Handelsbanken Nordic Smart Beta Index (SEK) Index Supplement. Version June 2017

Transcription

1 Handelsbanken Nordic Smart Beta Index (SEK) Index Supplement Version June 2017

2 Contents 1 Description Index Statement General Definitions

3 Index Supplement Handelsbanken Nordic Smart Beta Index 1 Description This document is an Index Supplement as defined in the Handelsbanken Smart Beta 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 and the Handelsbanken Corporate Action Methodology dated September 16 th version 1.0 (the Corporate Action Methodology ) as amended from time to time. This Index Supplement must be read in conjunction with the Base Methodology, Corporate Action 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, Corporate Action 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 Index Rules intends to replicate the performance of an equity basket constructed on the basis of selecting a combination of the least volatile and highest yielding single stocks out of a pre-defined universe and assigning a weight to each component based on scoring related to its observed dividend yield and the inverse of its historical volatility. The selection and weighting process is carried out at pre-defined rebalancing dates subject to liquidity filtering aimed at limiting the market impact at rebalancing dates. 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: Handelsbanken Nordic Smart Beta Index (SEK) Not Applicable Svenska Handelsbanken AB (publ) Svenska Handelsbanken AB (publ) Svenska Handelsbanken AB (publ) SEK Index Base Date ( t 0 ): Index Base Level ( I 0 ): 100 Base Divisor ( Divisor 0 ): Index Launch Date: Bloomberg ticker: SHB NSB <Index> 2

4 Reuters ticker: Index Business Day Center(s): Index Trading Date ( t T ): Reference Exchange(s): Current Target Universe: Underlying Index Calculator: Underlying Index: Universe Criteria: n/a Stockholm Any Index Calculation Date t on which each Reference Exchange is open for trading during its respective regular trading sessions and each relevant security is admitted to trading on at least one Reference Exchange. NASDAQ OMX Copenhagen (XCSE), NASDAQ OMX Helsinki (XHEL), NASDAQ OMX Stockholm (XCSE) and Oslo Børs (XOSL). In respect of any Index Calculation Date t, the most recent set of securities published by the Underlying Index Calculator for inclusion in the Underlying Index, that fulfil all Universe Criteria, notwithstanding that the date when inclusion becomes effective might occur on a date after Index Calculation Date t. Solactive AG. Solactive Nordic 150 GTR Index. To be valid, a security must fulfil the following criteria: A security i, must not be in breach of any of the environmental, social and governance criteria set up by Index Administrator. The issuer is not involved in controversial weapons including biological weapons, chemical weapons, antipersonnel mines, cluster munitions or nuclear weapons. The issuer does not derive more than 5% of its revenues from the mining of thermal coal. The issuer does not derive more than 30% of its revenues from coal power generation. The issuer is not involved in the verified violation of international norms and standards regarding the environment, human rights, labour rights and anticorruption. A security i which, in respect of the Index Calculation Date immediately preceding the relevant Rebalancing Date t rb, does not have a non-zero Quantity Q i,trb 1, must not be subject to a public offer with a specified expiration date. From the final rebalancing period in 2016 and onwards, the issuer must not be incorporated in the United States of America. A security i must have a non-zero Dividend Yield DY i,trb 3

5 in respect of the relevant Rebalancing Date t rb. Rebalancing Date ( t rb ): The Tuesday immediately preceding the second Friday in June and December each year. If such date is not an Index Trading Date, the Index Trading Date immediately succeeding such date. Target Number of Constituents ( n ): 50 Distribution Factor ( DF i ): In respect of any Security i for which the issuer is domiciled in Denmark: 0.73; in respect of any Security i for which the issuer is domiciled in the United States of America: 0.85; in respect of any other Security i: 1.0. Strategy Weight Volatility ( β Vol ): 0.0 Strategy Weight Dividend Yield ( β DY ): 0.0 Vol Strategy Weight Volatility Rank ( β Rank ) 2.0 Strategy Weight Dividend Yield Rank ( β DY Rank ) 1.0 Maximum Weight ( w max ): 10% Weighting Method Proportional Smoothing Factor ( λ ): 0.98 Return Period Length ( d ): 1 Number of Initial Volatility Datapoints ( p ): Dividend Weight ( w(s, t) ): 50 A function, specifying the weight for a dividend in respect of a Local Calculation Date s and an Index Calculation Date t, as: If s and t are in the same calendar month: 0.0 If s is a date located in the 12 calendar months preceding t: 2.0 If s is a date located in the 12 calendar months preceding the 12 calendar months preceding t: 1.0 If s is a date located in a calendar month that is more than 24 calendar months preceding t: 0.0 Maximum Single Day Dividend Yield ( DY max ): 20% ADTV Length: ( L ADTV ): 90 Maximum ADTV Ratio ( R max ADTV ): 1.0 Index Capacity ( Capacity Index ): SEK Rebalancing Period Length ( L RP ): 5 Prioritized Factor(s): DY Dividend Yield Rank, w Rank i,trb 4

6 Price Determination Methodology: Corporate Action Security Inclusion Methodology: Corporate Action Adjustment Factor Determination Methodology: Corporate Action Security Exclusion Methodology: A method specifying the Price of a Security i on an Index Calculation Date t, or a Local Calculation Date t i, as the case may be, as the most recent official closing price of Security i on the main exchange for such Security on such date. If no such price is available, a price will be determined by the Index Calculator. A method specifying, in respect of an Index Calculation Date t, a Security i and a Security j (possibly with i = j), the number of units of Security i distributed to holders of Security j per unit of Security j in the Index on Index Calculation Date t, as the ratio of such number of units on such date as described in the Corporate Action Methodology. A method specifying the Adjustment Factor for corporate actions, in respect of a Security i, and an Index Calculation Date t, or a Local Calculation Date t i, as the case may be, as the Adjustment Factor as described in the Corporate Action Methodology. A method specifying, in respect of an Index Calculation Date t and a Security i, whether such Security should be excluded from the Index, as the method that excludes any security that is neither part of the Underlying Index, nor is scheduled to become part of the Undelying Index in an announcement made by the Underlying Index Calculator, or if the Index Calculator deems it more appropriate, any other method. 5