MSCENOKS ouble Short Norwegian Krone ndex (TR) MSCENOS Long Swedish Krona ndex (TR) MSCESEKL ouble Long Swedish Krona ndex (TR) MSCESEL Short Swedish Krona ndex (TR) MSCESEKS ouble Short Swedish Krona ndex (TR) MSCESES Long Swiss Franc ndex (TR) MSCECHFL ouble Long Swiss Franc ndex (TR) MSCECHL Short Swiss Franc ndex (TR) MSCECHFS ouble Short Swiss Franc ndex (TR) MSCECHS Triple Long and Triple Short ndices Total Return (US) eveloped Market Currency Triple ndices (TR) (US) Bloomberg ndex Ticker Triple Long Australian ollar ndex (TR) MSCEAUUL Triple Short Australian ollar ndex (TR) MSCEAUUS Triple Long British Pound ndex (TR) MSCEGBUL Triple Short British Pound ndex (TR) MSCEGBUS Triple Long Canadian ollar ndex (TR) MSCECAUL Triple Short Canadian ollar ndex (TR) MSCECAUS Triple Long Euro ndex (TR) MSCEERUL Triple Short Euro ndex (TR) MSCEERUS Triple Long Japanese Yen ndex (TR) MSCEJPUL Triple Short Japanese Yen ndex (TR) MSCEJPUS Triple Long New Zealand ollar ndex (TR) MSCENZUL Triple Short New Zealand ollar ndex (TR) MSCENZUS Triple Long Norwegian Krone ndex (TR) MSCENOUL Triple Short Norwegian Krone ndex (TR) MSCENOUS Triple Long Swedish Krona ndex (TR) MSCESEUL Triple Short Swedish Krona ndex (TR) MSCESEUS Triple Long Swiss Franc ndex (TR) MSCECHUL Triple Short Swiss Franc ndex (TR) MSCECHUS 8

9 . Emerging Market Currencies US Long and Short ndices Total Return (US) Emerging Market Currency ndices (TR) (US) Bloomberg ndex Ticker MS ndices Manual 00 Edition ouble Long and ouble Short ndices Total Return (US) Emerging Market Currency ouble ndices (TR) (US) Bloomberg ndex Ticker Long Brazilian Real ndex (TR) MSCEBRLL Short Brazilian Real ndex (TR) MSCEBRLS Long Chinese Renminbi ndex (TR) MSCECNYL Short Chinese Renminbi ndex (TR) MSCECNYS Long Czech Koruna ndex (TR) MSCECZKL Short Czech Koruna ndex (TR) MSCECZKS Long Hungarian Forint ndex (TR) MSCEHUFL Short Hungarian Forint ndex (TR) MSCEHUFS Long ndian Rupee ndex (TR) MSCENRL Short ndian Rupee ndex (TR) MSCENRS Long sraeli Shekel ndex (TR) MSCELSL Short sraeli Shekel ndex (TR) MSCELSS Long Mexican Peso ndex (TR) MSCEMXNL Short Mexican Peso ndex (TR) MSCEMXNS Long Singapore ollar ndex (TR) MSCESGL Short Singapore ollar ndex (TR) MSCESGS Long South African Rand ndex (TR) MSCEZARL Short South African Rand ndex (TR) MSCEZARS Triple Long and Triple Short ndices Total Return (US) Emerging Market Currency Triple ndices (TR) (US) Bloomberg ndex Ticker 9

10 MS ndices Manual 00 Edition. eveloped Market Currencies - EUR Long and Short ndices Total Return (EUR) ouble Long and ouble Short ndices Total Return (EUR) eveloped Market Cross-Currency ndices (TR) (EUR) Bloomberg ndex Ticker eveloped Market Cross-Currency ouble ndices (TR) (EUR) Bloomberg ndex Ticker Long Australian ollar/euro ndex (TR) MSCEEAL ouble Long Australian ollar/euro ndex (TR) MSCEEAL Short Australian ollar/euro ndex (TR) MSCEEAS ouble Short Australian ollar/euro ndex (TR) MSCEEAS Long British Pound/Euro ndex (TR) MSCEEGL ouble Long British Pound/Euro ndex (TR) MSCEEGL Short British Pound/Euro ndex (TR) MSCEEGS ouble Short British Pound/Euro ndex (TR) MSCEEGS Long Canadian ollar/euro ndex (TR) MSCEECL ouble Long Canadian ollar/euro ndex (TR) MSCEECL Short Canadian ollar/euro ndex (TR) MSCEECS ouble Short Canadian ollar/euro ndex (TR) MSCEECS Long Japanese Yen/Euro ndex (TR) MSCEEJL ouble Long Japanese Yen/Euro ndex (TR) MSCEEJL Short Japanese Yen/Euro ndex (TR) MSCEEJS ouble Short Japanese Yen/Euro ndex (TR) MSCEEJS Long New Zealand ollar/euro ndex (TR) MSCEEZL ouble Long New Zealand ollar/euro ndex (TR) MSCEEZL Short New Zealand ollar/euro ndex (TR) MSCEEZS ouble Short New Zealand ollar/euro ndex (TR) MSCEEZS Long Norwegian Krone/Euro ndex (TR) MSCEENL ouble Long Norwegian Krone/Euro ndex (TR) MSCEENL Short Norwegian Krone/Euro ndex (TR) MSCEENS ouble Short Norwegian Krone/Euro ndex (TR) MSCEENS Long Swedish Krona/Euro ndex (TR) MSCEESL ouble Long Swedish Krona/Euro ndex (TR) MSCEESL Short Swedish Krona/Euro ndex (TR) MSCEESS ouble Short Swedish Krona/Euro ndex (TR) MSCEESS Long Swiss Franc/Euro ndex (TR) MSCEEHL ouble Long Swiss Franc/Euro ndex (TR) MSCEEHL Short Swiss Franc/Euro ndex (TR) MSCEEHS ouble Short Swiss Franc/Euro ndex (TR) MSCEEHS Long US ollar/euro ndex (TR) MSCEEUL ouble Long US ollar/euro ndex(tr) MSCEEUL Short US ollar/euro ndex (TR) MSCEEUS ouble Short US ollar/euro ndex(tr) MSCEEUS Triple Long and Triple Short ndices Total Return (EUR) eveloped Market Cross-Currency Triple ndices (TR) (EUR) Triple Long Australian ollar/euro ndex (TR) Triple Short Australian ollar/euro ndex (TR) Triple Long British Pound/Euro ndex (TR) Triple Short British Pound/Euro ndex (TR) Triple Long Canadian ollar/euro ndex (TR) Triple Short Canadian ollar/euro ndex (TR) Triple Long Japanese Yen/Euro ndex (TR) Triple Short Japanese Yen/Euro ndex (TR) Triple Long New Zealand ollar/euro ndex (TR) Triple Short New Zealand ollar/euro ndex (TR) Triple Long Norwegian Krone/Euro ndex (TR) Triple Short Norwegian Krone/Euro ndex (TR) Triple Long Swedish Krona/Euro ndex (TR) Triple Short Swedish Krona/Euro ndex (TR) Triple Long Swiss Franc/Euro ndex (TR) Triple Short Swiss Franc/Euro ndex (TR) Triple Long US ollar/euro ndex(tr) Triple Short US ollar/euro ndex(tr) Bloomberg ndex Ticker MSCEEAUL MSCEEAUS MSCEEGUL MSCEEGUS MSCEECUL MSCEECUS MSCEEJUL MSCEEJUS MSCEEZUL MSCEEZUS MSCEENUL MSCEENUS MSCEESUL MSCEESUS MSCEEHUL MSCEEHUS MSCEEUUL MSCEEUUS 0

11 V. eveloped Market Currencies - GBP MS ndices Manual 00 Edition Long and Short ndices Total Return (GBP) ouble Long and ouble Short ndices Total Return (GBP) eveloped Market Cross-Currency ndices (TR) (GBP) Bloomberg ndex Ticker eveloped Market Cross-Currency ouble ndices (TR) (GBP) Bloomberg ndex Ticker Long Australian ollar/gbp ndex (TR) MSCEGAL ouble Long Australian ollar/gbp ndex (TR) MSCEGAL Short Australian ollar/gbp ndex (TR) MSCEGAS ouble Short Australian ollar/gbp ndex (TR) MSCEGAS Long Canadian ollar/gbp ndex (TR) MSCEGCL ouble Long Canadian ollar/gbp ndex (TR) MSCEGCL Short Canadian ollar/gbp ndex (TR) MSCEGCS ouble Short Canadian ollar/gbp ndex (TR) MSCEGCS Long Euro/GBP ndex (TR) MSCEGEL ouble Long Euro/GBP ndex (TR) MSCEGEL Short Euro/GBP ndex (TR) MSCEGES ouble Short Euro/GBP ndex (TR) MSCEGES Long Japanese Yen/GBP ndex (TR) MSCEGJL ouble Long Japanese Yen/GBP ndex (TR) MSCEGJL Short Japanese Yen/GBP ndex (TR) MSCEGJS ouble Short Japanese Yen/GBP ndex (TR) MSCEGJS Long New Zealand ollar/gbp ndex (TR) MSCEGZL ouble Long New Zealand ollar/gbp ndex (TR) MSCEGZL Short New Zealand ollar/gbp ndex (TR) MSCEGZS ouble Short New Zealand ollar/gbp ndex (TR) MSCEGZS Long Norwegian Krone/GBP ndex (TR) MSCEGNL ouble Long Norwegian Krone/GBP ndex (TR) MSCEGNL Short Norwegian Krone/GBP ndex (TR) MSCEGNS ouble Short Norwegian Krone/GBP ndex (TR) MSCEGNS Long Swedish Krona/GBP ndex (TR) MSCEGSL ouble Long Swedish Krona/GBP ndex (TR) MSCEGSL Short Swedish Krona/GBP ndex (TR) MSCEGSS ouble Short Swedish Krona/GBP ndex (TR) MSCEGSS Long Swiss Franc/GBP ndex (TR) MSCEGHL ouble Long Swiss Franc/GBP ndex (TR) MSCEGHL Short Swiss Franc/GBP ndex (TR) MSCEGHS ouble Short Swiss Franc/GBP ndex (TR) MSCEGHS Long US ollar/gbp ndex (TR) MSCEGUL ouble Long US ollar/gbp ndex(tr) MSCEGUL Short US ollar/gbp ndex (TR) MSCEGUS ouble Short US ollar/gbp ndex(tr) MSCEGUS Triple Long and Triple Short ndices Total Return (GBP) eveloped Market Cross-Currency Triple ndices (TR) (GBP) Triple Long Australian ollar/gbp ndex (TR) Triple Short Australian ollar/gbp ndex (TR) Triple Long Canadian ollar/gbp ndex (TR) Triple Short Canadian ollar/gbp ndex (TR) Triple Long Euro/GBP ndex (TR) Triple Short Euro/GBP ndex (TR) Triple Long Japanese Yen/GBP ndex (TR) Triple Short Japanese Yen/GBP ndex (TR) Triple Long New Zealand ollar/gbp ndex (TR) Triple Short New Zealand ollar/gbp ndex (TR) Triple Long Norwegian Krone/GBP ndex (TR) Triple Short Norwegian Krone/GBP ndex (TR) Triple Long Swedish Krona/GBP ndex (TR) Triple Short Swedish Krona/GBP ndex (TR) Triple Long Swiss Franc/GBP ndex (TR) Triple Short Swiss Franc/GBP ndex (TR) Triple Long US ollar/gbp ndex(tr) Triple Short US ollar/gbp ndex(tr) Bloomberg ndex Ticker MSCEGAUL MSCEGAUS MSCEGCUL MSCEGCUS MSCEGEUL MSCEGEUS MSCEGJUL MSCEGJUS MSCEGZUL MSCEGZUS MSCEGNUL MSCEGNUS MSCEGSUL MSCEGSUS MSCEGHUL MSCEGHUS MSCEGUUL MSCEGUUS

12 MS ndices Manual 00 Edition V. iversified eveloped Market Basket ndices US, EUR, GBP Long and Short ndices Total Return iversified eveloped Market Basket ndices Long ollar/iversified Basket ndex (US) (TR) Short ollar/iversified Basket ndex (US) (TR) Long Euro/iversified Basket ndex (EUR) (TR) Short Euro/iversified Basket ndex (EUR) (TR) Long Pound/iversified Basket ndex (GBP) (TR) Short Pound/iversified Basket ndex (GBP) (TR) Bloomberg ndex Ticker MSCEUSL MSCEUSS MSCEERL MSCEERS MSCEGBL MSCEGBS

13 B. MS Excess Return (ER) ndices and Related Bloomberg ndex Tickers Long and Short ndices Excess Return eveloped Market Currency ndices (ER) (US) Bloomberg ndex Ticker MS ndices Manual 00 Edition Triple Long and Triple Short ndices Excess Return eveloped Market Currency Triple ndices (ER) (US) Bloomberg ndex Ticker Long Australian ollar ndex (ER) MSCEAULE Short Australian ollar ndex (ER) MSCEAUSE Long British Pound ndex (ER) MSCEGBLE Short British Pound ndex (ER) MSCEGBSE Long Canadian ollar ndex (ER) MSCECALE Short Canadian ollar ndex (ER) MSCECASE Long Euro ndex (ER) MSCEEULE Short Euro ndex (ER) MSCEEUSE Long Japanese Yen ndex (ER) MSCEJPLE Short Japanese Yen ndex (ER) MSCEJPSE Long New Zealand ollar ndex (ER) MSCENZLE Short New Zealand ollar ndex (ER) MSCENZSE Long Norwegian Krone ndex (ER) MSCENOLE Short Norwegian Krone ndex (ER) MSCENOSE Long Swedish Krona ndex (ER) MSCESELE Short Swedish Krona ndex (ER) MSCESESE Long Swiss Franc ndex (ER) MSCECHLE Short Swiss Franc ndex (ER) MSCECHSE Emerging Market Currency ndices (ER) (US) Bloomberg ndex Ticker Emerging Market Currency Triple ndices (ER) (US) Bloomberg ndex Ticker Long Brazilian Real ndex (ER) MSCEBRLU Short Brazilian Real ndex (ER) MSCEBRL Long Chinese Renminbi ndex (ER) MSCECNYU Short Chinese Renminbi ndex (ER) MSCECNY Long Czech Koruna ndex (ER) MSCECZKU Short Czech Koruna ndex (ER) MSCECZK Long Hungarian Forint ndex (ER) MSCEHUFU Short Hungarian Forint ndex (ER) MSCEHUF Long ndian Rupee ndex (ER) MSCENRU Short ndian Rupee ndex (ER) MSCENR Long sraeli Shekel ndex (ER) MSCELSU Short sraeli Shekel ndex (ER) MSCELS Long Mexican Peso ndex (ER) MSCEMXNU Short Mexican Peso ndex (ER) MSCEMXN Long Singapore ollar ndex (ER) MSCESGU Short Singapore ollar ndex (ER) MSCESG Long South African Rand ndex (ER) MSCEZAR Short South African Rand ndex (ER) MSCEZARU *The MS ndices can also be accessed via Reuters by taking the related Bloomberg ndex Ticker symbol and inserting a. before the ticker. For example, the Long Australian ollar ndex (TR) can be found on Reuters Page.MSCEAUL 3

14 MS ndices Manual 00 Edition.5 Certain Basic Foreign Exchange Market Concepts and efinitions eliverable Currencies All of the developed market MS Currencies and most of the emerging market MS Currencies listed above (other than BRL, CNY and NR) are deliverable currencies, which means that a spot transaction will result in an actual exchange of currencies. For the deliverable MS Currencies, the related MS Excess Return ndices will replicate the return on a constant position in the related MS Currency. n order to avoid physical delivery of the MS Currency, the related MS ndices will be rebalanced daily on each ndex-good ay (as defined herein) via a Spot Next or Tom Next transaction (as described below). For the Total Return versions of the MS ndices based on the deliverable MS Currencies, in order to replicate the return of a constant fully collateralized strategy, the related MS ndex will accrue interest daily based on the (i) One-Month T-Bill Rate ( T-Bill ), in the case of the MS Currencies valued relative to the U.S. dollar, (ii) Euro Overnight ndex Average rate ( EONA ), in the case of the MS Currencies valued relative to the Euro and (iii) the Sterling Overnight nterbank Average Rate ( SONA ), in the case of the MS Currencies valued relative to the British Pound. Hence, the daily return on the related MS Total Return ndex will be computed based on the MS Currency return and the One-Month T-Bill return, EONA return or SONA return, as applicable. Please see the more fulsome MS ndices Methodologies herein. Non-eliverable Currencies The governments of Brazil, China and ndia restrict the trading of their currencies and therefore it is not possible for foreign parties to own and trade these currencies for speculative purposes. n order to allow hedging and trading by foreign parties, a market has developed in derivatives that allows parties to receive the equivalent U.S. dollar return on these currencies. These derivatives are called Non-eliverable Forward ( NF ) contracts. An NF contract sets an exchange rate for the currency at some time in the future. The exchange rate at which the NF typically settles is the spot rate set by (i) for BRL, the Central Bank of Brazil, (ii) for CNY, the People s Bank of China and (iii) for NR, the Reserve Bank of ndia. For BRL, CNY and NR, the related MS Excess Return ndices will replicate the return of a constant position in the relevant NF, which will be rebalanced periodically (as specified herein). For the Total Return versions of the related MS ndices, in order to replicate the return of a fully collateralized strategy, the related MS ndex will accrue interest daily at the One-Month T-Bill Rate. Hence, the daily return on the related MS ndex will be computed as the sum of the return of the NF contract and the One Month T-Bill return for the relevant quarter. Please see the more fulsome MS ndices Methodologies herein. Spot Transaction n a Spot currency transaction, a counterparty agrees to exchange some amount A of currency X against another currency Y at a certain rate. Generally, the actual exchange occurs T from the transaction date (with the exception of CA, which settles T). Spot Next Transaction n a Spot Next transaction, a counterparty agrees to exchange some amount A of currency X against another currency Y at a certain rate two business days from the transaction date and receive back the same amount A of currency Y against currency X at the same rate plus a spread three business days from the transaction date. The spread is generally quoted in the market. Tom Next Transaction n a Tom Next transaction, a counterparty agrees to exchange some amount A of currency X against another currency Y at a certain rate one business day from the transaction date and receive back the same amount A of currency X against currency Y at the same rate plus a spread two business days from the transaction date. This spread is quoted in the market. 4

15 .6 The MS ndices Committee MS ndices Manual 00 Edition Morgan Stanley has established an ndices Committee (the MS ndices Committee ) to oversee activities relating to the MS Methodology and the calculation and publication of the MS ndices. The MS ndices Committee will meet with the ndex Sponsor on an annual basis and at other times during the year at the request of the ndex Sponsor as issues or market events arise that warrant the MS ndices Committee consideration. The principal purpose of the MS ndices Committee is to advise the ndex Sponsor with respect to, among other things, the methodology and calculation of the MS ndices, the effectiveness of the MS ndices as a measure of the related foreign exchange rate performance and the need for changes in the composition or methodology of the MS ndices. The MS ndices Committee, currently comprised of 3 Morgan Stanley employees, reviews any significant market events or conditions that may affect the MS ndices. n addition, the MS ndices Committee may suggest that the ndex Sponsor revise the MS Methodology and make any changes to the MS ndices as it reasonably deems necessary in response to such events or conditions. ecisions with respect to the composition, calculation and operation of the MS ndices in the ordinary daily course of business will be made by the ndex Sponsor after consultation with the MS ndices Committee. Morgan Stanley considers information about any changes to the MS ndices and related matters to be potentially market moving and material. Therefore, all MS ndices Committee discussions are deemed to be confidential. 5

16 MS ndices Manual 00 Edition. ndex Rules. Calculation and Publication of the MS ndices The ndex Sponsor will itself or through its calculation agent (if any) use commercially reasonable efforts to calculate and publish (a) live levels for the MS ndices from 8:00 a.m. to 4:30 p.m. time and (b) a closing levels for the MS ndices at 4:30 p.m. time, (i) for the MS ndices related to all MS Currencies other than BRL, CNY and NR, on any day where WM publishes a close for the specific currency, and (ii) for the MS ndices related to BRL, CNY and NR, on any day where the official fixing rate is published on the fixing source for the specific currency; in each case subject to the adjustment and market disruption provisions set forth herein. Published levels for the MS ndices will be rounded to 3 decimals. Closing levels for the MS ndices for purposes of the ndex Methodology will be rounded to 7 decimals.. ata Sources Reuters will be the primary source used to obtain the relevant spot foreign exchange rates used in the calculation of the MS ndices. WM will be the primary source used to obtain the relevant fixings for the relevant foreign exchange market. To the extent possible, the underlying rates represent those sources that are commonly used by market participants when executing foreign investment transactions. Where available, multi-contributor rate sources are used over single contributor rate sources, with the exception of official fixing rates. Reference sources for any of the rates or inputs in the methodology may be changed by the ndex Sponsor, if after consultation with the ndex Committee, the ndex Sponsor determines that (i) the reference source is no longer available, (ii) the reference source is replaced by another source or (iii) the ndex Sponsor determines, in its reasonable judgment, that the source is manifestly incorrect and no longer reflects accurate market data. n the event of any such determination, and wherever practicable, any such source change will be publicly announced prior to its effective date. 6

17 MS ndices Manual 00 Edition.3 The MS ndices Methodologies eveloped Market Currency Long ndices (Total Return) (US) AU, GBP, EUR, NZ vs. US The following methodology applies to the computation of the level for any of the eveloped Market Currency Long ndices (Total Return ) (US) relating to the MS Currencies listed above, adjusted to reflect the parameters set forth below and in the table below with respect to each MS Currency. Business ay means a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealings in foreign exchange and foreign currency deposits) in the Financial Center for the related MS Currency; provided that, a TARGET Business ay shall refer to any day on which TARGET (the Trans-European Automated Gross settlement Express Transfer system) is open. On any day the related MS ndex closing level will be computed as follows: ( ) - TBY 36,500 S/ N S/ N ScalingFactor = ; where: is the related MS ndex closing level; is any day; - is the first ndex-good ay preceding day ; - is the first ndex-good ay preceding day - ; ndex-good ay is a day that is both a (i) Business ay with respect to the related MS Currency and (ii) the next Business ay is also a New York Business ay. The related MS ndex will only be rolled on an ndex-good ay; TBY is the One ()-Month Treasury Bill Yield reported by the U.S Federal Reserve on Reuters Page USYTFRBM=RR ; subject to a 0.00% floor. The value of TBY will be taken at 8 a.m. time on the relevant calculation day () and will reflect the value published for the prior New York Fed Business ay. o New York Fed Business ay means any day except for a Saturday, Sunday or a day on which the Federal Reserve Bank of New York is closed; is the WM exchange rate fixing for the related MS Currency relative to the US at the Roll Time, as posted under the column Mid on the Fix Source; and S/N is the Spot/Next Ask side for the related MS Currency relative to US at the Roll Time, as reported on the S/N Source. MS Currency MS Currency Pair MS ndex Financial Center Roll Time AU AUUS MSCEAUL Sydney, Australia GBP GBPUS MSCEGBPL, England EUR EURUS MSCEEURL TARGET NZ NZUS MSCENZL Wellington/Auckland, New Zealand Fix Source (Mid) Live Source (Mid) S/N Source (Ask) () S/N Scaling Factor WMRSPOT AU= AUSN = 0,000 WMRSPOT07 GBP= GBPSN = 0,000 WMRSPOT05 EUR= EURSN = 0,000 WMRSPOT3 NZ= NZSN = 0,000 () The = notation signifies that the source of the data is obtained via Tullett Prebon inter-dealer brokers based in. To calculate a live level at any time on any day for any of the MS ndices listed above, the Fix Source (Mid) in the definition of will be replaced by the mid side (average of the bid and the ask) value taken from the related Live Source. All other calculations will remain the same. 7

18 MS ndices Manual 00 Edition eveloped Market Currency Short ndices (Total Return) (US) - AU, GBP, EUR, NZ vs. US The following methodology applies to the computation of the level for any of the eveloped Market Currency Short ndices (Total Return ) (US) relating to the MS Currencies listed above, adjusted to reflect the parameters set forth below and in the table below with respect to each MS Currency. Business ay means a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealings in foreign exchange and foreign currency deposits) in the Financial Center for the related MS Currency; provided that, a TARGET Business ay shall refer to any day on which TARGET (the Trans-European Automated Gross settlement Express Transfer system) is open. On any day the related MS ndex closing level will be computed as follows: ( ) - TBY 36,500 S/ N S/ N ScalingFactor = ; where: is the related MS ndex closing level; is any day; - is the first ndex-good ay preceding day ; - is the first ndex-good ay preceding day - ; ndex-good ay is a day that is both a (i) Business ay with respect to the related MS Currency and (ii) the next Business ay is also a New York Business ay. The related MS ndex will only be rolled on an ndex-good ay; TBY is the One ()-Month Treasury Bill Yield reported by the U.S Federal Reserve on Reuters Page USYTFRBM=RR ; subject to a 0.00% floor. The value of TBY will be taken at 8 a.m. time on the relevant calculation day () and will reflect the value published for the prior New York Fed Business ay. o New York Fed Business ay means any day except for a Saturday, Sunday or a day on which the Federal Reserve Bank of New York is closed; is the WM exchange rate fixing for the related MS Currency relative to the US at the Roll Time, as posted under the column Mid on the Fix Source; and S/N is the Spot/Next Bid side for the related MS Currency relative to US at the Roll Time, as reported on the S/N Source. MS Currency MS Currency Pair MS ndex Financial Center Roll Time AU AUUS MSCEAUS Sydney, Australia GBP GBPUS MSCEGBPS, England EUR EURUS MSCEEURS TARGET NZ NZUS MSCENZS Wellington/Auckland, New Zealand Fix Source (Mid) Live Source (Mid) S/N Source (Bid) () S/N Scaling Factor WMRSPOT AU= AUSN = 0,000 WMRSPOT07 GBP= GBPSN = 0,000 WMRSPOT05 EUR= EURSN = 0,000 WMRSPOT3 NZ= NZSN = 0,000 () The = notation signifies that the source of the data is obtained via Tullett Prebon inter-dealer brokers based in. To calculate a live level at any time on any day for any of the MS ndices listed above, the Fix Source (Mid) in the definition of will be replaced by the mid side (average of the bid and the ask) value taken from the related Live Source. All other calculations will remain the same. 8

19 MS ndices Manual 00 Edition eveloped Market Currency Long ndices (Total Return) (US) - JPY, NOK, SEK, CHF vs. US The following methodology applies to the computation of the level for any of the eveloped Market Currency Long ndices (Total Return ) (US) relating to the MS Currencies listed above, adjusted to reflect the parameters set forth below and in the table below with respect to each MS Currency. Business ay means a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealings in foreign exchange and foreign currency deposits) in the related Financial Center for the related MS Currency. On any day the related MS ndex closing level will be computed as follows: = ( ) - TBY 36,500 S/ N S/ N ScalingFactor ; where: is the related MS ndex closing level; is any day; - is the first ndex-good ay preceding day ; - is the first ndex-good ay preceding day - ; ndex-good ay is a day that is both a (i) Business ay with respect to the related MS Currency and (ii) the next Business ay is also a New York Business ay. The related MS ndex will only be rolled on an ndex-good ay. For JPY, though ecember 5 th is a Business ay in Japan, such day will not be considered an ndex-good ay for the purposes of the related MS ndex. Rather, the related MS ndex will be rolled on the first ndex-good ay prior to ecember 5 th using the S/N ate relating to that ecember 5 th and the S/N points of the first ndex-good ay prior to ecember 5 th ; TBY is the One ()-Month Treasury Bill Yield reported by the U.S Federal Reserve on Reuters Page USYTFRBM=RR ; subject to a 0.00% floor. The value of TBY will be taken at 8 a.m. time on the relevant calculation day () and will reflect the value published for the prior New York Fed Business ay. o New York Fed Business ay means any day except for a Saturday, Sunday or a day on which the Federal Reserve Bank of New York is closed; is the WM exchange rate fixing for the related MS Currency relative to the US at the Roll Time, as posted under the column Mid on the Fix Source; and S/N is the Spot/Next Bid side for the related MS Currency relative to US at the Roll Time, as reported on the S/N Source. MS Currency MS Currency Pair MS ndex Financial Center Roll Time JPY USJPY MSCEJPYL Tokyo, Japan NOK USNOK MSCENOKL Oslo, Norway SEK USSEK MSCESEKL Stockholm, Sweden CHF USCHF MSCECHFL Zurich, Switzerland Fix Source (Mid) Live Source (Mid) S/N Source (Bid) () S/N Scaling Factor WMRSPOT JPY= JPYSN = 00 WMRSPOT06 NOK= NOKSN = 0,000 WMRSPOT07 SEK= SEKSN = 0,000 WMRSPOT07 CHF= CHFSN = 0,000 () The = notation signifies that the source of the data is obtained via Tullett Prebon inter-dealer brokers based in. To calculate a live level at any time on any day for any of the MS ndices listed above, the Fix Source (Mid) in the definition of will be replaced by the mid side (average of the bid and the ask) value taken from the related Live Source. All other calculations will remain the same. 9

20 MS ndices Manual 00 Edition eveloped Market Currency Short ndices (Total Return) (US) - JPY, NOK, SEK, CHF vs. US The following methodology applies to the computation of the level for any of the eveloped Market Currency Short ndices (Total Return ) (US) relating to the MS Currencies listed above, adjusted to reflect the parameters set forth below and in the table below with respect to each MS Currency. Business ay means a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealings in foreign exchange and foreign currency deposits) in the related Financial Center for the related MS Currency. On any day the related MS ndex closing level will be computed as follows: = ( ) - TBY 36,500 S/ N S/ N ScalingFactor ; where: is the related MS ndex closing level; is any day; - is the first ndex-good ay preceding day ; - is the first ndex-good ay preceding day - ; ndex-good ay is a day that is both a (i) Business ay with respect to the related MS Currency and (ii) the next Business ay is also a New York Business ay. The related MS ndex will only be rolled on an ndex-good ay. For JPY, though ecember 5 th is a Business ay in Japan, such day will not be considered an ndex-good ay for the purposes of the related MS ndex. Rather, the related MS ndex will be rolled on the first ndex-good ay prior to ecember 5 th using the S/N ate relating to that ecember 5 th and the S/N points of the first ndex-good ay prior to ecember 5 th ; TBY is the One ()-Month Treasury Bill Yield reported by the U.S Federal Reserve on Reuters Page USYTFRBM=RR ; subject to a 0.00% floor. The value of TBY will be taken at 8 a.m. time on the relevant calculation day () and will reflect the value published for the prior New York Fed Business ay. o New York Fed Business ay means any day except for a Saturday, Sunday or a day on which the Federal Reserve Bank of New York is closed; is the WM exchange rate fixing for the related MS Currency relative to the US at the Roll Time, as posted under the column Mid on the Fix Source; and S/N is the Spot/Next Ask side for the related MS Currency relative to US at the Roll Time, as reported on the S/N Source. MS Currency MS Currency Pair MS ndex Financial Center Roll Time JPY USJPY MSCEJPYS Tokyo, Japan NOK USNOK MSCENOKS Oslo, Norway SEK USSEK MSCESEKS Stockholm, Sweden CHF USCHF MSCECHFS Zurich, Switzerland Fix Source (Mid) Live Source (Mid) S/N Source (Ask) () S/N Scaling Factor WMRSPOT JPY= JPYSN = 00 WMRSPOT06 NOK= NOKSN = 0,000 WMRSPOT07 SEK= SEKSN = 0,000 WMRSPOT07 CHF= CHFSN = 0,000 () The = notation signifies that the source of the data is obtained via Tullett Prebon inter-dealer brokers based in. To calculate a live level at any time on any day for any of the MS ndices listed above, the Fix Source (Mid) in the definition of will be replaced by the mid side (average of the bid and the ask) value taken from the related Live Source. All other calculations will remain the same. 0

21 MS ndices Manual 00 Edition eveloped Market Currency Long ndex (Total Return) (US) CA vs. US The following methodology applies to the computation of the level of the Long Canadian ollar ndex (TR) (US) (MSCECAL). Business ay means a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealings in foreign exchange and foreign currency deposits) in the Financial Center. On any day the closing level for the Long Canadian ollar ndex (TR) (US) (MSCECAL) will be computed as follows: = ( ) - TBY 36,500 T / N T / N ScalingFactor ; where: is the Long Canadian ollar ndex (TR) (US) (MSCECAL) closing level; is any day; - is the first ndex-good ay preceding day ; - is the first ndex-good ay preceding day - ; ndex-good ay is a day that is both a (i) Business ay and (ii) the next Business ay is also a New York Business ay. The Long Canadian ollar ndex (TR) (US) (MSCECAL) will only be rolled on an ndex-good ay; TBY is the One ()-Month Treasury Bill Yield reported by the U.S Federal Reserve on Reuters Page USYTFRBM=RR subject to a 0.00% floor. The value of TBY will be taken at 8 a.m. time on the relevant calculation day () and will reflect the value published for the prior New York Fed Business ay. o New York Fed Business ay means any day except for a Saturday, Sunday or a day on which the Federal Reserve Bank of New York is closed; is the WM exchange rate fixing for CA relative to the US at the Roll Time, as posted under the column Mid on the Fix Source; and T/N is the Tom/Next Bid side for CA relative to US at the Roll Time, as reported on the T/N Source. T/N is used for USCA because standard settlement for CA is T versus T for the other developed market currencies. MS Currency MS Currency Pair MS ndex Financial Center Roll Time CA USCA MSCECAL Ottawa, Canada Fix Source (Mid) Live Source (Mid) T/N Source (Bid) () T/N Scaling Factor WMRSPOT09 CA= CATN = 0,000 () The = notation signifies that the source of the data is obtained via Tullett Prebon inter-dealer brokers based in. To calculate a live level at any time on any day for the Long Canadian ollar ndex (TR) (US) (MSCECAL), the Fix Source (Mid) in the definition of will be replaced by taking the mid side (average of the bid and the ask) value from the Live Source. All other calculations will remain the same.

22 eveloped Market Currency Short ndex (Total Return) (US) CA vs. US MS ndices Manual 00 Edition The following methodology applies to the computation of the level of the Short Canadian ollar ndex (TR) (US) (MSCECAS). Business ay means a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealings in foreign exchange and foreign currency deposits) in the Financial Center. On any day the closing level for Short Canadian ollar ndex (TR) (US) (MSCECAS) will be computed as follows: = ( ) - TBY 36,500 T / N T / N ScalingFactor where: is the Short Canadian ollar ndex (TR) (US) (MSCECAS) closing level; is any day; - is the first ndex-good ay preceding day ; - is the first ndex-good ay preceding day - ; ndex-good ay is a day that is both a (i) Business ay and (ii) the next Business ay is also a New York Business ay. The Short Canadian ollar ndex (TR) (US) (MSCECAS) will only be rolled on an ndex-good ay; TBY is the One ()-Month Treasury Bill Yield reported by the U.S Federal Reserve on Reuters Page USYTFRBM=RR subject to a 0.00% floor. The value of TBY will be taken at 8 a.m. time on the relevant calculation day () and will reflect the value published for the prior New York Fed Business ay. o New York Fed Business ay means any day except for a Saturday, Sunday or a day on which the Federal Reserve Bank of New York is closed; is the WM exchange rate fixing for CA relative to the US at the Roll Time, as posted under the column Mid on the Fix Source; and T/N is the Tom/Next Ask side for CA relative to US at the Roll Time, as reported on the T/N Source. T/N is used for USCA because standard settlement for CA is T versus T for the other developed market currencies. MS Currency MS Currency Pair MS ndex Financial Center Roll Time CA USCA MSCECAS Ottawa, Canada Fix Source (Mid) Live Source (Mid) T/N Source (Ask) () ; T/N Scaling Factor WMRSPOT09 CA= CATN = 0,000 () The = notation signifies that the source of the data is obtained via Tullett Prebon inter-dealer brokers based in. To calculate a live level at any time on any day for the Short Canadian ollar ndex (TR) (US) (MSCECAS), the Fix Source (Mid) in the definition of will be replaced by taking the mid side (average of the bid and the ask) value from the Live Source. All other calculations will remain the same.