Handelsbanken Nordic Low Volatility 40 Index (SEK) Index Supplement. Version September 2014

Transcription

1 Handelsbanken Nordic Low Volatility 40 Index (SEK) Index Supplement Version September 2014

2 Contents 1 Description Index Statement General Definitions

3 Index Supplement Handelsbanken Nordic Low Volatility 40 Index 1 Description This document is an Index Supplement as defined in the Handelsbanken Low Volatility 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 Index Rules intends to replicate the performance of an equity basket constructed on the basis of selecting the least volatile single stocks out of a pre defined universe and assigning a weight to each component inversely proportionate to its observed 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 Low Volatility 40 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 LV40 <Index> 2

4 Reuters ticker: Index Business Day Center(s): Index Trading Date ( t T ): Reference Exchange: 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. NASDAQ OMX Copenhagen (XCSE), NASDAQ OMX Helsinki (XHEL), NASDAQ OMX Stockholm (XCSE) and Oslo Børs (XOSL). In respect of any Index Calculation Date t, occurring on or after the Underlying Index Start Date, 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. In respect of any Index Calculation Date t, occurring before the Underlying Index Start Date, the set of securities included in the Underlying Index on the Underlying Index Start Date, except for any security not listed on any Reference Exchange on Index Calculation Date t. The NASDAQ OMX Group, Inc. NASDAQ OMX Nordic 120 Net 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. Underlying Index Start Date:

5 Rebalancing Date ( t rb ): The Tuesday immediately preceding the third 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 ): 40 Minimum Security Start Date: Distribution Factor ( DF i ): In respect of any Security, i, the corresponding factor used by the Underlying Index Calculator as the proportion of a distribution to be re-invested in the Underlying Index.. Rebalancing Period Length ( L RP ): 5 Smoothing Factor ( λ ): 0.96 Return Period Length ( d ): 1 Number of Initial Volatility Datapoints ( p ): 50 Maximum ADTV Ratio ( R max ADTV ): 1.0 Index Capacity ( Capacity Index ): Price Determination Methodology: Distribution Valuation Methodology: Corporate Action Security Inclusion Methodology: Corporate Action Adjustment Factor Determination Methodology: SEK 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, and a relevant price is determined by the Underlying Index Calculator in calculations related to the Underlying Index, such price will be used. If neither an official closing price, nor a relevant price determined by the Underlying Index Calculator is available, a price will be determined by the Index Calculator. A method specifying the value of a distribution, as the value determined by the Underlying Index Calculator for such distribution in calculations related to the Underlying Index, without taking the effect of a Distribution Factor DF i 1 into account. 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 used by the Underlying Index Calculator in calculations related to the Underlying Index. 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 corresponding Adjustment Factor used by the Underlying Index Calculator in determinations relating to the Underlying Index. 4

6 Corporate Action Security Exclusion 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. 5