Stocks & standards workshop: DAX Reform - Neue Regeln für die DAX Auswahlindizes - Frankfurt am Main, 24.Februar 2021 - Deutsche Börse AG
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Stocks & standards workshop: DAX Reform – Neue Regeln für die DAX Auswahlindizes Frankfurt am Main, 24.Februar 2021 1 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.
Auswahlindizes
> Die Auswahlindizes sind unsere Indizes mit einer
festen Komponentenanzahl.
> Sie repräsentieren die größten Unternehmen mit dem
höchsten Umsatz am regulierten Markt der 30 DAX
Frankfurter Wertpapierbörse.
60 MDAX TecDAX 30
> Diese werden nach Streubesitz, Marktkapitalisierung
und Orderbuchvolumen ausgewählt.
70 SDAX
> Die Indizes sind DAX®, MDAX®, SDAX®, TecDAX®, Weitere gelistete Unternehmen
HDAX®, DAX 50 ESG, General Standard Index,
Scale 30 Index, DAX® ex Financials Index, DAX® ex Regulierter Markt
Financials 30 Index und ÖkoDAX.
SCALE
2 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Implementierungszeitplan
Rentabilitäts- Keine
anforderungen Änderungen
Q4 Q1 Q2 Q3
Grundkriterien 1. Anzahl Komponenten
1. Vergrößertes Indexuniversum 2. Auswahlmethode
2. Zusätzliche Berichtspflichten 3. Mindestliquiditäts-
anforderung
3. Prüfungsausschuss
4. Überprüfungsfrequenz für DAX
3 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Q4
Rentabilitätsanforderung
1. Basic criteria (4.1.1.1*) 2. Ranking list (4.1.1.2*) 3. Selection rules (4.1.1.3*) …
> Listing on Prime Standard1) > All companies fulfilling the basic > Determination of index composition > Weighting
> Continuous trading on Xetra criteria are ranked on a monthly basis based on predefined and automated > Capping
in a ranking list selection process
> Minimum-Free Float of 10% > …
> Ranking occurs with respect to two > Quarterly Index Review based on Fast
> Legal headquarters or operating
metrics: Exit and Fast Entry selection rules with
headquarters in Germany
> Free -float market capitalization more conservative thresholds in order to
> For foreign companies: (number of shares x free-float x 20-day allow for significant changes on ranking
> registered office or operating VWAP2)) list to be reflected in composition of the
headquarter in Germany or > Order book volume on Xetra (12-month selection indices quickly
> focus of trading volume on Xetra and average)
> Additional review on semiannual
legal headquarter in EU or EFTA > For DAX Index only, companies must
country (MDAX, SDAX, TecDAX) / annual
show positive EBITDA in 2 (DAX) basis according to Regular Exit
consecutive years to be eligible and Regular Entry selection rules with
more relaxed thresholds in order to
conduct a regular, more profound
review
➔ Eligibility for Ranking ➔ Creation of ranking list ➔ Determination of index
composition
* Chapter numbers refer to the „Guide to the DAX Equity Indices“, version 10.4 https://www.dax-indices.com/document/Resources/Guides/DAX_Equity_Indices.pdf
1) Additional key requirements for PS-companies: quarterly reporting, all publications in German and English, Corporate Calendar, Annual Analyst Conferences
2) 20-days VWAP: volume weighted average price over 20 days
4 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Q1
Grundkriterien
1. Basic criteria (4.1.1.1*) 2. Ranking list (4.1.1.2*) 3. Selection rules (4.1.1.3*) …
> Listing on regulated market of FWB > All companies fulfilling the basic criteria > Determination of index composition based > Weighting
are ranked on a monthly basis in a on predefined and automated selection > Capping
> Continuous trading on Xetra
ranking list process
> Minimum-Free Float of 10% > …
> Ranking occurs with respect to two > Quarterly Index Review based on Fast
> Legal headquarters or operating metrics: Exit and Fast Entry selection rules with
headquarters in Germany > Free -float market capitalization (number more conservative thresholds in order to
of shares x free-float x 20-day VWAP3)) allow for significant changes on ranking
> For foreign companies:
list to be reflected in composition of the
> registered office or operating > Order book volume on Xetra (12-month selection indices quickly
headquarter in Germany or average)
> Additional review on semiannual basis
> focus of trading volume on Xetra and > For DAX Index only, companies must show
positive EBITDA in 2 consecutive years to be according to Regular Exit and Regular
legal headquarter in EU or EFTA country
eligible (new since December 2020) Entry selection rules with more relaxed
> Timely publication of audited Annual thresholds in order to conduct a regular,
Financial Report, half-yearly Financial more profound review
Report and quarterly statements1)
> Existence of an audit committee according
to recommendations D.3 and C.10 of
DCGK and compliance of the committee
with D.9, D.10, D.112)
➔ Eligibility for Ranking ➔ Creation of ranking list ➔ Determination of index composition
* Chapter numbers refer to the „Guide to the DAX Equity Indices“, version 11.1.4 https://www.dax-indices.com/document/Resources/Guides/Guide%20to%20the%20DAX%20Equity%20Indices_V11.1.4.pdf
1) All requirements must be fulfilled by any company listed on the Regulated Market of FWB in order to be eligible for index membership. Details about the implementation with regard to newly listed companies are under review by the
Administrator's internal governance and will be made public as soon as possible.
2) https://www.dcgk.de//files/dcgk/usercontent/en/download/code/191216_German_Corporate_Governance_Code.pdf
3) 20-days VWAP: volume weighted average price over 20 days
5 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Q1 Die wesentlichen Unterschiede in den Anforderungen auf einen Blick
Anforderung Prime Standard Anforderung General Standard Anforderung Basic Criteria (DAX)
Jahresbericht > Den Jahresfinanzbericht nach den > Den Jahresfinanzbericht nach den > Den Jahresfinanzbericht nach
Vorgaben des WpHG Vorgaben des WpHG den Vorgaben des WpHG
> auf Deutsch und Englisch > auf Deutsch oder Englisch > auf Deutsch oder Englisch
> für den Schluss eines jeden > für den Schluss eines jeden > 90 Tage nach dem Ende der
Geschäftsjahres erstellen und Geschäftsjahres erstellen und Berichtsperiode, spätestens
> spätestens vier Monate nach Ablauf > spätestens vier Monate nach nach 4 Monaten
eines jeden Geschäftsjahres Ablauf eines jeden > Veröffentlichung auf der
> über die Exchange Reporting System- Geschäftsjahres Webseite ausreichend
Schnittstelle an die
Börsengeschäftsführung übermitteln.
Halbjahresbericht > Den Halbjahresfinanzbericht nach den > Den Halbjahresfinanzbericht nach > Den Halbjahresfinanzbericht
Vorgaben des WpHG den Vorgaben des WpHG nach den Vorgaben des WpHG
> auf Deutsch und Englisch > auf Deutsch oder Englisch > auf Deutsch oder Englisch
> für die ersten sechs Monate eines > für die ersten sechs Monate eines > für die ersten sechs Monate
jeden Geschäftsjahres erstellen und jeden Geschäftsjahres erstellen eines jeden Geschäftsjahres
> spätestens drei Monate nach dem und erstellen und
Ende des jeweiligen Berichtszeitraums > spätestens drei Monate nach dem > 45 Tage nach Ende der
> über die Exchange Reporting System- Ende des jeweiligen Berichtsperiode, spätestens
Schnittstelle an die Berichtszeitraums nach drei Monate
Börsengeschäftsführung übermitteln. Berichtszeitraums
> Veröffentlichung auf der
Webseite ausreichend
6 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Q1
Die wesentlichen Änderungen in den Anforderungen auf einen Blick (cont´d)
Anforderung Prime Standard Anforderung General Standard Anforderung Basic Criteria (DAX)
Quartalsbericht > Die Quartalsmitteilung oder den Nicht gefordert > Die Quartalsmitteilung oder den
Quartalsfinanzbericht Quartalsfinanzbericht
> auf Deutsch und Englisch > auf Deutsch oder Englisch
> zum Stichtag des ersten und des > zum Stichtag des ersten und
dritten Quartals eines Geschäftsjahres des dritten Quartals eines
erstellen und Geschäftsjahres erstellen und
> spätestens zwei Monate nach dem > 45 Tage nach dem Ende der
Ende des jeweiligen Berichtsperiode, spätestens
Mitteilungszeitraums nach 75 Tagen
> über die Exchange Reporting System- > Veröffentlichung auf der
Schnittstelle an die Webseite ausreichend
Börsengeschäftsführung übermitteln.
Prüfungsausschuss Nicht gefordert Nicht gefordert > Gefordert gemäß
Empfehlungen des DCGK:
> Durch Entsprechung des
gesamten Codex oder den
Empfehlungen in D.3, C.10,
D.9, D.10, D.11
> Grandfathering für
Indexmitglieder bis August
2022 auch bei Wechsel
innerhalb der Auswahlindizes
7 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Q1
Grundkriterien (cont´d)
Insolvency – Rule 5.1.1* Breach of basic criteria- Rule 5.1.2* Free Float – Rule 5.1.4*
> “If an Insolvency Event occurred in > A company not fulfilling the basic criteria > If the free float factor of a company
relation to a Constituent, the securities of any longer is removed and replaced with included in a selection index changes by
the Constituent shall be deleted from the two trading days notice. In that case, the more than 10 percentage points during
index based on the traded stock price on leaving company is treated as a Fast the period between two regular chaining
its primary market, if available; if the last Exit and a replacement is determined dates due to a corporate action (e.g.
price is not available, the Constituent will according to the ranks defined for the subscription right or changes in share
be deleted at market close in local successor in section 4.1.1.1. capital), the free float factor will be
currency of 0.001.” > If a company does not publish the updated extraordinarily.
> “The Constituent shall be extraordinarily required financial information within the
replaced in the Indices. Such replacement period defined in section 4.1.1.1, the
shall be announced at 22:00 CET on the name of the company is publicly
day STOXX became aware of the disclosed on qontigo.com
Insolvency Event based on publicly > A breach of compliance with the
available information. The change shall be requirement regarding the Audit
implemented two (2) trading days after the Committee leads to the removal of the
calendar day of the announcement by respective company at next index review
STOXX and shall become effective the
next trading day after implementation.”
* Chapter numbers refer to the „Guide to the DAX Equity Indices“, version 11.1.4 https://www.dax-indices.com/document/Resources/Guides/Guide%20to%20the%20DAX%20Equity%20Indices_V11.1.4.pdf
8 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Q1
Überprüfungssequenz
Alternate candidate rank FF-
DAX® Candidate rank FF-Mcap/OBV Mar. Jun. Sep. Dec.
Mcap/OBV
Fast Exit 45/45 35/35; 35/40; 35/45 X X X X
Fast Entry 25/25 35/35 X X X X
Regular Exit 40/40 35/35 X X
Regular Entry 30/30 35/35 X X
MDAX®
Fast Exit 105/105 95/95; 95/100; 95/105 X X X X
Fast Entry 85/85 95/95 X X X X
Regular Exit 100/100 95/95 X X
Regular Entry 90/90 95/95 X X
SDAX®
Fast Exit 175/175 165/165; 165/170; 165/175 X X X X
Fast Entry 155/155 165/165 X X X X
Regular Exit 170/170 165/165 X X
Regular Entry 160/160 165/165 X X
TecDAX®
Fast Exit 45/45 35/35; 35/40; 35/45 X X X X
Fast Entry 25/25 35/35 X X X X
Regular Exit 40/40 35/35 X X
Regular Entry 30/30 35/35 X X
9 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Q3
Komponentenanzahl
10 40 DAX
50 MDAX TecDAX 30
70 SDAX
Weitere gelistete Unternehmen
Regulierter Markt
SCALE
10 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Q3
Auswahlmethode und Mindestliquidität
1. Basis criteria (4.1.1.1*) 2. Ranking list (4.1.1.2*) 3. Selection rules (4.1.1.3*) …
> […] > All companies fulfilling the basic criteria > The four selection rules Fast Exit, Fast > Weighting
> Minimum Liquidity on FWB®: are ranked on a monthly basis in a Entry, Regular Exit, Regular Entry are > Capping
ranking list applied to the ranking list to determine the
> Initial eligibility: minimum trading > …
> For DAX Index only, companies must index composition
volume over the last 12-months of 1 bn
EUR at FWB or show a turnover rate of show positive EBITDA in 2 > Each of the four indices is reviewed on a
20% consecutive years to be eligible quarterly basis according to Fast Exit and
> Ranking occurs with respect to Free -float Fast Entry rules
> Continued eligibility: a minimum trading
volume over the last 12-months of at market capitalization (number of shares x > Additionally, the Regular Exit and Regular
least 0.8 bn EUR or show a turnover free-float x 20-day VWAP1)) Entry rules apply to the indices
rate of 10% semiannually
> Foreign companies must have: > Selection rules are adapted, such that
selection is based on free-float market
> the legal headquarter in EU or EFTA cap only
country, or
> Thresholds given in the Selection rules
> an operating headquarter in Germany are adapted to the new number of
components in DAX and MDAX
Eligibility for Ranking Creation of ranking list Determination of index composition
* Chapter numbers refer to the „Guide to the DAX Equity Indices“, in its current version 11.1.4 https://www.dax-
indices.com/document/Resources/Guides/Guide%20to%20the%20DAX%20Equity%20Indices_V11.1.4.pdf , Rulebook will be adjusted 3 months before the change becomes effective, i.e. end of May 2021 to
reflect the changes described above
1) 20-days VWAP: volume weighted average price over 20 days
11 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Q3
Auswahlmethode und Mindestliquidität (cont´d)
Alternate candidate rank FF-
DAX® Candidate rank FF-Mcap Mar. Jun. Sep. Dec.
Mcap
Fast Exit 60 47 X X X X
Fast Entry 33 47 X X X X
Regular Exit 53 47 X X
Regular Entry 40 47 X X
MDAX®
Fast Exit 110 97 X X X X
Fast Entry 83 97 X X X X
Regular Exit 103 97 X X
Regular Entry 90 97 X X
SDAX®
Fast Exit 180 167 X X X X
Fast Entry 153 167 X X X X
Regular Exit 173 167 X X
Regular Entry 160 167 X X
TecDAX®
Fast Exit 45 35 X X X X
Fast Entry 25 35 X X X X
Regular Exit 40 35 X X
Regular Entry 30 35 X X
12 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Komponentenauswahl derzeit 13 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.
Aktuelle Auswahl Index Komponenten am Beispiel DAX – Auswahl nach
Marktkapitalisierung und Turnover
Fast Exit (45/45): A company is replaced if it ranks worse than 45 in one of the two criteria. The
replacing company must rank 35 or better in both criteria. The requirements may be relaxed in
1 order to find a replacement1).
Quarterly Fast Entry (25/25): A company enters the index if it ranks 25 or better in both criteria. The
(March, June,
September, December)
company with the lowest free-float capitalization and ranked 35 or worse in one of the two criteria
2 is removed2).
Regular Exit (40/40): A company is replaced if it ranks worse than 40 in one of the two criteria. The
replacing company must rank 35 or better in both criteria. In case no successor can be determined,
3 no change takes place.
Annually
(September) Regular Entry (30/30): A company enters the index if ranks 30 or better in both criteria. The
company with the lowest free-float capitalization and ranked 35 or worse in one of the two criteria
4 is removed. In case no successor can be determined, no change takes place.
1) If there are no companies that meet these conditions, the successor is determined by relaxing the order book volume criterion twice gradually, each time by five ranks. If there is still no company that
meets the criteria, the company with a free-float market capitalization rank of 35 or better and the highest 12-month turnover is determined as the successor.
2) If there are no companies in the selection index that meet these criteria, the company with the lowest free float market capitalisation is removed.
14 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Komponentenauswahl Neu Ab September 2021 15 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.
Auswahl Index Komponenten ab September 2021 am Beispiel DAX - Auswahl nur
nach Marktkapitalisierung
Fast Exit (60): A company is replaced if it ranks worse than 60 in free-float Market Cap rank. The
replacing company must rank 47 or better.
1
Quarterly Fast Entry (33): A company enters the index if it ranks 33 or better. The company with the lowest
(March, June,
September, December)
free-float capitalization ranked 47 or worse is removed.
2
Regular Exit (53): A company is replaced if it ranks worse than 53. The replacing company must
rank 47 or better. In case no successor can be determined, no change takes place.
3
semiannually
(March, September) Regular Entry (40): A company enters the index if it ranks 40 or better. The company with the
lowest free-float capitalization ranked 47 or worse is removed. In case no successor can be
4 determined, no change takes place.
16 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.17 | Confidential – Not for Redistribution – Copyright © 2019 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.
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