The Rules for the PX, PX-TR and PX-TRnet Indices of the Prague ftp.pse.cz/Info.bas/Indexy/EN_PX, PX-TR

  • View
    6

  • Download
    0

Embed Size (px)

Text of The Rules for the PX, PX-TR and PX-TRnet Indices of the Prague ftp.pse.cz/Info.bas/Indexy/EN_PX,...

  • The Rules for the PX, PX-TR and PX-TRnet Indices of the Prague Stock Exchange June 2020 | Version 2.3

  • 2 | The Rules for the PX, PX-TR and PX-TRnet Indices of the Prague Stock Exchange

    Table of Contents 1. Introduction 3

    2. Eligibility Criteria 4

    2.1 Eligibility of Shares 4

    2.2 Criteria for Inclusion 4

    2.3 Criteria for Exclusion 5

    3. Index Calculation 6

    3.1 Calculation Period 6

    3.2 Index Movements 6

    3.3 Disclosure of Information 6

    3.4.1 PX Index Calculation 6

    3.4.2 PX-TR Index Calculation 7

    3.4.3 PX-TRnet Index Calculation 8

    3.5 Calculation Accuracy 9

    4. Calculation Factors 10

    4.1 Reduction Factor 10

    4.2 Maximum Index Weighting 10

    4.3 Free Float Factor 10

    5. Periodic Updates of the Index Composition 12

    5.1 Quarterly Update of the Index Composition 12

    5.2 Quarterly Update of the Calculation Factors (March, June, September, December) 12

    6. Special Operations 13

    6.1 Stock Splits and Reverse Splits 13

    6.2 IPO 13

    6.3.1 Handling of Dividends and Other Incomes of the PX Index Constituents 13

    6.3.2 Handling of Dividends or Other Incomes of the PX-TR and PX-TRnet Index Constituents 13

    6.4. Spin-off 14

    6.5 Mergers and Acquisitions 14

    6.6 Trading Suspensions and Financial Distress 14

    6.7 Free Float Adjustments 14

    6.8 Change in Issue Information 15

    6.9 Priority Rights Issues 15

    6.10 Stock Option Programs and Convertible Bonds 16

    7. Public Announcement Policy 17

    7.1 Announcing Changes 17

    7.2 E-mail Service 17

    8. Responsibilities of Bodies Involved in Providing the Benchmark 18

    8.1 Index Committee 18

    8.2 Index Committee Membership 18

    8.3 CEO 18

    8.4 Prague Stock Exchange Chamber 18

    8.5 Supervisory Unit 18

    8.6 Index Management 19

    9 Error Correction Policy 20

    9.1 Index Announcement Corrections 20

    10 Handling Complaints 21

  • 3 | The Rules for the PX, PX-TR and PX-TRnet Indices of the Prague Stock Exchange

    11 Other 22

    12. Contact Details 23

    Appendix A / Sector Classification 24

    Appendix B / History of Rulebook Changes 26

    1. Introduction

    The PX index is the official price index of the Prague Stock Exchange (Burza cenných papírů Praha, a.s.) (hereinafter

    referred to as “Prague Stock Exchange”). The PX index was calculated for the first time on 20 March 2006 when it

    replaced the PX 50 and PX-D indices. The PX index took over the historical values of the Prague Stock Exchange’s

    oldest index, the PX 50, and continues in its development. The calculation of the PX 50 index complied with the IFC

    (International Finance Corporation) methodology recommended for the creation of indices in emerging markets. The

    launch date of the index was 5 April 1994 when a composition consisting of 50 issues was put together for it and the

    opening value of the index was fixed at 1,000.0 points. From December 2001 on, the number of basic issues has been

    variable. The PX index is a price index and dividend yields are not considered in its calculation.

    The PX-TR index is the official dividend index of the Prague Stock Exchange. The PX-TR index was first calculated on

    20 March 2006. The initial value and composition of the index was the same as the value and composition of the PX

    index. The PX-TR index is a dividend index reflecting the payment of gross (untaxed) dividends and payment of other

    incomes in its calculation.

    The PX-TRnet index is the official dividend index of the Prague Stock Exchange. The PX-TRnet index was first

    calculated on 20 March 2006. The initial value and composition of the index was the same as the value and

    composition of the PX index. Index PX-TRnet index is a dividend index reflecting the payment of dividends and other

    incomes net of relevant income tax rate.

    Within these rules, other incomes mean especially payments or distributions made due to a decrease of shares capital

    or other capital funds and in reasonable cases also distributions of pre-emptive rights, subscription rights, warrants,

    debt securities etc., if all necessary information for such incomes or distributions are publicly available.

    The provisions below are joint for the PX, PX-TR and PX-TRnet indices (hereinafter referred to as “PX index”), unless

    stated otherwise in the chapter title.

    These rules constitute a methodology pursuant to Article 12 of the Regulation (EU) 2016/1011 of the European

    Parliament and of the Council on indices used as benchmarks in financial instruments and financial contracts or to

    measure the performance of investment funds.

  • 4 | The Rules for the PX, PX-TR and PX-TRnet Indices of the Prague Stock Exchange

    2. Eligibility Criteria

    In general, only actively traded blue chips are included in the PX index of the Prague Stock Exchange. The Index

    Committee of the Prague Stock Exchange (hereinafter referred to as the Index Committee), as the decision-making

    body, is in charge of selecting the shares to be included in the PX index.

    2.1 Eligibility of Shares

    All listed shares from the Prime and Standard market of the Prague Stock Exchange (Burza cenných papírů Praha

    a.s.) are subject to regular screening for eligibility for inclusion in the composition of the PX index. The eligibility of

    shares from the Start and Free Market shall always be assessed by the Index Committee separately.

    2.1.1. Ineligible Securities

    ◼ Share issues of investment funds and issues of mutual funds units (sector No. 18).

    ◼ Issues of those holding companies which have emerged from transformation of investment funds

    ◼ Preference shares (these can be recognized as eligible only in exceptional cases)

    ◼ Equity derivatives

    2.1.2. Issues of Securities of a Company May Not Be Included in the Index

    ◼ if a court adopts a decision on the company’s bankruptcy or on rejection of an insolvency petition due to

    insufficient assets of the company, or if a decision is adopted by a foreign competent authority with the same or

    similar legal effects with respect to the company,

    ◼ if a decision on winding-up of the company with liquidation is adopted,

    ◼ if the trading of these securities at the Prague Stock Exchange has been suspended on a long-term basis.

    2.2 Criteria for Inclusion

    Eligible share issues may be included in the PX index composition if they meet the following requirements:

    2.2.1. Market Capitalization and Trading Volume

    The market capitalization of the issue on the cut-off date is higher than CZK 0.5 billion. The limit for minimum market

    capitalization is fixed by the Index Committee

    or

    the average daily trading volume of the issue (without registered OTC trades) in the relevant period is higher than CZK

    2 million. To calculate the average volume, only the sessions of the relevant period when the issue was registered for

    trading at the Prague Stock Exchange are taken into account. The value of the minimum necessary average daily

    volume is fixed by the Index Committee. The relevant period shall be defined as six months prior to the cut-off date.

    The cut-off date for the calculation of market capitalization and the average daily volume shall be the last session in

    the months of February, May, August and November.

  • 5 | The Rules for the PX, PX-TR and PX-TRnet Indices of the Prague Stock Exchange

    2.2.2 Number of Trading Days

    The issue was traded in at least 90% of the sessions that took place during the relevant period when it was registered

    for trading at the Prague Stock Exchange.

    As of the cut-off date, the issue has been traded in at least 10 sessions, including conditional trading.

    The relevant period shall mean a period of six months prior to the cut-off date. If an issue is traded at the Prague

    Stock Exchange for period shorter than 6 calendar months but longer than 10 days, the ratio shall be counted from the

    date of commencement of trading (including conditional trading). In case of a significant corporate event, the Index

    Committee may decide to reduce the relevant period of the issue in question, to a period from the corporate event to

    the cut-off date.

    The cut-off day is the last session in the month of February, May, August and November.

    2.3 Criteria for Exclusion

    If an index constituent does not meet the inclusion criteria according to Article 2.2 on two consequent cut-off dates, it

    will be excluded from the index.

    In exceptional circumstances, an issue can be excluded from the PX index without replacement, including on dates

    other than those set for the periodic updating of the composition. In such case, the adjustment factor is recalculated

    on the day of the delisting date of the issue. Other reduction factors are changed only if capital changes cause a shift

    in the weight of the highest weighted index constituent by more than 5%.

    The Prague Stock Exchange tries to anticipate circumstances which may have adverse impact on the index

    composition, such as mergers, takeovers, ban