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Dow Jones STOXX Indices Rulebook

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Dow Jones STOXX Indices Rulebook Dow Jones STOXX® Index Guide Version 13.0 · October 2008 ® DOW JONES STOXX INDEX GUIDE Section A: Dow Jones STOXX Equity Indices 3 Section B: Dow Jones STOXX Strategy Indices 70 Section C: Industry Classifi cation Benchmark 89 Changes to the Dow Jones STOXX Index Guide 100 STOXX LIMITED A Joint Venture of Deutsche Börse AG, Dow Jones & Company and SIX Swiss Exchange AG The indices described in this guide are the intellectual property of STOXX Limited and/or Dow Jones & Company Inc. ‘STOXX’ is a registered trademark of STOXX Limited. ‘Dow Jones’ and ‘Dow Jones Indexes’ are service marks of Dow Jones & Company Inc. A licence agreement is required to use indices and trademarks from STOXX and/or Dow Jones Indexes for any commercial purpose, namely but not exclusively for arranging, marketing, issuing, promoting fi nancial products based on the indices. Neither STOXX nor Dow Jones sells, sponsors or recommends the purchase of fi nancial products based on their indices. Neither Dow Jones nor STOXX makes any warranty as to the accuracy and completeness of any such index or any information related to it, or, as to the results to be obtained by any person or entity from the use of any such index or any information related to it. www.stoxx.com 2 DOW JONES STOXX® INDEX GUIDE Section A: Dow Jones STOXX Equity Indices www.stoxx.com 3 ® DOW JONES STOXX INDEX GUIDE Section A 1 OVERVIEW 6 4 DEFINITIONS 28 1.1 Index Family 6 4.1 Base Dates & Base Values 28 1.2 Coverage 8 4.2 Block Ownership & Restricted Shares 29 1.2.1 Global 8 4.3 Free Float Market Capitalisation 30 1.2.2 Europe 9 4.4 Weighting Factors 30 1.2.3 Eastern Europe 10 4.5 Weighting Cap Factors 31 4.6 Buffers 32 4.7 Currency Rates 32 2 SCOPE 11 4.8 Dividend Treatment 33 2.1 Investable Stock Universe 11 4.9 Index Parameters 33 2.2 Stock Exchanges and Trading Systems 11 4.9.1 Price & Total Return Indices 33 2.2.1 Global 11 4.9.2 Indices in Euro, U.S. Dollar 2.2.2 Europe 13 and Other Currencies 33 2.2.3 Eastern Europe 13 4.9.3 Realtime & End-of-Day Indices 33 2.3 Classifi cation – Country and Regional 14 4.10 Index Formula & Index Divisors 34 2.4 Classifi cation – Size (Large/Mid/Small) 17 4.11 Index Open Quotations 34 2.5 Classifi cation – Style (Growth/Value) 17 4.12 Index Settlement Values 34 2.6 Classifi cation – Sectors 17 4.13 Review Dates 34 4.14 Selection Lists 35 4.14.1 Dow Jones STOXX Global 1800 Indices 35 3 INDICES 18 4.14.2 Dow Jones STOXX 600 Indices 35 3.1 Dow Jones STOXX Global 1800 Indices 18 4.14.3 Dow Jones STOXX Blue-chip Indices 35 3.1.1 Regional Indices 18 4.14.4 Dow Jones STOXX Select Dividend Indices 36 3.1.2 Sector Indices 19 4.14.5 Dow Jones STOXX Strong Style Indices 36 3.2 Dow Jones STOXX Total Market Indices (TMI) 19 4.14.6 Dow Jones STOXX Private Equity 20 Index 36 3.2.1 Regional Indices 19 4.15 Stock Prices 37 3.2.2 Sector Indices 20 3.2.3 Size Indices 20 3.2.4 Style Indices 21 5 DISSEMINATION 38 3.2.5 Strong Style Indices 22 5.1 Calendar 38 3.3 Dow Jones STOXX Fixed Component Benchmark Indices 22 5.2 Dissemination Period 38 3.3.1 Dow Jones STOXX 600 Indices 22 5.3 Available Data 38 3.3.2 Dow Jones STOXX Eastern Europe 300 Indices 22 5.3.1 Intraday Data 38 3.3.3 Sector Indices 23 5.3.2 Closing Data 39 3.3.4 Size Indices 24 5.3.3 Monthly Reports 39 3.3.4.1 Dow Jones STOXX 600 Indices 24 5.3.4 Quarterly, Semi-Annual & Annual Data 39 3.3.4.2 Dow Jones STOXX 600 5.3.5 Corporate Action Forecasts 39 Eastern Europe 300 Size Indices 24 3.4 Dow Jones STOXX Blue-chip Indices 25 3.5 Dow Jones STOXX Select Dividend Indices 26 3.6 Dow Jones STOXX Theme Indices 27 3.6.1 IPO Indices 27 3.6.2 Private Equity Index 27 3.6.3 Grand Prix Index 27 3.6.4 Football Index 27 www.stoxx.com 4 ® DOW JONES STOXX INDEX GUIDE 6 CALCULATION 40 8 ONGOING REVIEW 65 6.1 Index Value Calculation 40 8.1 Replacements 65 6.1.1 Market Capitalisation Weighted 40 8.2 Free Float Factors and Shares Changes 65 6.1.2 Price Weighted With Weighting Factors 40 8.3 Dividend Data Changes 66 6.2 Index Divisor Calculation 41 8.4 Illiquidity 66 6.2.1 Market Capitalisation Weighted 41 8.5 Initial Public Offerings 67 6.2.2 Price Weighted With Weighting Factors 41 8.5.1 Blue-chip Indices 67 6.3 Data Accuracy 42 8.5.2 IPO Indices 67 6.4 Input Data 42 8.6 Mergers & Takeovers 67 6.4.1 Sources 42 8.7 Sector Changes 68 6.4.2 Monitoring 42 8.8 Spin-Offs 69 6.4.3 Correction 42 6.5 Index Divisor Correction 43 6.6 Corporate Actions and Adjustments 43 7 PERIODIC REVIEW 46 7.1 Dow Jones STOXX Global 1800 Indices 46 7.2 Dow Jones STOXX Total Market Indices (TMI) 47 7.2.1 Regional Indices 47 7.2.2 Size Indices 48 7.2.3 Style Indices 49 7.2.4 STOXX Strong Style Indices 51 7.3 Dow Jones STOXX Fixed Component Benchmark Indices 52 7.3.1 Dow Jones STOXX 600 Index 52 7.3.2 Dow Jones STOXX Eastern Europe 300 Index 54 7.4 Dow Jones STOXX Blue-chip Indices 55 7.5 Dow Jones STOXX Select Dividend Indices 59 7.6 Dow Jones STOXX Theme Indices 61 7.6.1 Dow Jones STOXX IPO Indices 62 7.6.2 Dow Jones STOXX Private Equity Indices 62 7.6.3 Dow Jones STOXX Grand Prix Index 63 7.6.4 Dow Jones STOXX Football Index 63 7.7 Free Float Factors 64 7.8 Weighting Factors 64 7.9 Weighting Cap Factors 64 www.stoxx.com 5 1 OVERVIEW 1.1 Index Famil y World Inde DJ x* ge ra ve DJ STOXX TMIDJ STOXX 600 DJ STOXX Co al Blue-Chips n io g e R % 5 9 DJ STOXX ~ Large 200 TMI · Large s t n e n o DJ STOXX Global 1800 p m Mid 200 o C 0 0 5 Global , 6 ~ DJ STOXX DJ STOXX Equity DJ STOXX 600 Mid Americas 600 Asia/Pacific 600 Small 200 Universe Blue-Chips ~ 60,000 Components DJ STOXX Eastern Europe 300 Small ~ 1,000 Components Large 100 ~ 95% Regional Coverage Mid 100 DJ STOXX Eastern Europe TMI Small 100 DJ STOXX EU Enlarged TMI ~ 500 Components ~ 95% Country Coverage *ex bia clu Ser ding ine, coun , Ukra tries: Croatia, Macedonia TMI = Total Market Index derived are derived are derived are derived are derived are > Theme indices > Regional indices > Sustainability indices > Regional indices > Regional indices > Regional indices > Country indices > Select Dividend indices > Sector indices > Sector indices > Strategy indices > Sector indices > Size indices > Size indices > Size indices > Style indices > Select Dividend indices > Style indices > Sustainability indices > Sustainability indices > Strategy indices www.stoxx.com 7 1 OVERVIEW 1.2 Cover age 1.2.1 Global Indices (& ex-regions) Global Global ex Americas Global ex Europe Global ex Asia/Pacific DJ STOXX Global 1800 11 1 1 Sector indices: Supersectors 19 19 19 19 Sectors 1 – – – Select Dividend indices: DJ STOXX Select Dividend 1 – – – Theme indices: DJ STOXX Grand Prix 1 – – – Indices (regions) Americas Europe Asia/Pacific Asia/Pacific ex Japan Regional indices: DJ STOXX Americas 600 1 – – – DJ STOXX 600 – 1 – – DJ STOXX Asia/Pacifi c 600 – – 1 – DJ STOXX Asia/Pacifi c 600 ex Japan – – – 1 Sector indices: Supersectors 19 19 19 19 Sectors 1 1 1 – Select Dividend indices: DJ STOXX Select Dividend 1 1 1 – www.stoxx.com 8 1 OVERVIEW 1.2.2 Europe Indices Europe Euro Europe ex UK Europe ex Euro Nordic Benchmark & Size indices: DJ STOXX Total Market Index (TMI) 1 1 1 1 1 (Large/Mid/Small) (1/1/1) (1/1/1) (1/1/1) (1/1/1) (1/1/1) DJ STOXX 600 1 1 1 1 1 (Large/Mid/Small) (1/1/1) (1/1/1) (1/1/1) (1/1/1) (1/1/1) Style indices: DJ STOXX Strong 2 2 – – – (Growth/Value/Composite) (1/1/1) (1/1/1) – – – DJ STOXX TMI Growth/Value 2 2 – – – (Large/Mid/Small) (1/1/1) (1/1/1) – – – Sector indices: DJ STOXX TMI: Industries 10 10 – – 8 DJ STOXX TMI: Supersectors 19 19 19 – 12 DJ STOXX TMI: Sectors 41 35 – – – DJ STOXX TMI: Subsectors 12 – – – – DJ STOXX 600: Industries 10 10 – – – DJ STOXX 600: Supersectors 19 19 19 – – DJ STOXX 600: Sectors 1 – – – – Blue-chip indices: DJ STOXX Blue-chip indices 1 1 – – 1 Select Dividend indices: DJ STOXX Select Dividend 1 1 – – 1 Theme indices: DJ STOXX IPO indices 3 – – – – DJ STOXX Private Equity 20 1 – – – – DJ STOXX Football 1 – – – – www.stoxx.com 9 1 OVERVIEW 1.2.3 Eastern Europe Indices Eastern Europe Eastern Europe Sub Balkan Balkan EU Enlarged ex Greece & Turkey Benchmark & Size indices: DJ STOXX Total Market Index (TMI) 1 1 1 1 1 (Large/Mid/Small) (1/1/1) – – – – DJ STOXX Eastern Europe 300: 1 – – – – (Large/Mid/Small) (1/1/1) – – – – Sector indices: DJ STOXX Eastern Europe 300: 19 – – – – Supersectors Blue-chip indices: DJ STOXX Blue-chip indices 1 – 1 1 1 Select Dividend indices: DJ STOXX Select Dividend – – – – 1 www.stoxx.com 10 2 SCOPE 2.1 Investable Stock Universe The DJ STOXX investable stock universe is a subset of the global universe (see below).
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