Rules for Construction and Maintenance of the Indexes VERSION 2.2 /November 2016 1 P age
TABLE OF CONTENTS 1. INTRODUCTION... 3 1.1 INDEXES... 3 2. INDEX SHARE ELIGIBILITY & SELECTION RULES... 3 2.1 ELIGIBLE SECURITIES... 3 2.2 CONTROL PERIOD AND TURNOVER FIGURES... 4 2.3 SUSTAINABILITY ASSESSMENT... 4 3. OMX GES SUSTAINABILITY NORDIC (OMXSUSTAINNC)... 4 3.1 ANNUAL REVIEW OF OMXSUSTAINNC... 5 4. OMX GES SUSTAINABILITY SWEDEN (OMXSUSTAINSE)... 5 4.1 ANNUAL REVIEW OF OMXSUSTAINSE... 5 5. OMX GES SUSTAINABILITY FINLAND (OMXSUSTAINFI)... 5 5.1 ANNUAL REVIEW OF OMXSUSTAINFI... 6 6. EXTRAORDINARY CHANGES IN THE POPULATION... 6 7. FREE FLOAT AND MARKET CAPITALIZATION LIMIT... 6 7.1 FREE FLOAT ADJUSTMENT... 6 7.2 MARKET CAPITALIZATION LIMIT (CAPPING)... 6 7.2.1 OMX GES SUSTAINABILITY NORDIC CAP... 6 7.2.2 OMX GES SUSTAINABILITY SWEDEN CAP... 7 7.2.3 OMX GES SUSTAINABILITY FINLAND CAP... 7 8. INDEX CALCULATIONS, INDEX MAINTENANCE AND CORPORATE ACTIONS... 7 9. GENERAL ANNOUNCEMENT POLICY... 7 10. GENERAL CORRECTION POLICY... 7 11. DISCRETIONARY ADJUSTMENTS... 8 12. ALTERNATIVE INFORMATION RETRIEVAL... 8 INTELLECTUAL PROPERTY RIGHTS... 9 DISCLAIMER... 9 LIMITATION OF LIABILITY... 9 APPENDIX A OMX GES SUSTAINABILITY INDEXES... 10 2 P age
1. INTRODUCTION Nasdaq, Inc. and its affiliates (collectively NASDAQ) own and calculate the stock indexes OMX GES Sustainability (the Indexes ) and has granted NASDAQ Stockholm AB ( NASDAQ Stockholm or the Exchange ) and the co-operating exchanges the right to use the Index in connection with trading in and clearing of contracts related to the Indexes in accordance with these rules and regulations.. The Indexes have been constructed with the objective of creating indexes based on the market development of the companies with the highest turnover and sustainability ranking on the respective market. 1.1 INDEXES These rules govern the construction and maintenance of the following indexes: Nordic (OMXSUSTAINNC) Nordic consists of the 50 shares with the highest GES Sustainability ranking of the 200 most traded shares on NASDAQ Copenhagen, NASDAQ Helsinki, NASDAQ Stockholm and Oslo Børs. Such security is hereinafter referred to as an Index Share Sweden (OMXSUSTAINSE) Sweden consists of the 40 shares with the highest GES Sustainability ranking of the 100 most traded shares on NASDAQ Stockholm. Finland (OMXSUSTAINFI) Finland consists of the 40 shares with the highest GES Sustainability ranking of the 80 most traded shares on NASDAQ Helsinki 2. INDEX SHARE ELIGIBILITY & SELECTION RULES 2.1 ELIGIBLE SECURITIES The selection process is based on shares that meet the following requirements: (i) To be considered as Index Share, the share has to be listed on the NASDAQ Exchanges or on Oslo Børs depending on the index specifications; and (ii) Only shares, depository receipts or suchlike are considered as Index Shares. 3 P age
Security types not included in the Index are closed-end funds, exchange traded funds, mutual funds, unit-investment trusts, convertible debentures, preferred stocks, rights, warrants, and other derivative securities. The number of shares for each share is fixed between the reviews with the exception of adjustments for corporate actions with priority for existing shareholders 2.2 CONTROL PERIOD AND TURNOVER FIGURES The twelve months, starting thirteen months before the review date, is defined as the Control Period. Turnover figures from the Control Period are used in the annual reviews. If the trading volume of a share which qualifies as an Index Share is considered not to be representative, NASDAQ may decide that the share is ineligible. 2.3 SUSTAINABILITY ASSESSMENT From the selected shares (see section 2.1 above), GES Investment Service conducts the sustainability assessment, based on their model GES Risk Rating. GES Risk Rating analyses companies management of Environment, Social and Corporate Governance (ESG) factors. The analysis is based on international norms on ESG issues in accordance with the United Nations Principles for Responsible Investment (UN PRI). GES Risk Rating evaluates both the companies' preparedness as well as performance through a number of criteria and sub-criteria. The companies obtain a rating (from Aa to Cc) for each of the areas; environment, human rights and corporate governance. The capital letters (A-C) indicate the general risk level in the company's industry. The lower case letters (a-c) indicate the risk level in the particular company, based on preparedness and performance. Altogether the rating shows the company's ability to deal with the general risks that concern the type of activity and to comply with international norms and procedures. 3. OMX GES SUSTAINABILITY NORDIC (OMXSUSTAINNC) Nordic consists of the 50 shares with the highest GES Sustainability ranking of the 200 most traded shares on NASDAQ Copenhagen, NASDAQ Helsinki, NASDAQ Stockholm and Oslo Børs. OMXSUSTAINNC is a market value weighted, free float adjusted index available in capped, uncapped, price return and gross total return versions. The index is calculated in SEK. The numbers of shares are calculated on a company level. The most traded share is representing the company in the index. 4 P age
3.1 ANNUAL REVIEW OF OMXSUSTAINNC OMXSUSTAINNC is reviewed annually, effective the first trading day in December. The following four steps are applied during the annual review: (i) To avoid seasonal fluctuations all eligible shares are sorted according to the official turnover during the Control Period (see section 2.2 above); (ii) The top 200 Nordic shares are selected as candidates for the index; (iii) The selected candidates are ranked according to the score from the Sustainability assessment (see section 2.3 above). The top 45 shares will automatically qualify as Index Shares. If the top 45 are not among the previous index portfolio, the shares with the lowest ranking will be replaced; and (iv) Shares in the previous index portfolio with ranking lower than 55 will be replaced by shares with the highest ranking among the potential candidates. 4. OMX GES SUSTAINABILITY SWEDEN (OMXSUSTAINSE) OMXSUSTAINSE consists of the 40 shares with the highest GES Sustainability ranking of the 100 most traded shares on NASDAQ Stockholm. OMXSUSTAINSE is a market value weighted, free float adjusted index available in capped, uncapped, price return and gross total return versions. The index is calculated in SEK. The number of shares is calculated on a company level. The most traded share is representing the company in the index. 4.1 ANNUAL REVIEW OF OMXSUSTAINSE OMXSUSTAINSE is reviewed annually, effective the first trading day in December. The following four steps are applied during the annual review: (i) To avoid seasonal fluctuations all eligible shares are sorted according to the official turnover during the Control Period (see section 2.2 above); (ii) The top 100 Swedish shares are selected as candidates for the index; (iii) The selected candidates are ranked according to the score from the Sustainability assessment (see section 2.3 above). The top 35 shares will automatically qualify as Index Shares. If the top 35 are not among the previous index portfolio, the shares with the lowest ranking will be replaced; and (iv) Shares the previous index portfolio with ranking lower than 45 will be replaced by shares with the highest ranking among the potential candidates. 5. OMX GES SUSTAINABILITY FINLAND (OMXSUSTAINFI) OMXSUSTAINFI consists of the 40 shares with the highest GES Sustainability ranking of the 80 most traded shares on NASDAQ Helsinki. OMXSUSTAINFI is a market value weighted, free float adjusted index available in capped, uncapped, price return and gross total return versions. The index is calculated in EUR. The 5 P age
numbers of shares are calculated on a company level. The most traded share is representing the company in the index. 5.1 ANNUAL REVIEW OF OMXSUSTAINFI OMXSUSTAINFI is reviewed annually, effective the first trading day in December. The following four steps are applied during the annual review: (i) To avoid seasonal fluctuations all eligible shares are sorted according to the official turnover during the Control Period (see section 2.2 above); (ii) The top 80 Finnish shares are selected as candidates for the index; (iii) The selected candidates are ranked according to the score from the Sustainability assessment (see section 2.3 above). The top 35 shares will automatically qualify as Index Shares. If the top 35 are not among the previous index portfolio, the shares with the lowest ranking will be replaced; and (iv) Shares in the previous index portfolio with ranking lower than 45 will be replaced by shares with the highest ranking among the potential candidates. 6. EXTRAORDINARY CHANGES IN THE POPULATION An Index Share in any of the indexes may be removed between reviews if the GES Risk Rating (see section 2.3 above) for the specific company would decrease substantially. 7. FREE FLOAT AND MARKET CAPITALIZATION LIMIT 7.1 FREE FLOAT ADJUSTMENT All indexes are free float adjusted. The free float figures are updated twice a year effective the first trading day in June and December. At the same time, the outstanding numbers of shares are updated. For free float criteria, see Rules for the Construction and Maintenance of the NASDAQ OMX All-Share, Benchmark and Sector Indexes. 7.2 MARKET CAPITALIZATION LIMIT (CAPPING) The indexes are available in both capped and uncapped versions. The capping is conducted four times a year effective the first trading day in March, June, September and December. 7.2.1 OMX GES SUSTAINABILITY NORDIC CAP For capping rules, see Rules for the Construction and Maintenance of the NASDAQ OMX All- Share, Benchmark and Sector Indexes. 6 P age
7.2.2 OMX GES SUSTAINABILITY SWEDEN CAP For capping rules, see Rules for the Construction and Maintenance of the NASDAQ OMX All- Share, Benchmark and Sector Indexes. 7.2.3 OMX GES SUSTAINABILITY FINLAND CAP The Finland Cap index is capped at ten percent. No weight limitations are conducted between capping dates. 8. INDEX CALCULATIONS, INDEX MAINTENANCE AND CORPORATE ACTIONS See Rules for the Construction and Maintenance of the NASDAQ OMX All-Share, Benchmark, and Sector Indexes. 9. GENERAL ANNOUNCEMENT POLICY NASDAQ announces Index-related information via our premier service Global Index Watch at http://indexes.nasdaqomx.com. Deadlines for announcements: + Rule amendments: Material changes to the rules are normally announced 3 months before they are put into effect. + Periodic index composition: A notice is normally announced no less than one (1) week prior to implementation. The Exchange reserve the right to alter the announced composition in case of a merger, take-over or other major events that is expected to deteriorate the index ability to mimic the population of stocks representing the market. + Daily maintenance: Adjustments of the "Benchmark index" and Tradeable index due to corporate actions and dividends are announced as soon as possible after the Exchanges have received all information needed to accomplish the adjustments and no later than the day prior to the event taking effect. Adjustments of other Indexes are announced no later than the day prior to the event taking effect. In the event that an Index calculation has been corrected historically, an announcement will be provided and clients are asked to update their databases accordingly. 10. GENERAL CORRECTION POLICY Generally, the indexes are maintained on an ongoing basis and any corporate actions are handled simultaneously as they occur, given that all necessary information is publically available. However, there may be events where there is not sufficient public information available or that the event is announced post ex-day. In such cases, NASDAQ will decide on a case by case 7 P age
basis whether the event can be implemented in connection to the regularly scheduled index reviews or if a historical correction of the affected indexes is warranted. Any historical correction to an index is limited to a time frame of six (6) months prior, counting from the date where the correction is being implemented. If such a correction would occur, it will be announced according to the Information Policy (see section 1.4 Rules for the Construction and Maintenance of the NASDAQ OMX All-Share, Benchmark, and Sector Indexes ) and new index closing values will be provided as well as start of day and end of day index weightings and summary reports. 11. DISCRETIONARY ADJUSTMENTS NASDAQ may, due to special circumstances, if deemed essential, apply discretionary adjustments to the Index. 12. ALTERNATIVE INFORMATION RETRIEVAL If, in the opinion of NASDAQ, technical or other reasons, render the automatic transmission of price information or other information regarding an Index Share or currency fix from the Exchanges, or other information system approved by NASDAQ, either wholly or partially unavailable, or if such price information is unreliable or in any other way fails to reflect the development of market prices in the currency type or Index Shares, NASDAQ may utilize another source of information and thereby apply other bases for the calculation of the Index than those which otherwise are stated in these rules. 8 P age
INTELLECTUAL PROPERTY RIGHTS NASDAQ and its affiliates are the sole and exclusive owners of all rights and titles to the Indexes and the trademarks related thereto. For any data used or products based on, or linked to, the Indexes, a license from NASDAQ or its affiliates is required. This document and its contents may not be reproduced, redistributed, stored in retrieval system, or passed on, directly or indirectly, to any other person or published, or transmitted by any other form or means whether electronic, mechanical, photocopying, recording or otherwise in whole or in part, for any purpose without the prior written consent of NASDAQ or its affiliates. DISCLAIMER NASDAQ may, from time to time, exercise reasonable discretion as it deems appropriate in order to ensure Index integrity including but not limited to quantitative inclusion criteria. NASDAQ may also, due to special circumstances, if deemed essential, apply discretionary adjustments to ensure and maintain the high quality of the index construction and calculation. NASDAQ and its affiliates do not guarantee the accuracy or completeness of any Index or of the data used to calculate the Index or determine the Index components, or the uninterrupted or undelayed calculation or dissemination of any Index. NASDAQ and its affiliates do not guarantee that any Index accurately reflects past, present, or future market performance. LIMITATION OF LIABILITY NASDAQ and its affiliates assume no liability of any nature (including, but not limited to negligence) for any loss, damages, costs, claims and expenses related to or arising out of the use of the Indexes or any data included therein. NASDAQ and its affiliates hereby expressly disclaims all warranties, expressed or implied, as to the availability, accuracy, uninterrupted calculation, completeness, merchantability or fitness for a particular purpose with respect to the Indexes or any data included therein. Neither NASDAQ, its affiliates nor any third party makes any express or implied warranties or representations with respect to the Indexes, the results to be obtained by their use or the value of the Indexes at any given time. Without limiting any of the foregoing, in no event shall NASDAQ or any of its affiliates have any liability for any direct damages, lost profits or special, incidental, punitive, indirect or consequential damages, even if notified of the possibility of such damages. 9 P age
APPENDIX A Indexes Index Symbol Index Name ISIN OMXSUSTAINFIGI OMXSUSTAINFIPI OMXSUSTAINNCGI OMXSUSTAINNCPI OMXSUSTAINSEGI OMXSUSTAINSEPI OMXSUSTETHSEGI OMXSUSTETHSEPI OMXSUSTFICAPGI OMXSUSTFICAPPI OMXSUSTNCCAPGI OMXSUSTNCCAPPI OMXSUSTSECAPGI OMXSUSTSECAPPI Finland GI SE0002684225 GTR Calculation Method Linked to PR Index Linked GTR Index No adjustment for Extraord. Dividends Finland PI SE0002684217 PR X Nordic GI SE0002684183 GTR Nordic PI SE0002684175 PR X Sweden GI SE0002209346 GTR Sweden PI SE0002209338 PR X Sweden Ethical GI SE0002209361 GTR Sweden Ethical PI SE0002209353 PR X Finland Cap GI SE0002684241 GTR Finland Cap PI SE0002684233 PR X Nordic Cap GI SE0002684209 GTR Nordic Cap PI SE0002684191 PR X Sweden Cap GI SE0002684290 GTR Sweden Cap PI SE0002684308 PR X 10 P age