Guide to the INFRAX Infrastructure Index *

Transcription

1 INFRAX Ifrasrucure Idex * Versio 1.3 *INFRAX Ifrasrucure Idex was develoed i cooeraio wih Bereberg Privae Caial GmbH ad Goldma Sachs. The idex is calculaed ad disribued by Deusche Börse AG.

2 INFRAX Ifrasrucure Idex Page 2 Geeral Iformaio I order o esure he highes ualiy of each of is idices, Deusche Börse AG exercises he greaes care whe comilig ad calculaig idices o he basis of he rules se ou i his Guidelie. However, Deusche Börse AG cao guaraee ha he various idices, or he various raios ha are reuired for idex comilaio ad comuaio uroses, as se ou i his Guidelie, are always calculaed free of errors. Deusche Börse AG acces o liabiliy for ay direc or idirec losses arisig from ay icorrec calculaio of such idices or raios. Decisios cocerig he way is idices are calculaed, as well as regardig heir comilaio, are always ake by Deusche Börse AG o he bes of is kowledge ad belief. Deusche Börse AG moiors he execuio of he idex calculaio rules i order o esure he validiy of he idex mehodology o a aual basis. Deusche Börse AG may decide o uderake a broad marke cosulaio. Oce a decisio o a sigifica idex mehodology chage is made, a oificaio will be issued for ublic comme wih a reasoable oice eriod. Deusche Börse AG shall o be liable for ay losses icurred afer such decisios are made. The idices of Deusche Börse AG do o rerese a recommedaio for ivesme of whaever aure. I aricular, he comilaio ad calculaio of he various idices shall o be cosrued as a recommedaio of Deusche Börse AG o buy or sell idividual isrumes, or he baske of isrumes uderlyig a give idex.

3 INFRAX Ifrasrucure Idex Page 3 Coe 1 Geeral Idexiformaio INFRAX Ifrasrucure Idex Idex Comosiio 5 2 Calculaio Idexformula Comuaioal Accuracy Idex correcio olicies Ieral errors Exeral errors Correcio of idex arameer values Adjusmes Hadlig of exceioal uforseeable cases Cosideraio of exreme ecoomic siuaios ad marke disruios New Lisigs ad Deleios Chaiig Scheduled Chaiig Uscheduled Chaiig 13 3 Geeral Iformaio Idex Labels Hisorical Daa Derivaive Isrumes Licesig Idex Termiaio Policy 15 4 Aedix ISINs ad Alha Codes Your Direc Lie o Deusche Börse 17

4 INFRAX Ifrasrucure Idex Page 4 Hisory of Amedmes o he Rules ad Regulaios Ocober 2008 Seember 2007 Jauary 2007 Versio 1.3 Clarificaio of he rulebook accordig o IOSCO riciles Versio 1.2 Chaged Wihholdig Tax; Chaged calculaio eriod Versio 1.1 Chaged Wihholdig Tax Versio 1.0 Lauch of INFRAX Ifrasrucure Idex INFRAX is a regisered rademark of Goldma Sachs ad Bereberg Privae Caial GmbH.

5 INFRAX Ifrasrucure Idex Page 5 1 Geeral Idexiformaio Deusche Börse calculaes ad disribues more ha 2,000 idices which ehace he rasarecy of he markes i oeraes, hus faciliaig comariso. 1 A he same ime, idices are icreasigly used as uderlyig isrumes for fiacial roducs such as fuures, oios, warras, as well as fuds. Deusche Börse idices are based o differe weighig coces. The idices cosiues ca be weighed eually, accordig o heir marke caializaio or heir free floa marke caializaio. Furhermore, all idices of Deusche Börse ca be calculaed boh as rice- ad as oal reur idices. Price idices measure he acual rice erformace, ad are oly adjused for icome from subscriio righs ad secial disribuios. As for erformace idices, all icome from divided ad bous aymes is reivesed i he idex orfolio. The idices are calculaed accordig o he Xera radig caledar. 1.1 INFRAX Ifrasrucure Idex INFRAX Ifrasrucure Idex was develoed i cooeraio wih Bereberg Privae Caial GmbH ad Goldma Sachs. The idex orfolio rereses he erformace of he 50 larges ad mos liuid ieraioal comaies whose idusrial secors are Eergy, Trasor, Waer ad Wase Maageme as well as Cosrucio. The liuidiy crierio is fulfilled as soo as he cosiues have a average daily sock marke urover of a leas e millio US-Dollars. These rigid selecio crieria esure he ualiy ad liuidiy of he idex cosiues. INFRAX Ifrasrucure Idex says abreas of curre chages of worldwide oulaio growh ad he reuired logisics resources. I his coex raid growh is execed i he above-meioed idusrial secors ow ad i he ear fuure. Thus INFRAX Ifrasrucure Idex offers he marke aricias he ooruiy o ariciae i his red. 1.2 Idex Comosiio INFRAX Ifrasrucure Idex reflecs he erformace of he 50 larges ad mos liuid ieraioal comaies i secors Eergy, Trasor, Waer ad Wase Maageme as well as Cosrucio. Exacly 15 comaies come from he secor Eergy, 20 comaies from he secor Trasor, 5 comaies from he secor Waer & Wase Maageme ad 10 comaies from he secor Cosrucio. 1 C. Euiy Idices of Deusche Börse for a overview of Selecio- ad All Share idices.

6 INFRAX Ifrasrucure Idex Page 6 The uiverse of eligible cosiues comrises abou 200 comaies o 27 December I is deermied by he Bereberg Privae Caial GmbH. Goldma Sachs is able o refuse he iclusio of a comay i he idex for imora reasos. I aricular, a imora reaso is give, if he circumsaces lead o he assumio ha he esseial liuidiy decrease ca occur he followig year. The comaies are ualified for iclusio i he idex as soo as heir marke caializaio amous a leas 1 billio US-Dollars. They mus also have a average daily sock marke urover of a leas 10 millio US-Dollars i he recedig four ad welve mohs. I he idex orfolio all cosiues are cosidered wih a weighig of 2 erce. The review of he idex comosiio akes lace oce a year o he hird Friday i Seember ad is adjused i accordace wih he idex rules, if ecessary. For cosrucio of he idex ad he resulig asks wih resec o he idex comosiio ad he review of he idex cosiues a fee of daily 12 base ois is charged. The resecive idex value is daily reduced by his fee. The base value of INFRAX Ifrasrucure Idex is 1,000 ad corresods o he base dae 15 Seember INFRAX Ifrasrucure Idex is calculaed i Euro, US-Dollar, Swiss Fracs ad Briish Pouds. INFRAX Ifrasrucure Idex is calculaed every 60 secods from 9.00 a.m. ill m. CET as erformace ad rice idex. The sock rices are rovided by Reuers ad Xera. Furher iformaio ad idex daa are available o. INFRAX Ifrasrucure Idex is a regisered rademark of Goldma Sachs. 2 Calculaio 2.1 Idexformula INFRAX Ifrasrucure Idex is calculaed as follows: Idex K T i i1 i1 it c i Base 1- MF T c i = Adjusme facor of comay i a ime = Number of cosiues i he idex = Closig rice of share/adr/gdr of comay i o he radig day before he firs iclusio i a idex of Deusche Börse i = Price of share/adr/gdr of comay i a ime = Number of shares/adrs/gdrs or weighig facor of comay i o he radig day before he firs iclusio i a idex of Deusche Börse

7 INFRAX Ifrasrucure Idex Page 7 it = Number of shares/adrs/gdrs or weighig facor of comay i a ime T = Calculaio ime of he idex K T = Idex-secific chaiig facor valid as of chaiig dae T T = Dae of he las chaiig MF = Maageme fee for a eriod a ime whereby: 12 b MF 365 = Differece bewee wo radig days MF rereses he maageme fee which is calculaed each radig day based o he resecive closig idex value. Thereby 12 base ois are disribued over he whole year.

8 INFRAX Ifrasrucure Idex Page 8 The formula se ou below is euivale i aalyic erms: it i KT 100 c i i1 i1 Idex Base 1- MF T 100 i1 i1 i Fi i1 Base 1- MF A T whereby: A i1 i1 100 ad: F i K T i1 it 100 c i Idex calculaio ca be reroduced i simlified erms by usig he exressio F i : Mulily he curre rice by he resecive F i weighig facor; ake he sum of hese roducs; ad divide his by he base value (A) which remais cosa uil a modificaio i he idex comosiio occurs. The F i facors rovide iformaio o he umber of shares/adrs/gdrs reuired from each comay o rack he uderlyig idex orfolio. 2.2 Comuaioal Accuracy The K T chaiig facors are used ad ublished as figures rouded o seve decimal laces. The c i adjusme facors are icluded i he idex formula o he basis of six decimal laces. I he eve of several adjusme eves coicidig, such as ex-divided ad ex subscriio righ markdows o he same day, oly oe sigle adjusme facor (six decimal laces) is comued usig he oal markdow. Where several adjusme eves are reuired for a sigle share/adr/gdr bu a differe imes, he facors rouded ha way are mulilied by each oher, ad he roduc is rouded o six decimal laces agai. Whe deermiig he c i adjusme facor for subscriio righs, he righs value is used as a figure wih wo decimal laces. Oly i he case of a caial icrease ou of comay reserves, such righs

9 INFRAX Ifrasrucure Idex Page 9 value is o rouded a all. If a divided disadvaage has o be roraed (e.g. for 3 mohs), he value of such disadvaage used for idex calculaio is rouded o wo decimal laces. The idices are rouded o wo decimal laces ad ublished accordigly. The F i facors are rouded o five decimal laces ad ublished accordigly, chagig wih each isrume-secific adjusme. 2.3 Idex correcio olicies The correcio of a idex yically resuls from oe of wo scearios: ieral calculaio errors Ieral errors exeral calculaio errors idex arameer values If Deusche Börse AG becomes aware of ieral idex calculaio errors wihi a radig day, iraday values of he resecive idex are correced for ha secific day, if echically feasible ad ecoomically reasoable. Iraday values, which are o deeced wihi he same radig day are o correced bu will reroacively be flagged as ivalid. If here are deviaios ha are cosidered sigifica by Deusche Börse AG, idex close values also will be correced reroacively, if echically feasible ad ecoomically reasoable Exeral errors Calculaio errors ha are based o icorrec exeral daa are correced as soo as ossible, if echically feasible ad ecoomically reasoable. If here are deviaios ha are cosidered sigifica by Deusche Börse AG, idex close values will also be correced reroacively, if echically feasible ad ecoomically reasoable. Iraday values ha are o correced will reroacively be flagged as ivalid Correcio of idex arameer values All idex arameers ha are ublished by Deusche Börse AG i he coex of he chaiig rocess are oly correced or adjused a he subseue rebalacig dae. This rule alies regardless of whe Deusche Börse AG became aware of facs ha would chage he idex arameer values durig he chaiig rocess. 2.4 Adjusmes The idices of Deusche Börse are adjused for exogeous iflueces (e.g. rice-releva caial chages) by meas of cerai correcio facors, assumig a reivesme accordig o he oéraio blache. If he absolue amou of he accumulaed disribuios (divideds, bous ad secial disribuios, si-offs or subscriio righs o oher securiy-classes) bewee wo regular chaiig daes accous for more ha 10 erce of he marke caializaio of he disribuig comay o he day before he firs disribuio, he ar of he disribuio exceedig he 10 erce will o be reivesed i a sigle sock bu i he overall idex orfolio er uscheduled chaiig dae. All coiuously calculaed idices reuire a simulaeous adjusme of sysemaic rice chages. The rereuisie for his is o calculae he correcio facor o a ex-ae basis.

10 INFRAX Ifrasrucure Idex Page 10 Coseuely, already he firs ex rice ca be adeuaely icluded for idex calculaio uroses. The ex-ae icororaio of adjusmes resuoses a geeral acceace of he comuaio formula as well as a geeral availabiliy of he arameers used. All arameers ecessary for he resecive comuaio are available from Deusche Börse via is websie () o he eveig before each adjusme. As wih all oher adjusme rocesses, here may be differeces bewee he comued values ad he acually raded rices. However, sice a relimiary correcio is ecessary ad ay delay would be roblemaic, his rocedure remais he mos aroriae oe. The calculaed adjusme facor ad a syheic rice accordigly adjused for his facor are used i he idex from he ex-dae of a share as log as here is o ex rice available. The Performace-Idices of INFRAX Ifrasrucure is calculaed uder cosideraio of e-divideds. The divideds are reivesed uder deducio of he wihholdig ax rae. The wihholdig ax raes are lised i he aex of he DAXglobal Idices of Deusche Börse. For he calculaio of he adjusme facors of all he idices see euiy idices of Deusche Börse Hadlig of exceioal uforseeable cases I he case of a exceioal uforeseeable eve ha is o cosidered i his rulebook, Deusche Börse AG may ad uder cosideraio of he resecive facs, aly rocedures ha differ from he aforemeioed rules i his rulebook. This holds rue esecially i cases where i) here are o alicable rules, ii) he alicaio of rese rules does o lead o a clear resul, iii) he rules coradic each oher, ad/or iv) he alicaio of hese rules lead o a iaroriae siuaio i he sock marke. A examle of a iaroriae siuaio is if he sric alicaio of he rules heavily iflueces he liuidiy of a comay s sock i he sock marke. I he case ha Deusche Börse AG makes a decisio ha is ouside he arameers of he rulebook, he decisio will be ublished wihi a aroriae oice eriod Cosideraio of exreme ecoomic siuaios ad marke disruios I imes of exreme ecoomic siuaios ad marke disruios, esecially i cases where he rice source is uavailable (e.g. marke susesio or resricio), Deusche Börse AG will geerally use he las available rice daa. Also i imes of exreme ecoomic cases, addiioal exceios from his rulebook ca be made, e.g. osoeme of a ordiary review dae. All such chages will be ublished wihi a aroriae oice eriod.

11 INFRAX Ifrasrucure Idex Page New Lisigs ad Deleios Regular modificaios o he idex comosiio oly occur if he ordiary chaiig coicides wih he acualizaio of he idex comosiio a he same ime. This rocess is redomialy based o he crieria as se ou i chaer Chaiig I lie wih he coce coceived by Deusche Börse for is idices, divided aymes ad caial chages are iiially refleced hrough a adjusme of he resecive c i adjusme facors. Scheduled chaiig is carried ou o he mauriy dae of he various euiy idex fuures of Eurex, imlyig ha o his day (i.e. o he hird Friday of Seember), he idex is calculaed for he las ime o he basis of weighs valid u o ha oi. The las rices uoed o he resecive exchage o ha day cosiue he foudaio of he chaiig. As of he followig radig day he ew weighs aly. A chage i he idex comosiio also becomes ecessary i he eve of a idex comoe issue beig or becomig subjec o exraordiary circumsaces, such as deleio, comosiio roceedigs, bakrucy, ew admissio, ec. 2.7 Scheduled Chaiig The scheduled chaiig rocedure ecomasses he followig measures: The umber of shares/adrs/gdrs is udaed i accordace wih he caial chages carried ou. 2 The accumulaed icome from disribuios ad caial chages is allocaed o he idex comoe issues accordig o he resecive ew weighs. For his urose, he idividual c i adjusme facors are se o 1. A chaiig facor is calculaed o avoid a ga i he resecive idex. If he ordiary chaiig coicides wih he acualizaio of he idex comosiio a he same ime, a chage of he comosiio akes lace addiioally. These measures hel o reve he weighig scheme from ageig due o caial chages ad he accumulaio of icome. Chaiig is carried ou i hree ses: 2 The weighig-facors of he idex cosiues (i) for he INFRAX Ifrasrucure Idex are deermied based o he closig rices of Thursday of he week rior o he week i which he rebalacig akes lace. These weighig facors will be fixed ad ke cosa durig he eire chaiig rocedure.

12 INFRAX Ifrasrucure Idex Page 12 a) Calculaio of he idex value o he chaiig dae accordig o he old weighig scheme The followig alies accordigly: Idex K T i i1 i1 it Base- MF c i This value corresods o he closig idex ublished o he dae of chaiig, ad is used wih wo decimal laces (as ublished) for all subseue calculaios. b) Calculaio of he ierim value The weighig facor i,t+1 is adjused for each cosiue durig he scheduled ad uscheduled chaiig i he way ha every comay has he same weighig i he idex orfolio. whereby: i,t 1 1 i, T = Dae of he las scheduled or uscheduled chaiig = Number of cosiues i he idex i, = Price of share of comay i a ime i,t+1 = The weighig facor of comay i a ime T+1 The ierim value is comued usig he umber of shares/adrs/gdrs ( i,t+1 ), which are deermied based o he closig rices of Thursday of he week rior o he week i which he rebalacig akes lace. The c i adjusme are se o 1. Ierim value i1 i1 i i,t1 Base- MF The ierim value is used as a exac figure for subseue calculaios. c) Calculaio of he ew chaiig facor The followig alies accordigly: K T 1 Idex Ierim value

13 INFRAX Ifrasrucure Idex Page 13 Afer chaiig, he idex is comued o he basis of he ew chaiig facor (K T+1 ). Afer calculaio of he chaiig facor, caial chages ad divided aymes due o he dae of chaiig are ake io accou via he c i facor. The F i weighig facors of he idex formula are calculaed as follows: F i K T 1 i,t1 i1 c io i Uscheduled Chaiig I he eve of a deleio of a idex cosiue, chaiig is carried ou i lie wih he rocedure described i secio 2.7 above, however, usually wihou adjusme of he i,t+1 ad he various c i facors. I case a ew sock succeeds he sock leavig he idex, he relaceme will eer he idex wih he same weigh he old sock had, based o he closig rice of is las day i he idex. The weighig facor of he successor i is he calculaed as follows: i,s 1 js is jt i = ew comay j = comay leavig he idex S = las day of old comay i he idex T = dae of he las chaiig I his case (relaceme wih he same weigh) o chaiig is ecessary.

14 INFRAX Ifrasrucure Idex Page 14 3 Geeral Iformaio 3.1 Idex Labels A idex is ublished wih he label A ( amlich ) oce he oeig crieria are fulfilled. Where he oeig crieria have o bee me for a idex o a cerai radig day, a idex value is derived from he las available rices a he ed of he calculaio eriod. Accordigly, his idex is labelled I (idicaive). I he eve of rice chages of more ha 1 erce agais he las raded rice, he corresodig idex is labelled U (uchecked). The calculaed idex value is subseuely checked for daa ery or comuaio errors. Ay daa ery or comuaio error is correced accordigly, followed by a recalculaio of he resecive idex. I he case of a deviaio i excess of 1 erce where o error has occurred, he idex is revalidaed (i.e. labelled i keeig wih is corresodig saus). 3.2 Hisorical Daa Hisorical idex daa exiss for all idices, daig back a leas o he resecive base dae Time series for he various idices are available from Marke Daa & Aalyics Cusomer Service (cf. chaer 4.2) a Deusche Börse AG. 3.3 Derivaive Isrumes All coiuous calculaed idices ublished by Deusche Börse mee he reuiremes of a uderlyig isrume for derivaive fiacial isrumes. The rasarecy of idex calculaios ermis a reroducio of he resecive idex orfolio. Wih XTF, Deusche Börse has bee offerig ye aoher segme o Xera sice Aril 2000, i which exchage-raded fuds ( ETFs ) ca be raded like sigle shares. The majoriy of hese ETFs rack he erformace of idividual uderlyig euiy idices. 3.4 Licesig The idices of Deusche Börse are regisered rademarks of Deusche Börse AG ad herefore roeced agais ulawful usage iside ad ouside Germay. Exchages, baks ad ivesme comaies may, however, aly o Deusche Börse for liceses o use hese idices as uderlyig isrumes for derivaive isrumes. The sadardized licesig agreeme gras he licesee he righ o use he idices for ay umber of isrumes, wih he licese fee se accordig o he acual usage. For euiries regardig he licesig of idices, lease coac Deusche Börse, Marke Daa & Aalyics (cf. chaer 4.2).

15 INFRAX Ifrasrucure Idex Page Idex Termiaio Policy For he ermiaio of a idex or a idex family for which ousadig roducs are rese i he marke, o he kowledge of Deusche Börse AG, a marke cosulaio will be iiiaed by Deusche Börse AG o ake io accou marke aricias views ad cocers relaed o he ermiaio. The legh of he cosulaio eriod will vary based o he secific issues of each roosed ermiaio. Durig he erm of he cosulaio eriod, clies have he chace o share heir cocer regardig he ermiaio. Based o he colleced feedback, Deusche Börse AG may rehik is decisio o ermiae ad idex or a idex family. A he ed of he cosulaio eriod, Deusche Börse AG will ublicly aouce is fial decisio abou he ermiaio. A rasiio eriod will be graed. For he ermiaio of a idex or idex family for which, o he kowledge of Deusche Börse AG, here are o lised fiacial roducs issued i he marke, o marke cosulaio will be coduced.

16 INFRAX Ifrasrucure Idex Page 16 4 Aedix 4.1 ISINs ad Alha Codes Idex Alha (Price) ISIN (Price) Alha (Perf.) ISIN (Perf.) INFRAX Ifrasrucure Idex (EURO) A0JZK7 DE000A0JZK77 A0JZK6 DE000A0JZK69 INFRAX Ifrasrucure Idex (USD) A0JZK9 DE000A0JZK93 A0JZK8 DE000A0JZK85 INFRAX Ifrasrucure Idex (GBP) A0JZLB DE000A0JZLB1 A0JZLA DE000A0JZLA3 INFRAX Ifrasrucure Idex (CHF) A0LLN DE000A0LLN68 A0LLN DE000A0LLN50

17 INFRAX Ifrasrucure Idex Page Your Direc Lie o Deusche Börse Iformaio o rices ad idex coces Marke Daa & Aalyics Cusomer Service Phoe: +49-(0) Fax: +49-(0) cusomer.service@deusche-boerse.com Idex liceses Marke Daa & Aalyics Issuer Daa & Aalyics Phoe: +49-(0) Fax: +49-(0) mda.issuer@deusche-boerse.com Publicaios Publicaio Holie Phoe: +49-(0) Fax: +49-(0) ublicaio.holie@deusche-boerse.com Iere /mda_e Mailig address Deusche Börse AG Frakfur / Mai Germay