The SEVENS® Index
The SEVENS® Index is a proprietary index and exclusive property of UBS AG. The SEVENS® Index is calculated and published daily by Standard & Poor’s, a division of The McGraw-Hill Companies. The SEVENS® Index is structured to reflect a trading strategy based on the historical seasonal return pattern in the S&P 500® Index.
The SEVENS® Index provides leveraged exposure to the S&P 500® Index during the period between October 1 and April 30 of each year. On each trading day during this period, the Index will increase or decrease by 2% for every 1% change in the level of the S&P 500® Index, less a financing fee. Such financing fee is the product of (i) the SEVENS® Index closing level on the immediately preceding September 30, (ii) the sum of the 7-Month USD LIBOR rate set on October 1 and 75 basis points and (iii) number of days elapsed since the last trading day divided by 360.
The SEVENS® Index provides no exposure to the S&P 500® Index during the period between May 1 and September 30 of each year. Instead, on each day during this period, the SEVENS® Index will be increased by the daily accrual on the closing level of the SEVENS® Index on April 30 at the per annum rate equal to the 5-Month USD LIBOR set on May 1.
Publication of the SEVENS® Index began on September 30, 2004, at which time the Index level was initially set at 100. S&P has retrospectively calculated hypothetical index levels as though the Index existed for the period from December 31, 1986 (the inception date of the S&P 500® Total Return Index) to September 30, 2004 using the same methodology as is currently employed.
The SEVENS® Index Downloads
