GUIDELINE Solactive Equileap North American Gender Equality Index Canadian Dollar Hedged

Transcription

1 GUIDELINE Solacive Equileap Norh Aerican Gender Equaliy Index Canadian Dollar Hedged Version 1.0 daed Deceber 20h, 2017

2 Conens Inroducion 1 Index specificaions 1.1 Shor nae and ISIN 1.2 Iniial value 1.3 Disribuion 1.4 Prices and calculaion frequency 1.5 Weighing 1.6 Decision-aking bodies 1.7 Publicaion 1.8 Hisorical daa 1.9 Licensing 2 Coposiion of he Index 2.1 Selecion of he index coponens 2.2 Ordinary adjusen 3 Calculaion of he Index 3.1 Index forula 3.2 Accuracy 3.3 Calculaion of he Index in he even of a arke disrupion 4 Definiions 5 Appendix 5.1 Conac daa 5.2 Calculaion of he Index change in calculaion ehod This docuen conains he underlying principles and regulaions regarding he srucure and he operaing of he Solacive Equileap Norh Aerican Gender Equaliy Index Canadian Dollar Hedged (he Index ). Solacive AG shall ake every effor o ipleen regulaions. Solacive AG does no offer any explici or aci guaranee or assurance, neiher peraining o he resuls fro he use of he Index nor he Index value a any cerain poin in ie nor in any oher respec. The Index is erely calculaed and published by Solacive AG and i srives o he bes of is abiliy o ensure he correcness of he calculaion. There is no obligaion for Solacive AG irrespecive of possible obligaions o issuers o advise hird paries, including invesors and/or financial inerediaries, of any errors in he Index. The publicaion of he Index by Solacive AG is no recoendaion for capial invesen and does no conain any assurance or opinion of Solacive AG regarding a possible invesen in a financial insruen based on his Index. 2

3 Inroducion This docuen is o be used as a guideline wih regard o he coposiion, calculaion and anageen of he Index. Any changes ade o he guideline are iniiaed by he Coiee specified in secion 1.6. The Index is calculaed and published by Solacive AG. The nae Solacive is copyrighed. 1 Index specificaions The Solacive Equileap Norh Aerican Gender Equaliy Index Canadian Dollar Hedged (he Index ) is an Index of Solacive AG and is calculaed and disribued by Solacive AG. The index racks he perforance of Solacive Equileap Norh Aerican Gender Equaliy Index and hedges he currency exposure o Canadian Dollars on a onhly basis via FX forward conracs. The Index is published in Canadian Dollar [CAD]. 1.1 Shor nae and ISIN The Index is disribued under ISIN DE000SLA3850; he WKN is SLA385. The Index is published in Reuers under he code <. EQUALNAH > and in Blooberg under he code < EQUALNAH Index>. 1.2 Iniial value The Index is based on 100 a he close of rading on he sar dae, Sepeber 30, Disribuion The Index is published via he price arkeing services of Boerse Sugar AG and is disribued o all affiliaed vendors. Each vendor decides on an individual basis as o wheher he will disribue/display he Index via his inforaion syses. 1.4 Prices and calculaion frequency The price of he Index is calculaed on each Trading Day based on he prices on he respecive Exchanges on which he Index Coponens are lised. The os recen prices of all Index Coponens are used. Prices of Index Coponens no lised in he Index Currency are ranslaed using spo foreign exchange raes quoed by Reuers. Should here be no curren price available on Reuers, he os recen price or he Trading Price on Reuers for he preceding Trading Day is used in he calculaion. The Index is calculaed every Trading Day fro 9:00a o 4:30p, EST. In he even ha daa canno be provided o Reuers or o he pricing services of Boerse Sugar AG he Index canno be disribued. Any incorrec calculaion is adjused on a rerospecive basis. 3

4 1.5 Weighing The index is always fully invesed in Canadian Dollars. 1.6 Decision-aking bodies A Coiee coposed of saff fro Solacive AG is responsible for decisions regarding he coposiion of he Index as well as any aendens o he rules (in his docuen referred o as he "Coiee or he Index Coiee ). The fuure coposiion of he Index is deerined by he Coiee on he Selecion Days according o he procedure oulined in 2.1 of his docuen. The Coiee shall also decide abou he fuure coposiion of he Index. if any Exraordinary Evens should occur and he ipleenaion of any necessary adjusens. Mebers of he Coiee can recoend changes o he guideline and subi he o he Coiee for approval. 1.7 Publicaion All specificaions and inforaion relevan for calculaing he Index are ade available on he hp:// web page and sub-pages. 1.8 Hisorical daa Hisorical daa is available fro he index sar dae on Sepeber 30, Licensing Licences o use he Index as he underlying value for derivaive insruens are issued o sock exchanges, banks, financial services providers and invesen houses by Solacive AG. 4

5 2 Coposiion of he Index 2.1 Selecion of he Index Coponens The iniial coposiion of he Index as well as any ongoing adjusen is based on he calculaion forula oulined in secion Ordinary adjusen The coposiion of he Index is adjused onhly on he Adjusen Day. The firs adjusen will be ade in Sepeber 2017 based on he Prices of he Index Coponens on he Adjusen Day and he Trading Day iediaely preceding he Adjusen Day. 5

6 3 Calculaion of he Index 3.1 Index forula The Index Value on a Trading Day a he relevan ie is calculaed in accordance wih he following forula: UI 1 1 M UI wih: = Hedged Index on Trading Day = Hedged Index on he Adjusen Day iediaely preceding Trading Day UI = Underlying Index on Trading Day UI = Underlying Index on he Adjusen Day iediaely preceding Trading Day M = Hedge Ipac on Trading Day, calculaed according o he following forula: wih: M AF n W i, ST Si, ST i1 Fi, IFi, 1 1 AF = Adjusen Facor on Trading Day, calculaed according o he following forula: wih: n i ST AF 1 = nuber of differen currencies in he unhedged Index (wihou considering he currency in which he index is calculaed) W, = weigh of currency i on selecion dae ST S, = Mid Spo of currency i on day i ST F, = Mid Forward of currency i on rebalancing dae i IF, = inerpolaed Forward on day which is calculaed as follows: i wih: IF i, S Fi, Si, D d D S i, = currency i id spo rae on Trading Day F, = currency i 1 onh forward id rae on Trading Day i 6

7 D = nuber of calendar days beween he las and he nex Adjusen Day d = nuber of calendar days beween he las Adjusen Day and Trading Day 3.2 Accuracy The value of he Index will be rounded o 2 decial places. Foreign exchange raes will be rounded o six decial places. 3.3 Calculaion of he Index in he even of a Marke Disrupion Even The Index is no calculaed in he even of a Marke Disrupion Even. If he Marke Disrupion Even coninues over a period of eigh Trading Days, hen he Coiee will deerine he necessary acion (including bu no liied o aking ino accoun he arke condiions prevailing a his poin in ie, he las quoed Prices for each of he Index Coponens as well as any oher condiions ha i dees relevan for calculaing he Index value) such ha he affeced securiies resuling fro he Marke Disrupion Even are no longer causing such disrupion o occur. 4. Definiions Index Coponen is each FX coponen currenly included in he Index. A Trading Day is in relaion o he Index or an Index Coponen a Trading Day on he Exchange (or a day ha would have been such a day if a arke disrupion had no occurred), excluding days on which rading ay be ceased prior o he noral Exchange closing ie. The Index Calculaor is uliaely responsible as o wheher a cerain day is a Trading Day wih regard o he Index or an Index Coponen or in any oher connecion relaing o his docuen The Index Calculaor is Solacive AG or any oher appropriaely appoined successor in his funcion. The Index Currency is CAD. The Underlying Index is he Solacive Equileap Norh Aerican Gender Equaliy Index. Adjusen Day is he nex business Day afer he las Trading Day of each onh. A Marke Disrupion Even occurs if 1. he underlying index is no published on a Trading Day 2. he respecive FX raes are no published on a Trading Day 7

8 5 Appendix 5.1 Conac daa Inforaion regarding he Index concep Solacive AG Guiollesr Frankfur a Main Tel.: Fax: Calculaion of he Index change in calculaion ehod The applicaion by he Index Calculaor of he ehod described in his docuen is final and binding. The Index Calculaor shall apply he ehod described above for he coposiion and calculaion of he Index. However i canno be excluded ha he arke environen, supervisory, legal, financial or ax reasons ay require changes o be ade o his ehod. The Index Calculaor ay also ake changes o he ers and condiions of he Index and he ehod applied o calculae he Index, which he dees o be necessary and desirable in order o preven obvious or deonsrable error or o reedy, correc or suppleen incorrec ers and condiions. The Index Calculaor is no obliged o provide inforaion on any such odificaions or changes. Despie he odificaions and changes he Index Calculaor will ake he appropriae seps o ensure a calculaion ehod is applied ha is consisen wih he ehod described above. 8