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-1- UBS Bloomberg CMCI Essence Volatility Target Indices Manual for: UBS Bloomberg CMCI Essence T5 ER Index UBS Bloomberg CMCI Essence T5 TR Index Publication Date: 20 October 2015 Last updated: 23 February 2016 THIS DOCUMENT IS PROPRIETARY TO UBS AG AND BLOOMBERG FINANCE L.P., AND MAY NOT IN WHOLE OR IN PART BE FORWARDED, CIRCULATED OR OTHERWISE PROVIDED TO ANY OTHER PARTY WITHOUT THE PRIOR WRITTEN CONSENT OF UBS AG. AND BLOOMBERG FINANCE L.P. YOU ARE REFERRED TO THE IMPORTANT DISCLAIMERS AND RISK FACTORS IN THIS DOCUMENT. THIS DOCUMENT SHALL NOT CONSTITUTE AN OFFER TO SELL, OR A SOLICITATION OF AN OFFER TO BUY, ANY SECURITIES. NOTABLE CHANGES IN THE INDEX METHODOLOGY This list is not intended to be an exhaustive list of changes to this Methodology: The Index Administrator was changed from UBS AG, London Branch, a division of UBS AG, to Bloomberg Finance L.P. (collectively with its affiliates, “Bloomberg”).

Transcript of UBS Bloomberg CMCI Essence Volatility Target Indices ... · -1- UBS Bloomberg CMCI Essence...

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UBS Bloomberg CMCI Essence Volatility

Target Indices Manual for:

UBS Bloomberg CMCI Essence T5 ER Index

UBS Bloomberg CMCI Essence T5 TR Index

Publication Date: 20 October 2015

Last updated: 23 February 2016

THIS DOCUMENT IS PROPRIETARY TO UBS AG AND BLOOMBERG FINANCE L.P., AND

MAY NOT IN WHOLE OR IN PART BE FORWARDED, CIRCULATED OR OTHERWISE

PROVIDED TO ANY OTHER PARTY WITHOUT THE PRIOR WRITTEN CONSENT OF UBS

AG. AND BLOOMBERG FINANCE L.P.

YOU ARE REFERRED TO THE IMPORTANT DISCLAIMERS AND RISK FACTORS IN THIS

DOCUMENT. THIS DOCUMENT SHALL NOT CONSTITUTE AN OFFER TO SELL, OR A

SOLICITATION OF AN OFFER TO BUY, ANY SECURITIES.

NOTABLE CHANGES IN THE INDEX METHODOLOGY

This list is not intended to be an exhaustive list of changes to this Methodology:

The Index Administrator was changed from UBS AG, London Branch, a division of UBS AG, to Bloomberg

Finance L.P. (collectively with its affiliates, “Bloomberg”).

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Table of Contents

Page

Section 1. Introduction ............................................................................................................ 3 Section 2. Overview of the Index ............................................................................................ 5 Section 3. Risk Factors ........................................................................................................... 7 Section 4. Calculation of the Index and Rebalancing ............................................................. 14 Section 5. Index Market Disruption Events, Force Majeure Events and Adjustment Events .. 18

Section 6. Change in Methodology of the Index and Termination ......................................... 22 Section 7. Index Governance ................................................................................................ 24 Section 8. Disclaimer, Licensing and Trademark .................................................................. 26 Section 9. Definitions ........................................................................................................... 29

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Section 1. Introduction

This Index Manual has been made available by the Index Administrator, as defined below, in order to set out

certain information in respect of the UBS Bloomberg CMCI Essence T5 Index (the “Index” and together the

"Indices"), and sets out the rules and risk factors applicable to the Indices, including the basis on which the

Index Level will be calculated.

Any reference to an “Index” below shall mean either of the Indices, as the context requires.

Each Index is the intellectual property of UBS AG, acting through its London Branch (or any successor

thereto) (in such capacity, the “Index Owner”). The Index Owner owns the copyright and all other

intellectual property rights in the Index and this Index Manual. Any use of these intellectual property rights

must be with the prior written consent of the Index Owner.

The administration of the Index will be performed by Bloomberg, (in such capacity, the “Index

Administrator”). The Index Administrator controls the creation and operation of the Index administrative

process, including all stages and processes involved in the production and dissemination of the Index.

Notwithstanding that the Index relies on information from third party sources, the Index Administrator has

primary responsibility for all aspects of the Index administration and determination process.

The information in this Index Manual reflects the policies of, and is subject to change by, the Index

Administrator. The Index Administrator makes certain determinations and calculations in respect of the

Index and publishes the Index Level as further described in this Index Manual. The Index Owner does not

have any obligation to ensure that the Index Administrator continues to publish the Index Level and the

Index Administrator may discontinue publication of the Index Level subject to transition policies of the

Index Administrator, available upon written request. The Index Administrator will make available the Index

Level in respect of each Index Business Day. The Index Level is published on the Bloomberg Professional

Service and on Reuters under the codes as specified in the Table under the Section 1- Introduction.

The Index Level in respect of any Index Business Day will be published on the immediately following

London Business Day.

Historical records relating to the composition and past performance of the Index are available on the

Bloomberg Professional Service and on the Reuters Page and/or the UBS Website. The Index Administrator

may, upon giving at least 10 Index Administrator Business Days’ notice on the Bloomberg Page and/or the

Reuters Page and/or the UBS Website, change the place and time of the publication of the Index Level and

the frequency of publication of the Index Level.

Neither the Index Owner nor the Index Administrator accepts any legal liability to any person for publishing

or not continuing to publish for any period of time any Index Level at any particular place or any particular

time.

Family

Name

Bloomberg

Page /

Reuters Page Index Name Return

Index

Currency

Index Base

Date

Index

Commencement

Date

Index

Level on

Index

Base Date

Underlying

Index

T5 ULTAESE5/

.ULTAESE5

UBS

Bloomberg

CMCI Essence

T5 ER Index

("ER Index")

Excess

Return USD 30-Jun-1998 20-Oct-2015 1,000.00

CMLSLEE1

Index

T5 ULTAEST5/.

ULTAEST5

UBS

Bloomberg

CMCI Essence

T5 TR Index

("TR Index")

Total

Return USD 30-Jun-1998 20-Oct-2015 1,000.00

ULTAESE5

Index

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Any publication described in this Section 1 – Introduction may be restricted by means determined as

appropriate for such purpose by the Index Administrator in its sole and absolute discretion, including, but not

limited to, password protection restricting access to a limited set of persons in accordance with arrangements

agreed between the Index Administrator and such persons.

Before making any investment decisions, you should carefully read this Index Manual, including Section 2 –

Overview of the Index, Section 3 – Risk Factors, Section 5 – Index Market Disruption Events, Force Majeure

Events and Adjustment Events and Section 8 – Disclaimer, Licensing and Trademark.

This version of the Index Manual is correct as of the date specified on the cover of this Index Manual (the

“Publication Date”). Upon each update to this Index Manual, the most recent version shall be deemed to

supersede the preceding version from the date of such update such that, in the event of any conflict between

an earlier version of the Index Manual and the most recent version, the most recent version shall prevail. The

Index Administrator will provide notice of such updates on the Bloomberg Page and/or the Reuters Page

and/or on the UBS Website. The Index Administrator will provide information about any such updates upon

written request.

All determinations and calculations made by the Index Administrator will (in the absence of manifest error)

be final, conclusive and binding. The Index Administrator shall have no responsibility to any person for

errors or omissions in any Index determination or calculation or for any delay or interruption in any such

determination or calculation.

The Index relies on information from third party sources. Neither the Index Owner nor the Index

Administrator makes any representation or warranty, express or implied, as to the correctness of that

information and neither the Index Owner nor the Index Administrator takes any responsibility for the

accuracy of such data or the impact of any inaccuracy of such data on the Index. Even if any error or

discrepancy on the part of any data source is corrected or revised, neither the Index Owner nor the Index

Administrator is under any obligation to, and neither the Index Owner nor the Index Administrator currently

intends to, reflect any such correction or revisions into the calculation of the Index Level.

Capitalised terms used in this Index Manual have the meanings given to them in Section 9 – Definitions.

No legal relationship (whether in contract, tort, or otherwise) exists between any Index Product Investor and

the Index Administrator or the Index Owner and neither the Index Administrator nor the Index Owner owes

any duties (whether in contract, tort, or otherwise) to any Index Product Investor.

The information contained in this Index Manual is a summary of the methodology and material rules and

risks relating to the Index. This information is subject to change. Neither the Index Owner nor the Index

Administrator makes any representation or warranty that the Index will achieve its stated objectives.

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Section 2. Overview of the Index

Objective of the Index: The ER Index aims to replicate the returns of a strategy that applies a volatility

control mechanism on the UBS Bloomberg CMCI Essence Index (Bloomberg: CMLSLEE1 Index) (the

“Essence Index”). The volatility control mechanism increases (or decreases) the exposure of the ER Index to

the Essence Index in order to maintain the volatility of the ER Index around a target level. The TR Index

tracks the returns of a funded investment in the ER Index by adding a daily fixed income return to the

performance of the ER Index.

Index methodology: The ER Index' volatility control mechanism calculates a daily annualized exponential

weighted volatility of the Essence Index over the immediately preceding 90 Index Business Days. The ER

Index will then adjust the exposure (either increase or decrease) of the Essence Index in order to adhere to

target volatility, unless the Essence Index' volatility is within acceptable thresholds. The Index Level in

relation to the ER Index will be reduced by an annual fee deduction of 0.60% per annum per unit of

exposure of the Essence Index (ER Index maximum exposure to Essence is 250% representing a maximum

annual fee deduction of 1.5%) which represents an approximation of the costs incurred by the Index

Administrator in calculating the Index Level in relation to the ER Index on an Index Business Day, including

but not limited to those costs attributable to linking (and, therefore, notionally exposing) the strategy to the

Essence Index. The TR Index tracks the returns of a funded investment in the ER Index by adding a daily

fixed income return to the performance of the ER Index. Please refer to Section 4 – Calculation of the Index

and Rebalancing in this Index Manual for more details.

Determination of the Index Level: The Index Level in relation to the ER Index is calculated by the Index

Administrator at the Valuation Time on each Index Business Day and is based on the published official

closing level of the Essence Index on each Index Business Day. The Index Level in relation to the TR Index

is calculated by the Index Administrator at the Valuation Time on each Index Business Day and is based on

the published official closing level of the ER Index on each Index Business Day, plus interest accrued daily

and on a compounded basis to a notional cash balance. The Index Level will be first published in respect of

the date specified in the table under Section 1 - Introduction (the “Index Commencement Date”). The

Index Level is published on the Bloomberg Page and/or Reuters on the London Business Day following each

Index Business Day. On any day where the Index Level is not calculated (for example, on a Disrupted Day),

no Index Level will be published in respect of such day, subject to the provisions set out below.

For the purposes of this Index Manual:

(i) “Underlying Index” means:

- in relation to the ER Index, the Essence Index; and

- in relation to the TR Index, the ER Index.

(ii) “Index Component” means:

- in relation to the ER Index, the Essence Index; and

- in relation to the TR Index, each of (i) the ER Index and (ii) interest accrued daily and on a compounded

basis to a notional cash balance, based on the 91-day U.S. Treasury Bill (3 Months) auction rate, designated

as high rate as published by the Treasury Security Auction Results report, published by the Bureau of Public

Debt determined by the Index Administrator by referencing the USB3MTA page on Bloomberg (the “TBill

Rate”).

For Publication purposes only the Index Level shall be rounded to two decimal places.

The initial level of the Index (the “Index Base Level”) and the Index Base Date (the “Index Base Date”) are

specified in the table under Section 1 - Introduction.

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This Section 2 – Overview of the Index - only provides a summary of the Index and is subject to, and

qualified by, the remainder of this Index Manual. Prospective Index Product Investors should therefore

carefully read the whole of this Index Manual.

Prospective Index Product Investors should also note that any purposes, aims and intentions expressed in this

Index Manual may not be achieved.

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Section 3. Risk Factors

This Index Manual is not, nor does it purport to be, investment advice. Neither the Index Owner nor the

Index Administrator is acting as an investment adviser or providing advice of any nature and does not

assume any fiduciary obligation to any investors buying, selling, entering into or holding products linked to

the Index (such products, the “Index Products” and such investors, the “Index Product Investors”). You

should carefully consider whether the Index Products are suited to your particular circumstances and, if you

are in any doubt, seek independent financial advice.

Risk factors in relation to a direct notional investment in the Index are set out below

This Index Manual does not describe all of the risks associated with a direct notional investment in the Index.

It describes only those risks that the Index Administrator considers to be material. There may be additional

risks that the Index Administrator currently considers not to be material or of which it is not currently aware.

Prospective Index Product Investors should seek independent financial advice where they do not fully

understand the risks related to the Index Administrator, the Index Components or the Index itself. In

addition, each of the risks highlighted below could adversely affect the market value of the Index Product or

the rights of Index Product Investors and, as a result, Index Product Investors could lose some or all of their

investment. Risk factors in relation to an Index Product may be set out in the relevant documents in relation

to such Index Product.

1. Index Products may not be a suitable investment for all investors

Each prospective Index Product Investor must determine the suitability of that investment in light of its own

circumstances. In particular, each prospective Index Product Investor should: (a) have sufficient knowledge

and experience to evaluate the Index Products, the merits and risks of investing in the Index Products and the

information contained or incorporated by reference in the product documentation; (b) have access to, and

knowledge of, appropriate analytical tools to evaluate, in the context of its particular financial situation, an

investment in the relevant product and the impact the Index Products will have on its overall investment

portfolio; (c) have sufficient financial resources and liquidity to bear all of the risks of an investment in the

Index Products, including where the settlement currency is different from the prospective Index Product

Investor’s currency or may be payable in one or more currencies; (d) understand thoroughly the terms of the

Index Products and be familiar with any relevant assets, indices and financial markets; and (e) be able to

evaluate (either alone or with the help of a financial adviser) possible scenarios for economic, interest rate

and other factors that may affect its investment and its ability to bear the applicable risks.

2. Rules-based Index

The Index operates on the basis of pre-determined rules. No assurance can be given that the algorithm on

which the Index is based will be successful or that the Index will outperform any alternative algorithm that

could have been employed.

3. Index Product Investors could lose their entire investment

The Index Level depends on the performance of the Index Components, each of which may increase or

decrease in value. Neither the Index nor any of the Index Components includes any element of capital

protection or guaranteed return. The value of any Index Component, or the Index itself, may fall below its

initial value.

4. Market risks may affect the Index Level

Economic, financial, political, regulatory, geographical, judicial or other events which affect the investment

climate and economic sentiment may affect the value of the Index Components and, therefore, the Index

Level.

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5. The Index is not actively managed

The Index operates in accordance with a pre-determined methodology and formulae as further described

herein, and the Index Administrator exercises discretion only in limited situations as described in Section 5 –

Index Market Disruption Events, Force Majeure Events and Adjustment Events. The Index is, therefore, not

actively managed. There will be no active management of the Index so as to enhance returns beyond those

embedded in the Index. Market participants are often able to adjust their investments promptly in view of

market, political, financial or other factors, and an actively managed product could potentially respond more

directly and appropriately to immediate market, political, financial or other factors than a non-actively

managed index. In contrast, the pre-determined methodology and formulae in respect of the Index will

rebalance the weights or quantity assigned to each Index Component to its specified value only on each

Rebalancing Date.

Neither the Index Owner nor the Index Administrator is acting as an investment adviser or commodity

trading adviser or performing a discretionary management role with respect to the Index and, as a result, has

any fiduciary duty to any person in respect of the Index.

6. No rights in any Index Component

The Index is purely synthetic. The exposure to each Index Component is purely notional and will exist only

in the records held by the Index Administrator. A notional investment in the Index will not make an Index

Product Investor the owner of, or as the case may be, a party to, any Index Component comprising the Index

or any Underlying Commodity Contract. Index Product Investors will not have any rights with respect to any

Underlying Commodity Contract.

7. The Index relies on the use of third-party information about certain Index Components

All information in this Index Manual about any Index Component (other than, in relation to the TR Index,

the ER Index, as Index Component thereof) has been derived from publicly available documents. (other than,

in relation to the ER Index, the Essence Index, and in relation to the TR Index, the ER Index, in each case, as

Index Component thereof) the Index Owner has not participated and will not participate in the preparation of

any of those documents. Nor has the Index Owner made or will the Index Owner make any “due diligence”

investigation or any inquiry with respect to the sponsor or issuer of any Index Component in connection with

the maintenance of the Index. The Index Owner does not make any representation or warranty that any such

publicly available document or any other relevant publicly available information is accurate or complete.

Furthermore, the Index Owner does not know whether all events occurring before the date of this Index

Manual, including events that would affect the accuracy or completeness of the publicly available documents

referred to above or the level, value or price of any Index Component, have been publicly disclosed.

Subsequent disclosure of any events of this kind or the disclosure of or failure to disclose material future

events concerning any Index Component could affect the Index Level.

8. The Index Administrator may rely upon third party and other external and internal data

sources which may be inaccessible and/or inaccurate, and the inputs used by the Index

Administrator to run the Index calculations may affect the Index Level

The Index Administrator may rely upon third party brokers or external dealers and other external and internal

sources to obtain certain inputs necessary to compute the Index Level. The inability of the Index

Administrator to source necessary data to calculate the relevant formulae of the Index may affect the Index

Level. In addition, the Index Administrator makes no warranty as to the correctness or completeness of that

information and takes no responsibility for the accuracy of such data or the impact of any inaccuracy of such

data on the Index Level.

9. The policies of the Index Administrator and changes that affect the composition and the Index

Components could affect the Index Level

The policies of the Index Administrator concerning the calculation of the Index Level and the values of the

Index Components could affect the Index Level.

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The Index Administrator may, in consultation with the Index Owner, modify the methodology for calculating

the Index Level and the values of the Index Components. In addition, as described herein, under a number of

circumstances the Index Administrator may make certain changes to the way in which the Index Level or the

value of any of the Index Components is calculated. Material changes are also reviewed and approved by the

Index Oversight Committee (the “IOC”). The Index Administrator may also discontinue or suspend

calculation or publication of the Index, in which case it may become difficult to determine the Index Level.

Notice of such amendments shall be provided in advance on the Bloomberg Page and/or the Reuters Page

and/or on the UBS Website.

10. The historical or hypothetical performance of the Index or any Index Component is not an

indication of future performance

The historical or hypothetical performance of the Index or any Index Component should not be taken as an

indication of the future performance of the Index or any Index Component. It is impossible to predict

whether the future level, value or price of the Index or any Index Component will fall or rise. Past

fluctuations and trends in the Index or any Index Component are not necessarily indicative of fluctuations or

trends that may occur in the future.

11. The level of any Index Component that is an Underlying Index may affect the Index Level at

any time.

The level of any Index Component that is an Underlying Index may affect the Index Level at any time. Index

Product Investors should carefully read and consider the publicly available index description or manual

containing information about such Underlying Index, including the risk factors associated with a notional

investment in such Underlying Index.

12. The occurrence of certain events with respect to an Index Component that is an Underlying

Index may affect the Index Level

The prices of any component contract (or commodity) included in an Underlying Index may be adversely

impacted by a wide range of events. For example, the prices of such contracts or commodities are subject to

events such as changes in supply and demand relationships (whether actual, perceived, anticipated,

unanticipated or unrealized), weather, agriculture, trade, fiscal, monetary and exchange control programmes,

domestic and foreign political and economic events and policies, disease, pestilence, technological

developments, changes in interest rates, whether through governmental action or market movements, and

monetary and other governmental policies, action and inaction. The Underlying Index Administrator may be

entitled to adjust the composition of the Underlying Index pursuant to the rules of the Underlying Index. Any

such events or actions may affect or have an adverse effect on the level of such Underlying Index and in turn

on the Index Level.

13. Market and other activities in respect of the Underlying Index may contribute to an increased

level of investment in the Underlying Index

The Underlying Index Administrator has licensed, and may continue to license, the Underlying Index for use

by other market participants, for publication in newspapers and periodicals, for distribution by information

and data dissemination services and for various other purposes, any of which may contribute to an increased

level of investment in the Underlying Index. This may have an adverse impact on the level of the Underlying

Index and consequently the Index Level.

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14. The Underlying Index Administrator may be required to replace a component contract

comprised in an Underlying Index if the existing component contract is terminated or replaced

The Underlying Index comprises the component contracts. Data concerning the component contracts will be

used to calculate the Underlying Index. If any component contract was to be terminated or replaced in

accordance with the rules of the index methodology of the Underlying Index, a comparable commodity

contract may be selected by the Underlying Index Administrator, if available, to replace that component

contract. The termination or replacement of any component contract may have an adverse impact on the level

of the Underlying Index and consequently, the Index Level.

15. The policies of the Underlying Index Administrator and changes that affect the Underlying

Index could affect the level of the Underlying Index

The policies of the Underlying Index Administrator concerning its calculation could affect the level of the

Underlying Index. The level of the Underlying Index could also be affected if the Underlying Index

Administrator changes these policies, for example, by materially changing the manner in which it calculates

the Underlying Index, or if it cancels or fails to calculate or publish the Underlying Index, in which case it

may become difficult or inappropriate to determine the market value of any financial products linked to the

Underlying Index (including the Index Level). If any such policies relating to the Underlying Index are

changed, or the calculation or publication of the Underlying Index is discontinued or suspended, this could

affect the Index Level.

16. The Underlying Index Administrator will have the authority to make determinations that

could materially affect the performance of the Underlying Index in various ways

The Underlying Index is calculated and maintained by the Underlying Index Administrator. The Underlying

Index Administrator is responsible for the composition, calculation and maintenance of the Underlying Index

and has determinative influence over its composition, calculation and maintenance. The judgments that the

Underlying Index Administrator makes in connection with the composition, calculation and maintenance of

the Underlying Index, could affect the level of the Underlying Index and therefore the Index Level. The

Underlying Index Administrator may decide to discontinue calculating and publishing the Underlying Index

and has no obligation to take the interests of holders of any product directly or indirectly linked to the

performance of the Underlying Index (including any Index Product) into consideration for any reason in

making such determination.

17. Use of Derivative Instruments and Leveraging

A trading strategy may involve trading in futures, options, forward exchange contracts and other derivative

instruments and may potentially also involve leveraged trading positions. This may also represent a

significant investment risk. As a result, relatively small price movements may result in substantial losses or

gains.

18. Trading and other transactions by the Index Ownerand its affiliates in the Index or the Index

Components may affect the Index Level

The Index Ownerand its affiliates may also engage in trading in the Index, the Index Components, futures or

options on the Index Components and other investments relating to or based on the Index or the Index

Components on a regular basis as part of its general business, for proprietary accounts, for other accounts

under management, to facilitate transactions for customers or to hedge obligations under products linked to

the Index or Index Components. Although they are not intended to, any of these activities could adversely

affect the value of the Index Components or the Index Level. It is possible that one or more of the Index

Owner and its affiliates could receive substantial returns from these activities while the value of the Index

Components and the Index Level decline.

The Index Owner or its affiliates may also issue or underwrite securities or financial or derivative

instruments with returns linked or related to changes in the performance of any of the foregoing.

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With respect to any of the activities described above, neither the Index Administrator nor its affiliates has

any obligation to take into consideration at any time the impact of such activities on the value of the Index

Components or the Index Level.

19. Termination or Suspension of the Index

The Index Administrator is under no obligation to continue the calculation, publication and dissemination of

the Index. The Index may be terminated or temporarily suspended at any time, subject to transition policies

of the Index Administrator, available upon written request.Should the Index cease to exist, this may have a

negative impact on the return on any notional investment in the Index.

20. Amendment or Modification to the Index Manual

This Index Manual may be amended, modified or adjusted from time to time by the Index Administrator, in

consultation with the Index Owner. Material changes are also reviewed and approved by the IOC. Any such

amendment, modification or adjustment may have an adverse effect on the Index Level. The Index

Administrator will apply the method described in this Index Manual for the composition of the Index and

calculation of the Index Level. However it cannot be excluded that the market environment, supervisory,

legal, financial or tax reasons may require changes to be made to this method. The Index Administrator may,

in consulatation with the Index Owner, also make changes to the provisions of this Index Manual and the

method applied to calculate the Index Level, which it deems to be necessary and desirable in order to prevent

obvious or demonstrable error or to remedy, correct or supplement incorrect or ambiguous provisions. Notice

of such amendments, modifications or adjustments shall be provided on the Bloomberg Page and/or the

Reuters Page and/or on the UBS Website.

21. Index Administrator Discretion

The Index confers discretion on the Index Administrator in making certain determinations, calculations and

corrections from time to time. Although any such determinations, calculations and corrections must be made

by the Index Administrator in good faith, the exercise of such discretion in the making of any calculations,

determinations and corrections may adversely affect the performance of the Index. Any such determination,

calculation or correction by the Index Administrator will be, in the absence of manifest error, final,

conclusive and binding. The Index Administrator will determine whether any such correction shall apply

retrospectively or from the relevant date forward.

Neither the Index Administrator nor the Index Owner has any obligation to take into consideration the needs

of any Index Product Investor at any time.

22. Change of Index Owner and Index Administrator

The Index Owner may without the consent of Index Product Investors replace the Index Administrator (the

“Successor Index Administrator”) at its discretion, and furthermore, may also designate a successor Index

Owner (the “Successor Index Owner”) at its discretion – in the event of such replacement, any reference to

the “Index Administrator” and/or the “Index Owner” shall be construed as a reference to the Successor Index

Administrator and the Successor Index Owner, respectively.

23. Fees and Costs

The Index Level will be reduced by bid/offer spreads and/or a fee deduction which represents an

approximation of the costs incurred by a hypothetical investor replicating the Index, including but not limited

to those costs attributable to linking (and, therefore, notionally exposing) the relevant strategy to the Index

Components. Such cost is not passed on to Index Product Investors as a payment but will instead be deducted

from the Index Level in accordance with this Index Manual. As such, prospective Index Products Investors

should understand that such cost may have a material effect on the Index Level. For more information about

the calculation of these fees and costs, please refer to Section 4 – Calculation of the Index and Rebalancing

in this Index Manual.

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24. Simulated history

As limited historical performance data exist with respect to the Index, any notional investment in the Index

may involve greater risk than a notional investment in indices or strategies with a proven track record. The

Index will be first calculated on or around the Index Commencement Date and, therefore, lacks historical

performance All such retrospective closing levels are simulated based on quantitative screening only. They

must be considered hypothetical and illustrative only.

The actual performance of the Index may be materially different from the results presented in any simulated

history relating to the Index. Past performance should not be considered indicative of future performance.

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

exchanges

As at the Index Commencement Date, the Underlying Index is composed of the Underlying Commodity

Contract traded on regulated U.S. futures exchanges (such exchanges referred to in the United States as

“designated contract markets”) and regulated U.K. futures exchanges. As described below, however, the

Underlying Index may in the future include over-the-counter (“OTC”) contracts (such as swaps and forward

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

substantive regulation. As a result, trading in OTC contracts, and the manner in which prices and volumes

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

afforded by, the U.S. Commodity Exchange Act, as amended or other applicable statutes and related

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

govern trading on regulated U.K. futures exchanges. In addition, many electronic trading facilities have only

recently initiated trading and do not have significant trading histories. As a result, the trading of OTC

contracts on such facilities, and the inclusion of such OTC contracts in the Underlying Index may be subject

to certain risks not presented by U.S. or U.K. contracts that are traded on an exchange, including risks related

to the liquidity and price histories of the relevant OTC contracts.

26. Commodity prices may change unpredictably, affecting the Index Level in unforeseeable ways

Trading in futures contracts on physical commodities is speculative and can be extremely volatile. Market

prices of each of the Essence Index' underlying indices (including Underlying Commodity Contracts

comprised thereof (and the relevant commodity) may fluctuate rapidly and may be subject to temporary

distortions or other market disruptions based on numerous factors, including changes in supply and demand

relationships (whether actual, perceived, anticipated, unanticipated or unrealized), weather, agriculture, trade,

fiscal, monetary and exchange control programmes, domestic and foreign political and economic events and

policies, disease, pestilence, technological developments, changes in interest rates, whether through

governmental action or market movements, and monetary and other governmental policies, action and

inaction. The current or “spot” prices of the relevant commodity may also affect, in a volatile and

inconsistent manner, the price of the underlying commodity contract. These factors may affect the Index

Level in varying ways, and different factors may cause the prices, values or levels of the Index Components

and the volatilities of those prices, values or levels, to move in inconsistent directions at inconsistent rates.

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27. Futures prices of the component commodity that are different relative to their current prices

may affect the Index Level.

The Index is composed of the Underlying Index that is composed of the component contracts of the relevant

commodity for specific delivery months, rather than the commodity directly. Therefore, the Index is

indirectly composed of commodity futures contracts. Unlike equities, which typically entitle the holder to a

continuing stake in a corporation, commodity futures contracts normally specify a certain date for delivery of

the component commodity. Holding a commodity futures contract to expiration will result in the delivery of

the component commodity and net cash settlement. To maintain an investment position in the component

contract without a delivery of the component commodity and net cash settlement, when the component

contract approaches expiration, it is replaced by a similar contract that has a later expiration. Thus, for

example, a component contract purchased and held in August may specify an October expiration. As time

passes, the contract expiring in October may be replaced by a contract for delivery in December. This

process is referred to as “rolling”.

If the market for the component contract is in “backwardation”, which means that the prices are lower in

more distant delivery months than in nearer delivery months, the purchase of the December contract would

take place at a price that is lower than the sale price of the October contract. Conversely, if the market for the

component contract is in “contango”, which means that the prices are higher in more distant delivery months

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

higher than the sale price of the October contract. The difference between the prices of the two component

contracts when they are rolled is sometimes referred to as a “roll yield,” and the change in price that the

component contract experiences while it is a component of the Underlying Index is sometimes referred to as

a “spot return.” An investor in an Index Product (or the Index itself were it directly investable) cannot

receive either the roll yield or the spot return separately.

The shape of the commodity futures price (forward) curves reflect, among other things, the market

conditions that are referred to as contango and backwardation. Commodity futures forward curves (a graph

of the price of the futures contracts for a given commodity, with the x-axis being the maturity date) are

determined by a variety of economic factors such as storage, insurance, and financing costs, and market

activity by market participants such as producers, consumers, speculators and investors. It is not possible to

predict the shape or level of the commodity futures forward curves of the component commodity.

Some commodity markets (such as WTI crude oil) may be in contango, backwardation, or both contango and

backwardation at the same time, but at different points on the forward curve. Other commodity markets may

be in contango, backwardation, or both at the same time at other different points on the forward curve.

Therefore, depending on the specific long and short positions in the component contract, the presence of

contango, backwardation, or both contango and backwardation in commodity markets related to the Index

Components could result in net positive roll yields or net negative roll yields.

The presence of roll yields could adversely affect the Index Level and the value of any Index Products even

where the spot or near term price performance of the component commodity is stable or move in a direction

that is favourable for the performance of the Index. Therefore, the performance of the Index could be

adversely affected by the shape and level (and change in the shape and level) of the commodity futures

forward curve.

As it is not possible to predict whether any one or more commodity markets related to the Index Components

will be (or will remain) in contango, backwardation, or both contango and backwardation at the same time, it

is not possible to predict the effect of contango or backwardation on the Index Level.

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Section 4. Calculation of the Index and Rebalancing

4.1 Calculation for UBS Bloomberg CMCI Essence T5 ER Index (the “ER Index”)

The Index Level for the ER Index on Index Business Day t will be calculated as:

111 )( ttttt BUCUPortfolioPUIndex

𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝒕 represents the value of a portfolio (the “Portfolio”) consisting of a notional exposure to

the Essence Index minus trading costs attributable to the establishment, maintenance and adjustment

of such exposure on Index Business Day t and shall be determined by the Index Administrator in

accordance with either of the following formula:

𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝒕 =𝑬𝒔𝒔𝒆𝒏𝒄𝒆𝒕

𝑬𝒔𝒔𝒆𝒏𝒄𝒆𝑹𝒆𝒇∗ 𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝑹𝒆𝒇 − 𝑪𝒖𝒎𝒖𝒍𝒂𝒕𝒊𝒗𝒆𝑻𝒓𝒂𝒅𝒊𝒏𝒈𝑪𝒐𝒔𝒕𝒕

Where:

𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝑹𝒆𝒇 = the level of the Portfolio on the most recent of (i) the immediately preceding

Trading Cost Reset Event Date or (ii) the Index Base Date.

𝑬𝒔𝒔𝒆𝒏𝒄𝒆𝒕 = the official closing level of the Essence Index on Index Business Day t.

𝑬𝒔𝒔𝒆𝒏𝒄𝒆𝑹𝒆𝒇 = the official closing level of the Essence Index on the most recent of (i) the

immediately preceding Trading Cost Reset Event Date or (ii) the Index Base Date.

𝑪𝒖𝒎𝒖𝒍𝒂𝒕𝒊𝒗𝒆𝑻𝒓𝒂𝒅𝒊𝒏𝒈𝑪𝒐𝒔𝒕𝒕 = 𝑪𝒖𝒎𝒖𝒍𝒂𝒕𝒊𝒗𝒆𝑻𝒓𝒂𝒅𝒊𝒏𝒈𝑪𝒐𝒔𝒕𝒕−𝟏 + 𝑻𝒓𝒂𝒅𝒊𝒏𝒈𝑪𝒐𝒔𝒕𝒕

Where:

𝑻𝒓𝒂𝒅𝒊𝒏𝒈𝑪𝒐𝒔𝒕𝒕 = 𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝒕−𝟏 ∗ 𝑻𝑪 ∗ 𝑵𝑫

TC = 0.60%/365

ND = the number of calendar days from and including, the immediately preceding Index

Business Day (t-1) to but excluding Index Business Day t.

28. Provided that, if on any Index Business Day t, CumulativeTradingCostt exceeds 10% of

Portfoliot (such event, a “Trading Cost Reset Event”, and such Index Business Day t, a

“Trading Cost Reset Event Date”), then for the purpose of calculating

CumulativeTradingCostt on the immediately following Index Business Day t,

CumulativeTradingCostt-1 as at such Index Business Day t shall be deemed to be equal to zero.

PUt represents the number of units exposed to the Portfolio on Index Business Day t and shall be

determined by the Index Administrator in accordance with either of the following formula:

- If on t-1 a Trigger Event has not occurred:

𝐏𝐔𝐭 = 𝐏𝐔𝐭−𝟏

- If on t-1 a Trigger Event has occurred:

𝑷𝑼𝒕 = 𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝑾𝒆𝒊𝒈𝒉𝒕𝒕 ∗𝑰𝒏𝒅𝒆𝒙𝒕−𝟏

𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝒕−𝟏

Where “PortfolioWeightt” is the ideal exposure (in percentage) to the Portfolio as determined by the

Index Administrator in accordance with the methodology below:

- If on t-1 a Trigger Event has not occurred:

1 tt eightPortfolioWeightPortfolioW

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- If on t-1 a Trigger Event has occurred:

𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝑾𝒆𝒊𝒈𝒉𝒕𝒕 = 𝑴𝒊𝒏 (𝑴𝒂𝒙𝑷𝑾,𝑻𝒂𝒓𝒈𝒆𝒕𝑽𝒐𝒍𝒂𝒕𝒊𝒍𝒊𝒕𝒚

𝑹𝒆𝒂𝒍𝒊𝒛𝒆𝒅𝑽𝒐𝒍𝒂𝒕𝒊𝒍𝒊𝒕𝒚𝒕−𝟏

)

With,

Ticker MaxPW Target Volatility

ULTAESE5 250% 5%

CUt represents the number of units exposed to cash on Index Business Day t and shall be

determined by the Index Administrator in accordance with either of the following formula:

- If on t-1 a Trigger Event has not occurred:

𝑪𝑼𝒕 = 𝑪𝑼𝒕−𝟏

- If on t-1 a Trigger Event has occurred:

𝑪𝑼𝒕 = 𝑴𝒂𝒙(𝑰𝒏𝒅𝒆𝒙𝒕 − 𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝒕 ∗ 𝑷𝑼𝒕, 𝟎)

BUt represents an amount of cash notionally borrowed in order to establish, maintain and adjust

the Index's exposure to the Essence Index on Index Business Day t and shall be determined by

the Index Administrator in accordance with either of the following formula:

- If on t-1 a Trigger Event has not occurred:

𝑩𝑼𝒕 = 𝑩𝑼𝒕−𝟏

- If on t-1 a Trigger Event has occurred:

𝑩𝑼𝒕 = 𝑴𝒂𝒙(𝑷𝑼𝒕 ∗ 𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝒕 − 𝑰𝒏𝒅𝒆𝒙𝒕, 𝟎)

Trigger Event

“Trigger Event” means an event whereby, on any Index Business Day t (such day, a “Rebalancing

Date”), RealizedVolatilityt is higher than the Deleverage Triggert or lower than the Releverage

Triggert;

“Deleverage Triggert” means Cap divided by PortfolioWeightt on Index Business Day t; and is

calculated as per the below formula:

𝑫𝒆𝒍𝒆𝒗𝒆𝒓𝒂𝒈𝒆𝑻𝒓𝒊𝒈𝒈𝒆𝒓𝒕 =𝑪𝒂𝒑

𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝑾𝒆𝒊𝒈𝒉𝒕𝒕

“Releverage Triggert” means Floor divided by PortfolioWeightt on Index Business Day t; and is

calculate as per the below formula:

𝑹𝒆𝒍𝒆𝒗𝒆𝒓𝒂𝒈𝒆𝑻𝒓𝒊𝒈𝒈𝒆𝒓𝒕 =𝑭𝒍𝒐𝒐𝒓

𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝑾𝒆𝒊𝒈𝒉𝒕𝒕

Table 2: “Cap” and “Floor”

Ticker Cap Floor ULTAESE5 6% 4%

“Realized Volatilityt” is the annualized exponentially weighted volatility of the Essence Index over

the last 90 Index Business Days and is calculated as follows:

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𝑹𝒆𝒂𝒍𝒊𝒛𝒆𝒅𝑽𝒐𝒍𝒂𝒕𝒊𝒍𝒊𝒕𝒚𝒕 = √𝟐𝟓𝟒 ∗√

∑ [(𝟏 −𝟑

𝟗𝟎)

𝒋𝟗𝟎𝒋=𝟏 ∗ (

𝑼𝒏𝒅𝒆𝒓𝒍𝒚𝒊𝒏𝒈𝒕−𝒋+𝟏

𝑼𝒏𝒅𝒆𝒓𝒍𝒚𝒊𝒏𝒈𝒕−𝒋− 𝟏)𝟐]

∑ (𝟏 −𝟑

𝟗𝟎)𝒋𝟗𝟎

𝒋=𝟏

29.

30. Rebalancing criteria:

Check the following conditions in sequential order:

a. If RealizedVolatilityt > DeleverageTriggert, rebalance;

b. If PortfolioWeightt < MaxPW and RealizedVolatilityt < ReleverageTriggert, rebalance;

c. If EEWt >= MaxEEW where, MaxEEW is as per the table 4 below, rebalance;

Note: Calculate EEWt as 𝑬𝑬𝑾𝒕 =𝑷𝒐𝒓𝒕𝒇𝒐𝒍𝒊𝒐𝒕∗𝑷𝑼𝒕

𝑰𝒏𝒅𝒆𝒙𝒕 only if 𝐏𝐨𝐫𝐭𝐟𝐨𝐥𝐢𝐨𝐖𝐞𝐢𝐠𝐡𝐭𝐭 =

𝐌𝐚𝐱𝐏𝐖

d. Else, do not rebalance.

Table 4: “MaxEEWt” by Ticker

31.

4.2 Calculation for UBS Bloomberg CMCI Essence T5 TR Index

32. The Index Level for the TR Index on Index Business Day t is calculated as below:

𝑰𝒏𝒅𝒆𝒙𝒕 = 𝑰𝒏𝒅𝒆𝒙𝒕−𝟏 ∗ (𝑬𝑹𝑰𝒏𝒅𝒆𝒙𝒕

𝑬𝑹𝑰𝒏𝒅𝒆𝒙𝒕−𝟏+ 𝑰𝑹𝑹𝑰𝑪𝑹,𝒕)

Where:

𝑰𝑹𝑹𝑰𝑪𝑹,𝒕 = (𝟏

𝟏 −𝑫𝑪𝟑𝟔𝟎 ∗ 𝑫𝑹𝑹𝑰𝑪𝑹,𝒕−𝟏

)

𝑵𝑫/𝑫𝑪

− 𝟏

With,

𝑫𝑹𝑹𝑰𝑪𝑹,𝒕 = (𝑨𝑹𝑹𝑺 ∗ 𝑨𝑹𝑹𝒕) + 𝑨𝑹𝑹𝑨

Table 5: “DC” by Currency

Currency (ccy) DC

USD 91

ARRt = The TBill Rate on Index Business Day t.

Table 6: “ARRS” and “ARRA” by Ticker

Ticker ARRA ARRS

Ticker name MaxEEWt

ULTAESE5 255%

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ULTAEST5 0.00% 1

Index0 = The Index Level on the relevant Index Base Date.

ERIndext = The Index Level for the ER Index on Index Business Day t, prior to any rounding.

With,

ERIndex0 = The Index Level for the ER Index on the relevant Index Base Date, prior to any rounding.

For the avoidance of doubt, the calculation of the TR Index uses unrounded Index Levels for the ER Index.

33.

34. 4.3 Notations

35. “t”is the relevant Index Business Day;

36. “Trading Cost Reset Event Date” is the Index Business Day on which a Trading Cost Reset

Event occurs;

37. “Indext” is the Index Level determined at the Valuation Time on Index Business Day t;

38. “Portfoliot” on Index Business Day t, is Underlyingt, net of CumulativeTradingCostt;

39. “Underlyingt” is the official closing level of the UBS Bloomberg CMCI Essence Index

(Bloomberg: CMLSLEE1 Index) Underlying Index as determined by the Index Administrator

at the Valuation Time on Index Business Day t;

40. “CumulativeTradingCostt” represents trading costs accrued from but excluding the Index

Business Day on which a Trading Cost Reset Event has occurred to and including Index

Business Day t;

41. “ND” is the number of calendar days from and including, the immediately preceding Index

Business Day (t-1) to but excluding Index Business Day t; and

42. “MaxPW” is maximum Portfolio Weightt;

43.

44. Exercise of expert judgment

The Index Administrator may use expert judgment with regards to the following:

• Index restatements

• Extraordinary circumstances during a market emergency

• Pricing or other data interruptions, issues, and closures

When expert judgment is required, the Index Administrator undertakes to be consistent in its application,

with recourse to written procedures outlined in this methodology and internal procedures manuals. These

procedures detail the steps in decision making and the hierarchy of data to be used. Material exercises of

expert judgment are reviewed by senior members of the Index Administrator and its compliance teams. The

Index Administrator also maintains and enforces a code of ethics to prevent conflicts of interest from

inappropriately influencing index construction, production, and distribution, including the use of expert

judgment.

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Section 5. Index Market Disruption Events, Force Majeure

Events and Adjustment Events

45. Index Market Disruption Events

Any of the following will constitute an “Index Market Disruption Event”:

a suspension, disruption, absence or material limitation imposed on trading by the relevant

Exchanges (or related Exchanges(s)) or observed in any related over-the-counter market(s) or

otherwise and whether by reason of movements in price exceeding limits permitted by the relevant

Exchange(s) or related Exchange(s) or otherwise in the futures, forwards, options, swaps or other

over-the-counter derivative transactions indirectly included in and/or that may be used for hedging

the Index; or

a change in law, such that on or after the Index Commencement Date (a) due to the adoption or

announcement of any change in any applicable law or regulation (including, without limitation, any

tax law or limitations on the repatriation of invested capital in the jurisdiction of the underlying), or

(b) due to the promulgation of or any change in the interpretation by any court, tribunal or regulatory

authority with competent jurisdiction of any applicable law or regulation (including any action taken

by a taxing authority), the Index Administrator determines that (i) it would be illegal for the Index

Administrator and/or any of its affiliates to hold, acquire, deal or dispose of the securities, options,

futures or derivatives included in the Index or (ii) market participants would incur a materially

increased cost in performing their obligations in respect of any Index Products (including, without

limitation, due to any increase in tax liability, decrease in tax benefits or other adverse effect on their

tax position); or

any event that disrupts or impairs the ability of market participants in general to establish, maintain

or unwind transactions in, or obtain market values for, futures, forwards, options, swaps or other

over-the-counter derivative transactions indirectly included in and/or that may be used for hedging

the Index.

Examples of Index Market Disruption Events include, but are not limited to, the following:

the termination, absence or suspension of, or material limitation or disruption in, the trading of any

Underlying Commodity Contract for more than two hours of trading or during the one-half hour

before the close of trading on the principal exchange on which it is traded;

any event beyond the reasonable control of the Index Administrator which could make the

calculation of the Index impossible or impracticable, technically or otherwise;

failure by the relevant Exchange or other price source, as applicable, to announce or publish the

settlement price in respect of any Underlying Commodity Contract; or

any event that the Index Administrator determines may lead to any of the foregoing events.

The following event will not be an Index Market Disruption Event:

a limitation on the hours or number of days of trading in any Underlying Commodity Contract

resulting from an announced change in the regular business hours of the Exchange on which such

Underlying Commodity Contract is principally traded.

For the purposes of determining whether an Index Market Disruption Event has occurred, an “absence of

trading” on an Exchange will not include any time when that Exchange is itself closed for trading under

ordinary circumstances.

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In contrast, a suspension, disruption or limitation of trading in any Underlying Commodity Contract by

reason of:

a price change exceeding limits set by the relevant Exchange;

an imbalance of orders relating to the relevant Underlying Commodity Contract;

a disparity in bid and ask quotes relating to the relevant Underlying Commodity Contract; or

the closure of any relevant Exchange in respect of any Underlying Commodity Contract, prior to its

regular business hours without regard to after hours or any other trading outside of the regular

trading session hours,

will constitute an Index Market Disruption Event in respect of the relevant Underlying Commodity Contract.

An Index Market Disruption Event affecting any single Underlying Commodity Contract may result in an

Index Market Disruption Event in respect of the Index or individual Index Components and so an Index

Market Disruption Event may affect every Underlying Commodity Contract or individual Index

Components.

46. Force Majeure Events

A “Force Majeure Event” is an event or circumstance (including without limitation, a systems failure,

natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labour disruption or any

similar intervening circumstance) that is beyond the reasonable control of the Index Administrator.

Examples of Force Majeure Events include, but are not limited to, the following:

the imposition of a currency control mechanism;

the adoption or issuance of tax related rules, regulations, orders or other actions;

any event other than those specifically identified herein that makes the calculation of the Index

impossible or unfeasible either on a technical basis or otherwise, that makes the Index non-

representative of market prices or that undermines the realisation of the objectives of the Index;

any event creating a situation of unfairness or disadvantage for any market participant, group of

market participants or the Index Administrator;

any event which imposes restrictions on any Underlying Commodity Contract; or

any event which the Index Administrator deems a Force Majeure Event for any Underlying

Commodity Contract.

47. Consequences of an Index Market Disruption Event or Force Majeure Event

If an Index Market Disruption Event or a Force Majeure Event occurs or is continuing on one or more

Scheduled Trading Days (each a “Disrupted Day”) that, as determined by the Index Administrator, affects

the Index, any or all of the Index Components or the methodology in respect of the Index, the Index

Administrator may:

defer publication of information relating to the Index until the next Index Business Day on which

such Index Market Disruption Event or Force Majeure Event, as applicable, is not continuing; and

if such calendar day is a Rebalancing Date, postpone such rebalancing to the next Index Business

Day on which such Index Market Disruption Event or Force Majeure Event, as applicable, is not

continuing,

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and, in any such case, make such determinations and/or adjustments to the terms of the Index as it deems

appropriate.

If such “Index Market Disruption Event” or a “Force Majeure Event” persists for each of the 5 Scheduled

Trading Days immediately following the original Scheduled Trading Day that is a Disrupted Day, then the

Index Administrator shall determine what actions or further actions it may reasonably take. Such reasonable

actions may include the following:

making such determinations and/or adjustments to the terms of the Index as it deems appropriate in

order to determine the Index Level on such day (if such day is an Index Business Day);

calculating a substitute level for the Index based on but not restricted to the last published price,

level or value of any disrupted Index Component and such price, level or value may be zero;

making other adjustments to the Index in order to maintain the objectives of the Index; and

discontinuing supporting the Index or terminate the calculation of the Index Level or the publication

of the Index Level.

As soon as reasonably practicable, following the occurrence of a Market Disruption Event or a Force

Majeure Event, the Index Administrator will provide notice of such events and details of its actions on the

Bloomberg Page and on the Reuters Page and/or on the UBS Website.

48. . Adjustment Events

If the Index Administrator determines that in respect of an Underlying Index:

the Underlying Index Administrator makes or announces that it will make a material change in the

weighting or composition of, formula for or method of calculating, such Underlying Index or

modifies or announces that it will modify in any other way such Underlying Index in a material

manner (other than a modification prescribed in that formula or method to maintain such Underlying

Index in the event of permitted changes in its constituents and/or other routine events);

the Underlying Index Administrator permanently cancels the Underlying Index;

the Underlying Index Administrator fails to announce or publish the level of such Underlying Index

on an Index Business Day on which the level of such Underlying Index was scheduled to be

announced or published; or

the level of such Underlying Index has been calculated by reference to data that do not reflect the

true market trading prices, values or levels of such Underlying Index and/or the related component

contract,

then the Index Administrator may, in its sole and absolute discretion:

determine the level of such Underlying Index at the relevant time in lieu of the published level for

such Underlying Index as at that relevant time, in accordance with formula for and method of

calculating the level of such Underlying Index last in effect prior to the occurrence of any of the

circumstances described above or in accordance with any other formula for or method of

calculating the level of such Underlying Index as the Index Administrator determines to be

appropriate for such purpose;

select a successor underlying index to replace such Underlying Index; and/or

discontinue supporting the Index or terminate the calculation of the Index Level or the publication

of the Index Level.

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If the level of the Underlying Index is subsequently corrected and the correction is announced or published

by the Underlying Index Administrator no later than 10 AM London time on the immediately following

Index Business Day, then the Index Administrator shall use the corrected level of the Underlying Index in its

calculation of the Index Level in respect of immediately prior Index Business Day.

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Section 6. Change in Methodology of the Index and

Termination

49. Change in Methodology

While the Index Administrator currently employs the methodology described in this Index Manual to

calculate the Index Level, the Index Administrator may determine that it is necessary or appropriate to

modify the Index methodology or any other provision of this Index Manual to:

(i) take into account market, regulatory, juridical, financial, fiscal or other similar circumstances (including,

but not limited to, any changes to or any suspension or termination of or any other events affecting any Index

Components) that arise;

(ii) prevent an obvious or demonstrable error; or

(iii) remedy, correct or supplement any incorrect or ambiguous provisions.

In such event the Index Administrator shall be entitled to modify or change the Index and any provision of

this Index Manual subject to the provisions of the following paragraph and in consultation with the Index

Owner. Material changes will also be reviewed and approved by the IOC. Any such determination by the

Index Administrator will be, in the absence of manifest error, final, conclusive and binding.

If the Index Administrator proposes to materially change the Index methodology, in that the proposed change

will have, or is reasonably likely to have, a material effect on the objectives of the Index, the underlying

market or economic interests referenced by the Index, the Index Level or the method of calculating the Index

Level (a “Material Change”), then the Index Administrator will make available details of the proposed

Material Change at least 10 Index Administrator Business Days in advance of the proposed Material Change

taking effect (such period, the “Index Modification Consultation Period”). Such details will be published

on the Bloomberg Page and/or the Reuters Page and/or the UBS Website. During the Index Modification

Consultation Period, Index Product Investors may provide comments to the Index Administrator in relation

to the impact of Material Change. Following the expiry of the Index Modification Consultation Period, the

Index Administrator will make available a summary of any comments received from Index Product Investors

in relation to Material Change, and a summary of the Index Administrator's responses to such comments, on

the Bloomberg Page and/or Reuters page and/or the UBS Website (unless the relevant Index Product

Investor has requested confidentiality).

The Index Administrator will take into account (but shall not be obliged to follow) any comments received

from Index Products Investors during the Index Modification Consultation Period in relation to the

implementation of any proposed Material Change.

50. Termination

In the event of a contemplated cessation of the publication of the Index Level, the Index Administrator will

attempt, to the extent practicable, to identify or create a credible, alternative index that seeks to match this

index’s key elements. The criteria to determine the suitability of an alternative index shall take into the

account the existing index’s characteristics (e.g., credit quality, maturities and liquidity of the alternative

market), differentials between the Index and the proposed alternative index, the extent to which an

alternative index meets the asset/liability needs of index users, whether the alternative index is investable, the

availability of transparent transaction-based data or other suitable pricing based upon an active market, the

impact on index users and the impact, if any, of existing legislation.

In addition, the Index Administrator will evaluate the practicality of maintaining the Index in order to

accommodate an orderly transition to an alternative index. For example, where feasible, the Index

Administrator will maintain the existing Index for a defined period of time to permit existing contracts and

financial instruments to mature or expire.

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In the event a suitable alternative cannot be identified, the Index Administrator will discontinue the

administration of the Index after providing as much reasonable prior notice to affected users and stakeholders

as is reasonable under the circumstances.

Determinations to cease the administration of the Index shall be subject to the review and approval of the

IOC.

51. Errors and Adjustments

The Index Administrator reserves the right to make adjustments to correct errors contained in previously

published information relating to the Index, including but not limited to the Index Level, and to publish the

corrected information, but it is under no obligation to do so and shall have no liability in respect of any errors

or omissions contained in any subsequent publication. The Index Administrator will determine in good faith,

, whether to adjust or correct any previously published Index Level in order to maintain the objectives of the

Index. The Index Administrator will provide notice of such adjustments on the Bloomberg Page and/or the

Reuters Page and/or on the UBS Website. The Index Administrator will provide any information about any

such adjustments it makes upon your written request.

The Index Owner may, at any time, change the name of the Index. Notice of such a change will be provided

on the Bloomberg Page and/or on the UBS Website.

If the Index Administrator determines (acting reasonably) that market, regulatory, juridical, financial, fiscal,

operational or other similar circumstances have arisen that would necessitate a change to the place and time

of publication of the Index Level and/or the frequency of publication of the Index Level, then the Index

Administrator may, upon giving at least 10 Index Administrator Business Days’ notice, change the place and

time of the publication of the Index Level and/or the frequency of publication of the Index Level.

4. Annual review

The Index Manual undergoes a formal review process at least once each year to ensure its design still

promotes a representative and accurate measure of the markets the Index measures, as applicable. Material

changes are reviewed and approved by the IOC.

5. Construction of this Index Manual

The Index Manual is published by the Index Administrator. In the event of any inconsistency between the

English language version of this Index Manual and that translated into any other language, this English

version shall prevail. If there is any ambiguity in, or uncertainty or dispute about the meaning of, any of the

provisions of this Index Manual, the Index Administrator shall, in its sole and absolute discretion, construe

the relevant provision(s) in order to determine the correct interpretation, and the decision of the Index

Administrator shall be final, conclusive and binding.

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Section 7. Index Governance

1. Index Oversight Committee

The governance of the Index is overseen by the IOC in accordance with the Principles for Financial

Benchmarks as published by the International Organization of Securities Commissions (IOSCO).

The committee consists of senior representatives from various Bloomberg business units. The

purpose of the IOC is to discuss, review and challenge all aspects of the Index determination

process.

2. Conflicts of Interest

The Index confers on the Index Administrator discretion in making certain determinations, calculations and

corrections from time to time. In making those determinations, calculations and corrections, the Index

Administrator has no obligation to take the needs of the Index Owner into consideration. Also, neither the

Index Administrator nor the Index Owner has any obligation to take the needs of any Index Product Investor

into consideration at any time.

The Index Administrators do not create, trade or market Index Products.

UBS, its affiliates and its subsidiaries may each face conflicts between the roles it performs in respect of the

Index and its own interests. In particular, in its other businesses, UBS may have, or enter into transactions to

create, a physical, economic or other interest (including an adverse and/or short interest, as the case may be)

in the Index, any Index Product, any Index Component, any investments referenced by or linked to any Index

Component or any other related investments and may exercise remedies or take other action with respect to

its interests as it deems appropriate.

The following actions could adversely affect the Index Level:

UBS may actively trade Index Products, any Index Component, any investments referenced by or

linked to any Index Component and any other related investments. These activities could adversely

affect the Index Level, which could in turn affect the return on, and the value of, any Index Products.

UBS may have access to information relating to the Index, any Index Product, any Index

Component, any investments referenced by or linked to any Index Component or any other related

investments. UBS is not obliged to use that information for the benefit of any person acquiring or

entering into any Index Products.

UBS, its affiliates and other parties may issue, underwrite, trade or enter into, as applicable,

securities, financial or derivative instruments or other investments referenced to the Index or any

Index Component. An increased level of investment and trading in these securities, financial or

derivative instruments or investments may negatively affect the performance of the Index and could

adversely affect the Index Level and, therefore, the amount payable at maturity on any Index

Products and the value of any such products before that date.

Although UBS is not obliged to do so, it may elect to hedge its exposure to the Index, any Index

Product, any Index Component, any investments referenced by or linked to any Index Component or

any other related investments with an affiliate or a third party. Such affiliate or third party, in turn, is

likely to directly or indirectly hedge any or all of its exposure, including through transactions taking

place on the futures and/or options markets. Where UBS or such affiliate or third party chooses to

hedge its exposure, it may adjust or unwind such hedges by purchasing or selling Index Products,

Index Components, products linked to any Index Component, any investments referenced by or

linked to any Index Component or any other products on or before the date that the Index is valued

for the purposes of any Index Product. UBS or such affiliate or third party may also enter into, adjust

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or unwind hedging transactions relating to other instruments linked to the Index or any Index

Component. Any such hedging activity may adversely affect the Index Level, which could in turn

affect the return on, and the value of, any Index Products.

Certain activities conducted by UBS may conflict with the interests of those acquiring or entering

into Index Products. For example, as described above, UBS may elect to hedge its obligations, if

any, with an affiliate or a third party. It is possible that UBS could receive substantial returns with

respect to these activities while the value of an Index Product may decline.

UBS may also engage in trading for its proprietary accounts, for other accounts under its

management or to facilitate transactions, including block transactions, on behalf of customers

relating to one or more Index Products, products linked to any Index Component, any investments

referenced by or linked to any Index Component and/or any other related investments. In the course

of these transactions, UBS's customers may receive information about the Index before it is made

available to other Index Product Investors. Any of these activities could also adversely affect the

Index Level directly or indirectly by affecting the value of any Index Component, any investments

referenced by or linked to any Index Component or any other related investments and, therefore, the

amount paid at maturity on any Index Products and the value of any such products before that date.

UBS, its affiliates and other parties may issue, underwrite, trade or enter into, as applicable,

securities or financial or derivative instruments with returns linked or related to changes in the

performance of the Index, any Index Product, any Index Component, any investments referenced by

or linked to any Index Component or any other related investments, which might compete with the

Index Products. By introducing competing products into the marketplace in this manner, UBS could

adversely affect the amount paid at maturity, redemption or termination of any Index Products and

the value of any such products before that date. To the extent that UBS serves as issuer, underwriter,

trader or counterparty of those securities or instruments, its interests with respect to those securities

or instruments may be adverse to the interests of a holder of any Index Products.

3. Control Framework

The Index Administrator has implemented and maintains the “UBS Bloomberg CMCI Control Framework”,

a summary of which is available upon written request to the Index Administrator at

[email protected]. Neither the Control Framework nor the summary of its features, forms part of

any prospectus into which this Index Manual may be incorporated.

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Section 8. Disclaimer, Licensing and Trademark

1. Disclaimers

No legal relationship (whether in contract, tort, or otherwise) exists between any Index Product Investor and

the Index Administrator or the Index Owner and neither the Index Administrator nor the Index Owner owes

any duties (whether in contract, tort, or otherwise) to any Index Product Investor. No claims, actions or legal

proceedings may therefore be brought against the Index Administrator or the Index Owner in any manner

whatsoever by an Index Product Investor or any other person.

Neither the Index Administrator nor the Index Owner makes any representation, warranty or guarantee

whatsoever, express or implied, either as to the results to be obtained as to the use of the Index or the figures

or levels at which the Index stands at any particular day or otherwise. In addition, neither the Index

Administrator nor the Index Owner gives any assurance regarding any modification or change in any

methodology used in calculating the Index and is under no obligation to continue the calculation, publication

and dissemination of the Index.

Neither the Index Administrator nor the Index Owner warrants or represents or guarantees to any person the

accuracy or completeness of the Index and its computation or any information related thereto and makes no

warranty or representation or guarantee of any kind whatsoever relating to the Index is given or may be

implied. The process and basis of computation and compilation of the Index and the related formulae,

constituent benchmarks and factors may at any time be changed or altered by the Index Administrator.

No responsibility or liability is accepted by either the Index Administrator or the Index Owner (whether for

negligence or otherwise) in respect of the use of and/or reference to the Index by us or any other person in

connection with securities, or for any inaccuracies, omissions, mistakes or errors in the computation of the

Index (and neither the Index Administrator nor the Index Owner shall be obliged to advise any person or any

Index Product Investor of any error therein) or for any economic or other loss which may be directly or

indirectly sustained by any Index Product Investor or any other persons dealing with securities as a result.

Any Index Product Investor or other person dealing with securities does so, therefore, in full knowledge of

this disclaimer and can place no reliance whatsoever on the Index Administrator or the Index Owner.

This document contains data derived as a result of back-testing of data and is provided by the Index

Administrator or the Index Owner in good faith using its standard methodology for information of this kind.

That methodology relies on proprietary models, empirical data, assumptions and such other information that

the Index Administrator or the Index Owner believes to be accurate and reasonable. Neither the Index

Administrator nor the Index Owner makes, however, any representation, warranty or guarantee as to the

accuracy, completeness or appropriateness of such methodology and neither the Index Administrator nor the

Index Owner accepts any liability for the use of such information. Specifically, there is no assurance that

other banks or brokers would derive the same results for the back-test period.

Nothing in the disclaimers in this Section 8 – Disclaimer, Licensing and Trademark shall exclude or limit

liability to the extent such exclusion or limitation is not permitted by law or regulations to which the Index

Administrator or the Index Owner is subject.

CMCI Disclaimer

No Liability

To the fullest extent permitted by law the Index Sponsors (defined below) specifically disclaim and will

not accept any responsibility or liability for any loss or damage whatsoever, including, without

limitation, special or consequential damages (including lost profits), arising out of or in connection

with: (i) the use or reliance by you or any other person upon the information in this Index Manual, the

Index or the level or other data of the Index at any time; or (ii) the calculation, publication and/or

dissemination of the level of the Index (or the failure to do so) regardless of whether any such loss or

damage results from errors, omissions, changes in market factors or other circumstances and whether

or not within the control of the Index Sponsors and whether or not caused by the negligence of the

Index Sponsor or otherwise.

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This material is for distribution only under such circumstances as may be permitted by applicable law. It has

no regard to the specific investment objectives, financial situation or particular needs of any recipient. It is

for information purposes only and should not be construed as an offer, recommendation or solicitation to

conclude a transaction and should not be treated as giving investment advice.

The Index Sponsors make no representation or warranty, express or implied, regarding the appropriateness of

investing in products referenced to the UBS Bloomberg Constant Maturity Commodity Index (“CMCI” or

the “Index”), commodity products in general or of the ability of the CMCI to track commodity market

performance. In determining the constituents of the CMCI and any amendment thereto, the Index Sponsors

have no obligation to consider the needs of any counterparties that have products referenced to the CMCI.

The Index Sponsors have all proprietary rights with respect to the CMCI. Any third party product based on

or in relation to the CMCI (“Product”) may only be issued upon the prior written approval of UBS and upon

the execution of a license agreement between UBS and the party intending to launch a Product. In no way

does UBS endorse or have any other involvement in the issue and offering of a Product. The Index Sponsors

make no representation or warranty, express or implied, to the holders of the Products or any member of the

public regarding the advisability of investing in the Product or commodities generally or in futures

particularly, or as to results to be obtained from the use of the Index or from the Product. Past performance

of the CMCI is not necessarily indicative of future results. © UBS 2015. The key symbol and UBS are

among the registered and unregistered trademarks of UBS. Bloomberg is a trademark of Bloomberg Finance

L.P. and its affiliates (“Bloomberg”). UBS Bloomberg Constant Maturity Commodity Index, UBS

Bloomberg CMCI and CMCI are service marks of UBS and/or Bloomberg. All rights reserved. Bloomberg is

the administrator of the Index, which is owned by UBS. Together, Bloomberg and UBS are the “Index

Sponsors.”

THE INDEX SPONSORS DO NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE

COMPLETENESS OF THE CMCI OR ANY DATA INCLUDED THEREIN AND SHALL NOT HAVE

ANY LIABILITY FOR ANY ERRORS OR OMISSION OR INTERRUPTIONS IN THE CALCULATION

AND/OR DISSEMINATION OF THE CMCI. THE INDEX SPONSORS MAKE NO WARRANTY,

EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY OR FROM THE USE OF THE

CMCI OR ANY DATA INCLUDED THEREIN OR FOR ANY OTHER USE (WHETHER DIRECTLY OR

VIA ANY PRODUCT REFERENCED THERETO). THE INDEX SPONSORS MAKE NO EXPRESS OR

IMPLIED WARRANTIES, AND TO THE EXTENT PERMITTED BY LAW HEREBY EXPRESSLY

DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR

PURPOSE OR USE WITH RESPECT TO THE CMCI OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, TO THE EXTENT PERMITTED BY LAW THE

INDEX SPONSORS DISCLAIM ANY LIABILITY FOR ANY PUNITIVE, INDIRECT, SPECIAL, OR

CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE

POSSIBILITY OF SUCH. You should be aware that the New York Mercantile Exchange, Inc. (including the

COMEX division), Chicago Board of Trade, ICE Futures, European Energy Exchange, London Metal

Exchange, Kansas City Board of Trade, New York Board of Trade, Winnipeg Commodities Exchange,

Euronext.Liffe, the Chicago Mercantile Exchange and a number of future exchanges (collectively the

“Exchanges”) provide data on commodity futures contracts which, in part, are used to compile and calculate

the CMCI. However, the Exchanges provide such data “as is” and without representation or warranty on

their part.

Further, the Exchanges: (i) do not in any way participate in the offering, sale, administration of, or payments

for, the CMCI or any products related thereto; (ii) do not in any way ensure the accuracy of any of the

statements made in any product materials or this document; (iii) are not liable for any error or omission in

any settlement or other price, index, or valuation used in connection with the CMCI, have not participated in

the determination of the timing of, prices at, or quantities of the products to be issued and have no obligation

or liability in connection with the administration, marketing, or trading of the CMCI or any products thereon;

(iv) are not in any way an issuer, manager, operator, guarantor or offeror of CMCI or any products related

thereto, and are not a partner, affiliate or joint venturer of any of the foregoing; (v) have not approved,

sponsored or endorsed the CMCI or its terms and are not responsible for any calculations involving the

Index; (vi) make no representation or warranty, express or implied, to the owners of the CMCI or any

member of the public regarding the advisability of investing in securities generally or in the CMCI

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particularly or any products thereon; and (vii) have no involvement with and accept no responsibility for the

CMCI, its suitability as an investment or its future performance.

None of the information contained herein constitutes a solicitation, offer, opinion, or recommendation by the

Index Sponsors to buy or sell any security, or to provide legal, tax, accounting, or investment advice or

services regarding the profitability or suitability of any security or investment. The Index Sponsors disclaim

any liability to any party for any inaccuracy in Index or any Product based on the Index, for any mistakes,

errors, omissions or interruptions in the calculation and/or dissemination of the Index, or for the manner in

which it is applied in connection with the issue and offering of a Product. Under no circumstances, including

but not limited to negligence, shall the Index Sponsors, their parents, and their respective affiliates, suppliers,

agents, directors, officers, employees, representatives, general partner, subsidiaries, successors, and assigns

be liable for direct, indirect, incidental, consequential, special, punitive, or exemplary damages even if the

Index Sponsors have been advised specifically of the possibility of such damages, arising from the Index or

Product, such as, but not limited to, loss of revenue or anticipated profits or lost business.

Bloomberg is the administrator of the Index, which is owned by UBS. Together, Bloomberg and UBS are the

“Index Sponsors.” Unless otherwise indicated, references in this Technical Document to “UBS” and/or

“Bloomberg”, “we”, “our” and “us” refer to UBS Investment Bank (“UBS IB”) (and not to the consolidated

subsidiaries of UBS AG or to any affiliates of UBS IB) and/or Bloomberg Finance L.P., as Index Sponsors.

2. Licencing and Trademark

The mark and name of the Index is proprietary to UBS.

“UBS Bloomberg CMCI Essence T5 ER Index” and “UBS Bloomberg CMCI Essence T5 TR Index” are

trademarks of UBS AG and have been licensed for use by UBS AG, London Branch in connection with the

calculation of the Index Level.

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Section 9. Definitions

“Bloomberg Page” means:

(i) in relation to the ER Index, page ULTAESE5 Index<GO>” on the Bloomberg Professional service

(ii) in relation to the TR Index, page ULTAEST5 Index<GO>” on the Bloomberg Professional service,

“Disrupted Day” has the meaning given to such term in paragraph 3 of Section 5 – Index Market Disruption

Events, Force Majeure Events and Adjustment Events.

“Essence Index” means the UBS Bloomberg CMCI Essence Index (Bloomberg: CMLSLEE1 Index).

“ER Index” means the UBS Bloomberg CMCI Essence T5 ER Index.

“Exchanges” means, in respect of each Underlying Commodity Contract, the exchanges, facilities or

platforms on or through which trading of such Underlying Commodity Contract principally occurs, as

determined by the Index Administrator.

“Force Majeure Event” has the meaning given to such term in paragraph 2 of Section 5 – Index Market

Disruption Events, Force Majeure Events and Adjustment Events.

“Index” has the meaning given to such term in Section 1 – Introduction.

“Index Administrator” means Bloomberg Finance L.P.

“Index Administrator Business Day” means any day on which commercial banks are open for general

business (including dealings in foreign exchange and foreign currency deposits) in London.

“Index Base Date” has the meaning given to such term in Section 2 – Overview of the Index.

“Index Base Level” has the meaning given to such term in Section 2 – Overview of the Index.

“Index Business Day” means any day (other than a Saturday or Sunday) that is (i) a Scheduled Trading Day

for the Index Components and (ii) not a Disrupted Day.

“Index Commencement Date” has the meaning given to such term in Section 2 – Overview of the Index.

“Index Component” (and together “Index Components”) has the meaning given to such term in Section 2

– Overview of the Index.

“Index Component Price” or “UP” means, in respect of each Index Component, the price of the Index

Component determined at the Valuation Time on an Index Business Day determined in the Index Currency.

“Index Currency” means the currency in which the Index is denominated and shall be USD.

“Index Level” means the level of the Index determined in accordance with Section 4 – Calculation of the

Index and Rebalancing at the Valuation Time on each Index Business Day t.

“Index Manual” means this document, as amended, replaced or substituted, from time to time.

“Index Market Disruption Event” has the meaning given to such term in paragraph 1 of Section 5 – Index

Market Disruption Events, Force Majeure Events and Adjustment Events.

“Index Owner” means UBS AG, London Branch, a division of UBS AG (or any successor thereto).

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“Index Product Investors” has the meaning given to such term in Section 3 – Risk Factors.

“Index Products” meansfinancial instruments linked to the Index.

“IOC” means the Index Oversight Committee.

“London Business Day” means any day (other than a Saturday or Sunday) on which commercial banks

settle payments and are open for general business in London.

“Publication Date” means the date of publication of this Index Manual and shall be 13 August 2015.

“Reuters Page” means the page: .ULTAESE5 for the ER Index and .ULTAEST5 for the TR Inddx

“Rebalancing Date” has the meaning given to such term in Section 4 - Calculation of the Index and

Rebalancing.

“Scheduled Trading Day” means, in respect of each Index Component, a day on which both (i) the

Exchanges are scheduled to be open for trading during their regular trading sessions, and (ii) the Essence

Index is published.

“Successor Index Administrator” has the meaning given to such term in Section 3 – Risk Factors.

“Successor Index Owner” has the meaning given to such term in Section 3 – Risk Factors.

“TBill Rate” has the meaning given to such term in Section 2 – Overview of the Index.

“TR Index” means the UBS Bloomberg CMCI Essence T5 TR Index.

“Trading Cost Reset Event” has the meaning given to such term in Section 4 - Calculation of the Index and

Rebalancing.

“UBS” means UBS AG, acting through its London Branch (or any successors thereto).

“UBS Control Framework Document” has the meaning given to such term in Section 1 – Introduction.

“UBS Website” means the following website: https://www.ubs.com/global/en/investment-bank/bloomberg-

cmci/commodity-strategies.html. It is maintained for informational purposes only. Communications

regarding the index methodology or determinations should be directed to the Index Administrators,

Bloomberg Finance L.P.

“Underlying Index” UBS Bloomberg CMCI Essence Index (Bloomberg: CMLSLEE1 Index), rounded to

three decimal places.

“Underlying Commodity Contract” means each contract documenting a futures, option, forward, swap or

other derivative transaction for a component commodity referenced by any Underlying Index or any

Underlying Index' underlying index, as determined by the Index Administrator.

“Underlying Index Administrator” means, in respect of an Underlying Index, the entity identified in the

rules of such Underlying Index as the index administrator (or such other analogous role howsoever

described).

“Valuation Time” means 10.00 pm London time or such other time as the Index Administrator may

determine.