Handelsbanken Nordic Balance 15% (SEK) Index Supplement. Version October 2017

Transcription

1 Handelsbanken Nordic Balance 15% (SEK) Index Supplement Version October 2017

2 Contents 1 Description Index Statement General Definitions

3 Index Supplement The Nordic Balance 15% Index 1 Description This document is an Index Supplement as defined in the Handelsbanken Balance Index Base Methodology dated September 16 th version 1.0 (the Base Methodology ). Terms used herein shall have the meaning given to them in the Base Methodology as amended from time to time. This Index Supplement must be read in conjunction with the Base Methodology and principles set up to define the different roles involved in the process of maintaining, calculating and publishing the index (the Index Principles ). This Index Supplement as supplemented and completed by the Base Methodology and the Index Principles constitute the rules (the Index Rules ) applicable to the index specified in this Index Supplement (the Index ) and the basis on which the Index will be calculated. 2 Index Statement The Nordic Balance 15% (SEK) (the Index ) measures the performance of a rules-based, quantitative investment strategy that reflects the relative return of the SHB SICAV XACT NORDIC 120 (the Underlying Share ) against the Tomorrow Next (T/N) interbank offered rate for deposits in SEK (the STIBOR Rate ), based on a 15% target volatility risk control mechanism for the Underlying Share. The Index Rules are quantitative. The exposure to the Underlying Share is adjusted daily based on formulas outlined in the Index Rules which compare the volatility of the Underlying Share to the target volatility. The purpose of adjusting the exposure is to decrease the exposure to the Underlying Share when the volatility of the Underlying Share increases and to increase the exposure to the Underlying Share when its volatility decreases. The exposure to the Underlying Share is capped at 150%. Nordic Balance 15% (SEK) (the Index ) is the property of Svenska Handelsbanken AB (publ) ( Handelsbanken ). Conflicts of interest are limited by the separation of responsibilities within Handelsbanken to handle contribution, calculation and publication etc. but Index Users and other stakeholders should be aware of the fact that Handelsbanken can have positions in Instruments linked to this Index where the economic outcome is the opposite of such Index Users and stakeholders. 3 General Definitions Index Name: Index Contributor: Index Calculator Index Validator Index Publisher Index Currency: Nordic Balance 15% (SEK) Not Applicable Svenska Handelsbanken AB (publ) Svenska Handelsbanken AB (publ) Svenska Handelsbanken AB (publ) SEK 2

4 Index Base Date ( t 0 ): Index Base Level ( I 0 ): 100 Underlying Index Base Level ( S 0 ): 100 Underlying Index Type: Security Target Volatility ( Vol B ): 15% Index Launch Date: Bloomberg ticker: Reuters ticker: Index Business Day Exchange(s): Underlying Index Level, ( S t ): SHB NS15 <Index> n/a Nasdaq Stockholm (XSTO) In respect of an Index Calculation Date, where N(t, t ETF ) > 0, the level of the Underlying Index Level is set to the official close of the Reference Index multiplied with the Foreign Exchange Rate, i.e.: S t = I t ref Fx t EURSEK In respect of an Index Calculation Date t, where N(t ETF, t) 0 and N(t, t Index ) > 0, the Underlying Index Level is set equal to the Net Asset Value multiplied with the Foreign Exchange Rate, scaled with the ratio between the Reference Index and the Net Asset Value at the ETF Start Time, i.e.: S t = NAV t Fx t EURSEK I ref t ETF NAV t ETF In respect of the Index Calculation Date t, where N(t Index, t) 0, the Underlying Index Level is equal to the official close of the Reference Index in respect of the Index Calculation Date t, multiplied with the Foreign Exchange Rate and scaled with the ratio between the Reference Index and the Net Asset Value at the ETF start time and the ratio between the Net Asset Value and the Reverence Index at the Index Start Time, i.e.: S t = I t ref Fx t EURSEK I ref t ETF NAV t ETF NAV t Index ref I t Index Underlying Security: Reference Index Foreign Exchange Rate ( Fx t EURSEK ): The SHB SICAV XACT NORDIC 120, ISIN LU The XACT NORDIC 120 fund is a sub-fund issued by SHB SICAV. Handelsbanken Fonder AB ( HBF ) serves as investment manager of the fund. HBF is a subsidiary of Svenska Handelsbanken AB (publ). NASDAQ OMX Nordic 120 Net Return Index, (Bloomberg Ticker: NOMXN12N <Index>). In respect of an Index Calculation Date t, the most recent fixing 3

5 rate of the EURSEK exchange rate expressed as the number of SEK per EUR which appears on the Foreign Exchange Rate Source immediately following the time of regular fixing publications. Foreign Exchange Rate Source: Reuters Screen page EURSEKFIXM=WM, published by The World Markets Company PLC, or any successor page or service, as determined by the Index Calculator. ETF Start Time ( t ETF ): Index Start Time ( t Index ): Interest Rate ( R t ): In respect of an Index Calculation Date t, where N(t, t Index ) > 1, the most recent percentage fixing rate of the Stockholm Interbank offered rate Tomorrow Next (T/N) which which appears on the Interest Rate Source immediately following the time of regular fixing publications. In respect of an Index Calculation Date t, where N(t, t Index ) 1, the most recent percentage fixing rate of the Stockholm Interbank offered rate Tomorrow Next (T/N) which which appears on the Interest Rate Source immediately following the time of regular fixing publications plus 0.4%. Interest Rate Source: Reuters Screen page SIOR, or any successor page or service, as determined by the Index Calculator. Maximum Exposure ( E max ): 150% Exposure Change Threshold ( E ): 10% Minimum Convexity Conversion Factor ( CCF min ): 0.75 Index Smoothing Factor ( λ S ): 0.96 Unadjusted Balance Index Smoothing Factor ( λ UA ): 0.99 Return Period Length ( d ): 1 Number of Initial Volatility Datapoints of the Underlying Index ( n Vol ): Number of Initial Volatility Datapoints of the Unadjusted Balance Index ( n UA Vol ): Licenses The Nordic Balance 15% (SEK) Index is not sponsored, endorsed, sold or promoted by The NASDAQ OMX Group, Inc. or its affiliates (NASDAQ OMX, with its affiliates, are referred to as the Corporations ). The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the Nordic Balance 15% (SEK). The Corporations make no representation or warranty, express or implied to the owners of the any product referencing the Nordic 4

6 Balance 15 (SEK) or any member of the public regarding the advisability of investing in securities generally or in the Nordic Balance 15% (SEK) particularly, or the ability of the NASDAQ OMX Nordic 120 Index to track general stock market performance. The Corporations' only relationship to Svenska Handelsbanken AB (publ) ( Licensee ) is in the licensing of the NASDAQ, NASDAQ OMX, OMX, and NASDAQ OMX Nordic 120 IndexTM registered trademarks, and certain trade names of the Corporations and the use of the NASDAQ OMX Nordic 120 Index which is determined, composed and calculated by NASDAQ OMX without regard to Licensee or the Product(s). NASDAQ OMX has no obligation to take the needs of the Licensee or the owners of the Product(s) into consideration in determining, composing or calculating the NASDAQ OMX Nordic 120 Index. The Corporations are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of any product referencing the Nordic Balance 15% (SEK) to be issued or in the determination or calculation of the equation by which any product referencing the Nordic Balance 15% (SEK) is to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of any product referencing the Nordic Balance 15% (SEK). THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF THE NASDAQ OMX NORDIC 120 INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE, OWNERS OF THE PRODUCT(S), OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NASDAQ OMX NORDIC 120 INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE NASDAQ OMX NORDIC 120 INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. 5