Guideline relating to. Solactive Eurozone Rendite Plus 1-10 Bond Index

Transcription

1 Gudelne relatng to Solactve Eurozone Rendte Plus 1-10 Bond Index Verson 1.1 dated December 3rd,

2 Contents Introducton 1 Index specfcatons 1.1 Short name and ISIN 1.2 Intal value 1.3 Dstrbuton 1.4 Prces and calculaton frequency 1.5 Weghtng 1.6 Decson-makng bodes 1.7 Publcaton 1.8 Hstorcal data 1.9 Lcensng 2 Composton of the Index 2.1 Selecton of the Index Components 2.2 Ordnary adjustment 2.3 Extraordnary adjustment 3 Calculaton of the Index 3.1 Index formula 3.2 Accuracy 3.3 Adjustments 4 Defntons 4.1 Index-specfc defntons 4.2 Further defntons 5 Appendx 5.1 Contact data 5.2 Calculaton of the Index change n calculaton method Ths document contans the underlyng prncples and regulatons regardng the structure and operaton of the Solactve Eurozone Rendte Plus 1-10 Bond Index. Solactve AG shall make every effort to mplement the relevant regulatons. Solactve AG does not offer any explct or tact guarantee or assurance, nether pertanng to the results from the use of the ndex nor the ndex value at any gven pont n tme nor n any other respect. The Solactve Eurozone Rendte Plus 1-10 Bond Index s the sole property of Solactve AG. Solactve AG strves to the best of ts ablty to ensure the correctness of the calculaton. There s no oblgaton for Solactve AG rrespectve of possble oblgatons to ssuers to advse thrd partes, ncludng nvestors and/or fnancal ntermedares, of any errors n the ndex. The calculaton and publcaton of the ndex by Solactve AG s not a recommendaton for captal nvestment and does not contan any assurance or opnon of Solactve AG regardng a possble nvestment n a fnancal nstrument based on ths ndex. 2

3 Introducton Ths document s to be used as a gudelne wth regard to the composton, calculaton and management of the Solactve Eurozone Rendte Plus 1-10 Bond Index. Any changes made to the gudelne are ntated by the Commttee specfed n secton 1.6. The Solactve Eurozone Rendte Plus 1-10 Bond Index s the sole property of Solactve AG. The Solactve Eurozone Rendte Plus 1-10 Bond Index s calculated and publshed by Solactve AG. The name Solactve s copyrghted. 1 Index specfcatons The Solactve Eurozone Rendte Plus 1-10 Bond Index s a rules-based, market value weghted ndex engneered to mrror the performance of the hgher yeldng segment of Eurozone nvestment grade government bonds. The Solactve Eurozone Rendte Plus 1-10 Bond Index s calculated as a Total Return Index wth coupon payments beng drectly renvested nto the ndex and a Prce Return Index,.e. coupon payments wll not be consdered n the ndex calculaton. 1.1 Name and ISIN The Solactve Eurozone Rendte Plus 1-10 Bond Index s dstrbuted under ISIN DE000SLA07W3; the WKN s SLA07W. The Index s publshed n Reuters under the code.solerp and n Bloomberg under the code SOLERP Index. The Solactve Eurozone Rendte Plus 1-10 Bond Index TR s dstrbuted under ISIN DE000SLA1NA4; the WKN s SLA1NA. The Index s publshed n Reuters under the code.solerptr. 1.2 Intal value The ndex wll be calculated every Busness Day startng on the 1 st of September Before ths date the ndex values are backflled untl 4 th of January 2010, wth the ndex value based on 1000 as at the close of tradng on 4 th of January Dstrbuton The Solactve Eurozone Rendte Plus 1-10 Bond Index s publshed va the prce marketng servces of Boerse Stuttgart AG and s dstrbuted to all afflated vendors. 1.4 Prces and calculaton frequency The Solactve Eurozone Rendte Plus 1-10 Bond Index s calculated based on the Evaluated Bd Prce (see 4.2 Further Defntons) of the respectve Index Components. The ndex s calculated and dstrbuted hourly every Busness Day. Bond and ndex analytcal values are calculated each Busness Days usng the Last Evaluated Prce. New bonds are ncluded n the ndex at ther Evaluated Ask Prce. Weght ncreases of a bond (due to an ordnary or extraordnary ndex adjustment) are taken nto account at the Evaluated Ask Prce. Updated ndex values and other statstcs wll not be dstrbuted. In the event that the data requred for ndex calculaton purposes s not avalable or that there are troubles regardng the prce marketng of Solactve AG or Stuttgart Stock exchange the ndex cannot be dstrbuted. 3

4 1.5 Weghtng The Index Components are weghted accordng to ther respectve Market Values n proporton to the aggregated Market Value of all Index Components n the ndex. A cappng of 20% per country s appled. The cappng factors of the Total Return Index are consdered for the Prce Return Index. 1.6 Decson-makng bodes A Commttee composed of staff from Solactve AG s responsble for decsons regardng the composton of the Solactve Eurozone Rendte Plus 1-10 Bond Index, as well as any amendments to the rules (herenafter referred to as the "Commttee or the Index Commttee ). The Commttee wll also determne the future composton of the Solactve Eurozone Rendte Plus 1-10 Bond Index f any Extraordnary Event (see chapter 2.3) occurs, as well as the mplementaton of any necessary adjustments. Members of the Commttee can recommend at any tme changes to the composton of the Index or to the gudelne and submt them to the Commttee for approval. Any change of the gudelne wll be announced on the web page Publcaton All specfcatons and nformaton relevant for calculatng the ndex are made avalable on the web page and sub-pages. 1.8 Hstorcal data Hstorcal data wll be mantaned from 4 th of January Lcencng Lcences to use the ndex as the underlyng value for dervatve nstruments are ssued to stock exchanges, banks, fnancal servces provders and nvestment houses by Solactve AG. 4

5 2 Composton of the Index 2.1 Selecton of the Index Components At the launch of the ndex, all fnancal nstruments whch meet the requrements of the Selecton Pool are elgble for ncluson n the ndex. Instruments ssued pror to the Selecton Day and whch meet the crtera of the Selecton Pool as defned under 4.1 wll be added on the monthly Adjustment Day to the Selecton Pool. Addtonally, on the quarterly Selecton Day, the Index Commttee wll evaluate whether all current Index Components stll meet the requrements of the Selecton Pool. Any Index Components that do not pass ths screen wll be removed from the Index on the next Adjustment day. Extraordnary adjustments are possble as descrbed under Ordnary adjustment The composton of the ndex s ordnarly revewed on the quarterly Selecton Day, whch occurs sx busness days pror to the Adjustment day. Any change to the ndex wll be mplemented on the Adjustment Day, the last busness day of January, Aprl, July and October. 2.3 Extraordnary adjustment The Index Commttee wll decde about the future composton and the mplementaton of any necessary adjustments of the Solactve Eurozone Rendte Plus 1-10 Bond Index f an Extraordnary Event (early redempton, credt event etc.) regardng one or more ndex consttuents occurs. See detals under 3.3 Adjustments The Index Commttee wll decde on the future composton of the Solactve Eurozone Rendte Plus 1-10 Bond Index as well as the Busness Day whch marks the startng of the new adjusted ndex composton. 5

6 3 Calculaton of the Index Index formula The Solactve Eurozone Rendte Plus 1-10 Bond Index s an ndex whose value reflects the relatve changes n bond values. Therefore the composton and weghtng s adjusted every quarter. The Total Return Index s calculated usng the followng formula: Totalretur n Prce ACCIntt, PadCash t Prce ACCInt, t1, t1, 1 weghtng (Prce ACCInt a (Prce t ACCInt 1, ) * Amount ) * Amount * Cap * Cap Index t Index t a 1 *(1 ( Totalreturn t 1, * weghtng t1, ) The Prce Return Index s calculated usng the followng formula: Prceretur n Prce Prce t1, 1 weghtng Prce a Prce 1 * Amount * Amount * Cap * Cap Index t Index t a 1 *(1 (Prceretur nt 1, * weghtng t1, ) Whereas: Totalretur n = Total return of the bond on tradng day t Pr cereturn t, = Prce return of the bond on tradng day t Index t = Value of the ndex on tradng day t Index = Value of the ndex on tradng day t-1 t1 Prce,t = Prce of the bond on tradng day t 6

7 Prce, t 1 = Prce of the bond on tradng day t-1 ACCInt, t = Accrued Interest of the bond on tradng day t (for the avodance of doubt the ndex takes nto account a settlement conventon of t+3) ACCInt, t1 = Accrued Interest of the bond on tradng day t-1 (for the avodance of doubt the ndex takes nto account a settlement conventon of t+3) Weghtng t, = Weghtng of the bond on tradng day t Amount = Amount Outstandng of bond on the last Selecton Day SD PadCash, t = a) Value of the coupon payment for bond on tradng day t b) If a bond wll be removed from the ndex, the resultng payment of the bond wll be ncluded n the pad cash component Cap, = Parameter used to scale the weghtng of bond to fulfll weghtng requrements SD descrbed n 1.5 defned on Selecton Day SD 3.2 Accuracy The value of the ndex wll be rounded to two decmal places. The ndex does not take taxes nto account and assumes gross coupon payments for the Total Return Index. 3.3 Adjustments Indces need to be adjusted for systematc changes n prces once these become effectve. The Commttee wll decde from tme to tme f the Solactve Eurozone Rendte Plus 1-10 Bond Index needs to be adjusted. The followng corporate actons wll result n changes or adjustments to an ndex as ndcated below between Adjustment Days: (a) Early Redempton or Full Call: The bond proceeds wll be renvested nto the ndex on the effectve date. For the avodance of doubt a Tender must be mandatory, the pure offer to tender a bond wll not lead to an adjustment of the ndex.* (b) Flat Tradng: A bond s flat tradng f the bond ssuer wll not meet ts coupon payment oblgaton whch means that the buyer of a bond s not responsble for payng the nterest that has accrued snce the last payment. If a bond s defned to be flat tradng between two Adjustment Days the respectve accrued nterests and coupons wll be set to 0. The bond wll not be removed untl the next Adjustment Day. (c) Defaulted Bonds: If the status of a bond status changes to In Default, the bond wll be removed from the ndex at the last avalable Evaluated Bd Prce. (d) Exchange Offers: 1) Optonal Exchange Offers: Optonal Exchange Offers wll not result n an adjustment of the ndex.* 2) Mandatory Exchanges Offers: a. In case more than 90% of the Amount Outstandng s exchanged the exchange wll be consdered n the ndex calculaton by exchangng the relevant bonds, so that the new bond wll receve the weght of the old exchanged bond. 7

8 b. In case less than 90% of the Amount Outstandng s exchanged the exchange wll not be consdered to be an event that affects the relevant bond s poston n the ndex. (e) Fungble Bonds: 1) The parent bond and the sub-tranche are both ndex consttuents: Both bonds are kept n the ndex untl the next Adjustment Day. On the next Adjustment Day the new bond wll be removed and the Amount Outstandng of the parent bond wll be ncreased by the amount of the new bond ssue. 2) The parent bond s an ndex consttuent and the sub-tranche s not: On the next Adjustment Day the Amount Outstandng of the parent bond wll be ncreased by the amount of the sub-tranche. 3) The parent bond s not an ndex consttuent but the sub-tranche s: On the next Adjustment Day the sub-tranche leaves the ndex and the parent bond enters the ndex ncludng the Amount Outstandng added from the sub-tranche (assumng that t meets the requrements of the Selecton Pool). (f) Ratng Downgrade: Ratngs are revewed monthly on the Busness Day 6 days pror to the last Busness Day of each month. 1) If there s a downgrade affectng one partcular Index Component (.e. an Index Component s not rated Investment Grade as defned n secton 4.1) t wll be replaced after COB on the last Busness Day of the month. The replacement bond s a bond ssued by the respectve country that s selected based on the rankng crtera descrbed n secton ) If a country s downgraded all bonds from that country wll be replaced after COB on the last Busness Day of the month. The replacement country s determned by selectng the country wth the hghest 5y yeld wthn the pool of remanng Eurozone countres that are not yet part of the ndex. Up to 5 bonds are selected based on the rankng crtera descrbed n secton 4.1. (g) Debt ssuances: Debt ssuances of an exstng bond wll not be consdered untl the next Adjustment Day. *For the avodance of doub an optonal tender or exchange offer may lead to an ndex adjustment after the end of the submsson perod. In case the tender or exchange has been successful for at least 90% of the amount outstandng the bond wll be removed from the ndex/exchanged nto the relevant bond. 8

9 4. Defntons 4.1 ndex-specfc defntons The Selecton Pool comprses bonds that fulfll the followng condtons: (a) Issued by a Selected Eurozone Government (b) Denomnated n EUR (c) Amount Outstandng of at least 2bn EUR (d) Remanng tme to maturty of 1-10 years (e) A mnmum ratng of BBB- by Standard & Poor s or Baa3 by Moody s Investors Servce s requred. For the avodance of doubt f one of the ratng agences rates the bond as Investment Grade t s elgble for ncluson n the ndex (f) Only fxed coupon bonds wthout any knd of embedded optons are elgble for ncluson. For the avodance of doub amongst others, the followng bonds are excluded: Callable Bonds, Putable Bonds, Snkng Fund Bonds, Convertble Bonds, Inflaton-lnked Bonds, Equty-lnked Bonds, Contngent Captal Securtes, Covered Bonds, Preferred Securtes, Securtzed Bonds, Floatng Rate Bonds or Fxed-to-float Bonds (g) For a bond to be ncluded n the ndex, a prce must be avalable from a recognzed bond prce provder as determned by the Index Commttee Only 5 bonds per country are ncluded. The bonds are selected based on the followng crtera: 1. Hgher Amount Outstandng 2. Longer tme to maturty 3. Current ndex component 4. More recent ssue date In case there are less than 5 bonds all bonds are selected. The pool of Selected Eurozone Governments comprses those 6 Eurozone countres wth the hghest 5y yeld among all countres that fulfl the followng crtera: (a) Countres must be a member of the Eurozone (b) There must be at least two bonds that fulfl the crtera mentoned above. To ensure comparablty of yelds the yeld of a theoretcal bond wth exactly 5 years remanng tme to maturty s derved from a lnear nterpolaton. For each country two bonds wll serve as the reference bonds: Bond A s a bond wth a maturty of exactly 5 or a hgher tme to maturty that s closest to 5, Bond b s a bond wth smaller tme to maturty that s closest to 5. In case there are no bonds that have a hgher tme to maturty than 5, the two bonds wth a lower tme to maturty that s closest to 5 are selected. In case there are no bonds that have a smaller tme to maturty than 5, the two bonds wth a hgher tme to maturty that s closest to 5 are selected. The 5y yeld s derved from the followng lnear nterpolaton: Yeld 5 y Whereas: A Yeld B Yeld A TTM A TTM TTM Yeld 5 B Yeld 5 y Interpolated Yeld of bond wth a tme to maturty of 5 years Yeld TTM A A Yeld of Bond A Tme to maturty of Bond A A 9

10 4.2 Further defntons Adjustment Day s the last Busness Day of January, Aprl, July and October. Amount Outstandng s the face value of the respectve bond. A Busness Day n relaton to the ndex s each day Monday to Frday except common European bankng holdays. Common European bankng holdays are Good Frday, Easter Monday, Chrstmas Day, Boxng Day and New Years Day. Call means that a bond wth a callable feature wll be redeemed before the actual maturty date of the bond. The callable feature allows the ssuer of the bond to retan the prvlege of redeemng the bond before the actual maturty date. Contngent Convertble Captal Securtes are bonds that wll be converted nto equty f a certan trgger event takes place or wrtten down. Convertble Bonds are bonds that can be converted nto a predetermned amount of the company's equty at certan tmes durng ts lfe. Covered Bonds are bonds backed by cash flows or mortgages or publc sector loans. A Credt Event s the suspenson of debt servce, nsolvency or falure to pay on tme. Early Redempton ncludes every event that leads to a redempton of a bond before the actual maturty date. Exchange Offer means that the holder of a bond s nvted to exchange the exstng bond to another debt securty. In partcular an Extraordnary Event s - an early redempton of the bond - a credt event Fxed Coupon Bonds are bonds wth a fxed coupon rate, as opposed to floatng rate Coupons. A bond s Flat Tradng f the bond ssuer wll not meet ts coupon payment oblgaton whch means that the buyer of a bond s not responsble for payng the nterest that has accrued snce the last payment. Floatng Rate Bonds are bonds wth a varable or floatng nterest rate,.e. coupons fluctuate n lne wth the underlyng level of nterest rates, as opposed to fxed-rate coupons. Fungble Bond A Fungble Bond s a new ssue that has all the same specfcatons as an exstng ssue (bonds wth the same parameters can be ssued n dfferent tranches). At a specfc date the tranches wll be combned nto one bond. After ths date the parent tranche wll nclude the Amount Outstandng of all new tranches. A bond s In Default f the ssuer s not able to fulfl ts bond payment oblgatons anymore after the 30 days grace perod. The Index Calculator s Solactve AG or any other approprately apponted successor n ths functon. Index Components are all bonds n the Selecton Pool. The Index Currency s EUR. Inflaton-lnked Bonds are bonds whose prncpal s ndexed to nflaton. Investment Grade are all ratngs above BBB- by Standard & Poor s or Baa3 by Moody s Investors Servce. 10

11 Issuer s the ssung entty of the respectve bond. "Last Evaluated Prce" generally s (asde from the rules referred to n Extraordnary Events ) the last avalable Evaluated Bd Prce for current ndex members and the last Evaluated Ask Prce for addtons. Pad Cash s ether the value of the coupon payments between Adjustment Days or the resultng payment when a bond s removed from the ndex between Adjustment Days. Pad Cash s nvested drectly on the effectve date nto the ndex. Preferred Securtes combne both debt and equty characterstcs. A Prce Return Index reflects pure prce movements of the underlyng bonds. Securtzed Bonds are bonds secured aganst specfc assets or recevables (ABS), mortgages (MBS) or cash flows. Selecton Day s a Busness Day 6 Busness Days pror to the Adjustment Day. Snkng Fund Bonds are bonds that are backed by a fund that sets asde money on a regular bass. A snkable bond ssuer s requred to buy a certan amount of the bond back from the purchaser at varous ponts throughout the lfe of the bond. Tender Offer means that a holder of a bond s nvted to tender the bond for a specfc prce at a specfc tme before the actual maturty date. 11

12 5 Appendx 5.1 Contact data Informaton regardng the Solactve Eurozone Rendte Plus 1-10 Bond Index concept Solactve AG Guollettstraße Frankfurt am Man Tel.: Fax: Calculaton of the Index change n calculaton method The applcaton by the ndex calculator of the method descrbed n ths document s fnal and bndng. The ndex calculator shall apply the method descrbed above for the composton and calculaton of the ndex. However t cannot be excluded that the market envronmen supervsory, legal, fnancal or tax reasons may requre changes to be made to ths method. The ndex calculator may also make changes to the terms and condtons of the ndex and the method appled to calculate the ndex, whch he deems to be necessary and desrable n order to prevent obvous or demonstrable error or to remedy, correct or supplement ncorrect terms and condtons. The ndex calculator s not oblged to provde nformaton on any such modfcatons or changes. The Index calculator wll make announcements regardng the amendment of the ndex gudelne. Despte the modfcatons and changes the ndex calculator wll take the approprate steps to ensure a calculaton method s appled that s consstent wth the method descrbed above. 12