FEBRUARY 2015 STOXX CALCULATION GUIDE
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- Everett Walker
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1 FEBRUARY 2015 STOXX CALCULATION GUIDE
2 STOXX CALCULATION GUIDE CONTENTS 2/ INDICES IN EUR, USD AND OTHER CURRENCIES INTRODUCTION TO THE STOXX INDEX GUIDES 3 2. CHANGES TO THE GUIDE BOOK HISTORY OF CHANGES TO THE STOXX EQUITY CALCULATION GUIDE 4 3. DISSEMINATION DISSEMINATION CALENDAR 5 7. INDEX VALUE CALCULATION INDEX FORMULAS MARKET CAPITALIZATION-WEIGHTED PRICE-WEIGHTED WITH WEIGHTING FACTORS INDEX DIVISOR CALCULATION MARKET CAPITALIZATION-WEIGHTED PRICE-WEIGHTED WITH WEIGHTING FACTORS DIVIDEND POINT CALCULATIONS DISSEMINATION PERIOD REAL-TIME AND END-OF-DAY INDICES 5 4. INPUT DATA SOURCES MONITORING DATA ACCURACY CURRENCY RATES STOCK PRICES 7 8. CORPORATE ACTIONS AND ADJUSTMENTS CORPORATE ACTIONS FREE FLOAT FACTORS AND SHARE ADJUSTMENTS MERGERS AND TAKEOVERS SPIN-OFFS SECTOR CHANGES ILLIQUIDITY, BANKRUPTCY AND DELISTING EXTREME MARKET AND COMPANY EVENTS AVAILABLE DATA 8 9. CORRECTION POLICY OPEN QUOTATIONS INDEX SETTLEMENT VALUES INTRADAY SNAPSHOTS DATA INPUT AND REAL-TIME DATA INDEX DIVISOR CORRECTION PAYMENT DEFAULTS AND DIVIDEND DATA CHANGES CLOSING DATA CORPORATE ACTION FORECASTS MONTHLY REPORTS AND SELECTION LISTS CONTACT AND CUSTOMER SUPPORT STOXX CUSTOMER SUPPORT INDEX REVIEW LISTS STOXX NEWS AND INDEX DATA NOTIFICATIONS 9 6. INDEX PARAMETERS PRICE AND RETURN INDICES 10
3 1. INTRODUCTION TO THE STOXX INDEX GUIDES 3/23 The STOXX idex guides are separaed io he followig sub-ses:» The STOXX Calculaio guide provides a geeral overview of he calculaio of he STOXX idices, he dissemiaio, he idex formulas ad adjusmes due o corporae acios» The STOXX Idex Mehodology guide coais he idex specific rules regardig he cosrucio ad derivaio of he porfolio based idices, he idividual compoe selecio process ad weighig schemes» The STOXX Sraegy guide coais he formulas ad descripio of all o-equy/sraegy idices» The STOXX Divided Pois Calculaio guide describes he divided pois producs» The STOXX ESG guide coais he idex specific rules regardig he cosrucio ad derivaio of he ESG idices, he idividual compoe selecio process ad weighig schemes» The istoxx guide coais he idex specific rules regardig he cosrucio ad derivaio of he istoxx idices, he idividual compoe selecio process ad weighig schemes» The STOXX Referece Raes guide coais he rules ad mehodologies of he referece rae idices» The STOXX Saisical Calculaios guide provides a deailed view of defiios ad formulas of he saisical calculaios as uilized i he repors, facshees, idices ad preseaios produced by STOXX All rule books are available for dowload o hp://
4 2. CHANGES TO THE GUIDE BOOK 4/ HISTORY OF CHANGES TO THE STOXX EQUITY CALCULATION GUIDE» February 2011: Publicaio of a complee ew rule book series» Augus 2011: Modificaio of Free Floa Facors ad Share Adjusmes» February 2013: Amedmes of chaper 8 Corporae Acios ad Adjusmes; addio of chaper 5.8 STOXX News ad Idex Daa Noificaios ad 10 Coac ad Cusomer Suppor» July 2014: Ierims soluio: reame of Righs Issues wh highly diluive erms i chaper 8.1 ad addio of chaper 8.7 Exreme Marke ad Compay Eves» Sepember 2014: Treame of Righs Issues wh highly diluive erms i chaper 8.1» December 2014: Clarificaio axaio of corporae acios i chaper 8
5 3. DISSEMINATION 5/ DISSEMINATION CALENDAR The STOXX idices are calculaed Moday hrough Friday bewee 0:00 ad 22:15 CET, excep o Jauary 1 s, Good Friday, Easer Moday, December 25 h ad December 26 h. I excepioal cases he STOXX Maageme Board ca make chages o he radig caledar DISSEMINATION PERIOD The idex dissemiaio period begis wh he opeig of he firs radig sysem. Each idex has a defied dissemiaio sar ad ed ime. The acual dissemiaio of each idex is riggered, whe he firs opeig sock price for ha idex is received whi hese ime frames. The idex dissemiaio period eds, whe he las radig sysem i he regioal uiverse closes. For he laes updae, please refer o he followig liks: Dissemiaio period: hp:// Idividual idex dissemiaio imes: hp:// REAL-TIME AND END-OF-DAY INDICES The idices are calculaed ad dissemiaed a differe frequecy sadards:» Real-ime idices: Calculaed ad dissemiaed every 15 secods durig he idex dissemiaio period.» Ed-of-day idices: Calculaed ad dissemiaed oce a day a he ed of he idex dissemiaio period. All idices icludig heir frequecies are lised i he daa vedor code file: hp:// The idex values are dissemiaed over he Cosolidaed Exchage Feed (CEF) of Deusche Börse ad ca be procured direcly from daa vedors. For furher iformaio: hp://
6 4. INPUT DATA 6/ SOURCES The ipu daa sources for he idex producio iclude:» Tradig plaforms» Regulaory agecies» Compaies i he ivesable sock uiverse» Real-ime ad ed of day sock prices ad currecy exchage raes provided by Thomso Reuers» Relaed daa ad service providers 4.2. MONITORING The real-ime ipu daa feeds for he idex calculaio are moored by:» Daa filers» Qualy assurace ools» Verificaio agais secodary sources 4.3. DATA ACCURACY The daa accuracy for he followig facors of he idex calculaio is defied as (uless saed differely i he idividual idex mehodologies):» Ipu daa (e.g. pricig ad currecy raes) ad oher uderlyig daa: rouded o seve decimal places» Idex divisors ad marke capalizaio: rouded o ieger umbers» Free floa facors: rouded o four decimal places» Produc of (umber of shares x Free floa facor x weighig capfacor): rouded o ieger umbers» Produc of (weighfacor x weighig capfacor): rouded o ieger umbers» Idex values: rouded o wo decimal places for dissemiaio» Weighs: expressed i perceage wh 5 decimals 4.4. CURRENCY RATES All real-ime idices use he followig currecy raes:» From 09:00 o 17:30 CET, he mid bewee he laes real-ime bid ad ask prices is used as he currecy rae i order o calculae he idices for Europe, Easer Europe ad he EU Elarged regio.» From 15:30 o 22:15 CET, he mid bewee he laes real-ime bid ad ask prices is used as he currecy rae i order o calculae he idices for he Americas regio.» From 00:00 o 11:00 CET, he mid bewee he laes real-ime bid ad ask prices is used as he currecy rae i order o calculae he idices for he Asia/Pacific regio.
7 4. INPUT DATA 7/23 All ed-of-day idices, as well as he closig procedure for he real-ime idices, use currecy raes as follows:» From 17:30 CET, fixed foreig exchage raes are used for he calculaio of he idices (usig WM fixed exchage raes from 17:00 CET).» The global closigs se a 22:15 CET use he same fixed raes as he Europea idices. The fixed foreig exchage raes are provided by he WM Compay for furher iformaio refer o Reuers page WMRSPOT01 or Bloomberg page WMCO STOCK PRICES The daa hierarchy used o process sock prices ad calculae he STOXX equy idices are as follows. All daa are provided by Thomso Reuers. For all o-equy idices he idividual idex mehodologies coai furher descripios abou he pricig sources ad ypes.» The opeig price: he firs raded price durig he official radig hours of he sock s radig sysem; uil his is available, he previous day s closig/adjused price is used.» The iraday price: he currely raded price durig he official radig hours of he sock s radig sysem. Whe he sock is o raded, he las available sock price is used, his ca eher be he las available iraday sock price (e.g. if he sock is emporarily suspeded) or he las available closig/adjused price (e.g. if he sock exchage is closed).» The closig price: he las raded price or aucio price durig he official radig hours of he sock s radig sysem is used. If he sock has o bee raded all day, he he previous day s closig/adjused price is used.» The adjused price: he closig price is adjused o reflec a sock s corporae acio ha will be effecive he ex radig day.» Sock prices i local currecy are covered o EUR firs before beig covered o he idex currecy.
8 5. AVAILABLE DATA 8/ OPEN QUOTATIONS The idex ope quoaio akes he opeig prices of all socks i a real-ime idex io accou. This value idicaes wha he idex value would have bee, if all opeig sock prices had bee received a he same ime. The idex ope quoaios for he real-ime idices are calculaed eher as soo as all he releva opeig sock prices are received or, a he laes, a 10:30 CET. If a opeig sock price is uavailable a 10:30 CET, he sock s previous day s closig/adjused price is used. No-EUR sock prices are covered io EUR usig he currecy rae valid a he ime of he opeig sock price (or previous day s closig/adjused price), i.e. opeig sock prices are covered usig real-ime currecy raes ad he previous day s closig prices are covered usig WM fixed exchage raes of he day before INDEX SETTLEMENT VALUES The idex seleme values are calculaed daily as he average of he 41 idex values dissemiaed bewee 11:50 CET ad 12:00 CET INTRADAY SNAPSHOTS DATA Iraday sapsho daa for he STOXX idices are dissemiaed daily a:» 10:30 CET or earlier: opeig sock prices for seleced STOXX idices ad ope quoaio idex values for real-ime idices.» 12:00 CET: fial idex seleme values (FSV) as well as compoe sock prices for seleced STOXX idices.» 10:30 CET, 15:30 CET, 17:45 CET ad 18:45 CET: iraday idex values ad compoe sock prices for seleced STOXX idices CLOSING DATA The closig daa for he STOXX idices are dissemiaed afer he idex dissemiaio period for he releva regio. The closig daa icludes he followig ses of daa:» Sock prices: boh closig ad adjused prices for all compoes of he STOXX idices.» Idex-relaed values: closig values, marke capalizaio ad divisors for all idices.» Currecy raes o EUR for all currecies used i ay STOXX idices.» Corporae acios ad divideds: effecive he ex radig day.» Oher iformaio like weighigs, corporae acios ad divided forecass.
9 5. AVAILABLE DATA 9/ CORPORATE ACTION FORECASTS The corporae acio forecass are updaed daily ad iclude iformaio abou fuure adjusmes iduced by cofirmed corporae eves. This icludes, bu is o limed o:» Mergers, akeovers, spi-offs, price ad shares adjusme, ad IPOs for he comig week.» Iial public offerigs (IPOs): rece IPOs ha could qualify for he idices; for he STOXX Europe IPO Idices. All corporae acios ad divided forecass are subjec o chage. Cusomers are recommeded o dowload regularly he forecas from he webse ad subscribe o corporae acios ad divided alers o receive oificaio for he laes chages MONTHLY REPORTS AND SELECTION LISTS The mohly repors are published each moh ad iclude he followig daa for seleced idices:» Idex composio ad performace repors» Saisical ad fudameal repors» Facshees for various idices wh iformaio o fudameal raios, performace daa ad oher saisics Selecio liss are produced for idices wh a fixed umber of compoes i order o:» idicae possible chages i he composio of he idex a he ime of he ex quarerly / semiaual / aual review, ad» deermie replacemes for ay sock deleed from he idices due o corporae acios.» The STOXX Maageme Board 1 may decide o updae he selecio liss i bewee he regular publicaio daes o reflec exraordiary marke movemes ad uderlyig daa chages INDEX REVIEW LISTS Each idex has defied daes, whe he ew cosues, he uderlyig daa (shares, free floa, weighig-cap facors) are aouced ad implemeed. The compoe ad he uderlyig daa aouceme daes differ by idex caegory ad are herefore covered i he STOXX Mehodology Guide. The quarerly implemeaio for all idices is always o he hird Friday i March, Jue, Sepember ad December STOXX NEWS AND INDEX DATA NOTIFICATIONS For cusomers a subscripio o oificaios is available o he webse. Noificaios are se ou for shor-erm corporae acios ad divided chages, he periodic review aoucemes, idex calculaio ad producio issues ad errors, ew idex lauches ad geeral iformaio from STOXX.. 1 The STOXX Maageme Board has delegaed cerai decisios o ieral commees.
10 6. INDEX PARAMETERS 10/ PRICE AND RETURN INDICES All idices are calculaed as price ad reur idices. Divided paymes are ivesed i reur idices oly ad egleced i price idices. Reur idices are available as gross-reur versios, calculaed wh a full divided re-ivesme ad as e-reur ivesme, where divideds mius he whholdig axes are ivesed INDICES IN EUR, USD AND OTHER CURRENCIES All sock prices of he idices are covered o EUR ad USD, as follows:» EUR idices: No-EUR sock prices are covered o EUR for he idex calculaio.» USD idices: No-EUR sock prices are covered o EUR firs (as above), ad he - ogeher wh he EUR sock prices - covered o USD for he idex calculaio. Some idices are addioally available i oher currecies. The followig rule applies:» Idices i oher currecies: o-eur sock prices are covered o EUR firs, ad he - ogeher wh he EUR sock prices - covered o he appropriae idex currecy for he idex calculaio.
11 7. INDEX VALUE CALCULATION 11/ INDEX FORMULAS The idices are calculaed wh he Laspeyres formula, which measures price chages agais a fixed base quay weigh. Each idex has a uique idex divisor, which is adjused o maiai he coiuy of he idex s values across chages due o corporae acios MARKET CAPITALIZATION-WEIGHTED The idices are calculaed wh he Laspeyres formula, which measures price chages agais a fixed base quay weigh: Idex Where: p s ff cf x M D i1 (p s ff cf x ) M D D = Time he idex is compued = Number of compaies i he idex = Price of compay (i) a ime () = Number of shares of compay (i) a ime () = Free floa facor of compay (i) a ime () = Weighig cap facor of compay (i) a ime () = Exchage rae from local currecy io idex currecy for compay (i) a ime () = Free floa marke capalizaio of he idex a ime () = Divisor of he idex a ime () PRICE-WEIGHTED WITH WEIGHTING FACTORS The idices are weighed based o he compoes sock prices ad weighig facors: Idex Where: p wf cfi x M D (p i1 wf D cf x ) M D = Time he idex is compued = Number of compaies i he idex = Price of compay (i) a ime () = Weighig facor of compay (i) a ime () = Weighig cap facor of compay (i) a ime () = Exchage rae from local currecy io idex currecy for compay (i) a ime () = Toal us of he idex a ime () = Divisor of he idex a ime ()
12 7. INDEX VALUE CALCULATION 12/ INDEX DIVISOR CALCULATION MARKET CAPITALIZATION-WEIGHTED Each idex has a uique idex divisor ha is adjused o maiai he coiuy of he idex s values across chages due o corporae acios. Chages i weighs due o corporae acios are disribued proporioally across all idex compoes. The idex divisors are calculaed as follows: D 1 D i1 (p s i1 (p ff s cf ff x cf ) MC x ) 1 Where: D +1 D 1 p s ff cf x ΔMC +1 = Divisor a ime (+1) = Divisor a ime () = Number of compaies i he idex = Price of compay (i) a ime () = Number of shares of compay (i) a ime () = Free floa facor of compay (i) a ime () = Weighig cap facor of compay (i) a ime () (oly applicable if idex is capped) = Exchage rae from local currecy io idex currecy for compay (i) a ime () = The differece bewee he closig marke capalizaio of he idex ad he adjused closig marke capalizaio of he idex: For compaies wh corporae acios effecive a ime (+1), he free floa marke capalizaio is calculaed wh adjused closig prices, he ew umber of shares a ime (+1) ad he free floa facor a ime (+1) mius he free floa marke capalizaio calculaed wh closig prices, umber of shares a ime () ad free floa facor a ime () PRICE-WEIGHTED WITH WEIGHTING FACTORS Each idex has a uique idex divisor ha is adjused o maiai he coiuy of he idex s values across chages due o corporae acios. Chages i weighs due o corporae acios are disribued proporioally across all idex compoes. The idex divisors are calculaed as follows: D 1 Where: D +1 D p wf cf x ΔMC +1 D i1 (p wf i1 cf (p wf x cf ) MC x ) 1 = Divisor a ime (+1) = Divisor a ime () = Number of compaies i he idex = Price of compay (i) a ime () = Weighig facor of compay (i) a ime () = Weighig cap facor of compay (i) a ime () (oly applicable if idex is capped) = Exchage rae from local currecy io idex currecy for compay (i) a ime () = The differece bewee he us i he idex a closig ad he us i he idex afer calculaio parameers have bee adjused: For compaies wh corporae acios effecive a ime (+1), he us i he idex are calculaed wh adjused closig prices, he adjused weighig facors a ime (+1) ad he
13 7. INDEX VALUE CALCULATION 13/23 adjused weighig cap facors a ime (+1) mius he us i he idex calculaed wh closig prices, weighig facors a ime () ad weighig cap facors a ime () DIVIDEND POINT CALCULATIONS Divided Poi Calculaios For a deailed overview also cosul he STOXX Divided Poi Calculaio Guide. DP ( DVP) DP D i d s ff cf X -1 i1 d s ff D cf X -1 = Divided pois (applies o STOXX Divided Poi DVP idices oly) = Time he value is compued = Divisor of he price idex a ime = Time he amou is compued = Number of compaies i he idex = Idividual compay beig a cosue of he idex = Icludes ordiary u-adjused gross cash divideds ad whholdig ax amous applied o special cash divideds ad capal reurs (d) i respec of each share of compay (i) which is a cosue of he idex a day () beig a ex-divided dae as appropriae, or zero if o amou is applicable = Number of shares ousadig of compay (i) a ime () = Free floa facor of compay (i) a ime () = Weighig cap facor of compay (i) a ime () = Exchage rae from local currecy io EUR for compay (i) a ime (-1)
14 8. CORPORATE ACTIONS AND ADJUSTMENTS 14/ CORPORATE ACTIONS The lis of corporae acios idicae he calculaio of he adjused prices ad he impac o he idex divisor. All corporae acios ad divideds are implemeed a he effecive dae (ex-dae); i.e. wh corporae acios where cash or oher corporae asses are disribued o shareholders, he price of he sock will drop o he ex- day. Chages i weighs due o corporae acios are disribued proporioally across all idex compoes ad equal a ivesme io he porfolio. Whholdig axes are cosidered for all corporae acios ad divideds where applicable ad defied per coury. If STOXX becomes aware of a excepio o he axaio; e.g. i case a compay cofirms a deviaig ax reame he excepio will be used for he idex calculaio. For he laes updae o whholdig axes, please refer o he followig lik: hp:// For he corporae acios lised below, he followig assumpios apply:» Shareholders will receive B ew shares for every A share held (where applicable)» All adjused prices cosider whholdig axes based o he ew shares beig disribued: B (1 whholdig ax where applicable)» If he ew shares have a divided disadvaage - i.e. he ew shares have a differe divided from ha paid o he old shares - he price for hese ew shares will be adjused accordig o he gross divided amou 1. Cash divided (applies o reur idices oly) Divisor Defiio: Cash disribuios ha are whi he scope of he regular divided policy or ha he compay defies as a regular disribuio. decreases Adjused price (e reur) = closig price - divided aouced by he compay (1 whholdig ax) Adjused price (gross reur) = closig price - divided aouced by he compay 2. Special cash divided (applies o price ad reur idices) Divisor Defiio: Cash disribuios ha are ouside he scope of he regular divided policy or ha he compay defies as a exraordiary disribuio. decreases Adjused price = closig price - divided aouced by he compay (1 - whholdig ax if applicable)
15 8. CORPORATE ACTIONS AND ADJUSTMENTS 15/23 3. Spl ad reverse spl Divisor Adjused price = closig price A / B New umber of shares = old umber of shares B / A uchaged For price-weighed idices wh weighig facors: ew weighig facor= old weighig facor B/A 4. Righs offerig Divisor Sadard righs issue reames a) Free floa marke capalizaio weighed idices Adjused price = (closig price A + subscripio price B) / (A + B) New umber of shares = old umber of shares (A + B) / A b) Price weighed idices wh weighig facors Adjused price = (closig price A + subscripio price B) / (A + B) New weighig facor = old weighig facor closig price / adjused price icreases Uchaged Furher disicios are made applicable for boh weighig schemas:» Exremely diluive righs issue wh a share raio larger or equal o 2000% (B/A 20)» Highly diluive righs issue wh a share raio larger or equal o 200% (B/A 2) Exremely diluive righs issues are reaed as followig:» STOXX will aouce he deleio of he compay from all idices followig he sadard rules for idex replacemes if sufficie oice period ca be give» Sufficie oice period: STOXX is able o make a aouceme abou idex chages wo radig days before he ex-dae» The compay may eer he idices agai a he ex periodic idex review, bu oly afer he ew shares have bee lised Exremely diluive righs issues whou sufficie oice period ad all highly diluive righs issues are reaed as followig:» Iclusio of he righs io he idices wh a heoreical price o he ex-dae» The righs mus be lised o a eligible sock exchage ad radable sarig o he ex-dae oherwise oly a price adjusme is made» The righs will have he same parameers as he pare compay» The righs will be removed afer heir firs radig day a he close» The umber of shares ad weighig facors will be icreased afer he ew shares have bee lised If he subscripio price is o available or equal o or greaer ha he closig price o he day before he effecive dae, he o adjusme is made.
16 8. CORPORATE ACTIONS AND ADJUSTMENTS 16/23 5. Sock divided Divisor Adjused price = closig price A / (A + B) New umber of shares = old umber of shares (A + B) / A For price-weighed idices wh weighig facors: New weighig facor = old weighig facor (A + B) / A uchaged uchaged 6. Sock divided (from reasury sock) Divisor Sock divideds from reasury socks will be adjused as cash divideds. decreases a1) If reaed as regular cash divided, oly he reur idices are adjused. Adjused close = close - close B / (A + B) a2) If reaed as exraordiary divided, he price ad he reur idices are adjused. Adjused close = close - close B / (A + B) 7. Sock divided of aoher compay Divisor Adjused price = (closig price A - price of he oher compay B) / A decreases 8. Reur of capal ad share cosolidaio Divisor Adjused price = [closig price - capal reur aouced by compay (1 - whholdig ax)] A / B New umber of shares = old umber of shares B / A decreases For price-weighed idices wh weighig facors: ew weighig facor = old weighig facor B / A 9. Repurchase of shares/self-eder Divisor a) Free floa marke capalizaio weighed idices: Adjused price = [(price before eder old umber of shares) (eder price umber of edered shares)] / (old umber of shares - umber of edered shares) decreases New umber of shares= old umber of shares - umber of edered shares b) Price-weighed idices wh weighig facors: Adjused price = [(price before eder old umber of shares) - (eder price umber of edered shares)] / uchaged
17 8. CORPORATE ACTIONS AND ADJUSTMENTS 17/23 (old umber of shares - umber of edered shares) New weighig facor = old weighig facor closig price / adjused price 10.Spi-off a) Free floa marke capalizaio weighed idices: Adjused price = (closig price A - price of spi-off shares B) / A b) Price-weighed idices wh weighig facors: Adjused price = (closig price A - price of spi-off shares B) / A Divisor decreases decreases New weighig facor for he spi-off = weighig facor of he pare compay B/A Please refer o 8.4 for furher deails.
18 8. CORPORATE ACTIONS AND ADJUSTMENTS 18/ Combiaio sock disribuio (divided or spl) ad righs offerig Divisor For he above corporae acios he followig addioal assumpios apply:» Shareholders receive B ew shares from he disribuio ad C ew shares from he righs offerig for every A share held.» If A is o equal o oe, all he followig ew umber of shares formulas eed o be divided by A : a1) If righs are applicable afer sock disribuio (oe acio applicable o aoher) icreases Adjused price = [closig price A + subscripio price C (1 + B / A)] / [(A+B) (1+C / A)] New umber of shares = old umber of shares [(A + B) (1 + C / A)] / A a2) If sock disribuio is applicable afer righs(oe acio applicable o aoher) icreases Adjused price = [closig price A + subscripio price C] / [(A + C) (1 + B / A)] New umber of shares = old umber of shares [(A + C) (1 + B / A)] a3) Sock disribuio ad righs (eher acio is applicable o he oher) icreases Adjused price = [closig price A + subscripio price C] / [A + B + C] New umber of shares = old umber of shares [A + B + C] / A b) Price-weighed idices wh weighig facors: Adjused prices = see above [combiaio sock disribuio (divided spl) ad righs offerig] New weighig facor = old weighig facor closig price / adjused price uchaged 12. Addio / deleio of a compay Divisor No price adjusmes are made. The e chage i marke capalizaio (for price weighed idices: he chage i us) deermies he divisor adjusme. 13. Free Floa ad shares chages Divisor No price adjusmes are made. The e chage i marke capalizaio (for price weighed idices: he chage i us) deermies he divisor adjusme. Please refer o 8.2 for furher deails.
19 8. CORPORATE ACTIONS AND ADJUSTMENTS 19/ FREE FLOAT FACTORS AND SHARE ADJUSTMENTS Ordiary adjusmes: The free floa facors ad ousadig umber of shares are reviewed o a quarerly basis based o he mos rece available daa. The fial daa are published o he quarerly uderlyig daa aouceme daes ad implemeed o he quarerly implemeaio daes. The cu-off daes for free floa daa are o he 20h of February, May, Augus ad November. Daa arrivig afer he cu-off daes are implemeed i he followig quarerly review. Exraordiary adjusmes: The idices are updaed wh chages o he umber of shares ad/or free floa facors due o corporae acios. The imig depeds o he magude of he chage:» Chages o he umber of shares due o sock divideds, spls, righs issues ec. are implemeed immediaely ad effecive he ex radig day.» Chages greaer ha ± 10 perce o he umber of shares from oe radig day o he ex are aouced immediaely, implemeed wo radig days laer ad effecive he ex radig day afer implemeaio.» Free floa facor chages greaer ha ± five perce from oe radig day o he ex are aouced immediaely, implemeed wo radig days laer ad effecive he ex radig day afer implemeaio.» Chages o he combied free floa adjused umber of shares greaer ha ± 10 perce from oe radig day o he ex are aouced immediaely, implemeed wo radig days laer ad effecive he ex radig day afer implemeaio.» All oher applicable chages are aouced o he ex quarerly uderlyig daa aouceme dae, implemeed o he quarerly implemeaio dae ad effecive he ex radig day afer implemeaio MERGERS AND TAKEOVERS A merger or akeover is deemed successful, if has bee declared wholly ucodioal ad has received he approval of all he regulaory agecies wh jurisdicio over he rasacio. Chages are aouced immediaely, implemeed wo radig days laer ad become effecive o he ex radig day afer implemeaio. The resul of a merger or a akeover is oe survivig sock ad oe or more o-survivig socks ha may o ecessarily be de-lised from he respecive radig sysem(s). The rules below are oly applied if a leas oe compay i his rasacio is a compoe of he STOXX Bechmark idices. Ay survivig sock ha does o qualify ad he o-survivig sock(s) are deleed immediaely. A survivig sock ha qualifies for he STOXX Bechmark idices is added o he idices as follows:» STOXX Bechmark idices: The survivig sock replaces he larges of he origial socks.» STOXX Size idices: The survivig sock replaces he origial sock ha beloged o he larges affeced Size idex.
20 8. CORPORATE ACTIONS AND ADJUSTMENTS 20/23» STOXX Blue-Chip ad oher idices: If oe of he origial socks was a compoe, is replaced by he survivig sock. Separae buffer rules ad addioal requiremes for idividual idices may apply accordig o specific idex mehodology.» STOXX Selec Divided idices: If oe of he origial socks was a Selec Divided compoe, he is replaced by he survivig sock, if was raked a or above he lower buffer lim o he currely valid Selec Divided selecio lis. A survivig sock ha falls below he lower buffer lim, is replaced by he highes-raked o-compoe o he selecio lis SPIN-OFFS Each spi-off sock is emporarily added o all affeced idices, icludig he fixed compoe idices, for oe radig day based o a esimaed price. As a precodio a lisig o oe of he eligible exchages, pricig ad isrume referece daa mus be available. If he spi-off compay does o qualify based o he rules se ou below, will be deleed afer he firs radig day. Separae buffer rules ad addioal requiremes for idividual idices may be applied accordig o specific idex mehodology, as oulied i he STOXX mehodology guide. Chages are aouced immediaely, implemeed wo radig days laer ad become effecive o he ex radig day afer implemeaio. STOXX Bechmark, Bluechip ad derived idices:» Each spi-off sock qualifies for addio, if lies whi he lower buffer o he laes selecio lis for he specific idex. The spi-off replaces he lowes raked sock i ha idex, as deermied by he selecio lis Qualifyig spi-off socks are added i sequece:» The larges qualifyig spi-off sock replaces he origial sock i he idex» The ex qualifyig spi-off sock replaces he lowes raked sock i he idex» Likewise for he oher qualifyig spi-off socks STOXX Toal Marke ad derived idices:» The spi-off sock is added, if qualifies for he STOXX TMI idices as of he laes quarerly review lis 8.5. SECTOR CHANGES The idices are updaed wh he secor chages; he imig depeds o he cause of he chage:» Chages due o corporae acios: Aouced immediaely, implemeed wo radig days laer ad effecive he ex radig day afer implemeaio.» Chages i he primary reveue source: Aouced o he quarerly compoe aouceme daes, implemeed o he quarerly implemeaio daes ad effecive he ex radig day afer implemeaio.
21 8. CORPORATE ACTIONS AND ADJUSTMENTS 21/ ILLIQUIDITY, BANKRUPTCY AND DELISTING Socks are deleed if heir illiquidy is due o:» o beig raded for 10 cosecuive days;» beig suspeded from radig; Moreover, socks are deleed i case of:» official delisig» ogoig bakrupcy proceedigs: a compay ha has filed for bakrupcy will be deleed from he idex based o eher he raded sock price o s primary marke, if available, or else he OTC sock price; if eher price is available, he compay will be deleed a close i local currecy of Chages are aouced immediaely, implemeed wo radig days laer ad become effecive he ex radig day afer implemeaio EXTREME MARKET AND COMPANY EVENTS I case he ivesabily ad radabily of he idices ad idex based producs is affeced by a upcomig marke or compay eve or disrupios of icomig daa ad cosidered sigifica by he STOXX Maageme Board he followig or a combiaio of acios are ake. For all such chages a miimum oificaio period of wo full radig days will be observed. The applicaio scope may iclude bu o be limed o:» applicaio of exper judgme for idex compoe pricig daa» adjusme of operaioal procedures» pospoeme of idex adjusmes» adjusme of selecio liss» chage of weighs of idex cosues by adjusig he umber of shares, free-floa facors or weighig cap-facors» adjusme of idex composios
22 9. CORRECTION POLICY 22/ INPUT AND REAL-TIME DATA The correcio procedures for icorrec or missig ipu daa are as follows:» Ipu daa are correced immediaely.» Real-ime idex values are o reroacively correced, because he idex is calculaed i real-ime INDEX DIVISOR CORRECTION The correcio procedures for icorrec idex divisors are:» If discovered o he effecive dae, icorrec idex divisors are correced iraday.» If discovered afer, he icorrec idex divisors are correced iraday, provided ha correcio is feasible ad cosidered sigifica by he STOXX Maageme Board PAYMENT DEFAULTS AND DIVIDEND DATA CHANGES A correcio is applied, whe a divided is declared upaid (payme defaul) or he divided amou is chaged by he compay afer he effecive dae. This may resul i a egaive reivesme. Pas idex values (hisory) are o correced. The followig rules apply:» The correcio is feasible ad cosidered sigifica by he STOXX Maageme Board.» A correcio will be acceped oly, if he payme defaul is discovered whi 12 mohs afer he origial ex dae.» The idex parameers (umber of shares, free floa facors, weighig cap facors ad currecy raes) effecive o he day prior o he correcio dae are used.
23 10. CONTACT AND CUSTOMER SUPPORT 23/ STOXX CUSTOMER SUPPORT For quesios regardig our idices please coac our Cusomer Suppor eam:» Available from 07:30 o 22:00 CET o STOXX radig days» Phoe: » Fax: » cusomersuppor@soxx.com
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