Dividend Point Index Series

Transcription

1 For Managing the Dividend Point Index Series Jun 2015 Version 1.1

2 Amendment History Date Description 1.0 Jan 2015 First Issue 1.1 Jun 2015 Updated description of cash dividends in Section 3 - Index Calculation

3 Table of Content Page 1. Overview 2 2. Management Responsibility 3 3. Index Calculation 4 4. Post-FX adjustment for Non-HKD Dividends 6 5. Reset Frequency 7 6. Dissemination 8 7. Contact Information 9 8. Disclaimer 10 1

4 1 Overview 1.1 The Hang Seng Index ( HSI ) and the Hang Seng China Enterprises Index ( HSCEI ) have been used for many derivative products. Since the HSI and HSCEI are price indexes where dividend returns are excluded from index calculations, dividend risks exist in the derivatives products that are linked to the indexes. The Hang Seng Dividend Point Index Series ( Dividend Point Index Series ) the HSI Dividend Point Index ( HSIDVP ) and the HSCEI Dividend Point Index ( HSCEIDVP ) have been launched to enable investors to hedge the dividend risks implied in the index-linked derivatives. They also provide a benchmark to track cash dividends from constituent stocks of the HSI and the HSCEI. 1.2 The Dividend Point Index Series measures the total cash dividend value for all constituents of the underlying index expressed in terms of index points, and is designed to serve as a basis for trading contracts. 2

5 2 Management Responsibility Hang Seng Indexes Company Ltd ( HSIL ) 2.1 HSIL is responsible for conducting regular reviews in accordance with the Index Methodology. 2.2 HSIL is responsible for monitoring company announcements and making ad hoc proposals which must be approved by the Chairman of the HSI Advisory Committee if constituent changes between the regular reviews are needed. 2.3 HSIL is responsible for seeking the HSI Advisory Committee s endorsement of any special action in cases where, due to exceptional circumstances, an index review is not conducted in according to the Index Methodology. 2.4 HSIL is responsible for seeking the HSI Advisory Committee s endorsement of changes to the Index Methodology. HSI Advisory Committee 2.5 The Committee is responsible for ensuring index reviews are undertaken in accordance with the Index Methodology. 2.6 The Committee is responsible for reviewing any actions proposed by HSIL in the event that, due to exceptional circumstances, an index review is not conducted according to the Index Methodology. 2.7 The Committee is responsible for reviewing and endorsing all changes to the Index Methodology as proposed by HSIL. 2.8 The Committee is responsible for giving advice on any issues related to the Index Methodology. 3

6 3 Index Calculation 3.1 Each Dividend Point Index measures the cumulative value of all unadjusted gross cash dividends announced and paid by the individual constituent of the respective underlying index. The dividend is reflected in the index on the ex-dividend dates in terms of index points. Dividend Point Index on Day t = Dividend Point Index on Day t-1 + Dividend Point on Day t + Post-FX-adjustment for non-hkd Dividends on Day t where Dividend Point on Day t = Amount of All Cash Dividends Going Ex-dividend on Day t Divisor of the Underlying Index on Day t Amount of All Cash Dividends Going Ex-dividend on Day t = DPS IS FAF CF Divisor of the Underlying Index on Day t DPS : Dividend Per Share = Market Capitalisation of the Underlying Index on Day t Underlying Index Value on Day t IS : Number of Issued Shares (In case of H-share constituents, only H-share portion is taken into calculation) FAF : Freefloat-adjusted Factor, which is between 0 and 1 CF : Cap Factor, which is between 0 and For constituent companies declaring dividends in a currency other than Hong Kong dollars ( HKD ), the dividends will be converted to HKD in the following ways: a) If the announced HKD equivalent or the announced exchange rate ( actual exchange rate ) is available, the actual exchange rate will be used for calculating the dividend points; or b) If the actual exchange rate is not available, the exchange rate captured at around 4:00pm on announcement date ( preliminary exchange rate ) will be used for calculating the dividend points. 4

7 3.3 Besides normal cash dividends, the following types of dividends are also included in Dividend Point Index calculation: a) Cash dividends with scrip option; b) Scrip dividends with cash option; and c) Scrip dividends with a preannounced cash value. 3.4 In case dividends declared by the constituent companies cannot be strictly classified as cash dividends, notification will be made on whether the dividends will be included in index calculations. 5

8 4 Post-FX adjustment for Non-HKD Dividends 4.1 Post-FX adjustment will be performed to adjust any discrepancies between the preliminary exchange rate used and the actual exchange rate for converting non-hkd dividends to HKD. 4.2 If the actual exchange rate is available before the dividend payment date, post-fx adjustment will be performed on the dividend payment date. 4.3 If the actual exchange rate is not available before the dividend payment date, post-fx adjustment will be performed four trading days before the last stock exchange trading day in the relevant quarter (i.e. March, June, September or December). Post-FX adjustment for non-hkd Dividends on Day t = (Actual FX rate Prelim FX rate) DPSxd ISxd FAFxd CFxd Divisorxd where Actual FX rate Prelim FX rate DPSxd ISxd : Actual exchange rate used to convert non-hkd dividend : Preliminary exchange rate used to convert non-hkd dividend on ex-dividend date : Dividend Per Share on ex-dividend date : Number of Issued Shares on ex-dividend date (In case of H-share constituents, only H-share portion is taken into calculation) FAFxd : Freefloat-adjusted Factor on ex-dividend date, which is between 0 and 1 CFxd : Cap Factor on ex-dividend date, which is between 0 and 1 Divisorxd : Divisor of the underlying index on ex-dividend date 4.4 The actual exchange rate for the post-fx adjustment will be obtained from official sources e.g. the constituent company, share registrars and the Stock Exchange of Hong Kong. 4.5 No post-fx adjustment will be performed for a non-hkd dividend if the index reset date lies between its ex-dividend date and its dividend payment date, unless the actual exchange rate is announced four trading days before the last stock exchange trading day of December. 6

9 5 Reset Frequency 5.1 The Dividend Point Index Series is reset once a year after the market close on the second-last stock exchange trading day of December, i.e. the reset date. 7

10 6 Dissemination 6.1 The Dividend Point Index Series is calculated on a daily basis and published once a day before the commencement of trading on the securities and derivatives markets in the Stock Exchange of Hong Kong. 6.2 Please refer to the index dissemination timetable provided on HSIL s website for further details. ( 6.3 The Dividend Point Index Series is calculated and published in HKD. 6.4 Vendor codes for the Dividend Point Index Series HSI Dividend Point Index Vendor Bloomberg Thomson Reuters HSCEI Dividend Point Index Vendor Bloomberg Thomson Reuters Code HSIDPI.HSIDPI Code HSCEIDPI.HSCEIDPI 8

11 7 Contact Information Hang Seng Indexes Company Limited Address: Website : 83 Des Voeux Road Central, Hong Kong info@hsi.com.hk 9

12 8 Disclaimer All information contained herein is provided for reference only. Hang Seng Indexes Company Limited ( HSIL ) ensures the accuracy and reliability of the above information to the best of its endeavours. However, HSIL makes no warranty or representation as to the accuracy, completeness or reliability of any of the information contained herein and accepts no liability (whether in tort or contract or otherwise) whatsoever to any person for any damage or loss of any nature arising from or as a result of reliance on any of the contents of this document, or any errors or omissions in its contents and such contents may change from time to time without notice. The information contained in this document is not intended to provide professional advice and should not be relied upon in that regard. Persons intending to use any information obtained from this document are advised to obtain appropriate professional advice. Hang Seng Indexes Company Limited All rights reserved. - End - 10