Handelsbanken Finland Balance 20% Index Supplement. Version October 2017

Transcription

1 Handelsbanken Finland Balance 20% Index Supplement Version October 2017

2 Contents 1 Description Index Statement General Definitions

3 Index Supplement The Finland 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 Finland Balance 20 % Index (the Index ) measures the performance of a rules-based, quantitative investment strategy that reflects the relative return of the OMX Helsinki 15 Net index (the Underlying Index ) against the Euro Overnight Index Average rate ( EONIA 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 Helsinki 15 Net 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%; furthermore, a minimum change of 10% in the exposure is required in order for the exposure to the Underlying Index to be adjusted. Finland Balance 20% (the Index ) is the property of ( 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: Finland Balance 20 % Index Contributor: Index Calculator Index Validator Index Publisher Index Currency: Not Applicable EUR 2

4 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: Index Business Day Center(s): Index Business Day Exchange(s): Underlying Index: Interest Rate ( R t ): Interest Rate Source: SHB FI20 <Index> n/a TARGET Nasdaq Helsinki (XHEL). The OMX Helsinki 15 Net index (Bloomberg ticker: OMXH15NI<Index>). The Underlying Index is maintained and governed by the NASDAQ OMX Group, Inc., according to the "Rules for Construction and Maintenance of the OMX Helsinki 15 Index. 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 Euro Overnight Index Average rate which which appears on the Interest Rate Source immediately following the time of regular fixing publications. Bloomberg page: EONIA <Index>, or any successor page or service, as determined by the Index Calculator. Maximum Exposure ( E max ): 170% Exposure Change Threshold ( E ): 10% 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 Licenses The Finland Balance 20% Index is not sponsored, endorsed, sold or promoted by The NASDAQ OMX Group, Inc. or its affiliates (NASDAQ OMX, with its affiliates, are referred to as the Corporations ). The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the Finland Balance 20%. The Corporations make no representation or warranty, express or implied to the owners of the any product referencing the Finland Balance 20% or any member of the public regarding the advisability of investing in securities generally or in the Finland Balance 20% particularly, or the ability of the OMX Helsinki 15 Net index to track general stock market performance. The Corporations' only relationship to ( Licensee ) is in the licensing of the NASDAQ, NASDAQ OMX, OMX, and OMX Helsinki 15 Net indextm registered trademarks, and certain trade names of the Corporations and the use of the OMX Helsinki 15 Net index which is determined, composed and calculated by NASDAQ OMX without regard to Licensee or the Product(s). NASDAQ OMX has no obligation to take the needs of the Licensee or the owners of the Product(s) into consideration in determining, composing or calculating the OMX Helsinki 15 Net index. The Corporations are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of any product referencing the Finland Balance 20% to be issued or in the determination or calculation of the equation by which any product referencing the Finland Balance 20% is to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of any product referencing the Finland Balance 20%. THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF THE OMX HELSINKI 15 NET INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE, OWNERS OF THE PRODUCT(S), OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE OMX HELSINKI 15 NET INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE OMX HELSINKI 15 NET INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. 4