BUZZ NeGen AI Series Indices: US Senimen Leaders Guideline April 2017
Conens Inroducion 1 Inde Specificaions 1.1 Shor Name and ISIN 1.2 Iniial Value 1.3 Disribuion 1.4 Prices and Calculaion Frequency 1.5 Weighing 1.6 Decision-Making Bodies 1.7 Publicaion 1.8 Hisorical Daa 1.9 Licensing 2 Composiion of he Inde 2.1 Selecion of he Inde Componens 2.2 Buffer Rules 2.3 Ordinary Adjusmen 2.4 Eraordinary Adjusmen 3 Calculaion of he Inde 3.1 Inde Formula 3.2 Accuracy 3.3 Adjusmens 3.4 Dividends and Oher Disribuions 3.5 Corporae Acions 3.6 Calculaion of he Inde in he Even of a Marke Disrupion 4 Definiions 5 Appendi 5.1 Conac Informaion 5.2 Calculaion of he Inde Change in Calculaion Mehod This documen conains he underlying principles and regulaions regarding he srucure and he operaing of he BUZZ NeGen AI US Senimen Leaders Inde. Solacive AG shall make every effor o implemen regulaions. Buzz Indees Inc. and Solacive AG do no offer any eplici or aci guaranee or assurance, neiher peraining o he resuls from he use of he Inde nor he Inde value a any cerain poin in ime nor in any oher respec. The Inde is merely calculaed and published by Solacive AG and i srives o he bes of is abiliy o ensure he correcness of he calculaion. There is no obligaion for Solacive AG irrespecive of possible obligaions o issuers o advise hird paries, including invesors and/or financial inermediaries, of any errors in he Inde. The publicaion of he Inde by Solacive AG is no recommendaion for capial invesmen and does no conain any assurance or opinion of Solacive AG regarding a possible invesmen in a financial insrumen based on his Inde. 2
Inroducion This documen is o be used as a guideline wih regard o he composiion, calculaion and managemen of he BUZZ NeGen AI US Senimen Leaders Inde. Any changes made o he guideline are iniiaed by he Commiee specified in secion 1.6. The BUZZ NeGen AI US Senimen Leaders Inde is calculaed and published by Solacive AG. The name Buzz Indees TM is rademarked. 1 Inde Specificaions The BUZZ NeGen AI US Senimen Leaders Inde (he Inde ) is an Inde of Buzz Indees Inc. and is calculaed and disribued by Solacive AG. The BUZZ NeGen AI US Senimen Leaders Inde analyses daa from he vas conen generaed across online plaforms wih he inenion o idenify hose socks which rank highes in erms of bullish percepion and breadh of discussion. The mehodology facors insighs based invesor percepion while incorporaing user reliabiliy, influence and brand value consideraions. Consiuen weighs are based on a proprieary scoring model. The Inde is calculaed as Price Reurn [PR] and Toal Reurn [TR]. The Inde is published in USD. 1.1 Shor Name and ISIN The BUZZ NeGen AI US Senimen Leaders Indices are disribued under he following idenificaion codes: Inde Name Inde Type ISIN WKN Reuers RIC Bloomberg Ticker BUZZ NeGen AI US Senimen Leaders Inde (Price Reurn) BUZZ NeGen AI US Senimen Leaders Inde PR DE000SLA1H21 SLA1H2.BUZZ BUZZ Inde TR DE000SLA1H39 SLA1H3.BUZZTR BUZZTR Inde 1.2 Iniial Value The Inde is based on 100 a he close of rading on he sar dae, January 17, 2013. 1.3 Disribuion The BUZZ NeGen AI US Senimen Leaders Inde is published via he price markeing services of Boerse Sugar AG and is disribued o all affiliaed vendors. Each vendor decides on an individual basis as o wheher he will disribue/display he BUZZ NeGen AI US Senimen Leaders Inde via his informaion sysems. 3
1.4 Prices and Calculaion Frequency The price of he BUZZ NeGen AI US Senimen Leaders Inde is calculaed on each Business Day based on he prices on he respecive Echanges on which he Inde Componens are lised. The mos recen prices of all Inde Componens are used. Should here be no curren price available on Reuers, he mos recen price or he Trading Price on Reuers for he preceding Trading Day is used in he calculaion. The BUZZ NeGen AI US Senimen Leaders Inde is calculaed real-ime every Business Day from 9:30am o 16:30pm EST. They are calculaed every 15 seconds. In he even ha daa canno be provided o Reuers or o he pricing services of Boerse Sugar AG, he Inde canno be disribued. Any incorrec calculaion is adjused on a rerospecive basis. 1.5 Weighing On each Adjusmen Day, each Inde Componen of he BUZZ NeGen AI US Senimen Leaders Inde is weighed using a proprieary scoring model. 1.6 Decision-Making Bodies A Commiee composed of saff from Buzz Indees Inc. is responsible for decisions regarding he composiion of he BUZZ NeGen AI US Senimen Leaders Inde as well as any amendmens o he rules (in his documen referred o as he "Commiee or he Inde Commiee ). The fuure composiion of he BUZZ NeGen AI US Senimen Leaders Inde is deermined by he Commiee on he Selecion Days according o he procedure oulined in 2.1 of his documen. The Commiee shall also decide abou he fuure composiion of he BUZZ NeGen AI US Senimen Leaders Inde if any Eraordinary Evens should occur and he implemenaion of any necessary adjusmens. Members of he Commiee can recommend changes o he guideline and submi hem o he Commiee for approval. 1.7 Publicaion All specificaions and informaion relevan for calculaing he Inde are made available on he following websies: www.buzzindees.com www.solacive.com 1.8 Hisorical Daa Hisorical daa will be mainained from he launch of he Inde in April, 2016. 1.9 Licensing Licences o use he Inde as he underlying value for derivaive insrumens are issued o sock echanges, banks, financial services providers and invesmen houses by Buzz Indees Inc. 4
2 Composiion of he Inde 2.1 Selecion of he Inde Componens The iniial composiion of he Inde as well as any ongoing adjusmen is based on he following rules: 1. The Inde Universe is ranked in descending order based on each company s insigh score as deermined by he Inde Provider. The Inde Provider hen selecs he 75 companies wih he highes posiive insigh scores for inclusion in he Inde and weighs he 75 consiuen common socks of he Inde based on a proprieary scoring model. 2. The Inde is subjec o he following consrains a Reconsiuion/Rebalance: a. No single consiuen shall accoun for more han 3% of he weigh in he inde. 3. Insigh scores can be posiive or negaive. Should fewer han 75 consiuens have posiive insigh scores, he Inde Provider will include in he Inde all companies from he Inde Universe which ehibi posiive insigh scores and will include addiional consiuens o he Inde by selecing from he Inde Universe hose companies which ehibi he leas negaive insigh scores unil 75 consiuens are idenified for inclusion in he Inde. 2.2 Buffer Rules 1. To reduce Inde urnover and enhance Inde sabiliy, a buffer rule is applied a each Ordinary Adjusmen and Eraordinary Adjusmen dae whereby: a. Inde Componens ha rank in posiion 76 o 80 wihin he subsequenly ranked Inde Universe are added o he Inde on a prioriy basis uilizing he following formula: i. If he company in posiion 76 is an Inde Componen hen he company s new inde rank equals he lesser of a) 75 and b) 75 minus he number of Inde Componens ha rank a posiion 77, 78, 79 and 80; ii. If he company in posiion 77 is an Inde Componen hen he company s new inde rank equals he lesser of a) 75 and b) 75 minus he number of Inde Componens ha rank a posiion 78, 79 and 80; iii. If he company in posiion 78 is an Inde Componen hen he company s new inde rank equals he lesser of a) 75 and b) 75 minus he number of Inde Componens ha rank a posiion 79 and 80; iv. If he company in posiion 79 is an Inde Componen hen he company s new inde rank equals he lesser of a) 75 and b) 75 minus he number of Inde Componens ha rank a posiion 80; v. If he company in posiion 80 is an Inde Componen hen he company s new inde rank equals 75. 2.3 Ordinary Adjusmen The composiion of he Inde is adjused monhly on he hird Thursday of each calendar monh, he Adjusmen Day. The composiion of he BUZZ NeGen AI US Senimen Leaders Inde is recalculaed 5 business days prior o he Adjusmen Day each calendar monh (he Selecion Day ) and necessary changes are announced. The firs adjusmen will be made in April 2016, based on he Trading Prices of he Inde Componens on he Adjusmen Day. Solacive AG shall publish any changes made o he Inde composiion on he Selecion Day and consequenly wih sufficien noice before he Adjusmen Day. 2.4 Eraordinary Adjusmen If a company included in he BUZZ NeGen AI US Senimen Leaders Inde is removed from he Inde beween Adjusmen Days due o an Eraordinary Even, if necessary, he Commiee shall designae a successor. This is announced by Solacive AG on he close of business on he day on which he new composiion of he Inde is deermined by he Commiee. If all informaion is readily available o Solacive AG, Solacive AG will aemp o provide wo Inde Calculaion Daes prior noice before he day on which he new Inde composiion will become effecive. 5
3 Calculaion of he Inde 3.1 Inde Formula The BUZZ NeGen AI US Senimen Leaders Inde is an inde whose value on a Business Day is equivalen o he sum over all Inde Componens of he producs of (a) he Number of Shares of he Inde Componen and (b) he price of he Inde Componen a he respecive Echange. As a formula: Inde = n i = 1 * p wih: i, = Number of Shares of he Inde Componen i on Trading Day p i, = Price of Inde Componen i on Trading Day in Inde Currency 3.2 Accuracy The value of he Inde will be rounded o wo decimal places. The Number of Shares of he Inde Componens will be rounded o si decimal places. Trading Prices will be rounded o si decimal places. 3.3 Adjusmens Indices need o be adjused for sysemaic changes in prices once hese become effecive. This requires he new Number of Shares of he affeced Inde Componen o be calculaed on an e-ane basis. The BUZZ NeGen AI US Senimen Leaders Inde is adjused for disribuions, capial increases, righs issues, splis, par value conversions and capial reducions. This procedure ensures ha he firs e quoe can be properly refleced in he calculaion of he Inde. This e-ane procedure assumes he general accepance of he Inde calculaion formula as well as open access o he parameer values used. The calculaion parameers are provided by Solacive AG. Any delay in calculaing he new Number of Shares of an Inde Componen would creae problems. Therefore he procedure described above is he mos appropriae. 6
3.4 Dividends and Oher Disribuions Dividend paymens and oher disribuions are included in he Inde. They cause an adjusmen of he Number of Shares of he corresponding Inde Componen. The new Number of Shares is calculaed as follows: i wih i = 1 p p D, = Number of Shares of he Inde Componen i on Trading Day D i, = Paymen on Trading Day muliplied by he Dividend Correcion Facor, if applicable 3.5 Corporae Acions 3.5.1 Principles Following he announcemen by a company included in he Inde of he erms and condiions of a corporae acion, he Inde Calculaor deermines wheher such corporae acion has a diluion, concenraion or oher effec on he price of he Inde Componen. If his should be he case, he Inde Calculaor shall make he necessary adjusmens o he affeced Inde Componen and/or he formula for calculaing he Inde and/or o oher erms and condiions of his documen ha he deems appropriae in order o ake ino accoun he diluion, concenraion or oher effec and shall deermine he dae on which his adjusmen shall come ino effec. Amongs oher hings he Inde Calculaor can ake ino accoun he adjusmen made by an Affiliaed Echange as a resul of he corporae acion wih regard o opion and fuures conracs on he respecive share raded on his Affiliaed Echange. 3.5.2 Capial increases In he case of capial increases (from he company s own resources or hrough cash conribuions) he new Numbers of Shares are calculaed as follows: p = * wih: p rb rb i, = p B N BV + 1-1 p -1 rb -1 B N BV = Number of Shares of Inde Componen i on he day of he disribuion = Number of Shares of Inde Componen i on he day prior o he disribuion = Closing price on he day prior o e dae = Calculaed value of righs issue = Price of righs issue = Dividend disadvanage = Subscripion raio B=0 if capial is increased from he company s own resources. The las dividend paid or he announced dividend proposal is applied as he dividend disadvanage. 7
3.5.3 Capial Reducions In he case of capial reducions he new Number of Shares is deermined as follows: = 1 * H H i -1 = Reducion raio of he company on day = Number of Shares of he affeced Inde Componen on he day of he disribuion = Number of Shares of he affeced Inde Componen on he day prior o he disribuion 3.5.4 Share Splis and Par Value Conversions In he case of share splis and par value conversions i is assumed ha he prices change in raio o he number of shares or o he par values. The new Number of Shares is calculaed as follows: = 1 * N 1 N N -1 N -1-1 = Former par value of securiy class i (or new number of shares) = New par value of securiy class i (or former number of shares) = Number of Shares of he affeced Inde Componen on he day of he disribuion = Number of Shares of he affeced Inde Componen on he day prior o he disribuion 3.6 Calculaion of he Inde in he Even of a Marke Disrupion Even In he even of a Marke Disrupion Even, Solacive AG calculaes he Inde value, aking ino accoun he marke condiions prevailing a his poin in ime, he las quoed Trading Price for each of he Inde Componens as well as any oher condiions ha i deems relevan for calculaing he Inde value. 3.7 Inde Calculaion and Disseminaion Solacive AG ( he Agen, hereafer), has been seleced as an inde calculaion agen acing on behalf of Buzz Indees Inc.. The Agen calculaes he inde values for boh he Price and Toal Reurn indees, and handles inde mainenance work such as he applicaion of corporae acions and implemenaion of rebalances, all according o he specificaions provided by Buzz Indees Inc.. The Agen also updaes and disseminaes he inde values, noably, hrough Bloomberg and Reuers. 8
4. Definiions BUZZ NeGen AI US Senimen Leaders Inde Universe in respec of a Selecion Day are companies ha fulfill he following crieria: 1. Lising ha is raded on major echanges wihin he U.S., such as he NYSE, NASDAQ, NYSE ARCA and NYSE MKT. 2. Average daily value raded on he primary sock echange in he las hree monhs of a leas USD $1 million. 3. Curren Marke Capializaion of a leas USD $5 billion. 4. All equiy securiies meeing he above crieria and saisfying he minimum number of menions requiremen are seleced for inclusion in he universe. Menions are defined as invesmen relaed poss from relevan online sources which may include news aricles, blog poss, social media or oher online discussion forums which are classified as relevan for analysis. The minimum number of menions requiremen hreshold is based on a proprieary scoring mehodology and incorporaes a review of a rolling four quarers of daa wihin he analysis. Inde Componen is each share currenly included in he Inde. Number of Shares is in respec of an Inde Componen and any given Business Day he number or fracion of shares included in he Inde. I is calculaed for any Inde Componen as he raio of (A) he Percenage Weigh of an Inde Componen muliplied by he Inde value and (B) is Trading Price. Percenage Weigh of an Inde Componen is he raio of is Trading Price muliplied by is Number of Shares divided by he Inde value. Dividend Correcion Facor is calculaed as 1 minus he applicable wihholding a rae and/or oher applicable a rae currenly prevalen in he respecive counry. In paricular an Eraordinary Even is - a Merger - a Takeover bid - a delising - he Naionalisaion of a company - Insolvency. The Trading Price for his Inde Componen on he day he even came ino effec is he las available marke price for his Inde Componen quoed on he Echange on he day he even came ino effec (or, if a marke price is no available for he day he even came ino effec, he las available marke price quoed on he Echange on a day specified as appropriae by he Inde Calculaor), as deermined by he Inde Calculaor, and his price is used as he Trading Price of he paricular Inde Componen unil he end of he day on which he composiion of he Inde is ne se. In he even of he Insolvency of an issuer of an Inde Componen he Inde Componen shall remain in he Inde unil he ne Adjusmen Day. As long as a marke price for he affeced Inde Componen is available on a Business Day, his shall be applied as he Trading Price for his Inde Componen on he relevan Business Day, as deermined in each case by he Inde Calculaor. If a marke price is no available on a Business Day he Trading Price for his Inde Componen is se o zero. The Commiee may also decide o eliminae he respecive Inde Componen a an earlier poin in ime prior o he ne Adjusmen Day. The procedure in his case is idenical o an eliminaion due o and Eraordinary Even. 9
An Inde Componen is delised if he Echange announces pursuan o he Echange regulaions ha he lising of, he rading in or he issuing of public quoes on he Inde Componen a he Echange has ceased immediaely or will cease a a laer dae, for whaever reason (provided delising is no because of a Merger or a Takeover bid), and he Inde Componen is no immediaely lised, raded or quoed again on an echange, rading or lising sysem. Insolvency occurs wih regard o an Inde Componen if (A) all shares of he respecive issuer mus be ransferred o a rusee, liquidaor, insolvency adminisraor or a similar public officer as resul of a volunary or compulsory liquidaion, insolvency or winding-up proceedings or comparable proceedings affecing he issuer of he Inde Componens or (B) he holders of he shares of his issuer are legally enjoined from ransferring he shares. A Takeover bid is a bid o acquire, an echange offer or any oher offer or ac of a legal person ha resuls in he relaed legal person acquiring as par of an echange or oherwise more han 10% and less han 100% of he voing shares in circulaion from he issuer of he Inde Componen or he righ o acquire hese shares, as deermined by he Inde Calculaor based on noices submied o public or self-regulaory auhoriies or oher informaion considered by he Inde Calculaor o be relevan. Wih regard o an Inde Componen a Merger is (i) (ii) (iii) (iv) a change in he securiy class or a conversion of his share class ha resuls in a ransfer or an ulimae definie obligaion o ransfer all he shares in circulaion o anoher legal person, a merger (eiher by acquisiion or hrough forming a new srucure) or a binding obligaion on he par of he issuer o echange shares wih anoher legal person (ecep in a merger or share echange under which he issuer of his Inde Componen is he acquiring or remaining company and which does no involve a change in securiy class or a conversion of all he shares in circulaion), a akeover offer, echange offer, oher offer or anoher ac of a legal person for he purposes of acquiring or oherwise obaining from he issuer 100% of he shares issued ha enails a ransfer or he irrevocable obligaion o ransfer all shares (wih he ecepion of shares which are held and conrolled by he legal person), or a merger (eiher by acquisiion or hrough forming a new srucure) or a binding obligaion on he par of he issuer of he share or is subsidiaries o echange shares wih anoher legal person, whereby he issuer of he share is he acquiring or remaining company and i does no involve a change in he class or a conversion of he all shares issued, bu he shares in circulaion direcly prior o such an even (ecep for shares held and conrolled by he legal person) represen in oal less han 50% of he shares in circulaion direcly subsequen o such an even. The Merger Dae is he dae on which a Merger is concluded or he dae specified by he Inde Calculaor if such a dae canno be deermined under he law applicable o he Merger. Naionalisaion is a process whereby all shares or he majoriy of he asses of he issuer of he shares are naionalised or are epropriaed or oherwise mus be ransferred o public bodies, auhoriies or insiuions. Echange is, in respec of he BUZZ NeGen AI US Senimen Leaders Inde and every Inde Componen, he respecive primary echange where he Inde Componen has is primary lising. The Commiee may decide o declare a differen sock echange he Echange for rading reasons, even if he company is only lised here via a Sock Subsiue. Wih regard o an Inde componen (subjec o he provisions given above under Eraordinary Evens ) he Trading Price in respec of a Trading Day is he closing price on his Trading Day deermined in accordance wih he Echange regulaions. If he Echange has no closing price for an Inde Componen, he Inde Calculaor shall deermine he Trading Price and he ime of he quoe for he share in quesion in a manner ha appears reasonable o him. 10
A Trading Day is in relaion o he Inde or an Inde Componen a Trading Day on he Echange (or a day ha would have been such a day if a marke disrupion had no occurred), ecluding days on which rading may be ceased prior o he normal Echange closing ime. The Inde Calculaor is ulimaely responsible as o wheher a cerain day is a Trading Day wih regard o he Inde or an Inde Componen or in any oher connecion relaing o his documen. A Business Day is a day on which he NYSE ARCA Echange is open for rading. The Inde Calculaor is Solacive AG or any oher appropriaely appoined successor in his funcion. The Inde Currency is USD. Marke Capializaion is wih regard o each of he shares in he BUZZ NeGen AI US Senimen Leaders Inde Universe on a Selecion Day or Adjusmen Day he value published as he Marke Capializaion for his day. As a he dae of his documen Marke Capializaion is defined as he value of a company calculaed by muliplying he number of shares ousanding of he company by is share price. Adjusmen Day is he hird Thursday of each monh. Selecion Day is he Business Day 5 Business Days before he Adjusmen Day. An Affiliaed Echange is wih regard o an Inde Componen an echange, a rading or quoaion sysem on which opions and fuures conracs on he Inde Componen in quesion are raded, as specified by he Inde Calculaor. A Marke Disrupion Even occurs if 1. One of he following evens occurs or eiss on a Trading Day prior o he opening quoaion ime for an Inde Componen: A) Trading is suspended or resriced (due o price movemens ha eceed he limis allowed by he Echange or an Affiliaed Echange or for oher reasons): 1.1. Across he whole Echange; or 1.2. In opions or fuures conracs on or wih regard o an Inde Componen or an Inde Componen ha is quoed on an Affiliaed Echange; or 1.3. On an Echange or in a rading or quoaion sysem (as deermined by he Inde Calculaor) in which an Inde Componen is lised or quoed; or B) an even ha (in he assessmen of he Inde Calculaor) generally disrups and affecs he opporuniies of marke paricipans o eecue on he Echange ransacions in respec of a share included in he Inde or o deermine marke values for a share included in he Inde or o eecue on an Affiliaed Echange ransacion wih regard o opions and fuures conracs on hese shares or o deermine marke values for such opions or fuures conracs; or 11
2. Trading on he Echange or an Affiliaed Echange is ceased prior o he usual closing ime (as defined below), unless he early cessaion of rading is announced by he Echange or Affiliaed Echange on his Trading Day a leas one hour before (aa) he acual closing ime for normal rading on he Echange or Affiliaed Echange on he Trading Day in quesion or, if earlier. (bb) he closing ime (if given) of he Echange or Affiliaed Echange for he eecuion of orders a he ime he quoe is given. Normal echange closing ime is he ime a which he Echange or an Affiliaed Echange is normally closed on working days wihou aking ino accoun afer-hours rading or oher rading aciviies carried ou ouside he normal rading hours; or 3. A general moraorium is imposed on banking ransacions in he counry in which he Echange is residen if he above-menioned evens are maerial in he assessmen of he Inde Calculaor, whereby he Inde Calculaor makes his decision based on hose circumsances ha he considers reasonable and appropriae. 12
5 Appendi 5.1 Conac Informaion Informaion regarding he BUZZ NeGen AI US Senimen Leaders Inde BUZZ Indees Inc. 333 Bay S. Suie 1240 Torono, On M5H 2R2 Canada info@buzzindees.com 5.2 Calculaion of he Inde Change in Calculaion Mehod The applicaion by he Inde Calculaor of he mehod described in his documen is final and binding. The Inde Calculaor shall apply he mehod described above for he composiion and calculaion of he Inde. However i canno be ecluded ha he marke environmen, supervisory, legal, financial or a reasons may require changes o be made o his mehod. The Inde Calculaor may also make changes o he erms and condiions of he Inde and he mehod applied o calculae he Inde, which he deems o be necessary and desirable in order o preven obvious or demonsrable error or o remedy, correc or supplemen incorrec erms and condiions. The Inde Calculaor is no obliged o provide informaion on any such modificaions or changes. Despie he modificaions and changes he Inde Calculaor will ake he appropriae seps o ensure a calculaion mehod is applied ha is consisen wih he mehod described above. 13