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1 We are now Refiniiv, formerly he Financial and Risk business of Thomson Reuers. We ve se a bold course for he fuure boh ours and yours and are inroducing our new brand o he world. As our brand migraion will be gradual, you will see races of our pas hrough documenaion, videos, and digial plaforms. Thank you for joining us on our brand journey.
2 REUTERS/Russell Boyce THOMSON REUTERS CONVERTIBLE INDICES Revision 6 Final 30 December 2016 METHODOLOGY
3 Conens 1. OVERVIEW Index Governance Marke Feedback User Base Index Advisory Group Managemen of feedback Hisorical noes Hisorical calculaion arrangemens Transiional Arrangemens Effecive Dae for Mehodology changes 4 2. THOMSON REUTERS GLOBAL CONVERTIBLE INDEX MAINTENANCE Overview of he Index mainenance process Overview of he Quarerly Reselecion Process Allocaion of daes for imeable Quarerly Index Reselecion Iniial Reselecion Repor Iniial Reselecion Repor - Overview Eligible Issues Issue Type Requiremens (No an Index consiuen) Issue size Requiremens (No an Index consiuen) Quaniaive Recommendaions for Issues on he Eligible Lis Traded Value derivaion for Quarerly Index Reselecion Qualifying Prices derivaion for Quarerly Index Reselecion Issues which receive excepional reamen Requiremens for Issues ha are Index consiuens Requiremens for Issues ha are no Index consiuens Caegorisaion of Issues Proposed Acion Caegorisaion Review Recommendaions special noes Quarerly Index Reselecion review process Overview Index Manager role in he review process New issues added beween Quarerly Index Reselecions New issues added beween reselecions overview Index Manager review of New Issues New Issue Guidelines Minimum Size New issue guidelines minimum liquidiy Index Saus Repor Issues removed beween Quarerly Index Reselecions Deail on Drop process Overall flow of he Drop process Resoluion of conflicing guidelines Index Manager role in he Drop Process Guidelines for removal beween Quarerly Index Reselecions Issue approaching final conversion dae Marke Capialisaion below hreshold Issue is subjec o a successful ender offer for he enire issue December 2016 ii
4 Exchange propery de-lised Issue becomes impracical o price Issue approaching a Pu Issue subjec o an offer Proacive Deselecion Ousanding Issue Size Changes Small adjusmens Subsanially all reired Subsanial Changes Oher changes beween Quarerly Index Reselecions Technical changes Proacive selecion or change Delayed and rerospecive informaion Rerospecive adjusmen of prices for Adds, Drops and volume adjusmens SUB-INDEX MAINTENANCE Overview of sub-indices Saic Sub-indices Saic Sub-indices common aspecs Region Sub-indices Vanilla Sub-indices Credi Sub-indices Dynamic Sub-indices Sub-index Sub-index overview Monhly Review imeable Universe selecion Guidelines for Balanced issues Amendmen of Guidelines for Balanced Issues by he Index Manager Sub-index selecion from Universe EQUITY INDICES Overview of Equiy Indices Pariy Indices Equiy Cash Indices Equiy Cash Since Incepion Indices Equiy Cash Year o Dae Indices Equiy Cash Quarer o Dae Indices Equiy Cash Year on Year Indices INDEX CALCULATION METHODS Index Calculaion Daily Index Calculaion Treamen of Income Evens Treamen of changes of consiuens or weighings Index Calculaion Mehodology Implemenaion Concenraion Facors Concenraion Levels Concenraion Facor changes Concenraion Facor calculaion December 2016 iii
5 5.3.4 Concenraion Facor usage APPENDIX Equiy-Linked Issue & Exchange Propery Definiion of an Equiy-Linked issue Exchange Propery Naming Mehodology Definiions and Derivaions Overview Issue Price Original Issue Size Iniial Issue Proceeds & Ousanding Issue Proceeds Accreed Issue Proceeds Issue Premium Marke Capialisaion Face Value Pariy Premium Traded Value Qualifying Prices Overview Qualifying price condiions Absolue condiions Relaive condiion Price Basis Overview Price basis Price sources Price imings Recognised exchanges Equiy exchanges Converible exchanges Index Manager role in Pricing Index Manager role in end of day pricing Index Manager role in pricing Adds and Drops TRPS Closing Price Counry and Region Deails Mehod of allocaion of Counry and Region Credi Raing deail Raing equivalence able Issuer Raing derivaion Equiy Dividend Treamen Index Calendar COMMUNICATION OF INDEX EVENTS Overview announcemens Subscripion Liss Announcemen Group Daily Change Repor Index Saus Repor December 2016 iv
6 7.3.2 Index Changes Repor Amendmens o Repors SUB-INDICES - DEFINITIONS Sub-index groupings Sub-index ables Headline Indices Indices Regional Indices Credi Indices Indices December 2016 v
7 Thomson Reuers Converible Index Disclaimer The name Thomson Reuers Converible Index and he names of he relaed Thomson Reuers subindices (ogeher he "Thomson Reuers Indices") are proprieary o Reuers Limied ("Thomson Reuers "). Thomson Reuers does no warran or represen or provide any guaranee, express or implied, eiher as o he resuls o be obained using he benchmark of he Thomson Reuers Indices or oherwise or he figures or levels a which he Thomson Reuers Indices sand a any paricular day. In addiion, Thomson Reuers gives no assurance regarding any modificaion or change in any mehodology used in calculaing he Thomson Reuers Indices and is under no obligaion o coninue he calculaion, publicaion and disseminaion of he Thomson Reuers Indices. Furhermore, Thomson Reuers makes no represenaion or warrany and provides no guaranee, express or implied, o any person wih respec o he accuracy or compleeness of he Thomson Reuers Indices or heir compuaion and compilaion of he Thomson Reuers Indices, including bu no limied o, any informaion or daa relaed hereo or conained herein. The rules and/or guidelines of he Thomson Reuers Indices, he process and basis of compuaion and compilaion of he Thomson Reuers Indices and he relaed formula, consiuen benchmarks and oher relevan facors may a any ime be changed or alered by Thomson Reuers wihou noice and a Thomson Reuers sole discreion. In deermining he consiuens of he Thomson Reuers Indices and any amendmen hereo, Thomson Reuers has no obligaion o consider he needs or opinions of any person ha uses, racks or has producs referenced o he Thomson Reuers Indices, irrespecive of wheher or no Thomson Reuers has in fac sough he view(s) of any person using he Thomson Reuers Indices. Thomson Reuers may disclose informaion, o licensees and ohers, regarding he Thomson Reuers Indices (and changes hereo) wihou disclosing such o he public or o counerparies ha have producs referenced hereo. No responsibiliy or liabiliy is acceped by Thomson Reuers is affiliaes, officers, employees or agens (wheher for negligence or oherwise) in respec of he Thomson Reuers Indices, or for any inaccuracies, omissions, misakes, delays or errors in he compuaion and compilaion of he Thomson Reuers Indices (and Thomson Reuers shall no be obliged o advise any person of any error herein). Any person ha uses, racks or has producs referenced o he Thomson Reuers Indices does so enirely a heir own risk, in full knowledge of his disclaimer and can place no reliance whasoever on Thomson Reuers for any economic or oher loss which may be direcly or indirecly susained by such person in using he Thomson Reuers Indices. The values shown in he Thomson Reuers Indices are no an indicaive price quoaion and he informaion in his documen is no an offer, recommendaion or soliciaion o buy or sell securiies and should no be reaed as giving invesmen advice. For avoidance of doub, his disclaimer does no creae any conracual or quasi-conracual relaionship beween any person and Thomson Reuers and mus no be consrued o have creaed such relaionship. The WM/Reuers Closing Spo Raes are provided by The World Markes Company plc ( WM ) in conjuncion wih Reuers. WM shall no be liable for any errors in or delays in providing or making available he daa conained wihin his service or for any acions aken in reliance on he same excep o he exen ha he same is direcly caused by is or is employees negligence. 30 December 2016 vi
8 1. Overview The Thomson Reuers Converible Index serves o represen he acive converible marke. The index was previously known as he UBS Converible Index prior o he acquisiion of he index by Thomson Reuers in June 2014 a brief hisory of he arrangemens prior o he acquisiion and he ransiional arrangemens during he acquisiion are se ou in Secion 1.4 The Index was launched on 30 Sepember 1998 wih he Index and mos sub-indices calculaed back o 31 December The Base Dae for he Index and all Sub-indices is 30 Sepember The Mehodology for he Thomson Reuer Indices is deermined by Thomson Reuers and may be changed from ime o ime in accordance wih he Thomson Reuers Index Mehodology Policy. The composiion of he Index is deermined via he Quarerly Index Reselecion process. In addiion, he Index changes as a resul of Adds and Drops from ime o ime in beween reselecions. The sub-indices are generaed using a variey of calculaion and selecion mehods. This documen is inended (non-exhausively) o explain he guidelines used o selec and calculae he Thomson Reuer Indices, covering; Quarerly Index Reselecion process Addiions o and removals from he Index beween Quarerly Index Reselecions Selecion of Saic Sub-indices (Counry, Region, Vanilla, ) Selecion of Sub-indices Calculaion of Equiy Cash and Pariy indices Descripion of calculaion mehodologies ( and FX hedged) Communicaion of Index evens Definiion of erms used and basis for prices used in he Index The Thomson Reuers Index Business is responsible for he Adminisraion of he Index. The Index Manager ogeher wih he Index Team are responsible for he mainenance and calculaion of he Thomson Reuer Indices. 1.1 Index Governance The Index is adminisered by Thomson Reuers who make all decisions regarding Adds, Drops, Reselecions and changes o Index Mehodology, and index calculaion. The index is subjec o he Thomson Reuers governance policy for index mehodologies: The Thomson Reuers Benchmark Governance Framework ses he Policies governing each aspec of he index business, including oversigh, conflics of ineres, maerials reenion and remuneraion. The Thomson Reuers Index Mehodology Policy describes he requiremens ha Thomson Reuers Indices Mehodologies need o saisfy The governance of he Thomson Reuers Converible Index follows he Governance framework described in he relevan documens excep where his Mehodology provides for specific excepions. These policies and procedures are implemened by he funcions oulined below which are furher described in he relevan Governance documens as appropriae: 30 December
9 Index Team The Index Team is responsible for he mainenance, calculaion and disribuion of he Index as se ou in his mehodology. Index Manager The Index Manager is responsible for he inegriy and qualiy of he index and has specific responsibiliies as se ou below: To oversee day o day operaions of he Index Team To inerpre he index rules and decide on inclusions and exclusions of individual securiies in he index To review feedback received from he User Base Develop and implemen changes o he Index Mehodology Manage ineracion wih he Index Advisory Group and Index Acion Commiee in respec of Index changes and Index Mehodology changes Repor o he Thomson Reuers Benchmarks Oversigh Commiee ( TRBOC ) Index Acion Commiee ( IAC ) The Index Acion Commiee ( IAC ) is an inernal Thomson Reuers group of subjec maer expers (indices as well as asse classes) ha suppor he Index Manager wih addiional advice relaed o mehodology inerpreaion or changes o he mehodology. Specifically, he Index Manager may communicae he feedback obained from he Index Advisory Group and/or he User Base o solici advice from he IAC. The IAC repors o he Thomson Reuers Benchmarks Oversigh Commiee. Thomson Reuers Benchmarks Oversigh Commiee The Thomson Reuers Benchmarks Oversigh Commiee ( TRBOC ) consiss of Thomson Reuers senior managers, and may also include exernal independen members. This commiee is responsible for oversigh of he benchmark businesses and is responsible for compliance wih all relevan regulaions and guidelines, as well as Thomson Reuers Indices policies. 1.2 Marke Feedback The governance of he Thomson Reuers Converibles Index differs from he general Thomson Reuers Index Governance Frameworks as i includes he abiliy of all licensors of he Index (he User Base ) o provide feedback o he Index Manager regarding Add/Drops and Reselecion, in addiion o he Index Advisory Group. Mainenance and calculaion of he index requires imely, accurae and complee informaion on he issues ha are consiuens of he index or are poenial consiuens of he index. The informaion used in he consrucion and calculaion of he index is collaed by he Index Team on behalf of he Index Manager from he broad range of informaion sources available o Thomson Reuers. I is recognised ha on occasions marke paricipans will have informaion ha is relevan o index operaions ha may no have been considered by he Index Business and he mehodology includes a number of processes o allow his informaion o be uilised by he Index Business whils mainaining he inegriy of he index. Marke feedback may be received from eiher or boh of wo sources, he User Base and he Index Advisory Group ( IAG ) 30 December
10 User Base The User Base is no a formal group bu consiss of any user or recipien of index informaion. I is anicipaed ha generally feedback will be received from recipiens of he Daily Change Repor (Secion 7.3), alhough any feedback received will be considered. The Daily Change Repor includes deails of proposed Adds, Drops and oher relevan evens and indicaes he dae on which he Index Manager will review feedback for a paricular even. Feedback should be direced o CB_Index_Feedback@homsonreuers.com When considering feedback from he User Base he Index Manager will seek o independenly validae any informaion provided in he feedback, where feedback is qualiaive raher han quaniaive he Index Manager has he opion of using he IAG or IAC o provide assisance in evaluaing he feedback Index Advisory Group The IAG is a formal group which is comprised of marke paricipans ha are familiar wih he index consiuens and general index mehodology. The IAG is no responsible for any specific decisions in respec of he index bu raher provides a mechanism for he Index Manager o procure feedback o a specific quesion from a marke aware group. IAG members are required o adhere o specific erms of reference, which are published separaely o his Mehodology and provide a more complee descripion of aciviies of he group. The poins below provide an ouline of he IAG funcion: The IAG may be consuled by he Index Manager in relaion o any aspec of he mainenance or calculaion of he Index when he Index Manager believes ha addiional marke feedback will assis in a paricular decision. The IAG may be consuled by he Index Manager in relaion o changes in Mehodology. When he Index Manager refers a mainenance quesion o he IAG he quesion will be se ou in an o all IAG members and will include relevan supporing informaion ogeher wih a ime by which responses are required. The Index Manager will consider all responses from he IAG and will seek o validae any informaion provided in hose responses. Should a response from he IAG conain informaion ha may be of relevance o he remainder of he IAG when considering he quesion he Index Manager may choose o circulae ha informaion o he IAG in which case he Index Manager will firs seek o independenly validae he informaion and will indicae in any conaining he addiional informaion he saus of he independen validaion. Any member of he User Base may reques membership of he IAG by conacing he Index Manager using he feedback address. The size and composiion of he IAG will be deermined by he Index Manager o provide an effecive feedback mechanism and as such no all requess for membership may be acceped. 1.3 Managemen of feedback The Index Manager will keep a record of all feedback received from he User Base. The Index Manager will keep a record of all ineracions wih he IAG. The Index Manager will mainain a record of all index acions which will include an indicaion if feedback was received and if he IAG and/or IAC were involved in he decision. These records will be available for review by he Head of Indices, IAC and TRBOC. The Index Manager will use feedback in conjuncion wih all oher available informaion o decide he appropriae acion for a paricular even and may also seek guidance from he IAC before reaching a final decision. 30 December
11 1.4 Hisorical noes Hisorical calculaion arrangemens From incepion of he indices in 1998 unil November 2010 he UBS Converible Indices Calculaion Agen was MACE Advisers Ld. In November 2010 Thomson Reuers acquired MACE Advisers Ld, following which, he day o day mainenance and calculaion of he Thomson Reuer Indices was carried ou by he same eam ha provided he mainenance and calculaion prior o November The Index Team consiss of he same eam ha has provided mainenance and calculaion since November Transiional Arrangemens The ransfer of he UBS Converible Index from UBS o Thomson Reuers was subjec o he following ransiional arrangemens: The mainenance and calculaion of he index was carried ou in accordance wih he UBS Converible Indices Guidelines daed 9 Jan 2013 unil EoD on 9 h July The Q reselecion (effecive dae 9 July 2014) was carried ou under he UBS Converible Indices Guidelines daed 9 Jan The mainenance and calculaion of he index was be carried ou in accordance wih he Thomson Reuers Converible Indices Iniial Mehodology from 10 h July 2014 o 28 h July 2014 The mainenance and calculaion of he index was carried ou in accordance wih he Thomson Reuers Converible Indices Iniial Mehodology (Rev 2) from 29 h July 2014 o 15 Sepember From 16 Sepember 2014 onwards he mainenance and calculaion of he index will be carried ou in accordance wih he relevan version of Thomson Reuers Converible Indices Mehodology 1.5 Effecive Dae for Mehodology changes The effecive daes for revisions of he Mehodology are: Revision Effecive Dae 3 8 Ocober 2014, however Secions were applied o he Q Reselecion process (effecive daa 8 Ocober 2014) Secion was effecive as of 16 Sepember December November 2015, however he change o he source for FX Raes (Secion 6.5.3) is effecive as of he Index calculaion a end of day on 11 December December 2016 (updaed Index Calendar only) 30 December
12 2. Thomson Reuers Converible Index Mainenance 2.1 Overview of he Index mainenance process The mainenance process consiss of a periodic reselecion of he Index consiuens 4 imes each year ( Quarerly Index Reselecion ) ogeher wih addiions and removals ha are required beween reselecions Overview of he Quarerly Reselecion Process The Reselecion Base Dae is he base dae for daa collaion for he reselecion. The Reselecion Reference Poin is he Index calculaion carried ou a EoD immediaely preceding he Reselecion Base Dae. During he period from he Reselecion Base Dae o he Iniial Reselecion Announcemen Dae ( Reselecion Preparaion Period ) daa is collaed and for each issue he following parameers are deermined: Quaniaive Recommendaion (Add / Drop / Hold / Exclude) Caegorisaion for feedback (In Scope / Ou of Scope) Proposed Acion (Add / Drop / Hold / Exclude) Secion 2.2 describes in deail how hese parameers are se for each issue. The Iniial Reselecion Repor conains deails of all issues eligible for consideraion for he Index ogeher wih he Quaniaive Recommendaion, Caegorisaion and Proposed Acion for each issue. Following publicaion of he Iniial Reselecion Repor feedback is solicied from he User Base on he Caegorisaion of all issues in he repor and following review of his feedback and any updaed quaniaive dae he following changes may be made o he Iniial Reselecion Repor by he Index Manager: Issues may be amended from Ou of Scope o In Scope for he Provisional Reselecion Repor Quaniaive Recommendaions may be amended o reflec updaed quaniaive daa Proposed Acions may be amended Secion 2.3 describes he review process carried ou a his sage. The amended repor is hen published as he Provisional Reselecion Repor. Following publicaion of he Provisional Reselecion Repor feedback is solicied from he User Base on he Proposed Acion for any of he issues which are In Scope for he reselecion and following review of his feedback and any updaed quaniaive dae he Index Manager will Confirm or Decline he Quaniaive Recommendaion for each issue. Secion 2.4 describes he review process used o deermine he final decision for each issue The Final Reselecion Repor conaining deails of all issues eligible for consideraion for he Index ogeher wih he decision for each issue is published o he User Base on he Final Reselecion Announcemen Dae. The Reselecion Effecive Dae is he dae on which he reselecion is applied. This dae is he las dae ha issues being dropped will affec he Index level. I is he closing prices on his dae which will be used for Adds o and Drops from he Index. 30 December
13 2.1.2 Allocaion of daes for imeable The key dae is he Reselecion Effecive Dae, which will be he second Wednesday in January, April, July and Ocober. However, if 1 s January is a Wednesday hen he dae will move o he hird Wednesday in January. The Final Reselecion Announcemen Dae will be one week prior o he Reselecion Effecive Dae. The Provisional Reselecion Announcemen Dae will be wo weeks prior o he Reselecion Effecive Dae. The Iniial Reselecion Announcemen Dae will be hree weeks prior o he Reselecion Effecive Dae. The Reselecion Base Dae will be four weeks prior o he Reselecion Effecive Dae. The daes for each Quarerly Index Reselecion will be announced prior o he Provisional Reselecion Announcemen Dae. The Index Manager may amend he daes o be used for any reselecion. The imeable for he Reselecion which becomes effecive in January will normally be amended from he above imeable o allow for he December holiday period. The Index calendar (Secion 6.9) liss he imeable for fuure reselecions. 30 December
14 2.2 Quarerly Index Reselecion Iniial Reselecion Repor Iniial Reselecion Repor - Overview The Iniial Reselecion Repor includes, for each Eligible Issue: Quaniaive Recommendaion (Add / Drop / Hold / Exclude) Caegorisaion for feedback (In Scope / Ou of Scope) Proposed Acion (Add / Drop / Hold / Exclude) The Eligible Issues are deermined by he process se ou in Secion The Quaniaive Recommendaion for each issue is deermined by he process se ou in Secion The Caegorisaion for feedback for each issue is deermined by he process se ou in Secion The Proposed Acion for each issue is deermined by he process se ou in Secion The deail of he derivaion of each of he parameers used in he generaion of he recommendaions is given in he Appendix (Secion 6). The FX raes used during he Quarerly Index Reselecion are he FX raes a he Reselecion Reference Poin unless oherwise saed Eligible Issues All issues ha are in he Index on he Reselecion Base Dae are eligible for Quarerly Index Reselecion. All issues added o he Index on or afer he Reselecion Base Dae are eligible for he Quarerly Index Reselecion. These issues will be included in he relevan repors a each sage of he process and will have a Quaniaive Recommendaion of Hold New Issue All issues ha are no consiuens of he Index on he Reselecion Base Dae are eligible for inclusion in he Quarerly Index Reselecion only if hey mee boh he issue ype requiremens (Secion ) and he issue size requiremens (Secion ) Issue Type Requiremens (No an Index consiuen) These requiremens apply o issues ha are NOT consiuens of he Index on he Reselecion Base Dae. Issues will mee his requiremen if ALL of he following condiions are saisfied. The issue is an Equiy-Linked Converible Securiy (as defined in he Appendix secion 6.1.1). The issue mus no be a Chinese domesic issue or a Taiwanese domesic issue. The issue mus have an ISIN code. The mauriy dae (or mandaory conversion dae for mandaory issues) for he issue is afer he Reselecion Effecive Dae for he second Quarerly Index Reselecion following he curren Quarerly Index Reselecion. The issue has no been called as of he Reselecion Base Dae Issue size Requiremens (No an Index consiuen) These requiremens apply o issues ha are NOT consiuens of he Index on he Reselecion Base Dae. An issue will mee his requiremen if he issue mees boh he Marke Capialisaion and Ousanding Issue Proceeds requiremens below: Marke Capialisaion Requiremen 30 December
15 The issue will be mee his requiremen if he Marke Capialisaion of he issue a he Reselecion Reference Poin is greaer han or equal o $100m and he Marke Capialisaion of he issue a he Reselecion Reference Poin is greaer han or equal o he lesser of $500m and 40% of he Accreed Issue Proceeds. Ousanding Issue Proceeds Requiremen Issues will mee his requiremen if he Ousanding Issue Proceeds a he Reselecion Reference Poin equals or exceeds he hreshold in he able below for he region of he issue. Region Europe Oher Asia Threshold $300m $200m $200m $100m $100m Quaniaive Recommendaions for Issues on he Eligible Lis A quaniaive recommendaion is generaed for each eligible Issue. The quaniaive recommendaions ha can be allocaed are shown in he ables below. For Issues ha are consiuens of he Index on he Reselecion Base Dae Recommendaion Hold Hold New Issue Hold Pending Drop Drop Drop due o size Drops before Resecion Descripion Recommend ha he issue remains in he Index following he Reselecion on he basis ha he issue has saisfied boh he issues size ess (Secion ) and he liquidiy ess (Secion ) Recommend ha he issue remains in he Index following he reselecion on he basis ha he issue has been added as a new issue on or afer he prior Reselecion Base Dae (Secion ) Recommend ha he issue remains in he Index following he Reselecion on he basis ha a Drop dae for he issue has been announced where he Effecive Dae for he Drop falls afer he Reselecion Effecive Dae. The issue will be a Hold a he Reselecion, bu will be removed from he Index on he announced Effecive Drop Dae. (Secion ) Recommend ha he issue in no in he Index following he Reselecion on he basis ha he issue has saisfied he issue size ess (Secion ) bu has no saisfied he liquidiy ess (Secion ) Recommend ha he issue in no in he Index following he Reselecion on he basis of he issue size ess (Secion ) Recommend ha he issue in no in he Index following he Reselecion on he basis of ha he issue has been announced as a Drop wih an Effecive Dae on or prior o he Reselecion Effecive Dae (Secion ) For Issues ha are NOT consiuens of he Index on he Reselecion Base Dae Recommendaion Add Exclude Descripion Recommend ha he issue is added o he Index a he Reselecion on he basis ha he issue has saisfied he liquidiy ess (Secion ) Recommend ha he issue is NOT added o he Index a he Reselecion on he basis ha he issue has no saisfied he liquidiy ess (Secion ) 30 December
16 Traded Value derivaion for Quarerly Index Reselecion The Quarerly Traded Value used for he liquidiy ess during he Quarerly Index Reselecion is calculaed using he sum of he daily Traded Value (Secion describes he derivaion of Traded Value) from and including he Reselecion Base Dae for he prior Quarerly Index Reselecion up o and including he day before he Reselecion Base Dae for he curren Quarerly Index Reselecion (Raw Traded Value). The Raw Traded Value daa is adjused o reflec a sandard 65 weekday period by using he formula: Quarerly Traded Value = Raw Traded Value * 65 / Number of weekdays in sample period Qualifying Prices derivaion for Quarerly Index Reselecion The procedure for deermining he number of Qualifying Prices available for an issue is described in Secion 6.4. The number of Qualifying Prices available for each issue ha is o be used for he liquidiy ess during he Quarerly Index Reselecion is obained by sampling he available prices during he Reselecion Preparaion Period. The prices for each issue will be sampled one or more imes during he Reselecion Preparaion period and he Qualifying Prices value used for he liquidiy ess will be he highes value obained Issues which receive excepional reamen The following issues receive excepional reamen in he reselecion: (i) Any issue added o he Index on he basis of he new issue guidelines on or afer he Reselecion Base Dae of he Quarerly Index Reselecion ha immediaely preceded he curren Quarerly Index Reselecion will be recommended as Hold - New Issue. However, in he even ha he issue was dropped from he Index prior o he Reselecion Base Dae he issue will no receive excepional reamen in he reselecion. (ii) Any issue announced as a Drop from he Index wih an Effecive Drop Dae falling afer he Reselecion Effecive Dae will be recommended as Hold Pending Drop. (iii) Any issue which is dropped from he Index wih an Effecive Drop Dae on or afer he Reselecion Base dae and on or before he Reselecion Effecive Dae will included wih a recommendaion of Drops before Reselecion Requiremens for Issues ha are Index consiuens For issues ha are Index consiuens as of he Reselecion Base Dae, he process below deermines he recommendaion for each issue. Secion describes he ess for issue size; issues failing o mee he ess receive a Drop due o size recommendaion. Secion describes he ess for liquidiy; hese ess are only applied o issues ha saisfy he issue size es. Issues ha saisfy eiher es receive a Hold recommendaion; issues failing o saisfy eiher es receive a Drop recommendaion. 30 December
17 Issue size ess (Index consiuens) The issue will be recommended as Drop due o size if he Ousanding Issue Proceeds a he Reselecion Reference Poin are below he hreshold for he region of he issue. The hreshold for each region is Region Europe Oher Asia Threshold $250m $150m $150m $75m $75m The issue will be recommended as a Drop due o size if he Marke Capialisaion of he issue a he Reselecion Reference Poin is below $75m. The issue will be recommended as a Drop due o size if he Marke Capialisaion of he issue a he Reselecion Reference Poin is below he lesser of $400m and 30% of he Accreed Issue Proceeds Liquidiy es (Index consiuens) This es is only applied o issues which saisfy he Issues Size ess above. The issue will be recommended as a Hold if he issue saisfies eiher of he liquidiy ess below Qualifying Prices es (Index consiuens) The qualifying prices es is no applied o issues which have a regional caegorisaion of. The issue will be recommended as a Hold if here are 2 or more Qualifying Prices available for he issue Traded Value Tes (Index consiuens) The issue will be recommended as a Hold if he Traded Value for he issue is greaer han or equal o 7% of he Marke Capialisaion of he issue on he Reselecion Base Dae Requiremens for Issues ha are no Index consiuens For issues ha are no Index consiuens as of he Reselecion Base Dae, he process below deermines he recommendaion for each issue. Secion describes he ess for liquidiy; issues meeing eiher of he ess for liquidiy will receive an Add recommendaion, issues failing boh ess will be recommend as Exclude Liquidiy es (No an Index consiuen) The issue will be recommended as an Add if he issue saisfies eiher of he liquidiy ess below Qualifying Prices Tes (No an Index consiuen) The qualifying prices es is no applied o issues which have a regional caegorisaion of. The issue will be recommended as an Add if here are 3 or more Qualifying Prices available for he issue Traded Value Tes (No an Index consiuen) The issue will be recommended as an Add if he Traded Value for he issue is greaer han or equal o 14% of he Marke Capialisaion of he issue on he Reselecion Base Dae. 30 December
18 2.2.4 Caegorisaion of Issues Each issue in he Iniial Reselecion Repor will be caegorised as eiher In Scope or Ou of Scope for he Provisional Reselecion. The caegorisaion of any Ou of Scope issue may be changed o In Scope following he review of feedback prior o publicaion of he Provisional Reselecion Repor. The caegorisaion of any issue marked as In Scope will no be changed following he review of feedback prior o publicaion of he Provisional Reselecion Repor. The basis of he caegorisaion is shown in he able below Recommendaion Add Drop Hold Hold New Issue Hold Pending Drop Drop due o size Drops before Resecion Exclude Caegorisaion Guideline In Scope unless he issue was recommended as an Add a he prior Reselecion as was subsequenly no added o he Index in which case he issue is caegorised as Ou of Scope. In Scope unless he issue was recommended as a Drop a he prior Reselecion as was subsequenly reained in he Index in which case he issue is caegorised as Ou of Scope. Ou of Scope Ou of Scope Ou of Scope Ou of Scope Ou of Scope Ou of Scope Proposed Acion The proposed acion for each issue follows from he Quaniaive Recommendaion and Caegorisaion for he issue as shown in he able below. Recommendaion Caegorisaion Proposed Acion Add In Scope Add subjec o feedback received Add Ou of Scope Will no be considered for addiion o he Index unless he caegorisaion is amended during he Caegorisaion Review Drop In Scope Drop subjec o feedback received Drop Ou of Scope Will no be considered for removal from o he Index unless he caegorisaion is amended during he Caegorisaion Review Hold New Issue Ou of Scope Will remain in he Index unless caegorisaion is amended Hold Pending Drop Ou of Scope during he Caegorisaion Review Drop due o size Ou of Scope Will be removed from he Index unless caegorisaion is amended during he Caegorisaion Review Drops before Resecion Ou of Scope Will be removed from he Index Exclude Ou of Scope Will no be considered for addiion o he Index unless he caegorisaion is amended during he Caegorisaion Review 30 December
19 2.3 Caegorisaion Review The Iniial Reselecion Repor will solici feedback on he caegorisaion of issues and will indicae a cuoff ime of 12:00 on he day before he Provisional Reselecion Announcemen Dae. Feedback received afer he cu-off ime may or may no be considered in he review process. The Index Manager will review all feedback received regarding he caegorisaion of issues and deermine he acion o be aken in respec of each issue lised in he Iniial Reselecion Repor. The caegorisaion of issues lised in he Iniial Reselecion repor as In Scope may no be amended. The caegorisaion of issues lised in he Iniial Reselecion repor as Ou of Scope may be amended by he Index Manager o In Scope under he following circumsances: Feedback received indicaes he Proposed Acion may be amended if he issue is In Scope during he Provisional Reselecion. Updaed quaniaive daa indicaes he Proposed Acion may be amended if he issue is In Scope during he Provisional Reselecion. If he caegorisaion of an issue is changed hen he reason for he change will be included as a noe in he Provisional Reselecion Repor Recommendaions special noes The Provisional Reselecion Repor may include special noes in cerain circumsances. The Index Manager will deermine if a special noe is o be added o an issue. The special noe will be included in he Provisional Reselecion Repor and will indicae ha here will be a presumpion ha he recommendaion will be declined by he Index Manager a review subjec o any feedback received during he Reselecion Review Period. The noe will include an explanaion of he reason ha he noe has been added. The Index Manager may add a special noe o he recommendaion if, since he Reselecion Base Dae: The Marke Capialisaion or Ousanding Issue Proceeds have reduced subsanially such ha he issue no longer saisfies he size ess. The price has declined subsanially and he Qualifying Prices es is no longer saisfied. An issue recommended as an Add is called for redempion. An issue recommended as an Add is subjec o an Offer ha maerially affecs he issue. Quaniaive daa or marke informaion indicaes ha he liquidiy of he issue has subsanially alered during he Reselecion Review Period. By way of guidance a subsanial price movemen would be around 15% more hen general marke movemen for similar issues. 30 December
20 2.4 Quarerly Index Reselecion review process Overview Following publicaion of he Provisional Reselecion Repor o he User Base, he Index Manager will review all feedback received regarding he recommendaions and deermine he acion o be aken in respec of each issue included in he Provisional Reselecion Repor. Feedback will only be considered for issues ha are lised as In Scope in he Provisional Reselecion Repor Index Manager role in he review process The provisional Reselecion Repor will solici feedback on he recommendaions and will indicae a cuoff ime of 12:00 on he day before he Final Reselecion Announcemen Dae. Feedback received afer he cu-off ime may or may no be considered in he review process. In respec of feedback received for issues lised as In Scope in he Provisional Reselecion Repor he Index Manager will use he able below o deermine he acion o be aken. Recommendaion No Feedback received Clear consensus supporing Recommendaion Clear consensus o decline Recommendaion Add Add Add Exclude Exclude Drop Drop Drop Hold Hold Hold Hold Hold Drop Hold Exclude Exclude Exclude Add Exclude No clear consensus on Recommendaion However; (i) If a special noe (Secion2.3.1) has been applied o he issue hen he presumpion is ha he Index Manager will decline he original recommendaion unless here is a clear consensus o confirm he original recommendaion. (ii) If quaniaive daa or marke informaion ha was no available during he Reselecion Preparaion Period indicaes a subsanial and maerial change o he issue hen he Index Manager may amend he original recommendaion o reflec ha informaion. The Index Manager may ask he IAG and/or he IAC for feedback and/or guidance on any of he decisions required during he Reselecion Review Period. The Final Reselecion Repor conains deails of all issues eligible for consideraion for inclusion in he Index ogeher wih he acion o be aken for each issue (Hold, Add, Drop or Exclude). The repor also includes deails of he original recommendaion and any noes added by he Index Manager. 30 December
21 2.5 New issues added beween Quarerly Index Reselecions New issues added beween reselecions overview The overall approach is ha he Index Team will review all new issues ha hey become aware of and add o he Index Saus Repor any issue ha mee he new issue minimum size hreshold se ou in Secion wih a saus of Monior for Add. All new issues included in he Index Saus Repor will be moniored daily for liquidiy unil he 14 h calendar day afer he dae on which he erms are fixed ( Terms Fix Dae ). The Index Manager may exend he monioring period if here is good reason believe ha he liquidiy hreshold will be me in he near fuure. If a any poin during he monioring period an issue mees boh he new issue minimum size hreshold se ou in Secion and he liquidiy crieria se ou in Secion he issue will be idenified as a Poenial Add o he Index in he nex Index Saus Repor issued afer he condiions have been saisfied and he Index Manager will deermine, based on feedback, if he issue is o be added o he Index (Secion below describes his process in more deail) The Index Manager may decide, based on feedback, o idenify as a Poenial Add a new issue ha does no mee he liquidiy crieria se ou in Secion Any issues idenified as a Poenial Add on his basis will be highlighed in he Quarerly New Issues Repor. Issues ha are no added as a new issue are eligible for consideraion for addiion o he Index a he subsequen Quarerly Index Reselecion. A summary of all new issues included in he Index Saus Repor ogeher wih he Index Manager decision on each issue is published in he Quarerly New Issues Repor. The erm Workday is used o describe a weekday ha is no a UK bank holiday Index Manager review of New Issues The Index Manager will review all feedback received on each Poenial Add a 12:00 London ime on he hird Workday following he announcemen of he Poenial Add o he User Base. The presumpion is ha he issue will be confirmed as an Add unless here is a clear reason o decline he Add. The Index Manager will ake one of he following acions: (i) Confirm he issue as an Add, he Add Announcemen Dae will be he same day as he decision. The Add Effecive Dae will be decided by he Index Manager, bu will generally be he following Workday. The issue will be added o he index a EOD on he Add Effecive Dae and will conribue o index performance a he firs index calculaion following he Add Effecive Dae. (ii) Decline he issue as an Add. (iii) Ask he IAC and/or IAG for feedback and/or guidance on he decision. In general his will resul in he decision being delayed and he saus of he issue in he Index Saus Repor will be amended o reflec he saus of he issue. (iv) Delay he decision o awai furher feedback. This opion will only be used when here is good reason o expec addiional maerial feedback on he Add. The saus of he issue in he Index Saus Repor will be amended o reflec he saus of he issue. In all cases he Index Manager decision will be communicaed o he User Base by means of he Index Saus Repor If an issue is declined as an Add he issue will remain on he Index Saus Repor unil he end of he monioring period wih a saus of Declined. The Index Manager may review he Declined decision a any ime during he monioring period if new informaion becomes available and if appropriae rese he saus o Poenial Add and rigger a new review process. 30 December
22 2.5.3 New Issue Guidelines Minimum Size The Iniial Issue Proceeds mus equal or exceed he regional hreshold shown in he able below. Region Europe Oher Asia Threshold $300m $200m $200m $100m $100m For issues no denominaed in $ he Iniial Issue Proceeds will be ranslaed o $ a he FX raes used for Index calculaions a he end of he weekday preceding he Terms Fixing Dae. For issues where an opion o increase is exercised in par or in whole, he issue will be re-assessed afer he announcemen of he increase opion exercise. Where an FX rae is required, he same FX rae will be used for he re-assessmen as for he original assessmen of he issue. This re-assessmen will only be carried ou if he informaion regarding he increase is available prior o he end of he monioring period New issue guidelines minimum liquidiy A new issue will have saisfied he minimum liquidiy guideline provided ha i has saisfied eiher of he condiions se ou below. i. Any issue for which he oal Traded Value since issue is greaer han or equal o 7% of he Original Issue Proceeds. ii. Any issue for which 2 Qualifying Prices are available, however his condiion does no apply o issues Index Saus Repor The Index Saus Repor is issued daily and reflecs he posiion as of 16:30 London Time on he day of publicaion. The repor will include deails of any issue subjec o any of he Saus/Evens lised below ogeher wih he deails lised in he Deails column. The repor is segregaed ino secions o group similar evens ogeher. Saus/Even Descripion Deails Monior for Add Issue mees minimum size hreshold for an Add, does no mee liquidiy hreshold. Basic idenificaion informaion only. Poenial Add - Review DD Mmm Add Under Review Add DD Mmm Issue mees minimum size and liquidiy hreshold a review of feedback will ake place a 12:00 London ime on DD Mmm Issue mees minimum size and liquidiy hreshold for an Add, he issue is under review by he Index Manager. Issue confirmed as an Add, will be added a EoD on DD Mmm Full deails of issue including all parameers ha affec inclusion of issue in subindexes Full deails of issue including all parameers ha affec inclusion of issue in subindexes. Full deails of issue including all parameers ha affec inclusion of issue in subindexes. 30 December
23 Saus/Even Descripion Deails Add Declined Issue declined by Index Manager as an Add alhough issue did mee size and liquidiy crieria. Full deails of issue including all parameers ha affec inclusion of issue in subindexes. Also conains deails of he reason he Add was declined. Added DD Mmm Poenial Drop Review DD Mmm Drop Under Review Issue was added as of EoD on DD Mmm - issue will remain on repor unil he laer of Las Monior Dae and Add Effecive Dae +2 weekdays The Issue is under consideraion o be dropped from he index, a review of feedback will ake place a 12:00 London ime on DD Mmm. A poenial Drop ha is under review by he Index Manager. Full deails of issue including all parameers ha affec inclusion of issue in subindexes. Full deails of he reason for he drop ogeher wih relevan supporing figures such as Pariy / Offer deails ec. Full deails of he reason for he drop ogeher wih relevan supporing figures such as Pariy / Offer deails ec. Drop DD Mmm Issue confirmed as a Drop a EoD on DD Mmm Full deails of he reason for he Drop ogeher wih he Drop price or Drop price basis as appropriae. Dropped DD Mmm Drop Declined DD Mmm Change DD Mmm Issue was dropped as of EoD on DD Mmm - issue will remain on repor for 3 weekdays following DD Mmm The issue was announced as a Poenial Drop and subsequenly declined as a Drop by he Index Manager on DD Mmm he issue will remain on repor for 5 weekdays following DD Mmm. The ousanding Size will be changed on DD Mmm. Full deails of he reason for he Drop ogeher wih he Drop price. Deails of he original drop basis ogeher wih he Index Manager reason for declining he Drop Deails of he proposed change. Pu - Review DD Mmm Pu Under Review Pu Decline DD Mmm The Issue is subjec o a Pu and he Index Manager is awaiing feedback, a review of feedback will ake place a 12:00 London ime on DD Mmm. Following feedback he Even saus will change o eiher Drop, Pu Decline, Pu Under Review or will remain as Pu Review wih a new dae se The Issue is subjec o a Pu and he Index Manager is reviewing feedback received. The Issue is subjec o a Pu on DD Mmm and he Index Manager has deermined ha he issue will no be dropped from he index. Full deails of he Pu ogeher wih supporing addiional daa such as pariy. Full deails of he Pu ogeher wih supporing addiional daa such as pariy. Full deails of he Pu ogeher wih supporing addiional daa such as pariy. 30 December
24 Saus/Even Descripion Deails Offer - Review DD Mmm Offer Under Review Offer - Decline DD Mmm The Issue is subjec o an Offer and he Index Manager is awaiing feedback, a review of feedback will ake place a 12:00 London ime on DD Mmm. Following feedback he Even saus will change o eiher Drop, Offer Decline, Offer Under Review or will remain as Offer Review wih a new dae se The Issue is subjec o an Offer and he Index Manager is reviewing feedback received. The Issue is subjec o an Offer on DD Mmm and he Index Manager has deermined ha he issue will be reaed as no acceping he offer Secion below gives addiional deails on his reamen. Full deails of he Offer ogeher wih supporing addiional daa such as pariy. Full deails of he Offer ogeher wih supporing addiional daa such as pariy. Full deails of he Offer ogeher wih supporing addiional daa such as pariy. Technical Add DD Mmm Technical Drop DD Mmm Add DD Mmm Drop DD Mmm Raing Change Oher Issue has been announced as a Technical Add (See Secion 2.8.1) Issue has been announced as a Technical Drop (See Secion 2.8.1) Issue is being added o he Index. Issue is being dropped from he Index. This record ype will only be used when an issue is being dropped from he Index and no being dropped from he Index. The issue has changed in saus from or o. Raing changes wihin each band are no repored. Unusually, he dae for his even are included in he deails secion as he dae will be differen for and Non- sub-indices Issue has been subjec o a change or acion no covered by a specific even ype. Deail of he reason for he even and linkage o associaed Technical Drop Deail of he reason for he even and linkage o associaed Technical Add Full deails of issue including all parameers ha affec inclusion of issue in subindexes. Full deails of issue including all parameers ha affec inclusion of issue in subindexes. Full deails of issue including all parameers ha affec inclusion of issue in subindexes. Dae of acion for and Non- sub-indices. Deails of he even 30 December
25 2.6 Issues removed beween Quarerly Index Reselecions The circumsances under which an issue may be removed from he Index oher han a Quarerly Index Reselecions are lised below: Issue reaching final conversion dae (secion ) Marke Capialisaion below hreshold (secion ) Issue is subjec of a successful ender offer (secion ) Exchange Propery de-lised (secion ) Issue becomes impracical o price (secion ) Issue approaching a Pu (secion ) Issue subjec o an Offer (secion ) Proacive deselecion (secion ) Deail on Drop process Overall flow of he Drop process The sequence of evens for issues ha are removed from he Index a imes oher han he Quarerly Index Reselecions is as follows: The Index Team deermines ha an issue has me he guidelines necessary for he issue o be noified o he Index Manager as an issue ha may require removal from he Index and he Index Team informs he Index Manager of he deails and he proposed basis for handling he drop (he Drop Noificaion Dae ). The Index Manager will hen, deermine if he issue is o be removed, and if he issue is o be removed hen he Index Manager will deermine, he Drop Announcemen Dae, he Drop Dae, he Issue Drop Price and he Equiy Drop Price. The Index Manager may, or may no reques feedback from he User Base depending on he circumsances of he Drop. Should he Index Manager deermine ha feedback is o be requesed from he User Base hen he dae of his announcemen is he Poenial Drop Noificaion Dae and he dae on which he feedback will be reviewed will also be announced (he Poenial Drop Review Dae ). Guidance on wheher he feedback should be requesed by he Index Manager and he imeframe for feedback is given in he secions below. The Drop Announcemen Dae is he dae on which deails of he drop are released. The Drop Dae is he dae which is used o deermine he appropriae value o use for removal of he issue from he Index, for example if an issue is o be removed from he Index a he Pariy value, hen he equiy price prevailing a he end of he Drop Dae will be used o compue he Pariy. The Drop Dae is he las dae on which he issue conribues o he calculaion of he Index. A summary of all issues which have been noified o he Index Manager as a Poenial Drop will be included in he Index Saus Repor from he Drop Noificaion Dae unil he Drop process is compleed Resoluion of conflicing guidelines In he even ha more han one guideline is riggered hen he guideline ha would resul in he removal of he issue a he earlies dae will prevail. If conflic remains hen he Index Manager will, deermine he guideline(s) appropriae for he paricular issue. The Index Manager may decide o reques feedback from he User Base o assis in he decision as o he appropriae guideline o apply, however generally is hese siuaions ime is of he essence and a decision will need o be reached immediaely. 30 December
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