ISE Cloud Computing Index Methodology

Transcription

1 ISE Cloud Computng Index Methodology Index Descrpton The ISE Cloud Computng Index s desgned to track the performance of companes nvolved n the cloud computng ndustry. Index Calculaton The ISE Cloud Computng Index s a modfed market captalzaton-weghted ndex. The value of the Index equals the aggregate value of the Index share weghts, also known as the Index Shares, of each of the Index Securtes multpled by each such securty s Last Sale Prce 1, and dvded by the dvsor of the Index. The dvsor serves the purpose of scalng such aggregate value to a lower order of magntude whch s more desrable for Index reportng purposes. If tradng n an Index Securty s halted on ts prmary lstng market, the most recent Last Sale Prce for that securty s used for all ndex computatons untl tradng on such market resumes. Lkewse, the most recent Last Sale Prce s used f tradng n a securty s halted on ts prmary lstng market before the market s open. The Index began on December 31, 2007 wth a base value of The formula for ndex value s as follows: Aggregate Adjusted Market Value/Dvsor The formula for the dvsor s as follows: (Market Value after Adjustments/Market Value before Adjustments X Dvsor before Adjustments Three versons of the Index are calculated: The prce return ndex n USD (Nasdaq: CPQ s ordnarly calculated wthout regard to cash dvdends on Index Securtes. The total return ndex n USD (Nasdaq: CPQTR renvests cash dvdends on the exdate. The net total return ndex n USD (Nasdaq: CPQNTR renvests cash dvdends on the ex-date and adjusts for an Index Securty s country of ncorporaton wthholdng rate. The net total return ndex began on February 6, 2017 at a base value of All Indexes reflect extraordnary cash dstrbutons. The Indexes are calculated and dssemnated once per second from 9:30:01 to 17:16:00 Eastern Tme (ET n USD. The closng value of the Indexes may change up untl 17:15:00 ET due to correctons to the Last Sale Prce of the Index Securtes. 1 For purposes of ths document, Last Sale Prce refers to the last regular way trade reported on such securty s Index Market. The Index Market s the lstng market for whch prces are receved and used by Nasdaq n the Index calculaton and generally wll represent the most lqud tradng market of the Index Securty. If a securty does not trade on ts Index Market on a gven day or the Index Market has not opened for tradng, the most recent last sale prce from the Index Market (adjusted for corporate actons, f any s used. For securtes where Nasdaq s the Index Market, the Last Sale Prce may be the Nasdaq Offcal Closng Prce (NOCP when Nasdaq s closed. 1

2 Elgblty Index elgblty s lmted to specfc securty types only. The securty type elgble for the Index nclude common stocks, ordnary shares and depostary recepts. Securty types not elgble for the ndex nclude closed-end funds, exchange-traded funds (ETF or Real Estate Investment Trusts (REIT. Elgblty Crtera (* To be elgble for ncluson n the Index, a securty must meet the followng crtera the ssuer of the securty must be classfed as beng nvolved n a busness actvty supportng or utlzng the cloud computng space: 1. Companes that are drect servce provders for the cloud (network hardware/software, storage, cloud computng servces or companes who busness model reles on delverng goods and servces that utlze cloud computng technology are classfed as pure play cloud computng companes. 2. Companes that focus outsde the cloud computng space but provde goods and servces n support of the cloud computng space are classfed as non- pure play cloud computng companes. 3. Large broad based companes who busness model ndrectly utlzes or supports the use of cloud computng technology are classfed as technology conglomerate cloud computng companes. be lsted on The Nasdaq Stock Market, the New York Stock Exchange or NYSE MKT; a mnmum market captalzaton of $100 mllon; a mnmum free float of 20%; a mnmum three-month average daly dollar tradng volume (ADDTV of $1 mllon; one securty per ssuer s permtted 2 ; have seasoned for at least three months on an ndex recognzed market; the ssuer of the securty may not have entered nto a defntve agreement or other arrangement whch would lkely result n the securty no longer beng Index elgble; may not be ssued by an ssuer currently n bankruptcy proceedngs; and the ssuer of the securty may not have annual fnancal statements wth an audt opnon that s currently wthdrawn. *For the purpose of Index Elgblty Crtera, f the securty s a depostary recept representng a securty of a non-u.s. ssuer, the references to the ssuer are references to the ssuer of the underlyng securty. Index Evaluaton The Index s evaluated n June and December. The crtera are appled usng market data as of the end of Aprl and October. Securtes meetng the crtera are ncluded n the Index. Securty addtons and deletons are made effectve after the close of tradng on the thrd Frday n June and December. Addtonally, f at any tme durng the year other than the Evaluaton, an Index Securty s determned to have become nelgble for contnued ncluson n the Index due to bankruptcy, delstng, or a defntve agreement that would lkely result n the securty no longer beng Index elgble, the securty s removed from the Index and s not replaced. In 2 If an ssuer has multple securtes, the securty wth the hghest three-month ADDTV wll be selected for possble ncluson nto the Index. 2

3 the case of mergers and acqustons, the Index Securty may be removed the day followng the shareholder vote or the expected expraton of the tender offer, provded the acquston s not contested. In the event the acquston s contested then the deleton wll occur as soon as reasonably practcable, once results have been receved that ndcate the acquston wll lkely be successful. Ordnarly, a securty wll be removed from the Index at ts Last Sale Prce. If, however, at the tme of ts removal the Index Securty s halted from tradng on ts prmary lstng market and an offcal closng prce cannot readly be determned, the Index Securty may, n Nasdaq s dscreton, be removed at a zero prce. The zero prce wll be appled to the Index Securty after the close of the market but pror to the tme the offcal closng value of the Index s dssemnated, whch s ordnarly 17:16:00 ET. Index Mantenance Index Share changes are not made durng the quarter however changes arsng from stock dvdends and stock splts are made to the Index on the evenng pror to the effectve date of such corporate acton. In the case of certan spn-offs or rghts ssuances, the prce of the Index Securty s adjusted and a correspondng adjustment s made to the Index Shares such that the weght of the Index Securty does not change as a result of the acton. However, for a spn-off event, f there s a no when-ssued tradng avalable for the spn-co securty, the spn-co securty may be added to the ndex at a zero value. In ths case, the spn-co securty wll be removed from the Index after two full days of tradng. A specal cash dvdend announced by the lstng exchange, wll result n an adjustment to the Last Sale Prce for the specal amount dstrbuted and a correspondng adjustment to the Index Shares of an Index Securty pror to market open on the ex-date such that the weght of the Index Securty wll not change as a result of the acton. A specal dvdend may also be referred to as extra, extraordnary, non-recurrng, one-tme, unusual, etc. Ordnarly, whenever there s a change n an Index Securty as noted above, the dvsor s adjusted to ensure that there s no dscontnuty n the value of the Index whch mght otherwse be caused by any such change. All changes are announced n advance and are reflected n the Index pror to market open on the Index effectve date. Index Rebalancng The Index employs a modfed market captalzaton weghtng methodology. At each Index Evaluaton, the followng rebalance s performed: 1. For each classfcaton group, assgn an overall weght usng the followng equatons: a. W 10% b. W TC NPP ( CAP ( CAP PP NPP CAP NPP c. WPP 100% ( WNPP WTC W TC = Aggregate weght of Index Securtes classfed as technology conglomerate 3

4 W NPP = Aggregate weght of Index Securtes classfed as non-pure play CAP NPP = Float market captalzaton of Index Securty classfed as non-pure play W PP = Aggregate weght of Index Securtes classfed as pure play CAP PP = Float market captalzaton of Index Securty classfed as pure play 2. Adjust each Index Securty s weghtng to an equal weght wthn ts classfcaton group s aggregate weght usng the followng equaton: W = Weght of Index Securty W S = Weght of classfcaton group S C S = Index Securty of classfcaton group S Once ntal Index Securty weghts are establshed those weghts are then optmzed to account for Index Securtes exhbtng trats of lmted lqudty. The mechansm by whch the adjustment s made s as follows: 3. Set lqudty optmzaton threshold: a. Calculate three-month ADDTV for each Index Securty b. Set percentage of three-month ADDTV threshold to 30% c. Set nvestment threshold to $100 mllon 4. Determne Index Securty percentage of ADDTV gven the nvestment threshold and the calculated weght of the Index Securty usng the followng equaton: ADDTV % W $100,000,000 ADDTV $ W = Weght of Index Securty ADDTV % = Percentage of three-month ADDTV for Index Securty ADDTV $ = Three-month ADDTV for Index Securty 5. If the calculated value s less than the percentage threshold ( pass then the weght of Index Securty does not need to be adjusted. 6. If the calculated value s greater than the percentage threshold ( fal then assgn a new modfed weght to Index Securty equal to the percentage threshold usng the followng steps: a. Calculate the Index Securty weght based on the nvestment threshold and threemonth ADDTV threshold usng the followng equaton: 4

5 500% ADDTV W ' $100,000,000 $ W = Modfed weght of Index Securty ADDTV $ = Three-month ADDTV for Index Securty b. Take the aggregate dfference between the ntal and modfed weghts of those Index Securtes falng the threshold test and dstrbute evenly among Index Securtes passng the threshold test usng the followng equatons: W = Intal weght of Index Securty falng threshold test W = Modfed weght of Index Securty falng threshold test W adj = Adjustment for weght of Index Securty passng threshold test n = Number of Index Securtes passng threshold test c. Adjust the weght of the Index Securtes passng the threshold test usng the followng equaton: W' ' W W adj W = Intal weght of Index Securty passng threshold test W = Modfed weght of Index Securty passng threshold test W adj = Adjustment for weght of Index Securty passng threshold test d.. Repeat step 6 untl all Index Securtes pass the lqudty threshold test. Index Shares are calculated by dvdng the above determned weght for each Index Securty by the correspondng last sale prce multpled by the spot rate of the securty at the close of tradng on the last tradng day of the month pror to the Index Evaluaton.e., May or November. The changes are effectve after the close of tradng on the thrd Frday n June and December. Nasdaq may, from tme to tme, exercse reasonable dscreton as t deems approprate n order to ensure Index ntegrty. June