GUIDELINE Solactive TSI Deutschland 30 Index. Version 1.0 dated July 28th, 2016

Transcription

1 GUIDELINE Solacive TSI Deuschland 30 Inde Version 1.0 daed July 28h, 2016

2 Conens Inroducion 1 Inde secificaions 1.1 Shor name and ISIN 1.2 Iniial value 1.3 Disribuion 1.4 Prices and calculaion frequency 1.5 Weighing 1.6 Decision-making bodies 1.7 Publicaion 1.8 Hisorical daa 1.9 Licensing 2 Comosiion of he Inde 2.1 Selecion of he inde comonens 2.2 Ordinary adjusmen 2.3 Eraordinary adjusmen 3 Calculaion of he Inde 3.1 Inde formula 3.2 Accuracy 3.3 Adjusmens 3.4 Dividends and oher disribuions 3.5 Cororae acions 3.6 Calculaion of he Inde in he even of a marke disruion 4 Definiions 5 Aendi 5.1 Conac daa 5.2 Calculaion of he Inde change in calculaion mehod This documen conains he underlying rinciles and regulaions regarding he srucure and he oeraing of he Solacive TSI Deuschland 30 Inde. Solacive AG shall make every effor o imlemen regulaions. Solacive AG does no offer any elici or aci guaranee or assurance, neiher eraining o he resuls from he use of he Inde nor he Inde value a any cerain oin in ime nor in any oher resec. The Inde is merely calculaed and ublished by Solacive AG and i srives o he bes of is abiliy o ensure he correcness of he calculaion. There is no obligaion for Solacive AG irresecive of ossible obligaions o issuers o advise hird aries, including invesors and/or financial inermediaries, of any errors in he Inde. The ublicaion of he Inde by Solacive AG is no recommendaion for caial invesmen and does no conain any assurance or oinion of Solacive AG regarding a ossible invesmen in a financial insrumen based on his Inde. 2

3 Inroducion This documen is o be used as a guideline wih regard o he comosiion, calculaion and managemen of he Solacive TSI Deuschland 30 Inde. Any changes made o he guideline are iniiaed by he Commiee secified in secion 1.6. The Solacive TSI Deuschland 30 Inde is calculaed and ublished by Solacive AG. The name Solacive is coyrighed. 1 Inde secificaions The Solacive TSI Deuschland 30 Inde (he Inde ) is an Inde of Solacive and is calculaed and disribued by Solacive AG. The Solacive TSI Deuschland 30 Inde is designed o rack he erformance of 10 German BlueChis wih he highes TSI (Trend-Signal-Indicaor) score, which has been develoed by Börsenmedien AG. The Inde is calculaed as a Ne Toal Reurn (NTR). The Inde is ublished in EUR. 1.1 Shor name and ISIN The Inde is disribued under ISIN DE000SLA2EZ8; he WKN is SLA2EZ. The Inde is ublished in Reuers under he code <.SOLTSI30 > and in Bloomberg under he code SOLTSI30 <Inde>. 1.2 Iniial value The Inde is based on 100 a he close of rading on he sar dae, July 18, Disribuion The Inde is ublished via he rice markeing services of Boerse Sugar AG and is disribued o all affiliaed vendors. Each vendor decides on an individual basis as o wheher he will disribue/dislay he Inde via his informaion sysems. 1.4 Prices and calculaion frequency The rice of he Inde is calculaed on each Business Day based on he rices on he resecive Echanges on which he Inde Comonens are lised. The mos recen rices of all Inde Comonens are used. Prices of Inde Comonens no lised in he Inde Currency are ranslaed using so foreign echange raes quoed by Reuers. Should here be no curren rice available on Reuers, he mos recen rice or he Trading Price on Reuers for he receding Trading Day is used in he calculaion. 3

4 The Inde is calculaed every Business Day from 9:00am o 10:30m, CET. In he even ha daa canno be rovided o Reuers or o he ricing services of Boerse Sugar AG he Inde canno be disribued. Any incorrec calculaion is adjused on a rerosecive basis. 1.5 Weighing On each Adjusmen Day each Inde Comonen of he Solacive TSI Deuschland 30 Inde receives a arge weigh of 10%. If here are less han 10 Inde Comonens o be imlemened on he Adjusmen Day, hen a cash comonen ha is no accrued for ineres will be added o he inde. The arge weigh of he cash comonen is calculaed as 100% - (Number of Inde Comonens 10%). 1.6 Decision-making bodies A Commiee comosed of saff from Solacive AG is resonsible for decisions regarding he comosiion of he Inde as well as any amendmens o he rules (in his documen referred o as he "Commiee or he Inde Commiee ). The fuure comosiion of he Inde is deermined by he Commiee on he Selecion Days according o he rocedure oulined in 2.1 of his documen. The Commiee shall also decide abou he fuure comosiion of he Inde. if any Eraordinary Evens should occur and he imlemenaion of any necessary adjusmens. Members of he Commiee can recommend changes o he guideline and submi hem o he Commiee for aroval. 1.7 Publicaion All secificaions and informaion relevan for calculaing he Inde are made available on he h:// web age and sub-ages. 1.8 Hisorical daa Hisorical daa will be mainained from he launch of he Inde on July 18, Licensing Licences o use he Inde as he underlying value for derivaive insrumens are issued o sock echanges, banks, financial services roviders and invesmen houses by Solacive AG. 4

5 2 Comosiion of he Inde 2.1 Selecion of he Inde Comonens The iniial comosiion of he Inde as well as any ongoing adjusmen is based on he following rules: On he Selecion Days, Solacive AG defines he Inde Universe, a selecion ool ha is based on he crieria oulined in Secion 4. These osiions are filered according o he crieria below, resuling in he final inde selecion: 1. The TSI scores of all osiions in he Inde Universe are comued. The resuls are u ino a rank order, beginning wih he larges TSI score. If one or more inde osiions receive a rank worse han 15 (i.e. 16 o 30), i will be removed from he inde. The oher osiions remain in he TSI Deuschland 30 Inde for he subsequen monh. 2. The score of he TSI Börsenamel is comued. Only if i amouns o a value of a leas 1.000, new socks can be added ino he inde. If he TSI Börsenamel is larger han one and here are less han en osiions in he inde, i will be filled o recisely en osiions. For his, he socks wih he highes TSI score ha are no ye a member of he Inde will be added. For clarificaion, if he score of he TSI Börsenamel is smaller han no new osiions will be added ino he inde. 2.2 Ordinary adjusmen The comosiion of he Inde is adjused on a monhly basis. The comosiion of he Inde is reviewed on he Selecion Day and necessary changes are announced. The firs adjusmen will be made in Augus 2016 based on he Trading Prices of he Inde Comonens on he Adjusmen Day. Solacive AG shall ublish any changes made o he Inde comosiion on he Selecion Day and consequenly wih sufficien noice before he Adjusmen Day. 2.3 Eraordinary adjusmen The Commiee may, bu is under no obligaion o, subsiue an Inde Comonen wih a successor Inde Comonen uon he occurrence of an Eraordinary Even as deermined by Solacive AG. Any such successor Inde Comonen shall be included in he Inde afer he close of business on he day when an Eraordinary Even has been deermined by Solacive AG. 3 Calculaion of he Inde 3.1 Inde formula The Inde is an inde whose value on a Business Day is equivalen o he sum over all Inde Comonens of he roducs of (a) he Number of Shares of he Inde Comonen and (b) he rice of he Inde Comonen a he resecive Echange. As a formula: Inde n i1 * 5

6 wih: i, = Number of Shares of he Inde Comonen i on Business Day, calculaed according o he following formula: If -1 is a Rebalancing Day R: MF w 1 DCF 365 R1 Inde R R If -1 is no a Rebalancing Day: MF DCF 1, = i Closing Value of Inde Comonen i on Trading Day in he resecive Inde Currency w = Targe Weigh in ercen of Inde Comonen i on he Rebalancing Day R immediaely a he oen of Business R1 Day, as deermined by he Inde Calculaor. MF = Managemen fee in ercen er annum, i.e. 0.80%. DCF = Day coun fracion, number of calendar days beween Business Day -1 (ecluded) and Business Day (included). 3.2 Accuracy The value of he Inde will be rounded o 2 decimal laces. Trading Prices will be rounded o si decimal laces. 3.3 Adjusmens Indices need o be adjused for sysemaic changes in rices once hese become effecive. This requires he new Number of Shares of he affeced Inde Comonen o be calculaed on an e-ane basis. The Inde is adjused for disribuions, caial increases, righs issues, slis, ar value conversions and caial reducions. This rocedure ensures ha he firs e quoe can be roerly refleced in he calculaion of he Inde. This e-ane rocedure assumes he general acceance of he Inde calculaion formula as well as oen access o he arameer values used. The calculaion arameers are rovided by Solacive AG. Any delay in calculaing he new Number of Shares of an Inde Comonen would creae roblems. Therefore he rocedure described above is he mos aroriae. 6

7 3.4 Dividends and oher disribuions Dividend aymens and oher disribuions are included in he Inde. They cause an adjusmen of he Number of Shares of he corresonding Inde Comonen. The new Number of Shares is calculaed as follows: i D wih, = Number of Shares of he Inde Comonen i on Trading Day i D i, = Paymen on Trading Day mulilied by he Dividend Correcion Facor of he resecive counry 3.5 Cororae acions Princiles Following he announcemen by a comany included in he Inde of he erms and condiions of a cororae acion he Inde Calculaor deermines wheher such cororae acion has a diluion, concenraion or oher effec on he rice of he Inde Comonen. If his should be he case he Inde Calculaor shall make he necessary adjusmens o he affeced Inde Comonen and/or he formula for calculaing he Inde and/or o oher erms and condiions of his documen ha he deems aroriae in order o ake ino accoun he diluion, concenraion or oher effec and shall deermine he dae on which his adjusmen shall come ino effec. Amongs oher hings he Inde Calculaor can ake ino accoun he adjusmen made by an Affiliaed Echange as a resul of he cororae acion wih regard o oion and fuures conracs on he resecive share raded on his Affiliaed Echange Caial increases In he case of caial increases (from he comany s own resources or hrough cash conribuions) he new Numbers of Shares are calculaed as follows: 1 * 1 1 wih: rb 1 rb i, 1 1 B BV 1 N -1-1 rb -1 B N BV = Number of Shares of Inde Comonen i on he day of he disribuion = Number of Shares of Inde Comonen i on he day rior o he disribuion = Closing rice on he day rior o e dae = Calculaed value of righs issue = Price of righs issue = Dividend disadvanage = Subscriion raio 7

8 B=0 if caial is increased from he comany s own resources. The las dividend aid or he announced dividend roosal is alied as he dividend disadvanage Caial reducions In he case of caial reducions he new Number of Shares is deermined as follows: 1 1 * H H i -1 = Reducion raio of he comany on day = Number of Shares of he affeced Inde Comonen on he day of he disribuion = Number of Shares of he affeced Inde Comonen on he day rior o he disribuion Share slis and ar value conversions In he case of share slis and ar value conversions i is assumed ha he rices change in raio o he number of shares or o he ar values. The new Number of Shares is calculaed as follows: 1 * N 1 N N -1 N -1-1 = Former ar value of securiy class i (or new number of shares) = New ar value of securiy class i (or former number of shares) = Number of Shares of he affeced Inde Comonen on he day of he disribuion = Number of Shares of he affeced Inde Comonen on he day rior o he disribuion 3.6 Calculaion of he Inde in he even of a Marke Disruion Even In he even of a Marke Disruion Even, Solacive AG calculaes he Inde value, aking ino accoun he marke condiions revailing a his oin in ime, he las quoed Trading Price for each of he Inde Comonens as well as any oher condiions ha i deems relevan for calculaing he Inde value. 8

9 4. Definiions Inde Universe in resec of a Selecion Day are comanies fulfilling he following crieria Is a curren Inde Comonen in he Solacive German Equal-Weigh Inde. Inde Comonen is each share currenly included in he Inde. Number of Shares is in resec of an Inde Comonen and any given Business Day he number or fracion of shares included in he Inde. I is calculaed for any Inde Comonen as he raio of (A) he Percenage Weigh of an Inde Comonen mulilied by he Inde value and (B) is Trading Price. Percenage Weigh of an Inde Comonen is he raio of is Trading Price mulilied by is Number of Shares divided by he Inde value. Dividend Correcion Facor is calculaed as 1 minus he alicable wihholding a rae and/or oher alicable a rae currenly revalen in he resecive counry. In aricular an Eraordinary Even is - a Merger - a Takeover bid - a delising - he Naionalisaion of a comany - Insolvency. The Trading Price for his Inde Comonen on he day he even came ino effec is he las available marke rice for his Inde Comonen quoed on he Echange on he day he even came ino effec (or, if a marke rice is no available for he day he even came ino effec, he las available marke rice quoed on he Echange on a day secified as aroriae by he Inde Calculaor), as deermined by he Inde Calculaor, and his rice is used as he Trading Price of he aricular Inde Comonen unil he end of he day on which he comosiion of he Inde is ne se. In he even of he Insolvency of an issuer of an Inde Comonen he Inde Comonen shall remain in he Inde unil he ne Adjusmen Day. As long as a marke rice for he affeced Inde Comonen is available on a Business Day, his shall be alied as he Trading Price for his Inde Comonen on he relevan Business Day, as deermined in each case by he Inde Calculaor. If a marke rice is no available on a Business Day he Trading Price for his Inde Comonen is se o zero. The Commiee may also decide o eliminae he resecive Inde Comonen a an earlier oin in ime rior o he ne Adjusmen Day. The rocedure in his case is idenical o an eliminaion due o and Eraordinary Even. An Inde Comonen is delised if he Echange announces ursuan o he Echange regulaions ha he lising of, he rading in or he issuing of ublic quoes on he Inde Comonen a he Echange has ceased immediaely or will cease a a laer dae, for whaever reason (rovided delising is no because of a Merger or a Takeover bid), and he Inde Comonen is no immediaely lised, raded or quoed again on an echange, rading or lising sysem, acceable o he Inde Calculaor, Insolvency occurs wih regard o an Inde Comonen if (A) all shares of he resecive issuer mus be ransferred o a rusee, liquidaor, insolvency adminisraor or a similar ublic officer as resul of a volunary or comulsory liquidaion, insolvency or winding-u roceedings or comarable roceedings affecing he issuer of he Inde Comonens or (B) he holders of he shares of his issuer are legally enjoined from ransferring he shares. A Takeover bid is a bid o acquire, an echange offer or any oher offer or ac of a legal erson ha resuls in he relaed legal erson acquiring as ar of an echange or oherwise more han 10% and less han 100% of he voing shares in circulaion from he issuer of he Inde Comonen or he righ o acquire hese shares, as deermined by he Inde 9

10 Calculaor based on noices submied o ublic or self-regulaory auhoriies or oher informaion considered by he Inde Calculaor o be relevan. Wih regard o an Inde Comonen a Merger is (i) (ii) (iii) (iv) a change in he securiy class or a conversion of his share class ha resuls in a ransfer or an ulimae definie obligaion o ransfer all he shares in circulaion o anoher legal erson, a merger (eiher by acquisiion or hrough forming a new srucure) or a binding obligaion on he ar of he issuer o echange shares wih anoher legal erson (ece in a merger or share echange under which he issuer of his Inde Comonen is he acquiring or remaining comany and which does no involve a change in securiy class or a conversion of all he shares in circulaion), a akeover offer, echange offer, oher offer or anoher ac of a legal erson for he uroses of acquiring or oherwise obaining from he issuer 100% of he shares issued ha enails a ransfer or he irrevocable obligaion o ransfer all shares (wih he eceion of shares which are held and conrolled by he legal erson), or a merger (eiher by acquisiion or hrough forming a new srucure) or a binding obligaion on he ar of he issuer of he share or is subsidiaries o echange shares wih anoher legal erson, whereby he issuer of he share is he acquiring or remaining comany and i does no involve a change in he class or a conversion of he all shares issued, bu he shares in circulaion direcly rior o such an even (ece for shares held and conrolled by he legal erson) reresen in oal less han 50% of he shares in circulaion direcly subsequen o such an even. The Merger Dae is he dae on which a Merger is concluded or he dae secified by he Inde Calculaor if such a dae canno be deermined under he law alicable o he Merger. Naionalisaion is a rocess whereby all shares or he majoriy of he asses of he issuer of he shares are naionalised or are eroriaed or oherwise mus be ransferred o ublic bodies, auhoriies or insiuions. Echange is, in resec of Inde and every Inde Comonen, he resecive rimary echange where he Inde Comonen has is rimary lising. The Commiee may decide o declare a differen sock echange he Echange for rading reasons, even if he comany is only lised here via a Sock Subsiue. Sock Subsiue includes in aricular American Deosiory Receis (ADR) and Global Deosiory Receis (GDR). Wih regard o an Inde comonen (subjec o he rovisions given above under Eraordinary Evens ) he Trading Price in resec of a Trading Day is he closing rice on his Trading Day deermined in accordance wih he Echange regulaions. If he Echange has no closing rice for an Inde Comonen, he Inde Calculaor shall deermine he Trading Price and he ime of he quoe for he share in quesion in a manner ha aears reasonable o him. A Trading Day is in relaion o he Inde or an Inde Comonen a Trading Day on he Echange (or a day ha would have been such a day if a marke disruion had no occurred), ecluding days on which rading may be ceased rior o he normal Echange closing ime. The Inde Calculaor is ulimaely resonsible as o wheher a cerain day is a Trading Day wih regard o he Inde or an Inde Comonen or in any oher connecion relaing o his documen. A Business Day is a day on which Sugar Sock Echange is oen for rading. The Inde Calculaor is Solacive AG or any oher aroriaely aoined successor in his funcion. The Inde Currency is EUR. Marke Caializaion is wih regard o each of he shares in he Inde Universe on a Selecion Day or Adjusmen Day he value ublished as he Marke Caializaion for his day. 10

11 As a he dae of his documen Marke Caializaion is defined as he value of a comany calculaed by mulilying he number of shares ousanding of he comany by is share rice. Adjusmen Day is he 3rd Monday of every monh. If such day is no a Business Day as defined in his documen, hen he Adjusmen Day will be rescheduled o he ne Business Day. Selecion Day is 3 Business Days before he Adjusmen Day. An Affiliaed Echange is wih regard o an Inde Comonen an echange, a rading or quoaion sysem on which oions and fuures conracs on he Inde Comonen in quesion are raded, as secified by he Inde Calculaor. A Marke Disruion Even occurs if 1. one of he following evens occurs or eiss on a Trading Day rior o he oening quoaion ime for an Inde Comonen: A) rading is susended or resriced (due o rice movemens ha eceed he limis allowed by he Echange or an Affiliaed Echange, or for oher reasons): 1.1. across he whole Echange; or 1.2. in oions or fuures conracs on or wih regard o an Inde Comonen or an Inde Comonen ha is quoed on an Affiliaed Echange; or 1.3. on an Echange or in a rading or quoaion sysem (as deermined by he Inde Calculaor) in which an Inde Comonen is lised or quoed; or B) an even ha (in he assessmen of he Inde Calculaor) generally disrus and affecs he ooruniies of marke aricians o eecue on he Echange ransacions in resec of a share included in he Inde or o deermine marke values for a share included in he Inde or o eecue on an Affiliaed Echange ransacion wih regard o oions and fuures conracs on hese shares or o deermine marke values for such oions or fuures conracs; or 2. rading on he Echange or an Affiliaed Echange is ceased rior o he usual closing ime (as defined below), unless he early cessaion of rading is announced by he Echange or Affiliaed Echange on his Trading Day a leas one hour before (aa) he acual closing ime for normal rading on he Echange or Affiliaed Echange on he Trading Day in quesion or, if earlier. (bb) he closing ime (if given) of he Echange or Affiliaed Echange for he eecuion of orders a he ime he quoe is given. Normal echange closing ime is he ime a which he Echange or an Affiliaed Echange is normally closed on working days wihou aking ino accoun afer-hours rading or oher rading aciviies carried ou ouside he normal rading hours; or 3. a general moraorium is imosed on banking ransacions in he counry in which he Echange is residen if he above-menioned evens are maerial in he assessmen of he Inde Calculaor, whereby he Inde Calculaor makes his decision based on hose circumsances ha he considers reasonable and aroriae. 11

12 5 Aendi 5.1 Conac daa Informaion regarding he Inde conce Solacive AG Guiollesr. 54, Frankfur, Germany Tel.: Fa: Calculaion of he Inde change in calculaion mehod The alicaion by he Inde Calculaor of he mehod described in his documen is final and binding. The Inde Calculaor shall aly he mehod described above for he comosiion and calculaion of he Inde. However i canno be ecluded ha he marke environmen, suervisory, legal, financial or a reasons may require changes o be made o his mehod. The Inde Calculaor may also make changes o he erms and condiions of he Inde and he mehod alied o calculae he Inde, which he deems o be necessary and desirable in order o reven obvious or demonsrable error or o remedy, correc or sulemen incorrec erms and condiions. The Inde Calculaor is no obliged o rovide informaion on any such modificaions or changes. Desie he modificaions and changes he Inde Calculaor will ake he aroriae ses o ensure a calculaion mehod is alied ha is consisen wih he mehod described above. 12