OMXS30 Balance 20% Index Rules

Transcription

1 OMX30 Balance 0% ndex Rules Verson as of 30 March 009 Copyrgh 008, The NADAQ OMX Group, nc. All rghs reserved. NADAQ OMX, The NADAQ ock Marke and NADAQ are regsered servce/rademarks of The NADAQ OMX Group, nc.

2 . ndex Descrpons The OMX30 Balance 0 % ndex (he ndex ) measures he performance of a rules-based, quanave nvesmen sraegy ha reflecs he relave reurn of he OMX ockholm 30 Gross ndex (he Underlyng ndex ) agans he Tomorrow Nex (T/N) nerbank offered rae for deposs n EK (he TBOR Rae ), based on a 0% arge volaly rsk conrol mechansm for he Underlyng ndex. The ndex Rules are quanave. The exposure o he Underlyng ndex,.e., OMX ockholm 30 Gross ndex s adjused daly based on formulas oulned n he ndex Rules whch compare he volaly of he Underlyng ndex o he arge volaly. The purpose of adjusng he exposure s o decrease he exposure o he Underlyng ndex when he volaly of he Underlyng ndex ncreases and o ncrease he exposure o he Underlyng ndex when s volaly decreases. The exposure o he Underlyng ndex s capped a 70%. The NADAQ OMX Group, nc. ( NADAQ OMX )" s he ndex Calculaor and OMX30 Balance 0% ndex s he exclusve propery of NADAQ OMX. The algorhms and mehodology for calculang he OMX30 Balance 0% ndex has been creaed by venska Handelsbanken AB (publ).. ndex Rules. Terms and defnons relang o he ndex Busness Days ockholm ACT (, ) Number of calendar days beween he Calculaon Dae ( ) (ncluded) and he Calculaon Dae () (excluded) Calculaon Dae, "" any cheduled Valuaon Dae on whch no ndex Dsrupon Even occurs (excep as provded for n econ 3); Calculaon Dae ( ) means he precedng Calculaon Dae o he Calculaon Dae () Exposure, " E " n respec of any Calculaon Dae (), he Exposure o he Underlyng ndex s deermned by he ndex Calculaor n accordance wh he formula specfed n econ.5 ndex The OMX30 Balance 0 % ndex (Reuers cker:.omx30bal0) ndex Calculaor NADAQ OMX ndex Currency wedsh Krona ( EK ) ndex Dsrupon Even n respec of he Underlyng ndex, he occurrence or exsence of an Underlyng ndex Dsrupon Even or, n respec of he TBOR Rae, a TBOR Dsrupon Even, whch n any case he ndex Calculaor deermnes s relevan. ndex Base Dae, " 0 " ndex Launch Dae ndex Level, " " n respec of any Calculaon Dae (), he level of he ndex calculaed and announced by he ndex Calculaor on such dae a he Valuaon Tme, n accordance wh secon.4 ndex Owner NADAQ OMX ndex ponsor venska Handelsbanken AB (publ)

3 nal value of he he value of he ndex was se o 00 as of he ndex Base Dae ndex, " 0 " Maxmum Exposure, " E max " 70 %, maxmum Exposure o he Underlyng ndex N (, ) he number of Calculaon Daes beween he Calculaon Dae ( ) (ncluded) and he Calculaon Dae ( ) (excluded). f he Calculaon Dae ( ) occurs afer he Calculaon Dae ( ), N(, ) N(, ) apples. cheduled Valuaon Day any day on whch he Underlyng ndex Exchange s scheduled o be open for s regular radng sessons. B Targe Volaly, " Vol " 0 % Valuaon Tme he scheduled Busness Day closng me of he Underlyng ndex Exchange whou regard o afer hours or any oher radng ousde of he regular radng sessons.. Terms and defnons relang o he TBOR Rae TBOR Dsrupon Even n respec of he TBOR Rae, he occurrence on a cheduled Valuaon Day of any even ha prevens he ndex Calculaor from asceranng he TBOR Rae from he TBOR Rae ource. TBOR Rae, " R " n respec of he Calculaon Dae (), he percenage fxng rae of he ockholm nerbank offered rae Tomorrow Nex (T/N) whch appears on he TBOR Rae ource. TBOR Rae ource Reuers creen page OR, or any successor page or servce, as deermned by he ndex Calculaor..3 Terms and defnons relang o he Underlyng ndex Underlyng ndex he OMX ockholm 30 Gross ndex (Reuers cker:.omx30g; Bloomberg Tcker: OMX30G <ndex>). The Underlyng ndex s mananed and governed accordng o he "Rules and Regulaons of NADAQ OMX Dervaves Marke, Addendum o he OMX30 conrac specfcaons, addendum 4.8. Underlyng ndex Dsrupon n respec of he Underlyng ndex, he occurrence or exsence on any Even cheduled Valuaon Day, of an even beyond he conrol of he ndex Calculaor whch precludes he calculaon and/or he publcaon of he Underlyng ndex. Underlyng ndex Exchange NADAQ OMX ockholm AB. Relaed Exchange n respec of he Underlyng ndex, each exchange or quoaon sysem radng has a maeral effec (as deermned by he ndex Calculaor) on he overall marke for fuures or opons conracs relang o he Underlyng ndex. Underlyng ndex As descrbed n econ 4. Exraordnary Even

4 Underlyng ndex Level, he Underlyng ndex level as of he Calculaon Dae.4 Deermnaon of he ndex Level 00 0 (as of he ndex Base Dae) As of each Calculaon Dae () when N ( 0, ), ndex Level s deermned by he ndex Calculaor n accordance wh he followng formula: + E E R ACT (, ) 360 E n respec of he Calculaon Dae, he Exposure o he Underlyng ndex (as descrbed n secon.5) n respec of he Calculaon Dae, he Underlyng ndex Level on such dae R n respec of he Calculaon Dae, he TBOR Rae on such dae ACT (, ) he number of calendar days beween he Calculaon Dae ( ) and he Calculaon Dae.5 Deermnaon of he Exposure " E " The Exposure " E " s relaed o he hsorcal volaly of he Underlyng ndex and he Convexy Correcon Facor. The Exposure " E " may no exceed 70%. As of each Calculaon Dae (), he Exposure " E " s deermned by he ndex Calculaor n accordance wh he followng formula: B ( E, CCF Vol Vol ) E mn max * E max 70%, he Maxmum Exposure o he Underlyng ndex B CCF max( 0.75, Vol Vol ), he Convexy Correcon Facor on he Calculaon Dae ( ) Vol n respec of he Calculaon Dae ( ), he hsorcal volaly of he Unadjused Balance ndex (as descrbed n secon.9) Vol n respec of he Calculaon Dae ( ), he hsorcal volaly of he Underlyng ndex (as descrbed n secon.6).6 Deermnaon of he Hsorcal Volaly of he Underlyng ndex " Vol " As of each Calculaon Dae () when N (, 0 ) < 54,.e, when he Hsorcal Volaly of he Underlyng ndex s o be calculaed for any Calculaon Dae afer he 54h Calculaon Dae precedng he ndex Base Dae, s deermned by he ndex Calculaor n accordance wh he followng formula:

5 Vol λ ACT (, ) 5 ( Vol ) + ( λ ) ln λ 0.96, he exponenally weghed smoohng facor for calculang he hsorcal volaly of he Underlyng ndex ln means he logarhm o he base e As of he Calculaon Dae () when N (, 0 ) 54,.e., when he number of Calculaon Daes beween he Calculaon Dae () (ncluded) and he ndex Base Dae ( 0 ) (excluded) s 54, he Hsorcal Volaly of he Underlyng ndex on such dae s deermned by he ndex Calculaon Agen n accordance wh he followng formula: Vol s α, 49 F ) α ( λ ) * λ, F α, j j 49 ln 5 ACT (,.7 Deermnaon of he Unadjused Balance ndex Level The Unadjused Balance ndex s calculaed n order o oban he Convexy Correcon Facor CCF as defned n secon as of he Calculaon Dae ) when ( 0 N( 0, 0 ) 53,.e., he Unadjused Balance ndex Level was se o 00 as of he 53rd Calculaon Dae precedng he ndex Base Dae On each Calculaon Dae () when N( 0, ), he Unadjused Balance ndex Level s deermned by he ndex Calculaor n accordance wh he followng formula: + E E R ACT (, ) 360 E n respec of he Calculaon Dae ( ), he Exposure of he Unadjused Balance ndex o he Underlyng ndex ( as descrbed n secon.8).8 Deermnaon of he Exposure of he Unadjused Balance ndex " E " The Exposure " E " s relaed o he hsorcal volaly of he Underlyng ndex and may no exceed 70%. As of each Calculaon Dae (), he Exposure " E " s deermned by he ndex Calculaor n accordance wh he followng formula:

6 B ( E Vol Vol ) E mn max,.9 Deermnaon of he Unadjused Balance ndex Hsorcal Volaly " Vol " As of each Calculaon Dae () when N ( 0, ) 0,.e., when he Unadjused Balance ndex Hsorcal Volaly s o be calculaed for he ndex Base dae or any Calculaon Dae afer he ndex Base Dae, s deermned by he ndex Calculaor n accordance wh he followng formula: Vol λ ACT (, ) 5 ( Vol ) + ( λ ) ln λ 0.99, whch s he exponenally weghed smoohng facor for calculang he Unadjused Balance ndex Hsorcal Volaly As of he Calculaon Dae () when N (, 0 ),.e., f he Unadjused Balance ndex Hsorcal Volaly s o be calculaed for he precedng Calculaon Dae o he ndex Base dae, s deermned by he ndex Calculaor n accordance wh he followng formula: Vol α, 5 F ) ln 5 ACT (, α ( λ ) λ, * F α, j j 5 ( ) 3. Consequences of an ndex Dsrupon Even f an ndex Dsrupon Even occurs on a cheduled Valuaon Day for eher he Underlyng ndex or he TBOR Rae, hen here wll be no level for he ndex calculaed or announced on such day. f an ndex Dsrupon Even occurs on each of he egh cheduled Valuaon Days mmedaely followng he nal cheduled Valuaon Day, hen ha eghh cheduled Valuaon Day, and each cheduled Valuaon Day hereafer on whch an ndex Dsrupon Even connues o exs, shall be deemed o be a Calculaon Dae, nowhsandng he exsence of an ndex Dsrupon Even on such dae(s). The ndex Calculaor shall hen, as of he Valuaon Tme on each such deemed Calculaon Dae, n regards o he level of ndex (each, a Dsruped Calculaon Dae ), ac based on he followng: () () f an Underlyng ndex Dsrupon Even exss here wll be no level for he ndex calculaed or announced on such day; f a TBOR Dsrupon Even exss bu no an Underlyng ndex Dsrupon Even, a uccessor Rae, replacng he TBOR Rae s deermned by he ndex Calculaor, n consulaon wh he ndex ponsor, usng raes quoed by major bank(s) n ockholm, seleced by he ndex Calculaor n consulaon wh he ndex ponsor, for loans n wedsh Kronor o leadng European banks on he relevan dae(s) of deermnaon.

7 Nowhsandng he foregong, f an ndex Dsrupon Even connues for egh consecuve cheduled Valuaon Days, hen he ndex Calculaor may permanenly cancel he ndex on such eghh cheduled Valuaon Day. 4. Underlyng ndex Exraordnary Even f he Underlyng ndex s () no calculaed and announced by he Underlyng ndex Exchange bu s calculaed and announced by a successor eny accepable o he ndex Calculaor, or () replaced by a successor ndex usng, n he deermnaon of he ndex Calculaor, he same or a subsanally smlar formula for and mehod of calculaon as used n he calculaon of he Underlyng ndex, hen n each case ha ndex (he uccessor ndex ) may be deemed he Underlyng ndex f so specfed by he ndex Calculaor. f, on any cheduled Valuaon Dae, he Underlyng ndex Exchange permanenly cancels he Underlyng ndex and no uccessor ndex exss, hen he ndex Calculaor shall permanenly cancel he ndex. 5. Lms of Lably The ndex Owner s no lable for loss or damage resulng from wedsh or foregn legslave enacmen, acons of wedsh or foregn auhores, war, power falure, elecommuncaon falure, fre, waer damage, srke, blockade, lockou, boyco, or oher smlar crcumsances ousde he conrol of he ndex Owner. The reservaon wh respec o srkes, blockade, lockou and boyco also apples f he ndex Owner adops or s he objec of such conflc measures. The ndex Owner s no responsble n any crcumsance for loss of daa, non-paymen of profs or oher ndrec damage. The ndex Owner provdes no express or mpled warranes regardng he resuls whch may be obaned as a consequence of he use of he ndex or regardng he value of he ndex a any gven me. The ndex Owner shall n no case be lable for errors or defecs n he ndex nor oblgaed o provde noce of, or publsh, errors n he ndex.