ISE Cyber Security UCITS Index

Transcription

1 ISE Cyber Securty UCITS Index Index escrpton The ISE Cyber Securty UCITS Index s desgned to track publc companes that are actvely nvolved n provdng cyber securty technology and servces. Index Calculaton The ISE Cyber Securty UCITS Index s a 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 ecember 31, 2010 wth a base value of The formula for ndex value s as follows: Aggregate Adjusted Market Value/vsor The formula for the dvsor s as follows: (Market Value after Adjustments/Market Value before Adjustments) X vsor before Adjustments Three versons of the Index are calculated: The prce return ndex (Nasdaq: HUR) s ordnarly calculated wthout regard to cash dvdends on Index Securtes. The total return Index (Nasdaq: HURTR) renvests cash dvdends on the ex-date. The total return ndex began on February 6, 2017 at a base value of The net total return ndex (Nasdaq: HURNTR) renvests cash dvdends on the exdate and adjusts for an Index Securty s country of ncorporaton wthholdng rate. All Indexes reflect extraordnary cash dstrbutons. The Indexes are calculated durng the tradng day and are dssemnated once per second. The Indexes are calculated fve (5) days a week, Monday through Frday, startng by the earlest tme zone Asa/Tokyo and close by the latest tme zone Amerca/New York. 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 ncludes common stock and depostory recepts. Elgblty Crtera To be elgble for ncluson n the Index, a securty must meet the followng crtera: have all or a materal proporton of ther revenues from cyber securty-related products and/or servces (refer to Industry Classfcaton document) whch are categorzed nto; a) Infrastructure Provder - companes that drectly provde hardware or software for cyber securty and n respect of whch cyber securty actvtes are the key drver of ther busness. b) Servce Provder - companes are those whose busness models are defned by ther roles n provdng secure cyber-based servces and for whch those busness actvtes are a key drver of ther busness. be lsted on an elgble exchange (Appendx A); a mnmum market captalzaton of $100 mllon; and a mnmum tralng 3-month average daly value traded of $1 mllon. Rankng Revew Rebalancng and selecton take place January, Aprl, July and October, utlzng market data through the end of ecember, May, June and September. Weghtng Process Weghtng Process - Overvew The Intal Weghts for the Index Components are equally weghted wthn each Classfcaton Group, where the Classfcaton Group s market-cap weghted. The Intal Weghts are then assessed aganst a Lqudty Constrant, whch may result n a Fnal Weght whch s less than the Intal Weght for some Index Components. As a corollary, some of the more lqud Index Components may end up wth Fnal Weghts greater than ther respectve Intal Weghts. Any excess weght arsng from a reducton n Intal Weght s redstrbuted equally wthn a Classfcaton Group amongst only those Index Components whch had prevously passed the Lqudty Constrant. Ths redstrbuton may result n other Index Components, whch had prevously passed the Lqudty Constrant, to fal on ths teraton. In whch case, the process s repeated untl all Index Components have satsfed the Lqudty Constrant. Any Index Component wth a Fnal Weght equal to or less than 0.50% s removed from the Index. Also, any Index Component wth a Fnal Weght greater than or equal to 5% resultng from upward scalng of ts Intal Weght s capped at 4.75%. For the avodance of doubt, ths does not apply to downward scalng, e.g. should an Index Component begn the process wth an Intal Weght of 5.75% and be scaled down to 5.20%, ths would not result n a 4.75% cap for ths Index Component. 2

3 Intal Weghtng Process Full Calculaton The frst teraton n determnng the weghts to the Index Components are: Step 1: Calculate the market-cap weght of each Classfcaton Group, and then Step 2: Equally weght each Index Component wthn ts Classfcaton Group. Step 1: etermne the market-cap weghts of each Classfcaton Group: () W INF sinf mc sinf ( s ) mc ( s ) s jsvc mc ( s ) j () W SVC INF = 100% W Eq. 1 Where INF W SVC W mc (s ) s INF The market-cap weght of the Infrastructure Provder Classfcaton Group as of etermnaton ate The market-cap weght of the Servce Provder Classfcaton Group as of etermnaton ate The market cap of Index Component s converted nto US wth reference to the Index FX Rate as of etermnaton ate All Index Components whch are a member of the Infrastructure Provder Classfcaton Group Step 2: etermne the Intal Weghts W for each Index Component s wthn each Classfcaton Group G : W = W G G s G Eq. 2 Component Weghtng Adjustment Once the Intal Weghts of the Index Component are establshed n accordance wth the steps above, those weghts are then adjusted to account for Index Components exhbtng trats of lmted lqudty. 3

4 Step 1: etermne the lqudty for each Index Component s : Let lq(s ) denote the 3-month Average aly Value (AV) traded for s as of etermnaton ate, calculated n accordance wth the followng formula: Where: n 3m P t Q t FX t lq(s ) = 1 n P t Q t t= 3m FX t The number of Tradng ays from and ncludng 3m to and ncludng 3 calendar months pror to Prce of stock as of Tradng ay t Number of Index Shares of stock as of Tradng ay t Index FX Rate Eq. 3 Step 2: Test the Lqudty Constrant for each s and determne the new weght (the Adjusted Weght ) Let Amt represent rato of the amount traded for s as over of the 3-month lqudty - lq(s ) - as of etermnaton ate, based on the theoretcal nvestment sze INV, as follows: Where: INV Amt = W INV lq(s ) Eq. 4 US 25 mllon: The mpled threshold amount for one-tme nvestment by an ndextrackng product Check the Lqudty Constrant to test whether the Intal Weght (W ) of s needs to be adjusted down, gven by: Where H Lqudty Constrant: Amt H Eq. 5 25%: The mpled threshold percentage of 3-month AV traded 4

5 Step 3: If the Lqudty Constrant s satsfed, then the Intal Weght (W ) of s does not need to be adjusted, and the Adjusted Weght for s, denoted by W (for brevty we drop the subscrpt denotng the reference to the etermnaton ate) s smply equal to the Intal Weght,.e. If Lqudty Constrant s satsfed, then: W = W Eq. 6 If the Lqudty Constrant s not satsfed, then force the condton to be true (as per Eq. 7) by settng Amt n Eq. 4 equal to H n Eq. 5, and rearrangng the equaton to determne the scaled down Adjusted Weght of s,.e. Eq. 4 = Eq. 5 H = W INV lq() Eq. 7 Therefore: Step 4: Redstrbute the excess weghts W = H lq(s ) INV Eq. 8 Unless each Index Component satsfed the Lqudty Condton on the frst teraton, the sum of the Adjusted Weghts wll be less than 100%. To ensure the weghts of the Index Components sum to 100%, we compute the followng: (a) Wthn Classfcaton Group G, calculate the sum of the excess weghts (excess weghts means W W ) EW G = W W, s G Eq. 9 (b) Redstrbute (stll wthn G) amongst those Index Components s whch had prevously satsfed the Lqudty Condton. These new weghts are now the Fnal Weghts, denoted W F. For those Index Components whch dd not prevously satsfy the Lqudty Constrant, the Fnal Weght s smply equal to the Adjusted Weght. In the event that there are no more Index Components avalable to allocate excess weght n a gven Classfcaton Group, any excess weght wll be allocated to components n the other Classfcaton Group. 5

6 s G whch satsfed the Lqudty Constrant: s G whch faled the Lqudty Constrant: W F = W + W F = W EW G G pass Eq. 10 Where: G pass The number of Index Components n G that passed ther Lqudty test Step 5: Index Component caps and removals (a) Any Index Component wth Fnal Weght less than or equal to 0.50% s removed from the Index. (b) If the Fnal Weght of an Index Component s greater than or equal to 5% as a result of upward scalng from ts Intal Weght, then the Fnal Weght of ths Index Component s set to 4.75%. For the avodance of doubt, f the Intal Weght was already greater than or equal to 5% then ths Index Component s Fnal Weght would not be subject to further adjustment. (c) Repeat Steps 2 Steps 4 substtutng the Intal Weghts n Eq. 4 wth the Fnal Weghts resultng from Eq. 10 untl the Lqudty Constrant s satsfed for each Index Component and sum of Fnal Weghts = 100% The Index composton does not have a fxed number of stocks and attempts to nclude every stock n the ISE Cyber Securty Industry Classfcaton that meets the selecton crtera contaned heren. The Index shall contan a mnmum of 24 stocks. No sngle component stock may represent more than 10% of the weght of the Index, and the cumulatve weght of all components wth an ndvdual weght of 5% or greater must not n the aggregate account for more than 40% of the weght of the Index. Index Evaluaton The Index s evaluated quarterly n March, June, September and ecember. Securty addtons and deletons are made effectve after the close of the thrd Frday n March, June, September and ecember. 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 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 6

7 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. Addtonally, for a spn-off event, f there s a no when-ssued tradng avalable for the spnco 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. 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. Unscheduled component weght adjustments may occur between revew perods f any ndvdual component accounts for more than 10% of the Index weght or f the cumulatve weght of all components wth an ndvdual weght of 5% accounts for more than 40% of the weght of the Index. If these thresholds are trggered ntra-balance, then a tghter upper-bound wll be set to mtgate unscheduled weght adjustments. Nasdaq may, from tme to tme, exercse reasonable dscreton as t deems approprate n order to ensure Index ntegrty. February

8 Appendx A Elgble Exchanges The followng tables show a regonal breakout of the current lst of Elgble Exchanges. Only securtes lsted on an Elgble Exchange may be consdered for ncluson n the Index. AMERICAS EUROPE AFRICA MILE EAST BM&F Bovespa Brazl Athens Exchange Greece Bolsa de Valores de Colomba Colomba BME Spansh Exchanges Span Lma SE Peru Borsa Istanbul Turkey Mexcan Exchange Mexco Borsa Italana Italy NASAQ Unted States Budapest SE Hungary NYSE Unted States Cyprus SE Cyprus Santago SE Chle eutsche Börse Germany TMX Group Canada Euronext France Irsh SE Ireland Johannesburg SE South Afrca ASIA - PACIFIC Ljubljana SE Slovena Australan SE Australa London SE Unted Kngdom Bursa Malaysa Malaysa Luxembourg SE Luxembourg Hong Kong Exchanges Hong Kong Moscow Exchange Russa Indonesa SE Indonesa Muscat Securtes Market Oman Japan Exchange Group Japan NASAQ OMX Nordc Exchange Sweden Korea Exchange South Korea Ngeran Stock Exchange Ngera New Zealand Exchange New Zealand Oslo Børs Norway Phlppne SE Phlppnes SIX Swss Exchange Swtzerland Sngapore Exchange Sngapore Tel Avv SE Israel The Stock Exchange of Thaland Thaland Wener Börse Austra 8