Index Methodology - Equities. 18 December 2015

Transcription

1 Index Mehodology - Equiies 18 December 2015

2 Table of conens INTRODUCTION BACKGROUND THE INDEX FAMILY INFORMATION POLICY AND INDEX GOVERNANCE Producs Team Index Managemen Commiee Index Advisory Group INDEX CURRENCY CLASSIFICATION STANDARD MSCI INC. (MSCI) AND S&P DOW JONES INDICES LLC, A PART OF MCGRAW HILL FINANCIAL (S&P) CONSTRUCTION AND MAINTENANCE ELIGIBLE SECURITIES ALL-SHARE AND SECTOR INDICES General All-Share Index Secor Indices BENCHMARK INDEX (OSEBX/OSEFX) Index rebalancing Liquidiy and indusry arge crieria Free floa crieria Marke capialisaion limi Capping (OSEFX) TRADABLE INDEX (OBX) General Index rebalancing Capping Inra-periodic rebalance of he index TRADABLE INDEX (OBOSX) General Index rebalancing SMALL CAP INDEX (OSESX) MID CAP INDEX (OSEMX) INDEX CALCULATION GENERAL FORMULA PRICE ALGORITHM NUMBER OF SHARES All-Share and Secor Indices Benchmark Index Tradable Index Small Cap Index and Mid Cap Index DIVIDENDS Gross Indices (GI) Price Indices (PI) Ne oal reurn Indices (NI) ADJUSTMENT FACTOR FIXING VALUE SUSPENSION AND TRADING HALT CORPORATE ACTIONS DISCRETIONARY ADJUSTMENTS DAILY VS. PERIODIC REBALANCE OF NUMBER OF SHARES IN THE INDEX RIGHTS ISSUE December 2015 Page 2 / 23

3 4.3.1 Condiional ex-dae BONUS ISSUE SPLIT / REVERSE SPLIT PRIVATE PLACEMENT Repair issue SPIN-OFF Spin-off lised on he ex-dae Spin-off no lised on he ex-dae MERGER / TAKE-OVER REPURCHASE OF OWN SHARES SUSPENSION FROM THE INDEX FAST ENTRY FAST EXIT LIMITS OF LIABILITY APPENDIX 1 INDICES OSLO BØRS Main Indices Secor Indices Special Indices APPENDIX 2 GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS) The Classificaion Srucure of he Global Indusry Classificaion Sandard Company Classificaion Guidelines December 2015 Page 3 / 23

4 Inroducion 1.1 Background This bookle describes how Oslo Børs calculaes and adjuss he Benchmark, Tradable, Small Cap, Mid Cap, All- Share and Secor Indices 1. I is aimed a users, invesors and ohers ineresed in he consrucion and compuaion of such indices. 1.2 The Index Family The index family can be divided ino wo groups. The indices in he firs group are focused on invesabiliy of he consiuen companies and periodic sabiliy of he index composiion, while sill reflecing he populaion of socks from where he index was consruced. The objecive of hese indices is o reduce adminisraive rouines and coss due o coninuous rebalancing of he porfolio and secure radabiliy of he index consiuens in order for he index o funcion as an invesible index for he invesmen communiy. In he firs group we find he Benchmark, Tradable, Small Cap and Mid Cap Indices. If, for some reason, an index is o be disconinued, Oslo Børs will noify he marke in due course. A noice will be published a leas 6 monhs before an index is o be disconinued, unless coninuous calculaion is no possible due o force majeure or oher evens ouside he conrol of Oslo Børs. The decision o disconinue an index will be made by he Index Managemen Commiee. The objecive of he indices in he second group is o represen he overall sae and changes in he level of he economy. The second group includes he All-Share Index and he Secor Indices. The focal poin of he second group is o mimic he populaion of socks represening he index, wihou complying wih liquidiy and sabiliy requiremens. Since here is no filering for liquidiy, he indices hemselves may no be easy o replicae in a porfolio, or benchmark agains. Oslo Børs is he sole and exclusive owner of all righs, iles and ineres of he Indices 2. Any producs based on he Indices require permission by Oslo Børs. 1.3 Informaion Policy and Index Governance Changes o he index mehodology and index composiion will be published by Oslo Børs. Mehodology changes: Maerial changes o he Index Mehodology are normally announced 3 monhs before hey are pu ino effec. Semi-annual index rebalancing: A noice is normally announced no less han 1 week prior o implemenaion. Oslo Børs reserves he righ o aler he announced composiion in case of a merger, ake-over or oher major evens. Daily mainenance: Adjusmens of he Benchmark and Tradable Indices due o corporae evens are announced as soon as possible afer Oslo Børs has received all informaion needed o accomplish he adjusmens and no laer han he day prior o he even aking effec. All resoluions concluded by Oslo Børs are published o all marke paricipans, including members of he Index Advisory Group, simulaneously. 1 See Appendix 1 for lis of relevan indices. 2 The use of he Indices is he sole responsibiliy of he user. Oslo Børs shall no be liable for any loss or damage whasoever or howsoever caused or arising in connecion wih he use of he Indices. 18 December 2015 Page 4 / 23

5 1.3.1 Producs Team Daily index mainenance is performed by he Producs Team. The eam is par of he Informaion Services deparmen a Oslo Børs and is overseen by he Index Managemen Commiee Index Managemen Commiee The Index Managemen Commiee will ensure an orderly and objecive index mainenance. The commiee has he following responsibiliies: Review and approve changes o he mehodology Review and approve he semi-annual index rebalancing Review and approve he handling of complex corporae acions, escalaed by he Producs Team Approve or propose exernal consulaions and review consulaion feedback Decide when and o which exen he Advisory Group should be consuled Handle formal index relaed complains, according o he Oslo Børs Index Queries and Complains Policy The Index Managemen Commiee is inernal, consising of experienced saff from various Oslo Børs deparmens: Head of he Informaion Services deparmen (he commiee chair) Head of he Surveillance and Operaions deparmen Head of he Derivaives deparmen Senior represenaive from he Secondary Marke deparmen - Equiies The commiee is scheduled o mee wice a year and on an ad-hoc basis when needed. Resoluions require he aendance of a leas wo regular members Index Advisory Group Oslo Børs may consul he Index Advisory Group in maers regarding he index adminisraion, e.g. in connecion wih mehodology changes, complex corporae acions and index rebalancing. The Index Managemen Commiee decides when and o which exen he Advisory Group should be consuled. The Advisory Group comprises experienced praciioners represening key index Sakeholders, such as fund managers and marke makers in relevan financial producs. The Advisory Group is used for advice only and does no have any decision-making power. 1.4 Index Currency The indices are calculaed and quoed in Norwegian Kroner (NOK). To calculae he index in any oher currency han he quoe currency, he index levels may be muliplied by he exchange rae of he new currency o he index quoe currency. 1.5 Classificaion Sandard MSCI Inc. (MSCI) and S&P Dow Jones Indices LLC, a par of McGraw Hill Financial (S&P) Oslo Børs has enered ino a licence agreemen wih MSCI and S&P wih respec o classificaion under he Global Indusry Classificaion Sandard (GICS). 3 Oslo Børs has adoped he GICS as he official classificaion sandard for all lised companies. 4 3 The Global Indusry Classificaion Sandard (GICS) was developed by and is he exclusive propery of MSCI and S&P. The sandard comprises he naming, mehodology, srucure, coding convenion and oher elemens for classifying securiies. MSCI and S&P are he sole and exclusive owners of all righs, iles and ineres in and o he GICS. Oslo Børs is eniled o disribue and permi hird paries o redisribue and use he classificaions made by MSCI and S&P using he Global Indusry Classificaion Sandard (GICS). 4 See Appendix 2 for deailed informaion regarding he GICS classificaion sysem. 18 December 2015 Page 5 / 23

6 2 Consrucion and Mainenance 2.1 Eligible securiies All socks lised on Oslo Børs are normally eligible for inclusion. However, cerain crieria such as liquidiy may make a sock ineligible for index purposes. Oslo Børs disinguishes beween primary or secondary lising. For secondary lisings, only he par of he ousanding shares which is regisered in VPS (he Norwegian Cenral Securiies Deposiory) is eligible for inclusion. If a company has lised muliple sock classes, each of which is priced and raded separaely, all sock classes are eligible for inclusion and are reaed as separae securiies. Inerim shares are also reaed as separae insrumens from he company s exising share class. Index inclusion is based on objecive crieria such as free floa mehodology, secor represenaion and share liquidiy. I is no possible for a lised company o apply for inclusion in an index, nor is i possible o oppose i. Securiy ypes no included in he index are closed-end funds, exchange raded funds, muual funds, uni-invesmen russ, converible debenures, preferred socks, righs, equiy cerificaes 5, warrans, and oher derivaive securiies. 2.2 All-Share and Secor Indices General The All-Share and Secor Indices are by consrucion no inended o be invesible indices. The mainenance of he index composiions is carried ou on a daily basis o reflec he coninuous changes in ousanding shares and lised companies. New lisings shall be included on he second day of lising providing ha he company has been assigned he GICS classificaion All-Share Index The All-Share Index consiss of all shares lised on Oslo Børs Secor Indices A secor index is acive when i includes one or more eligible securiies. A secor index wih no securiies is closed unil one or more securiies are eligible for index inclusion. When resuming a secor index, an index base value and base dae are boh rese in he index. Each of he Secor Indices consiss of all shares lised on Oslo Børs in is respecive Secor, Indusry Group and Indusry (GICS level 1, 2 and 3). 2.3 Benchmark Index (OSEBX/OSEFX) Index rebalancing The Benchmark Index shall be an invesible index represening all shares lised on Oslo Børs. In order o fulfil condiions se forh in he objec of he index, he Benchmark Index is rebalanced semi-annually by Oslo Børs who applies he crieria in In he period beween reviews, he number of shares for each securiy applied in he index calculaion is fixed wih he excepion of adjusmens for corporae acions wih prioriy for exising shareholders. Oslo Børs will provide boh an uncapped and a capped version of he Benchmark Index, he marke capialisaion limi is described in The Mid Cap Index (OSEMX) allows inclusion of equiy cerificaes. 18 December 2015 Page 6 / 23

7 The rebalance is conduced on he basis of figures as of afer closing on he las rading day of Ocober and April. Implemenaion of he rebalanced index will ake effec from he firs rading day of December and June, respecively. Rebalancing will be underaken using closing prices he day prior o implemenaion Liquidiy and indusry arge crieria The following five-sep process is applied when selecing he securiies ha consiue he index: (i) (ii) (iii) (iv) (v) To avoid seasonal flucuaions all eligible securiies lised on Oslo Børs are sored according o he previous 12 monhs official urnover. Securiies wih lowes urnover according o (i) corresponding o 30% in number are deemed ineligible. Securiies wih highes urnover according o (i) corresponding o 10% bu minimum 25 securiies are agged qualified. All securiies according o (i) are sored according o Indusry Group (GICS level 2). Wihin each indusry group, securiies are sored according o he free floa-adjused marke cap. Wihin each Indusry Group, securiies are seleced according o ordering in (iv), highes free floa-adjused marke cap firs, unil a leas 85% of he indusry-group s free floa-adjused marke cap is reached. If needed addiional securiies wih highes urnover according o (iii) are added. The securiies wih lowes urnover according o (ii) are removed afer he selecion is made and will no be replaced by oher eligible securiies. The arge of a leas 85% of each indusry-group s free floa-adjused marke cap may no be reached since some securiies according o (ii) are removed. If a significan porion of he rading volume of a sock which qualifies as an index consiuen is aribuable o a few ransacions or o ransacions wihin a limied ime period so ha he regisered volume is considered no o be represenaive, Oslo Børs may decide ha he sock is ineligible. Oslo Børs may also decide ha he sock is ineligible for index inclusion due o a number of days wih limied or no ransacions. If a company gains conrol of 90% of he ousanding shares in anoher company, according o 4.8, in he period beween Ocober 31 / April 30 and ime for publishing he preliminary composiion, he acquired company will no be included in he selecion process. During a merger or ake-over when he oucome is uncerain Oslo Børs reserves he righ o publish more han one preliminary composiion. If a company changes from secondary o primary lising or changes domicile, he company will inheri hisorical urnover figures Free floa crieria Free floa is an imporan issue when consrucing an invesible index. Free floa is defined as he porion of he share capial of a company, which is freely available for rading in he marke. The objecive of inroducing free floa crieria is o avoid a disorion in he price of a securiy and o improve he index overall invesabiliy. A low free floa will no exclude a company from an index bu will resric he percenage porion of he ousanding shares, which is included in he Benchmark Index calculaion. The free floa crierion may be applied for secondary lisings and foreign domicile if he number of shares in he index calculaion is based on a leas a majoriy of he oal capial in he sock class. Free floa is measured by idenifying he ownership of he en larges invesors. The review is conduced on he basis of figures from he firs wo weeks in Ocober and April. Only publicly available informaion is used in calculaing he free floa resricion. The following ownership is in general considered as resricing free floa: Governmen holdings - Shareholdings owned by governmens. This does no include shareholdings owned by a municipaliy. 18 December 2015 Page 7 / 23

8 Conrolling shareholders Ownership sakes exceeding 30% are considered as non-free floa. If one ownership sake exceeding 10% combined wih anoher ownership sake exceeds 40%, hey are considered as non-free floa. If hree or more ownership sakes, all exceeding 10%, combined exceeds 50%, hey are considered as nonfree floa. Shareholdings owned by a company in he same indusry group exceeding 10% of he capial are always considered as non-free floa. Porfolio invesmens such as pension funds, uni russ (muual funds) and shares held by insurance companies are no considered o resric he free floa. Excepions can be made when analysis show ha hese holdings are unlikely o be made available in he marke as free floa. Company Insider sakes Shares owned by persons included in he insider lis from he Financial Supervisory Auhoriy. Including reasury shares owned by he company iself. Shares owned by companies wih represenaives on he board are considered as insider sakes. Cross holdings Shares owned by an index consiuen or a non-consiuen. Noe: The holdings are only classified as non-free floa if boh companies own shares in each oher. Securiies wih a free floa greaer han 15% will be included in he index wih a free floa facor rounded up o he closes 5%. Securiies wih a free floa less han 15% will be included in he index wih a free floa facor rounded down o he closes 1%. The consiuen s free floa is generally no changed beween he review daes unless he index abiliy o mimic he oal marke is seriously deerioraed or he free floa has changed considerably as a resul of a akeover according o rule Marke capialisaion limi Capping (OSEFX) Oslo Børs will provide uncapped and capped versions of he Benchmark Index. If one or few consiuen dominaes he index due o a large weigh in he index, wo problems arise. The consiuen or is indusry may be over-represened in he index and skew he index performance compared o he invesmen universe of all socks lised on Oslo Børs. The index is no longer invesible for a majoriy of he users who benchmark agains he index due o possible invesmen resricions. Consequenly, o comply wih demands of an invesible index, he capped version of he Benchmark Index is consruced in a manner ha complies wih he invesmen resricions implied by legislaion regulaing invesmens in muual funds. The following index weigh resricions mus be me o comply wih he legislaion regulaing invesmens in muual funds: The marke value of securiies issued by he same body may no exceed 10% of he index oal marke value. The marke value of securiies issued by he same body exceeding 5% index weigh mus no combined exceed 40% of he index oal marke value. The procedure mainaining hese resricions is applied subsequenly o applicaion of crieria Oslo Børs is mainaining he weighing resricions by using a quarerly and daily procedure. The weighing resricions will be imposed by adjusing he number of shares of he consiuens q i,. Quarerly capping is applied on he firs rading day in March, June, Sepember and December respecively. Quarerly adjusmen: Selecion of consiuens o he 40% group on quarerly basis: Securiies are ranked by heir company marke value. Securiies issued by he same body exceeding he 9% limi will be capped a 9%. Securiies are separaed ino wo groups. The firs group is filled wih securiies issued by he same body weighing beween 4.5% and 9% unil he oal weigh has reached he maximum of 36%. The iniial capping limi for he second group will be 4.5%. This means ha limis are used iniially for all consiuens in he index when he weighs are se on quarerly basis. The limis imposed by legislaive auhoriies (5%, 10% and 40%) will in he daily capping process be used as hreshold values for he capped companies. The process of he quarerly division of groups will be applied inra quarerly in he even of a Fas Enry. 18 December 2015 Page 8 / 23

9 Daily adjusmen: As needed rebalancing is done a he close of each day. Securiies issued by he same body exceeding he 10% limi will be capped a 9%. Securiies issued by he same body iniially capped a 4.5% and 9% will be allowed o floa freely up o 10%. If he oal weigh of he securiies issued by he same body above 5% exceeds 40%, he securiies issued by he same body above 5% wih he smalles weigh are capped o 4.5%. Using a sepwise approach index consiuens are reduced in weigh unil all weigh resricions are saisfied. This procedure is applied once a day, and as a consequence, he weigh of he index consiuens may exceed he 40% and 10% limis during he day. 2.4 Tradable Index (OBX) General The OBX is a radable index which is consruced mainly for he purpose of derivaives rading. The index is aimed o be a highly liquid composiion of shares ha reflecs he Oslo Børs invesmen universe. The underlying securiies in he index are liquid wih good lending possibiliies Index rebalancing The index normally consiss of 25 consiuens and he index porfolio is rebalanced semi-annually. The rebalance is conduced on he basis of figures as of afer closing on he las rading day of November and May. Implemenaion of he rebalanced index will ake effec immediaely afer he December and June derivaives expiraion - he firs Friday afer he hird Thursday in December and June. Rebalancing will be underaken using closing prices he day prior o implemenaion The following mehod is used in he selecion of consiuens o he index porfolio: (i) The calculaion period is he 6 monhs prior o he selecion of a new OBX composiion. (ii) OBX normally consiss of he 25 mos raded shares on Oslo Børs in he calculaion period. (iii) The consiuens are normally chosen o enable he index o follow as closely as possible he developmen of he Benchmark Index (OSEBX). (iv) Only officially regisered rades shall be included in he calculaion. (v) Oslo Børs may se aside he provisions above and choose oher index consiuens in defining he OBX composiion if special circumsances so indicae. (vi) All shares are included based on free floa-adjused marke cap as se forh in In he period beween reviews he number of shares for each securiy applied in he index calculaion is fixed wih he excepion of adjusmens for corporae acions wih prioriy for exising shareholders as se ou in secion 4 and as needed capping as described in Capping The following index weigh resricions mus be me by index funds racking indices in order o comply wih UCITS and Verdipapirfondloven (Vpfl.): The marke value of he larges consiuen may no exceed 35% of he index oal marke value. The marke value of each consiuen oher han he larges may no exceed 20% of he index oal marke value. Oslo Børs is mainaining he weighing resricions by using a semi-annual and an as needed procedure. Semi-annual adjusmen: (i) Adjusmens will come ino effec on he firs rading day afer expiraion in June and December. The larges sock, if exceeding 30% of he OBX oal marke value, will be capped a 30%. 18 December 2015 Page 9 / 23

10 (ii) The weigh removed from he larges sock will be disribued amongs he remaining socks in proporion o heir relaive weighs. (iii) Socks regisered in counries ouside he EEA (European Economic Area) will be capped as a group a 10% if he sum of he marke value of hese socks exceeds 10% of he OBX oal marke value. The socks regisered ouside he EEA will be capped in proporion o heir relaive weighs. Oslo Børs will base is assessmen on he ISIN of he sock o deermine if he sock is regisered wihin he EEA or no. Oslo Børs may in some cases decide wheher a sock, regardless of ISIN, shall be considered o be a par of he EEA or no. The weigh removed from he socks regisered ouside EEA will be disribued amongs he remaining socks in proporion o heir relaive weighs. (iv) Oher socks, if exceeding 15% of he OBX oal marke value, will be capped a 15%. (v) The capping is repeaed if necessary unil all socks are wihin he capping limis of 30%, 10% and 15%. As needed adjusmen: (i) (ii) (iii) The index may be recapped on an as needed basis in beween rebalancing imes. The as needed adjusmen will be acivaed if he larges sock exceeds 35% and/or oher socks exceed 20% of he OBX oal marke value. The socks will be capped unil he weigh resricions are saisfied as for he semi-annual adjusmen. Corporae acions and fas enry/exi may resul in addiional adjusmens. Socks are ranked by heir free floa adjused marke value. All cappings will be done based on he uncapped OBX (OBXU). The weighing resricions will be imposed by adjusing he number of shares of he consiuens. The number of shares used is based on he closing prices wo rading days before he capping comes ino effec Inra-periodic rebalance of he index If in special circumsances Oslo Børs considers ha an index consiuen is unsuiable, Oslo Børs may decide o remove i from he OBX. 2.5 Tradable Index (OBOSX) General The Oslo Børs OBX Oil Service Index (OBOSX) is inended o be an invesible index wih a composiion of highly liquid shares wihin he oil service secor. The index is a hybrid of he OBX index (as se ou in secion 2.4) and he OSE Energy Equipmen & Service index, and conains only he companies ha are members of boh he OBX index and he OSE Energy Equipmen & Service index. The OSE Energy Equipmen & Service index consiss of all shares lised wihin he Oil Service secor on Oslo Børs, Index rebalancing The OBOSX is rebalanced semi-annually. The rebalance is conduced on he basis of figures as of afer closing on he las rading day of November and May. Implemenaion of he rebalanced index will ake effec he firs Friday afer he hird Thursday of June and December each calendar year. Rebalancing will be underaken using closing prices he day prior o implemenaion. In he period beween reviews, he number of shares for each securiy applied in he index calculaion is fixed wih he excepion of adjusmens for corporae acions wih prioriy for exising shareholders as se ou in secion December 2015 Page 10 / 23

11 2.6 Small Cap Index (OSESX) The Oslo Børs Small Cap Index consiss of he 10% lowes marke capialised shares a Oslo Børs. The selecion process is based on oal marke capialisaion for each share/company while he calculaion is based on free floa marke capialisaion. The Small Cap Index is rebalanced semi-annually and conduced on he basis of figures as of afer closing on he las rading day of Ocober and April. The implemenaion of he rebalanced index will ake effec from firs rading day of December and June, respecively. Rebalancing will be underaken using closing prices he day prior o implemenaion. If corporae acions (secion 4) cause adjusmens o he index, he free floa number of shares is changed o fully reflec he new free floa marke capialisaion of he company in he index. 2.7 Mid Cap Index (OSEMX) The Oslo Børs Mid Cap Index consiss of shares and equiy cerificaes a Oslo Børs. The selecion process is based on oal marke capialisaion for each securiy while he calculaion is based on free floa marke capialisaion. Securiies wih a oal marke value beween NOK 1 15 billions qualify for inclusion. Securiies need o be raded a leas 90% of all rading days during he las 6 monhs period prior o he rebalance. If a securiy has been lised for less han 6 monhs, he securiy mus have been raded a leas 90% of he days lised. The Mid Cap Index is rebalanced semi-annually and conduced on he basis of figures as of afer closing on he las rading day of Ocober and April. The implemenaion of he rebalanced index will ake effec from he firs rading day of December and June, respecively. Rebalancing will be underaken using closing prices he day prior o implemenaion. If corporae acions (secion 4) cause adjusmens o he index, he free floa number of shares is changed o fully reflec he new free floa marke capialisaion of he company in he index. 18 December 2015 Page 11 / 23

12 3 Index Calculaion 3.1 General Oslo Børs calculaes index values in real-ime. 3.2 Formula The main objecive of he index calculaion is o exceedingly reflec he changes in value of a porfolio consising of he index consiuens. Oslo Børs is calculaing he indices using he below formula. i, i, i1 I * I n 1, i1 q i, * n q p i, 1 * p d i, * j i, where I = Index level a ime q i, = Number of shares of company i applied in he index a ime p i, = Price of a share in company i a ime d i, = Dividend only used for oal reurn indices j i, = Adjusmen facor for adjusing he share price of a consiuen securiy due o corporae acions by he issuing company a ime 3.3 Price Algorihm To represen he price of a share, p i, in he formula in 3.2, Oslo Børs applies he following rule: The officially regisered rading price for an index consiuen on each rading day shall be correced for cancelled rades before i is applied o he calculaion of index values on he nex rading day. If an officially regisered rading price for an index consiuen has no been quoed on he relevan rading day, he las quoed rading price shall be used in he calculaion. If a bid has been quoed higher han he las quoed rading price, he bid shall be applied in he calculaion. If an ask has been quoed lower han he las quoed rading price, he ask shall be applied in he calculaion. In algorihmic form: If an official rade exiss, hen: if bid > rade hen p i, = bid if ask > 0 and ask < rade hen p i, = ask else p i, = rade where: bid = bes official buying order ask = bes official selling order rade = las official rade in he securiy 18 December 2015 Page 12 / 23

13 3.4 Number of Shares All-Share and Secor Indices The number of shares of a company applied in he index, q i, in he formula in 3.2, is he curren ousanding number of shares (reasury shares no included). If corporae acions cause adjusmens o he index, he number of shares is changed o fully reflec he new marke capialisaion of he company in he index. For secondary lisings, he number of shares for each securiy applied in he index calculaion is changed by Oslo Børs on he firs rading day of each monh. The adjusmen is based on he number of shares regisered in VPS Benchmark Index The number of shares of a consiuen applied in he index, q i, in he formula in 3.2 is a resul of he semi-annual rebalance and is fixed in he period beween reviews wih he excepion of adjusmens for corporae acions wih prioriy for exising shareholders. Oslo Børs will provide boh an uncapped and a capped version of he Benchmark Index, he marke capialisaion limi is described in Tradable Index The number of shares of a consiuen applied in he index, q i, in he formula in 3.2 is a resul of he semi-annual rebalance and is fixed in he period beween reviews wih he excepion of adjusmens for corporae acions wih prioriy for exising shareholders, and inra-period cappings Small Cap Index and Mid Cap Index The number of shares of a consiuen applied in he index, q i, in he formula in 3.2 is a resul of he semi-annual rebalance and is fixed in he period beween reviews wih he excepion of adjusmens for corporae acions wih prioriy for exising shareholders. 3.5 Dividends Oslo Børs calculaes boh oal reurn (GI) and price (PI) versions of all indices, excep for he OBOSX index where only a oal reurn version is available Gross Indices (GI) To reflec he rue performance of an index, dividends are reinvesed in he oal reurn version of he index. The reinvesmen is carried ou by adjusing he pi,-1 in he denominaor in he index wih subracion of dividends from his price on he ex-dividend dae. This adjusmen reinvess he dividend in all index consiuens in proporion o heir respecive weighs. Adjusmen shall also be made for scrip dividends, oher cash disribuions or for capial reducions where he whole or par of he cash disribuion or he amoun of he reducion replaces an ordinary dividend. ~ p i, 1 pi,- 1 dividend Price Indices (PI) In a price reurn index no cash dividend is reinvesed in he index. Hence, he price reurn index only yields he performance of sock price movemens. The difference in rae of reurn for he oal and price reurn version of an index is aribuable o he dividend yield of he index Ne oal reurn Indices (NI) Invesors normally pay wihholding ax on dividends received on foreign exchange invesmens and he index mus be able o reflec he ax rae on he disribued dividend. 18 December 2015 Page 13 / 23

14 The wihholding ax level used for he Oslo Børs ne oal reurn indices is 15%. ~ p i, 1 pi,-1 dividend 1WT 3.6 Adjusmen Facor If a company carries hrough wih a corporae acion wih prioriy for exising shareholders, any diluing effecs mus be adjused for in order o reflec he rue performance of he securiy and index. In he even of a corporae acion underaken by a consiuen company, Oslo Børs will calculae he adjusmen facor applied in he index calculaion, ji, in he formula in 3.2, according o he rules in secion 4. The adjusmen facor expresses he heoreical percenage change in he sock price as a resul of he diluion. 3.7 Fixing Value Oslo Børs calculaes fixing values for indices on a daily basis. The fixing value is calculaed by using volume weighed average prices for each consiuen insead of he ordinary price algorihm described in 3.3. Oslo Børs is using he following formula o calculae fixing values: where i, i, i1 I * I n 1, i1 q n q i, 1 * p * p i, 1 * j i, p i, m j1 n j, n * p m, j, The variable nj, is he number of shares in rade j on day and n m, is he oal number of shares raded on day. The oher variables are as in he formula in 3.2. When calculaing he average price for he index consiuen, only ransacions which have been carried ou during opening hours a a price which is wihin he range of he highes bid price and he lowes ask price for such sock a he ime of he ransacion shall be aken ino accoun (auomaically mached rades). 3.8 Suspension and Trading Hal Index consiuens ha are subjec o a maching hal or are suspended from quoaion on Oslo Børs shall be included in index calculaions a he las quoed price. 18 December 2015 Page 14 / 23

15 4 Corporae Acions This secion liss he mos common corporae acions underaken by lised companies and describes he appropriae adjusmen applied by Oslo Børs o mainain he correc represenaion of he index performance. Rebalancing will be underaken using closing prices he day prior o implemenaion. The following corporae acions may lead o an adjusmen of he indices. - Righs issue - Spli / Reverse spli and change in face value - Privae placemen - Repair issue - Spin-off - Merger / Take-over - Redempion and cancellaion of shares Each even is described in deail below. 4.1 Discreionary adjusmens Oslo Børs decides which adjusmen alernaive shall be employed. Oslo Børs may in he cases described below make oher adjusmens han hose saed, if warraned by special circumsances. Oslo Børs may also make adjusmens o an index in oher cases han saed below. 4.2 Daily vs. periodic rebalance of number of shares in he index There is a fundamenal difference in he reamen of adjusing number of shares in indices ha only rebalance number of shares periodically compared o ha of indices rebalancing number of shares on a daily basis. Indices rebalancing number of shares on a daily basis include all shares ousanding or hereof implied number of shares in he even of corporae acions. For indices where he number of shares is rebalanced periodically, he number of new shares is deermined in accordance wih he erms of he corporae acion. 4.3 Righs issue A share issue is an offer by he company o exising shareholders o ake par in a new issue of shares. The new shares are offered in proporion o each shareholder's exising holding, generally a a reduced price. The issue of shares a below-marke-price resuls in diluion of he head shares. In a righs issue boh he number of shares ousanding and marke capialisaion of he company increases. Effecive from he ex-dae, he number of shares and price of he consiuen is adjused o reflec is rue performance. I is assumed ha he righs issue is fully subscribed. For indices rebalancing number of shares on a daily basis and in he case of a no fully subscribed offering, he number of shares included in he index will be adjused o reflec he acual number of shares subscribed. For indices where he numbers of shares are rebalanced periodically and in he case of a no fully subscribed offering, he number of shares included in he index may be adjused o reflec he acual number of shares subscribed. For repair issues, please refer o secion December 2015 Page 15 / 23

16 Oslo Børs is calculaing he adjusmen facor using he following formula: Adjusmen facor p ex j P cum p ex p cum m P n m n p cum p ex P m n Securiy price cum righs Theoreical securiy price ex Subscripion price Number of head shares Number of new shares righs Condiional ex-dae If a share rades exclusive he righ o paricipae in a righs issue prior o he General Meeing s approval of he righs issues in quesion, he exchanges may suspend he share in indices unil such approval is submied. Each case should be reviewed individually. 4.4 Bonus issue A bonus issue or sock dividend is an issue of shares free of charge o exising shareholders, he shares being brough ino exisence by he capialisaion of he company's reserves. The new shares are issued in proporion o each shareholder's exising holding. The issue of bonus shares is merely an accouning ransacion and resuls in no flow of capial ino or ou of he company. The number of shares increases bu he marke capialisaion of he company remains unchanged. Oslo Børs will increase he number of shares of he consiuen securiy, by he number of addiional shares, on he day ha he index consiuen is firs available for rading on he exchange ex righs (ex-day). 4.5 Spli / Reverse spli A sock spli or reverse spli is he acion of a company in spliing or recouping is shares, reducing or increasing, respecively, par value in proporion and so increases or decreases, respecively, he number of shares. The economic effec of a sock spli or reverse sock spli is equivalen o bonus issue, as here is no flow of capial ino or ou of he company. The number of shares increases or decreases bu he marke capialisaion of he company remains unchanged. 4.6 Privae placemen Issues where exising shareholders have waived heir pre-empive righ o subscribe in he issue are usually offered o he public, direcly o a person or an organisaion. The issue of new shares resuls in flow of capial ino he company, he number of shares increases and he marke capialisaion of he company changes. Effecive on he ex-dae, he number of shares of he consiuen securiy is adjused in indices ha rebalance he number of shares on a daily basis in order o reflec he new marke capialisaion of he company. For indices rebalancing he number of shares on a periodically basis, new shares from he issue are no included before implemenaion of he new index composiion a he nex index rebalancing. 18 December 2015 Page 16 / 23

17 4.6.1 Repair issue Repair issues are someimes launched subsequen o a privae placemen o compensae shareholders ha did no paricipae in he privae placemen. The erms for such issues are normally announced on he ex-dae. As a main rule, Oslo Børs does no adjus for repair issues. For indices rebalancing number of shares periodically, he new shares are included a he nex index rebalancing. For indices rebalancing number of shares on a daily basis, he new shares are included when he final resul of he issue is available. 4.7 Spin-off A spin-off resuls in ouflow of capial in form of capial ransfer from he paren company o he new company. In a spin-off he number of shares ousanding normally remains unchanged. However, he price of he company will be affeced. The spin-off is included in indices rebalancing number of shares on a daily basis on he second day of lising. For he periodically rebalanced indices, he adjusmen mehod used depends on wheher he spin-off is lised on Oslo Børs on he ex-dae or no Spin-off lised on he ex-dae Direc Inclusion: If he spin-off is lised on he exchange on he ex-day and he new sock by a high degree of probabiliy is expeced o be liquid so prices will be obained on he ex-day, he securiy will be included in he index on he ex-day wih saring price Spin-off no lised on he ex-dae Valuaion Mehod: Where valuaion of he spin-off can be obained, he opening price of he index consiuen P i,-1 on he ex-day shall be deermined as he mos recen price on he preceding bank day less he calculaed value of he spin-off. Thereafer he regular index calculaion shall ake place employing he mos recen ransacion prices. The valuaion of he spin-off will be based on publicly available informaion from he company iself, and/or on minimum five esimaes from members of Oslo Børs. Fixed price mehod: If no saisfacory valuaion of he spin-off has been obained, effecive on he ex-dae only, he index is calculaed using he closing share price from he previous rading day. This price is used in he calculaion of he index up o and including ha day he firs closing price is regisered excluding spin-off. The following day, a new base value is calculaed on he basis of he previous day s closing price. 4.8 Merger / Take-over A merger or ake-over is o combine he ownership of wo companies ino a new company or ha one company obains he ownership of he oher. The adjusmens below will be effecive on he day he acquiring company conrol a leas 90% of he ousanding shares in he acquired company, unless he securiy is deemed unsuiable for index purposes earlier. 18 December 2015 Page 17 / 23

18 In indices rebalancing he number of shares daily: (i) (ii) If boh he acquiring company and he acquired company are lised on Oslo Børs, he acquired company is deleed from he index when he company is delised from Oslo Børs or when shares issued o he shareholders in he acquired company is subjec for rading in he acquiring company. If he acquiring company is no lised, he acquired company is deleed when 90% accepance is reached. In indices rebalancing he number of shares periodically: (i) (ii) (iii) If boh he acquiring company and he acquired company are consiuens and he acquisiion is seled enirely or parly in eligible shares, he marke capialisaion of he acquiring company is increased in accordance wih he erms of he offer or merger. The acquired company is deleed from he index. If he acquiring company is no lised on Oslo Børs, he acquired company is deleed from he index wihou including a new consiuen. If he acquiring company is a consiuen and he acquired company is no a consiuen, he marke capialisaion of he acquiring company is no increased. 4.9 Repurchase of own shares In he even a company whose shares consiue an index consiuen repurchases is own shares, and/or repurchases and cancels is own shares, Oslo Børs adjuss he number of shares included in he indices rebalanced on a daily basis. The adjusmen shall ake place hrough a reducion in he number of shares included in he index consiuen. In indices rebalancing number of shares periodically however, he companies reasury- shares are only adjused in connecion wih he semi-annual rebalancing of he indices Suspension from he index Where informaion concerning a corporae acion is seen as insufficien in order o perform a saisfacory adjusmen, he consiuen securiy may be suspended from he index on he ex-dae only. However, if no price has been obained on he ex-day, he consiuen securiy will remain suspended from he index unil he day afer he firs price observaion Fas enry A new sock class lised on Oslo Børs is generally no included in he index composiion immediaely in indices where he number of securiies is rebalanced periodically. However if a newly lised sock class is considered by Oslo Børs o resul in a serious deerioraion in he index' abiliy o mimic he populaion of socks represening he marke, or if here is a significan probabiliy for he company o consiue he index a he nex rebalancing dae, fas enry may be considered. No oher securiies are excluded resuling from addiion of a new securiy. For he All- Share and Secor Indices a new sock class is included in he index composiion on he second day of lising Fas exi If a securiy is delised from Oslo Børs, a replacemen consiuen is no included in he index composiion. The exclusion of an index consiuen will usually be carried ou on is las rading day unless he securiy is deemed unsuiable for index purposes earlier. 18 December 2015 Page 18 / 23

19 5 Limis of liabiliy Oslo Børs assumes no liabiliy for loss or damages relaed o or arising ou of he use of he Indices. Oslo Børs expressly disclaims all warranies of accuracy, compleeness, merchanabiliy or finess for a paricular purpose wih respec o he Indices. Neiher Oslo Børs nor any hird pary make any express or implied warranies or represenaions in respec of he Indices, he resuls o be obained by he use hereof or he value of he Indices a any given ime. 18 December 2015 Page 19 / 23

20 Appendix 1 Indices Oslo Børs Main Indices Index Name Index code ISIN code OBX Toal Reurn Index OBX NO Oslo Børs All-Share Index_GI OSEAX NO Oslo Børs Benchmark Index_GI OSEBX NO Oslo Børs Muual Fund Index_GI OSEFX NO Oslo Børs Small Cap Index_GI OSESX NO Oslo Børs OBX Oil Service Index Oslo Børs Mid Cap Index OBOSX OSEMX NO NO OBX Price Index OBXP NO Secor Indices Indices level 1 Secor Index code ISIN code OSE10 Energy_GI OSE10GI NO OSE15 Maerials_GI OSE15GI NO OSE20 Indusrials_GI OSE20GI NO OSE25 Consumer Discreionary_GI OSE25GI NO OSE30 Consumer Saples_GI OSE30GI NO OSE35 Healh Care_GI OSE35GI NO OSE40 Financials_GI OSE40GI NO OSE45 Informaion Technology_GI OSE45GI NO OSE50 Telecommunicaion Services_GI OSE50GI NO OSE55 Uiliies_GI OSE55GI NO Indices level 2 Indusry Group Index code ISIN code OSE1010 Energy_GI OSE1010GI NO OSE1510 Maerials_GI OSE1510GI NO OSE2010 Capial Goods_GI OSE2010GI NO OSE2020 Commercial & Professional Services_GI OSE2020GI NO OSE2030 Transporaion_GI OSE2030GI NO OSE2510 Auomobiles & Componens_GI OSE2510GI NO OSE2520 Consumer Durables & Apparel_GI OSE2520GI NO OSE2530 Consumer Services_GI OSE2530GI NO OSE2540 Media_GI OSE2540GI NO OSE2550 Reailing_GI OSE2550GI NO OSE3010 Food & Saples Reailing_GI OSE3010GI NO OSE3020 Food, Beverage & Tobacco_GI OSE3020GI NO OSE3030 Household & Personal Producs_GI OSE3030GI NO OSE3510 Healh Care Equipmen & Services_GI OSE3510GI NO OSE3520 Pharmaceuicals, Bioechnology and Life Sciences_GI OSE3520GI NO OSE4010 Banks_GI OSE4010GI NO OSE4020 Diversified Financials_GI OSE4020GI NO OSE4030 Insurance_GI OSE4030GI NO OSE4040 Real Esae_GI OSE4040GI NO OSE4510 Sofware & Services_GI OSE4510GI NO OSE4520 Technology Hardware & Equipmen_GI OSE4530 Semiconducors & Semiconducor Equipmen_GI OSE4520GI OSE4530GI NO NO OSE5010 Telecommunicaion Services_GI OSE5010GI NO December 2015 Page 20 / 23

21 OSE5510 Uiliies_GI OSE5510GI NO Indices level 3 - Indusry Index code ISIN code OSE Energy Equipmen & Services_GI OSE101010GI NO OSE Marine_GI OSE203030GI NO Special Indices Index Name Index code ISIN code Oslo Børs Equiy Cerificae Index OSEEX NO OBX BID Index OBXBID NO OBX ASK Index OBX Inernaional Index OBX Volume-weighed Index OBXASK OBXI OBXW NO NO NO OSLO Seafood Index OSLSFX NO OSLO Shipping Index OSLSHX NO OSLO Energy Index OSLENX NO OSLO Energy Drilling Index OSLDRX NO OSLO Energy Exploraion & Producion I. OSLEPX NO OSLO Energy Equipmen & Services Index OSLESX NO OSLO Energy Inegraed Oil & Gas Index OSLIOGX NO OSLO Energy Renewable Index OSLREX NO The rules for he special indices are no covered in his index mehodology. 18 December 2015 Page 21 / 23

22 Appendix 2 Global Indusry Classificaion Sandard (GICS) The Classificaion GICS aims a easing he invesmen research and asse managemen process for financial professionals worldwide. I is he resul of numerous discussions wih asse holders, asse managers, and invesmen analyss around he world and is designed o respond o he global financial communiy s need for an accurae, complee and sandard indusry definiion. GICS consiss of 10 secors, 24 indusry groups, 68 indusries and 154 sub-indusries. MSCI and S&P classify all equiies on Sub-Indusry level. The Exchanges may decide o calculae indices on various levels, bu he Exchanges will as a minimum and for he purpose of direc comparison compue indices a he Secor level and he Indusry Group level. The key feaures of he GICS are: Universal: The classificaion applies o companies globally Accurae: The srucure accuraely reflecs he sae of he indusries in he equiy invesmen universe Flexible: Four levels of analysis, ranging from he mos general secor o he mos specialised sub-indusry Evoluionary: Annual reviews will be conduced o ensure ha he classificaion remains fully represenaive of he universe Srucure of he Global Indusry Classificaion Sandard The classificaion is srucured ino four levels, where he 10 secors a he firs level are represened here: 10 Energy 15 Maerials 20 Indusrials 25 Consumer Discreionary 30 Consumer Saples 35 Healh Care 40 Financials 45 Informaion Technology 50 Telecommunicaion Services 55 Uiliies Company Classificaion Guidelines The GICS assigns each company ino a sub-indusry according o he definiion of is principal business aciviy. Since he classificaion is sricly hierarchical a each of he four levels, a company can only belong o one grouping. The classificaion aims a providing an accurae, complee and long-erm view of he global invesmen universe from an indusrial perspecive. For mos companies, revenues reflec more precisely companies aciviies han earnings, as hey are less volaile han earnings. Furhermore, indusrial and geographical breakdowns of revenues are available for mos companies while many companies sill do no provide earnings breakdowns. Neverheless, company valuaions are more closely relaed o earnings han revenues and herefore remain an imporan consideraion. Consequenly, companies are classified primarily on he basis of revenues, while earnings are considered as a second crierion. The primary source of informaion used o classify shares is he companies annual repors and accouns. Oher sources include brokers repors and oher published research lieraure. As a general rule, a company is classified ino he sub-indusry whose definiion mos closely describes he business aciviies ha generae he majoriy of he company s revenues. However, a company engaged in wo or more subsanially differen business aciviies, none of which conribues 60% or more of revenues, is classified in he sub-indusry, which provides he majoriy of boh he company s revenues and earnings. When no sub-indusry provides he majoriy of boh he company s revenues and earnings, classificaion will be deermined based on MSCI and S&P s analysis. 18 December 2015 Page 22 / 23

23 In addiion, a company significanly diversified across hree or more secors, none of which conribues he majoriy of revenues or earnings, is classified eiher in he Indusrial Conglomeraes sub-indusry (Indusrial Secor) or he Muli-Secor Holdings sub-indusry (Financial Secor). In he case of a new issue, he classificaion will be deermined primarily on he basis of he descripion of he company s aciviies and pro forma resuls as given in he prospecus. A Company s indusry classificaion will be reviewed eiher when a significan corporae resrucuring occurs or when he new annual repor is made available. In any case, in order o provide a sable indusry classificaion, when reviewing a company s classificaions, MSCI and S&P will aemp o minimise changes in he indusry classificaion by disregarding emporary flucuaions in he resuls of a company s differen business aciviies. In he even ha he above guidelines should no appropriaely capure a paricular company s business aciviy, is classificaion will be deermined on he basis of a more exensive analysis. MSCI and S&P shall have sole decision-making responsibiliy wih respec o classificaions under he Global Indusry Classificaion Sandard (GICS). 18 December 2015 Page 23 / 23