SEB Commodity Sector Index Series. Index Rules January 2014

Transcription

1 EB Commodiy ecor ndex eries ndex Rules January 2014

2 PART A 1. nroducion 1.1 ndex Descripion The EB Commodiy ecor ndex eries (The ndices ) is a family of benchmark indices ha covers all he major commodiy secors. The secor ndices are composed of subindices, which in urn, each represen a rolling single commodiy fuures posiion. The EB Agriculure ndex, he EB Base Meals ndex, he EB Energy ndex, he EB Precious Meals ndex and he EB ofs ndex are all subses of he main EB Commodiy ndex. The ecor+ ndices, also included in he secor index family, offer a more diversified exposure across he differen secors by including addiional commodiies. The ndices are he propery of kandinaviska Enskilda Banken AB (publ) ( EB ). 1.2 Consrucion and nerpreaion The ndex Rules for an ndex consis of his Par A, which ses ou he general framework for he EB Commodiy ecor ndex eries, and he nformaion Annex, which ses ou specific informaion for each ndex abou: ndex ndex Currency ndex Base Level, 0 ndex Base Dae, =0 ndex Consiuens, C i Consiuen Base Weighs, q i 2. Calculaions, Correcions and Amendmens 2.1 Terms and Definiions Relaing o he ndex Business Day Calculaion Agen Calculaion Dae, Consiuen Business Day Consiuen Level, Currency Conversion Rae, "FX " ndex Level, " " A day, oher han aurday or unday, on which banks are open for general business in ockholm EB or any affiliae, subsidiary or hird person from ime o ime designaed by EB o ac in is behalf as calculaion agen in connecion wih an ndex. Any cheduled Valuaion Day on which no Marke Disrupion Even occurs. Calculaion Dae -1 means he Calculaion Dae immediaely preceding Calculaion Dae A day when an ndex Consiuen is scheduled o be calculaed and announced The index level of he i h consiuen as of he Calculaion Dae As of he Calculaion Dae and ndex Consiuen C (i) 1.0, if he ndex Consiuen is denoed in he ndex Currency (ii) he spo fixing rae of he ndex Currency (price currency) and he ndex Consiuen currency (base currency), published by, or derived from, The World Markes Company PLC, n respec of any Calculaion Dae, he level of he ndex calculaed and announced by he Calculaion Agen on such dae, in accordance wih secion 2.2

3 ndex Owner ndex Rebalance Day, "=" EB The second Calculaion Dae in January, April, July and Ocober, which is also a Consiuen Business Day for all ndex Consiuens The firs ndex Rebalance Day is defined as he ndex Base Dae. cheduled Valuaion Day Each day on which he sum of he Consiuen Base Weighs of he ndex Consiuens, for which he day also is a Consiuen Business Day, equals 80% or more 2.2 Deerminaion of he ndex Level As of each Calculaion Dae, ndex Level is deermined by he Calculaion Agen in accordance wih he following formula: where i qi i, FX FX = he ndex Level as of he las ndex Rebalance Day <, i, = he Consiuen Level as of he las ndex Rebalance Day <, FX i, = he Currency Conversion Rae as of he las ndex Rebalance Day < The ndex Level is rounded o four (4) decimal places. 2.3 The Toal Reurn ndex The oal reurn version of an ndex (he Toal Reurn ndex or TR ndex ) reflecs a fully collaeralized invesmen in he corresponding excess reurn index as described above. A Toal Reurn ndex combines he reurn of he excess reurn ndex wih he reurn of a hypoheical cash invesmen in he ndex Consiuen currencies. The reurns from he cash invesmen are reinvesed in he Toal Reurn ndex on each Calculaion Dae Terms and Definiions Relaed o he Toal Reurn ndex TR TR ndex Level, " " n respec of any Calculaion Dae, he level of he TR ndex calculaed and announced by he Calculaion Agen on such dae Consiuen Weigh, w, As of he Calculaion Dae, Conversion Rae, "FX " ndex Weigh, W CCY w qi FX FX As of he Calculaion Dae he EURUD spo fixing rae, published by The World Markes Company PLC 17:00 ockholm ime, expressed as he number of UD per one (1) EUR. As of he Calculaion Dae, he sum of he ndex Consiuen Weighs for he ndex Consiuens denoed in currency CCY.

4 neres Rae, r CCY As of he Calculaion Dae, he neres Rae of currency CCY as defined in he nformaion Annex, for he relevan ndex. f, on any Calculaion Dae, he neres Rae is no published, he Calculaion Agen may, in consulaion wih he ndex Owner, use he neres Rae as published on he preceding Calculaion Dae -1 or, in good faih and in a commercially reasonable manner, deermine a succeeding ineres rae. neres Reurn, R CCY neres Reurn Period, d As of Calculaion Dae and currency CCY, CCY TR CCY CCY R W r d /360 As of Calculaion Dae, he number of calendar days from and including, he Calculaion Dae, o bu excluding, he Calculaion Dae Deerminaion of he TR ndex Level TR As of each Calculaion Dae, TR ndex Level TR is deermined by he Calculaion Agen in accordance wih he following formula: TR TR R UD 1 R EUR 1 FX FX 1 The TR ndex Level is rounded o four (4) decimal places. 3. Amendmens The ndex Rules for an index may be amended from ime o ime a he sole discreion of EB and will be republished (in a manner deermined by EB) no laer han one (1) calendar monh following such amendmen. Alhough he ndex Rules are inended o be comprehensive, ambiguiies may arise. f so, EB will resolve such ambiguiies and, if necessary, amend he ndex Rules o reflec such resoluion. 4. Limiaion of Liabiliy The ndex Rules in respec of an index neiher consiue an offer o purchase or sell securiies nor specific advice of whaever form (ax, legal, accouning, regulaory or oherwise) in respec of any invesmen sraegy or invesmen ha may be linked o such index. Neiher EB nor he Calculaion Agen does in any capaciy endorse or make any represenaion or warrany, express or implied, in connecion wih any invesmen sraegy or invesmen linked o he index. Anyone reading hese ndex Rules should seek such advice as hey consider necessary from heir professional advisors, legal, ax or oherwise, wihou reliance on EB or he Calculaion Agen o saisfy hemselves ha hey fully undersand hese ndex Rules and he risks associaed wih an index or any invesmens linked o an index. Furhermore, his documen is no inended for disribuion o, or use by any person in, a jurisdicion where such disribuion is prohibied by law or regulaion. Neiher EB nor he Calculaion Agen shall in any capaciy be liable for any direc, indirec, incidenal, puniive, special or consequenial damages or los profis relaed o or arising ou of he use of an index, wheher in negligence or oherwise, even if noified of he possibiliy of such damages.. EB and he Calculaion Agen expressly disclaim all warranies, expressed or implied, as o he uninerruped calculaion, compleeness, merchanabiliy or finess for any paricular purpose, wih respec o an index or any daa herein. Neiher EB nor he Calculaion Agen make any warrany or represenaion whasoever, express or implied, in respec of an index, he resuls o be obained by he use hereof or he value of an index a any given ime.

5 Neiher EB nor he Calculaion Agen is liable for loss or damage resuling from wedish or foreign legislaive enacmen, acions of wedish or foreign auhoriies, war, power failure, elecommunicaion failure, fire, waer damage, srike, blockade, lockou, boyco, or oher similar circumsances ouside he conrol of he EB or he Calculaion Agen. The reservaion wih respec o srikes, blockade, lockou and boyco also applies if EB or he Calculaion Agen adops or is he objec of such conflic measures.

6 NFORMATON ANNEX ndex ndex Currency ndex Base Level, 0 ndex Base Dae, =0 EB Agriculure ndex U Dollar ( UD ) EB Base Meals ndex U Dollar ( UD ) EB Power ndex U Dollar ( UD ) EB Precious Meals ndex U Dollar ( UD ) EB ofs ndex U Dollar ( UD ) EB Agriculure ndex ndex Consiuen C i ndex Consiuen currency ndex Consiuen Weigh q i EB Corn ndex U Dollar ( UD ) 25.00% EB Milling Whea ndex Euro ( EUR ) 31.25% EB Rapeseed ndex U Dollar ( UD ) 12.50% EB Rough Rice ndex U Dollar ( UD ) 6.25% EB oybean ndex U Dollar ( UD ) 25.00% EB Base Meal ndex ndex Consiuen C i ndex Consiuen currency ndex Consiuen Weigh q i EB Aluminium ndex U Dollar ( UD ) 25.00% EB Copper ndex U Dollar ( UD ) 56.25% EB Nickel ndex U Dollar ( UD ) 6.25% EB Zinc ndex U Dollar ( UD ) 12.50% EB Energy ndex ndex Consiuen C i ndex Consiuen currency ndex Consiuen Weigh q i EB Bren Crude Oil ndex U Dollar ( UD ) 30.00% EB European Power ndex Euro ( EUR ) 6.00% EB Gas Oil ndex U Dollar ( UD ) 24.00% EB Gasoline ndex U Dollar ( UD ) 24.00% EB Nordic Power ndex Euro ( EUR ) 16.00% EB Precious Meal ndex ndex Consiuen C i ndex Consiuen currency ndex Consiuen Weigh q i EB Gold ndex U Dollar ( UD ) 76.92% EB ilver ndex U Dollar ( UD ) 23.08% EB of ndex ndex Consiuen C i ndex Consiuen currency ndex Consiuen Weigh q i EB Coffee ndex U Dollar ( UD ) 40.0% EB Coon ndex U Dollar ( UD ) 20.0% EB ugar ndex U Dollar ( UD ) 40.0% neres Raes relaed o he Toal Reurn ndex r i ndex Currency r EUR r UD EONA overnigh ( O/N ) Bloomberg Page EONA ndex LBOR UD overnigh ( O/N ) Bloomberg Page U00O/N ndex