1741 SWITZERLAND CAP WEIGHTED INDEX

Transcription

1 1741 Switzerlad Idex Series 1741 SWITZERLAND CAP WEIGHTED INDEX Idex rules Status as of 1 July 2015

2 1741 Switzerlad Cap Weighted Idex 2 CONTENTS 1 Itroductio 3 2 Idex specificatios 4 3 Idex uiverse 5 4 Ordiary periodic rebalacig 6 5 Extraordiary rebalacig 7 6 Idex calculatio 8

3 1741 Switzerlad Cap Weighted Idex 3 1 INTRODUCTION This documet sets out the groud rules for the 1741 Switzerlad Cap Weighted Idex. The 1741 Switzerlad Cap Weighted Idex is a itegral part of the 1741 Switzerlad Idex Series. The 1741 Switzerlad Idex Series offers ivestors access to eight differet stock idices for the Swiss market. Each of the eight idices employs its ow distict weightig methodology. The 1741 Switzerlad Idex Series comprises the followig idices: 1741 Switzerlad Cap-Weighted Idex 1741 Switzerlad Equal-Weighted Idex 1741 Switzerlad Accoutig-Based Idex 1741 Switzerlad Miimum-Volatility Idex 1741 Switzerlad Risk Parity Idex 1741 Switzerlad Value Idex 1741 Switzerlad Mometum Idex 1741 Switzerlad Quality Idex

4 1741 Switzerlad Cap Weighted Idex 4 2 INDEX SPECIFICATIONS 2.1 VERSIONS The 1741 Switzerlad Equal Weighted Idex (the Idex ) is calculated i three versios: a price idex, a gross total retur idex ad a et total retur idex. The idex currecy is the Swiss frac (CHF). 2.2 IDENTIFICATION CODES AND ISIN Name ISIN Bloomberg Reuters (RIC) 1741 Switzerlad Cap Weighted Price Idex DE000SLA0ZZ7 /a.1741chcwp 1741 Switzerlad Cap Weighted NTR Idex DE000SLA0CQ5 /a.1741chcwn 1741 Switzerlad Cap Weighted GTR Idex DE000SLA0CS1 1741CHCW Idex.1741CHCWG 2.3 INITIAL VALUE The Idex s iitial value was set at 1,000 at the close of tradig o its iceptio date, 31 December Historical data are available back to 31 December PRICES AND CALCULATION FREQUENCY The Idex is cotiuously recalculated ad published every 15 secods betwee 9:00 a.m. ad 5:35 p.m. o each tradig day o the SIX Swiss Exchage. All idex data are published by Boerse Stuttgart AG ad distributed to all affiliated vedors. Each vedor decides for itself whether it will distribute/display 1741 Switzerlad Miimum Cap Weighted data via its iformatio systems. The 1741 Switzerlad Cap Weighted Idex is calculated o the basis of the share prices of its costituet stocks as quoted o the SIX Swiss Exchage. If a real-time price is ot available via Reuters durig the calculatio period, the last available price or the closig price from Reuters for the last tradig day is used for the calculatio. 2.5 INDEX COMMITTEE A specially set-up idex committee is resposible for determiig ad moitorig the compositio of the 1741 Switzerlad Cap Weighted Idex ad for amedig the idex rules if circumstaces reder that ecessary. The idex committee cosists of the employees of the Vescore Ltd. It is resposible for determiig the costituets of the Idex ad for calculatig their weights i the Idex i accordace with the idex rules. I additio, if extraordiary evets affectig a idex costituet occur (mergers, acquisitios, etc.; see chapter 5), the idex committee makes decisios about whether this warrats correspodig adjustmets to the compositio of the 1741 Switzerlad Cap Weighted Idex. The idex rules establish a fudametal framework for dealig with such extraordiary evets. If chages to the idex rules prove ecessary, the idex committee is authorised to istitute correspodig modificatios. 2.6 INDEX CALCULATION The 1741 Switzerlad Cap Weighted Idex is calculated ad published by Solactive AG. 2.7 LICENSING The 1741 Switzerlad Cap Weighted Idex is the itellectual property of Vescore Ltd. Use of the idex requires that a correspodig licesig agreemet be etered ito with Vescore Ltd.

5 1741 Switzerlad Cap Weighted Idex 5 3 INDEX UNIVERSE 3.1 ELIGIBLE STOCKS The selectio pool of stocks eligible for iclusio i the Idex cosists of equity securities listed o the Swiss segmet of the SIX Swiss Exchage that fulfil the followig additioal criteria: Free float The stock s free float must amout to at least 20% No ivestmet compaies Ivestmet compaies ad exchage-listed ivestmet fuds are ot eligible for iclusio i the Idex Liquidity Oly compaies whose shares exhibit a average daily traded value (ADTV) greater tha CHF 3 millio are eligible for iclusio i the Idex. If a compay has more tha oe type of share class listed o the stock exchage, its ADTV is computed as the sum of the idividual ADTVs for each (eligible) share class. If the history of a compay s share tradig volume amouts to less tha six moths (i.e. if its stock exchage listig took place less tha six moths ago), the ADTV calculatio is based o the data poits available. If the liquidity filter employed does ot allow the stock uiverse described i paragraph to be assembled, the liquidity filter is lowered accordigly. 3.2 DETERMINATION OF THE 1741 SWITZERLAND UNIVERSE The followig criteria for iclusio i the 1741 Switzerlad uiverse apply to all of the idices i the 1741 Switzerlad Idex Series eumerated i chapter 1: Number of compaies The 1741 Switzerlad idices comprise the 50 largest exchage-listed compaies i Switzerlad based o the securities defied as eligible uder the provisios of sectio Market capitalisatio A compay's total market capitalisatio is the criterio used to select from the eligible compaies. If a compay has more tha oe type of share class, the market capitalisatios of each share class are added together. A stock's market capitalisatio is derived by multiplyig the latest closig share price by the umber of shares outstadig. The referece currecy is Swiss fracs (CHF) Average rakig O the referece date (see chapter 4), the 50 largest compaies are determied as follows: 1. O the referece date, the selectio pool is fixed to comprise the eligible compaies defied i sectio O the basis of the aggregate market capitalisatio, a rakig of the compaies i the selectio pool is compiled for each tradig day of the precedig six moths. If a compay s daily market-cap history is shorter tha six moths, the rakig icorporates oly the available data. 3. A arithmetic average of the daily rakigs is computed for each compay. 4. O the referece date, the 50 largest compaies are selected o the basis of their mea rakigs. If two or more compaies occupy the 50th rak, the oe with the highest market capitalisatio o the referece date is icluded i the Idex.

6 1741 Switzerlad Cap Weighted Idex 6 4 ORDINARY PERIODIC REBALANCING 4.1 REFERENCE DATE AND REBALANCING DATE A ordiary rebalacig of the Idex is udertake four times a year o the basis of closig prices o the third Friday of March, Jue, September ad December. The referece date for the rebalacig of the Idex is the last tradig day of the precedig moth (i.e. the last tradig day of February, May, August ad November). Based o closig prices o the referece date, the idex costituets are determied usig the methodology described i chapter 3. The methodology described i sectio 4.2 is the used to calculate the ew idex weights o the basis of the available data up to the referece date. 4.2 WEIGHTING METHODOLOGY Compay weightigs The costituets of the 1741 Switzerlad Cap-Weighted Idex are weighted o the basis of their total market capitalisatio i relatio to the aggregate market capitalisatio of all compaies i the Idex usig the equatio: w i,t = MK i,t 50 MK i,t i=1 where MK i,t stads for the total market capitalisatio of idex costituet i o tradig day t. The total market capitalisatio of a compay o tradig day t is obtaied by multiplyig the closig share price by the umber of shares outstadig Fial weight at the securities level If a compay has more tha oe type of share class, its weight is apportioed across the differet eligible share classes o the basis of market capitalisatio.

7 1741 Switzerlad Cap Weighted Idex 7 5 EXTRAORDINARY REBALANCING This chapter sets out the rules for hadlig extraordiary capital evets ad corporate actios that ivolve a idex costituet. 5.1 DELISTING A vacacy caused by a delistig does ot get filled by a substitute compay. The idex weight of the delisted compay is apportioed to the remaiig compaies i the Idex o a pro rata basis (i.e. based o their weightigs o the date of the delistig). If a compay with more tha oe share class delists oe of those share classes, the weight of the delisted share class is added to the weight of the compay s remaiig share classes. This trasactio therefore does ot affect the compay s idex weight. 5.2 ACQUISITION: A NON-INDEX CONSTITUENT ACQUIRES AN INDEX CONSTITUENT Such a trasactio is treated like a delistig (see paragraph 5.1). 5.3 ACQUISITION: AN INDEX CONSTITUENT ACQUIRES A NON-INDEX CONSTITUENT The acquirig compay stays i the Idex with a uchaged weightig. 5.4 MERGERS AND ACQUISITIONS BETWEEN TWO INDEX CONSTITUENTS A vacacy caused by a merger or acquisitio does ot get filled by a substitute compay. The weights of the idex costituets ivolved are added together. 5.5 SPINOFF I the evet of a spioff, the spu-off compay exits the idex i priciple ad the existig compay stays i the Idex with a uchaged weightig. To effectuate this, the idex committee as a geeral rule opts for oe of the followig practices: the spu-off compay is reivested i the existig compay as a special divided prior to the ex-date; the spu-off compay is kept i the idex for oe day ad is the reivested i the existig compay at the close of the first workday. Cosequetly, the spu-off compay caot be icluded i the Idex util the ext ordiary rebalacig date, provided that it fulfils the criteria for iclusio i the idex uiverse. If either of the practices described above is executable, the idex committee decides o a alterative way to hadle the spioff. 5.6 INITIAL PUBLIC OFFERINGS (IPOs) No IPOs are added to the Idex i betwee ordiary periodic rebalacigs. They are istead assessed o the ext ordiary idex rebalacig date. However, the idex committee reserves the right to deviate from this rule. 5.7 DISCRETIONARY INDEX COMMITTEE DECISIONS The idex committee is authorised to deviate from the rules described above i the iterests of the idex if the situatio so requires.

8 1741 Switzerlad Cap Weighted Idex 8 6 CALCULATION OF THE INDEX 6.1 INDEX FORMULA The 1741 Switzerlad Cap Weighted Idex is a Laspeyres base-weighted price idex computed usig the formula: (x i,t p i,t ) Idex t = i=1 where D t x i,t = the umber of idex shares of idex costituet i o tradig day t p i,t = the price of idex costituet i o tradig day t D t = the idex divisor o tradig day t The umber of idex shares is determied o the referece date o the basis of the idex weights pursuat to sectio 4.2 usig the equatio: x i,t = w i,t p i,t Idex t D t. 6.2 ADJUSTMENT OF THE INDEX DIVISOR The idex divisor maitais the cotiuity of the idex s value i the evet of ordiary idex rebalacigs, capital evets ad corporate actios. I such istaces, the divisor is adjusted while the idex s value remais stable Ordiary adjustmets After the close of tradig o each adjustmet day t, the idex divisor is computed as follows: (x i,t p i,t ) D t = i=1, Idex t where x i,t stads for the ew umber of idex shares. The ew divisor goes ito force as of the very ext tradig day Extraordiary adjustmets I the case of capital evets ad corporate actios, the ew idex divisor is computed as follows: D t +1 = D t with (x i,t p i,t ) + (x i,t +1 p i,t +1 x i,t p i,t ) i=1 i=1 (x i,t p i,t ) i=1 x i,t = the umber of idex shares of idex costituet i o tradig day t p i,t = the price of idex costituet i o tradig day t D t = the idex divisor o tradig day t x i,t +1 = the umber of idex shares of idex costituet i o tradig day t + 1 p i,t +1 = the hypothetical price of idex costituet i o tradig day t + 1 D t +1 = the idex divisor o tradig day t + 1

9 1741 Switzerlad Cap Weighted Idex 9 CONTACT For iformatio about the 1741 Switzerlad idices, please cotact: Vescore Ltd Multergasse 1-3 CH-9000 St. Galle idexig@vescore.com Importat iformatio: Exclusio of liability: This documet was produced by Vescore Ltd (hereiafter "Vescore"). However, Vescore provides o warraty or guaratee for its cotet or completeess ad accepts o resposibility for losses or damages of ay kid that arise directly or idirectly from the use of this documet or the iformatio cotaied herei. The opiios expressed i this documet are those of Vescore at the time the documet was prepared ad may chage at ay time ad without otificatio. Uless otherwise stated, all figures are uaudited. For iformatio purposes oly: This documet is provided for iformatio purposes oly ad costitutes either ivestmet advice, or a offer, or a recommedatio to buy fiacial istrumets, or does it exempt the recipiet from the use of his ow judgemet. Target group: This documet ad the iformatio cotaied herei are addressed exclusively to istitutioal ivestors who are ot "US persos" as defied i Regulatio S of the US Securities Act of Cosequetly, either this documet or copies thereof may be set or brought to the Uited States of America or delivered to a US perso. Restrictios: This documet is expressly ot addressed to idividuals whose atioality, domicile or other attributes would exclude them from the receipt of such iformatio based o curret regulatios. Whe i doubt, we recommed that you cotact a local distributio office or credit istitute.