INDEX RULE BOOK Leverage, Short, and Bear Indices

Transcription

1 INDEX RULE BOOK Leverage, Shor, and Bear Indices Version Effecive from 1 June 2014 indices.euronex.com

2 Index 1. Index Summary 1 2. Governance and Disclaimer Indices Compiler Cases no covered in rules Rule book changes Liabiliy Ownership and rademarks 6 3. Calculaion Definiion and Composiion of he Index Calculaion of he Leverage Indices Calculaion of he Bear and Shor Indices Reverse spli of index level Spli of index level 8 4. Publicaion Disseminaion of Index Values Excepional Marke Condiions and Correcions Announcemen Policy 12

3 1. INDEX SUMMARY Facshee Leverage, Shor and Bear indices Index names Various based on AEX, BEL 20, CAC 40, PSI 20 Index ype Index governance srucure Calculaion Rule for excepional rading circumsances Indices are based on price index versions or Ne reurn index or Gross reurn index versions. Euronex acs as Supervisor and as he Compiler and is responsible for he day-o-day managemen of he index. he underlying indices have independen Seering Commiees acing as Supervisor. 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. 1

4 Mnemo Full name Underlying index Facor Rule for excepional rading circumsances ISIN Base level and dae AEX based AEXLV AEX Leverage AEX 2 Suspend if Underlying Index < 75% QS AEXNL AEX AEX 2 Suspend if Underlying Index < 75% QS AEXL AEX Leverage AEX 2 Suspend if Underlying Index < 75% QS AEX3L AEX X3 Leverage AEX 3 Rese if Underlying Index < 85% of close of previous day. QS AEX4L AEX X4 Leverage AEX 4 Rese if Underlying Index < 85% of close of previous day. QS AEX5L AEX X5 Leverage AEX 5 Rese if Underlying Index < 85% of close of previous day QS AEX6L AEX X6 Leverage AEX 6 Rese if Underlying Index < 85% of close of previous day QS ,000 a AEX7L AEX X7 Leverage AEX 7 Rese if Underlying Index < 88% of close of previous day QS ,000 a AMX3L AMX X3 LEVERAGE AMX 3 Rese if Underlying Index < 85% of close of previous day. QS AMX4L AMX X4 LEVERAGE AMX 4 Rese if Underlying Index < 85% of close of previous day. QS AMX5L AMX X5 LEVERAGE AMX 5 Rese if Underlying Index < 85% of close of previous day QS AEXSH AEX Shor AEX -1 Suspend if Underlying Index >125% QS AEX2S AEX Double Shor AEX -2 Suspend if Underlying Index >125% QS AEXXB AEX Xbear AEX -2 Suspend if Underlying Index >125% QS AEX3S AEX X3 SHOR AEX -3 Rese if Underlying Index > 115% QS AEX4S AEX X4 SHOR AEX -4 Rese if Underlying Index > 115% QS

5 Mnemo Full name Underlying index Facor Rule for excepional rading circumsances ISIN Base level and dae AEX5S AEX X5 SHOR AEX -5 Rese if Underlying Index > 115% QS AEX6S AEX X6 SHOR AEX -6 Rese if Underlying Index > 115% QS ,000 a AEX7S AEX X7 SHOR AEX -7 Rese if Underlying Index > 112% QS ,000 a AMX3S AMX X3 SHOR AMX -3 Rese if Underlying Index > 115% QS AMX4S AMX X4 SHOR AMX -4 Rese if Underlying Index > 115% QS AMX5S AMX X5 SHOR AMX -5 Rese if Underlying Index > 115% QS BEL 20 based BELLV BEL 20 Leverage BEL 20 2 Suspend if Underlying Index < 75% QS BELL BEL 20 Leverage BEL 20 2 Suspend if Underlying Index < 75% QS BEL3L BEL 20 riple Leverage BEL 20 3 Suspend if Underlying Index < 75% QS BE3LN BEL 20 X3 BEL 20 5 Suspend if Underlying Index < 85% BE Dec2013 BEL5L BEL 20 X5 BEL 20 5 Suspend if Underlying Index < 85% BE Dec2013 BELSH BEL 20 Shor BEL 20-1 Suspend if Underlying Index >125% QS BEL2S BEL 20 DoubleShor BEL 20-2 Suspend if Underlying Index >125% QS BELXB BEL 20 Xbear BEL 20-2 Suspend if Underlying Index >125% QS BEL3S BEL 20 riple Shor BEL 20-3 Suspend if Underlying Index >125% QS BEL5S BEL 20 X5 Shor BEL 20-5 Suspend if Underlying Index >115% BE Dec2013 3

6 Mnemo Full name Underlying index Facor Rule for excepional rading circumsances ISIN Base level and dae CAC 40 based CACLV CAC 40 Leverage CAC 40 2 Suspend if Underlying Index < 75% QS CACL CAC 40 Leverage CAC 40 2 Suspend if Underlying Index < 75% QS CACGL CAC 40 Leverage CAC 40 2 Suspend if Underlying Index < 75% QS CAC3L CAC 40 X3 CAC 40 3 Rese if Underlying Index < 85% of close of previous day. QS CAC4L CAC 40 X4 CAC 40 4 Rese if Underlying Index < 85% of close of previous day. QS CAC5L CAC 40 X5 CAC 40 5 Rese if Underlying Index < 85% of close of previous day QS CAC6L CAC 40 X6 CAC 40 6 Rese if Underlying Index < 85% of close of previous day QS ,000 a CAC7L CAC 40 X7 CAC 40 7 Rese if Underlying Index < 88% of close of previous day QS ,000 a CA10L CAC 40 X10 CAC Rese if Underlying Index < 91% of close of previous rading day QS ,000,000 a 31Dec2010 CA12L CAC 40 X12 CAC Rese if Underlying Index < 93% of close of previous rading day QS ,000 a 31Dec2012 CA15L CAC 40 X15 CAC Rese if Underlying Index < 94% of close of previous rading day FR ,000 a 1Oc2013 CACSH CAC 40 Shor CAC 40-1 Suspend if Underlying Index >125% QS CAC2S CAC 40 Double Shor CAC 40-2 Suspend if Underlying Index >125% QS CACXB CAC 40 Xbear CAC 40-2 Suspend if Underlying Index >125% QS CAC3S CAC 40 X3 Shor CAC 40-3 Rese if Underlying Index > 115% QS CAC4S CAC 40 X4 Shor CAC 40-4 Rese if Underlying Index > 115% QS

7 Mnemo Full name Underlying index Facor Rule for excepional rading circumsances ISIN Base level and dae CAC5S CAC 40 X5 Shor CAC 40-5 Rese if Underlying Index > 115% QS CAC6S CAC 40 X6 SHOR CAC 40-6 Rese if Underlying Index > 115% QS ,000 a CAC7S CAC 40 X7 SHOR CAC 40-7 Rese if Underlying Index > 112% QS ,000 a CA10S CAC 40 X10 SHOR CAC Rese if Underlying Index > 109% QS ,000,000 a 31Dec2010 CA12S CAC 40 X12 SHOR CAC Rese if Underlying Index > 107% QS ,000 a 31Dec2012 CA15S CAC 40 X15 SHOR CAC Rese if Underlying Index > 106% FR ,000 a 1Oc2013 PSI 20 based PSILV PSI 20 Leverage PSI 20 2 Suspend if Underlying Index < 75% QS PSIL PSI 20 Leverage PSI 20 2 Suspend if Underlying Index < 75% QS PSI3L PSI 20 X3 Leverage PSI 20 3 Suspend if Underlying Index < 75% QS PS3LN PSI 20 X3 PSI 20 3 Suspend if Underlying Index < 75% PINO Dec2013 PSISH PSI 20 Shor PSI 20-1 Suspend if Underlying Index >125% QS PSI2S PSI 20 Double Shor PSI 20-2 Suspend if Underlying Index >125% QS PSIXB PSI 20 Xbear PSI 20-2 Suspend if Underlying Index >125% QS PSI3S PSI 20 riple Shor PSI 20-3 Suspend if Underlying Index >125% QS

8 2. GOVERNANCE AND DISCLAIMER 2.1 INDICES his rule book applies o he leveraged, shor, and bear indices owned by Euronex N.V. or is subsidiaries (hereinafer joinly Euronex ), based on he following indices: AEX BEL 20 CAC 40 PSI 20 Hereinafer referred o as index. 2.2 COMPILER Euronex is he Compiler of he index. he Compiler is responsible for he day-o-day managemen of he index and is also responsible for decisions regarding he inerpreaion of hese rules. 2.3 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, in he opinion of he Compiler, 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. 2.4 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. 2.5 LIABILIY Euronex, he Compiler and he Supervisor are no liable for any losses resuling from supplemening, amending, revising or wihdrawing he rules for he index. he Compiler will do everyhing wihin is power o ensure he accuracy of he composiion, calculaion, publicaion and adjusmen of he index in accordance wih relevan rules. However, neiher Euronex, nor he Compiler, nor he Supervisor are liable for any inaccuracy in index composiion, share prices, calculaions and he publicaion of he index, he informaion used for making adjusmens o he index and he acual adjusmens. Furhermore, Euronex, he Compiler and he Supervisor do no guaranee he coninuiy of he composiion of he index, he coninuiy of he mehod of calculaion of he index, he coninuiy of he disseminaion of he index levels, and he coninuiy of he calculaion of he index. 2.6 OWNERSHIP AND RADEMARKS Euronex owns all inellecual and oher propery righs o he index, including he name, he composiion and he calculaion of he index. AEX, BEL 20, CAC 40 and PSI 20 are regisered rademark(s) of Euronex. 6

9 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 or Bear 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 1 + K 1 IR 360 SPR 360 ( K 1) LI D, a( K 1) LI D, Where: LI LI IR =Rebalancing dae; for daily indices his is he previous business day. = 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, = he number of days beween he day of he calculaion and, he rebalancing day SPR = Applicable ineres rae spread over he IR a = Applicable facor o apply spread over IR if no applied, a=0 K = Leverage facor 3.3 CALCULAION OF HE BEAR AND SHOR INDICES he general formula of he Shor indexes is defined as follows: BI = BI 1 K 1 + IR 360 REPO 360 ( K + 1) BI D, K. a. BI D, BI =Rebalancing dae; for daily indices his is he previous business day. = Shor or Bear index level a ime of calculaion 7

10 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, = he number of days beween he day of he calculaion and, he rebalancing day IR REPO a K = 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 = Applicable facor o apply REPO. If REPO rae is no applied a=0. = Shor facor 3.4 REVERSE SPLI OF INDEX LEVEL If an index has dropped below 10 i may qualify for a reverse spli. his rule is applied o he indices wih a facor 4 or higher or -4 or less. For he reverse spli he Compiler will use a sandard reverse raio of Periodical Review Indices are reviewed each monh on he firs Friday. If an index level has reached a closing level below 10 on he previous day, he index level will be adjused 2 weeks laer by a reverse spli. Implemenaion of reverse spli Afer close of business on he 3 rd Friday of he monh, he closing level will be muliplied by 1000 (one housand). In case he Friday is no a rading day, he review or implemenaion will be on he day before. 3.5 SPLI OF INDEX LEVEL If an index has risen above i may qualify for a spli. his rule is applied o he indices wih a facor 4 or higher or -4 or less. For he spli he Compiler will use a sandard raio of Periodical Review Indices are reviewed each monh on he firs Friday. If an index level has reached a closing level above on he previous day, he index level will be adjused 2 weeks laer by a spli. Implemenaion of spli Afer close of business on he 3 rd Friday of he monh, he closing level will be divided by (one housand). In case he Friday is no a rading day, he review or implemenaion will be on he day before. 8

11 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 Euronex Markes. he level of he index is in principle published every 15 seconds. he index is calculaed from 09:00 unil Euronex Markes sop regular dayime rading on he days when Euronex Markes are open for rading Closing level he calculaion of he closing index levels is based on he respecive official underlying index closing levels published by Euronex. 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 Euronex markes, he level of he index will no be calculaed. If he unavailabiliy exends over he closing aucion ime of he Euronex 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 Compiler 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 α >0): Or Where: <α% > α% (C1-L) for Leverage indices (C1-S) for Shor/Bear 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; % α = as per he Index Summary secion above under he column Rule in case of exreme marke movemens. 9

12 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/Bear 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 = LIR1 1 + K 1 R1 L SI = SIR1 1 K 1 R1 H Where: R 1 Lis he lowes recorded index level over an observaion period of 5 minues following calculaion ime (ime when he hreshold was crossed) ; LI R1 is he level of he index using index level R 1 L; LI R + K 1 EONIA SPR ( K 1) D ( K 1) D 1L R1 = LI 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) ; SI R1 is he level of he index using index level R 1 H ; 10

13 SI R K 1 + EONIA REPO ( K + 1) D K D 1H R1 = SI 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 < α% > α% (C2-L) for Leverage indices (C2-S) for Shor/Bear indices Where: is he index level used a ime of calculaion ; R 1 L as defined above; R 1 H as defined above; α % as defined above. If he above condiion (C2) is me, anoher inraday rese is riggered. he calculaion in real-ime resumes as follows: Or Where: LI = LIR K 1 R 2L SI = SIR 2 1 K 1 R 2H R 2 L is he lowes recorded index level over an observaion period of 5 minues following calculaion ime (ime when condiion (C2-L) is me). 11

14 LI R2 R 2L = LIR1 1 + K 1 R1L R 2 H 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 = SIR1 1 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, is componens or is rules will be announced by an index announcemen which will be disribued via e mail and/or he websie of Euronex. As a rule he announcemen periods ha are menioned underneah will be applied. However, urgen reamens or lae noices may require he Compiler 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. 12