Dow Jones Middle East Indices Methodology
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Dow Jones Middle East Indices Methodology June 2021 S&P Dow Jones Indices: Index Methodology Table of Contents Introduction 3 Index Objective 3 Index Family and Highlights 3 Supporting Documents 4 Eligibility Criteria and Index Construction 5 Index Eligibility 5 Ineligible Securities 5 Multiple Classes of Stock 5 Index Calculations 5 Index Construction 6 Dow Jones GCC Index and Dow Jones GCC Ex-Saudi Index 6 Dow Jones MENA Index and Dow Jones MENA Ex-Saudi Index 7 Index Maintenance 8 Rebalancing 8 Additions 8 Deletions 8 Corporate Actions 9 Currency of Calculation and Additional Index Return Series 9 Investable Weight Factor (IWF) 9 Other Adjustments 9 Base Dates and History Availability 10 Index Data 11 Calculation Return Types 11 Index Governance 12 Index Committee 12 S&P Dow Jones Indices: Dow Jones Middle East Indices Methodology 1 Index Policy 13 Announcements 13 Pro-forma Files 13 Holiday Schedule 13 Rebalancing 14 Unexpected Exchange Closures 14 Recalculation Policy 14 Real-Time Calculation 14 Contact Information 14 Index Dissemination 15 Tickers 15 Index Data 15 Web site 15 Appendix I 16 Methodology Changes 16 Appendix II 17 EU Required ESG Disclosures 17 Disclaimer 18 S&P Dow Jones Indices: Dow Jones Middle East Indices Methodology 2 Introduction Index Objective The Dow Jones Middle East Indices are comprehensive, rules-based indices that measure the performance of Middle East stock markets. The indices reflect the available float-adjusted market capitalization (FMC) defined by the foreign investment limits applicable to Gulf Cooperation Council (GCC) residents (for the applicable GCC countries), which is typically larger than that available to foreigners. The indices are FMC weighted, subject to single constituent and/or country weight constraints, as defined in Index Construction. Index Family and Highlights The index family includes indices covering the GCC and Middle East and North Africa (MENA) regions. The GCC includes the countries of Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates. MENA includes the countries of Bahrain, Egypt, Jordan, Kuwait, Morocco, Oman, Qatar, Saudi Arabia, Tunisia, and the United Arab Emirates. • Dow Jones GCC Index. The index measures the stock performance of companies domiciled and traded in the GCC region. The index intends to track stocks accessible to local investors and represents approximately 95% of the underlying FMC of the GCC region. Constituents are FMC weighted, subject to the constraint that no single constituent can exceed 15% of the aggregate weight of the country the constituent is from. • Dow Jones GCC Ex-Saudi Index. The index measures the stock performance of companies domiciled and traded in the GCC region, excluding Saudi Arabia. The index represents approximately 95% of the underlying FMC of the represented countries. Constituents are FMC weighted, subject to the constraint that no single constituent can exceed 15% of the aggregate weight of the country the constituent is from. • Dow Jones MENA Index. The index measures the stock performance of companies domiciled and traded in the MENA region. The index represents approximately 95% of the underlying FMC of the MENA region. Constituents are FMC weighted, subject to an aggregate country weight cap of 45%. • Dow Jones MENA Ex-Saudi Index. The index measures the stock performance of companies domiciled and traded in the MENA region, excluding Saudi Arabia. The index represents approximately 95% of the underlying FMC of the represented countries. Constituents are FMC weighted, subject to an aggregate country weight cap of 45%. S&P Dow Jones Indices: Dow Jones Middle East Indices Methodology 3 Supporting Documents This methodology is meant to be read in conjunction with supporting documents providing greater detail with respect to the policies, procedures and calculations described herein. References throughout the methodology direct the reader to the relevant supporting document for further information on a specific topic. The list of the main supplemental documents for this methodology and the hyperlinks to those documents is as follows: Supporting Document URL S&P Dow Jones Indices’ Equity Indices Policies & Equity Indices Policies & Practices Practices Methodology S&P Dow Jones Indices’ Index Mathematics Index Mathematics Methodology Methodology S&P Dow Jones Indices’ Float Adjustment Float Adjustment Methodology Methodology This methodology was created by S&P Dow Jones Indices to achieve the aforementioned objective of measuring the underlying interest of each index governed by this methodology document. Any changes to or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones Indices so that the index continues to achieve its objective. S&P Dow Jones Indices: Dow Jones Middle East Indices Methodology 4 Eligibility Criteria and Index Construction Index Eligibility All equity securities domiciled and trading on the local exchanges of the related region or country indices screened for liquidity are eligible for index inclusion. Ineligible Securities The following shares are not eligible for index inclusion: • Fixed-dividend Shares • Business Development Companies (BDCs) • Investment Trusts • Closed-end Funds • Unit Trusts • Convertible Bonds • Mutual Fund Shares • Limited Partnerships • Equity Warrants • Convertible preferred stock • ETFs • Preferred • ETNs Multiple Classes of Stock All publicly listed multiple share class lines are eligible for index inclusion, subject to meeting the eligibility criteria. For more information regarding the treatment of multiple share classes, please refer to Approach A within the Multiple Share Classes section of S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology. Index Calculations Each index is calculated by means of the divisor methodology used in all S&P Dow Jones Indices’ equity indices. For more information on the index calculation methodology, please refer to S&P Dow Jones Indices’ Index Mathematics Methodology. S&P Dow Jones Indices: Dow Jones Middle East Indices Methodology 5 Index Construction Dow Jones GCC Index and Dow Jones GCC Ex-Saudi Index Index Universe • Dow Jones GCC Index. The index universe consists of all stocks domiciled and traded in the GCC. • Dow Jones GCC Ex-Saudi Index. The index comprises all stocks in the Dow Jones GCC Index, excluding those domiciled and traded in Saudi Arabia. Liquidity Screen. Liquidity requirements are reviewed during the annual reconstitution in September for emerging markets and in March for frontier markets. With the exception of Oman and Qatar, non-constituent securities with 10 or more non-trading days over the previous quarter are ineligible. For current constituents outside of Oman and Qatar, securities with 20 or more non-trading days or more than 10 consecutive non-trading days over the previous quarter become ineligible. For Oman, non-constituent stocks that trade fewer than 10 days during the previous quarter are ineligible. Current Omani constituents must trade on at least seven days over the previous quarter to remain in the index. For Qatar, non-constituent stocks that trade fewer than five days over the previous quarter are ineligible. Current Qatari constituents must trade at least three days over the previous quarter to remain in the index. Constituent Selection. For each index: • Stocks in the index universe are ranked by FMC. • Stocks ranked in the top 95% of the index universe are selected as constituents, subject to a 1% buffer for current and non-current stocks. Selections are conducted as follows to create the country indices: • The index universe for each country is sorted by FMC. o Beginning with the largest company, stocks are added to the index until cumulative coverage reaches the total market representation threshold for that country. o Current constituents ranked, by FMC, up to the 96th percentile remain eligible. Non- constituents are eligible up to the 94th percentile. Constituent Weightings. Index constituents are FMC weighted, subject to the following constraint: • The maximum weight of any constituent at the country level is capped at 15%. S&P Dow Jones Indices: Dow Jones Middle East Indices Methodology 6 Dow Jones MENA Index and Dow Jones MENA Ex-Saudi Index Index Eligibility • Dow Jones MENA Index. The index universe includes all stocks domiciled and traded in the MENA region, subject to liquidity requirements. • Dow Jones MENA Ex-Saudi Index. The index comprises all stocks in the Dow Jones MENA Index, excluding those domiciled and traded in Saudi Arabia. Liquidity Screen. Liquidity requirements are reviewed during the annual reconstitution in September for emerging markets and in March for frontier markets. With the exception of Oman and Qatar, non-constituent securities with 10 or more non-trading days over the previous quarter are ineligible. For current constituents outside of Oman and Qatar, securities with 20 or more non-trading days or more than 10 consecutive non-trading days over the previous quarter become ineligible. For Oman, non-constituent stocks that trade fewer than 10 days during the previous quarter are ineligible. Current Omani constituents must trade on at least seven days over the previous quarter to remain in the index. For Qatar, non-constituent stocks that trade fewer than five days over the previous quarter are ineligible. Current Qatari constituents must trade at least three days over the previous quarter to remain in the index. Constituent Selection. For each index, stocks are