Handelsbanken Swap Index Base Methodology. Version February 2014

Transcription

1 Handelsbanken Swap Index Base Mehodology Version. 5 February 24

2 Conens Inroducion Descripion General Terms Imporan Informaion Definiions Deerminaion of he Index Level General Deerminaion of he Price of he Synheic Bond Deerminaion of he Coupon Rae of he Synheic Bond Deerminaion of he yield used for valuaion of he Synheic Bond Miscellaneous Disrupion Evens Consequences of Disrupion Evens... 8 Change in Mehodology of he Index and Terminaion... 9 Availabiliy and Publicaion of Index Levels and Adjusmens General Index Closing Levels Miscellaneous... Schedule Form of Index Supplemen... 2

3 Inroducion This documen (he Base Mehodology ) is inended o be read ogeher wih an index supplemen (subsanially in he form se ou in he Schedule enclosed in his documen) (he Index Supplemen ) and a documen conaining principles and codes of conduc se up o define he differen roles involved in he process of mainaining, calculaing and publishing he index (he Index Principles ). This Base Mehodology as supplemened and compleed by an Index Supplemen and he Index Principles ses ou he rules (he Index Rules ) applicable o he index specified in such Index Supplemen (he Index ) and he basis on which he Index will be calculaed. The Index Base Mehodology and respecive Index Supplemen may be amended by he Index Adminisraor from ime o ime as provided in Secion 8 (Change in Mehodology of he Index and Terminaion). This documen and any oher par of he Index Rules will be superseded by any subsequen Index Rules. A copy of he curren version of he Index Rules can be obained on he Handelsbanken Websie. Terms used in his Base Mehodology will have he meanings given o hem in Secion 3 (General Terms) and Secion (Definiions) below. 2 Descripion The Index Rules inends o replicae he performance of a synheic bond posiion wih a pre defined mauriy held unil an upcoming rebalancing dae. A he rebalancing dae he proceeds from closing he posiion and he accrued ineres is reinvesed ino a new synheic bond wih he same pre defined mauriy. This process aims o keep mauriy in he bond posiion consan across rebalancing daes. The coupon deermined a he respecive rebalancing daes is equivalen o he prevailing swap raes for he corresponding mauriy adjused for spreads. 3 General Terms The Index Level will be calculaed by he Index Calculaor on each Index Calculaion Dae following he Index Launch Dae subjec o Secion 7 (Disrupion Evens) and published as soon as reasonably pracicable by he Index Publisher afer he Index Publicaion Time on he Index Business Day immediaely following he relevan Index Calculaion Dae in accordance wih Secion 9 (Availabiliy, Publicaion and Adjusmens) below. All calculaions will be done based on daa provided by he Index Conribuor(s) were applicable and he models, algorihms and scrips used by he Index Calculaor are pre validaed by he Index Validaor. Index Adminisraor: Index Conribuor: Index Calculaor: Index Validaor: Index Publisher: Svenska Handelsbanken AB (publ) as furher described in he Index Principles. As specified in he Index Supplemen and furher described in he Index Principles. As specified in he Index Supplemen and furher described in he Index Principles. As specified in he Index Supplemen and furher described in he Index Principles. As specified in he Index Supplemen and furher described in he Index Principles. 2

4 4 Imporan Informaion An Index defined under his Base Mehodology and respecive Index Supplemen, is considered rules based. Rules based indices are passive algorihmic indices inended o replicae a pre defined invesmen sraegy or process where he presence of discreionary decision making and acive managemen is pu o an absolue minimum. The process of minimizing discreionary mandaes is done o preven conflics of ineres. A degree of discreion can however arise when making cerain deerminaions, calculaions and adjusmens in relaion o he Index. In order o couner poenial conflics of ineress, Handelsbanken works in accordance wih is Index Principles in which a number of roles such as Index Adminisraor, Index Conribuor, Index Calculaor, Index Validaor and Index Publisher (he Index Operaors ) are defined and where desirable; is assignmens are kep separaed. Unless oherwise provided and subjec o Secion 8 (Change in Mehodology of he Index and Terminaion) all deerminaions made by he Index Operaors will be made in good faih and in a commercially reasonable manner by reference o such facors as he respecive Index Operaor deems appropriae and in accordance wih he Index Principles. The Index Adminisraor may, in is sole and absolue discreion, a any ime and wihou noice, order he erminaion of he calculaion and publicaion of he Index or delegae or ransfer he responsibiliies or funcions defined in he Index Principles. The Index Adminisraor will ac in good faih and in a commercially reasonable manner when exercising such discreion. All decisions, deerminaions or inerpreaions made by he Index Adminisraor will be final, conclusive and binding in he absence of manifes error. Transacions linked o he Index The Index Operaors are no obliged o ener ino or promoe ransacions or invesmens ha are linked o he Index and make no express or implied represenaions or warranies as o: (a) he advisabiliy of purchasing or assuming any risk in connecion wih any such ransacion; (b) he levels a which he Index sands a any paricular ime on any paricular dae; (c) he resuls o be obained by he issuer of any securiy or any counerpary or any such issuer s securiy holders or cusomers or any such counerpary s counerparies or cusomers or any oher person or eniy from he use of he Index or any daa used or published in connecion wih he Index in connecion wih any licensed righs or for any oher use; or (d) any oher maer. The Index Operaors make no express or implied represenaions or warranies of merchanabiliy or finess for a paricular purpose wih respec o he Index or any daa used or published in connecion wih he Index. General Wihou limiing any of he foregoing, in no even shall he Index Operaors be liable (wheher direcly or indirecly, in conrac, or oherwise) for any loss incurred by any person ha arises ou of or in connecion wih he Index, including in relaion o he performance by an Index Operaor of any par of is role as Index Operaor under he Index Rules, provided ha nohing shall relieve he Index Operaor from any liabiliy arising by reason of acs or omissions consiuing any breach of regulaion (including he regulaory sysem) or oher law. The Index Adminisraor owns inellecual propery righs in he Index and in his Base Mehodology. Any use of any such inellecual propery righs mus be wih he prior wrien consen of he Index Adminisraor. 3

5 5 Definiions ACT(, 2 ) Bloomberg icker: Coupon Dae: Coupon Dae Deerminaion Mehod: Coupon Day Coun Convenion: Disrupion Even: Force Majeure Even: Handelsbanken Websie: IMM Selemen Dae: Index Base Dae, ( ): Index Base Level, ( I ): Index Business Day: Index Business Day Cener: Index Calculaion Dae, ( ): Means he number of calendar days beween he Calculaion Dae (included) and he Calculaion Dae 2 (excluded). If he Calculaions Dae occurs afer he Calculaion Dae 2, ACT(, 2 ) = -ACT( 2, ) applies. As specified in he Index Supplemen. In respec of a Calculaion Dae, any dae deermined as such using o he Coupon Dae Deerminaion Mehod for he Synheic Bond issued on he las Rebalancing Dae preceding Calculaion Dae. A mehod, specified in he Index Supplemen, for deermining he Coupon Daes for a Synheic Bond issued on a Rebalancing Dae. As specified in he Index Supplemen. Has he meaning given o i in Secion 6. (Disrupion Evens). Means an even or circumsance (including, wihou limiaion, a sysems failure, fire, building evacuaion, naural or manmade disaser, armed conflic, ac of errorism, ac of sae, rio or labour disrupion or any similar inervening circumsance) ha affecs he abiliy of he Index Calculaor o calculae or deermine he Index and which is beyond he reasonable conrol of he Index Calculaor. Means in respec of he Index Currency, each day ha is specified by he Chicago Mercanile Exchange, pursuan o is conrac specificaions, as a Firs Delivery Dae for such currency. The dae as specified in he Index Supplemen and meaning he Calculaion Dae () a dae a which he Index Level I is equal o he Index Base Level I. As specified in he Index Supplemen. Means each day (oher han a Saurday or a Sunday) (i) on which commercial banks and foreign exchange markes sele paymens and are open for general business (including dealings in foreign exchange and foreign currency deposis) in all Index Business Day Ceners. The marke, region or counry where a corresponding calendar can be idenified as specified in he Index Supplemen. Means any Index Business Day on which no Index Disrupion Even occurs (excep as provided for in Secion 7. (Consequences of Disrupion Evens); Calculaion Dae (-) means he preceding Calculaion Dae o he Calculaion Dae 4

6 (). Index Currency: Index Launch Dae: Index Level, ( ) The currency as specified in he Index Supplemen in which he Index Level is denominaed. The Index has been calculaed on a live basis from and including he dae specified in he relevan Index Supplemen and has been rerospecively calculaed since he dae specified in he relevan Index Supplemen, such dae being he Index Launch Dae. In respec of a Calculaion Dae, he level of he Index. Index Mauriy, ( M ): As specified in he Index Supplemen. Index Name: The name used as reference for a specific Index defined under is respecive Index Rules and as specified in he respecive Index Supplemen. Insrumen: Means any asse or financial insrumen or securiy, noional or oherwise, which he Index Calculaor, in is sole and absolue discreion, deermines is a componen of, or whose price, value or level is relevan for he purposes of making any deerminaion relaing o, he Index including, bu no limied o, foreign exchange raes, cash deposis and cash deposi raes, swaps and swapions, fuures conracs and opions and any oher financial insrumens ha he Index Calculaor deems, in is sole and absolue discreion, appropriae for such purpose. Inerpolaion Mehod: Reuers: Rebalancing Dae ( ) Reuers code: Run Cos Rae ( rcr ): Yield Spread ( a ): Swap Fixed Rae, ( ): As specified in he Index Supplemen. Means Reuers Group PLC or any of is affiliaes and subsidiaries, or any successor marke price informaion provider(s). Any dae, as specified in he Index Supplemen, on which rebalancing is performed in accordance wih Secion 6 (Deerminaion of he Index Level). The las Rebalancing Dae preceding Calculaion Dae is denoed. As specified in he Index Supplemen. Means he rae (if any), expressed in per cen. per annum ha is charged o he Index on a daily pro-raa basis in accordance wih Secion 6. (Index Level) and as specified in he Index Supplemen. As specified in he Index Supplemen. In respec of a Calculaion Dae and Swap Mauriy, he rae deermined for such mauriy and such dae according o he Swap Rae Deerminaion Mehod. 5

7 Swap Fixed Rae, ( ): Swap Fixed Rae, ( ): Index Fixed Rae, ( ): Swap Mauriy, ( ): Swap Mauriy, ( ): Swap Mauriy 2, ( ): Swap Rae Deerminaion Mehod: Synheic Bond Mauriy Dae, ( ): In respec of a Calculaion Dae and Swap Mauriy, he rae deermined for such mauriy and such dae according o he Swap Rae Deerminaion Mehod. In respec of a Calculaion Dae and Swap Mauriy 2, he rae deermined for such mauriy and such dae according o he Swap Rae Deerminaion Mehod. In respec of a Calculaion Dae and Index Mauriy M, he rae deermined for such mauriy and such dae according o he Swap Rae Deerminaion Mehod. As specified in he Index Supplemen. As specified in he Index Supplemen. As specified in he Index Supplemen. A mehod, specified in he Index Supplemen, for deermining he Swap Rae for a Calculaion Dae and a mauriy. In respec of a Synheic Bond issued on Rebalancing Dae, he dae where he ime beween and, deermined according o he Coupon Day Coun Convenion, corresponds o he Index Mauriy M. 6 Deerminaion of he Index Level 6. General As of he Index Base Dae, he Index Level I is equal o he Index Base Level I. As of each Calculaion Dae where (, ) wih he following formula: N > he Index Level I is deermined in accordance I = I rb ( ) rb DP IP ( ) RC rb ( ) where: I is he Index Level on he las Rebalancing Dae preceding Calculaion Dae. rb ( ) rb ( ) DP is he Price on Calculaion Dae, of he Synheic Bond issued on he las Rebalancing Dae preceding Calculaion Dae. IP is he Issue Price of a Synheic Bond. ( ) RC is he Running Cos incurred beween Rebalancing Dae ( ) rb calculaed as: RC ( ) ACT ( ( ),) rb = rcr, where rcr is he Run Cos Rae. 365 rb rb and Calculaion Dae, 6

8 6.2 Deerminaion of he Price of he Synheic Bond The Price on Calculaion Dae of he Synheic Bond issued on he las Rebalancing Dae preceding Calculaion Dae is deermined as: DP rb where: ( ) = N + N ( ) ( ) + = + i ( + ) ( Y ) C Y IP c C Y is he yield on Calculaion Dae of he Synheic Bond issued on Rebalancing Dae ( ) ( ) i + C rb. is he ime in years from Calculaion Dae o he firs Coupon Dae, calculaed according o he Coupon Day Coun Convenion. N is he number of Coupon Daes for he Synheic Bond. C is he number of Coupon Daes per year for he Synheic Bond. c is he Coupon Rae of he Synheic Bond issued on Rebalancing Dae rb. 6.3 Deerminaion of he Coupon Rae of he Synheic Bond The Coupon Rae of he Synheic Bond issued on Rebalancing Dae rb is calculaed as: c = R( rb ) where: R ( rb ) is he Index Fixed Rae on Rebalancing Dae rb. 6.4 Deerminaion of he yield used for valuaion of he Synheic Bond If he Inerpolaion Mehod is specified as Single, he yield on Calculaion Dae of he Synheic Bond issued on Rebalancing Dae rb ( ), Y is calculaed as: Y y + a = where: a is he Yield Spread y is he value of Swap Fixed Rae in respec of Calculaion Dae. If he Inerpolaion Mehod is specified as Linear, he yield on Calculaion Dae of he Synheic Bond issued on Rebalancing Dae rb ( ), Y is calculaed as: ( x x ) a Y c + c + = where: c = y c ( y y ) ( x ) = x 7

9 where: a is he Yield Spread y is he value of Swap Fixed Rae in respec of Calculaion Dae. y is he value of Swap Fixed Rae in respec of Calculaion Dae. x is Swap Mauriy, measured in years. x is Swap Mauriy, measured in years. and: x is he Synheic Bond Mauriy, calculaed as: ACT rb x = M 365 ( ( ),) If he Inerpolaion Mehod is specified as Quadraic, he yield on Calculaion Dae of he Synheic Bond issued on Rebalancing Dae rb ( ), Y is calculaed as: ( x x ) + c ( x x ) ( x x ) a Y c + c + = 2 where: c = y c ( y y ) ( x ) = x c 2 = where: ( y y ) ( x x ) ( y y ) ( x x ) 2 a is he Yield Spread 2 x 2 x y is he value of Swap Fixed Rae in respec of Calculaion Dae. y is he value of Swap Fixed Rae in respec of Calculaion Dae. y 2 is he value of Swap Fixed Rae 2 in respec of Calculaion Dae. x is Swap Mauriy, measured in years. x is Swap Mauriy, measured in years. x is Swap Mauriy 2, measured in years. 2 and: x is he Synheic Bond Mauriy, calculaed as: 8

10 ACT rb x = M Miscellaneous ( ( ),) The Index Closing Level shall be calculaed by he Index Calculaor and published by he Index Publisher rounded o four decimal places wih.5 being rounded upwards, as se ou in Secion 9 (Availabiliy and Publicaion of Index Closing Levels and Adjusmens) below. 7 Disrupion Evens A Disrupion Even, in respec of any Index Business Day, means an even (including a Force Majeure Even or a day of naional mourning) ha would require he Index Calculaor o calculae he Index on an alernaive basis were such even o occur or exis on such day, all as deermined by he Index Calculaor in is sole and absolue discreion. Wihou limiaion, each of he following may be a Disrupion Even if so deermined by he Index Calculaor in is sole and absolue discreion: (i) (ii) (iii) (iv) (v) (vi) (vii) (viii) Price Source Disrupion : any Price Source, any Insrumen or any oher informaion relevan o he calculaion of he Index is emporarily or permanenly disconinued, unavailable or no announced or published hereby prevening or resricing he availabiliy of he informaion necessary for deermining he Index. Trading Suspension : he maerial suspension of rading in any Insrumen. Disappearance of any Insrumen : he failure of rading o commence, or he permanen disconinuaion of rading in any Insrumen. De Minimis Trading : he number of Insrumens raded on any relevan dae is maerially reduced or liquidiy in he marke for any Insrumen is oherwise reduced for any reason. Change of Law or Rules : here is a change in, or amendmen o, he laws, rules, regulaions or sandard form conracs relaing o any Insrumen or a change in any applicaion or inerpreaion of such laws, rules, regulaions or sandard form conracs ha has a maerial effec on such Insrumen. Selemen Disrupion : he Index Calculaor deermines in is sole and absolue discreion ha rading in, or selemen in respec of, any Insrumen is subjec o any maerial disrupion emporarily or permanenly. Tax Disrupion : he imposiion of, change in, removal of or change in he inerpreaion of any ax (including, wihou limiaion, any excise, severance, sales, use, value-added, ransfer, samp, documenary, recording or similar ax) on, or in relaion o any Insrumen, by any governmen or axaion auhoriy afer he relevan Index Launch Dae, if he effec of such imposiion, change, removal or change in inerpreaion is o raise or lower he price, rae or level a which such Insrumen rades on he relevan exchange or in he relevan marke on any relevan dae from he price, rae or level a which i would have raded wihou ha imposiion, change, removal or change in inerpreaion. Hedging Disrupion : The Index Calculaor deermines ha i would be unable, afer using commercially reasonable effors, o: (a) acquire, esablish, re-esablish, subsiue, mainain, unwind or dispose of any ransacion(s) or asse(s) i deems necessary o hedge is posiion in relaion o any securiies issue, financial insrumen or oher relevan financial 9

11 ransacion relaing o or calculaed by reference o he Index; or (b) realise, recover or remi he proceeds of any such ransacion(s) or asse(s). 7. Consequences of Disrupion Evens If a Disrupion Even occurs or subsiss on any Index Business Day, ha in he deerminaion of he Index Calculaor prevens or oherwise affecs is deerminaions wih respec o he Index Level or any oher relevan value ha requires deerminaion or calculaion by he Index Calculaor in relaion o such Index Business Day (including, bu no limied o, he deerminaion of any price, value, rae or level of any Insrumen relaing o he Index), hen: 7.. firs, he Index Calculaor may make such adjusmens and/or deerminaions in relaion o he Index (including, bu no limied o, he Index Rules) and any relevan value as i may deermine, in is sole and absolue discreion, appropriae o faciliae he calculaion of he Index Level on such Index Business Day; 7..2 secondly, if he Index Calculaor deermines ha any such adjusmen or deerminaion referred o in sub-secion 7.. above canno be made on such Index Business Day, hen he Index Calculaor and Index Publisher may defer calculaion and publicaion respecively of he Index Level unil he nex Index Business Day on which he Index Calculaor deermines, in is sole and absolue discreion, ha no Disrupion Even exiss provided ha where any such deferral of calculaion and publicaion coninues for a period of weny consecuive Index Business Days, hen he Index Adminisraor may: (i) (ii) allow he Index Calulaor o calculae he Index Level relaing o each Index Business Day falling in or afer such period having regard o he hen prevailing marke condiions, he las repored price, value, rae or level of any Insrumen relaing o he Index and such oher facor(s) and condiion(s) ha he Index Calculaor considers relevan for he purpose of deermining such Index Levels including, bu no limied o, any modificaions ha he Index Calculaor deermines o be appropriae in relaion o reconsiuion relaing o he Index; and/or permanenly cease o have he Index Level calculaed or published as of he laer of (x) he dae when such Disrupion Even commenced or (y) he [Index Business Day] following he las [Index Business Day] for which he Index Calculaor calculaed and he Index Publisher published he relevan Index Level in accordance wih sub-secion 7..2(i) above (if any) and, in each case, as applicable, he Index shall erminae. 8 Change in Mehodology and Terminaion of he Index In calculaing and deermining he value of he Index, he Index Calculaor shall, subjec as provided below, employ he mehodology described above and is applicaion of such mehodology shall be conclusive and binding. While he Index Adminisraor currenly employs he above described mehodology o calculae he Index, no assurance can be given ha fiscal, marke, regulaory, juridical, financial or oher circumsances (including, bu no limied o, any changes o or any suspension or erminaion of or any oher evens affecing ransacions on he same or similar erms o any Insrumen for which values will be deermined in relaion o he Index) will no arise ha would, in he view of he Index Adminisraor, necessiae or make desirable a modificaion of or change o such mehodology and he Index Adminisraor shall be eniled o make any such modificaion or change.

12 The Index Adminisraor may make modificaions o he erms of he Index in any manner ha i may deem necessary or desirable, including (wihou limiaion) o correc any manifes or proven error or o cure, correc or supplemen any ambiguiy or defecive provision conained in his Base Mehodology. In paricular, bu wihou limiaion, he Index Adminisraor may, a any ime and wihou noice, change he frequency of calculaion of he Index Level and make such adjusmen o he Base Mehodology as i deems necessary, in is sole and absolue discreion, o ake accoun of he amended frequency of calculaion. In making any such modificaions however he Index Adminisraor shall make reasonable effors o ensure ha such modificaions or changes resul in a mehodology ha is consisen in is inended commercial purpose wih he mehodology described in Secion 2 (Descripion) and he Index Saemen as specified in he Index Supplemen. The Index Adminisraor may, in is sole and absolue discreion, a any ime and wihou noice, erminae he calculaion and publicaion of he Index. The Index Adminisraor has no obligaion o inform any person abou such modificaion or change. 9 Availabiliy and Publicaion of Index Levels and Adjusmens 9. General The Index Publisher will make available he Index Level for each Index Business Day as soon as reasonably pracicable afer 8. CET (he Index Publicaion Time ) on he nex Index Business Day following such Index Business Day. Also he Index Publisher will disclose he curren Noional Amouns for he respecive Eligible Currency as of he laes Rebalancing Dae on he Handelsbanken Websie. 9.2 Index Closing Levels Each Index Closing Level shall be published a any or all of: (i) (ii) (iii) (iv) on Bloomberg using he Bloomberg Ticker, as se ou in he in he Index Supplemen; on Reuers using he Reuers Ticker, as se ou in he in he Index Supplemen; on he Handelsbanken Websie on such oher informaion sources as he Index Publisher may selec from ime o ime a is sole and absolue discreion. 9.3 Miscellaneous The Index Publisher acceps no legal liabiliy o any person for publishing or no coninuing o publish for any period of ime any Index Level a any paricular place or any paricular ime. This Base Mehodology is wrien and published by he Index Adminisraor. The Index Adminisraor is exclusively eniled o consrue is provisions and deermine or clarify heir meaning. If here is any ambiguiy in, or uncerainy or dispue abou he meaning of, any of he provisions of his Base Mehodology, he Index Adminisraor shall, in is sole and absolue discreion, consrue he relevan provision(s) in order o deermine he correc inerpreaion, and he decision of he Index Adminisraor shall be final.

13 Form of Index Supplemen Handelsbanken Index Descripion This documen is an Index Supplemen as defined in he Handelsbanken Foreign Exchange Alpha Index Base Mehodology daed version (he Base Mehodology ). Terms used herein shall have he meaning given o hem in he Base Mehodology [as amended from ime o ime]. This Index Supplemen mus be read in conjuncion wih he Base Mehodology and principles se up o define he differen roles involved in he process of mainaining, calculaing and publishing he index (he Index Principles ). This Index Supplemen as supplemened and compleed by he Base Mehodology and he Index Principles consiue he rules (he Index Rules ) applicable o he index specified in his Index Supplemen (he Index ) and he basis on which he Index will be calculaed. 2 Index Saemen 3 General Definiions Index Name: Index Conribuor: Index Calculaor Index Validaor Index Publisher Index Currency: Index Base Dae ( ): Index Base Level ( I ): Index Business Day Cener: Index Launch Dae: Index Mauriy, ( M ): Bloomberg icker: Inerpolaion Mehod: Reuers icker: Rebalancing Dae ( ): Run Cos Rae ( rcr ): Yield Spread ( a ): % 2

14 Swap Mauriy, ( ): Swap Mauriy, ( ): Swap Mauriy 2, ( ): Swap Rae Deerminaion Mehod: Coupon Dae Deerminaion Mehod: Coupon Day Coun Convenion: 3