Guideline relating to. Micro Bond IndeX (MiBoX)

Transcription

1 Gudelne relatng to Mcro Bond IndeX (MBoX) Verson 1.0 dated

2 Contents Introducton 1 Index specfcatons 1.1 Short name and ISIN 1.2 Intal value 1.3 Dstrbuton 1.4 Prces and calculaton frequency 1.5 Weghtng 1.6 Decson-makng bodes 1.7 Publcaton 1.8 Hstorcal data 1.9 Lcensng 2 Composton of the Index 2.1 Selecton of the ndex components 2.2 Ordnary adjustment 2.3 Extraordnary adjustment 3 Calculaton of the Index 3.1 Index formula 3.2 Accuracy 3.3 Adjustments 3.4 Calculaton of the Index n the event of a market dsrupton 4 Defntons 4.1 Index-specfc defntons 4.2 Further defntons 5 Appendx 5.1 Contact data 5.2 Calculaton of the Index change n calculaton method Ths document contans the underlyng prncples and regulatons regardng the structure and the operatng of the Mcro Bond IndeX. Anlehen Fnder Gmbh and Structured Solutons AG shall make every effort to mplement regulatons. Structured Solutons AG does not offer any explct or tact guarantee or assurance, nether pertanng to the results from the use of the ndex nor the ndex value at any certan pont n tme nor n any other respect. The Mcro Bond IndeX s the sole property of Anlehen Fnder GmbH that entered nto a contract wth Structured Solutons regardng the calculaton and mantenance of the ndex. The ndex s calculated by Structured Solutons and publshed by the Stuttgart stock exchange. Structured Solutons strves to the best of ts ablty to ensure the correctness of the calculaton. There s no oblgaton for Structured Solutons AG rrespectve of possble oblgatons to ssuers to advse thrd partes, ncludng nvestors and/or fnancal ntermedares, of any errors n the ndex. The calculaton and publcaton of the ndex by Structured Solutons AG and Anlehen Fnder GmbH s no recommendaton for captal nvestment and does not contan any assurance or opnon of Structured Solutons AG regardng a possble nvestment n a fnancal nstrument based on ths ndex. 2

3 Introducton Ths document s to be used as a gudelne wth regard to the composton, calculaton and management of the Mcro Bond IndeX. Any changes made to the gudelne are ntated by the Commttee specfed n secton 1.6. The Mcro Bond IndeX s the sole property of Anlehen Fnder GmbH and s calculated and mantaned by Structured Solutons AG. 1 Index specfcatons The Mcro Bond Index comprses all fxed-ncome corporate bonds that are denomnated n EUR and ssued n the md-cap segments of the exchanges Stuttgart, Frankfurt, Düsseldorf, München or Hamburg&Hannover, or n another md-cap segment of an exchange. Further, a tme to maturty of at least twelve month s requred. Thus, the ndex tracks the prce movements of German md-cap corporate bonds. The Mcro Bond IndeX s a Total Return Index,.e. coupon payments wll be renvested n the ndex. 1.1 Name and ISIN The Mcro Bond IndeX s dstrbuted under ISIN DE000SLA1MB4; the WKN s SLA1MB. The Index s publshed n Reuters under the code.mibox and n Bloomberg under the code MIBOX Index. 1.2 Intal value The ndex wll be calculated every mnute startng on The ndex was based on 100 as at the close of tradng on Dstrbuton The Mcro Bond IndeX s publshed va the prce marketng servces of Boerse Stuttgart AG and s dstrbuted to all afflated vendors. 1.4 Prces and calculaton frequency The Mcro Bond IndeX s calculated based on the most recent prces ( Last )of the respectve ndex components. The ndex s calculated and dstrbuted every busness day every mnute from 9:00am to 06:00pm, CET. In the event that data cannot be provded or that there are troubles regardng the prce marketng of Structured Solutons AG the ndex cannot be dstrbuted 1.5 Weghtng On each adjustment day the weght per ssuer should not exceed 5%. In case the ndex comprses less than 21 ssuers the maxmum weght per ssuer s lmted to 15 %. The excess weght s allocated proportonally to all ndex components. The weghtng of each ndex consttuent may vary between adjustment days. The weghtng methodology may be amended by the Commttee f requred due to legal framework. 1.6 Decson-makng bodes A Commttee composed of staff from Structured Solutons AG and Anlehen Fnder GmbH s responsble for decsons regardng the composton of the Mcro Bond IndeX as well as any amendments to the rules (herenafter referred to as the "Commttee or the Index Commttee ). 3

4 The future composton of the Mcro Bond IndeX s set by the Commttee on the selecton days. The Commttee wll also decde about the future composton of the Mcro Bond IndeX f any extraordnary event (merger, nsolvency see chapter 2.3) occurs and the mplementaton of any necessary adjustments. Members of the Commttee can recommend at any tme changes to the composton of the Index or to the gudelne and submt them to the Commttee for approval. 1.7 Publcaton All specfcatons and nformaton relevant for calculatng the ndex are made avalable on the and web pages and sub-pages. 1.8 Hstorcal data Hstorcal data wll be mantaned from the launch of the Index on Lcencng Lcences to use the ndex as the underlyng value for dervatve nstruments are ssued to stock exchanges, banks, fnancal servces provders and nvestment houses by Structured Solutons AG (wth the affrmaton of Anlehen Fnder GmbH). 4

5 2 Composton of the Index 2.1 Selecton of the Index Components On the monthly selecton day Anlehen Fnder GmbH provdes the selecton pool. The Mcro Bond IndeX comprses all corporate bonds of the selecton pool. In case there s less than one corporate bond n the ndex, the ndex calculator wll stop calculaton accordng to a decson of the Index Commttee. Extraordnary adjustments are possble. On the ndex s composed as follows: Name SIAG SCHAAF INDUSTRIE AG SENIVITA SOZIAL GMBH SAG SOLARSTROM AG SAG SOLARSTROM AG MASCHINENFABRIK SPAICHIN KTG AGRAR AG GOLDEN GATE AG EYEMAXX REAL ESTATE AG DIC ASSET AG 3W POWER SA AIR BERLIN PLC AIR BERLIN PLC AIR BERLIN PLC ALBERT REIFF GMBH CO KG CENTROSOLAR GROUP AG DUERR AG GERMAN PELLETS GMBH JOH FRIED BEHRENS AG KTG AGRAR AG MAG IAS GMBH NABALTEC AG PAYOM SOLAR AG RENA GMBH ROYALBEACH SPIEL UND SPO SIC PROCESSING GMBH SOLARWATT AG UNIWHEELS HOLDING GMBH WINDREICH AG WINDREICH AG BASTEI LUBBE GMBH & CO K ENO ENERGY GMBH FFK ENVIRONMENT GMBH ISIN DE000A1KRAS1 DE000A1KQ3C2 DE000A1K0K53 DE000A1E84A4 DE000A1KQZL5 DE000A1H3VN9 DE000A1KQXX5 DE000A1K0FA0 DE000A1KQ1N3 DE000A1A29T7 DE000AB100A6 DE000AB100B4 DE000AB100C2 DE000A1H3F20 DE000A1E85T1 DE000A1EWGX1 DE000A1H3J67 DE000A1H3GE9 DE000A1ELQU9 DE000A1H3EY2 DE000A1EWL99 DE000A1H3M96 DE000A1E8W96 DE000A1K0QA7 DE000A1H3HQ1 DE000A1EWPU8 DE000A1KQ367 DE000A1CRMQ7 DE000A1H3V38 DE000A1K0169 DE000A1H3V53 DE000A1KQ4Z1 5

6 GIF - GESELLSCHAFT INDUS HKW PERSONALKONZEPTE GMB KATJES INTERNATIONAL GMB PROCAR AUTOMOBILE FINANZ SEMPER IDEM UNDERBERG VALENSINA GMBH BKN BIOSTROM AG ALBIS LEASING AG DE000A1K0FF9 DE000A1K0QR1 DE000A1KRBM2 DE000A1K0U44 DE000A1H3YJ1 DE000A1H3YK9 DE000A1KQ8V1 DE000A1CR0X3 2.2 Ordnary adjustment The composton of the ndex s ordnarly adjusted every month on the selecton day. New weghts wll be dentfed on the adjustment day accordng to 1.5. A rebalancng wll, asde from to extraordnary adjustments, only take place on the predetermned adjustment days. An ordnary adjustment takes place on the last tradng day of each month wth a frst adjustment n March Extraordnary adjustment The Index Commttee wll decde about the future composton and the mplementaton of any necessary adjustments of the Mcro Bond IndeX between two adjustment days f an extraordnary event (e.g. credt event, early redempton) regardng one or more ndex consttuents, occurs. If an ssuer redeems a bond the date of redempton wll be regarded as the maturty date. If therefore the tme to maturty s less than twelve month the bond wll be removed from the ndex on the next adjustment day. In case of a credt event the relevant corporate bond wll be excluded from the ndex at the last avalable market prce. If possble, there wll be at least two tradng days between the offcal announcement of the credt event by the ssuer and the adjustment of the ndex. The Index Commtee wll decde the future composton of the Mcro Bond IndeX as well as the tradng day whch marks the startng of the new adjusted ndex composton. 6

7 3 Calculaton of the Index Index formula The Mcro Bond IndeX s an ndex whose value reflects the relatve changes n bond values. Therefore the composton and weghtng s adjusted every month. As a formula: Totalreturn Drty Prce t, PadCash t Drty Prce, t, t 1, 1 weghtng t, Drty Prce t, a Drty ce Pr 1, t * WeghtngFactor rb, * WeghtngFactor rb, Index t, Index t 1, *(1 ( Totalreturn t a 1, * weghtng t 1, ) Whereas: Totalretur n t, Index t t 1 = Total return of the bond on tradng day t = Value of the ndex on tradng day t Index = Value of the ndex on the last tradng day t-1 Drty ce, t Pr = Drty prce of the bond on tradng day t, whereas drty prce t s the sum of the clean prce of the bond on tradng day t and the accrued nterest on tradng day t. Drty Pr = Drty prce of the bond on tradng day t-1, whereas drty prce t-1 wll be the sum of the clean prce ce Weghtng t,, t 1 of the bond on tradng day t-1 and the accrued nterest on tradng day t-1. = weghtng of the bond on tradng day t WeghtngF actor rb, = weghtng factor of bond on the last adjustment day n, leadng to an equal weghtng of the bonds PadCash, t n the ndex on the adjustment day n = a) Value of the coupon payment for bond on tradng day t b) If a bond wll be removed from the ndex, the resultng payment of the bond wll be ncluded n the pad cash component. 3.2 Accuracy The value of the ndex wll be rounded to four decmal places. Tradng prces of the consttuents wll be rounded to four decmal places. Accordng to the terms of the bond, the ndex calculator wll take the followng conventons nto account: 7

8 Act/Act Act/360 Act/365 30/360 ISMA 30/360 The ndex does not take taxes nto account and assumes gross coupon payments. 3.3 Adjustments Indces need to be adjusted for systematc changes n prces once these become effectve. Followng the Commttee s decson the Mcro Bond IndeX s adjusted for specal payments, bankruptcy, nomnal value changes, captal reductons and redemptons. Thereby possble payments are ncluded n the calculaton as Pad Cash. 3.4 Calculaton of the Index n the event of a Market Dsrupton Event An ndex s not calculated n the event of a market dsrupton event. If the market dsrupton event contnues over a perod of eght tradng days, the ndex calculator calculates the ndex value, takng nto account the market condtons prevalng at ths pont n tme, the last quoted tradng prce for each of the ndex components as well as any other condtons that t deems relevant for calculatng the ndex value. 8

9 4. Defntons 4.1 ndex-specfc defntons The Selecton pool n respect of a selecton day comprses corporate bonds that fulfll the followng condtons: (a) Issuance n the md-cap segments of the exchanges (b) Classfcaton as a md-cap corporate bond (c) A resdual tme to maturty of at least 12 months 4.2 Further defntons In partcular an extraordnary event s - an early redempton of the bond - the natonalsaton of a company - a credt event The tradng prce for the ndex component on the day the event came nto effect s the last avalable market prce for ths ndex component quoted on the exchange on the day the event came nto effect (or, f a market prce s not avalable for the day the event came nto effect, the last avalable market prce quoted on the exchange on a day specfed as approprate by the ndex calculator), as determned by the ndex calculator. Ths prce s used as the tradng prce of the partcular ndex component untl the end of the day on whch the composton of the Index s next set. A credt event s the suspenson of debt servce, nsolvency or falure to pay. The md-cap segment of the exchanges comprses the entry standard for bonds n Frankfurt, the segment Bondm of the Stuttgart stock exchange, the mttelstandsmarkt of the Düsseldorf stock exchange, the Mttelstandsbörse Deutschland BÖAG Hamburg/Hannover, maccess of the Munch stock exchange or every further segment of a German exchange whose man busness s the ssuance of md-cap corporate bonds. "Last prce" s (asde from the rules referred to n extraordnary events ) the last avalable market prce quoted on the respectve exchange. A tradng day s n relaton to the ndex or an ndex component a tradng day on the exchange (or a day that would have been such a day f a market dsrupton had not occurred), excludng days on whch tradng may be ceased pror to the normal exchange closng tme. The ndex calculator s ultmately responsble as to whether a certan day s a tradng day wth regard to the ndex or an ndex component or n any other connecton relatng to ths document. The ndex calculator s Structured Solutons AG or any other approprately apponted successor n ths functon. The ndex currency s EUR. Selecton day s the busness day seven busness days before the adjustment day. Adjustment day s the last tradng day of each month. A market dsrupton event occurs f 1. one of the followng events occurs or exsts on a tradng day pror to the openng quotaton tme for an ndex component: A) tradng s suspended or restrcted (due to prce movements that exceed the lmts allowed by the exchange or an afflated exchange, or for other reasons): 1.1. across the whole exchange; or 9

10 1.2. n optons or futures contracts on or wth regard to an ndex component or an ndex component that s quoted on an afflated exchange; or 1.3. on an exchange or n a tradng or quotaton system (as determned by the ndex calculator) n whch an ndex component s lsted or quoted; or B) an event that (n the assessment of the ndex calculator) generally dsrupts and affects the opportuntes of market partcpants to execute on the exchange transactons n respect of a share ncluded n the ndex or to determne market values for a share ncluded n the ndex or to execute on an afflated exchange transacton wth regard to optons and futures contracts on these shares or to determne market values for such optons or futures contracts; or 2. tradng on the exchange or an afflated exchange s ceased pror to the usual closng tme (as defned below), unless the early cessaton of tradng s announced by the exchange or afflated exchange on ths tradng day at least one hour before (aa) the actual closng tme for normal tradng on the exchange or afflated exchange on the tradng day n queston or, f earler. (bb) the closng tme (f gven) of the exchange or afflated exchange for the executon of orders at the tme the quote s gven. Normal exchange closng tme s the tme at whch the Exchange or an Afflated Exchange s normally closed on workng days wthout takng nto account after-hours tradng or other tradng actvtes carred out outsde the normal tradng hours; or 3. a general moratorum s mposed on bankng transactons n the country n whch the exchange s resdent f the above-mentoned events are materal n the assessment of the ndex calculator, whereby the ndex calculator makes hs decson based on those crcumstances that he consders reasonable and approprate. 10

11 5 Appendx 5.1 Contact data Informaton regardng the Mcro Bond IndeX concept Structured Solutons AG Bettnastrasse Frankfurt am Man Tel.: Fax: Calculaton of the Index change n calculaton method The applcaton by the ndex calculator of the method descrbed n ths document s fnal and bndng. The ndex calculator shall apply the method descrbed above for the composton and calculaton of the ndex. However t cannot be excluded that the market envronment, supervsory, legal, fnancal or tax reasons may requre changes to be made to ths method. The ndex calculator may also make changes to the terms and condtons of the ndex and the method appled to calculate the ndex, whch he deems to be necessary and desrable n order to prevent obvous or demonstrable error or to remedy, correct or supplement ncorrect terms and condtons. The ndex calculator s not oblged to provde nformaton on any such modfcatons or changes. Despte the modfcatons and changes the ndex calculator wll take the approprate steps to ensure a calculaton method s appled that s consstent wth the method descrbed above. 11