Indice Comit 30 Ground Rules. Intesa Sanpaolo Research Department December 2017

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Transcription:

Idice Comit 30 Groud Rules Itesa Sapaolo Research Departmet December 2017

Comit 30 idex Characteristics of the Comit 30 idex 1) Securities icluded i the idices The basket used to calculate the Comit 30 idex cosists of 30 of the most liquid ad highly capitalised securities o the Mercato Telematico Azioario. The securities that make up the Comit 30 are selected accordig to the objective criterio described below: a) all shares listed o the Italia exchage are raked accordig to the ILC idicator (liquidity ad market capitalisatio), which is determied by calculatig (usig curret figures as at the ed of the caledar moth before the effective date of the calculatio) the average capitalisatio (CapMG), determied as the product of the umber of securities i issue ad the average official price i the previous six moths (adjusted, where appropriate, followig corporate actios), ad the daily average volume (value) of trades (VolMG) durig the same six-moth period. The umber of shares post icrease is used whe shares are subject to ogoig capital icreases. The first five days of tradig are excluded whe shares have become listed immediately prior to or durig the observatio period. The relatioship betwee the two values is defied as the security's alpha (): = CapMG/VolMG b) determiatio, accordig to the same method, of similar elemets for the etire market ad the related ratio, kow as market alpha (m): c) calculatio for each security of a liquidity ad capitalisatio idicator (ILC) i which the two elemets are weighted as follows: ILC = CapMG + *m*volmg d) preparatio of rakigs, accordig to the idicator, of the securities ad iclusio i the basket of those with the highest ILC values. Some securities may be excluded from the selectio process for the compositio of the basket. I particular: a) amog the various share classes (ordiary, savigs ad preferred) of a sigle compay, those with the lowest ILC values, so that oly oe of them is icluded i the idex; b) shares with a official tradig period that is ot sufficietly meaigful, with the exceptio of the securities idicated i poit b) of the previous paragraph. If this period is less tha half of the days i the observatio period, meaigfuless is determied by also cosiderig the security's alpha, ILC value ad ay ogoig actios that may affect the security's future liquidity; c) shares for which, at the time of the selectio, it is reasoably certai that the fudametal requiremets for iclusio i the idex (official listig o the exchage, high liquidity, high capitalisatio) will cease to be met i the followig six moths; d) shares with a alpha value of over 1,500, to prevet shares with a low or isigificat level of liquidity, but a high level of capitalisatio, from beig icluded i the idex.

2) Revisio of the idex The compositio of the Comit 30 idex is ormally updated twice a year, i March ad September (routie revisios). These updates always eter ito effect o the first day o which the exchage is ope for busiess after the maturity of the derivative istrumets liked to the idex, except as idicated i poit a) below. However, i view of the extraordiary evets described below, routie revisios may be moved up or back (subject to timely prior disclosure to the market) so as to avoid makig chages too frequetly ad thus creatig high share price volatility as a result of portfolio adjustmets: a) De-mergers, where oe of the compaies i the basket splits ito two compaies each possessig liquidity ad capitalisatio characteristics that eable both to be icluded i the idex. I such cases, the revisio eters ito effect o the date of admissio to listig of the ew compay. Coversely, if a compay icluded i the basket is split ito a ew compay that does ot meet the requiremets for iclusio i the 30, without jeopardisig the satisfactio of the requiremets by the old compay, the latter's weight remais uchaged (despite the dilutio of prices ad thus of market capitalisatio) ad a appropriate adjustig coefficiet is applied to the base price ad base umber of shares. b) Listig of ew shares with a capitalisatio equal to or greater tha 3% of the curret market capitalisatio, icludig that of the ew security. 3) Exclusio of shares durig the iterval betwee revisios Durig the period betwee oe revisio ad the ext, the shares i the basket may be excluded for the followig reasos: a) removal from official tradig; b) suspesio from official tradig for more tha te cosecutive days o which the exchage is ope for busiess; c) a established, sigificat declie i liquidity ad/or capitalisatio. I such cases, the shares that are elimiated from the basket are replaced by the ext shares i the rakigs prepared accordig to the ILC idicator from the previous revisio, ad the weights of the etire basket are recalculated, usig as the base prices for all of the securities their opeig prices o the day o which the update eters ito effect ad as the base umber of shares the umber accordig to the Official List for the three days o which the exchage is ope for busiess prior to the update. If a security icluded i the basket is subject to a capital icrease durig the period, the post-icrease umber of shares is used as the base umber of shares. Itesa Sapaolo Research Departmet 2

4) Calculatio ad publicatio of the idex The basis of the idex was set at 100 o 31.12.1992. The idex is calculated o a ogoig basis, usig the most recet price at all times, ad is published i real time usig telecommuicatios systems. The closig value of the idex was calculated by usig the "official price" of each share util 14/10/1994 ad the by usig the most recet price startig o 17/10/1994. Util 14/10/1994, the idex was calculated accordig to a simplified formula based o the capitalisatio ratio. Sice 17/10/1994, the formula described below has bee used. Despite yieldig the same results, this latter formula permits the adjustig coefficiet to be applied directly i the evet of corporate actios. [1] It () i 1 ItiWi (,) () i Wi () 1 100 Where: W(i) = p(0,i)*q(0,i) idicates the vector of the weights set as equal to the capitalisatio of the shares; p(0,i) ad q(0,i) are the base price ad base umber, respectively, of the shares i issue of the geeric i-th security; I(t,i) is the elemetary idex of the i-th share, i.e. the ratio of p(t,i) to p(0,i); is equal to 30. [1] ca thus be expressed as follows: [2] It () i 1 pti (,) p( 0, i) q( 0, i) p( 0, i) i p( 0, i) q( 0, i) 1 100 At the time of the revisio, the base price p(0,i) of each share is equal to the "last" price of the sessio prior to the revisio, ad the weight of a share is equal to the ratio of its capitalisatio to that of the etire basket. If the opeig prices of oe or more fiacial istrumets icluded i the idex have ot bee calculated by the ed of the sessio, the prices of such fiacial istrumets, for the purposes of calculatig the value of the recociliatio idex ad weightig, are those recorded i the last sessio, while cosiderig ay other objective elemets available. Itesa Sapaolo Research Departmet 3

5) Adjustmet of base prices i the evet of corporate actios ad/or actios o securities that affect compoets of the idex I the evet of corporate actios ad/or actios o securities by oe of the issuers icluded i the basket that result i the discotiuity of share prices, the cotiuity of the historical series must be restored. This is achieved by applyig to the base price p(0,i) of the affected i-th security a appropriate adjustig coefficiet (k) determied accordig to the geerally accepted fiacial equivalece rules described i detail by the Italia Associatio of Fiacial Aalysts (AIAF). I order to maitai the capitalisatio of the idividual security uchaged, the chage i the base price p(0,i) must be balaced by modifyig the umber of shares cocered accordigly. I practice, the procedure is as follows: a) the official "cum-rights" price of the security i questio o the day before the corporate actio, i.e. the issue of the shares, is cosidered; b) the correspodig "adjusted" price is calculated o a theoretical basis. It is based o a coditio of fiacial parity of the total value of the class of shares issued before ad after the corporate actio; c) a adjustig coefficiet is calculated accordig to the ratio of the theoretical price calculated to the cumrights price; d) the pre-corporate actio base price is multiplied by this coefficiet; e) the chage i each base price is offset by a reciprocal chage i the base umber of the shares, so that the weightig remais uchaged. 6) Adjustmet i the evet of extraordiary divideds I order to esure the cotiuity of the Comit 30 idex, a adjustig coefficiet (k) is applied to both the base price ad umber of shares, calculated as follows: a) ((Official price o the day before the ex-divided date for the extraordiary divided - the extraordiary divided) / Official price o the day before the ex-divided date for the extraordiary divided) 7) Suspesio from tradig Shares that have bee suspeded from tradig are treated as follows: a) If the compay has become isolvet, the shares are removed from the idex with a price of zero b) If the compay has udertake a precautioary recapitalisatio 1, the shares are removed from the idex with a price of zero. The shares may the be icluded i the idex oce agai, ad their iclusio will be treated as a iitial public offerig (IPO) for all itets ad purposes. c) If the suspesio period is 60 workig days, the shares are removed from the idex at the price recorded durig the last sessio. If the shares are the readmitted to listig, their iclusio will be treated as a iitial public offerig (IPO) for all itets ad purposes. 1 Ijectio of ow fuds by a Member State ito a solvet bak i order to remedy a serious disturbace of the coutry's ecoomy ad preserve fiacial stability (cf. ECB) Itesa Sapaolo Research Departmet 4

8) Cotiuity of the historical series for the idex The cotiuity of the historical series of idex values, wheever there are chages i the compositio of the basket, is restored by recocilig the value calculated accordig to the revised basket with the value of the idex observed prior to the revisio. More precisely, the "ew" idex is calculated accordig to a uit base ad the multiplied by the last value with the "old" compositio (i.e., that calculated accordig to the opeig prices o the day of the revisio). 9) Publicatio of idices The idices calculated by Itesa Sapaolo are published through the mai ifo providers ad are available: from the website of Itesa Sapaolo SpA, i the "Research" sectio; Bloomberg Thomso Reuters (all Comit idices ca be viewed usig the code 0#.BCIINDEX.IT) Itesa Sapaolo Research Departmet 5

Itesa Sapaolo Research Departmet Head of Research Departmet: Gregorio De Felice Agelo Palumbo 0287938542 agelo.palumbo@itesasapaolo.com Maurizio Piccolo 0287962133 maurizio.piccolo@itesasapaolo.com Disclaimer This publicatio has bee produced by Itesa Sapaolo. This report has bee prepared solely for iformatio purposes ad is ot iteded as a offer orsolicitatio with respect to the purchase or sale of ay fiacial products. This documet may oly be reproduced i whole or i part citig the ame Itesa Sapaolo SpA. Itesa Sapaolo Research Departmet 6