Guideline relating to. Solactive Australian Bank Senior Floating Rate Bond Index Version 1.0 dated May 16th, 2017

Transcription

1 Gudelne relatng to Solactve Australan Bank Senor Floatng Rate Bond Index Verson 1.0 dated May 16th,

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 Index Commttee 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 the operatng of the Solactve Floatng Rate Note Select Index. Solactve AG shall make every effort to mplement 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 certan pont n tme nor n any other respect. The Solactve Australan Bank Senor Floatng Rate 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 no 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 Floatng Rate Note Select Index. Any changes made to the gudelne are ntated by the Commttee specfed n secton 1.6. The Solactve Australan Bank Senor Floatng Rate Bond Index s the sole property of Solactve AG. The Solactve Australan Bank Senor Floatng Rate Bond Index s calculated and publshed by Solactve AG. The name Solactve s copyrghted. 1 Index specfcatons The Solactve Australan Bank Senor Floatng Rate Bond Index provdes exposure to the largest and most lqud floatng rate credt securtes ssued by selected Australan banks. The ndex s comprsed of nvestment grade Floatng rate credt securtes denomnated n AUD and calculated as a Total Return Index. 1.1 Name and ISIN The Solactve Australan Bank Senor Floatng Rate Bond Index s dstrbuted under ISIN TBA; the WKN s TBA. The Index s publshed n Reuters under the code.solausfr and n Bloomberg under the code SOLAUSFR INDEX. 1.2 Intal value The ndex wll be calculated every Busness Day startng on TBA. The ndex was based on 100 as at the close of tradng on TBA. 1.3 Dstrbuton The Solactve Australan Bank Senor Floatng Rate 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 Australan Bank Senor Floatng Rate Bond Index s calculated based on the Last Evaluated Md Prce (see 4.2 Further Defntons) of the respectve Index Components. The ndex s calculated and dstrbuted once every Busness Day. In the event that data cannot be provded or that there are troubles regardng the prce marketng of Solactve AG the ndex cannot be dstrbuted. 1.5 Weghtng The followng weghtng constrants are appled: The weght of bonds ssued by Australan banks from Band 1 equals 80%, The weght of bonds ssued by Australan banks from Band 2 equals 20% 3

4 Wthn each Band securtes are equally weghted. For bonds of Band 2, f a bond has a weght n excess of 5%, the weght of that bond wll be capped to 5% and the excess weght wll be dstrbuted proportonally across the securtes n Band 1. 1 In case there are no elgble bonds ssued by Australan banks from Band 2, the 20% weght of Band 2 wll be dstrbuted proportonally across the securtes n Band 1. The weghtng methodology may be amended by the Commttee f requred due to legal framework. 1.6 Index Commttee The Solactve Australan Bank Senor Floatng Rate Bond Index s a rules-based ndex. Solactve AG s responsble for applyng the rules as descrbed n ths ndex gudelne. Only n case of an Extraordnary Event a Commttee composed of Solactve AG employees (herenafter referred to as the "Commttee or the Index Commttee ) wll decde about the future composton of the Solactve Australan Bank Senor Floatng Rate Bond Index The Commttee wll meet and decde on how to treat the Extraordnary Event n the ndex based on the nformaton avalable. An extraordnary adjustment wll only be mplemented f the majorty of the Commttee supports the suggested treatment. As soon as a decson has been taken all partes related to the ndex are nformed about the Extraordnary Event as well as the decded treatment and date of mplementaton. For further nformaton on the treatment of Extraordnary Events see chapter 2.3. The Commttee can also make amendments to the ndex rules f requred. As an example, f the ndex does not meet legal or regulatory requrements (for the ndex tself or related fnancal products) anymore the Commttee reserves the rght to adjust the rules to meet these requrements. Ths may affect selecton crtera or weghtng rules. If there are any changes to the rules, all partes related to the ndex are nformed and the new rulebook wll be publshed on the company webste Publcaton All specfcatons and nformaton relevant for calculatng the ndex are made avalable on the web pages and sub-pages. 1.8 Hstorcal data Hstorcal data wll be mantaned from the TBA. 1.9 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. 1 E.g., f there are only three elgble securtes n Band 2, each wll have a capped weght of 5% (for a total of 15% n Band 2), and an excess weght of 1.67% (beng 6.67% mnus 5%). The total excess weght of 5% s dstrbuted pro rata across the Band 1 securtes. Thus, f there are 8 securtes n Band 1, each of the 8 wll be upweghted from 10% to %. 4

5 2 Composton of the Index 2.1 Selecton of the Index Components The ndex consttuents wll be selected on the quarterly Selecton Day, based on the Selecton Pool as defned n 4.1. Addtonally, on the quarterly Selecton Day, the Index Commttee evaluates whether all current Index Components stll meet the requrements of the Selecton Pool and f necessary any Index Components whch do not pass ths screen are removed from the Selecton Pool. From the Selecton Pool a maxmum of 14 securtes are selected where 8 are ssued by Australan banks from Band 1 and 6 are ssued by Australan banks from Band 2. The securtes are selected as follows: From Band 1, for each ssuer, the securtes wth the longest TTM (up to a maxmum of two securtes per ssuer) are selected From Band 2, for each ssuer, the securtes wth the longest TTM (up to a maxmum of one securty per ssuer) are selected Extraordnary adjustments are possble. 2.2 Ordnary adjustment The composton of the ndex s ordnarly revewed on the quarterly Selecton Day. Any change to the ndex wll be mplemented on the Adjustment Day. 2.3 Extraordnary adjustment Extraordnary Events may lead to adjustments of the ndex between Adjustment Days. To standardse processes the followng standard treatments for common corporate actons have been establshed: Full Tender or Early Redempton: 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 adapton of the ndex.* On the effectve date prce and accrued nterest are 0 and the proceeds (tender/redempton prce + accrued nterest/coupon) are consdered as Pad Cash n the return formula (see 3.1). On the next calculaton day the bond s removed from the ndex and weghtngs are calculated accordng to the formula n 3.1. The new hgher weghtngs of the remanng consttuents mply the drect renvestment of the redeemed bond nto all other Index Components. Exchange Offer: 1) optonal exchange offers are not treated n the ndex; * 2) mandatory exchange offers: In case less than 90% of the amount outstandng s exchanged the exchange wll not be consdered n the ndex. 3) mandatory exchange offers: 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. The cappng factor of the new bond s calculated based on the followng formula: CapFactor new (Prcet, old ACCInt old ) * Amount old * Cap (Prce ACCInt ) * Amount new new new old 5

6 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 date. Default: If a bond s status changes to n default t wll be removed from the ndex at the last avalable evaluated prce from the prcng source. 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. In case of an Extraordnary Event that s not covered by the standard treatments mentoned above the Commttee wll meet and decde on how to treat the Extraordnary Event n the ndex based on the nformaton avalable. An extraordnary adjustment wll only be mplemented f the majorty of the Commttee supports the suggested treatment. As soon as a decson has been taken all partes related to the ndex are nformed about the Extraordnary Event as well as the decded treatment and date of mplementaton. 6

7 3 Calculaton of the Index 3.1. Index formula The Solactve Australan Bank Senor Floatng Rate Bond Index s a Total Return Index whose return reflects the nterest return due to pad and accrued nteres and prce return, reflectng relatve changes n end-of-day bond prces. As a formula: Totalreturn Prcet, ACCInt CPAdj PadCash t Prce ACCInt CPAdj FX, t1, t1, t1, FX t1, 1 Weghtng MarketValue a MarketValue 1 Cap Cap (Prce a (Prce ACCInt ACCInt 1 ) * Amount ) * Amount * Cap * Cap FX FX Index t Index t a 1 *(1 ( Totalreturn t 1, * weghtng t1, ) Whereas: Totalretur n Index t t1 = Total return of the bond on tradng day t = Value of the ndex on tradng day t Index = Value of the ndex on tradng day t-1 Pr ce, = Last Evaluated Prce of the bond on tradng day t t Prce, = Last Evaluated Prce of the bond on tradng day t-1 t 1 ACCInt, t = Accrued Interest of the bond on tradng day t ACCInt t 1, = Accrued Interest of the bond on tradng day t-1 Weghtng, t t = Weghtng of the bond on tradng day t Weghtng, = Weghtng of the bond on tradng day t-1 Amount = Amount Outstandng of bond on the last Selecton Day SD Cap SD, = Cappng Factor whch helps to adjust the weghts as defned under 1.5 FX, t t = Foregn Exchange Rate of bond on tradng day t FX, = Foregn Exchange Rate of bond on tradng day t-1 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. 7

8 CPAdj, t = Varable Coupon Adjustment Factor of bond on tradng day t f the bond trades ex-dvdend Equal to 0 f bond s not n an ex-dvdend perod on tradng day t or bond was ncluded n the ndex durng the ex-dvdend perod. Equal to the upcomng coupon f bond s n an ex-dvdend perod on tradng day t and bond was ncluded n the ndex before the ex-dvdend perod. The ex-dvdend perod s the perod before the coupon payment date where the buyer of a bond s not enttled to the upcomng coupon. The ex-dvdend date s the frst date at whch the bond does not nclude an enttlement to the next coupon payment when purchased. The Accrued Interest of bond s negatve durng the ex-dvdend perod and 0 on the coupon payment date. 3.2 Accuracy The value of the ndex wll be rounded to two decmal places. Accordng to the terms of the bond, the Index Calculator wll take the followng conventons nto account: Act/Act Act/360 Act/365 30/360 ISMA 30/360 The ndex does not take nto account taxes and assumes gross coupon payments. Accrued Interest s calculated assumng same day settlemen also known as cash settlement or T+0 settlement. 8

9 4. Defntons 4.1 ndex-specfc defntons The Selecton Pool comprses bonds that fulfll the followng condtons: (a) Floatng rate notes (b) Types of collateral accepted: Certfcate of depos depost notes, company guaranteed, government lqud guaranteed, government guaranteed, senor notes, senor secured, senor unsecured, senor unsubordnated, unsubordnated (c) Denomnated n Australan dollars (AUD) (d) Securtes must be elgble for use n the Reserve Bank of Australa s (RBA) domestc market operatons. * The RBA s mnmum elgblty crtera and the lst of elgble securtes can be found on the followng URL: (e) Amount Outstandng of at least AUD 500 mllon (f) Tme to maturty of at least 12 months and not more than 60 months as of the Adjustment Day (g) Excluson of covered bonds, convertble bonds, callable bonds (h) A prcng must be avalable from the Prcng Provder () Bonds are ssued by one of the followng Australan banks: Band 1 Band 2 1. Australa and New Zealand Bankng Group Lmted 2. Commonwealth Bank of Australa 3. Natonal Australa Bank Lmted 4. Westpac Bankng Corporaton 5. AMP Bank Ltd 6. Bank of Queensland Lmted 7. Bendgo and Adelade Bank Lmted 8. Macquare Bank Lmted 9. Members Equty Bank Lmted 10. Suncorp-Metway Lmted *Durng the backtestng perod, (d) s not appled,.e. bonds are not checked for elgblty for use n the Reserve Bank of Australa s (RBA) domestc market operatons. 4.2 Further defntons Adjustment Day s the last Busness Day n February, May, August and November. Amount Outstandng s the face value of the respectve bond. Bond Prce Provder s Interactve Data Corporaton. A Busness Day n relaton to the ndex s any day other than a Saturday or Sunday or a day on whch the Australan Securtes Exchange (ASX) s closed for busness. The ASX Non-Busness Days are New Year s Day, Australa Day, Good Frday, Easter Monday, Anzac Day, Queen s Brthday, Chrstmas Day and Boxng Day 9

10 A Credt Event s the suspenson of debt servce, nsolvency or falure to pay. 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 A bond s Flat Tradng f the bond ssuer does 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. Foregn Exchange Rate s the respectve WM 4pm London fxng. A bond s In Default once the ssuer s not able to fulfl ts bond payment oblgatons anymore after the 30 days grace perod. The Index Currency s AUD. 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 md prce provded by the Bond Prce Provder. Selecton Day s a Busness Day 7 Busness Days pror to the Adjustment Day. 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. 10

11 5 Appendx 5.1 Contact data Informaton regardng the Solactve Australan Bank Senor Floatng Rate 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. 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. 11