RISK FACTORS
The ETNs are unsecured promises of Barclays Bank PLC and are not secured debt. The ETNs are riskier than ordinary unsecured debt securities. The return
on a series of ETNs is linked to the performance of the Index underlying those ETNs. Investing in a series of ETNs is not equivalent to investing directly in the underlying index components or Index itself. See the section entitled The
IndicesGeneral Information, as well as the Index-specific sections, in this pricing supplement for more information.
This
section describes the most significant risks relating to an investment in the ETNs.
We urge you to read the following information about these risks, together with the other information in this pricing supplement and the accompanying prospectus
and prospectus supplement, before investing in the ETNs.
Risks Associated with Each Series of ETNs
Even If the Value of the Underlying Index at Maturity or Upon Redemption Exceeds its Initial Level, You May Receive Less Than the
Principal Amount of Your ETNs
Because the investor fee reduces the amount of your return at maturity or upon redemption, the value of the
Index underlying your ETNs must increase significantly in order for you to receive at least the principal amount of your investment at maturity or upon redemption of your ETNs. If the value of the Index underlying your ETNs decreases or does not
increase sufficiently to offset the investor fee, you will receive less than the principal amount of your investment at maturity or upon redemption of your ETNs.
You Will Not Benefit from Any Increase in the Value of the Underlying Index If Such Increase Is Not Reflected in the Value of the Index on the Applicable Valuation Date
If the Index underlying your ETNs does not increase by an amount sufficient to offset the investor fee between the inception date and the applicable
valuation date (including the final valuation date), we will pay you less than the principal amount of your ETNs at maturity or upon redemption. This will be true even if the value of the Index underlying your ETNs as of some date or dates prior to
the applicable valuation date would have been sufficiently high to offset the investor fee.
There Are Restrictions on the Minimum Number
of ETNs You May Redeem and on the Dates on Which You May Redeem Them
You must redeem at least 50,000 ETNs of the same series at one time
in order to exercise your right to redeem your ETNs on any redemption date. You may only redeem your ETNs on a redemption date if we receive a notice of redemption from you by no later than 4:00 p.m. and a confirmation of redemption by no later than
5:00 p.m. on the business day prior to the applicable valuation date. If we do not receive your notice of redemption by 4:00 p.m., or your confirmation of redemption by 5:00 p.m., on the business day prior to the applicable valuation date, your
notice will not be effective and we will not redeem your ETNs on the applicable redemption date. Your notice of redemption and confirmation of redemption will not be effective until we confirm receipt. See Specific Terms of the
ETNsRedemption Procedures for more information.
The Market Value of Each Series of ETNs May Be Influenced by Many
Unpredictable Factors
The market value of your ETNs may fluctuate between the date you purchase them and the applicable valuation date.
You may also sustain a significant loss if you sell the ETNs in the secondary market. Several factors, many of which are beyond our control, will influence the market value of the ETNs. We expect that generally the value of the index components and
of the Index underlying your ETNs will affect the market value of those ETNs more than any other factor. Other factors that may influence the market value of a series of ETNs include:
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prevailing spot prices for the commodities underlying the index component or components;
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the time remaining to the maturity of the ETNs;
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supply and demand for the ETNs, including inventory positions with Barclays Capital Inc. or any market maker;
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economic, financial, political, regulatory, geographical, biological, or judicial events that affect the level of the underlying Index or the market
price of the index components included in that Index;
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the general interest rate environment; and
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the creditworthiness of Barclays Bank PLC.
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These factors interrelate in complex ways, and the effect of one factor on the market value of your ETNs may offset or enhance the effect of another factor.
Commodity Prices May Change Unpredictably, Affecting the Value of the Indices and the Value of Your ETNs in Unforeseeable Ways
Trading in futures contracts on physical commodities, including trading in the index components, is speculative and can be extremely volatile. Market
prices of the index components may fluctuate rapidly 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 programs; 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 underlying physical commodities may also affect, in a volatile and inconsistent manner, the prices of futures contracts in respect of the
relevant commodity. These factors may affect the value of the Index underlying your ETNs and therefore the value of your ETNs in varying ways, and different factors may cause the prices of index components, and the volatilities of their prices, to
move in inconsistent directions at inconsistent rates.
Supply of and Demand for Physical Commodities Tends to be Particularly
Concentrated, So Prices Are Likely to Be Volatile
The prices of physical commodities, including the commodities underlying index
components, can fluctuate widely due to supply and demand disruptions in major producing or consuming regions or industries.
Certain
commodities are used primarily in one industry, and fluctuations in levels of activity in (or the availability of alternative resources to) one industry may have a disproportionate effect on global demand for a particular commodity. Moreover, recent
growth in industrial production and gross domestic product has made China and other developing nations oversized users of commodities and has increased the extent to which certain commodities rely on the those markets. Political, economic and other
developments that affect those countries may affect the value of the commodities underlying the index components included in an Index and, thus, the value of the ETNs linked to that Index.
In addition, because certain of the commodities underlying index components may be produced in a limited number of countries and may be controlled by a small number of producers, political, economic and
supply-related events in such countries or with such produces could have a disproportionate impact on the prices of such commodities and therefore the value of your ETNs.
Suspension or Disruptions of Market Trading in Commodities and Related Futures May Adversely Affect the Value of Your ETNs
The commodity futures markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and
government regulation and intervention. In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in some futures contract prices that may occur during a single business day. These limits
are generally referred to as daily price fluctuation limits and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a limit price. Once the limit price has been reached in
a particular contract, no trades may be made at a price beyond the limit, or trading may be limited for a set period of time. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at
potentially disadvantageous times or prices. These circumstances could adversely affect the value of the Index underlying your ETNs and, therefore, the value of your ETNs.
PS-13
Changes in Law or Regulation Relating to Commodities Futures Contracts May Adversely Affect the Market
Value of the ETNs and the Amounts Payable on Your ETNs.
The commodities futures contracts that underlie the Index are subject to legal and
regulatory regimes that are in the process of changing in the United States and, in some cases, in other countries. For example, the United States Congress has enacted legislation that is, among other things, intended to limit speculation and
increase transparency in the commodity markets and regulate the over-the-counter derivatives markets. The legislation requires the Commodity Futures Trading Commission (the CFTC) to adopt rules on a variety of issues and many provisions
of the legislation will not become effective until such rules are adopted.
Among other things, the legislation requires that most
over-the-counter transactions be executed on organized exchanges or facilities and be cleared through regulated clearing houses, and requires registration of, and imposes regulations on, swap dealers and major swap participants. The legislation also
authorizes the CFTC to adopt rules with respect to the establishment of limits on futures positions that are not entered into or maintained for bona fide hedging purposes, as defined in the legislation. The legislation also requires the
CFTC to apply its position limits on physical commodities across the futures positions held by a market participant on any exchange or trading facility, together with its positions in swaps that are economically equivalent to the
specified exchange-traded futures That are subject to the position limits. The enactment of the legislation, and the CFTCs adoption of rules on position limits, which have been adopted but have not yet become effective, could limit the extent
to which entities can enter into transactions in exchange-traded futures contracts as well as related swaps and could make participation in the markets more burdensome and expensive. Any such limitations could restrict or prevent our ability to
hedge our obligations under the ETNs. If they are imposed, those restrictions on effecting transactions in the futures markets could substantially reduce liquidity in the commodity futures contracts that underlie the Index, which could adversely
affect the prices of such contracts and, in turn, the market value of the ETNs and the amounts payable on the ETNs at maturity or upon redemption. In addition, other parts of the legislation, by increasing regulation of, and imposing additional
costs on, swap transactions, could reduce trading in the swap market and therefore in the futures markets, which would further restrict liquidity and adversely affect prices.
Concentration Risks Associated with the Indices May Adversely Affect the Value of the ETNs
Because each series of ETNs is linked to an Index, which is comprised of one or more contracts on physical commodities, it will be less diversified than
other funds, investment portfolios or indices investing in or tracking a broader range of products and, therefore, could experience greater volatility. You should be aware, in particular, that other commodities indices may be more diversified in
terms of both the number of and variety of futures contracts on commodities than the Index underlying your ETNs (especially in the case of the ETNs linked to a Sub-Index). Your investment may carry risks similar to a concentrated securities
investment in a limited number of industries or sectors (in the case of the Commodity Index ETNs), in one industry or sector (in the case of the series of ETNs linked to multiple-component Sub-Indices) or in one issuer (in the case of the series of
ETNs linked to single-component Sub-Indices).
Future Prices of the Index Components That Are Different Relative to Their Current Prices
May Result in a Reduced Amount Payable at Maturity or Upon Redemption
Each Index is composed of commodity futures contracts rather than
physical commodities. 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 underlying physical commodity. As the exchange-traded
futures contracts that comprise the Indices approach expiration, they are replaced by similar contracts that have a later expiration. Thus, for example, a futures contract
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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 November. This process is referred
to as rolling. If the market for these contracts is (putting aside other considerations) in backwardation, which means that the prices are lower in the distant delivery months than in the nearer delivery months, the sale of
the October contract would take place at a price that is higher than the price of the November contract, thereby creating a roll yield. The actual realization of a potential roll yield will be dependent upon the level of the related spot
price relative to the unwind price of the commodity futures contract at the time of sale of the contract. While many of the contracts included in the Indices have historically exhibited consistent periods of backwardation, backwardation will most
likely not exist at all times. Moreover, certain of the commodities reflected in the Indices have historically traded in contango markets. Contango markets are those in which the prices of contracts are higher in the distant delivery
months than in the nearer delivery months. The absence of backwardation in the commodity markets could result in negative roll yields, which could adversely affect the value of the Index underlying your ETNs and, accordingly, decrease
the payment you receive at maturity or upon redemption.
The Indices May in the Future Include Contracts That Are Not Traded on
Regulated Futures Exchanges
The Indices are currently based solely on futures contracts traded on regulated futures exchanges (referred to
in the United States as designated contract markets). However, any Index may in the future include over-the-counter 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 such 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 of 1936, 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 contracts on such facilities, and the inclusion of such contracts in an Index,
may be subject to certain risks not presented by U.S. or U.K. exchange-traded futures contracts, including risks related to the liquidity and price histories of the relevant contracts.
Historical Values of the Indices or Any Index Component Should Not Be Taken as an Indication of the Future Performance of the Indices During the Term of the ETNs
The actual performance of the Index underlying your ETNs or any index component over the term of the ETNs, as well as the amount payable at maturity or
upon redemption, may bear little relation to the historical values of that Index or the index components, which in most cases have been highly volatile.
Changes in the Treasury Bill Rate of Interest May Affect the Value of the Indices and Your ETNs
Because the value of each the Indices is linked, in part, to the Treasury Bill rate of interest that could be earned on cash collateral invested in specified Treasury Bills, changes in the Treasury Bill
rate of interest may affect the amount payable on your ETNs at maturity or upon redemption and, therefore, the market value of your ETNs. Assuming the trading prices of the index components included in the Index to which your ETNs is linked remain
constant, an increase in the Treasury Bill rate of interest will increase the value of the Index and, therefore, the value of your ETNs. A decrease in the Treasury Bill rate of interest will adversely impact the value of the Index and, therefore,
the value of your ETNs.
Changes in Our Credit Ratings May Affect the Market Value of Your ETNs
Our credit ratings are an assessment of our ability to pay our obligations, including those on the ETNs. Consequently, actual or anticipated changes in
our credit ratings may affect the market value of your ETNs. However, because the return on your ETNs is dependent upon certain factors in addition to our ability to pay our obligations on your ETNs, an improvement in our credit ratings will not
reduce the other investment risks related to your ETNs.
PS-15
You Will Not Receive Interest Payments on the ETNs or Have Rights in Any of the Index Components
You will not receive any periodic interest payments on your ETNs. As an owner of a series of ETNs, you will not have rights that investors
in the index components included in the Index underlying those ETNs may have. Your ETNs will be paid in cash, and you will have no right to receive delivery of any index components or commodities underlying index components.
There May Not Be an Active Trading Market in the ETNs; Sales in the Secondary Market May Result in Significant Losses
Although we have listed the ETNs on NYSE Arca and have also listed the Commodity Index ETNs on SGX, a trading market for any series of ETNs may not exist
at any time.
Certain affiliates of Barclays Bank PLC may engage in limited purchase and resale transactions in the ETNs, although they are
not required to do so. If they decide to engage in such transactions, they may stop at any time. We are not required to maintain any listing of the ETNs on NYSE Arca, SGX or any other exchange.
Trading and Other Transactions by Barclays Bank PLC or Its Affiliates in Instruments Linked to Indices or Index Components May Impair the Market Value
of the ETNs
As described in the section entitled Use of Proceeds and Hedging in this pricing supplement, we or one or more of
our affiliates may hedge our obligations under any series of ETNs by purchasing index components (including the underlying physical commodities), futures or options on index components or Indices, or other derivative instruments with returns linked
to the performance of index components or Indices, and we may adjust these hedges by, among other things, purchasing or selling any of the foregoing. Although they are not expected to, any of these hedging activities may adversely affect the market
price of index components and the value of the Indices and, therefore, the market value of the ETNs. It is possible that we or one or more of our affiliates could receive substantial returns from these hedging activities while the market value of
the ETNs declines.
We or one or more of our affiliates may also engage in trading in index components, futures or options on index
components, the physical commodities underlying the index components or the Indices, and other investments relating to index components or the Indices on a regular basis as part of our general broker-dealer and other businesses, for proprietary
accounts, for other accounts under management or to facilitate transactions for customers. Any of these activities could adversely affect the market price of the index components or the value of the Indices and, therefore, the market value of the
ETNs. We or one or more of our affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to changes in the performance of any of the foregoing. By introducing competing products
into the marketplace in this manner, we or one or more of our affiliates could adversely affect the market value of the ETNs. With respect to any of the activities described above, neither Barclays Bank PLC nor its affiliates has any obligation to
take the needs of any buyer, seller or holder of the ETNs into consideration at any time.
The Liquidity of the Market for the ETNs May
Vary Materially Over Time
As stated on the cover of this pricing supplement, we sold a portion of the ETNs on their respective inception
dates, and the remainder of the ETNs will be offered and sold from time to time through Barclays Capital Inc., our affiliate, as agent. Also, the number of ETNs of any series outstanding or held by persons other than our affiliates could be reduced
at any time due to early redemptions of the ETNs. Accordingly, the liquidity of the market for a series of ETNs could vary materially over the term of the ETNs. While you may elect to redeem your ETNs prior to maturity, early redemption is subject
to the conditions and procedures described elsewhere in this pricing supplement, including the condition that you must redeem at least 50,000 ETNs of the same series at one time in order to exercise your right to redeem your ETNs on any redemption
date.
PS-16
Our Business Activities May Create Conflicts of Interest
We and our affiliates expect to play a variety of roles in connection with the issuance of the ETNs. As noted above, we and our affiliates expect to
engage in trading activities related to the index components (including the underlying physical commodities), futures or options on index components or Indices, or other derivative instruments with returns linked to the performance of index
components or Indices that are not for the account of holders of the ETNs or on their behalf. These trading activities may present a conflict between the holders interest in the ETNs and the interests that we and our affiliates will have in
our and our affiliates proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for our and our affiliates customers and in accounts under our and our affiliates management. These
trading activities, if they influence the value of any Indices, could be adverse to the interests of the holders of the ETNs. Moreover, we and our affiliates have published and in the future expect to publish research reports with respect to some or
all of the physical commodities underlying the index components and physical commodities generally. This research is modified from time to time without notice and may express opinions or provide recommendations that are inconsistent with purchasing
or holding the ETNs. The research should not be viewed as a recommendation or endorsement of the ETNs in any way and investors must make their own independent investigation of the merits of this investment. Any of these activities by us, Barclays
Capital Inc. or our other affiliates may affect the market price of the index components and the value of the Indices and, therefore, the market value of the ETNs. With respect to any of the activities described above, neither Barclays Bank PLC nor
its affiliates has any obligation to take the needs of any buyer, seller or holder of the ETNs into consideration at any time.
Barclays
Bank PLC and Its Affiliates Have No Affiliation with UBS, Dow Jones or CME Indexes and Are Not Responsible for Their Public Disclosure of Information, Which May Change Over Time
We and our affiliates are not affiliated with UBS, Dow Jones or CME Indexes in any way and have no ability to control or predict their actions, including any errors in, or discontinuation of disclosure
regarding their methods or policies relating to the calculation of, the Indices. UBS and Dow Jones Opco are not under any obligation to continue to calculate the Indices or required to calculate any successor indices. If UBS and Dow Jones Opco
discontinue or suspend the calculation of an Index, it may become difficult to determine the market value of the ETNs linked to that Index or the amount payable at maturity or upon redemption. The calculation agent may designate a successor index
selected in its sole discretion. If the calculation agent determines in its sole discretion that no successor index comparable to the discontinued or suspended Index exists, the amount you receive at maturity or upon redemption of the ETNs linked to
that Index will be determined by the calculation agent in its sole discretion. See Specific Terms of the ETNsMarket Disruption Event and Discontinuance or Modification of an Index in this pricing supplement.
All disclosure in this pricing supplement regarding the Indices, including their make-up, method of calculation and changes in their
components, is derived from publicly available information. We have not independently verified this information. You, as an investor in the ETNs, should make your own investigation into the Indices, UBS, Dow Jones and CME Indexes. UBS, Dow Jones and
CME Indexes have no obligation to consider your interests as a holder of the ETNs.
The Policies of UBS and Dow Jones Opco and Changes That
Affect the Composition and Valuation of the Indices or the Index Components Could Affect the Amount Payable on the ETNs and Their Market Value
The policies of UBS and Dow Jones Opco concerning the calculation of the level of the Indices, additions, deletions or substitutions of index components and the manner in which changes affecting the index
components are reflected in any Index could affect the value of the Indices and, therefore, the amount payable on the ETNs at maturity or upon redemption and the market value of the ETNs prior to maturity.
Additional commodity futures contracts may satisfy the eligibility criteria for inclusion in an Index, and the commodity futures contracts
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currently included in an Index may fail to satisfy such criteria. The weighting factors applied to each futures contract included in each Index may change annually, based on changes in commodity
production and volume statistics. In addition, UBS and Dow Jones Opco may modify the methodology for determining the composition and weighting of each Index, for calculating its value in order to assure that the relevant Index represents an adequate
measure of market performance or for other reasons, or for calculating the value of the relevant Index. UBS and Dow Jones Opco may also discontinue or suspend calculation or publication of any of the Indices, in which case it may become difficult to
determine the market value of that Index. Any such changes could adversely affect the value of your ETNs.
If events such as these occur, or
if the value of any Index is not available or cannot be calculated because of a market disruption event or for any other reason, the calculation agent may be required to make a good faith estimate in its sole discretion of the value of such Index.
The circumstances in which the calculation agent will be required to make such a determination are described more fully under Specific Terms of the ETNsMarket Disruption Event, Discontinuance or Modification of an
Index and Role of Calculation Agent.
Barclays Bank PLC Has a Non-Exclusive Right to Use the Indices
We have been granted a non-exclusive right to use the Indices and related service marks and trademarks in connection with the ETNs. If we
breach our obligations under the license, UBS and Dow Jones Opco will have the right to terminate the license. If UBS and Dow Jones Opco choose to terminate the license agreement, we still have the right to use the Indices and related service marks
and trademarks in connection with the ETNs until their maturity, provided that we cure our breach within thirty days of the termination of the license. If we fail to cure this breach, it may become difficult for us to determine the daily redemption
value or your payment at maturity in the ETNs. The calculation agent in this case will determine the value of the Indices or the fair market value of the ETNsand thus the amount payable at maturity or the daily redemption valuein a
manner it considers appropriate in its reasonable discretion.
There Are Potential Conflicts of Interest Between You and the Calculation
Agent
Currently, Barclays Bank PLC serves as the calculation agent. We will, among other things, decide the amount of the return paid out
to you on the ETNs at maturity or upon redemption. For a more detailed description of the calculation agents role, see Specific Terms of the ETNsRole of Calculation Agent in this pricing supplement.
If UBS and Dow Jones Opco were to discontinue or suspend calculation or publication of an Index, it may become difficult to determine the market value of
the ETNs linked to that Index. If events such as these occur, or if the value of the Index underlying your ETNs is not available or cannot be calculated because of a market disruption event or for any other reason, the calculation agent may be
required to make a good faith estimate in its sole discretion of the value of that Index. The circumstances in which the calculation agent will be required to make such a determination are described more fully under Specific Terms of the
ETNsRole of Calculation Agent in this pricing supplement.
The calculation agent will exercise its judgment when performing its
functions. For example, the calculation agent may have to determine whether a market disruption event affecting an Index has occurred or is continuing on a valuation date, including the final valuation date. This determination may, in turn, depend
on the calculation agents judgment as to whether the event has materially interfered with our ability to unwind our or our affiliates hedge positions. Since these determinations by the calculation agent may affect the market value of the
ETNs, the calculation agent may have a conflict of interest if it needs to make any such decision.
If a Market Disruption Event Has
Occurred or Exists on a Valuation Date, the Calculation Agent Can Postpone the Determination of the Value of an Index or the Maturity Date or a Redemption Date
The determination of the value of an Index on a valuation date, including the final valuation date, may be postponed if the calculation agent determines that a market disruption event with respect to that
Index has occurred or is continuing on such valuation date. If such a
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postponement occurs, the index components unaffected by the market disruption event shall be determined on the scheduled valuation date and the value of the affected index component shall be
determined using the closing value of the affected index component on the first trading day after that day on which no market disruption event occurs or is continuing. In no event, however, will a valuation date for any series of ETNs be postponed
by more than five trading days. As a result, the maturity date or a redemption date for a series of ETNs could also be postponed, although not by more than five trading days. If a valuation date is postponed until the fifth trading day following the
scheduled valuation date but a market disruption event occurs or is continuing on such day, that day will nevertheless be the valuation date and the calculation agent will make a good faith estimate in its sole discretion of the value of the
relevant Index for such day. See Specific Terms of the ETNsMarket Disruption Event in this pricing supplement.
Postponement of a Valuation Date May Result in a Reduced Amount Payable at Maturity or Upon Redemption
As the payment at maturity or upon redemption is a function of, among other things, the applicable index factor on the final valuation date or applicable
valuation date, as the case may be, the postponement of any valuation date may result in the application of a different applicable index factor and, accordingly, decrease the payment you receive at maturity or upon redemption.
Data Sourcing and Calculation Associated with the Indices May Adversely Affect the Market Price of the ETNs
The annual composition of each Index will be recalculated in reliance upon historic price, liquidity and production data that are subject to potential
errors in data sources or other errors that may affect the weighting of the index components. Any discrepancies that require revision are not applied retroactively but will be reflected in the weighting calculations of the Index for the following
year. Additionally, UBS may not discover every discrepancy. Furthermore, the annual weightings for the Commodity Index and multi-component Sub-Indices are determined each year in June or July by UBS under the supervision of the Supervisory Committee
(as defined in the section entitled The Commodity IndexOversight of the Commodity Index in this pricing supplement), which has a significant degree of discretion in exercising its supervisory duties with respect to each Index and
has no obligation to take the needs of any parties to transactions involving the Indices into consideration when reweighting or making any other changes to the Indices.
UBS May Be Required to Replace a Designated Contract if the Existing Futures Contract Is Terminated or Replaced
A futures contract known as a designated contract has been selected as the reference contract for the physical commodity underlying each index component. Data concerning this designated
contract will be used to calculate each Index that includes that index component. If a designated contract were to be terminated or replaced in accordance with the rules set forth in the Dow Jones-UBS Commodity Index Handbook (the
DJ-UBSCI
Handbook
), a comparable futures contract would be selected by the Supervisory Committee, if available, to replace that designated contract. The termination or replacement of any designated contract may have an adverse impact on the value
of any Index in which the relevant index component is included.
The Tax Consequences are Uncertain
The U.S. federal income tax treatment of each series of ETNs is uncertain and the Internal Revenue Service could assert that any series of ETNs should be
taxed in a manner that is different than described in this pricing supplement. As discussed further below, the Internal Revenue Service issued a notice in 2007 indicating that it and the Treasury Department are actively considering whether, among
other issues, you should be required to accrue interest over the term of an instrument such as the ETNs and whether all or part of the gain you may recognize upon the sale, early redemption or maturity of an instrument such as the ETNs could be
treated as ordinary income. Similarly, the Internal Revenue Service and the Treasury Department have current projects open with regard to the tax treatment of pre-paid forward contracts, contingent notional principal contracts and other derivative
contracts. While it is
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impossible to anticipate how any ultimate guidance would affect the tax treatment of instruments such as the ETNs (and while any such guidance may be issued on a prospective basis only), such
guidance could be applied retroactively and could in any case increase the likelihood that you will be required to accrue income over the term of an instrument such as the ETNs even though you will not receive any payments with respect to the ETNs
until maturity. The outcome of this process is uncertain. Similarly, in 2007, legislation was introduced in Congress that, if enacted, would have required holders that acquired instruments such as the ETNs after the bill was enacted to accrue
interest income on a current basis. It is not possible to predict whether a similar or identical bill will be enacted in the future, or whether any such bill would affect the tax treatment of your ETNs.
Moreover, it is possible that the Internal Revenue Service could seek to tax your ETNs by reference to your deemed ownership of the relevant index
components. In such a case, it is possible that Section 1256 of the Internal Revenue Code could apply to your ETNs, in which case any gain or loss that you recognize with respect to the ETNs that is attributable to the regulated futures
contracts represented in the Index underlying your ETNs could be treated as 60% long-term capital gain or loss and 40% short-term capital gain or loss, without regard to your holding period in the ETNs. Under this approach, you could also be
required to mark such portion of the relevant ETN to market at the end of each taxable year (i.e., recognize gain, and possibly recognize loss, as if the relevant portion of your ETNs had been sold for fair market value). Under this alternative
treatment, you could also be required to (i) recognize gain or loss, at least some of which could be short-term capital gain or loss, each time the relevant Index rebalances or each time a futures contract tracked by the relevant Index rolls,
and (ii) currently accrue ordinary interest income in respect of the notional interest component of the relevant Index.
For a discussion
of the U.S. federal income tax treatment applicable to your ETNs as well as other potential alternative characterizations for your ETNs, please see the discussion under Material U.S. Federal Income Tax Considerations below. You should
consult your tax advisor as to the possible alternative treatments in respect of the ETNs.
Additional Risks Associated
with ETNs Linked to an Index that Includes Aluminum
The ETNs May Be Subject to Certain Risks Specific to Aluminum as a Commodity
Aluminum is an industrial metal. Consequently, in addition to factors affecting commodities generally that are described above, each Index
that includes aluminum (currently the Commodity Index, the Aluminum Sub-Index and the Industrial Metals Sub-Index) may be subject to a number of additional factors specific to industrial metals, and in particular aluminum, that might cause price
volatility. These may include, among others:
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changes in the level of industrial activity using industrial metals, and in particular aluminum, including the availability of substitutes such as
man-made or synthetic substitutes;
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disruptions in the supply chain, from mining to storage to smelting or refining;
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adjustments to inventory;
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variations in production costs, including storage, labor and energy costs;
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costs associated with regulatory compliance, including environmental regulations; and
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changes in industrial, government and consumer demand, both in individual consuming nations and internationally.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index,
may offset or enhance the effect of another factor.
The London Metal Exchanges Use of or Omission to Use Price Controls May Result
in Limited Appreciation but Unlimited Depreciation in the Price of the Index Component and, Therefore, the Value of Your ETNs
The futures
contract on aluminum that is included in the Commodity Index, the Aluminum Sub-Index and the Industrial Metals Sub-Index is traded on the London Metal
PS-20
Exchange (the
LME
) and not on a U.S. futures exchange. U.S. exchanges have regulations that limit the amount of fluctuation in some futures contract prices that may occur
during a single business day. These limits are generally referred to as daily price fluctuation limits. In contrast, the LME, has no daily price fluctuation limits to restrict the extent of daily fluctuations in the prices of contracts
traded on the LME, including the index component. In a declining market, therefore, it is possible that prices for one or more contracts traded on the LME, including the index component, would continue to decline without limitation within a trading
day or over a period of trading days. A steep decline in the price of the index component could have a significant adverse impact on the value of each Index in which aluminum is included and, therefore, the value of the ETNs linked to that Index.
Moreover, the LME has discretion to impose backwardation limits by permitting short sellers who are unable to effect delivery of
an underlying commodity and/or borrow such commodity at a price per day that is no greater than the backwardation limit to defer their delivery obligations by paying a penalty in the amount of the backwardation limit to buyers for whom delivery was
deferred. Backwardation limits tend to either constrain appreciation or cause depreciation of the prices of futures contracts expiring in near delivery months. Impositions of such backwardation limits could adversely affect the value of each Index
in which aluminum is included and, therefore, the value of the ETNs linked to that Index.
Contracts Traded on the LME Are Exposed to
Concentration Risks Beyond Those Characteristic of Futures Contracts On U.S. Futures Exchanges
Futures contracts traded on U.S. futures
exchanges generally call for delivery of the physical commodities to which such contracts relate in stated delivery months. In contrast, contracts traded on the LME may call for delivery on a daily, weekly or monthly basis. As a result, there may be
a greater risk of a concentration of positions in contracts trading on the LME on particular delivery dates than for futures contracts traded on U.S. futures exchanges, since, for example, contracts calling for delivery on a daily, weekly or monthly
basis could call for delivery on the same or approximately the same date. Such a concentration of positions, in turn, could cause temporary aberrations in the prices of contracts traded on the LME for delivery dates to which such positions relate.
To the extent such aberrations are in evidence on a given valuation date with respect to the price of the index component, they could adversely affect the value of each Index in which aluminum is included and, therefore, the value of the ETNs linked
to that Index.
Additional Risks Associated with ETNs Linked to an Index that Includes Cocoa
The ETNs May Be Subject to Certain Risks Specific to Cocoa as a Commodity
Cocoa is an agricultural commodity and a soft commodity. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes cocoa (currently only the
Cocoa Sub-Index) may be subject to a number of additional factors specific to agricultural commodities and softs, and in particular cocoa, that might cause price volatility. These may include, among others:
|
|
weather conditions, including floods, drought and freezing conditions;
|
|
|
changes in government policies;
|
|
|
changes in global demand for food;
|
|
|
planting decisions; and
|
|
|
changes in demand for agricultural products or softs, and in particular cocoa, both with end users and as inputs into various industries.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of
the ETNs linked to that Index, may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs
Linked to an Index that Includes Coffee
The ETNs May Be Subject to Certain Risks Specific to Coffee as a Commodity
Coffee is an agricultural commodity and a soft commodity. Consequently, in addition to factors affecting commodities generally that are described above,
each Index that includes
PS-21
coffee (currently the Commodity Index, the Agriculture Sub-Index, the Coffee Sub-Index and the Softs Sub-Index) may be subject to a number of additional factors specific to agricultural
commodities and softs, and in particular coffee, that might cause price volatility. These may include, among others:
|
|
weather conditions, including floods, drought and freezing conditions;
|
|
|
changes in government policies;
|
|
|
changes in global demand for food;
|
|
|
planting decisions; and
|
|
|
changes in demand for agricultural products or softs, and in particular coffee, both with end users and as inputs into various industries.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of
the ETNs linked to that Index, may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs
Linked to an Index that Includes Copper
The ETNs May Be Subject to Certain Risks Specific to Copper as a Commodity
Copper is an industrial metal. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes
copper (currently the Commodity Index, the Copper Sub-Index and the Industrial Metals Sub-Index) may be subject to a number of additional factors specific to industrial metals, and in particular copper, that might cause price volatility. These may
include, among others:
|
|
changes in the level of industrial activity using industrial metals, and in particular copper, including the availability of substitutes such as
man-made or synthetic substitutes;
|
|
|
disruptions in the supply chain, from mining to storage to smelting or refining;
|
|
|
adjustments to inventory;
|
|
|
variations in production costs, including storage, labor and energy costs;
|
|
|
costs associated with regulatory compliance, including environmental regulations; and
|
|
|
changes in industrial, government and consumer demand, both in individual consuming nations and internationally.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index,
may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs Linked to an Index that
Includes Corn
The ETNs May Be Subject to Certain Risks Specific to Corn as a Commodity
Corn is an agricultural commodity and a grain. Consequently, in addition to factors affecting commodities generally that are described above, each Index
that includes corn (currently the Commodity Index, the Agriculture Sub-Index and the Grains Sub-Index) may be subject to a number of additional factors specific to agricultural commodities and grains, and in particular corn, that might cause price
volatility. These may include, among others:
|
|
weather conditions, including floods, drought and freezing conditions;
|
|
|
changes in government policies;
|
|
|
changes in global demand for food;
|
|
|
changes in ethanol demand;
|
|
|
planting decisions; and
|
|
|
changes in demand for agricultural products or grains, and in particular corn, both with end users and as inputs into various industries.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of
the ETNs linked to that Index, may offset or enhance the effect of another factor.
PS-22
Additional Risks Associated with ETNs Linked to an Index that Includes Cotton
The ETNs May Be Subject to Certain Risks Specific to Cotton as a Commodity
Cotton is an agricultural commodity and a soft commodity. Consequently, in addition to factors affecting commodities generally that are described above,
each Index that includes cotton (currently the Commodity Index, the Agriculture Sub-Index, the Cotton Sub-Index and the Softs Sub-Index) may be subject to a number of additional factors specific to agricultural commodities and softs, and in
particular cotton, that might cause price volatility. These may include, among others:
|
|
weather conditions, including floods, drought and freezing conditions;
|
|
|
changes in government policies;
|
|
|
planting decisions; and
|
|
|
changes in demand for agricultural products or softs, and in particular cotton, both with end users and as inputs into various industries.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of
the ETNs linked to that Index, may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs
Linked to an Index that Includes Crude Oil
The ETNs May Be Subject to Certain Risks Specific to Crude Oil as a Commodity
Crude oil is an energy-related commodity. Consequently, in addition to factors affecting commodities generally that are described above,
each Index that includes crude oil (currently the Commodity Index and the Energy Sub-Index) may be subject to a number of additional factors specific to energy-related commodities, and in particular crude oil, that might cause price volatility.
These may include, among others:
|
|
changes in the level of industrial and commercial activity with high levels of energy demand;
|
|
|
disruptions in the supply chain or in the production or supply of other energy sources;
|
|
|
price changes in alternative sources of energy;
|
|
|
adjustments to inventory;
|
|
|
variations in production and shipping costs;
|
|
|
costs associated with regulatory compliance, including environmental regulations; and
|
|
|
changes in industrial, government and consumer demand, both in individual consuming nations and internationally.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index,
may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs Linked to an Index that
Includes Gold
The ETNs May Be Subject to Certain Risks Specific to Gold as a Commodity
Gold is a precious metal. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes gold
(currently the Commodity Index and the Precious Metals Sub-Index) may be subject to a number of additional factors specific to precious metals, and in particular gold, that might cause price volatility. These may include, among others:
|
|
disruptions in the supply chain, from mining to storage to smelting or refining;
|
|
|
adjustments to inventory;
|
|
|
variations in production costs, including storage, labor and energy costs;
|
|
|
costs associated with regulatory compliance, including environmental regulations;
|
|
|
changes in industrial, government and consumer demand, both in individual consuming nations and internationally;
|
|
|
precious metal leasing rates;
|
|
|
currency exchange rates;
|
PS-23
|
|
level of economic growth and inflation; and
|
|
|
degree to which consumers, governments, corporate and financial institutions hold physical gold as a safe haven asset (hoarding) which may be caused by
a banking crisis/recovery, a rapid change in the value of other assets (both financial and physical) or changes in the level of geopolitical tension.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index, may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs Linked to an Index that Includes Heating Oil
The ETNs May Be Subject to Certain Risks Specific to Heating Oil as a Commodity
Heating oil is an energy-related commodity. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes heating oil (currently the Commodity
Index and the Energy Sub-Index) may be subject to a number of additional factors specific to energy-related commodities, and in particular heating oil, that might cause price volatility. These may include, among others:
|
|
changes in the level of industrial and commercial activity with high levels of energy demand;
|
|
|
disruptions in the supply chain or in the production or supply of other energy sources;
|
|
|
price changes in alternative sources of energy;
|
|
|
adjustments to inventory;
|
|
|
variations in production and shipping costs;
|
|
|
costs associated with regulatory compliance, including environmental regulations; and
|
|
|
changes in industrial, government and consumer demand, both in individual consuming nations and internationally.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index,
may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs Linked to an Index that
Includes Lead
ETNs May Be Subject to Certain Risks Specific to Lead as a Commodity
Lead is an industrial metal. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes lead
(currently only the Lead Sub-Index) may be subject to a number of additional factors specific to industrial metals, and in particular lead, that might cause price volatility. These may include, among others:
|
|
changes in the level of industrial activity using industrial metals, and in particular lead, including the availability of substitutes such as man-made
or synthetic substitutes;
|
|
|
disruptions in the supply chain, from mining to storage to smelting or refining;
|
|
|
adjustments to inventory;
|
|
|
variations in production costs, including storage, labor and energy costs;
|
|
|
costs associated with regulatory compliance, including environmental regulations; and
|
|
|
changes in industrial, government and consumer demand, both in individual consuming nations and internationally.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index,
may offset or enhance the effect of another factor.
The LMEs Use of or Omission to Use Price Controls May Result in Limited
Appreciation but Unlimited Depreciation in the Price of the Index Component and, Therefore, the Value of Your ETNs
The futures contract on
lead that is included in the Lead Sub-Index and eligible to be included in the Commodity Index is traded on the LME and not on a U.S. futures exchange. U.S. exchanges have regulations that limit the amount of fluctuation in some futures contract
PS-24
prices that may occur during a single business day. These limits are generally referred to as daily price fluctuation limits. In contrast, the LME, has no daily price fluctuation
limits to restrict the extent of daily fluctuations in the prices of contracts traded on the LME, including the index component. In a declining market, therefore, it is possible that prices for one or more contracts traded on the LME, including the
index component, would continue to decline without limitation within a trading day or over a period of trading days. A steep decline in the price of the index component could have a significant adverse impact on the value of each Index in which lead
is included and, therefore, the value of the ETNs linked to that Index.
Moreover, the LME has discretion to impose backwardation
limits by permitting short sellers who are unable to effect delivery of an underlying commodity and/or borrow such commodity at a price per day that is no greater than the backwardation limit to defer their delivery obligations by paying a
penalty in the amount of the backwardation limit to buyers for whom delivery was deferred. Backwardation limits tend to either constrain appreciation or cause depreciation of the prices of futures contracts expiring in near delivery months.
Impositions of such backwardation limits could adversely affect the value of each Index in which lead is included and, therefore, the value of the ETNs linked to that Index.
Contracts Traded on the LME Are Exposed to Concentration Risks Beyond Those Characteristic of Futures Contracts On U.S. Futures Exchanges
Futures contracts traded on U.S. futures exchanges generally call for delivery of the physical commodities to which such contracts relate in stated delivery months. In contrast, contracts traded on the
LME may call for delivery on a daily, weekly or monthly basis. As a result, there may be a greater risk of a concentration of positions in contracts trading on the LME on particular delivery dates than for futures contracts traded on U.S. futures
exchanges, since, for example, contracts calling for delivery on a daily, weekly or monthly basis could call for delivery on the same or approximately the same date. Such a concentration of positions, in turn, could cause temporary aberrations in
the prices of contracts traded on the LME for delivery dates to which such positions relate. To the extent such aberrations are in evidence on a given valuation date with respect to the price of the index component, they could adversely affect the
value of each Index in which lead is included and, therefore, the value of the ETNs linked to that Index.
Additional
Risks Associated with ETNs Linked to an Index that Includes Lean Hogs
ETNs May Be Subject to Certain Risks Specific to Lean Hogs
as a Commodity
Lean hogs are a type of livestock. Consequently, in addition to factors affecting commodities generally that are described
above, each Index that includes lean hogs (currently the Commodity Index and the Livestock Sub-Index) may be subject to a number of additional factors specific to livestock, and in particular lean hogs, that might cause price volatility. These may
include, among others:
|
|
weather conditions, including floods, drought and freezing conditions;
|
|
|
changes in government policies; and
|
|
|
changes in end-user demand for livestock.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index, may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs Linked to an Index that Includes Live Cattle
ETNs May Be Subject to Certain Risks Specific to Live Cattle as a Commodity
Live cattle are a type of livestock. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes live cattle (currently the Commodity Index and
the Livestock Sub-Index) may be subject to a number of additional factors specific to livestock, and in particular live cattle, that might cause price volatility. These may include, among others:
|
|
weather conditions, including floods, drought and freezing conditions;
|
PS-25
|
|
changes in government policies; and
|
|
|
changes in end-user demand for livestock.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index, may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs Linked to an Index that Includes Natural Gas
The ETNs May Be Subject to Certain Risks Specific to Natural Gas as a Commodity
Natural gas is an energy-related commodity. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes natural gas (currently the Commodity
Index, the Energy Sub-Index and the Natural Gas Sub-Index) may be subject to a number of additional factors specific to energy-related commodities, and in particular natural gas, that might cause price volatility. These may include, among others:
|
|
changes in the level of industrial and commercial activity with high levels of energy demand;
|
|
|
disruptions in the supply chain or in the production or supply of other energy sources;
|
|
|
price changes in alternative sources of energy;
|
|
|
adjustments to inventory;
|
|
|
variations in production and shipping costs;
|
|
|
costs associated with regulatory compliance, including environmental regulations; and
|
|
|
changes in industrial, government and consumer demand, both in individual consuming nations and internationally.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index,
may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs Linked to an Index that
Includes Nickel
The ETNs May Be Subject to Certain Risks Specific to Nickel as a Commodity
Nickel is an industrial metal. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes
nickel (currently the Commodity Index, the Industrial Metals Sub-Index and the Nickel Sub-Index) may be subject to a number of additional factors specific to industrial metals, and in particular nickel, that might cause price volatility. These may
include, among others:
|
|
changes in the level of industrial activity using industrial metals, and in particular nickel, including the availability of substitutes such as
man-made or synthetic substitutes;
|
|
|
disruptions in the supply chain, from mining to storage to smelting or refining;
|
|
|
adjustments to inventory;
|
|
|
variations in production costs, including storage, labor and energy costs;
|
|
|
costs associated with regulatory compliance, including environmental regulations; and
|
|
|
changes in industrial, government and consumer demand, both in individual consuming nations and internationally.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index,
may offset or enhance the effect of another factor.
The LMEs Use of or Omission to Use Price Controls May Result in Limited
Appreciation but Unlimited Depreciation in the Price of the Index Component and, Therefore, the Value of Your ETNs
The futures contract on
nickel that is included in the Commodity Index, the Industrial Metals Sub-Index and the Nickel Sub-Index is traded on the LME and not on a U.S. futures exchange. U.S. exchanges have regulations that limit the amount of fluctuation in some futures
contract prices that may occur during a single business day. These limits are generally
PS-26
referred to as daily price fluctuation limits. In contrast, the LME, has no daily price fluctuation limits to restrict the extent of daily fluctuations in the prices of contracts
traded on the LME, including the index component. In a declining market, therefore, it is possible that prices for one or more contracts traded on the LME, including the index component, would continue to decline without limitation within a trading
day or over a period of trading days. A steep decline in the price of the index component could have a significant adverse impact on the value of each Index in which nickel is included and, therefore, the value of the ETNs linked to that Index.
Moreover, the LME has discretion to impose backwardation limits by permitting short sellers who are unable to effect delivery of
an underlying commodity and/or borrow such commodity at a price per day that is no greater than the backwardation limit to defer their delivery obligations by paying a penalty in the amount of the backwardation limit to buyers for whom delivery was
deferred. Backwardation limits tend to either constrain appreciation or cause depreciation of the prices of futures contracts expiring in near delivery months. Impositions of such backwardation limits could adversely affect the value of each Index
in which nickel is included and, therefore, the value of the ETNs linked to that Index.
Contracts Traded on the LME Are Exposed to
Concentration Risks Beyond Those Characteristic of Futures Contracts On U.S. Futures Exchanges
Futures contracts traded on U.S. futures
exchanges generally call for delivery of the physical commodities to which such contracts relate in stated delivery months. In contrast, contracts traded on the LME may call for delivery on a daily, weekly or monthly basis. As a result, there may be
a greater risk of a concentration of positions in contracts trading on the LME on particular delivery dates than for futures contracts traded on U.S. futures exchanges, since, for example, contracts calling for delivery on a daily, weekly or monthly
basis could call for delivery on the same or approximately the same date. Such a concentration of positions, in turn, could cause temporary aberrations in the prices of contracts traded on the LME for delivery dates to which such positions relate.
To the extent such aberrations are in evidence on a given valuation date with respect to the price of the index component, they could adversely affect the value of each Index in which nickel is included and, therefore, the value of the ETNs linked
to that Index.
Additional Risks Associated with ETNs Linked to an Index that Includes Platinum
The ETNs May Be Subject to Certain Risks Specific to Platinum as a Commodity
Platinum is a precious metal. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes platinum (currently only the Platinum Sub-Index) may
be subject to a number of additional factors specific to precious metals, and in particular platinum, that might cause price volatility. These may include, among others:
|
|
disruptions in the supply chain, from mining to storage to smelting or refining;
|
|
|
adjustments to inventory;
|
|
|
variations in production costs, including storage, labor and energy costs;
|
|
|
costs associated with regulatory compliance, including environmental regulations; and
|
|
|
changes in industrial, government and consumer demand, both in individual consuming nations and internationally.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index,
may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs Linked to an Index that
Includes Silver
The ETNs May Be Subject to Certain Risks Specific to Silver as a Commodity
Silver is a precious metal. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes silver
(currently the Commodity Index and the Precious Metals Sub-Index) may be subject to a number of additional factors specific to precious metals, and in particular silver, that might cause price volatility. These may include, among others:
|
|
disruptions in the supply chain, from mining to storage to smelting or refining;
|
PS-27
|
|
adjustments to inventory;
|
|
|
variations in production costs, including storage, labor and energy costs;
|
|
|
costs associated with regulatory compliance, including environmental regulations;
|
|
|
changes in industrial, government and consumer demand, both in individual consuming nations and internationally;
|
|
|
precious metal leasing rates;
|
|
|
currency exchange rates;
|
|
|
level of economic growth and inflation; and
|
|
|
degree to which consumers, governments, corporate and financial institutions hold physical gold as a safe haven asset (hoarding) which may be caused by
a banking crisis/recovery, a rapid change in the value of other assets (both financial and physical) or changes in the level of geopolitical tension.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index, may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs Linked to an Index that Includes Soybean Oil
The ETNs May Be Subject to Certain Risks Specific to Soybean Oil as a Commodity
Soybean oil is an agricultural commodity. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes soybean oil (currently the Commodity Index
and the Agriculture Sub-Index) may be subject to a number of additional factors specific to agricultural commodities, and in particular soybean oil, that might cause price volatility. These may include, among others:
|
|
weather conditions, including floods, drought and freezing conditions;
|
|
|
changes in government policies;
|
|
|
changes in global demand for food;
|
|
|
changes in bio-diesel demand;
|
|
|
planting decisions; and
|
|
|
changes in demand for agricultural products, and in particular soybean oil, both with end users and as inputs into various industries.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of
the ETNs linked to that Index, may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs
Linked to an Index that Includes Soybeans
The ETNs May Be Subject to Certain Risks Specific to Soybeans as a Commodity
Soybeans are an agricultural commodity and a grain. Consequently, in addition to factors affecting commodities generally that are
described above, each Index that includes soybeans (currently the Commodity Index, the Agriculture Sub-Index and the Grains Sub-Index) may be subject to a number of additional factors specific to agricultural commodities and grains, and in
particular soybeans, that might cause price volatility. These may include, among others:
|
|
weather conditions, including floods, drought and freezing conditions;
|
|
|
changes in government policies;
|
|
|
changes in global demand for food;
|
|
|
changes in bio-diesel demand;
|
|
|
planting decisions; and
|
|
|
changes in demand for agricultural products or grains, and in particular soybeans, both with end users and as inputs into various industries.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of
the ETNs linked to that Index, may offset or enhance the effect of another factor.
PS-28
Additional Risks Associated with ETNs Linked to an Index that Includes Sugar
The ETNs May Be Subject to Certain Risks Specific to Sugar as a Commodity
Sugar is an agricultural commodity and a soft commodity. Consequently, in addition to factors affecting commodities generally that are described above,
each Index that includes sugar (currently the Commodity Index, the Agriculture Sub-Index, the Softs Sub-Index and the Sugar Sub-Index) may be subject to a number of additional factors specific to agricultural commodities and softs, and in particular
sugar, that might cause price volatility. These may include, among others:
|
|
weather conditions, including floods, drought and freezing conditions;
|
|
|
changes in government policies;
|
|
|
changes in global demand for food;
|
|
|
changes in ethanol demand;
|
|
|
planting decisions; and
|
|
|
changes in demand for agricultural products or softs, and in particular sugar, both with end users and as inputs into various industries.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of
the ETNs linked to that Index, may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs
Linked to an Index that Includes Tin
The ETNs May Be Subject to Certain Risks Specific to Tin as a Commodity
Tin is an industrial metal. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes tin
(currently only the Tin Sub-Index) may be subject to a number of additional factors specific to industrial metals, and in particular tin, that might cause price volatility. These may include, among others:
|
|
changes in the level of industrial activity using industrial metals, and in particular tin, including the availability of substitutes such as man-made
or synthetic substitutes;
|
|
|
disruptions in the supply chain, from mining to storage to smelting or refining;
|
|
|
adjustments to inventory;
|
|
|
variations in production costs, including storage, labor and energy costs;
|
|
|
costs associated with regulatory compliance, including environmental regulations; and
|
|
|
changes in industrial, government and consumer demand, both in individual consuming nations and internationally.
|
These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index,
may offset or enhance the effect of another factor.
The LMEs Use of or Omission to Use Price Controls May Result in Limited
Appreciation but Unlimited Depreciation in the Price of the Index Component and, Therefore, the Value of Your ETNs
The futures contract on
tin that is included in the Tin Sub-Index and eligible to be included in the Commodity Index is traded on the LME and not on a U.S. futures exchange. U.S. exchanges have regulations that limit the amount of fluctuation in some futures contract
prices that may occur during a single business day. These limits are generally referred to as daily price fluctuation limits. In contrast, the LME, has no daily price fluctuation limits to restrict the extent of daily fluctuations in the
prices of contracts traded on the LME, including the index component. In a declining market, therefore, it is possible that prices for one or more contracts traded on the LME, including the index component, would continue to decline without
limitation within a trading day or over a period of trading days. A steep decline in the price of the index component could have a significant adverse impact on the value of each Index in which tin is included and, therefore, the value of the ETNs
linked to that Index.
Moreover, the LME has discretion to impose backwardation limits by permitting short sellers who are unable
to effect delivery of an underlying commodity and/or borrow such commodity at a price per day that is no greater
PS-29
than the backwardation limit to defer their delivery obligations by paying a penalty in the amount of the backwardation limit to buyers for whom delivery was deferred. Backwardation limits tend
to either constrain appreciation or cause depreciation of the prices of futures contracts expiring in near delivery months. Impositions of such backwardation limits could adversely affect the value of each Index in which tin is included and,
therefore, the value of the ETNs linked to that Index.
Contracts Traded on the LME Are Exposed to Concentration Risks Beyond Those
Characteristic of Futures Contracts On U.S. Futures Exchanges
Futures contracts traded on U.S. futures exchanges generally call for
delivery of the physical commodities to which such contracts relate in stated delivery months. In contrast, contracts traded on the LME may call for delivery on a daily, weekly or monthly basis. As a result, there may be a greater risk of a
concentration of positions in contracts trading on the LME on particular delivery dates than for futures contracts traded on U.S. futures exchanges, since, for example, contracts calling for delivery on a daily, weekly or monthly basis could call
for delivery on the same or approximately the same date. Such a concentration of positions, in turn, could cause temporary aberrations in the prices of contracts traded on the LME for delivery dates to which such positions relate. To the extent such
aberrations are in evidence on a given valuation date with respect to the price of the index component, they could adversely affect the value of each Index in which tin is included and, therefore, the value of the ETNs linked to that Index.
Additional Risks Associated with ETNs Linked to an Index that Includes Unleaded Gasoline
The ETNs May Be Subject to Certain Risks Specific to Unleaded Gasoline as a Commodity
Unleaded gasoline is an energy-related commodity. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes unleaded gasoline (currently the
Commodity Index and the Energy Sub-Index) may be subject to a number of additional factors specific to energy-related commodities, and in particular unleaded gasoline, that might cause price volatility. These may include, among others:
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changes in the level of industrial and commercial activity with high levels of energy demand;
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disruptions in the supply chain or in the production or supply of other energy sources;
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price changes in alternative sources of energy;
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adjustments to inventory;
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variations in production and shipping costs;
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costs associated with regulatory compliance, including environmental regulations; and
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changes in industrial, government and consumer demand, both in individual consuming nations and internationally.
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These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index,
may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs Linked to an Index that
Includes Wheat
The ETNs May Be Subject to Certain Risks Specific to Wheat as a Commodity
Wheat is an agricultural commodity and a grain. Consequently, in addition to factors affecting commodities generally that are described above, each Index
that includes wheat (currently the Commodity Index, the Agriculture Sub-Index and the Grains Sub-Index) may be subject to a number of additional factors specific to agricultural commodities and grains, and in particular wheat, that might cause price
volatility. These may include, among others:
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weather conditions, including floods, drought and freezing conditions;
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changes in government policies;
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planting decisions; and
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PS-30
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changes in demand for agricultural products or grains, and in particular wheat, both with end users and as inputs into various industries.
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These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of
the ETNs linked to that Index, may offset or enhance the effect of another factor.
Additional Risks Associated with ETNs
Linked to an Index that Includes Zinc
The ETNs May Be Subject to Certain Risks Specific to Zinc as a Commodity
Zinc is an industrial metal. Consequently, in addition to factors affecting commodities generally that are described above, each Index that includes zinc
(currently the Commodity Index and the Industrial Metals Sub-Index) may be subject to a number of additional factors specific to industrial metals, and in particular zinc, that might cause price volatility. These may include, among others:
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changes in the level of industrial activity using industrial metals, and in particular zinc, including the availability of substitutes such as man-made
or synthetic substitutes;
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disruptions in the supply chain, from mining to storage to smelting or refining;
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adjustments to inventory;
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variations in production costs, including storage, labor and energy costs;
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costs associated with regulatory compliance, including environmental regulations; and
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changes in industrial, government and consumer demand, both in individual consuming nations and internationally.
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These factors interrelate in complex ways, and the effect of one factor on the level of an Index, and the market value of the ETNs linked to that Index,
may offset or enhance the effect of another factor.
The LMEs Use of or Omission to Use Price Controls May Result in Limited
Appreciation but Unlimited Depreciation in the Price of the Index Component and, Therefore, the Value of Your ETNs
The futures contract on
zinc that is included in the Commodity Index and the Industrial Metals Sub-Index is traded on the LME and not on a U.S. futures exchange. U.S. exchanges have regulations that limit the amount of fluctuation in some futures contract prices that may
occur during a single business day. These limits are generally referred to as daily price fluctuation limits. In contrast, the LME, has no daily price fluctuation limits to restrict the extent of daily fluctuations in the prices of
contracts traded on the LME, including the index component. In a declining market, therefore, it is possible that prices for one or more contracts traded on the LME, including the index component, would continue to decline without limitation within
a trading day or over a period of trading days. A steep decline in the price of the index component could have a significant adverse impact on the value of each Index in which zinc is included and, therefore, the value of the ETNs linked to that
Index.
Moreover, the LME has discretion to impose backwardation limits by permitting short sellers who are unable to effect
delivery of an underlying commodity and/or borrow such commodity at a price per day that is no greater than the backwardation limit to defer their delivery obligations by paying a penalty in the amount of the backwardation limit to buyers for whom
delivery was deferred. Backwardation limits tend to either constrain appreciation or cause depreciation of the prices of futures contracts expiring in near delivery months. Impositions of such backwardation limits could adversely affect the value of
each Index in which zinc is included and, therefore, the value of the ETNs linked to that Index.
Contracts Traded on the LME Are Exposed
to Concentration Risks Beyond Those Characteristic of Futures Contracts On U.S. Futures Exchanges
Futures contracts traded on U.S. futures
exchanges generally call for delivery of the physical commodities to which such contracts relate in stated delivery months. In contrast, contracts traded on the LME may call for delivery on a daily, weekly or monthly basis. As a result, there may be
a greater risk of a concentration of positions in contracts trading on the LME on particular delivery dates than for
PS-31
futures contracts traded on U.S. futures exchanges, since, for example, contracts calling for delivery on a daily, weekly or monthly basis could call for delivery on the same or approximately the
same date. Such a concentration of positions, in turn, could cause temporary aberrations in the prices of contracts traded on the LME for delivery dates to which such positions relate. To the extent such aberrations are in evidence on a given
valuation date with respect to the price of the index component, they could adversely affect the value of each Index in which zinc is included and, therefore, the value of the ETNs linked to that Index.
THE INDICESGENERAL INFORMATION
We have derived all information contained in this pricing supplement regarding each Index, including, without limitation, its make up, its method of calculation and changes in its components, from
publicly available information. Such information reflects the policies of, and is subject to change by, the index sponsors.
UBS Securities
LLC (
UBS
) acquired AIG Financial Product Corp.s commodity business as of May 6, 2009. As such, the Dow Jones-AIG Commodity Indexes were re-branded as the Dow Jones-UBS Commodity Indexes as of May 7, 2009. The Dow
Jones-UBS Commodity Indexes have an identical methodology to the Dow Jones-AIG Commodity Indexes and take the identical form and format of the Dow Jones-AIG Commodity Indexes. In addition to changing the index names to reflect the Dow Jones-UBS
brand, the suggested ticker symbols were modified.
In addition, according to publicly available information, as of March 18, 2010, CME
Group Inc. and Dow Jones & Company, Inc. announced the launch of a new joint venture company, CME Group Index Services LLC (
CME Indexes
). CME Group Inc. has a 90% ownership interest and Dow Jones & Company, Inc.
has a 10% ownership interest in CME Indexes. More information relating to the joint venture will be available publicly at a later date.
According to publicly available information, on July 2, 2012, the McGraw-Hill Companies (
McGraw-Hill
) and the CME Group announced
the launch of S&P Dow Jones Indices LLC (
S&P Dow Jones Indices
), a joint venture that combines the two index brands, S&P Indices and Dow Jones Indexes. Under the terms of the joint venture, McGraw-Hill owns 73% of
S&P Dow Jones Indices, CME Group owns 24.4% through its affiliates, and Dow Jones & Company, Inc. indirectly owns 2.6%.
The
Indices are calculated and published by S&P Dow Jones Indices, in each case, in conjunction with UBS (together, the
index sponsors
). In connection with any offering of ETNs, neither we nor any of our agents or dealers have
participated in the preparation of the information described in the first paragraph of this section or made any due diligence inquiry with respect to the index sponsors. Neither we nor any of our agents or dealers makes any representation or
warranty as to the accuracy or completeness of such information or any other publicly available information regarding the Indices or the index sponsors.
You, as an investor in the ETNs, should make your own investigation into any Index and the index sponsors. The index sponsors are not involved in any offer of ETNs in any way and have no obligation to
consider your interests as a holder of the ETNs. The index sponsors have no obligation to continue to publish any of the Indices and may discontinue or suspend publication of any Index at any time in their sole discretion.
One or more of UBS and its affiliates may engage in trading in futures contracts and options on futures contracts on the commodities that underlie the
Indices, as well as commodities, including commodities included in the Indices as well as commodities, including commodities included in the Indices, and other investments relating to commodities included in the Indices 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 Indices. Although they are not intended to, any of these activities
could adversely affect the market price of the index components or the value of the Indices. It is possible that one or more of UBS and its affiliates could receive substantial returns from these hedging activities while the market value of the
commodities that underlie the Indices and the value of the Indices decline.
PS-32
With respect to any of the activities described above, neither UBS nor its affiliates has any obligation to
take into consideration at any time the needs of any buyer, seller, holder, issuer, market maker of the ETNs.
UBS 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.
Historical performance of the Indices is not an indication of future performance. Future performance of the Indices may differ significantly from historical performance, either positively or negatively.
Information contained on certain websites mentioned below is not incorporated by reference in, and should not be considered part of, this
pricing supplement or the accompanying prospectus supplement and prospectus.
Because each Sub-Index is a sub-index of the Commodity Index,
disclosure in this pricing supplement relating to the Commodity Index accordingly relates to each of the Sub-Indices as well and should be read in conjunction with the individual descriptions of the Sub-Indices.
Commodity Futures Markets
As discussed in the descriptions of the individual Indices below, each of the Indices is composed of one or more futures contracts on physical
commodities. Futures contracts on physical commodities and commodity indices are traded on regulated futures exchanges, and physical commodities and other derivatives on physical commodities and commodity indices are traded in the over-the-counter
market and on various types of physical and electronic trading facilities and markets. At present, all of the contracts included in the Indices are exchange-traded futures contracts. An exchange-traded futures contract provides for the purchase and
sale of a specified type and quantity of a commodity or financial instrument during a stated delivery month for a fixed price. A futures contract on an index of commodities provides for the payment and receipt of cash based on the level of the index
at settlement or liquidation of the contract. A futures contract provides for a specified settlement month in which the cash settlement is made or in which the commodity or financial instrument is to be delivered by the seller (whose position is
therefore described as short) and acquired by the purchaser (whose position is therefore described as long).
There is
no purchase price paid or received on the purchase or sale of a futures contract. Instead, an amount of cash or cash equivalents must be deposited with the broker as initial margin. This amount varies based on the requirements imposed by
the exchange clearing houses, but may be lower than 5% of the notional value of the contract. This margin deposit provides collateral for the obligations of the parties to the futures contract.
By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market participant may be able to
earn interest on its margin funds, thereby increasing the total return that it may realize from an investment in futures contracts. The market participant normally makes to, and receives from, the broker subsequent daily payments as the price of the
futures contract fluctuates. These payments are called variation margin and are made as the existing positions in the futures contract become more or less valuable, a process known as marking to the market.
Futures contracts are traded on organized exchanges, known as designated contract markets in the United States. At any time prior to the
expiration of a futures contract, subject to the availability of a liquid secondary market, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained the position. This operates to
terminate the position and fix the traders profit or loss. Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a futures commission merchant, which is a member
of the clearing house. The clearing house guarantees the performance of each clearing member that is a party to a futures contract by, in effect, taking the opposite side of the transaction. Clearing houses do not guarantee the performance by
clearing members of their obligations to their customers.
Unlike equity securities, futures contracts, by their terms, have stated
expirations and, at a specified point in time prior to expiration, trading in a futures contract for the current delivery month will cease. As a result, a market participant wishing to maintain its exposure to a
PS-33
futures contract on a particular commodity with the nearest expiration must close out its position in the expiring contract and establish a new position in the contract for the next delivery
month, a process referred to as rolling. For example, a market participant with a long position in November crude oil futures that wishes to maintain a position in the nearest delivery month will, as the November contract nears
expiration, sell November futures, which serves to close out the existing long position, and buy December futures. This will roll the November position into a December position, and, when the November contract expires, the market
participant will still have a long position in the nearest delivery month.
Futures exchanges and clearing houses in the United States are
subject to regulation by the Commodities Futures Trading Commission. Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits, maximum price fluctuations and trading halts and suspensions
and requiring liquidation of contracts in certain circumstances. Futures markets outside the United States are generally subject to regulation by comparable regulatory authorities. The structure and nature of trading on non-U.S. exchanges, however,
may differ from this description.
PS-34
THE COMMODITY INDEX
The Commodity Index is a proprietary index that is designed to be a benchmark for commodities as an asset class. It is composed of futures contracts on
physical commodities and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in those contracts plus (2) the rate of interest that could be earned on cash collateral invested in specified
Treasury Bills.
Four Main Principles Guiding the Creation of the Commodity Index
The Commodity Index was created using the following four main principles:
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Economic Significance
. A commodity index should fairly represent the importance of a diversified group of commodities to the world economy. To
achieve a fair representation, the Commodity Index uses both liquidity data and U.S. dollar-weighted production data in determining the relative quantities of included commodities. The Commodity Index primarily relies on liquidity data, or the
relative amount of trading activity of a particular commodity, as an important indicator of the value placed on that commodity by financial and physical market participants. The Commodity Index also relies on production data as a useful measure of
the importance of a commodity to the world economy. Production data alone, however, may underestimate the economic significance of storable commodities (
e.g.
, gold) relative to non-storable commodities (
e.g.
, live cattle). Production
data alone also may underestimate the investment value that financial market participants place on certain commodities, and/or the amount of commercial activity that is centered around various commodities. Accordingly, production statistics alone do
not necessarily provide as accurate a blueprint of economic importance as the pronouncements of the markets themselves. The Commodity Index thus relies on data that is both endogenous to the futures market (liquidity) and exogenous to the futures
market (production) in determining relative weightings.
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Diversification
. A second major goal of the Commodity Index is to provide diversified exposure to commodities as an asset class.
Disproportionate weightings of any particular commodity or sector increase volatility and negate the concept of a broad-based commodity index. Instead of diversified commodities exposure, the investor is unduly subjected to micro-economic shocks in
one commodity or sector. As described further below, diversification rules have been established and are applied annually. Additionally, the Commodity Index is rebalanced annually on a price-percentage basis in order to maintain diversified
commodities exposure over time.
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Continuity
. A third goal of the Commodity Index is to be responsive to the changing nature of commodity markets in a manner that does not
completely reshape the character of the Commodity Index from year to year. The Commodity Index is intended to provide a stable benchmark, so that end-users may be reasonably confident that historical performance data (including such diverse measures
as correlation, spot yield, roll yield and volatility) is based on a structure that bears some resemblance to both the current and future composition of the Commodity Index.
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Liquidity
. Another goal of the Commodity Index is to provide a highly liquid index. The explicit inclusion of liquidity as a weighting factor
helps to ensure that the Commodity Index can accommodate substantial investment flows. The liquidity of an index affects transaction costs associated with current investments. It also may affect the reliability of historical price performance data.
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These principles represent goals of the Commodity Index, its creators and owners and there can be no assurance that these
goals will be reached by the index sponsors.
Oversight of the Commodity Index
The index sponsors use a two-tier structure, comprised of a Supervisory Committee and an Advisory Committee, to oversee the Commodity Index. The purpose
of the two-tier structure is to
PS-35
expand the breadth of input into the decision-making process in respect of the Commodity Index, while also providing a mechanism for more rapid reaction in the event of any market disruptions or
extraordinary change in market conditions that may affect the Commodity Index.
The Supervisory Committee is comprised of three members, two
of whom are appointed by UBS and one of whom is appointed by S&P Dow Jones Indices. The Supervisory Committee will make all final decisions relating to the Commodity Index, given any advice and recommendations from the Advisory Committee. The
Advisory Committee consists of six to twelve members drawn from the financial and academic communities. Both the Supervisory Committee and the Advisory Committee meet annually to consider any changes to be made to the Commodity Index for the coming
year. These committees may also meet at other times as may be necessary for purposes of their respective responsibilities in connection with the oversight of the Commodity Index.
As described in more detail below, the Commodity Index is reweighted and rebalanced each year in January on a price-percentage basis. The annual weightings for the Commodity Index are determined each year
by UBS under the supervision of the Supervisory Committee, announced after approval by the Supervisory Committee and implemented the following January. The composition of the Commodity Index for 2012 was approved by the Supervisory Committee and
announced in October 2011.
Composition of the Commodity Index
Commodities Available for Inclusion in the Commodity Index
A number of commodities have
been selected that are believed to be sufficiently significant to the world economy to merit consideration for inclusion in the Commodity Index and which are tradable through a qualifying related futures contract. With the exception of several
metals contracts (aluminum, lead, tin, nickel and zinc) that trade on the London Metal Exchange (
LME
) and the contract for Brent Crude Oil, each of the potential commodities is the subject of a futures contract that trades on a
U.S. exchange. The 23 potential commodities currently considered for inclusion in the Commodity Index are aluminum, cocoa, coffee, copper, corn, cotton, crude oil, gold, heating oil, lead, lean hogs, live cattle, natural gas, nickel, platinum,
silver, soybeans, soybean oil, sugar, tin, unleaded gasoline, wheat and zinc.
The 20 Commodity Index commodities selected for 2012 are as
follows: aluminum, Brent crude oil, coffee, copper, corn cotton, gold, heating oil, lean hogs, live cattle, natural gas, nickel, silver soybeans, soybean oil, sugar, unleaded gasoline, wheat, WTI crude oil and zinc.
Designated Contracts for Each Commodity
A futures contract known as a designated contract is selected for each commodity. Where UBS, believes that there exists more than one futures contract
with sufficient liquidity to be chosen as a designated contract for a commodity, UBS has historically selected the futures contract that is traded in North America and denominated in dollars (except in the case of the commodities for which LME
contracts have been selected). When more than one such contract has existed, UBS has selected the most actively traded contract. Although there is no current intention to do so, UBS may in the future select contracts that are traded outside of the
United States or are traded in currencies other than the U.S. dollar. The process is reviewed by the Supervisory Committee and the Advisory Committee. Data concerning this designated contract will be used to calculate the Commodity Index. The
termination or replacement of a futures contract on an established exchange occurs infrequently; if a designated contract were to be terminated or replaced, a comparable futures contract would be selected, if available, to replace that designated
contract.
The Commodity Index Is a Rolling Index
The Commodity Index is composed of futures contracts on physical commodities. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, commodity futures contracts
normally specify a certain date for the delivery of the underlying physical commodity. In order to avoid delivering the underlying physical commodities and to maintain exposure to the underlying physical commodities, periodically futures contracts
on physical commodities specifying delivery on a nearby date must be sold and futures contracts
PS-36
on physical commodities that have not yet reached the delivery period must be purchased. The roll for each contract occurs over a period of five DJ-UBS Business Days each month according to a
pre-determined schedule. This process is known as
rolling
a futures position, and the Commodity Index is a
rolling index
.
A
DJ-UBS Business Day
is a day on which the sum of the Commodity Index Percentages (as defined in the section entitled Determination of Composition and Weightings of the
Commodity Index below) for the Commodity Index commodities that are open for trading is greater than 50%. For example, based on the weighting of the Commodity Index commodities for 2011, if the CME Group which, following CMEs merger with
the CBOT in July 2007, now includes the CBOT and the New York Mercantile Exchange (
NYMEX
) are closed for trading on the same day, a DJ-UBS Business Day will not exist.
Determination of Composition and Weightings of the Commodity Index
The composition and
weighting of the Commodity Index is determined by UBS, under the supervision of the Supervisory Committee, each year.
In determining which
commodities will be included in the Commodity Index and their relative weightings for a given year, UBS looks to both liquidity and U.S. dollar-adjusted production data in 2/3 and 1/3 shares, respectively. For each of the 23 commodities designated
for potential inclusion in the Commodity Index, liquidity is measured by the Commodity Liquidity Percentage (
CLP
) and production by the Commodity Production Percentage (
CPP
). The CLP for each commodity is
determined by taking a five-year average of the product of trading volume and the historic U.S. dollar value of the designated contract for that commodity, and dividing the result by the sum of such products for all commodities which were designated
for potential inclusion in the Commodity Index. The CPP is determined for each commodity by taking a five-year average of world production figures, adjusted by the historic U.S. dollar value of the designated contract, and dividing the result by the
sum of such production figures for all commodities which were designated for potential inclusion in the Commodity Index.
The CLP and the CPP
are then combined (using a ratio of 2:1) to establish the Commodity Index Percentage (
CIP
) for each commodity. This CIP is then adjusted in accordance with certain diversification rules in order to determine the commodities which
will be included in the Commodity Index and their respective percentage weights. The diversification rules are as follows:
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No related group of commodities designated as a
Commodity Group
may constitute more than 33% of the Commodity Index. The Commodity
Groups are:
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Energy (currently including crude oil, heating oil, natural gas and unleaded gasoline)
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Grains (currently including corn, soybeans, and wheat)
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Industrial Metals (currently including aluminum, copper, nickel and zinc)
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Livestock (currently including lean hogs and live cattle)
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Precious Metals (currently including gold and silver)
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Softs (currently including coffee, cotton and sugar)
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Vegetable Oils (currently including soybean oil)
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No single commodity may constitute more than 15% of the Commodity Index.
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No single commodity, together with its derivatives (
e.g.
, crude oil, together with heating oil and unleaded gasoline), may constitute more than
25% of the Commodity Index.
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No single commodity may constitute less than 2% of the Commodity Index.
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Following the annual reweighting and rebalancing of the Commodity Index in January, the percentage of any single commodity or commodity group at any time prior to the next reweighting or rebalancing will
fluctuate and may exceed or be less than the percentages set forth above.
PS-37
Annual Reweightings and Rebalancings of the Commodity Index
The Commodity Index is reweighted and rebalanced each year in January on a price-percentage basis. The annual weightings for the Commodity Index are
determined each year by UBS under the supervision of the Supervisory Committee, after approval by the Supervisory Committee and implemented the following January. The composition of the Commodity Index for 2012 was approved by the Supervisory
Committee and announced in October 2011.
2012 Designated Contracts and Target Weightings
The 20 Commodity Index commodities selected for 2012 are as follows: aluminum, Brent crude oil, coffee, copper, corn, cotton, gold, heating oil, lean
hogs, live cattle, natural gas, nickel, silver, soybeans, soybean oil, sugar, unleaded gasoline, wheat, WTI crude oil, and zinc. The designated contracts for those commodities, and their target weights, are as follows:
2012 Commodity Index Breakdown by Commodity
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Commodity
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Designated Contract
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Exchange
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Units
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Quote
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Target
Weighting (%)
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Aluminum
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High Grade Primary Aluminum
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LME
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25 metric tons
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USD/metric ton
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5.88
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%
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Brent Oil
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Brent Crude Oil
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ICE
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1,000 barrels
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USD/barrel
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5.31
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%
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Coffee
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Coffee C
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NYBOT*
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37,500 lbs
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U.S. cents/pound
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2.57
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%
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Copper
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Copper**
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COMEX
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25,000 lbs
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U.S. cents/pound
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7.06
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%
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Corn
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Corn
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CBOT***
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5,000 bushels
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U.S. cents/bushel
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6.67
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%
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Cotton
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Cotton
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NYBOT*
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50,000 lbs
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U.S. cents/pound
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2.00
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%
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Gold
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Gold
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COMEX
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100 troy oz.
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USD/troy oz.
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9.79
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%
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Heating Oil
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Heating Oil
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NYMEX
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42,000 gallons
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U.S. cents/gallon
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3.46
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%
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Lean Hogs
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Lean Hogs
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CME
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40,000 lbs
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U.S. cents/pound
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2.11
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%
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Live Cattle
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Live Cattle
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CME
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40,000 lbs
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U.S. cents/pound
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3.63
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%
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Natural Gas
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Henry Hub Natural Gas
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|
NYMEX
|
|
10,000 mmbtu
|
|
USD/mmbtu
|
|
|
10.77
|
%
|
Nickel
|
|
Primary Nickel
|
|
LME
|
|
6 metric tons
|
|
USD/metric ton
|
|
|
2.58
|
%
|
Silver
|
|
Silver
|
|
COMEX
|
|
5,000 troy oz.
|
|
U.S. cents/troy oz.
|
|
|
2.77
|
%
|
Soybeans
|
|
Soybeans
|
|
CBOT***
|
|
5,000 bushels
|
|
U.S. cents/bushel
|
|
|
7.08
|
%
|
Soybean Oil
|
|
Soybean Oil
|
|
CBOT***
|
|
60,000 lbs
|
|
U.S. cents/pound
|
|
|
3.37
|
%
|
Sugar
|
|
World Sugar No. 11
|
|
NYBOT*
|
|
112,000 lbs
|
|
U.S. cents/pound
|
|
|
3.76
|
%
|
Unleaded Gasoline
|
|
Reformulated Blendstock for Oxygen Blending
|
|
NYMEX
|
|
42,000 gal
|
|
U.S. cents/gallon
|
|
|
3.41
|
%
|
Wheat
|
|
Wheat
|
|
CBOT***
|
|
5,000 bushels
|
|
U.S. cents/bushel
|
|
|
4.96
|
%
|
WTI Crude Oil
|
|
Light, Sweet Crude Oil
|
|
NYMEX
|
|
1,000 barrels
|
|
USD/barrel
|
|
|
9.69
|
%
|
Zinc
|
|
Special High Grade Zinc
|
|
LME
|
|
25 metric tons
|
|
USD/metric ton
|
|
|
3.12
|
%
|
*
|
The New York Board of Trade (NYBOT) was renamed ICE Futures U.S. in September 2007.
|
**
|
The Commodity Index uses the High Grade Copper contract traded on the COMEX division of the New York Mercantile Exchange for copper contract prices and LME volume data
in determining the weighting of the Commodity Index.
|
***
|
Following its merger with CME in July 2007, the new entity name for the CBOT is CME Indexes.
|
PS-38
Calculation and Publication of the Commodity Index
The Commodity Index is calculated by S&P Dow Jones Indices, in conjunction with UBS, by applying the impact of the changes to the prices of index
components (based on their relative weightings) and the Treasury Bill rate of interest.
The first step in calculating the Commodity Index is
to calculate the applicable commodity index multipliers or
CIMs
. Following application of the diversification rules discussed in the section entitled Composition of the Commodity IndexDetermination of
Composition and Weightings of the Commodity Index above, CIPs are incorporated into the Commodity Index by calculating the new unit weights for each index component. On a date near the beginning of each new calendar year, the CIPs, along with
the settlement prices on that date for designated contracts included in the Commodity Index, are used to determine a CIM for each index component. This CIM is used to achieve the percentage weightings of the index components, in U.S. dollar terms,
indicated by their respective CIPs. After the CIMs are calculated, they remain fixed throughout the year. As a result, the observed price percentage of each index component will float throughout the year, until the CIMs are reset the following year
based on new CIPs.
Once the CIMs are determined, the calculation of the value of the Commodity Index is a mathematical process that reflects
the performance of each index component and the rate of interest that could be earned on cash collateral invested in three-month U.S. Treasury Bills.
At present, S&P Dow Jones Indices disseminates the Commodity Index value approximately every 15 seconds (assuming the Commodity Index value has changed within such 15-second interval) from 8:00 a.m.
to 3:30 p.m., New York City time, and publishes a daily Commodity Index value at approximately 5:00 p.m., New York City time, on each DJ-UBS Business Day on http://www.djindexes.com, on Reuters page DJUBSTR and on Bloomberg under the ticker symbol
DJUBSTR.
Commodity Index Calculation Disruption Events
From time to time, disruptions can occur in trading futures contracts on various commodity exchanges. The daily calculation of the Commodity Index may be adjusted in the event that UBS determines that any
of the following index calculation disruption events exists:
|
|
the termination or suspension of, or material limitation or disruption in the trading of any futures contract used in the calculation of the Commodity
Index on that day;
|
|
|
the settlement price of any futures contract used in the calculation of the Commodity Index reflects the maximum permitted price change from the
previous days settlement price;
|
|
|
the failure of an exchange to publish official settlement prices for any futures contract used in the calculation of the Commodity Index; or
|
|
|
with respect to any futures contract used in the calculation of the Commodity Index that trades on the LME, a DJ-UBS Business Day on which the LME is
not open for trading.
|
Additional information on the Commodity Index is available on the following website:
http://www.djindexes.com.
Historical Closing Levels of the Commodity Index
Since its inception, the Commodity Index has experienced significant fluctuations. Any historical upward or downward trend in the value of the Commodity
Index during any period shown below is not an indication that the value of the Commodity Index is more or less likely to increase or decrease at any time during the term of the Commodity Index ETNs. The historical levels do not give an indication of
future performance of the Commodity Index. There can be no assurance that the future performance of the Commodity Index or its index components will result in holders of the Commodity Index ETNs receiving a positive return on their investment.
PS-39
The Commodity Index was launched on November 15, 2001. All data relating to the period prior to the
launch of the Commodity Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the percentage weightings in effect in 2001. Such data does not represent actual
performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Commodity Index would have performed from December 31, 1991 to December 29, 2000 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Commodity Index has performed from December 31, 2001 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
94.245
|
|
December 31, 1992
|
|
|
97.736
|
|
December 31, 1993
|
|
|
96.694
|
|
December 30, 1994
|
|
|
112.755
|
|
December 29, 1995
|
|
|
129.908
|
|
December 31, 1996
|
|
|
160.001
|
|
December 31, 1997
|
|
|
154.579
|
|
December 31, 1998
|
|
|
112.796
|
|
December 31, 1999
|
|
|
140.257
|
|
December 29, 2000
|
|
|
184.917
|
|
December 31, 2001
|
|
|
148.843
|
|
December 31, 2002
|
|
|
187.401
|
|
December 31, 2003
|
|
|
232.249
|
|
December 31, 2004
|
|
|
253.495
|
|
December 31, 2005
|
|
|
307.650
|
|
December 29, 2006
|
|
|
314.023
|
|
December 31, 2007
|
|
|
364.990
|
|
December 31, 2008
|
|
|
234.874
|
|
December 31, 2009
|
|
|
279.279
|
|
December 31, 2010
|
|
|
326.288
|
|
December 30, 2011
|
|
|
282.826
|
|
September 28, 2012
|
|
|
298.749
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-40
THE AGRICULTURE SUB-INDEX
The Agriculture Sub-Index is a multiple-component Sub-Index that is designed to be a benchmark for agricultural commodities as an asset class. It is
composed of the futures contracts on agricultural commodities that are included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in those contracts plus
(2) the rate of interest that could be earned on cash collateral invested in specified Treasury Bills.
Composition of
the Agriculture Sub-Index
The Agriculture Sub-Index currently is composed of the seven exchange-traded futures contracts included in the
Commodity Index that relate to agricultural commodities: coffee, corn, cotton, soybean oil, soybeans, sugar and wheat.
The target weights for
2012 for the contracts included in the Agriculture Sub-Index are as follows:
|
|
|
|
|
Commodity
|
|
Weighting
|
|
Soybeans
|
|
|
23.29
|
%
|
Corn
|
|
|
21.93
|
%
|
Wheat
|
|
|
16.31
|
%
|
Sugar
|
|
|
12.36
|
%
|
Soybean Oil
|
|
|
11.09
|
%
|
Coffee
|
|
|
8.46
|
%
|
Cotton
|
|
|
6.57
|
%
|
Calculation and Publication of the Agriculture Sub-Index
The Agriculture Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contracts included in the
Agriculture Sub-Index and to their respective weightings within the Agriculture Sub-Index.
At present, Dow Jones disseminates the level of
the Agriculture Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New York City time
on each DJ-UBS Business Day on Bloomberg under the ticker symbol DJUBAGTR.
Historical Closing Levels of the
Agriculture Sub-Index
Since its inception, the Agriculture Sub-Index has experienced significant fluctuations. Any historical upward or
downward trend in the value of the Agriculture Sub-Index during any period shown below is not an indication that the value of the Agriculture Sub-Index is more or less likely to increase or decrease at any time during the term of the Agriculture
ETNs. The historical levels do not give an indication of future performance of the Agriculture Sub-Index. There can be no assurance that the future performance of the Agriculture Sub-Index or its index components will result in holders of the
Agriculture ETNs receiving a positive return on their investment.
The Agriculture Sub-Index was launched on July 7, 2005. All data
relating to the period prior to the launch of the Agriculture Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the percentage weightings in effect in
2005. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Agriculture Sub-Index would have performed from December 31, 1991 to December 31, 2004 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Agriculture Sub-Index has performed from December 31, 2005 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
102.665
|
|
December 31, 1992
|
|
|
93.956
|
|
December 31, 1993
|
|
|
111.159
|
|
December 30, 1994
|
|
|
120.360
|
|
December 29, 1995
|
|
|
149.251
|
|
December 31, 1996
|
|
|
152.354
|
|
December 31, 1997
|
|
|
176.881
|
|
December 31, 1998
|
|
|
140.753
|
|
December 31, 1999
|
|
|
111.838
|
|
December 29, 2000
|
|
|
108.975
|
|
December 31, 2001
|
|
|
90.102
|
|
December 31, 2002
|
|
|
107.342
|
|
December 31, 2003
|
|
|
122.268
|
|
December 31, 2004
|
|
|
106.556
|
|
December 31, 2005
|
|
|
107.711
|
|
December 29, 2006
|
|
|
123.064
|
|
December 31, 2007
|
|
|
159.846
|
|
December 31, 2008
|
|
|
115.94
|
|
December 31, 2009
|
|
|
131.843
|
|
December 31, 2010
|
|
|
182.595
|
|
December 30, 2011
|
|
|
156.385
|
|
September 28, 2012
|
|
|
181.168
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-41
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-42
THE ALUMINUM SUB-INDEX
The Aluminum Sub-Index is a single-component Sub-Index that is designed to be a benchmark for aluminum as an asset class. It is composed of the futures
contract on aluminum that is included or eligible to be included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in that contract plus (2) the rate of
interest that could be earned on cash collateral invested in specified Treasury Bills.
Calculation and Publication of the
Aluminum Sub-Index
The Aluminum Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the
contract included in the Aluminum Sub-Index (which, for purposes of the calculation, has a weighting of 100%).
At present, Dow Jones
disseminates the level of the Aluminum Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00
p.m. New York City time on each DJ-UBS Business Day on its website, http://www.djindexes.com, and on Bloomberg under the ticker symbol DJUBALTR.
Historical Closing Levels of the Aluminum Sub-Index
Since its inception, the Aluminum
Sub-Index has experienced significant fluctuations. Any historical upward or downward trend in the value of the Aluminum Sub-Index during any period shown below is not an indication that the value of the Aluminum Sub-Index is more or less likely to
increase or decrease at any time during the term of the Aluminum ETNs. The historical levels do not give an indication of future performance of the Aluminum Sub-Index. There can be no assurance that the future performance of the Aluminum Sub-Index
or its index components will result in holders of the Aluminum ETNs receiving a positive return on their investment.
The Aluminum Sub-Index
was launched on February 1, 2006. All data relating to the period prior to the launch of the Aluminum Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based
upon the weightings in effect in the Commodity Index. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Aluminum Sub-Index would have performed from December 31, 1991 to December 31, 2005 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Aluminum Sub-Index has performed from December 29, 2006 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
70.392
|
|
December 31, 1992
|
|
|
73.349
|
|
December 31, 1993
|
|
|
63.105
|
|
December 30, 1994
|
|
|
109.359
|
|
December 29, 1995
|
|
|
93.704
|
|
December 31, 1996
|
|
|
82.439
|
|
December 31, 1997
|
|
|
84.268
|
|
December 31, 1998
|
|
|
66.788
|
|
December 31, 1999
|
|
|
86.608
|
|
December 29, 2000
|
|
|
85.518
|
|
December 31, 2001
|
|
|
73.962
|
|
December 31, 2002
|
|
|
72.065
|
|
December 31, 2003
|
|
|
86.724
|
|
December 31, 2004
|
|
|
107.482
|
|
December 31, 2005
|
|
|
128.195
|
|
December 29, 2006
|
|
|
160.569
|
|
December 31, 2007
|
|
|
136.205
|
|
December 31, 2008
|
|
|
81.544
|
|
December 31, 2009
|
|
|
109.128
|
|
December 31, 2010
|
|
|
114.996
|
|
December 30, 2011
|
|
|
90.069
|
|
September 28, 2012
|
|
|
89.380
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-43
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-44
COCOA SUB-INDEX
The Cocoa Sub-Index is a single-component Sub-Index that is designed to be a benchmark for cocoa as an asset class. It is composed of the futures
contract on cocoa that is included or eligible to be included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in that contract plus (2) the rate of interest
that could be earned on cash collateral invested in specified Treasury Bills.
At present, cocoa is one of the four commodities eligible for
inclusion but not included in the Commodity Index. The contract included in the Cocoa Sub-Index is the Cocoa contract traded on the New York Board of Trade, which is the contract that would be eligible for inclusion in the Commodity
Index if cocoa were one of the commodities included in the Commodity Index.
Calculation and Publication of the Cocoa
Sub-Index
The Cocoa Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contract
included in the Cocoa Sub-Index (which, for purposes of the calculation, has a weighting of 100%).
At present, Dow Jones disseminates the
level of the Cocoa Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New York City
time on each DJ-UBS Business Day on its website, http://www.djindexes.com, and on Bloomberg under the ticker symbol DJUBCCTR.
Historical Closing Levels of the Cocoa Sub-Index
Since its inception, the Cocoa Sub-Index
has experienced significant fluctuations. Any historical upward or downward trend in the value of the Cocoa Sub-Index during any period shown below is not an indication that the value of the Cocoa Sub-Index is more or less likely to increase or
decrease at any time during the term of the Cocoa ETNs. The historical levels do not give an indication of future performance of the Cocoa Sub-Index. There can be no assurance that the future performance of the Cocoa Sub-Index or its index
components will result in holders of the Cocoa ETNs receiving a positive return on their investment.
The Cocoa Sub-Index was launched on
February 1, 2006. All data relating to the period prior to the launch of the Cocoa Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the
weightings in effect in the Commodity Index. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Cocoa Sub-Index would have performed from December 31, 1991 to December 31, 2005 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Cocoa Sub-Index has performed from December 29, 2006 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
94.327
|
|
December 31, 1992
|
|
|
58.334
|
|
December 31, 1993
|
|
|
60.265
|
|
December 30, 1994
|
|
|
61.020
|
|
December 29, 1995
|
|
|
56.802
|
|
December 31, 1996
|
|
|
58.242
|
|
December 31, 1997
|
|
|
63.419
|
|
December 31, 1998
|
|
|
50.644
|
|
December 31, 1999
|
|
|
27.509
|
|
December 29, 2000
|
|
|
21.418
|
|
December 31, 2001
|
|
|
36.916
|
|
December 31, 2002
|
|
|
59.108
|
|
December 31, 2003
|
|
|
49.689
|
|
December 31, 2004
|
|
|
49.748
|
|
December 31, 2005
|
|
|
45.985
|
|
December 29, 2006
|
|
|
47.333
|
|
December 31, 2007
|
|
|
56.804
|
|
December 31, 2008
|
|
|
72.162
|
|
December 31, 2009
|
|
|
85.540
|
|
December 31, 2010
|
|
|
75.718
|
|
December 30, 2011
|
|
|
51.210
|
|
September 28, 2012
|
|
|
61.331
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-45
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-46
COFFEE SUB-INDEX
The Coffee Sub-Index is a single-component Sub-Index that is designed to be a benchmark for coffee as an asset class. It is composed of the futures
contract on coffee that is included or eligible to be included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in that contract plus (2) the rate of
interest that could be earned on cash collateral invested in specified Treasury Bills.
Calculation and Publication of the
Coffee Sub-Index
The Coffee Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the
contract included in the Coffee Sub-Index (which, for purposes of the calculation, has a weighting of 100%).
At present, Dow Jones
disseminates the level of the Coffee Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m.
New York City time on each DJ-UBS Business Day on its website, http://www.djindexes.com, and on Bloomberg under the ticker symbol DJUBKCTR.
Historical Closing Levels of the Coffee Sub-Index
Since its inception, the Coffee
Sub-Index has experienced significant fluctuations. Any historical upward or downward trend in the value of the Coffee Sub-Index during any period shown below is not an indication that the value of the Coffee Sub-Index is more or less likely to
increase or decrease at any time during the term of the Coffee ETNs. The historical levels do not give an indication of future performance of the Coffee Sub-Index. There can be no assurance that the future performance of the Coffee Sub-Index or its
index components will result in holders of the Coffee ETNs receiving a positive return on their investment.
The Coffee Sub-Index was launched
on February 1, 2006. All data relating to the period prior to the launch of the Coffee Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the
weightings in effect in the Commodity Index. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Coffee Sub-Index would have performed from December 31, 1991 to December 31, 2005 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Coffee Sub-Index has performed from December 29, 2006 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
78.741
|
|
December 31, 1992
|
|
|
67.006
|
|
December 31, 1993
|
|
|
52.106
|
|
December 30, 1994
|
|
|
118.365
|
|
December 29, 1995
|
|
|
70.377
|
|
December 31, 1996
|
|
|
111.682
|
|
December 31, 1997
|
|
|
252.681
|
|
December 31, 1998
|
|
|
223.594
|
|
December 31, 1999
|
|
|
226.536
|
|
December 29, 2000
|
|
|
100.741
|
|
December 31, 2001
|
|
|
55.521
|
|
December 31, 2002
|
|
|
55.720
|
|
December 31, 2003
|
|
|
48.986
|
|
December 31, 2004
|
|
|
66.318
|
|
December 31, 2005
|
|
|
60.490
|
|
December 29, 2006
|
|
|
64.129
|
|
December 31, 2007
|
|
|
62.786
|
|
December 31, 2008
|
|
|
46.362
|
|
December 31, 2009
|
|
|
51.139
|
|
December 31, 2010
|
|
|
85.399
|
|
December 30, 2011
|
|
|
75.847
|
|
September 28, 2012
|
|
|
55.300
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-47
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-48
COPPER SUB-INDEX
The Copper Sub-Index is a single-component Sub-Index that is designed to be a benchmark for copper as an asset class. It is composed of the futures
contract on copper that is included or eligible to be included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in that contract plus (2) the rate of
interest that could be earned on cash collateral invested in specified Treasury Bills.
Calculation and Publication of the
Copper Sub-Index
The Copper Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the
contract included in the Copper Sub-Index (which, for purposes of the calculation, has a weighting of 100%).
At present, Dow Jones
disseminates the level of the Copper Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m.
New York City time on each DJ-UBS Business Day on its website, http://www.djindexes.com, and on Bloomberg under the ticker symbol DJUBHGTR.
Historical Closing Levels of the Copper Sub-Index
Since its inception, the Copper
Sub-Index has experienced significant fluctuations. Any historical upward or downward trend in the value of the Copper Sub-Index during any period shown below is not an indication that the value of the Copper Sub-Index is more or less likely to
increase or decrease at any time during the term of the Copper ETNs. The historical levels do not give an indication of future performance of the Copper Sub-Index. There can be no assurance that the future performance of the Copper Sub-Index or its
index components will result in holders of the Copper ETNs receiving a positive return on their investment.
The Copper Sub-Index was launched
on February 1, 2006. All data relating to the period prior to the launch of the Copper Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the
weightings in effect in the Commodity Index. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Copper Sub-Index would have performed from December 31, 1991 to December 31, 2005 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Copper Sub-Index has performed from December 29, 2006 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
93.852
|
|
December 31, 1992
|
|
|
102.887
|
|
December 31, 1993
|
|
|
81.793
|
|
December 30, 1994
|
|
|
145.666
|
|
December 29, 1995
|
|
|
157.850
|
|
December 31, 1996
|
|
|
158.254
|
|
December 31, 1997
|
|
|
143.182
|
|
December 31, 1998
|
|
|
123.356
|
|
December 31, 1999
|
|
|
155.247
|
|
December 29, 2000
|
|
|
153.271
|
|
December 31, 2001
|
|
|
118.121
|
|
December 31, 2002
|
|
|
122.198
|
|
December 31, 2003
|
|
|
178.567
|
|
December 31, 2004
|
|
|
257.498
|
|
December 31, 2005
|
|
|
415.010
|
|
December 29, 2006
|
|
|
631.804
|
|
December 31, 2007
|
|
|
688.285
|
|
December 31, 2008
|
|
|
323.062
|
|
December 31, 2009
|
|
|
742.970
|
|
December 31, 2010
|
|
|
962.468
|
|
December 30, 2011
|
|
|
727.563
|
|
September 28, 2012
|
|
|
788.377
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-49
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-50
COTTON SUB-INDEX
The Cotton Sub-Index is a single-component Sub-Index that is designed to be a benchmark for cotton as an asset class. It is composed of the futures
contract on cotton that is included or eligible to be included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in that contract plus (2) the rate of
interest that could be earned on cash collateral invested in specified Treasury Bills.
Calculation and Publication of the
Cotton Sub-Index
The Cotton Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the
contract included in the Cotton Sub-Index (which, for purposes of the calculation, has a weighting of 100%).
At present, Dow Jones
disseminates the level of the Cotton Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m.
New York City time on each DJ-UBS Business Day on its website, http://www.djindexes.com, and on Bloomberg under the ticker symbol DJUBCTTR.
Historical Closing Levels of the Cotton Sub-Index
Since its inception, the Cotton
Sub-Index has experienced significant fluctuations. Any historical upward or downward trend in the value of the Cotton Sub-Index during any period shown below is not an indication that the value of the Cotton Sub-Index is more or less likely to
increase or decrease at any time during the term of the Cotton ETNs. The historical levels do not give an indication of future performance of the Cotton Sub-Index. There can be no assurance that the future performance of the Cotton Sub-Index or its
index components will result in holders of the Cotton ETNs receiving a positive return on their investment.
The Cotton Sub-Index was launched
on February 1, 2006. All data relating to the period prior to the launch of the Cotton Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the
weightings in effect in the Commodity Index. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Cotton Sub-Index would have performed from December 31, 1991 to December 31, 2005 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Cotton Sub-Index has performed from December 29, 2006 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
94.976
|
|
December 31, 1992
|
|
|
88.700
|
|
December 31, 1993
|
|
|
100.423
|
|
December 30, 1994
|
|
|
142.241
|
|
December 29, 1995
|
|
|
202.343
|
|
December 31, 1996
|
|
|
193.905
|
|
December 31, 1997
|
|
|
165.050
|
|
December 31, 1998
|
|
|
148.593
|
|
December 31, 1999
|
|
|
123.310
|
|
December 29, 2000
|
|
|
134.921
|
|
December 31, 2001
|
|
|
67.353
|
|
December 31, 2002
|
|
|
78.345
|
|
December 31, 2003
|
|
|
93.981
|
|
December 31, 2004
|
|
|
53.229
|
|
December 31, 2005
|
|
|
54.108
|
|
December 29, 2006
|
|
|
46.221
|
|
December 31, 2007
|
|
|
47.217
|
|
December 31, 2008
|
|
|
27.020
|
|
December 31, 2009
|
|
|
35.161
|
|
December 31, 2010
|
|
|
69.675
|
|
December 30, 2011
|
|
|
54.557
|
|
September 28, 2012
|
|
|
45.182
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-51
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-52
ENERGY SUB-INDEX
The Energy Sub-Index is a multiple-component Sub-Index that is designed to be a benchmark for energy-related commodities as an asset class. It is
composed of the futures contracts on energy-related commodities that are included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in those contracts plus
(2) the rate of interest that could be earned on cash collateral invested in specified Treasury Bills.
Composition of
the Energy Sub-Index
The Energy Sub-Index currently is composed of the five exchange-traded futures contracts included in the Commodity
Index that relate to energy-related commodities: Brent crude oil, heating oil, natural gas, unleaded gasoline and WTI crude oil.
The target
weights for 2012 for the contracts included in the Energy Sub-Index are as follows:
|
|
|
|
|
Commodity
|
|
Weighting
|
|
Natural Gas
|
|
|
32.99
|
%
|
WTI Crude Oil
|
|
|
29.69
|
%
|
Brent Crude Oil
|
|
|
16.28
|
%
|
Heating Oil
|
|
|
10.60
|
%
|
Unleaded Gasoline
|
|
|
10.44
|
%
|
Calculation and Publication of the Energy Sub-Index
The Energy Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contracts included in the Energy
Sub-Index and to their respective weightings within the Energy Sub-Index.
At present, Dow Jones disseminates the level of the Energy
Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New York City time on each DJ-UBS
Business Day on Bloomberg under the ticker symbol DJUBENTR.
Historical Closing Levels of the Energy Sub-Index
Since its inception, the Energy Sub-Index has experienced significant fluctuations. Any historical upward or downward trend in the value
of the Energy Sub-Index during any period shown below is not an indication that the value of the Energy Sub-Index is more or less likely to increase or decrease at any time during the term of the Energy ETNs. The historical levels do not give an
indication of future performance of the Energy Sub-Index. There can be no assurance that the future performance of the Energy Sub-Index or its index components will result in holders of the Energy ETNs receiving a positive return on their
investment.
The Energy Sub-Index was launched on November 15, 2001. All data relating to the period prior to the launch of the Energy
Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the percentage weightings in effect in 2001. Such data does not represent actual performance and
should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Energy Sub-Index would have performed from December 31, 1991 to December 29, 2000 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Energy Sub-Index has performed from December 31, 2001 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
88.767
|
|
December 31, 1992
|
|
|
100.648
|
|
December 31, 1993
|
|
|
75.850
|
|
December 30, 1994
|
|
|
87.814
|
|
December 29, 1995
|
|
|
109.188
|
|
December 31, 1996
|
|
|
204.849
|
|
December 31, 1997
|
|
|
158.488
|
|
December 31, 1998
|
|
|
85.458
|
|
December 31, 1999
|
|
|
155.294
|
|
December 29, 2000
|
|
|
342.212
|
|
December 31, 2001
|
|
|
215.135
|
|
December 31, 2002
|
|
|
333.642
|
|
December 31, 2003
|
|
|
439.460
|
|
December 31, 2004
|
|
|
523.493
|
|
December 31, 2005
|
|
|
744.210
|
|
December 29, 2006
|
|
|
436.062
|
|
December 31, 2007
|
|
|
526.268
|
|
December 31, 2008
|
|
|
277.168
|
|
December 31, 2009
|
|
|
262.465
|
|
December 31, 2010
|
|
|
234.779
|
|
December 30, 2011
|
|
|
197.294
|
|
September 28, 2012
|
|
|
188.758
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-53
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-54
GRAINS SUB-INDEX
The Grains Sub-Index is a multiple-component Sub-Index that is designed to be a benchmark for grains as an asset class. It is composed of the futures
contracts on grains that are included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in those contracts plus (2) the rate of interest that could be earned
on cash collateral invested in specified Treasury Bills.
Composition of the Grains Sub-Index
The Grains Sub-Index currently is composed of the three exchange-traded futures contracts included in the Commodity Index that relate to grains: corn,
soybeans and wheat.
The target weights for 2012 for the contracts included in the Grains Sub-Index are as follows:
|
|
|
|
|
Commodity
|
|
Weighting
|
|
Soybeans
|
|
|
37.85
|
%
|
Corn
|
|
|
35.64
|
%
|
Wheat
|
|
|
26.51
|
%
|
Calculation and Publication of the Grains Sub-Index
The Grains Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contracts included in the Grains
Sub-Index and to their respective weightings within the Grains Sub-Index.
At present, Dow Jones disseminates the level of the Grains
Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New York City time on each DJ-UBS
Business Day on Bloomberg under the ticker symbol DJUBGRTR.
Historical Closing Levels of the Grains Sub-Index
Since its inception, the Grains Sub-Index has experienced significant fluctuations. Any historical upward or downward trend in the value
of the Grains Sub-Index during any period shown below is not an indication that the value of the Grains Sub-Index is more or less likely to increase or decrease at any time during the term of the Grains ETNs. The historical levels do not give an
indication of future performance of the Grains Sub-Index. There can be no assurance that the future performance of the Grains Sub-Index or its index components will result in holders of the Grains ETNs receiving a positive return on their
investment.
The Grains Sub-Index was launched on November 15, 2001. All data relating to the period prior to the launch of the Grains
Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the percentage weightings in effect in 2001. Such data does not represent actual performance and
should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Grains Sub-Index would have performed from December 31, 1991 to December 29, 2000 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Grains Sub-Index has performed from December 31, 2001 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
107.489
|
|
December 31, 1992
|
|
|
98.296
|
|
December 31, 1993
|
|
|
123.665
|
|
December 30, 1994
|
|
|
104.503
|
|
December 29, 1995
|
|
|
141.546
|
|
December 31, 1996
|
|
|
135.392
|
|
December 31, 1997
|
|
|
147.845
|
|
December 31, 1998
|
|
|
114.389
|
|
December 31, 1999
|
|
|
92.413
|
|
December 29, 2000
|
|
|
90.890
|
|
December 31, 2001
|
|
|
74.585
|
|
December 31, 2002
|
|
|
87.244
|
|
December 31, 2003
|
|
|
106.209
|
|
December 31, 2004
|
|
|
81.057
|
|
December 31, 2005
|
|
|
78.368
|
|
December 29, 2006
|
|
|
96.872
|
|
December 31, 2007
|
|
|
137.627
|
|
December 31, 2008
|
|
|
101.406
|
|
December 31, 2009
|
|
|
99.736
|
|
December 31, 2010
|
|
|
129.936
|
|
December 30, 2011
|
|
|
111.218
|
|
September 28, 2012
|
|
|
148.778
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-55
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-56
INDUSTRIAL METALS SUB-INDEX
The Industrial Metals Sub-Index is a multiple-component Sub-Index that is designed to be a benchmark for industrial metals as an asset class. It is
composed of the futures contracts on industrial metals that are included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in those contracts plus (2) the
rate of interest that could be earned on cash collateral invested in specified Treasury Bills.
Composition of the
Industrial Metals Sub-Index
The Industrial Metals Sub-Index currently is composed of the four exchange-traded futures contracts included
in the Commodity Index that relate to industrial metals: aluminum, copper, nickel and zinc.
The target weights for 2012 for the contracts
included in the Industrial Metals Sub-Index are as follows:
|
|
|
|
|
Commodity
|
|
Weighting
|
|
Copper
|
|
|
37.90
|
%
|
Aluminum
|
|
|
31.53
|
%
|
Zinc
|
|
|
16.73
|
%
|
Nickel
|
|
|
13.84
|
%
|
Calculation and Publication of the Industrial Metals Sub-Index
The Industrial Metals Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contracts included in the
Industrial Metals Sub-Index and to their respective weightings within the Industrial Metals Sub-Index.
At present, Dow Jones disseminates the
level of the Industrial Metals Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New
York City time on each DJ-UBS Business Day on Bloomberg under the ticker symbol DJUBINTR.
Historical Closing
Levels of the Industrial Metals Sub-Index
Since its inception, the Industrial Metals Sub-Index has experienced significant fluctuations.
Any historical upward or downward trend in the value of the Industrial Metals Sub-Index during any period shown below is not an indication that the value of the Industrial Metals Sub-Index is more or less likely to increase or decrease at any time
during the term of the Industrial Metals ETNs. The historical levels do not give an indication of future performance of the Industrial Metals Sub-Index. There can be no assurance that the future performance of the Industrial Metals Sub-Index or its
index components will result in holders of the Industrial Metals ETNs receiving a positive return on their investment.
The Industrial Metals
Sub-Index was launched on November 15, 2001. All data relating to the period prior to the launch of the Industrial Metals Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the
pre-launch period based upon the percentage weightings in effect in 2001. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Industrial Metals Sub-Index would have performed from December 31, 1991 to December 29, 2000 based on the selection criteria
and methodology described above; and
|
(ii)
|
on an actual basis, how the Industrial Metals Sub-Index has performed from December 31, 2001 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
86.470
|
|
December 31, 1992
|
|
|
90.324
|
|
December 31, 1993
|
|
|
75.839
|
|
December 30, 1994
|
|
|
126.387
|
|
December 29, 1995
|
|
|
121.396
|
|
December 31, 1996
|
|
|
113.539
|
|
December 31, 1997
|
|
|
111.532
|
|
December 31, 1998
|
|
|
90.497
|
|
December 31, 1999
|
|
|
123.622
|
|
December 29, 2000
|
|
|
120.305
|
|
December 31, 2001
|
|
|
97.855
|
|
December 31, 2002
|
|
|
100.693
|
|
December 31, 2003
|
|
|
144.527
|
|
December 31, 2004
|
|
|
181.048
|
|
December 31, 2005
|
|
|
241.645
|
|
December 29, 2006
|
|
|
416.470
|
|
December 31, 2007
|
|
|
375.397
|
|
December 31, 2008
|
|
|
194.208
|
|
December 31, 2009
|
|
|
349.541
|
|
December 31, 2010
|
|
|
406.319
|
|
December 30, 2011
|
|
|
307.878
|
|
September 28, 2012
|
|
|
321.677
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-57
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-58
LEAD SUB-INDEX
The Lead Sub-Index is a single-component Sub-Index that is designed to be a benchmark for lead as an asset class. It is composed of the futures contract
on lead that is included or eligible to be included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in that contract plus (2) the rate of interest that
could be earned on cash collateral invested in specified Treasury Bills.
At present, lead is one of the four commodities eligible for
inclusion but not included in the Commodity Index. The contract included in the Lead Sub-Index is the Refined Standard Lead contract traded on the LME, which is the contract that would be eligible for inclusion in the Commodity Index if
lead were one of the commodities included in the Commodity Index.
Calculation and Publication of the Lead Sub-Index
The Lead Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contract included in
the Lead Sub-Index (which, for purposes of the calculation, has a weighting of 100%).
At present, Dow Jones disseminates the level of the
Lead Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New York City time on each
DJ-UBS Business Day on Bloomberg under the ticker symbol DJUBPBTR.
Historical Closing Levels of the Lead
Sub-Index
Since its inception, the Lead Sub-Index has experienced significant fluctuations. Any historical upward or downward trend in
the value of the Lead Sub-Index during any period shown below is not an indication that the value of the Lead Sub-Index is more or less likely to increase or decrease at any time during the term of the Lead ETNs. The historical levels do not give an
indication of future performance of the Lead Sub-Index. There can be no assurance that the future performance of the Lead Sub-Index or its index components will result in holders of the Lead ETNs receiving a positive return on their investment.
The Lead Sub-Index was launched on March 7, 2008. All data relating to the period prior to the launch of the Lead Sub-Index is an
historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the weightings in effect in the Commodity Index. Such data does not represent actual performance and should not be
interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Lead Sub-Index would have performed from December 31, 1991 to December 31, 2007 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Lead Sub-Index has performed from March 7, 2008 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
85.716
|
|
December 31, 1992
|
|
|
67.717
|
|
December 31, 1993
|
|
|
66.144
|
|
December 30, 1994
|
|
|
86.065
|
|
December 29, 1995
|
|
|
91.751
|
|
December 31, 1996
|
|
|
100.895
|
|
December 31, 1997
|
|
|
82.014
|
|
December 31, 1998
|
|
|
71.991
|
|
December 31, 1999
|
|
|
77.041
|
|
December 29, 2000
|
|
|
71.581
|
|
December 31, 2001
|
|
|
76.804
|
|
December 31, 2002
|
|
|
61.130
|
|
December 31, 2003
|
|
|
101.592
|
|
December 31, 2004
|
|
|
166.323
|
|
December 31, 2005
|
|
|
200.157
|
|
December 29, 2006
|
|
|
337.066
|
|
December 31, 2007
|
|
|
567.276
|
|
December 31, 2008
|
|
|
222.816
|
|
December 31, 2009
|
|
|
519.339
|
|
December 31, 2010
|
|
|
525.544
|
|
December 30, 2011
|
|
|
420.536
|
|
September 28, 2012
|
|
|
403.393
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-59
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-60
LIVESTOCK SUB-INDEX
The Livestock Sub-Index is a multiple-component Sub-Index that is designed to be a benchmark for livestock as an asset class. It is composed of the
futures contracts on livestock that are included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in those contracts plus (2) the rate of interest that could
be earned on cash collateral invested in specified Treasury Bills.
Composition of the Livestock Sub-Index
The Livestock Sub-Index currently is composed of the two exchange-traded futures contracts included in the Commodity Index that relate to livestock: lean
hogs and live cattle.
The target weights for 2012 for the contracts included in the Livestock Sub-Index are as follows:
|
|
|
|
|
Commodity
|
|
Weighting
|
|
Live Cattle
|
|
|
63.24
|
%
|
Lean Hogs
|
|
|
36.76
|
%
|
Calculation and Publication of the Livestock Sub-Index
The Livestock Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contracts included in the
Livestock Sub-Index and to their respective weightings within the Livestock Sub-Index.
At present, Dow Jones disseminates the level of the
Livestock Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New York City time on each
DJ-UBS Business Day on Bloomberg under the ticker symbol DJUBLITR.
Historical Closing Levels of the Livestock
Sub-Index
Since its inception, the Livestock Sub-Index has experienced significant fluctuations. Any historical upward or downward trend
in the value of the Livestock Sub-Index during any period shown below is not an indication that the value of the Livestock Sub-Index is more or less likely to increase or decrease at any time during the term of the Livestock ETNs. The historical
levels do not give an indication of future performance of the Livestock Sub-Index. There can be no assurance that the future performance of the Livestock Sub-Index or its index components will result in holders of the Livestock ETNs receiving a
positive return on their investment.
The Livestock Sub-Index was launched on November 15, 2001. All data relating to the period prior to
the launch of the Livestock Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the percentage weightings in effect in 2001. Such data does not represent
actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Livestock Sub-Index would have performed from December 31, 1991 to December 29, 2000 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Livestock Sub-Index has performed from December 31, 2001 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
101.203
|
|
December 31, 1992
|
|
|
127.855
|
|
December 31, 1993
|
|
|
138.078
|
|
December 30, 1994
|
|
|
124.555
|
|
December 29, 1995
|
|
|
130.599
|
|
December 31, 1996
|
|
|
151.002
|
|
December 31, 1997
|
|
|
142.237
|
|
December 31, 1998
|
|
|
101.495
|
|
December 31, 1999
|
|
|
116.346
|
|
December 29, 2000
|
|
|
126.184
|
|
December 31, 2001
|
|
|
125.452
|
|
December 31, 2002
|
|
|
111.108
|
|
December 31, 2003
|
|
|
106.760
|
|
December 31, 2004
|
|
|
135.694
|
|
December 31, 2005
|
|
|
135.341
|
|
December 29, 2006
|
|
|
127.058
|
|
December 31, 2007
|
|
|
113.498
|
|
December 31, 2008
|
|
|
81.259
|
|
December 31, 2009
|
|
|
69.014
|
|
December 31, 2010
|
|
|
75.413
|
|
December 30, 2011
|
|
|
73.679
|
|
September 28, 2012
|
|
|
67.890
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-61
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-62
NATURAL GAS SUB-INDEX
The Natural Gas Sub-Index is a single-component Sub-Index that is designed to be a benchmark for natural gas as an asset class. It
is composed of the futures contract on natural gas that is included or eligible to be included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in that contract
plus (2) the rate of interest that could be earned on cash collateral invested in specified Treasury Bills. Please refer to the section titled Temporary Suspension of Further Issuances of iPath
®
Dow Jones-UBS Natural Gas Subindex Total Return
SM
ETNs and Temporary Suspension of Further Sales and Issuances of
iPath
®
Dow Jones-UBS Platinum Subindex Total Return
SM
ETNs for more information on the temporary suspension of further issuances of the Natural Gas ETNs.
Calculation and Publication of the Natural Gas Sub-Index
The Natural Gas Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contract included in the Natural Gas Sub-Index (which, for purposes of the
calculation, has a weighting of 100%).
At present, Dow Jones disseminates the level of the Natural Gas Sub-Index approximately every 15
seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New York City time on each DJ-UBS Business Day on its website,
http://www.djindexes.com, and on Bloomberg under the ticker symbol DJUBNGTR.
Historical Closing Levels of the
Natural Gas Sub-Index
Since its inception, the Natural Gas Sub-Index has experienced significant fluctuations. Any historical upward or
downward trend in the value of the Natural Gas Sub-Index during any period shown below is not an indication that the value of the Natural Gas Sub-Index is more or less likely to increase or decrease at any time during the term of the Natural Gas
ETNs. The historical levels do not give an indication of future performance of the Natural Gas Sub-Index. There can be no assurance that the future performance of the Natural Gas Sub-Index or its index components will result in holders of the
Natural Gas ETNs receiving a positive return on their investment.
The Natural Gas Sub-Index was launched on February 1, 2006. All data
relating to the period prior to the launch of the Natural Gas Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the weightings in effect in the
Commodity Index. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Natural Gas Sub-Index would have performed from December 31, 1991 to December 31, 2005 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Natural Gas Sub-Index has performed from December 29, 2006 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
69.376
|
|
December 31, 1992
|
|
|
106.788
|
|
December 31, 1993
|
|
|
116.684
|
|
December 30, 1994
|
|
|
78.231
|
|
December 29, 1995
|
|
|
81.730
|
|
December 31, 1996
|
|
|
126.078
|
|
December 31, 1997
|
|
|
116.435
|
|
December 31, 1998
|
|
|
69.198
|
|
December 31, 1999
|
|
|
71.611
|
|
December 29, 2000
|
|
|
321.190
|
|
December 31, 2001
|
|
|
70.380
|
|
December 31, 2002
|
|
|
98.186
|
|
December 31, 2003
|
|
|
125.137
|
|
December 31, 2004
|
|
|
93.294
|
|
December 31, 2005
|
|
|
147.224
|
|
December 29, 2006
|
|
|
43.043
|
|
December 31, 2007
|
|
|
34.736
|
|
December 31, 2008
|
|
|
21.851
|
|
December 31, 2009
|
|
|
10.586
|
|
December 31, 2010
|
|
|
6.289
|
|
December 30, 2011
|
|
|
3.327
|
|
September 28, 2012
|
|
|
2.597
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-63
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-64
NICKEL SUB-INDEX
The Nickel Sub-Index is a single-component Sub-Index that is designed to be a benchmark for nickel as an asset class. It is composed of the futures
contract on nickel that is included or eligible to be included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in that contract plus (2) the rate of
interest that could be earned on cash collateral invested in specified Treasury Bills.
Calculation and Publication of the
Nickel Sub-Index
The Nickel Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the
contract included in the Nickel Sub-Index (which, for purposes of the calculation, has a weighting of 100%).
At present, Dow Jones
disseminates the level of the Nickel Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m.
New York City time on each DJ-UBS Business Day on its website, http://www.djindexes.com, and on Bloomberg under the ticker symbol DJUBNITR.
Historical Closing Levels of the Nickel Sub-Index
Since its inception, the Nickel
Sub-Index has experienced significant fluctuations. Any historical upward or downward trend in the value of the Nickel Sub-Index during any period shown below is not an indication that the value of the Nickel Sub-Index is more or less likely to
increase or decrease at any time during the term of the Nickel ETNs. The historical levels do not give an indication of future performance of the Nickel Sub-Index. There can be no assurance that the future performance of the Nickel Sub-Index or its
index components will result in holders of the Nickel ETNs receiving a positive return on their investment.
The Nickel Sub-Index was launched
on February 1, 2006. All data relating to the period prior to the launch of the Nickel Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the
weightings in effect in the Commodity Index. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Nickel Sub-Index would have performed from December 31, 1991 to December 31, 2005 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Nickel Sub-Index has performed from December 29, 2006 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
90.748
|
|
December 31, 1992
|
|
|
74.436
|
|
December 31, 1993
|
|
|
65.116
|
|
December 30, 1994
|
|
|
108.756
|
|
December 29, 1995
|
|
|
96.199
|
|
December 31, 1996
|
|
|
77.880
|
|
December 31, 1997
|
|
|
72.706
|
|
December 31, 1998
|
|
|
48.462
|
|
December 31, 1999
|
|
|
101.943
|
|
December 29, 2000
|
|
|
99.047
|
|
December 31, 2001
|
|
|
89.010
|
|
December 31, 2002
|
|
|
117.759
|
|
December 31, 2003
|
|
|
280.755
|
|
December 31, 2004
|
|
|
268.788
|
|
December 31, 2005
|
|
|
255.078
|
|
December 29, 2006
|
|
|
714.957
|
|
December 31, 2007
|
|
|
621.979
|
|
December 31, 2008
|
|
|
272.542
|
|
December 31, 2009
|
|
|
422.125
|
|
December 31, 2010
|
|
|
558.007
|
|
December 30, 2011
|
|
|
420.297
|
|
September 28, 2012
|
|
|
410.285
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-65
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-66
PLATINUM SUB-INDEX
The Platinum Sub-Index is a single-component Sub-Index that is designed to be a benchmark for platinum as an asset class. It is composed of the futures
contract on platinum that is included or eligible to be included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in that contract plus (2) the rate of
interest that could be earned on cash collateral invested in specified Treasury Bills.
At present, platinum is one of the four commodities
eligible for inclusion but not included in the Commodity Index. The contract included in the Platinum Sub-Index is the Platinum contract traded on the New York Mercantile Exchange, which is the contract that would be eligible for
inclusion in the Commodity Index if platinum were one of the commodities included in the Commodity Index.
Please refer
to the section titled Temporary Suspension of Further Issuances of iPath
®
Dow Jones-UBS Natural Gas
Subindex Total Return
SM
ETNs and Temporary Suspension of
Further Sales and Issuances of iPath
®
Dow Jones-UBS Platinum Subindex Total Return
SM
ETNs for more information on the temporary suspension of
further sales from inventory and issuances of the Platinum ETNs.
Calculation and Publication of the Platinum Sub-Index
The Platinum Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contract included
in the Platinum Sub-Index (which, for purposes of the calculation, has a weighting of 100%).
At present, Dow Jones disseminates the level of
the Platinum Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New York City time on
each DJ-UBS Business Day on Bloomberg under the ticker symbol DJUBPLTR.
Historical Closing Levels of the
Platinum Sub-Index
Since its inception, the Platinum Sub-Index has experienced significant fluctuations. Any historical upward or
downward trend in the value of the Platinum Sub-Index during any period shown below is not an indication that the value of the Platinum Sub-Index is more or less likely to increase or decrease at any time during the term of the Platinum ETNs. The
historical levels do not give an indication of future performance of the Platinum Sub-Index. There can be no assurance that the future performance of the Platinum Sub-Index or its index components will result in holders of the Platinum ETNs
receiving a positive return on their investment.
The Platinum Sub-Index was launched on March 7, 2008. All data relating to the period
prior to the launch of the Platinum Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the weightings in effect in the Commodity Index. Such data does
not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Platinum Sub-Index would have performed from December 31, 1991 to December 31, 2007 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Platinum Sub-Index has performed from March 7, 2008 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
79.211
|
|
December 31, 1992
|
|
|
85.599
|
|
December 31, 1993
|
|
|
99.317
|
|
December 30, 1994
|
|
|
106.351
|
|
December 29, 1995
|
|
|
106.224
|
|
December 31, 1996
|
|
|
101.439
|
|
December 31, 1997
|
|
|
106.799
|
|
December 31, 1998
|
|
|
112.277
|
|
December 31, 1999
|
|
|
140.490
|
|
December 29, 2000
|
|
|
238.084
|
|
December 31, 2001
|
|
|
206.344
|
|
December 31, 2002
|
|
|
271.644
|
|
December 31, 2003
|
|
|
397.291
|
|
December 31, 2004
|
|
|
444.141
|
|
December 31, 2005
|
|
|
522.497
|
|
December 29, 2006
|
|
|
619.368
|
|
December 31, 2007
|
|
|
841.008
|
|
December 31, 2008
|
|
|
519.555
|
|
December 31, 2009
|
|
|
800.327
|
|
December 31, 2010
|
|
|
955.178
|
|
December 30, 2011
|
|
|
746.560
|
|
September 28, 2012
|
|
|
879.962
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-67
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-68
PRECIOUS METALS SUB-INDEX
The Precious Metals Sub-Index is a multiple-component Sub-Index that is designed to be a benchmark for precious metals as an asset class. It is composed
of the futures contracts on precious metals that are included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in those contracts plus (2) the rate of
interest that could be earned on cash collateral invested in specified Treasury Bills.
Composition of the Precious Metals
Sub-Index
The Precious Metals Sub-Index currently is composed of the two exchange-traded futures contracts included in the Commodity
Index that relate to precious metals: gold and silver.
The target weights for 2012 for the contracts included in the Precious Metals
Sub-Index are as follows:
|
|
|
|
|
Commodity
|
|
Weighting
|
|
Gold
|
|
|
77.96
|
%
|
Silver
|
|
|
22.04
|
%
|
Calculation and Publication of the Precious Metals Sub-Index
The Precious Metals Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contracts included in the
Precious Metals Sub-Index and to their respective weightings within the Precious Metals Sub-Index.
At present, Dow Jones disseminates the
level of the Precious Metals Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New
York City time on each DJ-UBS Business Day on Bloomberg under the ticker symbol DJUBPRTR.
Historical Closing
Levels of the Precious Metals Sub-Index
Since its inception, the Precious Metals Sub-Index has experienced significant fluctuations. Any
historical upward or downward trend in the value of the Precious Metals Sub-Index during any period shown below is not an indication that the value of the Precious Metals Sub-Index is more or less likely to increase or decrease at any time during
the term of the Precious Metals ETNs. The historical levels do not give an indication of future performance of the Precious Metals Sub-Index. There can be no assurance that the future performance of the Precious Metals Sub-Index or its index
components will result in holders of the Precious Metals ETNs receiving a positive return on their investment.
The Precious Metals Sub-Index
was launched on November 15, 2001. All data relating to the period prior to the launch of the Precious Metals Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch
period based upon the percentage weightings in effect in 2001. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Precious Metals Sub-Index would have performed from December 31, 1991 to December 29, 2000 based on the selection criteria
and methodology described above; and
|
(ii)
|
on an actual basis, how the Precious Metals Sub-Index has performed from December 31, 2001 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
91.645
|
|
December 31, 1992
|
|
|
86.197
|
|
December 31, 1993
|
|
|
106.795
|
|
December 30, 1994
|
|
|
103.442
|
|
December 29, 1995
|
|
|
106.513
|
|
December 31, 1996
|
|
|
101.332
|
|
December 31, 1997
|
|
|
93.883
|
|
December 31, 1998
|
|
|
90.647
|
|
December 31, 1999
|
|
|
94.139
|
|
December 29, 2000
|
|
|
86.830
|
|
December 31, 2001
|
|
|
87.910
|
|
December 31, 2002
|
|
|
104.488
|
|
December 31, 2003
|
|
|
125.684
|
|
December 31, 2004
|
|
|
134.989
|
|
December 31, 2005
|
|
|
162.583
|
|
December 29, 2006
|
|
|
206.666
|
|
December 31, 2007
|
|
|
260.306
|
|
December 31, 2008
|
|
|
249.749
|
|
December 31, 2009
|
|
|
322.681
|
|
December 31, 2010
|
|
|
460.320
|
|
December 30, 2011
|
|
|
481.314
|
|
September 28, 2012
|
|
|
552.020
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-69
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-70
SOFTS SUB-INDEX
The Softs Sub-Index is a multiple-component Sub-Index that is designed to be a benchmark for soft commodities as an asset class. It is composed of the
futures contracts on soft commodities that are included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in those contracts plus (2) the rate of interest
that could be earned on cash collateral invested in specified Treasury Bills.
Composition of the Softs Sub-Index
The Softs Sub-Index currently is composed of the three exchange-traded futures contracts included in the Commodity Index that relate to
soft commodities: coffee, cotton and sugar.
The target weights for 2012 for the contracts included in the Softs Sub-Index are as follows:
|
|
|
|
|
Commodity
|
|
Weighting
|
|
Sugar
|
|
|
45.11
|
%
|
Coffee
|
|
|
30.88
|
%
|
Cotton
|
|
|
24.01
|
%
|
Calculation and Publication of the Softs Sub-Index
The Softs Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contracts included in the Softs
Sub-Index and to their respective weightings within the Softs Sub-Index.
At present, Dow Jones disseminates the level of the Softs Sub-Index
approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New York City time on each DJ-UBS Business Day
on Bloomberg under the ticker symbol DJUBSOTR.
Historical Closing Levels of the Softs Sub-Index
Since its inception, the Softs Sub-Index has experienced significant fluctuations. Any historical upward or downward trend in the value of the Softs
Sub-Index during any period shown below is not an indication that the value of the Softs Sub-Index is more or less likely to increase or decrease at any time during the term of the Softs ETNs. The historical levels do not give an indication of
future performance of the Softs Sub-Index. There can be no assurance that the future performance of the Softs Sub-Index or its index components will result in holders of the Softs ETNs receiving a positive return on their investment.
The Softs Sub-Index was launched on November 15, 2001. All data relating to the period prior to the launch of the Softs Sub-Index is an historical
estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the percentage weightings in effect in 1998. Such data does not represent actual performance and should not be interpreted as an
indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Softs Sub-Index would have performed from December 31, 1991 to December 29, 2000 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Softs Sub-Index has performed from December 31, 2001 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
95.408
|
|
December 31, 1992
|
|
|
82.248
|
|
December 31, 1993
|
|
|
84.495
|
|
December 30, 1994
|
|
|
130.755
|
|
December 29, 1995
|
|
|
129.052
|
|
December 31, 1996
|
|
|
153.343
|
|
December 31, 1997
|
|
|
204.213
|
|
December 31, 1998
|
|
|
166.665
|
|
December 31, 1999
|
|
|
133.983
|
|
December 29, 2000
|
|
|
130.453
|
|
December 31, 2001
|
|
|
105.968
|
|
December 31, 2002
|
|
|
127.912
|
|
December 31, 2003
|
|
|
123.838
|
|
December 31, 2004
|
|
|
126.890
|
|
December 31, 2005
|
|
|
140.339
|
|
December 29, 2006
|
|
|
123.540
|
|
December 31, 2007
|
|
|
119.273
|
|
December 31, 2008
|
|
|
85.358
|
|
December 31, 2009
|
|
|
123.124
|
|
December 31, 2010
|
|
|
196.873
|
|
December 30, 2011
|
|
|
169.372
|
|
September 28, 2012
|
|
|
141.257
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-71
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-72
SUGAR SUB-INDEX
The Sugar Sub-Index is a single-component Sub-Index that is designed to be a benchmark for sugar as an asset class. It is composed of the futures
contract on sugar that is included or eligible to be included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in that contract plus (2) the rate of interest
that could be earned on cash collateral invested in specified Treasury Bills.
Calculation and Publication of the Sugar
Sub-Index
The Sugar Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contract
included in the Sugar Sub-Index (which, for purposes of the calculation, has a weighting of 100%).
At present, Dow Jones disseminates the
level of the Sugar Sub-Index approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New York City
time on each DJ-UBS Business Day on its website, http://www.djindexes.com, and on Bloomberg under the ticker symbol DJUBSBTR.
Historical Closing Levels of the Sugar Sub-Index
Since its inception, the Sugar Sub-Index
has experienced significant fluctuations. Any historical upward or downward trend in the value of the Sugar Sub-Index during any period shown below is not an indication that the value of the Sugar Sub-Index is more or less likely to increase or
decrease at any time during the term of the Sugar ETNs. The historical levels do not give an indication of future performance of the Sugar Sub-Index. There can be no assurance that the future performance of the Sugar Sub-Index or its index
components will result in holders of the Sugar ETNs receiving a positive return on their investment.
The Sugar Sub-Index was launched on
February 1, 2006. All data relating to the period prior to the launch of the Sugar Sub-Index is an historical estimate by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the
weightings in effect in the Commodity Index. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Sugar Sub-Index would have performed from December 31, 1991 to December 31, 2005 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Sugar Sub-Index has performed from December 29, 2006 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
116.775
|
|
December 31, 1992
|
|
|
127.696
|
|
December 31, 1993
|
|
|
141.670
|
|
December 30, 1994
|
|
|
193.099
|
|
December 29, 1995
|
|
|
209.616
|
|
December 31, 1996
|
|
|
250.997
|
|
December 31, 1997
|
|
|
289.693
|
|
December 31, 1998
|
|
|
183.941
|
|
December 31, 1999
|
|
|
146.428
|
|
December 29, 2000
|
|
|
253.801
|
|
December 31, 2001
|
|
|
215.207
|
|
December 31, 2002
|
|
|
289.917
|
|
December 31, 2003
|
|
|
232.452
|
|
December 31, 2004
|
|
|
288.680
|
|
December 31, 2005
|
|
|
430.708
|
|
December 29, 2006
|
|
|
321.010
|
|
December 31, 2007
|
|
|
286.516
|
|
December 31, 2008
|
|
|
229.426
|
|
December 31, 2009
|
|
|
427.334
|
|
December 31, 2010
|
|
|
529.731
|
|
December 30, 2011
|
|
|
466.624
|
|
September 28, 2012
|
|
|
425.020
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-73
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-74
TIN SUB-INDEX
The Tin Sub-Index is a single-component Sub-Index that is designed to be a benchmark for tin as an asset class. It is composed of the futures contract on
tin that is included or eligible to be included in the Commodity Index and is intended to reflect the returns that are potentially available through (1) an unleveraged investment in that contract plus (2) the rate of interest that could be
earned on cash collateral invested in specified Treasury Bills.
At present, tin is one of the four commodities eligible for inclusion but not
included in the Commodity Index. The contract included in the Tin Sub-Index is the Refined Tin contract traded on the LME, which is the contract that would be eligible for inclusion in the Commodity Index if tin were one of the
commodities included in the Commodity Index.
Calculation and Publication of the Tin Sub-Index
The Tin Sub-Index is calculated using the same methodology as the Commodity Index but with reference only to the contract included in the Tin Sub-Index
(which, for purposes of the calculation, has a weighting of 100%).
At present, Dow Jones disseminates the level of the Tin Sub-Index
approximately every 15 seconds (assuming the level has changed within such 15-second interval) from 8:00 a.m. to 3:30 p.m. New York City time and publishes a daily Index value at approximately 5:00 p.m. New York City time on each DJ-UBS Business Day
on Bloomberg under the ticker symbol DJUBSNTR.
Historical Closing Levels of the Tin Sub-Index
Since its inception, the Tin Sub-Index has experienced significant fluctuations. Any historical upward or downward trend in the value of the Tin
Sub-Index during any period shown below is not an indication that the value of the Tin Sub-Index is more or less likely to increase or decrease at any time during the term of the Tin ETNs. The historical levels do not give an indication of future
performance of the Tin Sub-Index. There can be no assurance that the future performance of the Tin Sub-Index or its index components will result in holders of the Tin ETNs receiving a positive return on their investment.
The Tin Sub-Index was launched on March 7, 2008. All data relating to the period prior to the launch of the Tin Sub-Index is an historical estimate
by the sponsors using available data as to how the Index may have performed in the pre-launch period based upon the weightings in effect in the Commodity Index. Such data does not represent actual performance and should not be interpreted as an
indication of actual performance. Accordingly, the following table illustrates:
(i)
|
on a hypothetical basis, how the Tin Sub-Index would have performed from December 31, 1991 to December 31, 2007 based on the selection criteria and
methodology described above; and
|
(ii)
|
on an actual basis, how the Tin Sub-Index has performed from March 7, 2008 onwards.
|
|
|
|
|
|
December 31, 1991
|
|
|
99.702
|
|
December 31, 1992
|
|
|
104.499
|
|
December 31, 1993
|
|
|
86.922
|
|
December 30, 1994
|
|
|
109.651
|
|
December 29, 1995
|
|
|
120.127
|
|
December 31, 1996
|
|
|
114.318
|
|
December 31, 1997
|
|
|
109.359
|
|
December 31, 1998
|
|
|
116.331
|
|
December 31, 1999
|
|
|
143.638
|
|
December 29, 2000
|
|
|
125.872
|
|
December 31, 2001
|
|
|
95.203
|
|
December 31, 2002
|
|
|
103.768
|
|
December 31, 2003
|
|
|
160.283
|
|
December 31, 2004
|
|
|
206.970
|
|
December 31, 2005
|
|
|
187.208
|
|
December 29, 2006
|
|
|
348.100
|
|
December 31, 2007
|
|
|
519.023
|
|
December 31, 2008
|
|
|
346.38
|
|
December 31, 2009
|
|
|
584.663
|
|
December 31, 2010
|
|
|
924.939
|
|
December 30, 2011
|
|
|
655.129
|
|
September 28, 2012
|
|
|
745.814
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-75
Source: Bloomberg.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-76
LICENSE AGREEMENTS
The Dow Jones-UBS Commodity Indexes
SM
are a joint product of Dow Jones Opco, LLC (
Dow Jones Opco
), a subsidiary of S&P Dow Jones
Indices LLC, and UBS Securities LLC (
UBS Securities
), and have been licensed for use by Barclays Bank PLC. Dow Jones
®
, DJ, UBS, Dow Jones-UBS Commodity Index
SM
, Dow Jones-UBS Commodity Index Total Return
SM
Dow Jones-UBS Agriculture Subindex Total Return
SM
, Dow Jones-UBS Aluminum Subindex Total Return
SM
, Dow Jones-UBS Cocoa Subindex Total Return
SM
, Dow Jones-UBS Coffee Subindex Total Return
SM
, Dow Jones-UBS Copper Subindex Total Return
SM
, Dow Jones-UBS Cotton Subindex Total Return
SM
, Dow Jones-UBS Energy Subindex Total Return
SM
, Dow Jones-UBS Grains Subindex Total Return
SM
, Dow Jones-UBS Industrial Metals Subindex Total Return
SM
, Dow Jones-UBS Lead Subindex Total Return
SM
, Dow Jones-UBS Livestock Subindex Total Return
SM
, Dow Jones-UBS Natural Gas Subindex Total Return
SM
, Dow Jones-UBS Nickel Subindex Total Return
SM
, Dow Jones-UBS Platinum Subindex Total Return
SM
, Dow Jones-UBS Precious Metals Subindex Total
Return
SM
, Dow Jones-UBS Softs Subindex Total
Return
SM
, Dow Jones-UBS Sugar Subindex Total
Return
SM
and Dow Jones-UBS Tin Subindex Total
Return
SM
, and DJ-UBSCI
SM
are service and/or trademarks of Dow Jones Trademark Holdings,
LLC (
Dow Jones
) and UBS AG (
UBS AG
), as the case may be. S&P is a registered trademark of Standard & Poors Financial Services LLC.
The ETNs based on the Dow Jones-UBS Commodity Indices are not sponsored, endorsed, sold or promoted by Dow Jones, UBS AG, UBS
Securities, Dow Jones Opco or any of their subsidiaries or affiliates. None of Dow Jones, UBS AG, UBS Securities, Dow Jones Opco or any of their subsidiaries or affiliates makes any representation or warranty, express or implied, to the owners of or
counterparts to the ETNs or any member of the public regarding the advisability of investing in securities or commodities generally or in the ETNs particularly. The only relationship of Dow Jones, UBS AG, UBS Securities, Dow Jones Opco or any of
their subsidiaries or affiliates to Barclays Bank PLC is the licensing of certain trademarks, trade names and service marks and of DJ-UBSCI and the Indices, which are determined, composed and calculated by Dow Jones Opco in conjunction with UBS
Securities without regard to Barclays Bank PLC or the ETNs. Dow Jones, UBS Securities and Dow Jones Opco have no obligation to take the needs of Barclays Bank PLC or the owners of the ETNs into consideration in determining, composing or calculating
DJ-UBSCI and the Indices. None of Dow Jones, UBS AG, UBS Securities, Dow Jones Opco or any of their respective subsidiaries or affiliates is responsible for or has participated in the determination of the timing of, prices at, or quantities of the
ETNs to be issued or in the determination or calculation of the equation by which the ETNs are to be converted into cash. None of Dow Jones, UBS AG, UBS Securities, Dow Jones Opco or any of their subsidiaries or affiliates shall have any obligation
or liability, including, without limitation, to ETNs customers, in connection with the administration, marketing or trading of the ETNs. Notwithstanding the foregoing, UBS AG, UBS Securities, CME Group Inc., an affiliate of S&P Dow Jones Indices
LLC, and their respective subsidiaries and affiliates may independently issue and/or sponsor financial products unrelated to the ETNs currently being issued by Barclays Bank PLC, but which may be similar to and competitive with the ETNs. In
addition, UBS AG, UBS Securities, CME Group Inc. and their subsidiaries and affiliates actively trade commodities, commodity indexes and commodity futures (including the Dow Jones-UBS Commodity Index, Dow Jones-UBS Commodity Index Total
Return
SM
and the Indices), as well as swaps, options and
derivatives which are linked to the performance of such commodities, commodity indexes and commodity futures. It is possible that this trading activity will affect the value of the Dow Jones-UBS Commodity Index and ETNs
This pricing supplement relates only to ETNs and does not relate to the exchange-traded physical commodities underlying any of the Dow Jones-UBS
Commodity Index components and the components of the Indices. Purchasers of the ETNs should not conclude that the inclusion of a futures contract in the Dow Jones-UBS Commodity Index or in the Indices is any form of investment recommendation of the
futures contract or the underlying exchange-traded
PS-77
physical commodity by Dow Jones, UBS AG, UBS Securities, Dow Jones Opco or any of their subsidiaries or affiliates. The information in this pricing supplement regarding the Dow Jones-UBS
Commodity Index components and the components of the Indices have been derived solely from publicly available documents. None of Dow Jones, UBS AG, UBS ETNs, Dow Jones Opco or any of their subsidiaries or affiliates has made any due diligence
inquiries with respect to the Dow Jones-UBS Commodity Index components and the components of the Indices in connection with the ETNs. None of Dow Jones, UBS AG, UBS Securities, Dow Jones Opco or any of their subsidiaries or affiliates makes any
representation that these publicly available documents or any other publicly available information regarding the Dow Jones-UBS Commodity Index components and the components of the Indices, including without limitation a description of factors that
affect the prices of such components, are accurate or complete.
NONE OF DOW JONES, UBS AG, UBS SECURITIES, DOW
JONES OPCO OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE DOW JONES-UBS COMMODITY INDEX, THE INDICES OR ANY DATA RELATED THERETO AND NONE OF DOW JONES, UBS AG, UBS SECURITIES, DOW JONES OPCO OR ANY
OF THEIR SUBSIDIARIES OR AFFILIATES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. NONE OF DOW JONES, UBS AG, UBS SECURITIES, DOW JONES OPCO OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY WARRANTY, EXPRESS OR
IMPLIED, AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, OWNERS OF THE ETNS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE DOW JONES-UBS COMMODITY INDEX
SM
, THE INDICES OR ANY DATA RELATED THERETO. NONE OF DOW JONES, UBS AG, UBS SECURITIES, DOW JONES OPCO OR ANY OF THEIR
SUBSIDIARIES OR AFFILIATES MAKES ANY EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE DOW JONES-UBS COMMODITY INDEX
SM
, THE INDICES OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF
THE FOREGOING, IN NO EVENT SHALL DOW JONES, UBS AG, UBS SECURITIES, DOW JONES OPCO OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED
OF THE POSSIBILITY THEREOF. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS AMONG UBS SECURITIES, DOW JONES OPCO AND BARCLAYS BANK PLC, OTHER THAN UBS AG AND THE LICENSORS OF DOW JONES OPCO
.
PS-78
VALUATION OF THE ETNS
The market value of each series of ETNs will be affected by several factors, many of which are beyond our control. We expect that generally the level of
the Index underlying the ETNs on any day will affect the market value of the ETNs more than any other factors. Other factors that may influence the market value of a series of ETNs include, but are not limited to, supply and demand for the series of
ETNs, the volatility of the Index underlying the ETNs, the market price of the index components included in that Index, the Treasury Bill rate of interest, the volatility of commodities prices, economic, financial, political, regulatory, or judicial
events that affect the value of the Index underlying the ETNs or the market price of the index components included in that Index, the general interest rate environment, as well as the perceived creditworthiness of Barclays Bank PLC. See Risk
Factors in this pricing supplement for a discussion of the factors that may influence the market value of the ETNs prior to maturity.
Indicative Value
We or an affiliate expect to calculate and publish the closing
indicative value of each series of ETNs on each trading day at www.iPathETN.com. In connection with any series of ETNs, we use the term indicative value to refer to the value at a given time determined based on the following
equation:
Indicative Value = Principal Amount per ETN × (Current Index Level / Initial Index
Level) - Current Investor Fee
where:
Principal Amount per ETN = $50;
Current Index Level = The most recent
published level of the Index underlying the ETNs as reported by the UBS;
Initial Index Level = The level of that Index on the
inception date; and
Current Investor Fee = The most recent daily calculation of the investor fee with respect to the ETNs,
determined as described in this pricing supplement (which, during any trading day, will be the investor fee determined on the preceding calendar day).
Additionally, an intraday indicative value meant to approximate the intrinsic economic value of each series of ETNs will be calculated and published by Bloomberg L.P. or a successor via the
facilities of the Consolidated Tape Association. The ticker symbols for the intraday indicative value of each series of ETNs are as follows:
|
|
Commodity Index ETNs: DJP.IV
|
|
|
Agriculture ETNs: JJA.IV
|
|
|
Industrial Metals ETNs: JJM.IV
|
|
|
Natural Gas ETNs: GAZ.IV
|
|
|
Precious Metals ETNs: JJP.IV
|
For
purposes of calculating this intraday indicative value, Bloomberg L.P. or a successor will use appropriate market data (for example, an average of live exchange rate from major financial institutions and market participants) available during the day
to approximate the relevant Index. Bloomberg L.P. is not affiliated with Barclays Bank PLC and does not approve, endorse, review or recommend Barclays Bank PLC or any series of the ETNs.
The intraday indicative value will be derived from sources deemed reliable, but Bloomberg L.P. and its suppliers do not guarantee the correctness or completeness of the intraday indicative value or other
information furnished in
PS-79
connection with any series of ETNs. Bloomberg L.P. makes no warranty, express or implied, as to results to be obtained by Barclays Bank PLC, Barclays Bank PLCs customers, holders of the
ETNs, or any other person or entity from the use of the indicative value or any data included therein. Bloomberg L.P. makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular
purpose with respect to the indicative value or any data included therein.
Bloomberg L.P., its employees, subcontractors, agents, suppliers
and vendors shall have no liability or responsibility, contingent or otherwise, for any injury or damages, whether caused by the negligence of Bloomberg L.P., its employees, subcontractors, agents, suppliers or vendors or otherwise, arising in
connection with the intraday indicative value or any series of the ETNs, and shall not be liable for any lost profits, losses, punitive, incidental or consequential damages. Bloomberg L.P. shall not be responsible for or have any liability for any
injuries or damages caused by errors, inaccuracies, omissions or any other failure in, or delays or interruptions of, the intraday indicative value, from whatever cause. Bloomberg L.P. is not responsible for the selection of or use of
any Index or any series of the ETNs, the accuracy and adequacy of any Index or information used by Barclays Bank PLC and the resultant output thereof.
The intraday indicative value calculation will be provided for reference purposes only. It is not intended as a price or quotation, or as an offer or solicitation for the purchase, sale, redemption or
termination of your ETNs, nor will it reflect hedging or transaction costs, credit considerations, market liquidity or bid-offer spreads. Published Index levels from Dow Jones and UBS may occasionally be subject to delay or postponement. Any such
delays or postponements will affect the current Index level and therefore the intraday indicative value for a series of ETNs. Index levels provided by Dow Jones and UBS will not necessarily reflect the depth and liquidity of the underlying
commodities markets. For this reason and others, the actual trading price of any series of ETNs may be different from their intraday indicative value.
As discussed in Specific Terms of the ETNsPayment Upon Redemption, you may, subject to certain restrictions, choose to redeem your ETNs on any redemption date during the term of the
ETNs. If you redeem your ETNs on a particular redemption date, you will receive a cash payment in U.S. dollars on such date in an amount equal to the daily redemption value, which is (1) the principal amount of your ETNs
times
(2) the index factor for that series of ETNs on the relevant valuation date
minus
(3) the investor fee for that series of ETNs on the applicable valuation date. You must redeem at least 50,000 ETNs of the same series at one time
in order to exercise your right to redeem your ETNs on any redemption date. The daily redemption feature is intended to induce arbitrageurs to counteract any trading of the ETNs at a discount to their indicative value, though there can be no
assurance that arbitrageurs will employ the redemption feature in this manner.
SPECIFIC TERMS
OF THE ETNS
In this section, references to holders mean those who own ETNs registered in their own names, on the books that
we or the trustee maintain for this purpose, and not those who own beneficial interests in ETNs registered in street name or in ETNs issued in book-entry form through DTC or another depositary. Owners of beneficial interests in the ETNs should read
the section entitled Description of Debt SecuritiesLegal Ownership; Form of Debt Securities in the accompanying prospectus.
Each series of ETNs is part of a series of debt securities entitled Global Medium-Term Notes, Series A (the
medium-term
notes
) that we may issue under the indenture, dated September 16, 2004, between Barclays Bank PLC and The Bank of New York Mellon, as trustee, from time to time. This pricing supplement summarizes specific financial and other terms
that apply to each series of ETNs. Terms that apply generally to all medium-term notes are described in Description of Medium-Term Notes and Terms of the Notes in the accompanying prospectus supplement, and terms that apply
generally to all index-linked notes are described in Reference AssetsIndices in the accompanying prospectus supplement. The terms described here (
i.e.
, in
PS-80
this pricing supplement) supplement those described in the accompanying prospectus, prospectus supplement and any related free writing prospectuses and, if the terms described here are
inconsistent with those described in those documents, the terms described here are controlling.
Please note that the information about the
price to the public and the proceeds to Barclays Bank PLC on the front cover of this pricing supplement relates only to the initial sale of the ETNs. If you have purchased the ETNs in a market-making transaction after the initial sale, information
about the price and date of sale to you will be provided in a separate confirmation of sale.
We describe the terms of each series of ETNs in
more detail below.
Inception, Issuance and Maturity
The Commodity Index ETNs were each first sold on June 6, 2006, which we refer to as their inception date. Each series of ETNs was first issued on June 9, 2006, and they are due on June 12,
2036.
The second-group ETNs were each first sold on October 23, 2007, which we refer to as their inception date. Each of these series of
ETNs was first issued on October 26, 2007, and each is due on October 22, 2037.
The third-group ETNs were each first sold on
June 24, 2008, which we refer to as their inception date. Each of these series of ETNs was first issued on June 27, 2008, and each will be due on June 24, 2038.
If the maturity date for a series of ETNs is not a business day, the maturity date will be the next following business day. If the fifth business day before this day does not qualify as a valuation date
(as described below), then the maturity date will be the fifth business day following the final valuation date. The calculation agent may postpone the final valuation dateand therefore the maturity dateif a market disruption event occurs
or is continuing on a day that would otherwise be the final valuation date. We describe market disruption events under Market Disruption Event below.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with respect to that deferred payment.
Coupon
We will not pay
you interest during the term of the ETNs.
Denomination
We will offer the ETNs in denominations of $50.
Payment at Maturity
If you have not previously redeemed your ETNs, you will receive a cash payment in U.S. dollars at maturity in an amount equal to
(1) the principal amount of your ETNs
times
(2) the applicable index factor on the final valuation date
minus
(3) the applicable investor fee on the final valuation date.
Payment Upon Redemption
Prior to maturity, you may, subject to certain restrictions, redeem your ETNs on any redemption date during the term of the ETNs, provided that you
present at least 50,000 ETNs of the same series for redemption, or your broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker-dealer to engage in securities transactions) bundles
your ETNs for redemption with those of other investors to reach this minimum. If you choose to redeem your ETNs on a redemption date, you will receive a cash payment in U.S. dollars on such date in an amount equal to the daily redemption value,
which is (1) the principal amount of your ETNs
times
(2) the applicable index factor on the applicable valuation date
minus
(3) the applicable investor fee on the applicable valuation date. You must redeem at least
50,000 ETNs of the same series at one time in order to exercise your right to redeem your ETNs on any redemption date. We may from time to time in our sole discretion reduce, in part or in whole, the minimum redemption amount of 50,000 ETNs. Any
such reduction will be applied on a consistent basis for all holders of ETNs at the time the reduction becomes effective.
PS-81
In the event that payment upon redemption is deferred beyond the original redemption date, penalty interest
will not accrue or be payable with respect to that deferred payment.
Index Factor
The index factor for a series of ETNs on any given day will be equal to the closing value of the Index underlying those ETNs on that day
divided by
the initial index level. The initial index level for a series of ETNs is the closing value of the Index underlying those ETNs on the inception date of those ETNs.
Investor Fee
The investor fee for a series of ETNs is equal to 0.75% per year
times
the principal amount of your ETNs
times
the applicable index factor, calculated on a daily basis in the following manner. The investor fee on the inception date of the ETNs will equal zero. On each subsequent calendar day until
maturity or early redemption, the investor fee will increase by an amount equal to (1) 0.75%
times
(2) the principal amount of your ETNs
times
(3) the applicable index factor on that day (or, if such day is not a trading
day, the index factor on the immediately preceding trading day)
divided by
(4) 365.
Valuation Date
In the case of the Commodity Index ETNs, a valuation date is each business day from June 15, 2006 to June 5, 2036, inclusive
(subject to the occurrence of a market disruption event), or, if such date is not a trading day, the next succeeding trading day, not to exceed five business days. We refer to Thursday, June 5, 2036, as the final valuation date for the
Commodity Index ETNs.
In the case of the second-group ETNs, a valuation date is each business day from October 24, 2007 to
October 15, 2037, inclusive (subject to the occurrence of a market disruption event), or, if such date is not a trading day, the next succeeding trading day, not to exceed five business days. We refer to Thursday, October 15, 2037, as the
final valuation date for these series of ETNs.
In the case of the third-group ETNs, a valuation date is each business day from June 25,
2008 to June 17, 2038, inclusive (subject to the occurrence of a market disruption event), or, if such date is not a trading day, the next succeeding trading day, not to exceed five business days. We refer to June 17, 2038, as the final
valuation date for these series of ETNs.
Redemption Date
A redemption date is the third business day following a valuation date (other than the final valuation date). The final redemption date for each series of ETNs will be the third business day following the
valuation date that is immediately prior to the final valuation date for that series of ETNs.
Trading Day
A trading day with respect to any series of ETNs is a day on which (i) the value of the Index to which the ETNs are linked is published by UBS and
S&P Dow Jones Indices, (ii) trading is generally conducted on the NYSE Arca and (iii) trading is generally conducted on the markets on which the futures contracts underlying the respective Index are traded, in each case as determined
by the calculation agent in its sole discretion.
Redemption Procedures
You may, subject to the minimum redemption amount described above, elect to redeem your ETNs on any redemption date. To redeem your ETNs, you must
instruct your broker or other person with whom you hold your ETNs to take the following steps:
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deliver a notice of redemption, which is attached as Annex A, to us via email by no later than 4:00 p.m., New York City time, on the business day
prior to the applicable valuation date. If we receive your notice by the time specified in the preceding sentence, we will respond by sending you a form of confirmation of redemption, which is attached as Annex B;
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deliver the signed confirmation of redemption to us via facsimile in the specified form by 5:00 p.m., New York City time, on the same day. We or
our affiliate must acknowledge receipt in order for your confirmation to be effective;
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instruct your DTC custodian to book a delivery vs. payment trade with respect to your ETNs on the valuation date at a price equal to the applicable
daily redemption value, facing Barclays DTC 5101; and
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cause your DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m., New York City time, on the applicable
redemption date (the third business day following the valuation date).
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Different brokerage firms may have different
deadlines for accepting instructions from their customers. Accordingly, you should consult the brokerage firm through which you own your interest in the ETNs in respect of such deadlines. If we do not receive your notice of redemption by 4:00 p.m.,
or your confirmation of redemption by 5:00 p.m., on the business day prior to the applicable valuation date, your notice will not be effective and we will not redeem your ETNs on the applicable redemption date. Any redemption instructions for which
we (or our affiliate) receive a valid confirmation in accordance with the procedures described above will be irrevocable.
Market Disruption Event
As set forth under Payment at Maturity and Payment Upon Redemption above, the calculation agent will determine the
value of the relevant Index on each valuation date, including the final valuation date. As described above, a valuation date for any series of ETNs may be postponed and thus the determination of the value of the relevant Index may be postponed if
the calculation agent determines that, on a valuation date, a market disruption event has occurred or is continuing in respect of any index component. If such a postponement occurs, the index components unaffected by the market disruption event
shall be determined on the scheduled valuation date and the value of the affected index component shall be determined using the closing value of the affected index component on the first trading day after that day on which no market disruption event
occurs or is continuing. In no event, however, will a valuation date for a series of ETNs be postponed by more than five trading days.
If a
valuation date is postponed until the fifth trading day following the scheduled valuation date but a market disruption event occurs or is continuing on such day, that day will nevertheless be the valuation date and the calculation agent will make a
good faith estimate in its sole discretion of the value of the relevant Index for such day.
Any of the following will be a market disruption
event:
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a material limitation, suspension or disruption in the trading of any index component which results in a failure by the trading facility on which the
relevant contract is traded to report a daily contract reference price (the price of the relevant contract that is used as a reference or benchmark by market participants);
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the daily contract reference price for any index component is a limit price, which means that the daily contract reference price for such
contract has increased or decreased from the previous days daily contract reference price by the maximum amount permitted under the applicable rules or procedures of the relevant trading facility;
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failure by UBS and Dow Jones to publish the closing value of the relevant Index or of the applicable trading facility or other price source to announce
or publish the daily contract reference price for one or more index components; or
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any other event, if the calculation agent determines in its sole discretion that the event materially interferes with our ability or the ability of any
of our affiliates to unwind all or a material portion of a hedge with respect to the ETNs that we or our affiliates have effected or may effect as described below under Use of Proceeds and Hedging in this pricing supplement.
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The following events will not be market disruption events:
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a limitation on the hours or numbers of days of trading on a trading facility on which any index component is traded, but only if the limitation
results from an announced change in the regular business hours of the relevant market; or
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a decision by a trading facility to permanently discontinue trading in any index component.
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Default Amount on Acceleration
If an event of default occurs and the maturity of a series of ETNs is accelerated, we will pay the default amount in respect of the principal of that series of ETNs at maturity. We describe the default
amount below under Default Amount.
For the purpose of determining whether the holders of our medium-term notes, of which
each series of ETNs is a part, are entitled to take any action under the indenture, we will treat the stated principal amount of each ETN outstanding as the principal amount of that ETN. Although the terms of the ETNs may differ from those of the
other medium-term notes, holders of specified percentages in principal amount of all medium-term notes, together in some cases with other series of our debt securities, will be able to take action affecting all the medium-term notes, including the
ETNs. This action may involve changing some of the terms that apply to the medium-term notes, accelerating the maturity of the medium-term notes after a default or waiving some of our obligations under the indenture. We discuss these matters in the
attached prospectus under Description of Debt SecuritiesModification and Waiver and Senior Events of Default; Subordinated Events of Default and Defaults; Limitations of Remedies.
Default Amount
The default amount for a
series of ETNs on any day will be an amount, determined by the calculation agent in its sole discretion, equal to the cost of having a qualified financial institution, of the kind and selected as described below, expressly assume all our payment and
other obligations with respect to that series of ETNs as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing substantially equivalent economic value to you with respect to such ETNs. That cost
will equal:
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the lowest amount that a qualified financial institution would charge to effect this assumption or undertaking, plus
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the reasonable expenses, including reasonable attorneys fees, incurred by the holders of such ETNs in preparing any documentation necessary for
this assumption or undertaking.
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During the default quotation period for a series of ETNs, which we describe below, the
holders of such ETNs and/or we may request a qualified financial institution to provide a quotation of the amount it would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in
writing of the quotation. The amount referred to in the first bullet point above will equal the lowestor, if there is only one, the onlyquotation obtained, and as to which notice is so given, during the default quotation period. With
respect to any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the qualified financial institution providing the quotation and notify the other party in
writing of those grounds within two business days after the last day of the default quotation period, in which case that quotation will be disregarded in determining the default amount.
Default Quotation Period
The default quotation period is the period beginning on the day
the default amount first becomes due and ending on the third business day after that day, unless:
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no quotation of the kind referred to above is obtained, or
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every quotation of that kind obtained is objected to within five business days after the due date as described above.
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If either of these two events occurs, the default quotation period will continue until the third business day after the first business day on which
prompt notice of a quotation is given as described above. If that quotation is objected to as described above within five business days after that first business day, however, the default quotation period will continue as described in the prior
sentence and this sentence.
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In any event, if the default quotation period and the subsequent two business day objection period have not
ended before the final valuation date, then the default amount will equal the principal amount of the series of ETNs.
Qualified Financial
Institutions
For the purpose of determining the default amount at any time, a qualified financial institution must be a financial
institution organized under the laws of any jurisdiction in the United States of America or Europe, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue and rated either:
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A-1 or higher by Standard & Poors Ratings Services or any successor, or any other comparable rating then used by that rating agency, or
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P-1 or higher by Moodys Investors Service or any successor, or any other comparable rating then used by that rating agency.
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Further Issuances
We may, without your consent, create and issue additional securities having the same terms and conditions as any series of ETNs. If there is substantial demand for a series of ETNs, we may issue
additional ETNs frequently. We may consolidate the additional securities to form a single class with the outstanding ETNs.
Discontinuance or Modification of an Index
If UBS and S&P Dow Jones Indices discontinue publication of an Index and they or any other person or entity publishes an index that the calculation agent determines is comparable to the discontinued
Index and approves as a successor index, then the calculation agent will determine the value of the relevant Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such successor index.
If the calculation agent determines that the publication of an Index is discontinued and that there is no successor index, or that the
closing level of an Index is not available because of a market disruption event or for any other reason, on the date on which the value of that Index is required to be determined, or if for any other reason an Index is not available to us or the
calculation agent on the relevant date, the calculation agent will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the relevant Index.
If the calculation agent determines that an Index, the index components of an Index or the method of calculating an Index has been changed at any time in
any respectIncluding any addition, deletion or substitution and any reweighting or rebalancing of index components, and whether the change is made by UBS and S&P Dow Jones Indices under their existing policies or following a modification
of those policies, is due to the publication of a successor index, is due to events affecting one or more of the index components, or is due to any other reasonthen the calculation agent will be permitted (but not required) to make such
adjustments to that Index or method of calculating that Index as it believes are appropriate to ensure that the value of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.
All determinations and adjustments to be made by the calculation agent with respect to the value of an Index and the amount payable at maturity or upon
redemption or otherwise relating to the value of an Index may be made in the calculation agents sole discretion. See Risk Factors in this pricing supplement for a discussion of certain conflicts of interest which may arise with
respect to the calculation agent.
Manner of Payment and Delivery
Any payment on or delivery of a series of ETNs at maturity will be made to accounts designated by you and approved by us, or at the office of the trustee
in New York City, but only when the ETNs are surrendered to the trustee at that office. We also may make any payment or delivery in accordance with the applicable procedures of the depositary.