Methodology update | HSBC Dynamic Overwriting US Index | Effective date 31/01/2024

Solactive announces the following changes in the following points of the guideline of the following index:

Section 2.1 Selection of the Index Components 

From (old version):

“[…]

• The STRIKE PRICE 𝐾_𝑄𝑡 of the OPTION 𝑄_𝑡 entered on CALCULATION DAY t is calculated in accordance with the following formula:

If type of Option Q_t is Put : K_Qt = Max (Min(PK_25%,p,t-1/UI_t-1,Cap_p), Floor_p) X UI_t

If type of Option Q_t is Call : K_Qt = Min (Max(PK_25%,c,t-1/UI_t-1,Floor_c), Cap_c) X UI_t

With:
𝑀𝑎𝑥: means the MAXIMUM FUNCTION
𝑀𝑖𝑛: means the MINIMUM FUNCTION
𝑆𝑃_𝑡: means the SIGNAL PUT value in respect of the CALCULATION DAY t
𝑆𝐶_𝑡: means the SIGNAL CALL value in respect of the CALCULATION DAY t
𝑃𝐾_{𝑇𝑎𝑟𝑔𝑒𝑡 𝐷𝑒𝑙𝑡𝑎,𝑃𝑢𝑡,𝑡−1}: means the DELTA STRIKE PRICE in respect of TARGET DELTA where the type is Put, and the CALCULATION DAY immediately preceding Calculation Day t
𝑃𝐾_{𝑇𝑎𝑟𝑔𝑒𝑡 𝐷𝑒𝑙𝑡𝑎,𝐶𝑎𝑙𝑙,𝑡−1}: means the DELTA STRIKE PRICE in respect of TARGET DELTA where the type is Call, and the CALCULATION DAY immediately preceding CALCULATION DAY t
𝑈𝐼_𝑡: means the UNDERLYING INDEX CLOSING LEVEL in respect CALCULATION DAY t
𝑈𝐼_𝑡−1: means the UNDERLYING INDEX CLOSING LEVEL in respect of the CALCULATION DAY immediately preceding CALCULATION DAY t
𝐶𝑎𝑝_𝑝: means 85 per cent
𝐹𝑙𝑜𝑜𝑟_𝑝: means 98 per cent
𝐶𝑎𝑝_𝑐: means 102 per cent

[…]”

To (new version):

“[…]

• The STRIKE PRICE 𝐾_𝑄𝑡 of the OPTION 𝑄_𝑡 entered on CALCULATION DAY t is calculated in accordance with the following formula:

If type of Option Q_t is Put : K_Qt = 98% X UI_t

If type of Option Q_t is Call : K_Qt = 102% X UI_t

With:
𝑆𝑃_𝑡: means the SIGNAL PUT value in respect of the CALCULATION DAY t
𝑆𝐶_𝑡: means the SIGNAL CALL value in respect of the CALCULATION DAY t
𝑈𝐼_𝑡: means the UNDERLYING INDEX CLOSING LEVEL in respect CALCULATION DAY t

[…]”

Section 2.10 Delta Strike Price 

This section is removed.