The “free float market capitalization of the SX5E” is equal to the sum of the product of the price, the number of shares, the free float factor and the weighting cap factor for each component stock as of the time the SX5E is being calculated. The component stocks trade in Euros and thus, no currency conversion is required. Where any component stock price is unavailable on any trading day, the basket component sponsor will generally use the last reported price for such component stock.
In case the investability and tradability of the index and index based products is affected by an upcoming market or company event that is considered significant or “extreme” by the STOXX Management Board, the following actions or a combination of the following actions are taken. For all such changes a minimum notification period of two full trading days will be observed. The action scope may include but is not limited to:
The SX5E is calculated using a divisor that helps to maintain the continuity of the index’s value so that corporate actions do not artificially increase or decrease the level of the SX5E.
The divisor is calculated by starting with the previous divisor in effect for the SX5E (which we call the “original divisor value”) and multiplying it by a fraction, the numerator of which is the previous free float market capitalization of the SX5E, plus or minus the difference between the closing market capitalization of the SX5E and the adjusted closing market capitalization of the SX5E, and the denominator of which is the previous free float market capitalization of the SX5E. The adjusted free float market capitalization is calculated for stocks of companies that have experienced a corporate action of the type described below as of the time the new divisor value is being calculated using the free float market capitalization calculated with adjusted closing prices, the new number of shares, and the new free float factor minus the free float market capitalization calculated with that stock’s original closing price, number of shares, and free float factor, in each case as used in calculating the original divisor value. Errors in divisor calculation are corrected on an intraday basis if discovered on the same day the new divisor is effective. If the error is discovered later, the error is corrected on an intraday basis if feasible and only if the error is considered significant by the STOXX Limited Management Board.
STOXX Limited adjusts the divisor for the SX5E to maintain the continuity of the SX5E values across changes due to corporate actions. Changes in weights due to corporate actions are distributed proportionally across all index components and equal an investment into the portfolio. The following is a summary of the adjustments to any component stock made for corporate actions and the effect of such adjustments on the divisor, where shareholders of the component stock will receive “B” new shares for every “A” share held (where applicable) and assuming that the version of the index to which your notes are linked is the price return version. All adjusted prices consider withholding taxes based on the new shares being distributed, using “B * (1 – withholding tax where applicable)”.
Adjusted price = closing price – dividend announced by the company * (1- withholding tax if applicable)
If the subscription price is not available or if the subscription price is equal to or greater than the closing price on the day before the effective date, then no adjustment is made.
Extremely dilutive rights issues having a share ratio larger or equal to 2000% (B/A
>
20) are treated as follows:
STOXX Limited will announce the deletion of the company from the index following the standard rules for index
replacements if sufficient notice of two trading days before the ex-date can be given.
The company may enter the index again at the next periodic index review, but only after the new rights issue shares have been listed.
Extremely dilutive rights issues for which two trading days’ notice before the ex-date cannot be given, and all highly dilutive rights issues having a share ratio larger or equal to 200% (B/A>2) are treated as follows:
Adjusted price = [closing price – capital return announced by company * (1– withholding tax)] * A / B
Adjusted price = [(price before tender * old number of shares) – (tender price * number of tendered shares)] / (old number of shares – number of tendered shares)
(10) Combination stock distribution (dividend or split) and rights offering:
Shareholders receive B new shares from the distribution and C new shares from the rights offering for every A share held; and
If A is not equal to one, all the following “new number of shares” formulae need to be divided by A.
If rights are applicable after stock distribution (one action applicable to another):
Adjusted price = [closing price * A + subscription price * C * (1 + B / A)] / [(A + B) * (1 + C / A)]
If stock distribution is applicable after rights (one action applicable to another):
Adjusted price = (closing price * A + subscription price * C) / [(A + C) * (1 + B / A)]
No price adjustments are made. The net change in market capitalization determines the divisor adjustment.
No price adjustments are made. The net change in market capitalization determines the divisor adjustment.
The SX5E is the intellectual property of STOXX Limited, Zurich, Switzerland and/or its licensors (“Licensors“), which is used under license. The notes or other financial instruments based on the SX5E are in no way sponsored, endorsed, sold or promoted by STOXX and its Licensors and neither STOXX nor its Licensors shall have any liability with respect thereto.
The level of the basket component has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the level of the basket component during any period shown below is not an indication that the basket component is more or less likely to increase or decrease at any time during the life of your notes.
The following table sets forth the quarterly high and low closing levels for the basket component, based on the daily closing level as reported by Bloomberg without independent verification. The level of the basket component on October 17, 2018 was 3,243.08. Past performance of the basket component is not indicative of the future performance of the basket component.
* As of the date of this pricing supplement, available information for the fourth calendar quarter of 2018 includes data for the period from October 1, 2018 through October 17, 2018. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Quarterly Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2018.
The graph below illustrates the performance of the basket component from January 1, 2008 through October 17, 2018, based on information from Bloomberg.
Past performance of the basket component is not indicative of the future performance of the basket component.
TPX, also known as the Tokyo Stock Price Index, is a capitalization weighted index of all the domestic common stocks listed on the First Section of the Tokyo Stock Exchange, Inc., which we refer to as the TSE. Domestic stocks admitted to the TSE are assigned either to the TSE First Section Index, the TSE Second Section Index or the TSE Mothers Index. Stocks listed in the First Section, which number approximately 1,700, are among the most actively traded stocks on the TSE. TPX is supplemented by the sub-basket components of the 33 industry sectors and was developed with a base index value of 100 as of January 4, 1968. TPX is calculated and published by TSE. Additional information about TPX is available on the following website: jpx.co.jp/english/markets/indices/topix. We are not incorporating by reference the website or any material it includes in this pricing supplement.
TPX
Basket Component Stock Weighting by Sector as of September 28, 2018
Sector:
|
Percentage (%)
|
Air Transportation
|
0.56%
|
Banks
|
6.76%
|
Chemicals
|
7.53%
|
Construction
|
2.84%
|
Electric Appliances
|
13.26%
|
Electric Power and Gas
|
1.74%
|
Fishery, Agriculture and Forestry
|
0.11%
|
Foods
|
4.01%
|
Glass and Ceramics Products
|
0.97%
|
Information & Communication
|
8.06%
|
Insurance
|
2.41%
|
Iron and Steel
|
1.08%
|
Land Transportation
|
4.29%
|
Machinery
|
5.23%
|
Marine Transportation
|
0.20%
|
Metal Products
|
0.60%
|
Mining
|
0.33%
|
Nonferrous Metals
|
0.82%
|
Oil and Coal Products
|
0.88%
|
Other Financing Business
|
1.18%
|
Other Products
|
2.14%
|
Pharmaceutical
|
5.12%
|
Precision Instruments
|
1.78%
|
Pulp and Paper
|
0.29%
|
Real Estate
|
2.30%
|
Retail Trade
|
4.92%
|
Rubber Products
|
0.73%
|
Securities and Commodities Futures
|
0.92%
|
Services
|
4.73%
|
Textiles and Apparels
|
0.61%
|
Transportation Equipment
|
8.47%
|
Warehousing and Harbor Transportation Service
|
0.19%
|
Wholesale Trade
|
4.91%
|
* Sector designations are determined by the basket component sponsor using criteria it has selected or developed. Index sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices with different index sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices.
** Information provided by TSE. Percentages may not sum to 100% due to rounding.
TPX Composition and Maintenance
TPX is comprised of all domestic common stocks listed on the TSE First Section, excluding certain types of securities such as subscription warrant securities and preferred equity contribution securities. Companies scheduled to be delisted or newly listed companies that are still in the waiting period are excluded from the indices. TPX has no constituent review. The number of constituents will change according to new listings and delistings. The reasons for stock additions and deletions to the TSE First Section are described further below.
TPX Calculation
TPX is a free-float-adjusted market-capitalization-weighted index, which reflects movements in the market capitalization as measured from a base index value of 100 set on the base date of January 4, 1968.
TSE calculates TPX by
multiplying
the base index value of 100 by the
quotient
of the current free-float-adjusted market value
divided
by the base market value. The resulting value is not expressed in Japanese yen but presented as a number of points, rounded to the nearest one hundredth. The formula for calculating TPX value can be expressed as follows:
Index value = Base index value of 100 x
|
Current free-float - adjusted market value
Base market value
|
The current free-float-adjusted market value is the sum of the products of the price times the number of free-float- adjusted shares for each constituent stock.
The number of free-float-adjusted shares for this calculation is the total number of listed shares multiplied by free- float weight. The total number of listed shares used for this purpose is usually the same as the number of actual listed shares. However, in some cases these numbers will differ as a consequence of the index methodology. For instance, in the case of a stock split, the number of listed shares will increase on the additional listing date after the stock split becomes effective; on the other hand, the number of listed shares for index calculation purposes will increase on the ex- rights date.
Free-float weight is the weight of listed shares deemed to be available for trading in the market, and is determined and calculated by the TSE for each constituent stock. It is calculated by
subtracting
the
quotient
of non-free-float shares
divided by
listed shares
from
one. Free-float weight is reviewed once a year in order to reflect the latest distribution of share ownership. The TSE estimates non-free-float shares using publicly available documents, and generally deems shares held by the top ten major shareholders (with certain exceptions), treasury stocks and shares held by members of the issuer’s board of directors to be unavailable for trading in the market. The TSE may deem other shares to be unavailable for trading in the market. The timing of the yearly free- float-weight review is different according to the settlement terms of listed companies. In addition to the yearly review, extraordinary reviews may be conducted for events TSE expects will significantly affect the free-float weight. These include when new shares are allocated to a third party, preferred shares are converted or subscription warrants are exercised, as well as in the event of a company spin-off, merger, stock-swap, take-over bid and other events TSE judges deem will significantly affect free-float weight.
In the event of any increase or decrease in the current free-float-adjusted market value due to causes other than fluctuations in the stock market, such as public offerings or changes in the number of listed companies in the TSE First Section, adjustments are made by TSE to the base market value in order to maintain the continuity of TPX.
Additions and Deletions to the TSE First Section (and therefore, TPX)
TSE adds or removes securities for various listing and delisting events as shown in the table below.
Additions and Deletions of Constituents
|
Event
|
Adjustment Date
|
Stock Price Used for
Adjustment
|
Addition
|
A company is to be newly listed on the TSE First Section (directly listed or via another stock exchange)
|
Last business day of the month after such listing
|
Stock price at the end of trading on the business day before adjustment date
|
Addition
|
New listing of a newly formed company resulting from a corporate consolidation, acquisition, merger or split (personnel split) that results in a TPX or Ex-TPX constituent being delisted and the new company being included in TPX.
|
New listing date. If the initial listing date falls on a holiday, it will be the following business day
|
Base price
|
Addition
|
Assignment to the TSE First Section from the TSE Second Section, Tokyo Stock Exchange Mothers Index or JASDAQ Index.
|
Last business day of the month after such assignment (a free float weight of 0.00 is used from the assignment date to the month after the assignment date and thus the number of shares to be used for calculation will be 0.00 during such period)
|
Stock price at the end of trading on the business day before
adjustment date
|
Deletion
|
New listing of a newly formed company resulting from a corporate consolidation, acquisition, merger or split (personnel split) that results in a TPX or Ex-TPX constituent being delisted and the new company being included in TPX.
|
Listing date of the newly formed company (normally three business days following delisting date)
|
Stock price at the end of trading on the business day before delisting date. The stock price at the end of trading on the business day before the delisting date is used to calculate TPX for the period from the delisting date to the removal date
|
Deletion
|
A constituent is to be delisted due to a reason other than as described in the preceding scenario
|
Delisting date
|
Stock price at the end of trading on the business day before adjustment date
|
Deletion
|
A constituent’s securities are designated to be delisted
|
Four business days after designation. If the designation date falls on a holiday, it will be the next business day
|
Stock price at the end of trading on the business day before
adjustment date
|
Deletion
|
Assignment to the TSE Second
Section or JASDAQ from the TSE First Section
|
Date of change
|
Stock price at the end of trading on the business day before adjustment date
|
The adjusted base market value will equal the old base market value
multiplied
by the
quotient
of the free-float- adjusted market value on the business day before the adjustment date
plus
or
minus
, as applicable, the adjustment amount
divided
by the free-float-adjusted market value on the business day before the adjustment date.
The adjustment amount for the foregoing calculation will be an amount equal to the
product
of the change (the absolute value of the increase or decrease) in the number of shares used for index calculations
times
the price of the shares used for adjustment.
Changes in the number of shares and the price of the shares for adjustments to the base market value will be made as described in the table below.
Change in the Number of Shares
Event
|
Adjustment Date
|
Stock Price Used for Adjustment
|
Change of free-float weight
|
Date of change
|
Stock price at the end of trading on the business day before adjustment date
|
Public offering
|
Additional listing date (day after payment date). If listing date falls on a holiday, it will be the next business day
|
Stock price at the end of trading on the business day before adjustment date
|
Allocation of new shares to a third party
|
Five business days after additional listing date (two business days after payment date)
|
Stock price at the end of trading on the business day before adjustment date
|
Issues to shareholders with payment
|
Ex-rights date
|
Payment price per share
|
Exercise of subscription warrants
|
Last business day of the month following exercise
|
Stock price at the end of trading on the business day before adjustment date
|
Conversion of preferred shares
|
Last business day of the month following conversion
|
Stock price at the end of trading on the business day before adjustment date
|
Cancellation of treasury stock
|
Last business day of the month following cancellation
|
Stock price at the end of trading on the business day before adjustment date
|
Merger or acquisitions between a non- surviving constituent and another constituent
|
Delisting date of the non-surviving constituent
|
Stock price at the end of trading on the business day before adjustment date
|
Merger or acquisitions other than that described above
|
Listing change date (effective date)
|
Stock price at the end of trading on the business day before adjustment date
|
Rights offering
|
Ex-rights date
|
Payment price per share
|
Offering for sale of shares held by the Japanese government (Nippon Telegraph and Telephone and Japan Tobacco only)
|
Date determined by TSE (generally the delivery date)
|
Stock price at the end of trading on the business day before adjustment date
|
Company split (merged split)
|
Listing change date (the effective date)
|
Stock price at the end of trading on the business day before adjustment date
|
Other adjustments
|
Last business day of the month in which the information appears in “Sho- ho” (TSE Notice) or the last business day of the following month
|
Stock price at the end of trading on the business day before adjustment date
|
No adjustments will be made to the base market value in the case of a stock split or reverse stock split.
Retroactive adjustments will not be made to revise the figures of the index that have already been calculated and disseminated even if issuing companies file amendments on previously released information.
Market Disruption
If trading in a certain constituent is halted, the TSE regards the constituent’s share price for purposes of calculating TPX to be unchanged. Where an event that is not specified in the rules of TPX occurs, or if the TSE decides that it is impossible to use its existing methods to calculate TPX, the TSE may use an alternate method of index calculation as it deems valid.
License Agreement
We expect to enter into a non-exclusive license agreement with the Tokyo Stock Exchange, Inc. (“TSE”) providing for the license to us, in exchange for a fee, of the right to use the Tokyo Stock Price Index (“TOPIX Index”), the proprietary data therein contained (“TOPIX Index Value”) and the trademarks “TOPIX”, Tokyo Stock Exchange” and “Tokyo Stock Price Index/TOPIX” (collectively, the “TOPIX Marks”) in connection with certain securities, including the notes.
The TOPIX Index Value and the TOPIX Marks are subject to the proprietary rights owned by the Tokyo Stock Exchange, Inc. and the Tokyo Stock Exchange, Inc. owns all rights and know-how relating to the TOPIX such as calculation, publication and use of the TOPIX Index Value and relating to the TOPIX Marks. The Tokyo Stock Exchange, Inc. shall reserve the rights to change the methods of calculation or publication, to cease the calculation or publication of the TOPIX Index Value or to change the TOPIX Marks or cease the use thereof. The Tokyo Stock Exchange, Inc. makes no warranty or representation whatsoever, either as to the results stemmed from the use of the TOPIX Index Value and the TOPIX Marks or as to the figure at which the TOPIX Index Value stands on any particular day. The Tokyo Stock Exchange, Inc. gives no assurance regarding accuracy or completeness of the TOPIX Index Value and data contained therein. Further, the Tokyo Stock Exchange, Inc. shall not be liable for the miscalculation, incorrect publication, delayed or interrupted publication of the TOPIX Index Value. The notes are in no way sponsored, endorsed or promoted by the Tokyo Stock Exchange, Inc. The Tokyo Stock Exchange, Inc. shall not bear any obligation to give an explanation of the notes or any advice on investments to any purchaser of the notes or to the public. The Tokyo Stock Exchange, Inc. neither selects specific stocks or groups thereof nor takes into account any needs of the issuing company or any purchaser of the notes, for calculation of the TOPIX Index Value. Including but not limited to the foregoing, the Tokyo Stock Exchange, Inc. shall not be responsible for any damage resulting from the issue and sale of the notes.
Historical High, Low and Closing Levels of the Basket Component
The level of the basket component has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the level of the basket component during any period shown below is not an indication that the basket component is more or less likely to increase or decrease at any time during the life of your notes.
The following table sets forth the quarterly high and low closing levels for the basket component, based on the daily closing level as reported by Bloomberg without independent verification. The level of the basket component on October 17, 2018 was
1,713.87
. Past performance of the basket component is not indicative of the future performance of the basket component.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Quarterly Close
|
1/1/2012
|
3/31/2012
|
872.42
|
725.24
|
854.35
|
4/1/2012
|
6/30/2012
|
856.05
|
695.51
|
770.08
|
7/1/2012
|
9/30/2012
|
778.70
|
706.46
|
737.42
|
10/1/2012
|
12/31/2012
|
859.80
|
713.95
|
859.80
|
1/1/2013
|
3/31/2013
|
1,058.10
|
871.88
|
1,034.71
|
4/1/2013
|
6/30/2013
|
1,276.03
|
991.34
|
1,133.84
|
7/1/2013
|
9/30/2013
|
1,222.72
|
1,106.05
|
1,194.10
|
10/1/2013
|
12/31/2013
|
1,302.29
|
1,147.58
|
1,302.29
|
1/1/2014
|
3/31/2014
|
1,306.23
|
1,139.27
|
1,202.89
|
4/1/2014
|
6/30/2014
|
1,269.04
|
1,132.76
|
1,262.56
|
7/1/2014
|
9/30/2014
|
1,346.43
|
1,228.26
|
1,326.29
|
10/1/2014
|
12/31/2014
|
1,447.58
|
1,177.22
|
1,407.51
|
1/1/2015
|
3/31/2015
|
1,592.25
|
1,357.98
|
1,543.11
|
4/1/2015
|
6/30/2015
|
1,679.89
|
1,528.99
|
1,630.40
|
7/1/2015
|
9/30/2015
|
1,691.29
|
1,375.52
|
1,411.16
|
10/1/2015
|
12/31/2015
|
1,605.94
|
1,442.74
|
1,547.30
|
1/1/2016
|
3/31/2016
|
1,509.67
|
1,196.28
|
1,347.20
|
4/1/2016
|
6/30/2016
|
1,407.50
|
1,204.48
|
1,245.82
|
7/1/2016
|
9/30/2016
|
1,352.67
|
1,209.88
|
1,322.78
|
10/1/2016
|
12/31/2016
|
1,552.36
|
1,301.16
|
1,518.61
|
1/1/2017
|
3/31/2017
|
1,577.40
|
1,506.33
|
1,512.60
|
4/1/2017
|
6/30/2017
|
1,624.07
|
1,459.07
|
1,611.90
|
7/1/2017
|
9/30/2017
|
1,676.17
|
1,590.71
|
1,674.75
|
10/1/2017
|
12/31/2017
|
1,831.93
|
1,673.62
|
1,817.56
|
1/1/2018
|
3/31/2018
|
1,911.07
|
1,664.94
|
1,716.30
|
4/1/2018
|
6/30/2018
|
1,815.25
|
1,703.80
|
1,730.89
|
7/1/2018
|
9/30/2018
|
1,822.44
|
1,676.20
|
1,817.25
|
10/1/2018*
|
10/17/2018*
|
1,824.03
|
1,675.44
|
1,713.87
|
* As of the date of this pricing supplement, available information for the fourth calendar quarter of 2018 includes data for the period from October 1, 2018 through October 17, 2018. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Quarterly Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2018.
The graph below illustrates the performance of the basket component from January 1, 2008 through October 17, 2018, based on information from Bloomberg.
Past performance of the basket component is not indicative of the future performance of the basket component.
The FTSE
®
100 Index (“UKX”)
The UKX is a market capitalization-weighted index of the 100 most highly capitalized U.K.-listed blue chip companies traded on the London Stock Exchange. The UKX was developed with a base level of 1,000 as of December 30, 1983. The UKX Index is calculated, published and disseminated by FTSE Russell, a company owned by the London Stock Exchange Companies (the “Exchange”) that we refer to as FTSE. Additional information on the UKX is available from the following website: ftse.com/products/indices/uk. We are not incorporating by reference the website or any material it includes in this pricing supplement. FTSE is under no obligation to continue to publish the UKX and may discontinue publication of the UKX at any time.
FTSE divides the 100 companies included in the UKX into 19 sectors: Oil & Gas, Chemicals, Basic Resources, Construction & Materials, Industrial Goods & Services, Automobiles & Parts, Food & Beverage, Personal & Household Goods, Health Care, Retail, Media, Travel & Leisure, Telecommunications, Utilities, Banks, Insurance, Real Estate, Financial Services and Technology.
Component Stock Weighting by Sector as of September 28, 2018
Sector*
|
Percentage**
|
Oil & Gas
|
17.22%
|
Banks
|
12.00%
|
Personal & Household Goods
|
11.72%
|
Health Care
|
10.58%
|
Basic Resources
|
7.93%
|
Industrial Goods & Services
|
7.09%
|
Insurance
|
5.15%
|
Media
|
4.55%
|
Travel & Leisure
|
4.27%
|
Food & Beverages
|
4.02%
|
Telecommunications
|
3.20%
|
Retail
|
3.03%
|
Utilities
|
2.88%
|
Financial Services
|
2.52%
|
Construction & Materials
|
1.56%
|
Real Estate
|
0.96%
|
Chemicals
|
0.68%
|
Technology
|
0.64%
|
* Sector designations are determined by the basket component sponsor using criteria it has selected or developed. Index sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices with different index sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices.
** Information provided by FTSE. Percentages may not sum to 100% due to rounding.
The FTSE announced that it expects to add an 11th industry, Real Estate, to the Industry Classification Benchmark after the market close on December 31, 2018.
The top ten constituent stocks of the FTSE
®
100 Index as of October 15, 2018, by weight, are: HSBC Holdings plc (6.98%); Royal Dutch Shell plc Class A (6.29%); BP p.l.c. (6.02%); Royal Dutch Shell plc Class B (5.19%); British American Tobacco p.l.c. (4.12%);
AstraZeneca PLC (3.88%); GlaxoSmithKline plc (3.85%); Diageo plc (3.39%); Unilever PLC (2.42%) and Rio Tinto plc (2.34%).
The above information was derived from information prepared by the basket component sponsor, however, the percentages we have listed above are approximate and may not match the information available on the basket component sponsor's website due to subsequent corporation actions or other activity relating to a particular stock.
UKX Composition and Selection Criteria
The UKX consists of the 100 largest U.K.-listed blue chip companies, based on full market capitalization, that pass screening tests for free-float and liquidity. The UKX is reviewed on a quarterly basis in March, June, September and December based on data from the close of business on the Tuesday before the first Friday of the review month. The FTSE Russell Europe, Middle East & Africa Regional Equity Advisory Committee, which we refer to as the Committee, meets quarterly to approve the constituents of the index. Any constituent changes are implemented after the close of business on the third Friday of the review month (i.e. effective Monday), following the expiration of the Intercontinental Exchange Futures Europe futures and options contracts.
Eligibility Standards
Only “premium listed” equity shares, as defined by the Financial Conduct Authority in its Listing Rules Sourcebook, are eligible for inclusion in the UKX. Eligible stocks must pass free-float and liquidity screens before being included in the index.
Free-Float Screen
— With regard to free-float, a stock must have a minimum free float (as described below) of 25% if the issuing company is incorporated in the United Kingdom and 50% if it is a non-United Kingdom incorporated company.
Companies with a free float of 5% or below are excluded from the UKX.
A new company may be initially included in the index with a free float outside of the above parameters so long as it has an initial free float above 5% and it is expected to meet the minimum free float requirements within 12 months of its first day of trading.
Liquidity Screen
— With regard to liquidity, each eligible stock is tested for liquidity annually in June by calculating its median daily trading per month. When calculating the median of daily trades per month of any security, a minimum of 5 trading days in each month must exist, otherwise the month is excluded from the test. Liquidity is tested from the first business day in May of the previous year to the last business day of April. The median trade is calculated by ranking each daily trade total and selecting the middle-ranking day. Any period of suspension is not included in the test. The liquidity test is applied on a pro-rata basis where the testing period is less than 12 months. A stock not presently included in the UKX that does not turnover at least 0.025% of its shares in issue (after application of any investability weightings) based on its median daily trade per month in at least ten of the 12 months prior to the annual index review in June will not be eligible for inclusion until the next annual review. An existing constituent failing to trade at least 0.015% of its shares in issue (after the application of any investability weightings) based on its median daily trade per month for at least eight of the 12 months prior to the annual index review will be removed from the UKX and will not be eligible for inclusion until the next annual review. New issues must have a minimum trading record of at least 20 trading days prior to the review date and that they have turned over at least 0.025% of their shares in issue (after the application of any investability weightings) based on their median daily trade each month, on a pro-rata basis since premium listing or UK Nationality allocation date if non-UK incorporated.
Price
— With regard to price, the Committee must be satisfied that an accurate and reliable price exists for purposes of determining the market value of a company. To be eligible for inclusion in the UKX, a stock must have a full listing on the London Stock Exchange with a Sterling-denominated price on SETS (SETS is the London Stock Exchange’s trading service for, among other securities, those included in the
UKX
).
Market Capitalization Ranking
— Eligible stocks that pass the free-float and liquidity screens and that have an accurate and reliable price are ranked by the Committee according to their market capitalization before the application of any adjustments based on the extent to which the shares are publicly traded. Only the quoted equity capital of a constituent company will be included in the calculation of its market capitalization. Where a company has two or more classes of equity, secondary lines will be included in the calculation of the market capitalization of the company only if those lines are significant and liquid. The Committee will add a stock to the UKX at the quarterly review if it has risen to 90th place or above on the full market capitalization rankings and will delete a stock at the quarterly review if it has fallen to 111th place or below on these rankings. Market capitalization rankings are calculated using data as of the close of business on the day before the review.
100 Constituent Limitation
— The UKX always contains 100 constituents. If a greater number of companies qualify to be inserted in the index than qualify to be removed, the lowest ranking constituents of the index will be removed so that the total number of stocks remains at 100 following inclusion of those that qualify to be inserted. Likewise, if a greater number of companies qualify to be removed than to be inserted at the quarterly review, securities of the highest ranking companies that are then not included in the UKX will be inserted to match the number of companies being removed, in order to maintain the total at 100.
Minimum Voting Rights Screen
— A company is required to have greater than 5% of its voting rights (aggregated across all of its equity securities, including, where identifiable, those that are not listed or trading) in the hands of unrestricted shareholders. Current constituents of the UKX who do not meet this requirement will have until the September 2022 review to meet the requirement or they will be removed from the UKX.
UKX Calculation
The UKX is a market capitalization weighted index. This means that the price movement of a larger company (that is, one representing larger percentage of the index) will have a greater effect on the price of the index than will the price movement of a smaller company (that is, one representing a smaller percentage of the index).
The value of the UKX is represented by a fraction, (a) the numerator of which is the
sum
of the
product
of (i) the price of each component stock, (ii) the number of shares issued for each such component and (iii) a free float factor for each such component (described more fully below), and (b) the denominator of which is a divisor. The divisor represents the total issued share capital of the index on the base date; the divisor may be adjusted as necessary to allow for changes in issued share capital of individual securities without distorting the index.
As noted above, a free float factor is applied to each index component. By employing this approach, FTSE uses the investable market capitalization, not the total market capitalization, of each constituent to determine the value of the UKX. Investable market capitalization depends on free float. The following are excluded from free float: shares directly owned by state, regional, municipal and local governments (excluding shares held by independently managed pension schemes for governments); shares held by sovereign wealth funds where each holding is 10% or greater of the total number of shares in issue; shares held by directors, senior executives and managers of the company, and by their family and direct relations, and by companies with which they are affiliated; shares held within employee share plans; shares held by public companies or by non-listed subsidiaries of public companies; shares held by founders, promoters, former directors, founding venture capital and private equity firms, private companies and individuals (including employees) where the holding is 10% or greater of the total number of shares in issue; all shares where the holder is subject to a lock-in clause (for the duration of that clause, after which free float changes resulting from the expiration of a lock-in clause will be implemented at the next quarterly review subsequent to there being a minimum of 20 business days between the expiration date of such lock-in clause and the Tuesday before the first Friday of the review month; if the previously locked-in shares are sold by way of a corporate event (such as a secondary offering), any change to the free float will be applied T+2 following completion and therefore will not be subject to the minimum 20 business day rule); shares held by an investor, investment company or an investment fund that is actively participating in the management of a company or is holding shares for publicly announced strategic reasons or that has successfully placed a current member to the board of directors of a company; and shares that are subject to ongoing contractual agreements (such as swaps) where they would ordinarily be treated as restricted. In addition, while portfolio holdings such as pension funds, insurance funds or investment companies will generally not be considered as restricted from free float, where a single portfolio holding is 30% or greater it will be regarded as strategic and therefore restricted (and will remain restricted until the holding falls below 30%).
The UKX is recalculated whenever errors or distortions occur that are deemed to be significant. Users of the UKX are notified through appropriate media.
Index Maintenance
The UKX is reviewed quarterly for changes in free float. A constituent’s free float is updated during the June review regardless of the size of the change. At the March, September and December quarterly updates, a constituent with a free float greater than 15% will have its free float updated if it moves by more than three percentage points above or below the existing free float. A constituent with a free float of 15% or below will be subject to a one percentage point threshold. Free float changes resulting from corporate events will not be subject to the percentage change requirements, and will be implemented in line with the event. If a constituent is the target of a tender offer but the conditions for removal from the index are not met, FTSE may implement a free float change when (i) the minimum acceptance level as stipulated by the acquirer
has been met, (ii) shareholders have validly tendered and the shares have been irrevocably accepted for payment, and (iii) all pertinent offer conditions have been reasonably met.
At each quarterly review, the Committee publishes a Reserve List containing the six highest ranking non- constituents of the UKX. The Reserve List will be used in the event that one or more constituents are deleted from the index during the period up to the next quarterly review. If a merger or takeover results in one index constituent being absorbed by another constituent, the resulting company will remain a constituent and a vacancy will be created. This vacancy will be filled by selecting the highest ranking security in the Reserve List as at the close of the UKX calculation two days prior to the deletion and related index adjustment. If an index constituent is taken over by a non-constituent company, the original constituent will be removed and replaced by the highest ranking non-constituent on the Reserve List. Any eligible company resulting from the takeover will be eligible to become the replacement company if it is ranked higher than any other company on the Reserve List. If a constituent company is split to form two or more companies, then the resulting companies will be eligible for inclusion as UKX constituents, based on their respective full market capitalizations (before the application of any investability weightings), provided that they qualify in all other respects. Any eligible company resulting from a split that, after 20 business days, has no available market price and no known trading date will be removed. If a split results in the inclusion of an ineligible non-equity security, such security will remain in the UKX for two trading days and then be removed. If a constituent is delisted or ceases to have a firm quotation, it will be removed from the list of constituents and be replaced by the highest ranking eligible company from the Reserve List. If a constituent is the target of a tender offer, it will normally be removed from the index with a minimum T+2 notice when either (a) offer acceptances reach 90%, shareholders have validly tendered and the shares have been irrevocably accepted for payment, and all pertinent offer conditions have been reasonably met and the acquirer has not explicitly stated that it does not intend to acquire the remaining shares; or (b) offer acceptances are below 90% and there is reason to believe that the remaining free float is under 5% based on information available at the time or, following completion of the offer, the acquirer has stated that the offer has been declared wholly unconditional.
Capitalization Adjustments
A secondary line of a company will be considered for index inclusion if its total market capitalization before the application of any adjustments based on the extent to which the shares are publicly traded, is greater than 25% of the total market capitalization of the company’s principal line and the secondary line is eligible, in its own right. Should the total market capitalization of a secondary line fall below 20% of the total market capitalization of the company’s principal line at an annual review, the secondary line will be deleted from the UKX unless its total market capitalization remains above the qualification level for continued inclusion as a constituent of the UKX at that review. Where a company has partly paid shares, these shares, together with the outstanding call(s), are both included in the UKX.
Share Weighting Changes — For the purposes of computing the UKX, to prevent a large number of insignificant weighting changes, the number of shares in issue for each constituent security is amended only when the total shares in issue held within the index system changes by more than 1% on a cumulative basis. Changes will be made quarterly after the close of business on the third Friday of March, June, September and December. The data for these changes will be taken from the close of business on the third Wednesday of the month prior to the review month.
If a corporate action is applied to a constituent which involves a change in the number of shares in issue, the change in shares will be applied simultaneously with the corporate action.
Shares in Issue Increase — When a company increases the number of shares it has in issue, the market capitalization of that company increases and the total market capitalization will rise accordingly. The index divisor is adjusted to maintain a constant index value.
Weighting Amendments — The market capitalization of a company is adjusted to take account of various corporate actions. To prevent the value of the UKX from changing due to such an event, all corporate actions which affect the market capitalization of the UKX require an offsetting divisor adjustment. By adjusting the divisor, the value of the UKX remains constant before and after the event. Below is a summary of the more frequent corporate actions and their resulting adjustment.
Type of Corporate Action
|
Adjustment
|
Adjustment to Divisor
|
Issue of new shares
|
Share weighting increased
|
Yes
|
Bonus issue of same stock or stock split
|
Number of shares held before issue or split divided by number of shares held after issue or split
|
No
|
Rights Issues/Entitlement Offers -These are an entitlement issued to shareholders which give them the right to buy additional shares directly from the company in proportion to existing holdings. FTSE will only adjust the index to account for a right if the subscription price of the right is at a discount to the market price of the stock. Provided FTSE has been alerted to the rights offer prior to the ex-date, a price adjustment and share increase proportionate to the terms of the offer will be implemented before the open on the ex-date. The rights become attached to the shares on the ex-date.
Where the rights issue/entitlement offer subscription price remains unconfirmed on the ex-date, FTSE will estimate the subscription price using the value being raised and the offer terms. If the rights issue is greater than ten to one, FTSE will consider this “highly dilutive” and, to facilitate replication, will include on the ex-date a separate temporary line to reflect the market value of the rights (together with a temporary line at a fixed value to reflect the subscription cash) until the end of the subscription period, at which point the temporary lines will be deleted and the new shares will be consolidated into the existing share line.
Where the shares being issued are not entitled to the next dividend, FTSE will deviate from the standard index treatment and include on the ex-date a separate temporary line to reflect the market value of the rights (together with a temporary line at a fixed value to reflect the subscription cash). If the dividend ex-date occurs prior to the end of the rights subscription period, the temporary lines will be deleted and the new shares assimilated into the ordinary line at the open on the dividend ex-date. If the dividend ex-date occurs after the expiration of the rights subscription period, the temporary rights and cash line will be deleted after the close on the last day of the rights subscription period, and replaced by a temporary dummy line equal to the ordinary line close price minus the upcoming dividend. On the open of the ex-dividend date, the dummy line is deleted and the shares are aggregated with the ordinary line.
In the event the rights issue involves a non-constituent (including non-equity) and the value of the right cannot be determined, there will be no adjustment on the ex-date. If the rights are scheduled to trade, a rights line will be added to the index at a value of zero on the ex-date and will be deleted from the index at the market price when it commences trading, with the T+5 notice. If the rights have not commenced trading within 20 business days of the ex-date, they will be removed at zero value. No cash temporary line will be included as the index will not subscribe to the rights.
Where a company announces an open offer or a rights issue with an ex-entitlement date on the same day, FTSE will apply an index adjustment either before the market-open on the ex-entitlement day or as an intra-day adjustment as soon as possible thereafter. The adjustment will be applied based on the previous day’s closing price with the new shares included in the index weighting at the open offer price.
In the case of an accelerated rights offer, where the ex-date is theoretical and typically not quoted by the exchange, shares are increased and a price adjustment is applied according to the terms of the offer before the open on the day the security resumes trading.
Market Disruption
If there is a system problem or situation in the market that is judged by FTSE to affect the quality of the constituent prices at any time when an index is being calculated, the index will be declared indicative (e.g. normally where a “fast market” exists in the equity market). The message “IND” will be displayed against the index value calculated by FTSE.
FTSE
®
”, “FT-SE
®
”, “Footsie
®
”, “FTSE4Good
®
” and “techMARK” are trademarks owned by the Exchange and are used by FTSE under license. “All-World
®
”, “All-Share
®
” and “All-Small
®
” are trademarks of FTSE.
The UKX is calculated by FTSE. FTSE does not sponsor, endorse or promote this product and is not in any way connected to it and does not accept any liability in relation to its issue, operation and trading.
All copyright and database rights in the index values and constituent list vest in FTSE.
License Agreement
We have entered into a non-exclusive license agreement with FTSE, which allows us and our affiliates, in exchange for a fee, to use the FTSE 100 Index in connection with the issuance of certain securities, including the notes. We are not affiliated with FTSE; the only relationship between FTSE and us is the licensing of the use of the FTSE 100 Index and trademarks relating to the FTSE 100 Index. All rights to the FTSE 100 Index are owned by FTSE, the publisher of the FTSE 100 Index.
The notes are not in any way sponsored, endorsed, sold or promoted by FTSE or by the Exchange or by The Financial Times Limited (“FT”) and neither FTSE nor the Exchange nor FT makes any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 Index and/or the figure at which the FTSE 100 Index stands at any particular time on any particular day or otherwise. The FTSE 100 Index is compiled and calculated by FTSE. However, neither FTSE nor the Exchange nor FT shall be liable (whether in negligence or otherwise) to any person for any error in the FTSE 100 Index and neither FTSE nor the Exchange nor FT shall be under any obligation to advise any person of any error therein. “FTSETM”, “FTSE
®
”, “FT-SE
®
”, and “Footsie
®
” are trademarks of the Exchange and FT and are used by FTSE under license. “All-World”, “All-Share” and “All-Small” are trademarks of FTSE.
Historical High, Low and Closing Levels of the Basket Component
The level of the basket component has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the level of the basket component during any period shown below is not an indication that the basket component is more or less likely to increase or decrease at any time during the life of your notes.
The following table sets forth the quarterly high and low closing levels for the basket component, based on the daily closing level as reported by Bloomberg without independent verification. The level of the basket component on October 17, 2018 was 7,054.60. Past performance of the basket component is not indicative of the future performance of the basket component.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Quarterly Close
|
1/1/2012
|
3/31/2012
|
5,965.58
|
5,612.26
|
5,768.45
|
4/1/2012
|
6/30/2012
|
5,874.89
|
5,260.19
|
5,571.15
|
7/1/2012
|
9/30/2012
|
5,915.55
|
5,498.32
|
5,742.07
|
10/1/2012
|
12/31/2012
|
5,961.59
|
5,605.59
|
5,897.81
|
1/1/2013
|
3/31/2013
|
6,529.41
|
6,027.37
|
6,411.74
|
4/1/2013
|
6/30/2013
|
6,840.27
|
6,029.10
|
6,215.47
|
7/1/2013
|
9/30/2013
|
6,681.98
|
6,229.87
|
6,462.22
|
10/1/2013
|
12/31/2013
|
6,777.70
|
6,337.91
|
6,749.09
|
1/1/2014
|
3/31/2014
|
6,865.86
|
6,449.27
|
6,598.37
|
4/1/2014
|
6/30/2014
|
6,878.49
|
6,541.61
|
6,743.94
|
7/1/2014
|
9/30/2014
|
6,877.97
|
6,567.36
|
6,622.72
|
10/1/2014
|
12/31/2014
|
6,750.76
|
6,182.72
|
6,566.09
|
1/1/2015
|
3/31/2015
|
7,037.67
|
6,366.51
|
6,773.04
|
4/1/2015
|
6/30/2015
|
7,103.98
|
6,520.98
|
6,520.98
|
7/1/2015
|
9/30/2015
|
6,796.45
|
5,898.87
|
6,061.61
|
10/1/2015
|
12/31/2015
|
6,444.08
|
5,874.06
|
6,242.32
|
1/1/2016
|
3/31/2016
|
6,203.17
|
5,536.97
|
6,174.90
|
4/1/2016
|
6/30/2016
|
6,504.33
|
5,923.53
|
6,504.33
|
7/1/2016
|
9/30/2016
|
6,941.19
|
6,463.59
|
6,899.33
|
10/1/2016
|
12/30/2016
|
7,142.83
|
6,693.26
|
7,142.83
|
1/1/2017
|
3/31/2017
|
7,429.81
|
7,099.15
|
7,322.92
|
4/1/2017
|
6/30/2017
|
7,547.63
|
7,114.36
|
7,312.72
|
7/1/2017
|
9/30/2017
|
7,542.73
|
7,215.47
|
7,372.76
|
10/1/2017
|
12/31/2017
|
7,687.77
|
7,300.49
|
7,687.77
|
1/1/2018
|
3/31/2018
|
7,778.64
|
6,888.69
|
7,056.61
|
4/1/2018
|
6/30/2018
|
7,877.45
|
7,030.46
|
7,636.93
|
7/1/2018
|
9/30/2018
|
7,776.65
|
7,273.54
|
7,510.20
|
10/1/2018*
|
10/17/2018*
|
7,510.28
|
6,995.91
|
7,054.60
|
* As of the date of this pricing supplement, available information for the fourth calendar quarter of 2018 includes data for the period from October 1, 2018 through October 17, 2018. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Quarterly Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2018.
The graph below illustrates the performance of the basket component from January 1, 2008 through October 17, 2018, based on information from Bloomberg.
Past performance of the basket component is not indicative of the future performance of the basket component.
Swiss Market Index (“SMI”)
The SMI:
·
|
was first launched with a base level of 1,500 as of June 30, 1988; and
|
·
|
is sponsored, calculated, published and disseminated by SIX Group Ltd., certain of its subsidiaries, and the Management Committee of the SIX Swiss Exchange (the “Exchange”).
|
The SMI is a price return float-adjusted market capitalization-weighted index of the 20 largest stocks traded on the Swiss Stock Exchange. The Exchange has outsourced the calculation and determination of index constituents as described below, to a specialized third party financial service provider. All matters regarding the SMI that require a decision, including regarding processes outsourced to STOXX, are submitted to the Management Committee. The Management Committee of SIX Swiss Exchange is supported by an Index Commission (advisory board) in all index-related matters, notably in connection with changes to the SMI rules and adjustments, additions and exclusions outside of the established review and acceptance period. The Index Commission meets at least twice annually.
As of September 27, 2018, the top ten constituents by weight in the SMI (and their respective weights) were: Commonwealth Bank of Australia (7.37%), BHP Billiton Ltd. (6.17%), CSL Ltd. (6.15%), Westpac Banking Corp. (5.73%), ANZ Banking Group (4.94%), National Australia Bank Ltd. (4.57%), Wesfarmers Ltd. (3.44%), Macquarie Group Ltd. (2.41%), Woolworths Ltd. (2.23%) and Telstra Corporation Ltd. (2.15%). As of September 27, 2018, the ICB industry sectors in the SMI (and their respective weights) were: Financials (32.19%), Materials (18.04%), Health Care (8.62%), Consumer Staples (7.93%), Industrials (7.62%), Real Estate (7.57%), Energy (6.00%), Consumer Discretionary (4.19%), Communication Services (3.80%), Information Technology (2.15%) and Utilities (1.89%) (may not sum to 100% due to rounding). Sector designations are determined by the basket component sponsor using criteria it has selected or developed. Index sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices with different index sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices. The above index weighting information was provided by SMI according to our license agreement.
SMI
®
Composition and Selection Criteria
The SMI is comprised of the 20 highest ranked stocks traded on the Exchange that have a free float of 20% or more and that are not investment companies. The equity universe is largely Swiss domestic companies, although in some cases foreign issuers with a primary listing on the Exchange that submit to certain reporting requirements or investment companies that do not hold any shares of any other eligible company and that have a primary listing on the Exchange may be included.
The ranking of each security is determined by a combination of the following criteria:
·
|
average free-float market capitalization (compared to the capitalization of the entire SIX Exchange index family), and
|
·
|
cumulative on order book turnover (compared to the total turnover of the SIX Exchange index family).
|
Each of these two factors is assigned a 50% weighting in ranking the stocks eligible for the SMI.
The SMI is reconstituted annually after prior notice of at least two months on the third Friday in September after the close of trading. For companies that were listed during the last 12 months, the cumulated on order book turnover generally excludes the first 5 trading days in the calculation. The reconstitution is based on data from the previous July 1 through June 30. Provisional interim selection (ranking) lists are also published following the end of the third, fourth and first financial quarters.
In order to reduce turnover, an index constituent will not be replaced unless it is ranked below 23 or, if it is ranked 21 or 22, if another share ranks 18 or higher. If a company has primary listings on several exchanges and less than 50% of that company’s total turnover is generated on the Exchange, it will not be included in the SMI unless it ranks at least 18 or better on the selection list solely on the basis of its turnover on those exchanges on which it has a primary listing (i.e., without considering its free float).
Maintenance of the SMI
Constituent Changes
.
In the case of major market changes as a result of capital events such as mergers or new listings, the Management Committee of SIX Swiss Exchange can decide at the request of the Index Commission that a security should be admitted to the SMI outside the annual review period as long as it clearly fulfills the criteria for inclusion. For the same reasons, a security can also be excluded if the requirements for admission to the SMI are no longer fulfilled. As a general rule, extraordinary acceptances into the SMI take place after a three-month period on a quarterly basis after the close of trading on the third Friday of March, June, September and December (for example, a security listed on or before the 5
th
trading day prior to the end of November cannot be included until the following March). If a delisting has been confirmed, it will be removed from the SMI at the next upcoming ordinary quarterly adjustment date (March, June, September and December) with a notice period of at least five days. An announced insolvency is deemed to be an extraordinary event and the security will be removed from the SMI with five trading days’ prior notice if the circumstances permit such notice.
Capped Weightings and Intra-Quarter Breaches.
The weight of any index constituent that exceeds a weight of 18% within the index is reduced to that value at each ordinary quarterly adjustment date by applying a capping factor to the calculation of such constituent’s free float market capitalization. A constituent’s number of shares and free float figure are used to determine its capping factor. The excess weight (the difference of the original weight minus the capped weight) is distributed proportionally across the other index constituents. The constituents are also capped to 18% as soon as two index constituents exceed a weight of 20% (an “intra-quarter breach”). If an intra-quarter breach is observed after the close of the markets, the new capping factors are implemented after the close of the following trading day. The weights of the largest components are therefore set again to be around 18% at the subsequent market open. In order to achieve a capped weighting while attempting to not cause market distortion, a stepwise reduction is conducted based on the ordinary quarterly index adjustment reviews to ensure that no change in the weight (as a result of capping) from one review to the next exceeds 3%. The transition period is in effect until no component has a weight larger than 18%. In the case of an intraquarter breach, the weights are limited to the last defined weights as of the prior review.
Number of Shares and Free Float
.
The securities included in the SMI are weighted according to their free float. This means that shares deemed to be in firm hands are subtracted from the total market capitalization of that company. The free float is calculated on the basis of outstanding shares. Issued and outstanding equity capital is, as a rule, the total amount of equity capital that has been fully subscribed and wholly or partially paid in and documented in the Commercial Register. Not counting as issued and outstanding equity capital are the approved capital and the conditional capital of a company. The free float is calculated on the basis of listed shares only. If a company offers several different categories of listed participation rights, each is treated separately for the purposes of index calculation.
Shares held deemed to be in firm hands are shareholdings that have been acquired by one person or a group of persons in companies domiciled in Switzerland and which, upon exceeding 5%, have been reported to the Exchange. Shares of persons and groups of persons who are subject to a shareholder agreement which is binding for more than 5% of the listed shares or who, according to publicly known facts, have a long-term interest in a company are also deemed to be in firm hands.
For the calculation of the number of shares in firm hands, the Exchange may also use other sources than the reports submitted to it. In particular, the Exchange may use data gained from issuer surveys that it conducts itself.
In general, shares held by custodian nominees, trustee companies, investment funds, pension funds and investment companies are deemed free-floating regardless of whether a report has been made to the Exchange. The Exchange classifies at its own discretion persons and groups of persons who, because of their area of activity or the absence of important information, cannot be clearly assigned.
The free-float rule applies only to bearer shares and registered shares. Capital issued in the form of participation certificates (”Partizipationsscheine”) and bonus certificates (”Genussscheine”) is taken into full account in calculating the SMI because it does not confer voting rights.
The number of securities in the SMI and the free-float factors are adjusted after the close of trading on four adjustment dates per year, the third Friday of March, June, September and December. Such changes are provisionally pre-announced at least one month before the adjustment date, although the basket component sponsor reserves the right to take account of recent changes up to five trading days before the adjustment date in the actual adjustment.
In order to avoid frequent slight changes to the weighting and to maintain the stability of the SMI, any extraordinary change of the total number of outstanding securities or the free float will only result in an extraordinary adjustment if it exceeds 10% and 5% respectively, occurs from one trading to the next and is in conjunction with a corporate action.
After a takeover, the Exchange may, in exceptional cases, adjust the free float of the company in question upon publication of the end results after a five-day notification period or may exclude the security from the relevant index family. When an insolvency has been announced, an extraordinary adjustment will be made and the affected security will be removed from the SMI after five trading days’ notice, and a replacement will be determined based on the current selection list.
The basket component sponsor reserves the right to make an extraordinary adjustment, in exceptional cases, without observing the notification period.
Calculation of the Index
The basket component sponsor calculates the SMI using the “Laspeyres formula,” with a weighted arithmetic mean of a defined number of securities issues. The formula for calculating the index value can be expressed as follows:
Swiss Market Index
|
=
|
Free Float Market Capitalization of the SMI
®
|
|
|
|
Divisor
|
|
The “free float market capitalization of the SMI” is equal to the sum of the product of the last-paid price, the number of shares, the free float factor, the capping factor and, if a foreign stock is included, the current CHF exchange rate as of the time the index value is being calculated. (As of December 12, 2015, all stocks in the SMI are denominated in Swiss Francs, known as CHF). The index value is calculated in real time and is updated whenever a trade is made in a component stock. Where any component stock price is unavailable on any trading day, the Exchange will use the last reported price for such component stock. Only prices from the Exchange’s electronic order book are used in calculating the SMI.
Divisor Value and Adjustments
The divisor is a technical number used to calculate the SMI and is adjusted to reflect changes in market capitalization due to corporate events.
Below are common corporate events and their impact on the divisor of the SMI.
Event
|
|
Divisor Change?
|
Regular cash dividend
|
|
No
|
Repayments of capital through reduction of a share’s par value
|
|
No
|
Special dividends, anniversary bonds and other extraordinary payments that, contrary to the company’s usual dividend policy, are paid out or declared extraordinary.
|
|
Yes
|
Share dividends (company’s own shares)
|
|
No
|
Share dividend (shares of another company)
|
|
Yes
|
The basket component sponsor reserves the right to respond to any other corporate events with divisor adjustments or, in extraordinary circumstances, to depart from the provisions set forth above.
License Agreement
SIX Swiss Exchange AG (“SIX Swiss Exchange”) and its licensors (“Licensors”) have no relationship to the Bank, other than the licensing of the SMI Index and the related trademarks for use in connection with the notes in exchange for a fee.
SIX Swiss Exchange and its Licensors do
not
:
¨
|
sponsor, endorse, sell or promote the notes.
|
¨
|
recommend that any person invest in the notes or any other securities.
|
¨
|
have any responsibility or liability for or make any decisions about the timing, amount or pricing of the notes.
|
¨
|
have any responsibility or liability for the administration, management or marketing of the notes.
|
¨
|
consider the needs of the notes or the owners of the notes in determining, composing or calculating the SMI Index or have any obligation to do so.
|
SIX Swiss Exchange and its Licensors give no warranty, and exclude any liability (whether in negligence or otherwise), in connection with the notes or their performance.
SIX Swiss Exchange does not assume any contractual relationship with the purchasers of the notes or any other third parties.
Specifically,
¨
|
SIX Swiss Exchange and its Licensors do not give any warranty, express or implied, and exclude any liability for:
|
o
|
The results to be obtained by the notes, the owner of the notes or any other person in connection with the use of the SMI Index and the data included in the SMI Index;
|
o
|
The accuracy, timeliness, and completeness of the SMI Index and its data;
|
o
|
The merchantability and the fitness for a particular purpose or use of the SMI Index and its data; or
|
o
|
The performance of the notes generally.
|
¨
|
SIX Swiss Exchange and its Licensors give no warranty and exclude any liability, for any errors, omissions or interruptions in the SMI Index or its data.
|
¨
|
Under no circumstances will SIX Swiss Exchange or its Licensors be liable (whether in negligence or otherwise) for any lost profits or indirect, punitive, special or consequential damages or losses, arising as a result of such errors, omissions or interruptions in the SMI Index or its data or generally in relation to the notes, even in circumstances where SIX Swiss Exchange or its Licensors are aware that such loss or damage may occur.
|
The licensing agreement between
The Bank and SIX Swiss Exchange is solely for their benefit and not for the benefit of the owners of the notes or any other third parties.
Historical High, Low and Closing Levels of the Basket Component
The level of the basket component has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the level of the basket component during any period shown below is not an indication that the basket component is more or less likely to increase or decrease at any time during the life of your notes.
The following table sets forth the quarterly high and low closing levels for the basket component, based on the daily closing level as reported by Bloomberg without independent verification. The level of the basket component on October 17, 2018 was
8,750.35
. Past performance of the basket component is not indicative of the future performance of the basket component.
|
|
|
|
|
1/1/2012
|
3/31/2012
|
6,341.33
|
5,970.49
|
6,235.51
|
4/1/2012
|
6/30/2012
|
6,299.38
|
5,713.34
|
6,066.86
|
7/1/2012
|
9/30/2012
|
6,613.45
|
6,109.41
|
6,495.88
|
10/1/2012
|
12/31/2012
|
6,973.69
|
6,508.66
|
6,822.44
|
1/1/2013
|
3/31/2013
|
7,864.39
|
7,020.46
|
7,813.67
|
4/1/2013
|
6/30/2013
|
8,407.61
|
7,249.47
|
7,683.04
|
7/1/2013
|
9/30/2013
|
8,105.39
|
7,675.29
|
8,022.60
|
10/1/2013
|
12/31/2013
|
8,351.38
|
7,755.26
|
8,202.98
|
1/1/2014
|
3/31/2014
|
8,532.99
|
8,092.53
|
8,453.82
|
4/1/2014
|
6/30/2014
|
8,752.86
|
8,280.53
|
8,554.52
|
7/1/2014
|
9/30/2014
|
8,840.17
|
8,274.65
|
8,835.14
|
10/1/2014
|
12/31/2014
|
9,212.85
|
8,057.54
|
8,983.37
|
1/1/2015
|
3/31/2015
|
9,396.29
|
7,899.59
|
9,128.98
|
4/1/2015
|
6/30/2015
|
9,471.46
|
8,780.91
|
8,780.91
|
7/1/2015
|
9/30/2015
|
9,526.79
|
8,278.07
|
8,513.41
|
10/1/2015
|
12/31/2015
|
9,016.56
|
8,375.31
|
8,818.09
|
1/1/2016
|
3/31/2016
|
8,701.46
|
7,496.62
|
7,807.89
|
4/1/2016
|
6/30/2016
|
8,292.45
|
7,594.49
|
8,020.15
|
7/1/2016
|
9/30/2016
|
8,320.99
|
7,898.21
|
8,139.01
|
10/1/2016
|
12/30/2016
|
8,259.45
|
7,593.20
|
8,219.87
|
1/1/2017
|
3/31/2017
|
8,704.39
|
8,229.01
|
8,658.89
|
4/1/2017
|
6/30/2017
|
9,127.61
|
8,529.28
|
8,906.89
|
7/1/2017
|
9/30/2017
|
9,176.99
|
8,814.54
|
9,157.46
|
10/1/2017
|
12/31/2017
|
9,452.32
|
9,084.04
|
9,381.87
|
1/1/2018
|
3/31/2018
|
9,611.61
|
8,509.29
|
8,740.97
|
4/1/2018
|
6/30/2018
|
9,000.89
|
8,456.95
|
8,609.30
|
7/1/2018
|
9/30/2018
|
9,201.22
|
8,529.59
|
9,087.99
|
10/1/2018*
|
10/17/2018*
|
9,175.21
|
8,639.19
|
8,750.35
|
* As of the date of this pricing supplement, available information for the fourth calendar quarter of 2018 includes data for the period from October 1, 2018 through October 17, 2018. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Quarterly Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2018.
The graph below illustrates the performance of the basket component from January 1, 2008 through October 17, 2018, based on information from Bloomberg.
Past performance of the basket component is not indicative of the future performance of the basket component
.
S&P/ASX 200 (“AS51”)
The AS51:
·
|
was first launched in 1979 by the Australian Securities Exchange and was acquired and re-launched by its current basket component sponsor on April 3, 2000; and
|
·
|
is sponsored, calculated, published and disseminated by S&P Dow Jones Indices LLC (“S&P”).
|
The AS51 includes 200 companies and covers approximately 80% of the Australian equity market by float-adjusted market capitalization. As discussed below, the S&P/ASX 200 is not limited solely to companies having their primary operations or headquarters in Australia or to companies having their primary listing on the Australian Securities Exchange (the “ASX”). All ordinary and preferred shares (if such preferred shares are not of a fixed income nature) listed on the ASX, including secondary listings, are eligible for the AS51. Hybrid stocks such as convertible stocks, bonds, warrants, preferred stock that provides a guaranteed fixed return and listed investment companies are not eligible for inclusion. Stocks currently under consideration for merger or acquisition are not eligible for inclusion or promotion to the AS51.
As of September 28, 2018, the top 10 component stocks by weight were the following: Commonwealth Bank of Australia, BHP Billiton Ltd., Westpac Banking Corp., CSL Ltd., ANZ Banking Group, National Australia Bank Ltd., Wesfarmers Ltd., Macquarie Group Ltd., Telstra Corp Ltd., and Woolworths Group Ltd.
As of September 28, 2018 the S&P/ASX 200 Index’s top holdings were stocks of companies in the following industry sectors: Financials (32.4%), Materials (18.0%), Health Care (8.6%), Consumer Staples (7.9%), Industrials (7.6%), Real Estate (7.5%), Energy (6.0%), Consumer Discretionary (4.2%), Communication Services (3.8%), Information Technology (2.1%) and Utilities (1.9%). Sector designations are determined by the basket component sponsor using criteria it has selected or developed. Index sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices with different index sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices.
As of the close of business on September 21, 2018, the S&P and MSCI, Inc. updated the Global Industry Classification Sector structure. Among other things, the update broadened the Telecommunications Services sector and renamed it the Communication Services sector. The renamed sector includes the previously existing Telecommunication Services Industry group, as well as the Media Industry group, which was moved from the Consumer Discretionary sector and renamed the Media & Entertainment Industry group. The Media & Entertainment Industry group contains three industries: Media, Entertainment and Interactive Media & Services. The Media industry continues to consist of the Advertising, Broadcasting, Cable & Satellite and Publishing sub-industries. The Entertainment industry contains the Movies & Entertainment sub-industry (which includes online entertainment streaming companies in addition to companies previously classified in such industry prior to September 21, 2018) and the Interactive Home Entertainment sub-industry (which includes companies previously classified in the Home Entertainment Software sub-industry prior to September 21, 2018 (when the Home Entertainment Software sub-industry was a sub-industry in the Information Technology sector)), as well as producers of interactive gaming products, including mobile gaming applications). The Interactive Media & Services industry and sub-industry includes companies engaged in content and information creation or distribution through proprietary platforms, where revenues are derived primarily through pay-per-click advertisements, and includes search engines, social media and networking platforms, online classifieds and online review companies. The Global Industry Classification Sector structure changes are effective for the S&P/ASX 200 Index as of the open of business on September 24, 2018 to coincide with the September 2018 quarterly rebalancing.
As of September 28, 2018, the countries of domicile included in the AS51 and their relative weights were: Australia (97.2%), New Zealand (1.2%), United States (0.7%), France (0.6%) and United Kingdom (0.3%).
The S&P/ASX 200 Index is intended to provide exposure to the largest 200 eligible securities that are listed on the ASX by float-adjusted market capitalization. Constituent companies for the S&P/ASX 200 Index are chosen based on market capitalization, public float and liquidity. All index-eligible securities that have their primary or secondary listing on the ASX are included in the initial selection of stocks from which the 200 component stocks may be selected.
The float-adjusted market capitalization of companies is determined based on the daily average market capitalization over the last six months. The security’s price history over the last six months, the latest available shares on issue and the investable weight factor (the "IWF”) are the factors relevant to the calculation of daily average market capitalization. The IWF is a variable that is primarily used to determine the available float of a security for ASX listed securities.
Number of Shares
When considering the AS51 eligibility of securities for inclusion or promotion into S&P/ASX indices, the number of index securities under consideration is based upon the latest available ASX quoted securities. For domestic securities (companies incorporated in Australia and traded on the ASX, companies incorporated overseas but exclusively listed on the ASX and companies incorporated overseas and traded on other markets but most of its trading activity is on the ASX), this figure is purely based upon the latest available data from the ASX.
Foreign-domiciled securities may quote the total number of securities on the ASX that is representative of their global equity capital; whereas other foreign-domiciled securities may quote securities on the ASX on a partial basis that represents their Australian equity capital. In order to overcome this inconsistency, S&P will quote the number of index securities that are represented by CHESS Depositary Interests (CDIs) for a foreign entity. When CDIs are not issued, S&P will use the total securities held on the Australian register (CHESS and, where supplied, the issuer sponsored register). This quoted number for a foreign entity is representative of the Australian equity capital, thereby allowing the AS51 to be reflective of the Australian market.
The number of CDIs or shares of a foreign entity quoted on the ASX can experience more volatility than is typically the case for ordinary shares on issue. Therefore, an average number on issue will be applied over a six-month period.
Where CDI information is not supplied to the ASX by the company or the company’s share register, estimates for Australian equity capital will be drawn from CHESS data and, ultimately, registry-sourced data.
IWF
All stocks in the index are assigned an IWF, which is an adjustment factor that accounts for the publicly available shares of a company. The IWF ranges between 0 and 1 and is calculated as 1 minus the percentage of shares held by strategic shareholders who possess 5% or more of issued shares. A company must have a minimum IWF of 0.3 to be eligible for index inclusion.
S&P Dow Jones Indices identifies the following shareholders whose holdings are considered to be control blocks and are subject to float adjustment:
1. Government and government agencies;
2. Controlling and strategic shareholders/partners;
3. Any other entities or individuals which hold more than 5%; excluding insurance companies, securities companies and investment funds;
4. Other restricted portions such as treasury stocks.
Liquidity Test
Only stocks that are regularly traded are eligible for inclusion. Eligible stocks are considered for index inclusion based on their stock median liquidity (median daily value traded divided by its average float-adjusted market capitalization for the last six months) relative to the market capitalization weighted average of the stock median liquidities of the 500 constituents of the All Ordinaries index, another member of the S&P/ASX index family.
Index Maintenance
S&P rebalances the AS51 constituents quarterly to ensure adequate market capitalization and liquidity based on the previous six months’ worth of data. The reference date used for the six months’ worth of trading data is the last Friday of the month prior to the rebalancing, except for the September rebalancing where the reference date for data used is the second to last Friday of August. Quarterly review changes take effect after the market closes on the third Friday of March, June, September and December. Eligible stocks are considered for index inclusion based on their float-adjusted market capitalization rank relative to the stated quota of 200 securities. For example, a stock that is currently in the S&P/ASX 300 and is ranked at 175, based on float-adjusted market capitalization, within the universe of eligible securities may be considered for inclusion into the AS51, provided that liquidity hurdles are met.
In order to limit the level of index turnover, eligible non-constituent securities will generally only be considered for index inclusion once a current constituent stock is excluded due to a sufficiently low rank and/or liquidity, based on the float-adjusted market capitalization. Potential index inclusions and exclusions need to satisfy buffer requirements in terms of the rank of the stock relative to a given index. In order to be added to the AS51, a stock must be ranked 179th or higher, and in order to be deleted from the AS51, a stock must be ranked 221st or lower. The buffers are established to limit the level of index turnover that may take place at each quarterly rebalancing. The buffers serve as guidelines for arriving at any potential constituent changes to the AS51, however, these rules can be by-passed when circumstances warrant.
Between rebalancing dates, an index addition is generally made only if a vacancy is created by an index deletion. Index additions are made according to float-adjusted market capitalization and liquidity. An initial public offering is added to the AS51 only when an appropriate vacancy occurs and is subject to proven liquidity for at least eight weeks. An exception may be made for extraordinary large offerings where sizeable trading volumes justify index inclusion.
Deletions can occur between index rebalancing dates due to acquisitions, mergers and spin-offs or due to suspension or bankruptcies. The decision to remove a stock from the AS51 will be made once there is sufficient evidence that the transaction will be completed. Stocks that are removed due to mergers & acquisitions activity are removed from the AS51 at the cash offer price for cash-only offers. Otherwise the best available price in the market is used.
Share numbers for all index constituents are updated quarterly and are rounded to the nearest thousand. The update to the number of issued shares will be considered if the change is at least 5% of the float adjusted shares or $100 million in value.
Share updates for foreign-domiciled securities will take place annually at the March rebalancing. The update to the number of index shares will only take place when the 6-month average of CDIs or the total securities held in the Australian branch of the issuer sponsored register (where supplied) and in CHESS, as of the March rebalancing, differs from the current index shares by either 5% or a market-cap dollar amount greater than A$100 million. Where CDI information is not supplied to the ASX by the company or the company’s share register, estimates for Australian equity capital will be drawn from CHESS data and, ultimately, registry-sourced data.
Intra quarter share changes are implemented at the effective date or as soon as reliable information is available; however, they will only take place in the following circumstances:
• Changes in a company’s float-adjusted shares of 5% or more due to market-wide shares issuance;
• Rights issues, bonus issues and other major corporate actions;
• Dividend Reinvestment Plan share issuances of more than A$100 million in value; and
• Share issues resulting from index companies merging and major off-market buy-backs.
Share changes due to mergers or acquisitions are implemented when the transaction occurs, even if both of the companies are not in the same index and regardless of the size of the change.
IWFs are reviewed annually as part of the September quarterly review. However, any event that alters the float of a security in excess of 5% will be implemented as soon as practicable by an adjustment to the IWF.
The function of the IWF is also to manage the AS51 weight of foreign-domiciled securities that quote shares on the basis of CDIs. Due to the volatility that is displayed by CDIs, unusually large changes in the number of CDIs on issue could result. Where this is the case, the IWF may be used to limit the effect of unusually large changes in the average number of CDIs (and, thereby, limit the potential to manipulate this figure). Where the Australian Index Committee sees fit to apply the IWF in this manner, the rationale for the decision will be announced to the market. This will be reviewed annually at the March-quarter index rebalancing date.
Index Calculation
The AS51 is calculated using a base-weighted aggregate methodology. The value of the AS51 on any day for which an index value is published is determined by a fraction, the numerator of which is the
sum
for all component stocks of the products of the price of each stock in the AS51
times
the number of shares of such stock included in the AS51
times
that stock’s IWF, and the denominator of which is the divisor, which is described more fully below.
In order to prevent the value of the AS51 from changing due to corporate actions, all corporate actions may require S&P to make an index or divisor adjustment. This helps maintain the value of the AS51 and ensures that the movement of the AS51 does not reflect the corporate actions of the individual companies that comprise the AS51.
The table below summarizes the types of index adjustments and indicates whether the corporate action will require a divisor adjustment:
Type of Corporate Action
|
|
Index Treatment
|
|
Divisor Adjustment Required
|
Cash dividend
|
|
None
|
|
No
|
|
|
|
|
|
Special Cash Dividend
|
|
Price adjustment needed
|
|
Yes
|
|
|
|
|
|
Stock dividend and/or split
|
|
Shares are multiplied by and price is divided by the split factor
|
|
No
|
Stock dividend from class A shares into existing class B shares, both of which are included in the AS51
|
|
Adjustment for price of A; adjustment for shares in B
|
|
Yes
|
Stock dividend of different class, same company and is not included in the AS51
|
|
Price adjustment
|
|
Yes
|
|
|
|
|
|
Reverse Split
|
|
Adjustment for price and shares
|
|
No
|
|
|
|
|
|
Rights Offering
|
|
Adjustment for price and shares
|
|
Yes
|
|
|
|
|
|
Rights offering for a new line
|
|
Adjustment for price
|
|
Yes
|
|
|
|
|
|
New share issuance
|
|
Adjustment for shares
|
|
Yes
|
|
|
|
|
|
Reduction of capital
|
|
Share adjustment
|
|
Yes
|
|
|
|
|
|
New addition to index
|
|
Share adjustment
|
|
Yes
|
|
|
|
|
|
Deletion from index
|
|
Share adjustment
|
|
Yes
|
|
|
|
|
|
Merger (acquisition by index company for stock)
|
|
Share increase
|
|
Yes
|
A company that is spun-off from an index constituent will be added to the index at a zero price on the ex-date. If the spun-off company is not eligible to be included in the AS51 index based on its float adjusted market capitalization then it will be removed from the AS51 at least after one day of trading regular way. In situations where an exchange is forced to close early due to unforeseen events, such as computer or electric power failures, weather conditions or other events, S&P will calculate the closing price of the indices based on (1) the closing prices published by the exchange, or (2) if no closing price is available, the last regular trade reported for each security before the exchange closed. If the exchange fails to open due to unforeseen circumstances, S&P treats this closure as a standard market holiday. The AS51 will use the prior day’s closing prices and shifts any corporate actions to the following business day. If all exchanges fail to open or in other extreme circumstances, S&P may determine not to publish the AS51 for that day.
Recalculation Policy
S&P reserves the right to recalculate and republish the S&P/ASX 200 Index at its discretion in the event one of the following issues has occurred: (1) incorrect or revised closing price of one or more constituent securities; (2) missed corporate event; (3) incorrect application of corporate action or index methodology; (4) late announcement of a corporate event; or (5) incorrect calculation or data entry error. The decision to recalculate the S&P/ASX 200 Index is made at the discretion of the index manager and/or index committee, as further discussed below. The potential market impact or disruption resulting from the potential recalculation is considered when making any such decision. In the event of an incorrect closing price, a missed corporate event or a misapplied corporate action, a late announcement of a corporate event, or an incorrect calculation or data entry error that is discovered within two trading days of its occurrence, the index manager may, at his or her discretion, recalculate the S&P/ASX 200 Index without involving the index committee. In the event any such event is discovered beyond the two trading day period, the index committee shall decide whether the S&P/ASX 200 Index should be recalculated. In the event of an incorrect application of the methodology that results in the incorrect composition and/or weighting of index constituents, the index committee shall determine whether or not to recalculate the S&P/ASX 200 Index following specified guidelines. In the event that the S&P/ASX 200 Index is recalculated, it shall be done within a reasonable timeframe following the detection and review of the issue.
Calculations and Pricing Disruptions
Prices used to calculate the S&P/ASX 200 Index are obtained from IDC and Thomson Reuters. If the relevant exchange suffers a failure or interruption, real-time calculations are halted until the exchange confirms that trading and price dissemination has resumed.
If the interruption is not resolved before the market close and the exchange publishes a list of closing prices, those prices are used to calculate the closing value of the S&P/ASX 200 Index. If no list is published, the last trade for each security before the interruption is used to calculate the closing value of the S&P/ASX 200 Index. If no trades were reported for a security, the previous close adjusted for corporate actions is used for index calculation.
In extreme circumstances, S&P may decide to delay index adjustments or not publish the S&P/ASX 200 Index.
Unexpected Exchange Closures
An unexpected market/exchange closure occurs when a market/exchange fully or partially fails to open or trading is temporarily halted. This can apply to a single exchange or to a market as a whole, when all of the primary exchanges are closed and/or not trading. Unexpected market/exchange closures are usually due to unforeseen circumstances, such as natural disasters, inclement weather, outages, or other events.
In the event of an unexpected exchange closure, S&P uses the following guidelines:
(i)
|
If an unexpected exchange closure occurs prior to the open of trading and it is indicated that trading will not open for a given day, S&P Dow Jones Indices will treat the day as an unscheduled market holiday.
|
(ii)
|
If a market disruption occurs intraday, S&P will wait for the impacted exchange to publish a list of closing prices, which will then be used to calculate the closing index values. If no list is published, the last trade for each security before the interruption is used to calculate the index closing value. If no trades were reported for a security, the previous closing price, adjusted for corporate actions, is used for index calculation.
|
License Agreement
The S&P/ASX Index is a product of S&P or its affiliates (“SPDJI”) and Australian Securities Exchange, and has been licensed for use by the Bank for a fee. Standard & Poor’s
®
and S&P
®
are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P Financial”) and Dow Jones
®
is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). ASX
®
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Historical High, Low and Closing Levels of the Basket Component
The level of the basket component has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the level of the basket component during any period shown below is not an indication that the basket component is more or less likely to increase or decrease at any time during the life of your notes.
The following table sets forth the quarterly high and low closing levels for the basket component, based on the daily closing level as reported by Bloomberg without independent verification. The level of the basket component on October 17, 2018 was 5,939.095. Past performance of the basket component is not indicative of the future performance of the basket component.
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1/1/2012
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3/31/2012
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4,343.514
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4,101.157
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4,335.242
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4/1/2012
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6/30/2012
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4,435.907
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3,985.025
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4,094.633
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7/1/2012
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9/30/2012
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4,418.360
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4,067.971
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4,387.018
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10/1/2012
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12/31/2012
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4,671.299
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4,336.848
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4,648.950
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1/1/2013
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3/30/2013
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5,146.905
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4,690.250
|
4,966.499
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4/1/2013
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6/30/2013
|
5,220.987
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4,655.960
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4,802.591
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7/1/2013
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9/30/2013
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5,307.061
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4,710.289
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5,218.877
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10/1/2013
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12/31/2013
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5,441.411
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5,062.516
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5,352.214
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1/1/2014
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3/31/2014
|
5,462.309
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5,070.311
|
5,394.831
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4/1/2014
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6/30/2014
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5,536.073
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5,358.948
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5,395.747
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7/1/2014
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9/30/2014
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5,658.511
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5,264.217
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5,292.812
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10/1/2014
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12/31/2014
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5,549.130
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5,152.343
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5,411.018
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1/1/2015
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3/31/2015
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5,975.491
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5,299.237
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5,891.505
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4/1/2015
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6/30/2015
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5,982.694
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5,422.487
|
5,459.010
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7/1/2015
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9/30/2015
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5,706.715
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4,918.429
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5,021.629
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10/1/2015
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12/31/2015
|
5,351.565
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4,909.555
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5,295.859
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1/1/2016
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3/31/2016
|
5,270.475
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4,765.346
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5,082.785
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4/1/2016
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6/30/2016
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5,408.017
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4,924.385
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5,233.375
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7/1/2016
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9/30/2016
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5,587.392
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5,197.547
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5,435.921
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10/1/2016
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12/31/2016
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5,699.068
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5,156.556
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5,665.791
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1/1/2017
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3/31/2017
|
5,896.229
|
5,610.972
|
5,864.905
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4/1/2017
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6/30/2017
|
5,956.523
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5,665.721
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5,721.494
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7/1/2017
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9/30/2017
|
5,785.102
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5,655.420
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5,681.610
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10/1/2017
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12/31/2017
|
6,088.143
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5,651.766
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6,065.129
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1/1/2018
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3/31/2018
|
6,135.807
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5,759.365
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5,759.365
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4/1/2018
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6/30/2018
|
6,232.134
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5,751.924
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6,194.633
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7/1/2018
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9/30/2018
|
6,352.236
|
6,128.717
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6,207.561
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10/1/2018*
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10/17/2018*
|
6,185.486
|
5,837.100
|
5,939.095
|
* As of the date of this pricing supplement, available information for the fourth calendar quarter of 2018 includes data for the period from October 1, 2018 through October 17, 2018. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Quarterly Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2018.
The graph below illustrates the performance of the basket component from January 1, 2008 through October 17, 2018, based on information from Bloomberg.
Past performance of the basket component is not indicative of the future performance of the basket component.