FEBRUARY 2016 STOXX DVP GUIDE
CONTENTS 2/8 1. INTRODUCTION TO THE STOXX INDEX GUIDES 3 1.1. HISTORY OF CHANGES TO THE STOXX EQUITY METHODOLOGY GUIDE 4 2. STOXX DIVIDEND POINTS 5 2.1. STOXX DVP INDICES 5 2.1.1. OVERVIEW 5 2.1.2. HISTORICAL DATA 5 2.1.3. IDENTIFIERS 5 3. CALCULATION 6 3.1. DIVIDEND AMOUNT FORMULA ON A CALCULATION DAY 6 3.2. STOXX DVP ON A CALCULATION DAY 7 3.3. CALCULATION OF THE STOXX DVP ON AN ONGOING BASIS 7 3.4. COMPUTATIONAL ACCURACY 7 3.5. DISSEMINATION DAYS AND TIME 7
1. INTRODUCTION CHANGES TO TO THE STOXX INDEX GUIDES 3/8 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 nonequiy/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 definiions 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://www.soxx.com/indices/rulebooks.hml
1. INTRODUCTION TO THE STOXX INDEX GUIDES 4/8 1.1. HISTORY OF CHANGES TO THE STOXX EQUITY METHODOLOGY GUIDE» February 2016: Clarificaion of disseminaion ime
1. 2. STOXX CHANGES DIVIDEND TO POINTS 5/8 Wih he STOXX Dividend Poins (DVP), STOXX Ld. provides addiional dividend daa linked o he STOXX indices as an underlying for derivaive producs. 2.1. STOXX DVP INDICES 2.1.1. OVERVIEW The following facors are included in he daa calculaion:» he ordinary un-adjused gross cash dividends (as deermined by STOXX mehodology) of he individual consiuens of he respecive STOXX index and;» wihholding axes of special cash dividends and capial reurns as applied o he individual consiuens of he respecive STOXX index. 2.1.2. HISTORICAL DATA Hisorical index daa is available on a daily basis back o he base dae (December, 31 2004). For he STOXX Europe 600 DVP, he STOXX Europe 600 Supersecor DVP and he EURO STOXX Supersecor DVP hisorical index daa is available on a daily basis back o January, 2 2008. 2.1.3. IDENTIFIERS Name ISIN Symbol EURO STOXX 50 DVP CH0042346186 SX5ED EURO STOXX Selec Dividend 30 DVP CH0100566451 SD3ED <furher indices as lised in he STOXX vendor code shee>
1. 3. CALCULATION CHANGES TO 6/8 3.1. DIVIDEND AMOUNT FORMULA ON A CALCULATION DAY Marke capialisaion weighed Dividend Amoun DA Where: n i 1 d i s i ff i cf i X i-1 N i d i s i ff i cf i X i-1 = Time he amoun is compued = Number of companies in he index = Individual company being a consiuen of he index = Includes ordinary un-adjused gross cash dividends and wihholding ax amouns applied o special cash dividends and capial reurns (d) in respec of each share of company (i) which is a consiuen of he index a day () being an ex-dividend dae as appropriae, or zero if no amoun is applicable = Number of shares eligible for dividends in 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) Price weighed Dividend Amoun DA Where: n i 1 d i wf i cf i X i-1 N i D i wf i cf i X i-1 = Time he amoun is compued = Number of companies in he index = Individual company being a consiuen of he index = Includes ordinary un-adjused gross cash dividends and wihholding ax amouns applied o special cash dividends and capial reurns (d) in respec of each share of company (i) which is a consiuen of he index a day () being an ex-dividend dae as appropriae, or zero if no amoun is applicable = Weighing 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)
3. CALCULATION 7/8 3.2. STOXX DVP ON A CALCULATION DAY STOXX DVP is calculaed as follows: STOXX Dividend Where: DA D DA DP D Poins, = Time he value is compued = Dividend amoun a ime = Divisor of he price Index a ime ALCULATION 3.3. CALCULATION OF THE STOXX DVP ON AN ONGOING BASIS There are wo versions of he indices. They are eiher rese o zero quarerly or yearly: Accordingly, for he calculaion of he STOXX DVP he ongoing value is he sum of he STOXX Dividend Poins a ime (), (DP ) excluding he hird Friday in December and including he hird Friday in December of he selemen year, i.e.: DVP = DVP 1 + DP For he quarerly calculaion of he STOXX Europe 600 DVP, he STOXX Europe 600 Supersecor DVP and he EURO STOXX Supersecor DVP he ongoing values are he sum of he STOXX Dividend Poins a ime (), (DP ) excluding he hird Friday in March, June, Sepember and December and including he hird Friday in March, June, Sepember and December of he selemen year, i.e.: DVP = DVP 1 + DP The STOXX DVP is rese o zero each year afer he hird Friday in December. The STOXX Europe 600 DVP, he STOXX Europe 600 Supersecor DVP and he EURO STOXX Supersecor DVP are rese o zero each quarer afer he hird Friday in March, June, Sepember and December. 3.4. COMPUTATIONAL ACCURACY Figures of he published STOXX DVP are rounded o wo decimal places. All relevan parameers for he calculaion of he STOXX indices are described in he STOXX rule books available on www.soxx.com. 3.5. DISSEMINATION DAYS AND TIME The STOXX DVP is calculaed on an daily basis according o STOXX disseminaion calendar. The index value is disseminaed via he daa feed a leas wice a day considering he corporae evens ha wen ex on ha day:» A 9:00 CET wih an open flag» A 18:00 CET wih an end of day flag
3. CALCULATION 8/8 The hisorical index values are made available in repors on soxx.com during he regular end of day process.