Guideline Change | UBS Swiss Equity Enhanced Call Writing Total Return Index [.CSEACCET] | Effective Date 16th May 2024

Today, on the 16th May 2024, Solactive announces the following changes to the guideline of the following index (the ‘Affected Index’):

These changes reflect a switch from the usage of Listed Options’ Mid Price to the usage of Listed Options’ Settlement Price in the valuation of OTC Options in the strategy.

Changes to the Index Guideline

The following change will be implemented in Sections 4.13 Listed Option Implied Volatitlity:

From:

…

Mid_t,_{Ok_m,t}: The average of the bid and ask price of LISTED OPTION O_{k_m,t} on CALCULATION DAY t

To:

…

Mid_t,_{Ok_m,t}: The official Settlement Price of LISTED OPTION O_{k_m,t} on CALCULATION DAY t

The following change will be implemented in Sections 4.14 Option Universe:

From:

…

• Only options where bid and ask prices exist are included
• Only options with a missing bid price, and an ask price lower or equal to 1.0 in OPTION CURRENCY will be added to the Option Universe with a bid equal to 0.

To:

…

• Only options where settlement prices exist are included

The following change will be implemented in Section 6 Definitions:

From:

“MID PRICE” is the average of BID PRICE and ASK PRICE.

To:

“MID PRICE” shall mean the settlement price available on the primary exchange on which the relevant option is listed during regular trading hours.

Defined terms used in this announcement, but not defined herein, have the meaning assigned to them in the respective Index Guideline of the Affected Index. The amended version of the Index Guideline of the Affected Index will be available on Solactive website on the effective date.