OMXS30 Balance 20% Index Supplement Version October 2017

Transcription

1 OMXS30 Balance 20% Index Supplement Version October 2017 Copyright 2008, The NASDAQ OMX Group, Inc. All rights reserved. NASDAQ OMX, The NASDAQ Stock Market and NASDAQ are registered service/trademarks of The NASDAQ OMX Group, Inc.

2 Contents 1 Description Index Statement General Definitions

3 Index Supplement The OMXS30 Balance 20% 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 OMXS30 Balance 20 % Index (the Index ) measures the performance of a rules-based, quantitative investment strategy that reflects the relative return of the OMX Stockholm 30 Gross index (the Underlying Index ) against the Tomorrow Next (T/N) interbank offered rate for deposits in SEK (the STIBOR Rate ), based on a 20% target volatility risk control mechanism for the Underlying Index. The Index Rules are quantitative. The exposure to the Underlying Index, i.e., OMX Stockholm 30 Gross index is adjusted daily based on formulas outlined in the Index Rules which compare the volatility of the Underlying Index to the target volatility. The purpose of adjusting the exposure is to decrease the exposure to the Underlying Index when the volatility of the Underlying Index increases and to increase the exposure to the Underlying Index when its volatility decreases. The exposure to the Underlying Index is capped at 170%. The NASDAQ OMX Group, Inc. ( NASDAQ OMX )" is the Index Calculator and OMXS30 Balance 20% Index is the exclusive property of NASDAQ OMX. The algorithms and methodology for calculating the OMXS30 Balance 20% Index has been created by ( 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: OMXS30 Balance 20 % Index Owner: Index Contributor: Index Calculator Index Validator Index Publisher Nasdaq Stockholm AB Not Applicable 2

4 Index Currency: SEK Index Base Date ( t 0 ): Index Base Level ( I 0 ): 100 Underlying Index Base Level ( S 0 ): 100 Underlying Index Type: Index Target Volatility ( Vol B ): 20% Index Launch Date: Bloomberg ticker: Reuters ticker: Underlying Index Trading Date ( t U ): Underlying Index: Interest Rate ( R t ): Interest Rate Source: OMXSBL20 <Index>.OMXS30BAL20 Any date specified as an Index Trading Date according to the rules for the Underlying Index. The OMX Stockholm 30 Gross index (Reuters ticker:.omxs30gi; Bloomberg Ticker: OMXS30GI <Index>). The Underlying Index is maintained and governed according to the "Rules and Regulations of NASDAQ OMX Derivatives Market, Addendum to the OMXS30 contract specifications, addendum 4.8. NASDAQ OMX Group, Inc. has agreed to the use of, and reference to, the Underlying Index by Handelsbanken in connection with the Index. In respect of an Index Calculation Date t, the most recent percentage fixing rate of the Stockholm Interbank offered rate Tomorrow Next (T/N) which appears on the Interest Rate Source immediately following the time of regular fixing publications. Reuters Screen page: SIOR, or any successor page or service, as determined by the Index Calculator. Maximum Exposure ( E max ): 170% Exposure Change Threshold ( E ): 0% 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 ):

5 4