Guideline relating to. Solactive Green Bond EUR USD IG Index Version 1.3 dated June 26th, 2018

Transcription

1 Gudelne relatng to Solactve Green Bond EUR USD IG Index Verson 1.3 dated June 26th,

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 Index Commttee 1.7 Publcaton 1.8 Hstorcal data 1.9 Lcensng 2 Composton of the Index 2.1 Selecton of the Index Components 2.2 Ordnary adjustment 2.3 Extraordnary adjustment 3 Calculaton of the Index 3.1 Index formula 3.2 Accuracy 3.3 Adjustments 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 Solactve Green Bond EUR USD IG Index. Solactve AG shall make every effort to mplement regulatons. Solactve 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 Solactve Green Bond EUR USD IG Index s the sole property of Solactve AG. Solactve AG strves to the best of ts ablty to ensure the correctness of the calculaton. There s no oblgaton for Solactve 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 Solactve AG s no recommendaton for captal nvestment and does not contan any assurance or opnon of Solactve 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 Solactve Green Bond EUR USD IG Index. Any changes made to the gudelne are ntated by the Commttee specfed n secton 1.6. The Solactve Green Bond EUR USD IG Index s the sole property of Solactve AG. The Solactve Green Bond EUR USD IG Index s calculated and publshed by Solactve AG. The name Solactve s copyrghted. 1 Index specfcatons The Solactve Green Bond EUR USD IG Index s a rules-based, market value weghted ndex engneered to mrror the nvestment grade green bond market. The ndex s comprsed of nvestment grade rated green bonds denomnated n EUR and USD and calculated as a Total Return Index denomnated n EUR. 1.1 Name and ISIN The Solactve Green Bond EUR USD IG Index s dstrbuted under ISIN DE000SLA2514; the WKN s SLA251. The Index s publshed n Reuters under the code.sgreenig and n Bloomberg under the code SGREENIG INDEX. 1.2 Intal value The ndex wll be calculated every Busness Day startng on 9th of February The ndex was based on 100 as at the close of tradng on 31st of March Dstrbuton The Solactve Green Bond EUR USD IG 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 Solactve Green Bond EUR USD IG Index s calculated based on the Last Evaluated Md Prce (see 4.2 Further Defntons) of the respectve Index Components. New bonds enter the ndex at the ask prces. Weght ncreases are also consdered at the ask prce. The ndex s calculated and dstrbuted once every Busness Day. In the event that data cannot be provded or that there are troubles regardng the prce marketng of Solactve AG the ndex cannot be dstrbuted. 1.5 Weghtng The Index Components are weghted accordng to ther respectve Market Value n proporton to the aggregated Market Value of all Index Components n the ndex (see weghtng formula n chapter 3.1), whereas the followng weghtng constrants are appled: Corporate ssuers are capped at 5%. Government ssuers are capped at 10%. The weghtng methodology may be amended by the Commttee f requred due to legal framework. 3

4 1.6 Index Commttee The Solactve Green Bond EUR USD IG Index s a rules-based ndex. Solactve AG s responsble for applyng the rules as descrbed n ths ndex gudelne. Only n case of an Extraordnary Event a Commttee composed of Solactve AG employees (herenafter referred to as the "Commttee or the Index Commttee ) wll decde about the future composton of the Solactve Green Bond EUR USD IG Index The Commttee wll meet and decde on how to treat the Extraordnary Event n the ndex based on the nformaton avalable. An extraordnary adjustment wll only be mplemented f the majorty of the Commttee supports the suggested treatment. As soon as a decson has been taken all partes related to the ndex are nformed about the Extraordnary Event as well as the decded treatment and date of mplementaton. For further nformaton on the treatment of Extraordnary Events see chapter 2.3. The Commttee can also make amendments to the ndex rules f requred. As an example, f the ndex does not meet legal or regulatory requrements (for the ndex tself or related fnancal products) anymore the Commttee reserves the rght to adjust the rules to meet these requrements. Ths may affect selecton crtera or weghtng rules. If there are any changes to the rules, all partes related to the ndex are nformed and the new rulebook wll be publshed on the company webste Publcaton All specfcatons and nformaton relevant for calculatng the ndex are made avalable on the web pages and sub-pages. 1.8 Hstorcal data Hstorcal data wll be mantaned from the 31 st of March 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 Solactve AG. 4

5 2 Composton of the Index 2.1 Selecton of the Index Components At the launch of the ndex, all fnancal nstruments whch meet the requrements of the Selecton Pool are elgble for ncluson n the ndex. Instruments that wll be ssued pror to the Selecton day and whch meet the crtera of the Selecton Pool as defned under 4.1 wll be added on the monthly Adjustment Day to the Selecton Pool. Addtonally, on the monthly Selecton Day, the Index Commttee evaluates whether all current Index Components stll meet the requrements of the Selecton Pool and f necessary any Index Components whch do not pass ths screen are removed from the Selecton Pool on the Adjustment Day. Extraordnary adjustments are possble. 2.2 Ordnary adjustment The composton of the ndex s ordnarly revewed on the monthly Selecton Day. Any change to the ndex wll be mplemented on the Adjustment Day. 2.3 Extraordnary adjustment Extraordnary Events may lead to adjustments of the ndex between Adjustment Days. To standardse processes the followng standard treatments for common corporate actons have been establshed: Full Tender or Early Redempton: The bond proceeds wll be renvested nto the ndex on the effectve date. For the avodance of doubt a tender must be mandatory, the pure offer to tender a bond wll not lead to an adapton of the ndex.* On the effectve date prce and accrued nterest are 0 and the proceeds (tender/redempton prce + accrued nterest/coupon) are consdered as Pad Cash n the return formula (see 3.1.1). On the next calculaton day the bond s removed from the ndex and weghtngs are calculated accordng to the formula n The new hgher weghtngs of the remanng consttuents mply the drect renvestment of the redeemed bond nto all other Index Components. Exchange Offer: 1) optonal exchange offers are not treated n the ndex;* 2) mandatory exchange offers: In case less than 90% of the amount outstandng s exchanged the exchange wll not be consdered n the ndex. 3) mandatory exchange offers: In case more than 90% of the amount outstandng s exchanged the exchange wll be consdered n the ndex calculaton by exchangng the relevant bonds, so that the new bond wll receve the weght of the old exchanged bond. The cappng factor of the new bond s calculated based on the followng formula: CapFactor new (Prcet, old + ACCInt old ) * Amount old * Cap = (Prce + ACCInt ) * Amount new new new old Flat Tradng: A bond s flat tradng f the bond ssuer wll not meet ts coupon payment oblgaton whch means that the buyer of a bond s not responsble for payng the nterest that has accrued snce the last payment. If a bond s defned to be flat tradng between two adjustment days the respectve accrued nterests and coupons wll be set to 0. The bond wll not be removed untl the next adjustment date. 5

6 Default: If the status of a bond changes to In Default, the bond wll reman as part of the ndex or portfolo at the last avalable evaluated prce provded by the prcng source untl the next regular ndex adjustment day. Debt ssuances: Debt ssuances of an exstng bond wll not be consdered untl the next Adjustment Day. *For the avodance of doub an optonal tender or exchange offer may lead to an ndex adjustment after the end of the submsson perod. In case the tender or exchange has been successful for at least 90% of the Amount Outstandng, the bond wll be removed from the ndex/exchanged nto the relevant bond. In case of an Extraordnary Event that s not covered by the standard treatments mentoned above the Commttee wll meet and decde on how to treat the Extraordnary Event n the ndex based on the nformaton avalable. An extraordnary adjustment wll only be mplemented f the majorty of the Commttee supports the suggested treatment. As soon as a decson has been taken all partes related to the ndex are nformed about the Extraordnary Event as well as the decded treatment and date of mplementaton. 6

7 3 Calculaton of the Index 3.1. Index formula The Solactve Green Bond EUR USD IG 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 Prcet, + ACCInt + PadCash t = Prce + ACCInt FX, t 1, t 1, FX t 1, 1 Weghtng = MarketValue Cap (Prce + ACCInt = a a MarketValue t Cap SD ce t ACCInt 1,, (Pr 1, + = = ) * Amount ) * Amount * Cap * Cap FX FX Index t = Index 1 *(1 ( Totalreturn t t + a = 1, * weghtng t 1, ) Whereas: Totalretur n = Total return of the bond on tradng day t Index t = Value of the ndex on tradng day t Index = Value of the ndex on tradng day t-1 t 1 Pr ce, = Last Evaluated Prce of the bond on tradng day t t Prce, = Last Evaluated Prce of the bond on tradng day t-1 t 1 ACCInt, t t 1 = Accrued Interest of the bond on tradng day t ACCInt, = Accrued Interest of the bond on tradng day t-1 Weghtng t, = Weghtng of the bond on tradng day t Weghtng t, = Weghtng of the bond on tradng day t-1 Amount = Amount Outstandng of bond on the last Selecton Day SD Cap SD, = Cappng Factor whch helps to adjust the weghts as defned under 1.5 FX, t t = Foregn Exchange Rate of bond on tradng day t FX, = Foregn Exchange Rate of bond on tradng day t-1 PadCash, t = 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 7

8 3.2 Accuracy The value of the ndex wll be rounded to four decmal places. Accordng to the terms of the bond, the Index Calculator wll take the followng conventons nto account: Act/Act Act/360 Act/365 30/360 ISMA 30/360 The ndex does not take nto account taxes and assumes gross coupon payments. Accrued Interest s calculated wth settlement conventon of each specfc bond. If a bond does not pay any coupons (e.g. zero coupon bonds or T-Blls) the Accrued Interest as well as the coupon payment wll be set to 0. 8

9 4. Defntons 4.1 ndex-specfc defntons The Selecton Pool comprses bonds that fulfll the followng condtons: (a) Defned as Green bonds by the Clmate Bonds Intatve (b) Denomnated as EUR or USD only (c) Amount Outstandng of at least EUR 300 mllon and USD 300 mllon for bonds denomnated n EUR and USD respectvely (d) Tme to maturty of at least 12 months (e) Exclude floatng rate notes, nflaton lnked bonds, convertble bonds, US muncpal bonds, ABS/MBS and other structured securtes (f) Only Investment Grade rated ssues (based on the lowest avalable ratng from S&P and Moody s). For Soveregn bonds, the ssuer ratng s used f the bond ratng s unavalable. (g) Prvate Placements are excluded. However, f a RegS verson of the 144A Prvate Placement s or becomes avalable, then the RegS verson s ncluded (h) A prcng must be avalable from the Prcng Provder 4.2 Further defntons Adjustment Day s the last Busness Day of each month. Amount Outstandng s the face value of the respectve bond. Bond Prce Provder s Interactve Data Corporaton. A Busness Day n relaton to the ndex s any day other than a Saturday or Sunday or a day on whch the Securtes Industry and Fnancal Markets Assocaton (SIFMA) recommends that the fxed ncome departments of ts members be closed for the entre day for purposes of tradng n U.S. government securtes or a day that s a TARGET2 closng day. The SIFMA holday recommendatons are set out on the followng URL (or any successor page): The TARGET2 closng days are New Year s Day, Good Frday Easter Monday, Labour Day, Chrstmas Day and Boxng Day ( A Credt Event s the suspenson of debt servce, nsolvency or falure to pay. Early Redempton ncludes every event that leads to a redempton of a bond before the actual maturty date. Exchange Offer means that the holder of a bond s nvted to exchange the exstng bond to another debt securty. In partcular, an Extraordnary Event s - an early redempton of the bond - a credt event A bond s Flat Tradng f the bond ssuer does not meet ts coupon payment oblgaton whch means that the buyer of a bond s not responsble for payng the nterest that has accrued snce the last payment. Foregn Exchange Rate s the respectve WM 4pm London fxng. A bond s In Default once the ssuer s not able to fulfl ts bond payment oblgatons anymore after the 30 days grace perod. 9

10 The Index Calculator s Solactve AG or any other approprately apponted successor n ths functon. The Index Provder s Solactve AG or any other approprately apponted successor n ths functon. Index Components are all bonds n the Selecton Pool. The Index Currency s EUR. Issuer s the ssung entty of the respectve bond. "Last Evaluated Prce" generally s (asde from the rules referred to n Extraordnary Events ) the last avalable evaluated md prce provded by the Bond Prce Provder. Selecton Day s a Busness Day 5 Busness Days pror to the Adjustment Day. Tender Offer means that a holder of a bond s nvted to tender the bond for a specfc prce at a specfc tme before the actual maturty date. 10

11 5 Appendx 5.1 Contact data Informaton regardng the Solactve Green Bond EUR USD IG Index concept Solactve AG Guollettstraße 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 envronmen 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