Guidelines and Specification for the Construction and Maintenance of the. NASDAQ OMX Credit SEK Indexes

Transcription

1 Gudelnes and Specfcaon for he Consrucon and Manenance of he NASDAQ OMX Cred SEK Indexes Verson as of Aprl 7h 2014

2 Conens Rules for he Consrucon and Manenance of he NASDAQ OMX Cred SEK Index seres General descrpon Selecon crera for bonds n NASDAQ OMX Cred SEK Index seres Issuer ype Bond ype Rang Sele dae Tme o maury Ousandng amoun Included n Bloomberg daabase NASDAQ OMX Cred SEK Index Seres re-balancng weghngs ec Monhly re-balancng Index weghng and lms Bonds n defaul Prce quoes Adjusmen for coupons Accrued neres Selemen Convenon Index calculaon mehodology Spread Index (SPIndex) Clean Prce Index (PRIndex) Toal Reurn Index (TRIndex) Annoaons Lmaons of lably Appendx Overvew of he NASDAQ OMX Cred SEK Index seres: Conacs

3 Rules for he Consrucon and Manenance of he NASDAQ OMX Cred SEK Index seres 1 General descrpon The NASDAQ OMX Cred SEK Index seres are desgned o provde exposure o a porfolo of corporae and muncpaly nvesmen-grade bonds denomnaed n Swedsh Krona (SEK). The NASDAQ OMX Cred Index seres s compued and dssemnaed once per Swedsh busness day. End-of-day ndex closng values and key sascs are calculaed and dssemnaed a 5.15 pm CET and a 1.15 pm CET a days wh marke early close. Indexes are publshed a he end of each busness day n NASDAQ OMX Genum Consoldaed Feed (GCF) and Global Index Dssemnaon Servce (GIDS) marke daa feeds as well as n Global Index Wach (GIW) servce. Index weghs componen and key sascs daa are also avalable on NASDAQ OMX Fle Delvery Servce (FDS) as mornng (SOD) and evenng (EOD) fles 1. The ls of ndces ncludng name denfers and nformaon on base values and daes s avalable n he appendx secon 6.1. The NASDAQ OMX Cred SEK Index seres are produced and dsrbued under an agreemen beween NASDAQ OMX and SEB hereafer referred ogeher as he pares. 2 Selecon crera for bonds n NASDAQ OMX Cred SEK Index seres The selecon crera for ncluson of bonds n he NASDAQ OMX Cred SEK Indexes are: Issuer ype Bond ype Rang Sele dae Tme o maury Ousandng amoun for ssuer and on ndvdual bonds Included n he Bloomberg daabase 2.1 Issuer ype Bonds from corporae (fnancal and non-fnancal) and muncpaly ssuers are consdered o be elgble for ncluson n ndex. Bonds ssued by supranaonal governmenal agences or oher ssuers wh a zero rsk wegh n he Basel accord (for example Kommunnves) are nelgble for ncluson n ndex. 1 Avalable only o lcensees. 3

4 2.2 Bond ype Only senor unsecured nomnal fxed rae bonds ssued n Swedsh Krona (SEK) are consdered o be elgble for he fxed rae bond ndex and floang rae noes for he FRN bond ndex. The ssuer s domcle s no relevan. The ndex s comprsed solely of bonds lsed on a leas one of he followng sock exchanges; Sockholm London and Luxemburg. In parcular bonds wh he followng characerscs are elgble for ndex ncluson: Nomnal fxed coupon bonds Zero coupon bonds Floang rae noes The followng bonds are specfcally nelgble for ndex ncluson: Sep-ups Covered bonds Governmen guaraneed bonds Inflaon lnked bonds Call bonds Pu bonds Subordnaed bonds Srucured bonds Perpeuals 2.3 Rang Bonds raed sub-nvesmen grade by a leas one of he followng rang agences: Sandard & Poor s Moody s or Fch are no elgble for ndex ncluson. Bonds raed nvesmen grade or unraed bonds ha he pares deem ha he rang s BBB or hgher for example Vasakronan are ncluded n he ndex. For he ndexes named Raed for example NOMX Cred SEK Raed Toal Reurn Index unraed bonds ha he pares deem ha rang s BBB or hgher are no elgble for ndex ncluson. Only bonds raed nvesmen grade by Sandard & Poor s Moody s or Fch are ncluded n ndex. In case ha he rangs of he ssuer and of he bond (ssue) are dfferen e.g. srucural subordnaon he pares can decde wheher or no he bond s elgble for he ndex ncluson. 2.4 Sele dae In order for a newly ssued bond o be ncluded n he ndex has o have a frs sele dae before he end of he monh followng he rebalancng dae. 2.5 Tme o maury All bonds n he fxed bond ndex mus have a mnmum remanng me o maury of a leas one year and all bonds n he FRN bond ndex dependng on ndex verson mus have a mnmum remanng me o maury of a leas one year or one monh (shor condon) a he re-balancng 4

5 dae as descrbed n 3.1. On hs dae he me o maury of he bond n all fxed bond ndex and some FRN bond ndex mus exceed (>) 13 monhs and 4 busness days. In he FRN bond ndex wh maury buckes 18 and 30 monhs and he oal verson 1M 10Y he me o maury of he bond mus exceed (>) 2 monhs and 4 busness days a he re-balancng dae. All bonds n he fxed bond ndex and he FRN bond ndex excep for he FRN maury bucke versons 18 and 30 monhs mus have a maxmum remanng me o maury less han or equal wh 10 year (long condon) a he re-balancng dae as descrbed n 3.1. Bonds n he FRN maury bucke versons 18 and 30 monhs mus have a maxmum remanng me o maury less han or equal wh 18 monhs or 30 monhs. On hs dae he me o maury of he bond mus be less han or equal (<=) 10 years and 4 busness days and (<=) 18 monhs or (<=) 30 mohs for he FRN maury bucked ndex. 2.6 Ousandng amoun In order for a bond o be ncluded n he ndex he oal nomnal ousandng amoun for he ssuer mus exceed or equal SEK 500m and each Bond mus have a nomnal amoun exceedng or equal SEK 50m. Issuers wh bonds represened n he ndex whch fall below he SEK 500m oal nomnal ousandng amoun hreshold wll have a hree-monh perod o re-qualfy. Re-qualfcaon perod begns mmedaely afer re-balancng a he end of he monh n whch he ssuer fell below he SEK 500m hreshold. If he Issuer a he end of he re-qualfcaon perod s no above he hreshold all bonds from he ssuer wll have o leave he ndex. 2.7 Included n Bloomberg daabase In order for a bond o be ncluded n he ndex he bond mus be avalable n he Bloomberg daabase usng he ID funcon Secury by ID. 5

6 3 NASDAQ OMX Cred SEK Index Seres re-balancng weghngs ec. 3.1 Monhly re-balancng The composon and weghngs for bonds n he NASDAQ OMX Cred SEK Index seres s revewed each monh agans he crera s descrbed n he secon 2. Afer marke close on he 3rd busness day (record dae) before he las busness day n monh (rebalancng dae) NASDAQ OMX comples a prelmnary ls wh all bonds whch mee he crera s her respecve nomnal amoun ousandng and he ndex weghngs (secon 3.2). NASDAQ OMX publshes a nofcaon on he same day wh nformaon on changes n he ndexes. Noe ha he prelmnary ls may be subjec for change and should only be used for he purposes of nformaon verfcaon and analyze. Pror he marke openng on he las busness day n monh NASDAQ OMX publshes he fnal ls ncludng changes n composon and ndex weghng. The ls of changes wll also be ncluded for each ndex n he Mornng Repor (SOD) fle dsrbued pror he marke openng on he frs busness day n monh. 3.2 Index weghng and lms The wegh of each bond n he ndex s he produc of s nomnal amoun ousandng and s dry prce (md valuaon) on he record dae for he monhly re-balancng as descrbed n secon 3.1. Inra-monh changes of he nomnal amoun ousandng for each bond are refleced n he ndex hrough he re-balancng process descrbed n he secon 3.1. Durng hs process he maxmum oal wegh for all bonds by any sngle ssuer s 5%. Should any ssuer be subjec o hs cap he weghs for all bonds (ha are no subjec o he cap) are proporonally adjused o ensure he oal wegh for all bonds equal o 1. In case ha here are 20 ssuers or less he lm process should be slghly modfed. Frs weghs above 5% are decreased o 5% and hen all weghs are ncreased proporonally even he 5% weghs. The dfference s ha he lmed weghs are also subjeced o he process of proporonally adjusng weghs. 3.3 Bonds n defaul If a bond ncluded n ndex goes no defaul or s rang s downgraded o sub-nvesmen grade as n deal s descrbed n 2.3 he bond wll be removed o he marke valuaon prce. Bonds wll only be removed durng he monhly re-balancng process. In order o ensure ha a reasonable marke prce wll be avalable bonds wll be removed a he re-balancng occurrng no less han 10 busness days before record dae as defned n Prce quoes The ndex calculaon s based on daly end-of-day marke md valuaons suppled o NASDAQ OMX by SEB. 6

7 3.5 Adjusmen for coupons The oal reurn ndex verson adjus for coupons CP on he busness day when he coupon fall (ex-coupon dae) by addng he value of coupon o he marke md valuaon dry prce unl he close of las busness day n monh. If a bond s added o he ndex durng he ex-coupon perod (beween ex-coupon dae and paymen dae) he value of CP equals zero (0). A he monhly rebalancng afer close of he marke on he las busness day zero (0) value for all bonds. CP wll be se o 3.6 Accrued neres The followng day coun convenons are aken no accoun when calculang he NASDAQ OMX Cred SEK Index seres: ISMA 30/360 ACT/ACT ACT/360 ACT/ Selemen Convenon The selemen convenon +3 are aken no accoun when calculang he NASDAQ OMX Cred SEK Index seres. 7

8 8 4 Index calculaon mehodology The NASDAQ OMX Cred SEK Index seres s calculaed as a spread prce and oal reurn ndex versons. 4.1 Spread Index (SPIndex) The spread ndex s calculaed as follows: M s s M AI P AI P S SPIndex ) ( ) ( 4.2 Clean Prce Index (PRIndex) The prce ndex s calculaed as follows: M s s M P P PRIndex PRIndex Toal Reurn Index (TRIndex) For he oal reurn ndex he monhly adjusmen nvolves he renvesmen of coupon paymens a he begnnng of he monh. Consequenly he oal reurn ndex s calculaed as follows: M s M s CP AI P CP AI P TRIndex TRIndex ) ( ) ( 4.4 Annoaons The followng annoaons are used n he ndex calculaons: S denoes he yeld spread for bond a dae calculaed as he dfference beween wo yelds o maury of he bond: The frs corresponds o s valuaon prce he second s obaned when s prced fla on he swap curve usng a boosrap zero coupon curve calculaon.

9 P denoes he clean closng prce of bond a dae. For bonds wh coupon he prce s rounded-off o hree (3) decmals. Roundng accordng o ISMA s prncples where he number 5 s rounded upwards P denoes he clean closng prce of bond on he prevous busness day 1 N denoes he noonal of bond a he las rebalancng dae s AI denoes he accrued neres of bond a dae AI denoes he accrued neres of bond on he prevous busness day 1 CP denoes he value of he coupon paymen of bond a dae as descrbed n secon 3.5. CP denoes he value of he coupon paymen of bond on he prevous busness day 1 descrbed n secon 3.5. s denoes he capped wegh accordng o he rules as descrbed n secon 3.2. Remember ha s s only calculaed durng he rebalancng as descrbed n secon 3.1and hen unchanged nra monh M denoes he se of bonds n monh I ncluded n he ndex 9

10 5 Lmaons of lably NASDAQ OMX shall no be lable for any drec ndrec ncdenal specal or consequenal damages or los profs relaed o or arsng ou of he use of he ndex. NASDAQ OMX expressly dsclams all warranes of accuracy compleeness merchanably or fness for any parcular purpose wh respec o he ndex. Neher NASDAQ OMX nor any hrd pary make any warrany or represenaon whasoever express or mpled n respec of he ndex he resuls o be obaned by he use hereof or he value of he ndex a any gven me. 6 Appendx 6.1 Overvew of he NASDAQ OMX Cred SEK Index seres: Full Name Symbol ISIN NOMX Cred SEK Toal Spread Index NOMXCRSP SE NOMX Cred SEK Toal Prce Index NOMXCRPR SE NOMX Cred SEK Toal Reurn Index NOMXCRTR SE NOMX Cred SEK Non-Fnancal Spread Index NOMXCRNFSP SE NOXM Cred SEK Non-Fnancal Prce Index NOMXCRNFPR SE NOMX Cred SEK Non-Fnancal Toal Reurn Index NOMXCRNFTR SE NOMX Cred SEK Fnancal Spread Index NOMXCRFSP SE NOMX Cred SEK Fnancal Prce Index NOMXCRFPR SE NOMX Cred SEK Fnancal Toal Reurn Index NOMXCRFTR SE Full Name Symbol ISIN 10

11 NOMX Cred SEK Raed Toal Spread Index NOMXCRRSP SE NOMX Cred SEK Raed Toal Prce Index NOMXCRRPR SE NOMX Cred SEK Raed Toal Reurn Index NOMXCRRTR SE NOMX Cred SEK Raed Non-Fnancal Spread Index NOMXCRRNFSP SE NOXM Cred SEK Raed Non-Fnancal Prce Index NOMXCRRNFPR SE NOMX Cred SEK Raed Non-Fnancal Toal Reurn Index NOMXCRRNFTR SE NOMX Cred SEK Raed Fnancal Spread Index NOMXCRRFSP SE NOMX Cred SEK Raed Fnancal Prce Index NOMXCRRFPR SE NOMX Cred SEK Raed Fnancal Toal Reurn Index NOMXCRRFTR SE Full Name Symbol ISIN NOMX Cred SEK FRN Toal Spread Index NOMXCRFRNSP SE NOMX Cred SEK FRN Toal Prce Index NOMXCRFRNPR SE NOMX Cred SEK FRN Toal Reurn Index NOMXCRFRNTR SE NOMX Cred SEK FRN 1M-10Y Spread Index NOMXCRFRN1M10YSP SE NOMX Cred SEK FRN 1M-10Y Prce Index NOMXCRFRN1M10YPR SE NOMX Cred SEK FRN 1M-10Y Toal Index NOMXCRFRN1M10YTR SE NOMX Cred SEK Raed FRN Toal Spread Index NOMXCRRFRNSP SE NOMX Cred SEK Raed FRN Toal Prce Index NOMXCRRFRNPR SE NOMX Cred SEK Raed FRN Toal Reurn Index NOMXCRRFRNTR SE

12 NOMX Cred SEK Raed FRN 1M-10Y Spread Index NOMXCRRFRN1M10YSP SE NOMX Cred SEK Raed FRN 1M-10Y Prce Index NOMXCRRFRN1M10YPR SE NOMX Cred SEK Raed FRN 1M-10Y Toal Index NOMXCRRFRN1M10YTR SE NOMX Cred SEK FRN Non-Fnancal Spread Index NOMXCRFRNNFSP SE NOMX Cred SEK FRN Non-Fnancal Prce Index NOMXCRFRNNFPR SE NOMX Cred SEK FRN Non-Fnancal Reurn Index NOMXCRFRNNFTR SE NOMX Cred SEK Raed FRN Non-Fnancal Spread Index NOMXCRRFRNNFSP SE NOMX Cred SEK Raed FRN Non-Fnancal Prce Index NOMXCRRFRNNFPR SE NOMX Cred SEK Raed FRN Non-Fnancal Reurn Index NOMXCRRFRNNFTR SE NOMX Cred SEK FRN Fnancal Spread Index NOMXCRFRNFSP SE NOMX Cred SEK FRN Fnancal Prce Index NOMXCRFRNFPR SE NOMX Cred SEK FRN Fnancal Reurn Index NOMXCRFRNFTR SE NOMX Cred Raed SEK FRN Fnancal Spread Index NOMXCRRFRNFSP SE NOMX Cred SEK Raed FRN Fnancal Prce Index NOMXCRRFRNFPR SE NOMX Cred SEK Raed FRN Fnancal Reurn Index NOMXCRRFRNFTR SE NOMX Cred SEK FRN 1-18M Toal Spread Index NOMXCRFRN18SP SE NOMX Cred SEK FRN 1-18M Toal Prce Index NOMXCRFRN18PR SE NOMX Cred SEK FRN 1-18M Toal Reurn Index NOMXCRFRN18TR SE NOMX Cred SEK Raed FRN 1-18M Toal Spread Index NOMXCRRFRN18SP SE NOMX Cred SEK Raed FRN 1-18M Toal Prce Index NOMXCRRFRN18PR SE

13 NOMX Cred SEK Raed FRN 1-18M Toal Reurn Index NOMXCRRFRN18TR SE NOMX Cred SEK FRN 1-18M Non-Fnancal Spread Index NOMXCRFRN18NFSP SE NOMX Cred SEK FRN 1-18M Non-Fnancal Prce Index NOMXCRFRN18NFPR SE NOMX Cred SEK FRN 1-18M Non-Fnancal Reurn Index NOMXCRFRN18NFTR SE NOMX Cred SEK Raed FRN 1-18M Non-Fnancal Spread Index NOMXCRRFRN18NFSP SE NOMX Cred SEK Raed FRN 1-18M Non-Fnancal Prce Index NOMXCRRFRN18NFPR SE NOMX Cred SEK Raed FRN 1-18M Non-Fnancal Reurn Index NOMXCRRFRN18NFTR SE NOMX Cred SEK FRN 1-18M Fnancal Spread Index NOMXCRFRN18FSP SE NOMX Cred SEK FRN 1-18M Fnancal Prce Index NOMXCRFRN18FPR SE NOMX Cred SEK FRN 1-18M Fnancal Reurn Index NOMXCRFRN18FTR SE NOMX Cred SEK Raed FRN 1-18M Fnancal Spread Index NOMXCRRFRN18FSP SE NOMX Cred SEK Raed FRN 1-18M Fnancal Prce Index NOMXCRRFRN18FPR SE NOMX Cred SEK Raed FRN 1-18M Fnancal Reurn Index NOMXCRRFRN18FTR SE NOMX Cred SEK FRN 1-30M Toal Spread Index NOMXCRFRN30SP SE NOMX Cred SEK FRN 1-30M Toal Prce Index NOMXCRFRN30PR SE NOMX Cred SEK FRN 1-30M Toal Reurn Index NOMXCRFRN30TR SE NOMX Cred SEK Raed FRN 1-30M Toal Spread Index NOMXCRRFRN30SP SE NOMX Cred SEK Raed FRN 1-30M Toal Prce Index NOMXCRRFRN30PR SE NOMX Cred SEK Raed FRN 1-30M Toal Reurn Index NOMXCRRFRN30TR SE NOMX Cred SEK FRN 1-30M Non-Fnancal Spread Index NOMXCRFRN30NFSP SE

14 NOMX Cred SEK FRN 1-30M Non-Fnancal Prce Index NOMXCRFRN30NFPR SE NOMX Cred SEK FRN 1-30M Non-Fnancal Reurn Index NOMXCRFRN30NFTR SE NOMX Cred SEK Raed FRN 1-30M Non-Fnancal Spread Index NOMXCRRFRN30NFSP SE NOMX Cred SEK Raed FRN 1-30M Non-Fnancal Prce Index NOMXCRRFRN30NFPR SE NOMX Cred SEK Raed FRN 1-30M Non-Fnancal Reurn Index NOMXCRRFRN30NFTR SE NOMX Cred SEK FRN 1-30M Fnancal Spread Index NOMXCRFRN30FSP SE NOMX Cred SEK FRN 1-30M Fnancal Prce Index NOMXCRFRN30FPR SE NOMX Cred SEK FRN 1-30M Fnancal Reurn Index NOMXCRFRN30FTR SE NOMX Cred SEK Raed FRN 1-30M Fnancal Spread Index NOMXCRRFRN30FSP SE NOMX Cred SEK Raed FRN 1-30M Fnancal Prce Index NOMXCRRFRN30FPR SE Conacs For lcensng arrangemens conen ssues and quesons please refer o: NASDAQ OMX Index Operaons EMEA E-mal: Phone: