SEB Commodity Indices. Index Rules

Transcription

1 SEB Commodiy Indices Index Rules Sepember 2013

2 Foreword This documen conains a new ediion of he SEB Commodiy Index Rules (he Index Rules ). These Index Rules replace he SEB Commodiy Index Excess Reurn Index Rules published in Sepember Changes o he Excess Reurn Index, since Sepember 2012, have been he addiion of Consiuen Base Weigh Smoohing as well as clarificaion of how correlaion calculaions are performed. Index Rules for he SEB Commodiy Index Toal Reurn has also been added. These changes are se ou in furher deail below. Amendmens The Index Rules for an index may be amended from ime o ime a he sole discreion of SEB and will be republished (in a manner deermined by SEB) no laer han one (1) calendar monh following such amendmen. Alhough he Index Rules are inended o be comprehensive, ambiguiies may arise. If so, SEB will resolve such ambiguiies and, if necessary, amend he Index Rules o reflec such resoluion. Limiaion of liabiliy The Index Rules in respec of an index neiher consiue an offer o purchase or sell securiies nor specific advice of whaever form (ax, legal, accouning, regulaory or oherwise) in respec of any invesmen sraegy or invesmen ha may be linked o such index. Neiher SEB nor he Calculaion Agen does in any capaciy endorse or make any represenaion or warrany, express or implied, in connecion wih any invesmen sraegy or invesmen linked o he index. Anyone reading hese Index Rules should seek such advice as hey consider necessary from heir professional advisors, legal, ax or oherwise, wihou reliance on SEB or he Calculaion Agen o saisfy hemselves ha hey fully undersand hese Index Rules and he risks associaed wih an index or any invesmens linked o an index. Furhermore, his documen is no inended for disribuion o, or use by any person in, a jurisdicion where such disribuion is prohibied by law or regulaion. Neiher SEB nor he Calculaion Agen shall in any capaciy be liable for any direc, indirec, incidenal, special or consequenial damages or los profis relaed o or arising ou of he use of an index, wheher in negligence or oherwise. SEB and he Calculaion Agen expressly disclaim all warranies of accuracy, compleeness, merchanabiliy or finess for any paricular purpose, wih respec o an index. Neiher SEB nor he Calculaion Agen make any warrany or represenaion whasoever, express or implied, in respec of an index, he resuls o be obained by he use hereof or he value of an index a any given ime. Neiher SEB nor he Calculaion Agen is liable for loss or damage resuling from Swedish or foreign legislaive enacmen, acions of Swedish or foreign auhoriies, war, power failure, elecommunicaion failure, fire, waer damage, srike, blockade, lockou, boyco, or oher similar circumsances ouside he conrol of he SEB or he Calculaion Agen. The reservaion wih respec o srikes, blockade, lockou and boyco also applies if SEB or he Calculaion Agen adops or is he objec of such conflic measures. 2(9)

3 1. Excess Reurn Index 1.1 Index Descripion The SEB Commodiy Index Excess Reurn (he Index ) measures he performance of a baske of commodiies. Each commodiy is represened by a fuures based index, furher specified in he Informaion Annex. The Index is rebalanced quarerly o a predefined se of weighs, also specified in he Informaion Annex. Furher, he Index is subjec o resricions on he maximum weigh for a single or a pair of commodiies. The Index is he propery of Skandinaviska Enskilda Banken AB (publ) ( SEB ). 1.2 Calculaions Terms and Definiions Relaing o he Index Index Calculaion Agen Index Owner Index Currency SEB Commodiy Index Excess Reurn SEB or any affiliae, subsidiary or hird person from ime o ime designaed by SEB o ac in is behalf as calculaion agen in connecion wih an Index. SEB US Dollar ( USD ) Calculaion Dae, Index Base Level, I 0 Index Base Dae, =0 Index Level, "I " Index Consiuen, C i Commodiy Weigh Any Scheduled Valuaion Day on which no Marke Disrupion Even occurs. Calculaion Dae -1 means he Calculaion Dae immediaely preceding Calculaion Dae In respec of any Calculaion Dae, he level of he Index calculaed and announced by he Calculaion Agen on such dae, in accordance wih secion The i h Index Consiuen of he Index as specified in he Informaion Annex In respec of a Calculaion Dae, eiher a Consiuen Weigh, or he sum of wo, or more, Consiuen Weighs, if he corresponding Index Consiuens, C i, are considered Highly Correlaed, as defined in Appendix 1 Consiuen Base Weigh, q i Consiuen Business Day Scheduled Valuaion Day The weigh of he i h Index Consiuen as specified in he Informaion Annex, subjec o smoohing as defined in Appendix 1, 1.2. A day when an Index Consiuen is scheduled o be calculaed and announced Each day on which he sum of he Consiuen Base Weighs of he Index Consiuens, for which he day also is a Consiuen Business Day, equals 80% or more 3(9)

4 Currency Conversion Rae, "FX " As of he Calculaion Dae and Index Consiuen C 1.0, if he Index Consiuen is denoed in he Index Currency he EURUSD spo fixing rae, published by The World Markes Company PLC, if he Index Consiuen is denoed in EUR Consiuen Level, S Index Rebalance Day, "=rb" The index level of he i h consiuen as of he Calculaion Dae Eiher: he second Calculaion Dae in January, April, July and Ocober, which is also a Consiuen Business Day for all Index Consiuens; or he Calculaion Dae, following he Calculaion Dae, -1 on which a Rebalance Signals is riggered. The firs Index Rebalance Day is defined as he Index Base Dae. Consiuen Weigh, w, Rebalance Signal As of he Calculaion Dae, w I rb S qi S rb FX FX rb I As of he Calculaion Dae, a Rebalance Signal is riggered if he 35% Rule and/or he 20% Rule is violaed 35% Rule A Commodiy Weigh canno exceed 35% 20% Rule Two, or more, Commodiy Weighs canno each exceed 20% Deerminaion of he Index Level I As of each Calculaion Dae, Index Level I is deermined by he Calculaion Agen in accordance wih he following formula: I Irb i qi S FX S rb FX rb where I rb = he Index Level as of he las Index Rebalance Day rb <, S i, rb = he Consiuen Level as of he las Index Rebalance Day rb <, FX i, rb = he Currency Conversion Rae as of he las Index Rebalance Day rb < The Index Level is rounded o five (5) decimal places. 4(9)

5 1.3 Disrupions and Consequences hereof Marke Disrupion Evens Marke Disrupion Even means ha, in respec of a Scheduled Valuaion Day: he Consiuen Level is no published on he corresponding Consiuen Business Day or he occurrence of any even which prevens he Calculaion Agen from asceraining he Consiuen Level; or he Currency Conversion Rae is no published or he occurrence of any even which prevens he Calculaion Agen from asceraining he Currency Conversion Rae. Any Scheduled Valuaion Day on which a Marke Disrupion Even has occurred will be considered as a Disruped Day Consequences of a Marke Disrupion Even If he Calculaion Agen deermines ha a Scheduled Valuaion Day is a Disruped Day, he Calculaion Agen will make he relevan calculaions on he firs following Scheduled Valuaion Day which is no a Disruped Day. Should more han weny (20) Disruped Days occur in succession, he Calculaion Agen may permanenly cancel he Index on such wenieh Disruped Day. 1.4 Index Adjusmen Even Index Adjusmen Even means he occurrence of any of he following siuaions which he Calculaion Agen, in consulaion wih he Index Owner, deems maerial and relevan for he calculaion of he Index Level, including, bu no limied o: (iii) (iv) all rading or pricing of he Index Consiuen or relaed derivaive conracs ceases permanenly; he mehod for calculaing he price of he Index Consiuen or relaed derivaive conracs are changed significanly; he composiion or conen of he Index Consiuen or in relaed derivaive conracs are changed significanly; or he exchange rolling schedule of he Index Consiuens is changed. Following he occurrence of an Index Adjusmen Even, he Calculaion Agen, in consulaion wih he Index Owner may: make an adjusmen or decide o modify a provision regarding adjusmen or permanenly cancel he Index o accoun for such even; or make an adjusmen o he formula or he mehod for calculaing he Index Level or permanenly cancel he Index o accoun for such even. 5(9)

6 2. Toal Reurn Index This secion ses ou he rules for he SEB Commodiy Index Toal Reurn (he TR Index ). Terms defined in Secion 1 shall have he same meaning in his Secion 2 unless given a differen meaning in his Secion Index Descripion The SEB Commodiy Index Toal Reurn (he TR Index ) measures he performance of a fully collaeralised fuures sraegy based on he SEB Commodiy Index Excess Reurn. Capial gains from he ineres rae posiion are reinvesed in he TR Index on a daily basis. The TR Index is he propery of Skandinaviska Enskilda Banken AB (publ) ( SEB ). 2.2 Calculaions Terms and Definiions Relaing o he TR Index TR Index TR TR Index Level, "I " Currency Conversion Rae, "FX " CCY Ineres Rae, r SEB Commodiy Index Toal Reurn In respec of any Calculaion Dae, he level of he TR Index calculaed and announced by he Calculaion Agen on such dae, in accordance wih secion As of he Calculaion Dae he EURUSD spo fixing rae, published by The World Markes Company PLC 17:00 Sockholm ime, expressed as he number of EUR per one (1) USD. As of he Calculaion Dae, he Ineres Rae of currency CCY as defined in he Informaion Annex 1.2. If, on any Calculaion Dae, any Ineres Rae is no published, he Calculaion Agen may, in consulaion wih he Index Owner, use he Ineres Rae as published on he preceding Calculaion Dae -1. Ineres Reurn, R CCY Index Weigh, IW CCY As of Calculaion Dae and currency CCY, CCY TR CCY CCY R I IW r d /360 where d denoes he number of calendar days beween Calculaion Dae and Calculaion Dae +1. As of he Calculaion Dae, he sum of he Index Consiuen Weighs for he Index Consiuens denoed in currency CCY. 6(9)

7 2.2.2 Deerminaion of he TR Index Level I TR As of each Calculaion Dae, TR Index Level I is deermined by he Calculaion Agen in accordance wih he following formula: TR TR I I 1 I I1 1 I 1 USD EUR FX R 1 1 R FX 1 The TR Index Level is rounded o five (5) decimal places. 2.3 Disrupions and Consequences hereof Marke Disrupion Evens Marke Disrupion Even means ha, in respec of a Scheduled Valuaion Day: he Currency Conversion Rae is no published or he occurrence of any even which prevens he Calculaion Agen from asceraining he Currency Conversion Rae; or he Index Level is no published or he occurrence of any even which prevens he Calculaion Agen from asceraining he Index Level. Any Scheduled Valuaion Day on which a Marke Disrupion Even has occurred will be considered as a Disruped Day 2.4 Index Adjusmen Even Index Adjusmen Even means he occurrence of any of he following siuaions which he Calculaion Agen, in consulaion wih he Index Owner, deems maerial and relevan for he calculaion of he Toal Reurn Index Level, including, bu no limied o: (iii) he permanen cessaion of all rading or pricing of he TR Index or relaed derivaive conracs; or a significan change of he mehod for calculaing he price of he TR Index or relaed derivaive conracs; or a significan change of he composiion or conen of he TR Index or in relaed derivaive conracs. Following he occurrence of an Index Adjusmen Even he Calculaion Agen, in consulaion wih he Index Owner, may: make an adjusmen or decide o modify a provision regarding adjusmen or permanenly cancel he TR Index o accoun for such even; or make an adjusmen o he formula or he mehod for calculaing he Index Level or permanenly cancel he TR Index o accoun for such even. 7(9)

8 1. INFORMATION ANNEX 1.1 Consiuen Base Weighs N o Index Consiuen Consiuen Base Weigh 1 SEB Bren Crude Oil Index, an index creaed by SEB and calculaed by SEB, in 2 SEB Gasoline Index, an index creaed by SEB and calculaed by SEB, in 3 SEB Gas Oil Index, an index creaed by SEB and calculaed by SEB, in 4 SEB Gold Index, an index creaed by SEB and calculaed by SEB, in 5 SEB Copper, an index creaed by SEB and calculaed by SEB, in 6 SEB Nordic Power Index, an index creaed by SEB and calculaed by SEB, in 7 SEB Milling Whea Index, an index creaed by SEB and calculaed by SEB, in 8 SEB Aluminium Index, an index creaed by SEB and calculaed by SEB, in 9 SEB Corn Index, an index creaed by SEB and calculaed by SEB, in 10 SEB Soybean Index, an index creaed by SEB and calculaed by SEB, in 11 SEB European Power Index, an index creaed by SEB and calculaed by SEB, in 12 SEB Silver Index, an index creaed by SEB and calculaed by SEB, in 13 SEB Coffee Index, an index creaed by SEB and calculaed by SEB, in 14 SEB Rapeseed Index, an index creaed by SEB and calculaed by SEB, in 15 SEB Sugar Index, an index creaed by SEB and calculaed by SEB, in 16 SEB Zinc Index, an index creaed by SEB and calculaed by SEB, in 17 SEB Coon Index, an index creaed by SEB and calculaed by SEB, in 18 SEB Nickel Index, an index creaed by SEB and calculaed by SEB, in 19 SEB Rough Rice Index, an index creaed by SEB and calculaed by SEB, in 15% 12% 12% 10% 9% 8% 5% 4% 4% 4% 3% 3% 2% 2% 2% 2% 1% 1% 1% 8(9)

9 1.2 Ineres Raes Ineres Rae r EUR r USD EONIA overnigh ( O/N ) Bloomberg Page EONIA Index LIBOR USD overnigh ( O/N ) Bloomberg Page US00O/N Index 1.3 Highly Correlaed The definiion of Highly Correlaed can be found in Guidelines for compeen auhoriies and UCITS managemen companies ( ESMA/2012/832EL), secion IX, Financial Indices, Aricle Consiuen Base Weigh Smoohing The Consiuen Base Weighs are subjec o a smoohing procedure if he 35% Rule and/or he 20% Rule are violaed as a resul of wo or more of he Index Consiuens being Highly Correlaed. Should a Rebalance Signal be riggered by a scheduled index rebalance even, he smoohing procedure is carried ou on ha same Index Rebalance Day. The adjusmen of he weighs follow he procedure as described below The Consiuen Base Weighs, qˆ, of he Index Consiuens ha would violae he 35% Rule and/or he 20% Rule, are reduced wih he Excess Weigh proporionally. The Consiuen Base Weighs, q i qˆ, of he remaining Index Consiuens are increased wih he Excess Weigh proporionally. These adjused Consiuen Base Weighs will prevail unil he nex Index Rebalance Day. Excess Weigh is defined as in following formulas, Excess Weigh ( q i iq ˆ ( qi iq ˆ 2%) 35% 2%) 20% (1) (2) where (1) holds if 35% Rule would be violaed and (2) holds if 20% Rule would be violaed. In he even of boh rules above being violaed, he smoohing procedure is firs applied o he Index Consiuens violaing he 35% Rule. The procedure is repeaed unil boh rules hold. 9(9)