DECEMBER 2017 STOXX CALCULATION GUIDE

Transcription

1 DECEMBER 2017 STOXX CALCULATION GUIDE

2 STOXX CALCULATION GUIDE CONTENTS 2/26 6. INDEX PARAMETERS INTRODUCTION TO THE STOXX INDEX GUIDES3 2. CHANGES TO THE GUIDE BOOK PRICE AND RETURN INDICES INDICES IN EUR, USD AND OTHER CURRENCIES HISTORY OF CHANGES TO THE STOXX EQUITY CALCULATION GUIDE 4 3. DISSEMINATION DISSEMINATION CALENDAR REGIONAL CALENDARS COUNTRY CALENDARS OTHER CALENDARS DISSEMINATION PERIOD REAL-TIME AND END-OF-DAY INDICES 6 4. INPUT DATA SOURCES MONITORING DATA ACCURACY CURRENCY RATES STOCK PRICES 8 7. INDEX VALUE CALCULATION INDEX FORMULAS MARKET CAPITALIZATION-WEIGHTED PRICE-WEIGHTED WITH WEIGHTING FACTORS INDEX DIVISOR CALCULATION MARKET CAPITALIZATION-WEIGHTED PRICE-WEIGHTED WITH WEIGHTING FACTORS DIVIDEND POINT CALCULATIONS CORPORATE ACTIONS AND ADJUSTMENTS CORPORATE ACTIONS FREE FLOAT FACTORS AND SHARE ADJUSTMENTS MERGERS AND TAKEOVERS SPIN-OFFS SECTOR CHANGES ILLIQUIDITY, BANKRUPTCY AND DELISTING EXTREME MARKET AND COMPANY EVENTS AVAILABLE DATA OPEN QUOTATIONS INDEX SETTLEMENT VALUES INTRADAY SNAPSHOTS DATA CLOSING DATA CORPORATE ACTION FORECASTS MONTHLY REPORTS AND SELECTION LISTS CORRECTION POLICY INPUT AND REAL-TIME DATA INDEX DIVISOR CORRECTION PAYMENT DEFAULTS AND DIVIDEND DATA CHANGES CONTACT AND CUSTOMER SUPPORT STOXX CUSTOMER SUPPORT INDEX REVIEW LISTS STOXX NEWS AND INDEX DATA NOTIFICATIONS 10

3 1. INTRODUCTION TO THE STOXX INDEX GUIDES 3/26 The STOXX index guides are separaed ino he following sub-ses:» The STOXX Calculaion guide provides a general overview of he calculaion of he STOXX indices, he disseminaion, he index formulas and adjusmens due o corporae acions» The STOXX Index Mehodology guide conains he index specific rules regarding he consrucion and derivaion of he porfolio based indices, he individual componen selecion process and weighing schemes» The STOXX Sraegy guide conains he formulas and descripion of all nonequy/sraegy indices» The STOXX Dividend Poins Calculaion guide describes he dividend poins producs» The STOXX Disribuion Poins Calculaion guide describes he disribuion poins producs» The STOXX ESG guide conains he index specific rules regarding he consrucion and derivaion of he ESG indices, he individual componen selecion process and weighing schemes» The istoxx guide conains he index specific rules regarding he consrucion and derivaion of he istoxx indices, he individual componen selecion process and weighing schemes» The STOXX Reference Raes guide conains he rules and mehodologies of he reference rae indices» The STOXX Saisical Calculaions guide provides a deailed view of definions and formulas of he saisical calculaions as uilized in he repors, facshees, indices and presenaions produced by STOXX All rule books are available for download on hp://

4 2. CHANGES TO THE GUIDE BOOK 4/ HISTORY OF CHANGES TO THE STOXX EQUITY CALCULATION GUIDE» February 2011: Publicaion of a complee new rule book series» Augus 2011: Modificaion of Free Floa Facors and Share Adjusmens» February 2013: Amendmens of chaper 8 Corporae Acions and Adjusmens; addion of chaper 5.8 STOXX News and Index Daa Noificaions and 10 Conac and Cusomer Suppor» July 2014: Inerims soluion: Treamen of Righs Issues wh highly diluive erms in chaper 8.1 and addion of chaper 8.7 Exreme Marke and Company Evens» Sepember 2014: Treamen of Righs Issues wh highly diluive erms in chaper 8.1» December 2014: Clarificaion axaion of corporae acions in chaper 8» July 2016: Correcion of wording in reamen of Spin-offs in chaper 8.4» May 2017: Updae of Cusomer Suppor conac deails» Ocober 2017: Updae of definion for Disseminaion Calendar» November 2017: Calendars addion o he definion for Disseminaion Calendar» December 2017: Calendars addion o he definion for Disseminaion Calendar» December 2017 /2: Correcion of yping error in spin-off adjusmen formula

5 3. DISSEMINATION 5/ DISSEMINATION CALENDAR The STOXX indices are disseminaed Monday hrough Friday beween 0:00 and 22:15 CET, according o he calendars defined below. In excepional cases, he STOXX Managemen Board can make changes o he disseminaion calendar REGIONAL CALENDARS STOXX defines he following Regional Calendars:» STOXX Europe Calendar: every weekday excep January 1 s, Good Friday, Easer Monday, December 25 h and December 26 h (his is he defaul calendar for any index, unless differenly specified in he relevan index mehodology)» STOXX Americas Calendar: every weekday excep January 1 s, Good Friday and December 25 h» STOXX Asia Calendar: every weekday excep January 1 s COUNTRY CALENDARS STOXX defines Counry Calendars as every weekday excep non-rading days which are defined as exchange holidays. The informaion is provided by STOXX on an annual basis and is available on he STOXX webse under Resources, Mehodology, Disseminaion for he counries lised in chaper 4.3 of STOXX Index Mehodology Guide. For he laes updae, please refer o he following link: Disseminaion period: hp:// OTHER CALENDARS» STOXX Targe Calendar: every weekday excep January 1s, Good Friday, Easer Monday, May 1 s, December 25 h and December 26 h» STOXX Eurex Calendar: every weekday excep January 1s, Good Friday, Easer Monday, May 1 s, December 24 h, December 25 h and December 26 h» STOXX Specific Calendar: Index specific calendars which canno be associaed o any of he above defined STOXX Calendars. In his case he disseminaion days are specified in he relevan index mehodology and are subjec o STOXX approval DISSEMINATION PERIOD The index disseminaion period begins wh he opening of he firs rading sysem. Each index has a defined disseminaion sar and end ime. The acual disseminaion of each index is riggered, when he firs opening sock price for ha index is received whin hese ime frames. The index disseminaion period ends, when he las rading sysem in he regional universe closes.

6 3. DISSEMINATION 6/26 For he laes updae, please refer o he following links: Disseminaion period: hp:// Individual index disseminaion imes: hp:// REAL-TIME AND END-OF-DAY INDICES The indices are calculaed and disseminaed a differen frequency sandards:» Real-ime indices: Calculaed and disseminaed every 15 seconds during he index disseminaion period.» End-of-day indices: Calculaed and disseminaed once a day a he end of he index disseminaion period. All indices including heir frequencies are lised in he daa vendor code file: hp:// The index values are disseminaed over he Consolidaed Exchange Feed (CEF) of Deusche Börse and can be procured direcly from daa vendors. For furher informaion: hp://

7 4. INPUT DATA 7/ SOURCES The inpu daa sources for he index producion include:» Trading plaforms» Regulaory agencies» Companies in he invesable sock universe» Real-ime and end of day sock prices and currency exchange raes provided by Thomson Reuers» Relaed daa and service providers 4.2. MONITORING The real-ime inpu daa feeds for he index calculaion are monored by:» Daa filers» Qualy assurance ools» Verificaion agains secondary sources 4.3. DATA ACCURACY The daa accuracy for he following facors of he index calculaion is defined as (unless saed differenly in he individual index mehodologies):» Inpu daa (e.g. pricing and currency raes) and oher underlying daa: rounded o seven decimal places» Index divisors and marke capalizaion: rounded o ineger numbers» Free floa facors: rounded o four decimal places» Produc of (number of shares x Free floa facor x weighing capfacor): rounded o ineger numbers» Produc of (weighfacor x weighing capfacor): rounded o ineger numbers» Index values: rounded o wo decimal places for disseminaion» Weighs: expressed in percenage wh 5 decimals 4.4. CURRENCY RATES All real-ime indices use he following currency raes:» From 09:00 o 17:30 CET, he mid beween he laes real-ime bid and ask prices is used as he currency rae in order o calculae he indices for Europe, Easern Europe and he EU Enlarged region.» From 15:30 o 22:15 CET, he mid beween he laes real-ime bid and ask prices is used as he currency rae in order o calculae he indices for he Americas region.

8 4. INPUT DATA 8/26» From 00:00 o 11:00 CET, he mid beween he laes real-ime bid and ask prices is used as he currency rae in order o calculae he indices for he Asia/Pacific region. All end-of-day indices, as well as he closing procedure for he real-ime indices, use currency raes as follows:» From 17:30 CET, fixed foreign exchange raes are used for he calculaion of he indices (using WM fixed exchange raes from 17:00 CET).» The global closings se a 22:15 CET use he same fixed raes as he European indices. The fixed foreign exchange raes are provided by he WM Company for furher informaion refer o Reuers page WMRSPOT01 or Bloomberg page WMCO STOCK PRICES The daa hierarchy used o process sock prices and calculae he STOXX equy indices are as follows. All daa are provided by Thomson Reuers. For all non-equy indices he individual index mehodologies conain furher descripions abou he pricing sources and ypes.» The opening price: he firs raded price during he official rading hours of he sock s rading sysem; unil his is available, he previous day s closing/adjused price is used.» The inraday price: he currenly raded price during he official rading hours of he sock s rading sysem. When he sock is no raded, he las available sock price is used, his can eher be he las available inraday sock price (e.g. if he sock is emporarily suspended) or he las available closing/adjused price (e.g. if he sock exchange is closed).» The closing price: he las raded price or aucion price during he official rading hours of he sock s rading sysem is used. If he sock has no been raded all day, hen he previous day s closing/adjused price is used.» The adjused price: he closing price is adjused o reflec a sock s corporae acion ha will be effecive he nex rading day.» Sock prices in local currency are convered o EUR firs before being convered o he index currency.

9 5. AVAILABLE DATA 9/ OPEN QUOTATIONS The index open quoaion akes he opening prices of all socks in a real-ime index ino accoun. This value indicaes wha he index value would have been, if all opening sock prices had been received a he same ime. The index open quoaions for he real-ime indices are calculaed eher as soon as all he relevan opening sock prices are received or, a he laes, a 10:30 CET. If an opening sock price is unavailable a 10:30 CET, he sock s previous day s closing/adjused price is used. Non-EUR sock prices are convered ino EUR using he currency rae valid a he ime of he opening sock price (or previous day s closing/adjused price), i.e. opening sock prices are convered using real-ime currency raes and he previous day s closing prices are convered using WM fixed exchange raes of he day before INDEX SETTLEMENT VALUES The index selemen values are calculaed daily as he average of he 41 index values disseminaed beween 11:50 CET and 12:00 CET INTRADAY SNAPSHOTS DATA Inraday snapsho daa for he STOXX indices are disseminaed daily a:» 10:30 CET or earlier: opening sock prices for seleced STOXX indices and open quoaion index values for real-ime indices.» 12:00 CET: final index selemen values (FSV) as well as componen sock prices for seleced STOXX indices.» 10:30 CET, 15:30 CET, 17:45 CET and 18:45 CET: inraday index values and componen sock prices for seleced STOXX indices CLOSING DATA The closing daa for he STOXX indices are disseminaed afer he index disseminaion period for he relevan region. The closing daa includes he following ses of daa:» Sock prices: boh closing and adjused prices for all componens of he STOXX indices.» Index-relaed values: closing values, marke capalizaion and divisors for all indices.» Currency raes o EUR for all currencies used in any STOXX indices.» Corporae acions and dividends: effecive he nex rading day.» Oher informaion like weighings, corporae acions and dividend forecass.

10 5. AVAILABLE DATA 10/ CORPORATE ACTION FORECASTS The corporae acion forecass are updaed daily and include informaion abou fuure adjusmens induced by confirmed corporae evens. This includes, bu is no limed o:» Mergers, akeovers, spin-offs, price and shares adjusmen, and IPOs for he coming week.» Inial public offerings (IPOs): recen IPOs ha could qualify for he indices; for he STOXX Europe IPO Indices. All corporae acions and dividend forecass are subjec o change. Cusomers are recommended o download regularly he forecas from he webse and subscribe o corporae acions and dividend alers o receive noificaion for he laes changes MONTHLY REPORTS AND SELECTION LISTS The monhly repors are published each monh and include he following daa for seleced indices:» Index composion and performance repors» Saisical and fundamenal repors» Facshees for various indices wh informaion on fundamenal raios, performance daa and oher saisics Selecion liss are produced for indices wh a fixed number of componens in order o:» indicae possible changes in he composion of he index a he ime of he nex quarerly / semi-annual / annual review, and» deermine replacemens for any sock deleed from he indices due o corporae acions.» The STOXX Managemen Board 1 may decide o updae he selecion liss in beween he regular publicaion daes o reflec exraordinary marke movemens and underlying daa changes INDEX REVIEW LISTS Each index has defined daes, when he new consuens, he underlying daa (shares, free floa, weighing-cap facors) are announced and implemened. The componen and he underlying daa announcemen daes differ by index caegory and are herefore covered in he STOXX Mehodology Guide. The quarerly implemenaion for all indices is always on he hird Friday in March, June, Sepember and December STOXX NEWS AND INDEX DATA NOTIFICATIONS 1 The STOXX Managemen Board has delegaed cerain decisions o inernal commees.

11 5. AVAILABLE DATA 11/26 For cusomers a subscripion o noificaions is available on he webse. Noificaions are sen ou for shor-erm corporae acions and dividend changes, he periodic review announcemens, index calculaion and producion issues and errors, new index launches and general informaion from STOXX.

12 6. INDEX PARAMETERS 12/ PRICE AND RETURN INDICES All indices are calculaed as price and reurn indices. Dividend paymens are invesed in reurn indices only and negleced in price indices. Reurn indices are available as gross-reurn versions, calculaed wh a full dividend re-invesmen and as ne-reurn invesmen, where dividends minus he whholding axes are invesed INDICES IN EUR, USD AND OTHER CURRENCIES All sock prices of he indices are convered o EUR and USD, as follows:» EUR indices: Non-EUR sock prices are convered o EUR for he index calculaion.» USD indices: Non-EUR sock prices are convered o EUR firs (as above), and hen - ogeher wh he EUR sock prices - convered o USD for he index calculaion. Some indices are addionally available in oher currencies. The following rule applies:» Indices in oher currencies: non-eur sock prices are convered o EUR firs, and hen - ogeher wh he EUR sock prices - convered o he appropriae index currency for he index calculaion.

13 7. INDEX VALUE CALCULATION 13/ INDEX FORMULAS The indices are calculaed wh he Laspeyres formula, which measures price changes agains a fixed base quany weigh. Each index has a unique index divisor, which is adjused o mainain he coninuy of he index s values across changes due o corporae acions MARKET CAPITALIZATION-WEIGHTED The indices are calculaed wh he Laspeyres formula, which measures price changes agains a fixed base quany weigh: Index Where: n p s ff cf x M D n i 1 (p s ff cf x ) M D D = Time he index is compued = Number of companies in he index = Price of company (i) a ime () = Number of shares of company (i) a ime () = Free floa facor of company (i) a ime () = Weighing cap facor of company (i) a ime () = Exchange rae from local currency ino index currency for company (i) a ime () = Free floa marke capalizaion of he index a ime () = Divisor of he index a ime () PRICE-WEIGHTED WITH WEIGHTING FACTORS The indices are weighed based on he componens sock prices and weighing facors: Index n (p i 1 wf D cf x ) M D Where: n p wf cf x M D = Time he index is compued = Number of companies in he index = Price of company (i) a ime () = Weighing facor of company (i) a ime () = Weighing cap facor of company (i) a ime () = Exchange rae from local currency ino index currency for company (i) a ime () = Toal uns of he index a ime () = Divisor of he index a ime ()

14 7. INDEX VALUE CALCULATION 14/ INDEX DIVISOR CALCULATION MARKET CAPITALIZATION-WEIGHTED Each index has a unique index divisor ha is adjused o mainain he coninuy of he index s values across changes due o corporae acions. Changes in weighs due o corporae acions are disribued proporionally across all index componens. The index divisors are calculaed as follows: D 1 D n i 1 (p n s i 1 (p ff s cf ff x cf ) MC x ) 1 Where: D+1 D1 n p s ff cf x ΔMC+1 = Divisor a ime (+1) = Divisor a ime () = Number of companies in he index = Price of company (i) a ime () = Number of shares of company (i) a ime () = Free floa facor of company (i) a ime () = Weighing cap facor of company (i) a ime () (only applicable if index is capped) = Exchange rae from local currency ino index currency for company (i) a ime () = The difference beween he closing marke capalizaion of he index and he adjused closing marke capalizaion of he index: For companies wh corporae acions effecive a ime (+1), he free floa marke capalizaion is calculaed wh adjused closing prices, he new number of shares a ime (+1) and he free floa facor a ime (+1) minus he free floa marke capalizaion calculaed wh closing prices, number of shares a ime () and free floa facor a ime () PRICE-WEIGHTED WITH WEIGHTING FACTORS Each index has a unique index divisor ha is adjused o mainain he coninuy of he index s values across changes due o corporae acions. Changes in weighs due o corporae acions are disribued proporionally across all index componens. The index divisors are calculaed as follows: D 1 D Where: D+1 D n p wf cf x n i 1 (p n wf i 1 (p cf wf x cf ) MC x ) 1 = Divisor a ime (+1) = Divisor a ime () = Number of companies in he index = Price of company (i) a ime () = Weighing facor of company (i) a ime () = Weighing cap facor of company (i) a ime () (only applicable if index is capped) = Exchange rae from local currency ino index currency for company (i) a ime ()

15 7. INDEX VALUE CALCULATION 15/26 ΔMC+1 = The difference beween he uns in he index a closing and he uns in he index afer calculaion parameers have been adjused: For companies wh corporae acions effecive a ime (+1), he uns in he index are calculaed wh adjused closing prices, he adjused weighing facors a ime (+1) and he adjused weighing cap facors a ime (+1) minus he uns in he index calculaed wh closing prices, weighing facors a ime () and weighing cap facors a ime () DIVIDEND POINT CALCULATIONS Dividend Poin Calculaions For a deailed overview also consul he STOXX Dividend Poin Calculaion Guide. DP ( DVP) DP D n i d s ff cf X-1 n i 1 d s ff D cf X -1 = Dividend poins (applies o STOXX Dividend Poin DVP indices only) = Time he value is compued = Divisor of he price index a ime = Time he amoun is compued = Number of companies in he index = Individual company being a consuen of he index = Includes ordinary un-adjused gross cash dividends and whholding ax amouns applied o special cash dividends and capal reurns (d) in respec of each share of company (i) which is a consuen of he index a day () being an ex-dividend dae as appropriae, or zero if no amoun is applicable = Number of shares ousanding of company (i) a ime () = Free floa facor of company (i) a ime () = Weighing cap facor of company (i) a ime () = Exchange rae from local currency ino EUR for company (i) a ime (-1)

16 8. CORPORATE ACTIONS AND ADJUSTMENTS 16/ CORPORATE ACTIONS The lis of corporae acions indicae he calculaion of he adjused prices and he impac on he index divisor. All corporae acions and dividends are implemened a he effecive dae (exdae); i.e. wh corporae acions where cash or oher corporae asses are disribued o shareholders, he price of he sock will drop on he ex- day. Changes in weighs due o corporae acions are disribued proporionally across all index componens and equal an invesmen ino he porfolio. Whholding axes are considered for all corporae acions and dividends where applicable and defined per counry. If STOXX becomes aware of an excepion on he axaion; e.g. in case a company confirms a deviaing ax reamen he excepion will be used for he index calculaion. For he laes updae on whholding axes, please refer o he following link: hp:// For he corporae acions lised below, he following assumpions apply:» Shareholders will receive B new shares for every A share held (where applicable)» All adjused prices consider whholding axes based on he new shares being disribued: B (1 whholding ax where applicable)» If he new shares have a dividend disadvanage - i.e. he new shares have a differen dividend from ha paid on he old shares - he price for hese new shares will be adjused according o he gross dividend amoun 1. Cash dividend (applies o reurn indices only) Divisor Definion: Cash disribuions ha are whin he scope of he regular dividend policy or ha he company defines as a regular disribuion. decreases Adjused price (ne reurn) = closing price - dividend announced by he company (1 whholding ax) Adjused price (gross reurn) = closing price - dividend announced by he company 2. Special cash dividend (applies o price and reurn indices) Divisor Definion: Cash disribuions ha are ouside he scope of he regular dividend policy or ha he company defines as an exraordinary disribuion. decreases Adjused price = closing price - dividend announced by he company (1 - whholding ax if applicable)

17 8. CORPORATE ACTIONS AND ADJUSTMENTS 17/26 3. Spl and reverse spl Divisor Adjused price = closing price A / B New number of shares = old number of shares B / A unchanged For price-weighed indices wh weighing facors: new weighing facor= old weighing facor B/A 4. Righs offering Divisor Sandard righs issue reamens a) Free floa marke capalizaion weighed indices Adjused price = (closing price A + subscripion price B) / (A + B) New number of shares = old number of shares (A + B) / A b) Price weighed indices wh weighing facors Adjused price = (closing price A + subscripion price B) / (A + B) New weighing facor = old weighing facor closing price / adjused price increases Unchanged Furher disincions are made applicable for boh weighing schemas:» Exremely diluive righs issue wh a share raio larger or equal o 2000% (B/A 20)» Highly diluive righs issue wh a share raio larger or equal o 200% (B/A 2) Exremely diluive righs issues are reaed as following:» STOXX will announce he deleion of he company from all indices following he sandard rules for index replacemens if sufficien noice period can be given» Sufficien noice period: STOXX is able o make an announcemen abou index changes wo rading days before he ex-dae» The company may ener he indices again a he nex periodic index review, bu only afer he new shares have been lised Exremely diluive righs issues whou sufficien noice period and all highly diluive righs issues are reaed as following:» Inclusion of he righs ino he indices wh a heoreical price on he ex-dae» The righs mus be lised on an eligible sock exchange and radable saring on he ex-dae oherwise only a price adjusmen is made» The righs will have he same parameers as he paren company» The righs will be removed a he close of he day hey sar o rade wh raded price being available» The number of shares and weighing facors will be increased afer he new shares have been lised

18 8. CORPORATE ACTIONS AND ADJUSTMENTS 18/26 If he subscripion price is no available or equal o or greaer han he closing price on he day before he effecive dae, hen no adjusmen is made. 5. Sock dividend Divisor Adjused price = closing price A / (A + B) New number of shares = old number of shares (A + B) / A For price-weighed indices wh weighing facors: New weighing facor = old weighing facor (A + B) / A unchanged unchanged 6. Sock dividend (from reasury sock) Divisor Sock dividends from reasury socks will be adjused as cash dividends. decreases a1) If reaed as regular cash dividend, only he reurn indices are adjused. Adjused close = close - close B / (A + B) a2) If reaed as exraordinary dividend, he price and he reurn indices are adjused. Adjused close = close - close B / (A + B) 7. Sock dividend of anoher company Divisor Adjused price = (closing price A - price of he oher company B) / A decreases 8. Reurn of capal and share consolidaion Divisor Adjused price = [closing price - capal reurn announced by company (1 - whholding ax)] A / B New number of shares = old number of shares B / A decreases For price-weighed indices wh weighing facors: new weighing facor = old weighing facor B / A 9. Repurchase of shares/self-ender Divisor a) Free floa marke capalizaion weighed indices: Adjused price = [(price before ender old number of shares) decreases

19 8. CORPORATE ACTIONS AND ADJUSTMENTS 19/26 (ender price number of endered shares)] / (old number of shares - number of endered shares) New number of shares= old number of shares - number of endered shares b) Price-weighed indices wh weighing facors: Adjused price = [(price before ender old number of shares) - (ender price number of endered shares)] / (old number of shares - number of endered shares) unchanged New weighing facor = old weighing facor closing price / adjused price 10.Spin-off a) Free floa marke capalizaion weighed indices: Adjused price = (closing price A - price of spun-off shares B) / A b) Price-weighed indices wh weighing facors: Adjused price = (closing price A - price of spun-off shares B) / A Divisor decreases decreases New weighing facor for he spin-off = weighing facor of he paren company B/A Please refer o 8.4 for furher deails.

20 8. CORPORATE ACTIONS AND ADJUSTMENTS 20/ Combinaion sock disribuion (dividend or spl) and righs offering Divisor For he above corporae acions he following addional assumpions apply:» Shareholders receive B new shares from he disribuion and C new shares from he righs offering for every A share held.» If A is no equal o one, all he following new number of shares formulas need o be divided by A : a1) If righs are applicable afer sock disribuion (one acion applicable o anoher) increases Adjused price = [closing price A + subscripion price C (1 + B / A)] / [(A+B) (1+C / A)] New number of shares = old number of shares [(A + B) (1 + C / A)] / A a2) If sock disribuion is applicable afer righs(one acion applicable o anoher) increases Adjused price = [closing price A + subscripion price C] / [(A + C) (1 + B / A)] New number of shares = old number of shares [(A + C) (1 + B / A)] a3) Sock disribuion and righs (neher acion is applicable o he oher) increases Adjused price = [closing price A + subscripion price C] / [A + B + C] New number of shares = old number of shares [A + B + C] / A b) Price-weighed indices wh weighing facors: Adjused prices = see above [combinaion sock disribuion (dividend spl) and righs offering] New weighing facor = old weighing facor closing price / adjused price unchanged 12. Addion / deleion of a company Divisor No price adjusmens are made. The ne change in marke capalizaion (for price weighed indices: he change in uns) deermines he divisor adjusmen.

21 8. CORPORATE ACTIONS AND ADJUSTMENTS 21/ Free Floa and shares changes Divisor No price adjusmens are made. The ne change in marke capalizaion (for price weighed indices: he change in uns) deermines he divisor adjusmen. Please refer o 8.2 for furher deails.

22 8. CORPORATE ACTIONS AND ADJUSTMENTS 22/ FREE FLOAT FACTORS AND SHARE ADJUSTMENTS Ordinary adjusmens: The free floa facors and ousanding number of shares are reviewed on a quarerly basis based on he mos recen available daa. The final daa are published on he quarerly underlying daa announcemen daes and implemened on he quarerly implemenaion daes. The cu-off daes for free floa daa are on he 20h of February, May, Augus and November. Daa arriving afer he cu-off daes are implemened in he following quarerly review. Exraordinary adjusmens: The indices are updaed wh changes o he number of shares and/or free floa facors due o corporae acions. The iming depends on he magnude of he change:» Changes o he number of shares due o sock dividends, spls, righs issues ec. are implemened immediaely and effecive he nex rading day.» Changes greaer han ± 10 percen o he number of shares from one rading day o he nex are announced immediaely, implemened wo rading days laer and effecive he nex rading day afer implemenaion.» Free floa facor changes greaer han ± five percen from one rading day o he nex are announced immediaely, implemened wo rading days laer and effecive he nex rading day afer implemenaion.» Changes o he combined free floa adjused number of shares greaer han ± 10 percen from one rading day o he nex are announced immediaely, implemened wo rading days laer and effecive he nex rading day afer implemenaion.» All oher applicable changes are announced on he nex quarerly underlying daa announcemen dae, implemened on he quarerly implemenaion dae and effecive he nex rading day afer implemenaion MERGERS AND TAKEOVERS A merger or akeover is deemed successful, if has been declared wholly uncondional and has received he approval of all he regulaory agencies wh jurisdicion over he ransacion. Changes are announced immediaely, implemened wo rading days laer and become effecive on he nex rading day afer implemenaion. The resul of a merger or a akeover is one surviving sock and one or more non-surviving socks ha may no necessarily be de-lised from he respecive rading sysem(s). The rules below are only applied if a leas one company in his ransacion is a componen of he STOXX Benchmark indices. Any surviving sock ha does no qualify and he non-surviving sock(s) are deleed immediaely. A surviving sock ha qualifies for he STOXX Benchmark indices is added o he indices as follows:» STOXX Benchmark indices: The surviving sock replaces he larges of he original socks.» STOXX Size indices: The surviving sock replaces he original sock ha belonged o he larges affeced Size index.

23 8. CORPORATE ACTIONS AND ADJUSTMENTS 23/26» STOXX Blue-Chip and oher indices: If one of he original socks was a componen, is replaced by he surviving sock. Separae buffer rules and addional requiremens for individual indices may apply according o specific index mehodology.» STOXX Selec Dividend indices: If one of he original socks was a Selec Dividend componen, hen is replaced by he surviving sock, if was ranked a or above he lower buffer lim on he currenly valid Selec Dividend selecion lis. A surviving sock ha falls below he lower buffer lim, is replaced by he highes-ranked non-componen on he selecion lis SPIN-OFFS Each spin-off sock is emporarily added o all affeced indices, including he fixed componen indices, based on an esimaed price. As a precondion a lising on one of he eligible exchanges, pricing and insrumen reference daa mus be available. If he spin-off company does no qualify based on he rules se ou below, will be deleed a he close of he day sars o rade wh raded price being available. Separae buffer rules and addional requiremens for individual indices may be applied according o specific index mehodology, as oulined in he STOXX mehodology guide. Changes are announced immediaely, implemened wo rading days laer and become effecive on he nex rading day afer implemenaion. STOXX Benchmark, Bluechip and derived indices:» Each spin-off sock qualifies for addion, if lies whin he upper (higher) buffer on he laes selecion lis for he specific index. The spin-off replaces he lowes ranked sock in ha index, as deermined by he laes selecion lis Qualifying spin-off socks are added in sequence:» The larges qualifying spin-off sock replaces he original sock in he index» The nex qualifying spin-off sock replaces he lowes ranked sock in he index» Likewise for he oher qualifying spin-off socks STOXX Toal Marke and derived indices:» The spin-off sock is added, if qualifies for he STOXX TMI indices as of he laes quarerly review lis 8.5. SECTOR CHANGES The indices are updaed wh he secor changes; he iming depends on he cause of he change:» Changes due o corporae acions: Announced immediaely, implemened wo rading days laer and effecive he nex rading day afer implemenaion.» Changes in he primary revenue source: Announced on he quarerly componen announcemen daes, implemened on he quarerly implemenaion daes and effecive he nex rading day afer implemenaion.

24 8. CORPORATE ACTIONS AND ADJUSTMENTS 24/ ILLIQUIDITY, BANKRUPTCY AND DELISTING Socks are deleed if heir illiquidy is due o:» no being raded for 10 consecuive days;» being suspended from rading; Moreover, socks are deleed in case of:» official delising» ongoing bankrupcy proceedings: a company ha has filed for bankrupcy will be deleed from he index based on eher he raded sock price on s primary marke, if available, or else he OTC sock price; if neher price is available, he company will be deleed a close in local currency of Changes are announced immediaely, implemened wo rading days laer and become effecive he nex rading day afer implemenaion EXTREME MARKET AND COMPANY EVENTS In case he invesabily and radabily of he indices and index based producs is affeced by an upcoming marke or company even or disrupions of incoming daa and considered significan by he STOXX Managemen Board he following or a combinaion of acions are aken. For all such changes a minimum noificaion period of wo full rading days will be observed. The applicaion scope may include bu no be limed o:» applicaion of exper judgmen for index componen pricing daa» adjusmen of operaional procedures» posponemen of index adjusmens» adjusmen of selecion liss» change of weighs of index consuens by adjusing he number of shares, free-floa facors or weighing cap-facors» adjusmen of index composions

25 9. CORRECTION POLICY 25/ INPUT AND REAL-TIME DATA The correcion procedures for incorrec or missing inpu daa are as follows:» Inpu daa are correced immediaely.» Real-ime index values are no reroacively correced, because he index is calculaed in realime INDEX DIVISOR CORRECTION The correcion procedures for incorrec index divisors are:» If discovered on he effecive dae, incorrec index divisors are correced inraday.» If discovered afer, he incorrec index divisors are correced inraday, provided ha correcion is feasible and considered significan by he STOXX Managemen Board PAYMENT DEFAULTS AND DIVIDEND DATA CHANGES A correcion is applied, when a dividend is declared unpaid (paymen defaul) or he dividend amoun is changed by he company afer he effecive dae. This may resul in a negaive reinvesmen. Pas index values (hisory) are no correced. The following rules apply:» The correcion is feasible and considered significan by he STOXX Managemen Board.» A correcion will be acceped only, if he paymen defaul is discovered whin 12 monhs afer he original ex dae.» The index parameers (number of shares, free floa facors, weighing cap facors and currency raes) effecive on he day prior o he correcion dae are used.

26 10. CONTACT AND CUSTOMER SUPPORT 26/ STOXX CUSTOMER SUPPORT For quesions regarding our indices, please conac our Cusomer Suppor eam:» Available from 07:30 o 22:00 CET on STOXX rading days» Phone: » Fax: » cusomersuppor@soxx.com