INDEX RULE BOOK ITALIA LEVA 7 LONG / ITALIA LEVA 7 SHORT Indices

Transcription

1 INDEX RULE BOOK IALIA LEVA 7 LONG / IALIA LEVA 7 SHOR Indices

2 INDEX 1. Index Summary 1 2. Governance and Disclaimer Indices 2 Error! Bookmark no defined. 2.2 Cases no covered in rules Rule book changes Disclaimer Error! Bookmark no defined. 3. Calculaion Definiion and Composiion of he Index Calculaion of he Leverage Indices Calculaion of he Shor Indices Reverse spli of index level Error! Bookmark no defined. 3.5 Spli of index level Error! Bookmark no defined. 4. Publicaion Disseminaion of Index Values Excepional Marke Condiions and Correcions Announcemen Policy 8

3 1. INDEX SUMMARY Facshee Index names Index ype Index governance srucure Calculaion Rule for excepional rading circumsances Leverage and Shor indices Various based on FSE/MIB Indices are based on Ne reurn index or Gross reurn index versions. Euronex acs calculaion agen of he leveraged indices Decision wih respec o he underlying indices are under responsibiliies of FSE. Based on daily leverage. May include spread on ineres rae or Repo rae in he calculaion Eiher suspend or rese if underlying index moved beyond cerain hreshold. See reference able. Full name Underlying index Facor Rule for excepional rading circumsances ISIN Base level and dae FSE/MIB based IALIA Leva 7 Long (shor name: IALIA X 7) FSE/MIB Ne reurn (Reuers code:.rifsemibn) 7 Rese if Underlying Index < 90% of close of previous day NL a 28 Dec 2012 IALIA Leva 7 Shor (shor name: IALIA X -7) FSE/MIB Gross Reurn (Reuers Code:.RIFSEMIB) -7 Rese if Underlying Index > 110% of close of previous day NL a 28 Dec

4 2. GOVERNANCE AND DISCLAIMER 2.1 INDICES his rulebook applies o he leveraged and shor indices, based on: FSE/MIB Hereafer referred o as index. 2.2 CASES NO COVERED IN RULES In cases which are no expressly covered in hese rules, operaional adjusmens will ake place along he lines of he aim of he index. Operaional adjusmens may also ake place if i is desirable o do so o mainain a fair and orderly marke in derivaives on his index and/or his is in he bes ineress of he invesors in producs based on he index and/or he proper funcioning of he markes. 2.3 RULE BOOK CHANGES hese rules may be supplemened, amended in whole or in par, revised or wihdrawn a any ime. Supplemens, amendmens, revisions and wihdrawals may also lead o changes in he way he index is compiled or calculaed or affec he index in anoher way. 2.4 DISCLAIMER he Index is he sole and exclusive propery of UniCredi. Euronex N.V. is he calculaion agen of he index. Neiher Euronex N.V., nor is affiliaes are liable for any losses resuling from supplemening, amending, revising and/or wihdrawing he Rules for he index. Euronex N.V. will do everyhing wihin is reasonable power o ensure he accuracy of he calculaion, publicaion and adjusmen of he index in accordance wih relevan rules. However, nor Euronex N.V., nor is affiliaes are liable for any inaccuracy or delays in share prices, calculaions, he publicaion of he index, he informaion used for making adjusmens o he index and/or he acual adjusmens. Furhermore, Euronex N.V. and is affiliaes do no guaranee he coninuiy of he calculaion of he index and he coninuiy of he disseminaion of he index levels. 2

5 3. CALCULAION 3.1 DEFINIION AND COMPOSIION OF HE INDEX he leverage index racks he performance of a sraegy ha has a muliple (K) exposure o an underlying index wih he suppor of shor-erm financing. he Shor index racks he performance of a sraegy which reverses a muliple (K) exposure o he underlying index by combining a shor posiion on he underlying index and exposure o a risk-free moneymarke insrumen, (he EONIA or oher rae). he laer exposure consiss of he money invesed in he index plus he muliple (K) shor posiions. 3.2 CALCULAION OF HE LEVERAGE INDICES he general formula of he Leverage indices is defined as follows: LI LI Where: 1 K 1 IR SPR K 1LI D, K 1 LI D, =Rebalancing dae; for daily indices his is he previous business day. LI LI IR = Leverage index level a ime of calculaion = Closing Leverage index level on he previous calculaion day = Underlying index level (see Index summary) a ime of calculaion = Closing Underlying Index level on he las rebalancing day = Applicable ineres rae as a he rebalancing dae. For daily indices his is EONIA. D, SPR K = he number of days beween he day of he calculaion and, he rebalancing day = Applicable ineres rae spread over he IR = Leverage facor 3.3 CALCULAION OF HE SHOR INDICES he general formula of he Shor indexes is defined as follows: BI BI 1 K 1 IR REPO K 1BI D, K. BI D, BI =Rebalancing dae; for daily indices his is he previous business day. = Shor index level a ime of calculaion 3

6 BI = Closing Shor index level on he previous calculaion day = Underlying index level (see Index summary) a ime of calculaion = Closing Underlying Index level on he previous calculaion day D, IR REPO K = he number of days beween he day of he calculaion and, he rebalancing day = Applicable ineres rae as a he rebalancing dae. For daily indices his is EONIA. = he rae reflecing he repurchase agreemen embedded in he sraegy and specific o each underlying index. he rae may no be applied for specific indices = Shor facor 4

7 4. PUBLICAION 4.1 DISSEMINAION OF INDEX VALUES Opening he calculaion of he index sars as soon as he official index levels of he underlying indexes are available Calculaion and disseminaion he index is calculaed based on he mos recen prices of ransacions concluded on LSE Borsa Ialiana Markes. he level of he index is in principle published every 15 seconds. he index is calculaed from 09: CE Closing level he calculaion of he closing index levels is based on he respecive official underlying index closing levels published by FSE. 4.2 EXCEPIONAL MARKE CONDIIONS AND CORRECIONS Unavailabiliy of he underlying index level In case he underlying index level of he index is no available during a ime period ouside he regular closing ime of he LSE Borsa Ialiana markes, he level of he index will no be calculaed. If he unavailabiliy exends over he closing aucion ime of he LSE Borsa Ialiana markes, he closing value of he index will be he las level known before he unavailabiliy of he underlying Exreme marke movemens In case he underlying index level of he index rises or falls more han a predefined percenage relaive o he close of he previous rading day, he index will be eiher suspended or rese (see index summary) Procedure for Suspension If an index is suspended, he Calculaion Agen will confirm he index level o be considered as he closing index value a he marke close Procedure for rese of daily leveraged/shor indices In case he Underlying Index level rises or falls by more han a predefined percenage relaive o is close of he previous rading day, he Leverage or Shor Index will be rese. If an index is rese, he index will be adjused inraday: For leverage calculaions only downrend movemens will rigger a rese For shor calculaions only uprend movemens will rigger he rese. Numerically, he inraday rese condiion is defined as follows (wih >0): Or % (C1-L) for Leverage indices Where: % (C1-S) for Shor indices is he real-ime price of he index a ime of calculaion ime ; is he official closing level of he index on he previous rebalance day; 5

8 % = as per he Index Summary secion above under he column Rule in case of exreme marke movemens. For Leverage indices, if condiion (C1-L) is me a calculaion ime : he calculaion of he index is suspended emporarily (i.e. he level ha was published jus before he condiion is me will keep on being published). he prices of he Underlying Index are observed during 5 full minues. he minimum price of he Underlying Index during he 5-minue observaion period is used o rese he Leverage Index. For Shor indices, if condiion (C1-S) is me a calculaion ime : he calculaion of he index is suspended emporarily (i.e. he level ha was published jus before he condiion is me will keep on being published). he prices of he Underlying Index are observed during 5 full minues. he highes price of he Underlying Index during he 5-minue observaion period is used o rese he Leverage Index. Once he observaion period is over he calculaion of he index is resumed as per he formula below: Or LI LIR11 K 1 R1 L SI SIR11 K 1 R1 H Where: R 1 L is he lowes recorded index level over an observaion period of 5 minues following calculaion ime (ime when he hreshold was crossed) ; 1 ; LIR1 is he level of he index using index level R L LI R1 LI R K 1 EONIA SPR K 1 D ( K 1) D 1L 1 1, 1, 1 R 1 H is he highes recorded index level over an observaion period of 5 minues following calculaion ime (ime when he hreshold was crossed) ; 6

9 1 ; SIR1 is he level of he index using index level R H SI R1 SI R K 1 EONIA REPO K 1 D K D 1H 1 1, 1, 1 Noe ha no addiional refinancing coss are calculaed afer an inraday rese occurs. An inraday rese may occur more han once during he same scheduled calculaion dae. Afer a firs inraday rese occurs, he condiion becomes he following: Or R1L R1H % % (C2-L) for Leverage indices (C2-S) for Shor indices Where: is he index level used a ime of calculaion ; 1 R L as defined above; 1 % R H as defined above; as defined above. If he above condiion (C2) is me, anoher inraday rese is riggered. he calculaion in real-ime resumes as follows: Or LI LIR21 K 1 R 2L SI SIR21 K 1 R 2H Where: 7

10 R 2L is he lowes recorded index level over an observaion period of 5 minues following calculaion ime (ime when condiion (C2-L) is me). R2 H LI R2 R 2L LIR11 K 1 R1L is he lowes recorded index level over an observaion period of 5 minues following calculaion ime (ime when condiion (C2-S) is me). SI R2 R 2H SIR11 K 1 R1H he same procedure is followed for any oher inraday rese following anoher crossing of he predefined hreshold. he closing level of he index will be calculaed in accordance wih he las parameers defined for he las rese even as described above. 4.3 ANNOUNCEMEN POLICY Announcemen policy Changes o he index, or is rules will be announced by an index announcemen which will be disribued via e mail. As a rule he announcemen periods ha are menioned underneah will be applied. However, urgen reamens or lae noices may require o deviae from he sandard iming Rule changes Barring excepion, a period of a leas wo monhs should pass beween he dae a proposed change is published and he dae his comes ino effec. Excepions can be made only if he change is no in conflic wih he ineress of an affeced pary. 8