Janus SG Market Consensus Index - Index Rules FINAL · The Janus SG Market Consensus Index (USD – Modified E xcess Return) (the “ Index ”) is a modified excess return index
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Janus SG Market Consensus Index (USD – Modified Excess Return )
1 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
Janus SG Market Consensus Index (USD – Modified Excess Return)
Index Rules Dated as of May 16, 2017
Janus SG Market Consensus Index (USD – Modified Excess Return )
2 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
Index Rules Summary 1.1 Index Description The Janus SG Market Consensus Index (USD – Modified Excess Return) (the “Index ”) is a modified
excess return index following a systematic strategy that is designed to provide synthetic exposure to the performance of the Janus Market Consensus Index (the “JMC Index ”) with a rules-based volatility
control mechanism that aims to control the volatility of the Index to near a pre-defined target level of
20%. The total return aspect of the Index is modified by a capping mechanism applied to the monthly performance of the Sub-index (defined below). The cap is set at 4.00%.
Specifically, the Index employs a systematic, algorithmic and rules-based volatility targeting strategy (the “Sub-index ”) using historical volatility of the Index and of the JMC Index as a measure of risk, and
intended to keep the risk level of the Index, as measured by historical volatility, close to the pre-defined
target level of 20%. The Index is subject to a 4.00% capped mechanism applied to the monthly performance of the Sub-index. The Index is calculated and published by Solactive AG (the “Index Calculation Agent ”) and is sponsored by Société Générale (the “Index Sponsor ”).
Main Characteristics
Bloomberg ticker: SGMDJMCI <Index>
Type of Return: Modified Excess Return
Calculation Frequency: Daily
Publication Time: Real time
Index Launch Date: May 16, 2017
Currency: USD
Fees and Costs: As specified under the “Index Fees and Costs” section below
Index Asset Class: Equity
Index Components: LIBOR Rate; JMC Index
1.2 Mechanism 1.2.1 Index Composition The Index is composed of the JMC Index. The Index includes a volatility control mechanism, whereby
the Index’s synthetic exposure to the JMC Index varies on a daily basis in accordance with input parameters described under 1.2.2 below and determined pursuant to Section 3. 1.2.2 Daily “Vol Target” Mechanism The Index is constructed pursuant to a daily volatility target process where the deemed exposure of the Index to the JMC Index (the “Exposure ”) is based on a formula using the following input parameters:
(i) the short term historical volatility of the JMC Index (determined pursuant to Section 3.3); (ii) a target volatility of 20%;
(iii) the historical volatility of the Index itself (determined pursuant to Section 3.4); and (iv) the Volatility Adjustment Factor, between 50% and 200% (determined pursuant to Section 3.5)
so that, in most cases:
Janus SG Market Consensus Index (USD – Modified Excess Return )
3 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
- when the volatility of the JMC Index exceeds 20%, the Exposure will generally be less than 100% (subject to a minimum Exposure of 0%), unless the Volatility Adjustment Factor is greater than the ratio
between (i) short term historical volatility of the JMC Index and (ii) 20%. - when the volatility of the JMC Index falls below 20%, the Exposure will generally be greater than 100% (subject to a maximum leveraged Exposure of 400%), unless the Volatility Adjustment Factor is lower
than the ratio between (i) short term historical volatility of the JMC Index and (ii) 20%. The monthly performance of the Index is determined pursuant to a capping mechanism applied to the
monthly performance of the Sub-index. The cap is set at 4.00%. 1.2.3 Composition and Monthly Review of the JMC Ind ex The following is a summary of the JMC Index and is not intended to fully describe the JMC Index. For a full description, see the JMC Index rules attached hereto as Annex A.
The JMC Index tracks a performance of a hypothetical basket of United States companies that are constituents of the Solactive US Large Cap Index. The stocks are selected pursuant to a systematic model that looks at their historical realized volatilities and target prices according to a consensus of
market analysts. On a quarterly basis, the JMC Index reconstitutes its underlying constituents determines the appropriate constituent weights for the succeeding quarter. On a monthly basis, the JMC Index reweights itself so that each constituent has the weighting determined at the immediately
preceding quarterly reconstitution. 1.3 Index Fees and Costs The Index is calculated net of the following fees and costs: Maintenance Fee, “MF” 0.50%. This fee is expressed in percentage of the JMC Index
Closing Level (as defined herein), and reflects the Index Sponsor’s compensation for structuring and maintaining the
Index. 1.6 Information available on the SGI website The Index levels, further Index data and important disclaimers relating to the Index are available on the
SGI website at the following address: https://janussg-mc.com.
Janus SG Market Consensus Index (USD – Modified Excess Return )
4 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
IMPORTANT:
The Index seeks to track the synthetic exposure to the JMC Index; however, the Index does not actually invest in or hold the JMC Index o r any other instruments or securities that are constituents of the JMC Index. An investo r in any product linked to the performance (if any) of the Index will have no righ ts whatsoever to the JMC Index or any other instruments or securities underlying the Index or that are constituents of the JMC Index. The Index is a statistical measure of th e performance of a systematic model that aims to deliver a performance potentially equi valent to the JMC Index while seeking to maintain the volatility of the Index clo se to a pre-defined target level; it is not an investment fund, pool or any other investmen t vehicle.
The strategy tracked by the Index is not guaranteed to be successful.
Janus SG Market Consensus Index (USD – Modified Excess Return )
5 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
2 Index Rules: 2.1 Terms and definitions relating to Dates: ACT(t-1,t) means the number of calendar days between Calculation Date (t-1)
(included) and Calculation Date (t) (excluded).
Calculation Date means any Scheduled Calculation Date on which no Index Disruption
Event exists.
Closing Valuation Time means 5:00 p.m. (New York time).
N(t-1,t) means the number of Calculation Dates between the Calculation Date
(t-1) included and the Calculation Date (t) (excluded).
Rebalancing Date means the last Calculation Date of any calendar month or, if such
date is subject to an Index Disruption Event, the second following
Calculation Date on which no Index Disruption Event exists.
Scheduled Calculation Date means any day on which the JMC Index is scheduled to be published.
Valuation Time means, in respect of a Scheduled Calculation Date, any time during a
regular trading session in New York. 2.2 Terms and definitions relating to the Index: Index
Janus SG Market Consensus Index (USD – Modified Excess Return) (Bloomberg Ticker: SGMDJMCI).
Index Base Date, “t B”
March 10, 2003
Index Calculation Agent Solactive AG
Index Closing Level, “IL(t)”
means, in respect of any Calculation Date (t), the level of the Index calculated and published by the Index Calculation Agent on such date
at the Closing Valuation Time, pursuant to the Index Rules set out in Section 3.1.
Index Component means the JMC Index and the LIBOR Rate
Index Currency US Dollar (“USD”)
Index Disruption Event “Index Disruption Event ” means the occurrence of existence of (i) a
LIBOR Rate Disruption Event and/or (ii) a JMC Index Disruption Event
and which, in each case, the Index Calculation Agent, after instruction from the Index Sponsor, determines is material.
Index Extraordinary Event means (i) a LIBOR Rate Extraordinary Event, (ii) a JMC Index Extraordinary Event and/or (iii) an Index Calculation Agent Extraordinary Event, which, in any case, the Index Calculation Agent,
after instruction from the Index Sponsor, determines is material.
Janus SG Market Consensus Index (USD – Modified Excess Return )
6 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
Index Launch Date, “t 0”
May 16, 2017
Index Level, “IL(t,v)”
means, in respect of any Calculation Date (t), the level of the Index calculated and published by the Index Calculation Agent on such date at the Valuation Time (v), pursuant to the Index Rules set out in
Section 3.1.
Index Sponsor
Société Générale (“SG”).
Maintenance Fee, “MF” 0.50%. This fee is expressed in percentage of the JMC Index Level, and reflects the Index Sponsor’s compensation for structuring and
maintaining the Index.
Sub-index
means the sub-index, determined pursuant to the volatility target
mechanism and published on each Calculation Date on Bloomberg page: IND1JMCI <Index>.
Sub-index Closing Level, “SIL(t)”
means the closing level of the Sub-index calculated in accordance with Section 3.2.
Sub-index Level, “SIL(t,v)” means the level of the Sub-index calculated on Calculation Date (t) and Valuation Time (v) in accordance with Section 3.2.
JMC Index
means the Janus Market Consensus Index (Bloomberg Ticker: SGIXJMCB <Index>), calculated and published by the JMC Index Calculation Agent.
JMC Index Calculation Agent
Solactive AG
JMC Index Closing Level, “UIL(t)”
means, in respect of Calculation Date (t), the official closing price of the JMC Index as displayed on the SGIXJMCB Index Bloomberg page.
JMC Index Level, “UIL(t,v)”
means, in respect of Calculation Date (t), the level of the JMC Index calculated and published by the JMC Index Calculation Agent on the
SGIXJMCB Index Bloomberg page.
2.3 Terms and definitions relating to the Vol Target Mechanism: Exposure, “E(t)” means, in respect of any Calculation Date (t), the exposure of the
Index to the JMC Index determined pursuant to Section 3.6.
Historical Volatility, “HV(t)” means, in respect of a Calculation Date (t), the annualized historical
volatility of the JMC Index over the preceding 20 Calculation Dates, determined by the Index Calculation Agent pursuant to Section 3.3.
Index Historical Volatility, “IHV(t)”
means, in respect of any Calculation Date (t), the annualized historical volatility of the Sub-index, determined since the Index Launch Date and by the Index Calculation Agent pursuant to Section 3.4.
Index Volatility Maturity Date, means, in respect of any Calculation Date (t), the 10th Calculation
Janus SG Market Consensus Index (USD – Modified Excess Return )
7 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
“t M” Date following such Calculation Date.
Index Volatility Strike Date , “tS”
means, in respect of any Calculation Date (t), the 10th Calculation Date preceding such Calculation Date (t).
Target Volatility, “TV” 20%.
Volatility Adjustment Factor “VAF(t)”
means, in respect of any Calculation Date (t), the volatility adjustment
factor based on the Index Historical Volatility and determined by the Index Calculation Agent in accordance with the formula specified in Section 3.5.
2.4 Terms and definitions relating to the LIBOR Rat e LIBOR Rate, “LR(t)”
means, in respect of Calculation Date (t), the LIBOR 3-Month rate displayed on Bloomberg page US0003M <Index> dated as of such date or the latest rate available if no LIBOR 3-Month rate is dated as
of such date.
Janus SG Market Consensus Index (USD – Modified Excess Return )
8 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
3.1 Determination of the Index Level “IL(t,v)” and Index Closing Level “IL(t)”: The Index Level and Index Closing Level are, in respect of Calculation Date (t), calculated by the Index Calculation Agent at, respectively, the Valuation Time and the Closing Valuation Time, subject to the occurrence or existence of an Index Disruption Event or an Index Extraordinary Event, according to the
following formula: IL(t,v) = Max(0 ; IL(tR) x [1 + MIN(4.00%; SIL(t,v) / SIL(tR) – 1)]) and, IL(t) = Max(0 ; IL(tR) x [1 + MIN(4.00%; SIL(t) / SIL(tR) – 1)]) Where,
IL(tB) = 100 “tR” means the previous Rebalancing Date (t > tR)
3.2 Determination of the Sub-index Level “SIL(t,v)” a nd Sub-index Closing Level “SIL(t)”: The Sub-index Level and Sub-index Closing Level are, in respect of Calculation Date (t), calculated by the Index Calculation Agent at, respectively, the Valuation Time and the Closing Valuation Time, according to the following formula:
SIL(t,v) = SIL(t-1) x [1 + E(t-1) x (UIL(t,v) / UIL(t-1) – [LR(t-1) + MF] x ACT(t-1,t) / 360 – 1)]
and, SIL(t) = SIL(t-1) x [1 + E(t-1) x (UIL(t) / UIL(t-1) – [LR(t-1) + MF] x ACT(t-1,t) / 360 – 1)] Where,
SIL(tB) = 100 3.3 Determination of the JMC Index Historical Volati lity “HV(t)”: The Historical Volatility of the JMC Index is, in respect of Calculation Date (t), determined by the Index Calculation Agent in accordance with the following formula:
( )( )
( )∑
=
−−−×−−−−−
−××=19
0
2
360
,1)1(
1ln252
19
1)(
k
ktktActktLR
ktUIL
ktUILtHV
Where,
“ln” means the logarithm to the base e. 3.4 Determination of the Sub-index Historical Volatil ity “IHV(t)”: The Index Historical Volatility is, in respect of Calculation Date (t), determined by the Index Calculation
Agent in accordance with the following formula:
Janus SG Market Consensus Index (USD – Modified Excess Return )
9 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
IHV(t) = ( )
( )∑−
=
−−−××
−
1),(
0
2
1ln252
1),(
1 ttN
ks
s
ktSIL
ktSIL
ttN
Where,
“ln” means the logarithm to the base e. 3.5 Determination of the Volatility Adjustment Facto r “VAF(t)”: The Volatility Adjustment Factor is, in respect of Calculation Date (t), determined by the Index
Calculation Agent in accordance with the following formula:
a) For any Calculation Date (t>tB+10):
VAF(t) = Min(2 ; Max(0.5 ; SQRT[Max((1 / N(t,tM)) x [N(tS,tM) – N(tS,t) x (IHV(t)/0.17)2],0)])) Where,
“SQRT” means the square root operator;
“TV” means the Target Volatility; “IHV(t)” means the Sub-index Historical Volatility for Calculation Date (t);
b) For any Calculation Date on or before the 10th Calculation Date following the Index Base Date (t ≤ tB + 10), or on the VAF Strike Date (included) (tS = t):
VAF(t)=1
3.6 Determination of the Exposure “E(t)”: The Exposure is, in respect of Calculation Date (t), determined as follows:
E(t) = E(t-1) + Min(50% ; Max(-50% ; TE(t) – E(t-1))) Where,
TE(t) = Min(TV / HV(t-1) x VAF(t-1) ; 400%) “TV” means the Target Volatility;
“HV(t)” means, in respect of Calculation Date (t), the Historical Volatility on such date; and “VAF(t)” means, in respect of Calculation Date (t), the Volatility Adjustment Factor on such date; 3.7 Rounding Rules: The rounding policy is defined as follows:
- Exposure: 2 decimal places in percentage terms; - Historical Volatility, Index Historical Volatility: 2 decimal places in percentage terms; - Index Level: 4 decimal places.
Janus SG Market Consensus Index (USD – Modified Excess Return )
10 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
4. Index Disruption Events 4.1 Index Disruption Remedies (A) If an Index Disruption Event occurs on a Scheduled Calculation Date (a “Disrupted Day ”), the
Index Calculation Agent, after instruction from the Index Sponsor, shall not calculate the Index Level on such Disrupted Day, and the next Calculation Date shall be the first succeeding Scheduled Calculation Date that is not a Disrupted Day for any Index Component as determined by the Index
Calculation Agent, after instruction from the Index Sponsor, unless each of the five Scheduled Calculation Dates immediately following the initial Disrupted Day is also a Disrupted Day for any Index Component, in which case:
(1) the fifth Scheduled Calculation Date following the initial Disrupted Day, and each Scheduled Calculation Date that is a Disrupted Day thereafter, shall be deemed to be a Calculation Date (each, a “Disrupted Calculation Date ”), notwithstanding the existence of an Index Disruption
Event on such date and only for the purpose of determining the Index Level; and
(2) on that fifth Scheduled Calculation Date and on each Disrupted Calculation Date thereafter, the Index Calculation Agent shall calculate the Index Level based on the following levels and prices: (a) in respect of each Index Component affected by the Index Disruption Event (an “Affected Index Component ”):
(i) where the LIBOR Rate is the Affected Index Component, the LIBOR Rate shall be the latest rate available and
(ii) where the JMC Index is the Affected Index Component, upon the instruction of the Index Sponsor:
(AA) if available, the level of the JMC Index determined by the JMC Index Calculation Agent, with reference to the index rules governing the JMC Index for determination of the JMC Index Closing Level in the circumstance of a
“disruption event” howsoever described in such rules; or
(BB) the level of the JMC Index last in effect prior to the occurrence of the
relevant JMC Index Disruption Event.
(b) in respect of each Index Component that is unaffected by the Index Disruption Event (an “Unaffected Index Component ”):
(i) where the LIBOR Rate is the Unaffected Index Component, the LIBOR Rate on the
relevant date(s) of determination as if no Index Disruption Event existed and (ii) where the JMC Index is the Unaffected Index Component, the JMC Index Closing
Level on the relevant date(s) of determination as if no Index Disruption Event existed.
(B) Notwithstanding the foregoing, if an Index Disruption Event has been continuing on each
Scheduled Calculation Date from the first Disrupted Calculation Date to but no later than the twentieth Scheduled Calculation Date following the initial Disrupted Day, the Index Sponsor shall permanently cancel the Index on such twentieth Scheduled Calculation Date, provided,
however, that the Index Sponsor may decide at any time during such period that one of the
Janus SG Market Consensus Index (USD – Modified Excess Return )
11 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
following Index Disruption Remedies constitutes a suitable remedy for such Index Disruption Event:
(1) adjust any relevant terms of the Index Rules in a manner that preserves the economic characteristics of the Index; or
(2) continue the determination of the Index Level pursuant to section 4.1(2) for another maximum period of twenty Scheduled Calculation Dates (a “Disruption Period Extension ”),
provided that after such period (rather than permanently cancelling the Index at such time) the Index Sponsor may decide again between the Index Disruption Remedies set out in (1) above and a renewal of the Disruption Period Extension, subject to a maximum of three such
extensions, including the first one. 4.2 JMC Index Disruption Event
If an JMC Index Disruption Event occurs, the Index Disruption Event Remedies set out in section 3.1 above shall apply.
“JMC Index Disruption Event ” means the non-publication of the level of such JMC Index, or the
occurrence of a “disruption event” (howsoever defined in the index rules applicable to such JMC Index)
as determined by Société Générale in its capacity as sponsor or by the JMC Index Calculation Agent of such JMC Index.
4.3 LIBOR Rate Disruption Event
If a LIBOR Rate Disruption Event occurs, the Index Disruption Event Remedies set out in section 3.1
above shall apply. “LIBOR Rate Disruption Event ” means the non-publication of the level of the LIBOR Rate.
5. Index Extraordinary Event 5.1 Extraordinary Event Remedies If an Index Extraordinary Event occurs on a Scheduled Calculation Date (an “Extraordinary Event Day”), the Index Calculation Agent, after instruction from the Index Sponsor, may suspend the
calculation of the Index Level on such Extraordinary Event Day, in which case the next Calculation Date (if any) shall be the first succeeding Scheduled Calculation Date on which the Index Extraordinary Event
has been remedied in accordance with the following sentence. As soon as possible but no later than the twentieth Scheduled Calculation Date following the initial Extraordinary Event Day, the Index Sponsor shall decide to (i) permanently cancel the Index on such twentieth Scheduled Calculation Date
or (ii) provided the Index Sponsor determines that a remedy described under items (1) or (2) below (an “Extraordinary Event Remedy ”) constitutes a suitable remedy for such Index Extraordinary Event,
apply such remedy:
(1) adjust any relevant terms of the Index Rules (including, without limitation, a reduction of the
weight of or a full removal of the relevant Index Component(s)) in a manner that preserves the
economic characteristics of the Index; or (2) replace the relevant Index Component with a new component or data with similar
characteristics.
Janus SG Market Consensus Index (USD – Modified Excess Return )
12 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
5.2 LIBOR Rate Extraordinary Event “LIBOR Rate Extraordinary Event ” means, in respect of the LIBOR Rate, the occurrence of any of the
following events: A. a “Change of LIBOR Rate Publisher ” means that the LIBOR Rate is not calculated and/or
announced by the publisher of the LIBOR Rate under the same conditions as those prevailing as of the Index Launch Date (such changed conditions including, without limitation, any
material increase in fees and costs for access and use of the LIBOR Rate).
B. a “Change of LIBOR Rate ” means that the LIBOR Rate is replaced by a successor rate that is
not acceptable to the Index Calculation Agent, after instruction from the Index Sponsor.
C. a “Modification to LIBOR Rate ” means that the publisher of the LIBOR Rate announces that it
will make a material change in the formula for or the method of calculating the LIBOR Rate or in any other way materially modifies the LIBOR Rate (other than a modification prescribed in that formula or method to maintain the LIBOR Rate).
D. a “Cancellation of LIBOR Rate ” means that the publisher of the LIBOR Rate announces that it
will permanently cancel the LIBOR Rate.
E. a “LIBOR Rate Access Failure ” means that (i) access by the Index Calculation Agent and/or
the Index Sponsor to the LIBOR Rate has become impracticable or impossible due to, among
other things, technical incompatibilities or the cancellation of the relevant feed by the data provider and (ii) such access cannot be restored or replaced without significant cost or delay, as determined by the Index Calculation Agent after instruction from the Index Sponsor.
5.3 JMC Index Extraordinary Event
“JMC Index Extraordinary Event ” means any suspension of the calculation of the JMC Index Closing
Level, following the occurrence of an “extraordinary event” (howsoever such term is defined in the index rules governing the JMC Index), or an “extraordinary event” is otherwise determined to be existing by
the JMC Index Calculation Agent or by Société Générale in its capacity as sponsor of the JMC Index.
5.4 Index Calculation Agent Extraordinary Event
“Index Calculation Agent Extraordinary Event ” means, in respect of the Index, that (i) the Index
Calculation Agent, in the commercially reasonable discretion of the Index Sponsor exercised in good
faith, can no longer perform its functions with respect to the Index and/or (ii) the agreement between the Index Sponsor and the Index Calculation Agent governing the Index Calculation Agent’s obligations and duties in relation to the Index is terminated (or any license or other provision thereunder material to the
maintenance of the Index is terminated) for any reason whatsoever, and, in each case in the reasonable discretion of the Index Sponsor, an adequate replacement of such Index Calculation Agent for purposes of the Index is not legally or commercially practicable.
Janus SG Market Consensus Index (USD – Modified Excess Return )
13 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
Société Générale The Janus SG Market Consensus Index (USD – Modified Excess Return) (the “Index ”) has been
developed by, and is proprietary to, Société Générale (“SG”) and no third party shall have any proprietary
interest therein except as may be expressly granted by SG. Solactive AG acknowledges that the ownership and all intellectual property rights in respect of the name of the Index (and index rules such as,
but not limited to, calculation methods) are and shall remain the exclusive property of SG. The Janus Market Consensus Index is the exclusive property of Janus Index & Calculation Services. All
Janus names, logos and website “www.janus.com” are service marks of Janus International Holding LLC and have been licensed for use by Société Générale. SG DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF TH E INDEX OR ANY DATA INCLUDED THEREIN AND SHALL HAVE NO LIABILITY FOR ANY ERROR OR OMISSION THEREIN AND/OR ANY INTERRUPTION IN THE CALCULATION AND/OR DISSEMINATION THEREOF. SG MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN. SG MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPR ESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THER EIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL SG HAVE AN Y LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES OR LOST PROFITS, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
Janus SG Market Consensus Index (USD – Modified Excess Return )
14 Société Générale has contracted with Solactive AG to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance, either with regard to the results of using the Index and/or Index trademark or the Index Level at any time or in any other respect.
ANNEX A
Janus Market Consensus Index Rulebook
Janus Market Consensus Index (USD – Gross Total Return)
1
Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
Janus Market Consensus Index (USD – Gross Total Return)
Index Rules Dated as of 16 May 2017
Janus Market Consensus Index (USD – Gross Total Return)
2
Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
Index Rules Summary
1.1 Index Description
The Janus Market Consensus Index (USD – Gross Total Return) (the “Index”) is designed to track the
performance of a basket of US stocks selected from the Solactive US Large Cap Index (the “Reference
Index”). The stocks are selected based on their historical realized volatility and their target price according
to a market consensus of analysts. The Index is rules-based and follows a systematic methodology
summarized below and fully described in this rulebook and the Solactive Index Calculation Guideline
available at https://www.solactive.com/ (the “Solactive Guidelines”).
The Index is calculated and published by Solactive AG (“Solactive”) and is sponsored by Société
Générale.
Main Characteristics
Bloomberg ticker: SGIXJMCB Index
Type of Return: Gross Total Return
Calculation Frequency: Daily
Publication Time: Real time
Index Launch Date: May 16, 2017
Index Currency: USD
Fees and Costs: None
Index Asset Class: Equity
Index Components: Equity; Index Data
1.2 Mechanism
The following is a summary of the Index mechanics and should be read in conjunction with the full
methodology in Section 3 of this rulebook.
1.2.1 Index Composition
At the Index’s inception (January 8, 2003), the Index was composed of a hypothetical basket of the 250
stocks included in the Reference Index with the lowest 3-month realized volatility as measured by daily
standard deviation. The Index is reconstituted on a quarterly basis each March, June, September and
December (each such date, a “Reconstitution Date”) by including all stocks that were Index constituents
in the prior quarter and whose 3-month volatility remains among the 300 Reference Index constituents
with the lowest volatilities. If this yields less than 250 stocks, the additional stocks necessary to reach 250
Index constituents will be selected from those Reference Index constituents with the lowest 3-month
volatility that are not yet included in the Index.
1.2.2 Index Weighting
The stocks are weighted according to a systematic methodology (the “Market Consensus
Methodology”), developed by Janus Index & Calculation Services. The Market Consensus Methodology
assigns a score to each stock according to a risk-reward metric based on available average analyst
estimates for 12-month price targets. The score for each stock is computed by looking at the average
analyst price target, the stock’s closing price and the regular dividends paid over the preceding twelve
months.
Janus Market Consensus Index (USD – Gross Total Return)
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Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
On the last Index calculation date of each month, the weighting of the stocks in the Index for the following
month is determined according to the Market Consensus Methodology (each such date, a “Review Date”).
Reconstitution Dates also serve as Review Dates for March, June, September and December. The
reweighting is implemented on the fifth Index calculation date of each month.
1.3 Solactive Guidelines
The Solactive Guidelines govern the calculation of the Index level on each day that the Index is calculated,
using the Standard formula set forth in the Solactive Guidelines. The Solactive Guidelines also govern
any adjustments to the Index calculation due to distributions or corporate events affecting any of the stocks
in the Index. If any distributions are paid in a currency other than U.S. dollars, Solactive will convert such
distributions pursuant to the Solactive Guidelines. Corporate actions include, but are not limited to, share
splits, capital increases, spin-offs and mergers.
The Solactive Guidelines are maintained by Solactive and are subject to change as Solactive deems
necessary. The Solactive Guidelines are maintained independently of Société Générale and Société
Générale has no control over Solactive or the Solactive Guidelines and any changes made thereto will be
made with at the discretion of Solactive and without reference to Société Générale or the Index.
1.4 Information available on the SGI website
The Index levels, further Index data and important disclaimers relating to the Index are available on the
SGI website at the following address: https://janussg-mc.com. IMPORTANT:
The Index seeks to replicate the performance of hypothetical long positions in the Basket
Components; however, the Index does not actually invest in or hold any securities or other
instruments included in the Index. An investor in any product linked to the performance (if any)
of the Index will have no rights whatsoever to any Basket Components or any other instruments
or securities underlying the Index or the Basket Components. The Index is a statistical measure
of the performance of a systematic model that aims to generate a performance potentially
equivalent to the Basket Components; it is not an investment fund, pool or any other investment
vehicle.
The investment strategy tracked by the Index is not guaranteed to be successful.
Janus Market Consensus Index (USD – Gross Total Return)
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Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
2 Index Rules:
2.1 Terms and definitions relating to Dates:
Calculation Date means a Scheduled Calculation Date on which no Index Disruption
Event exists.
Rebalancing Date, “(tR)” means the 5th Calculation Date of each month; provided, however, that
if such date is a Basket Component Disrupted Day, the rebalancing
scheduled for such date will be postponed until the first Calculation
Date which is not a Basket Component Disrupted Day.
Reconstitution Date means the Review Dates of March, June, September and December.
Review Date, “(tRW)” means the last Calculation Date of each month. The first Review Date
was the last Calculation Date of December 2002.
Scheduled Calculation Date
each weekday on which the New York Stock Exchange is open for
trading.
Valuation Time means, in respect of a Scheduled Calculation Date, any time during a
regular trading session in New York
2.2 Terms and definitions relating to the Index:
Closing Price,
“P(i, tRW)”
means, in respect of a Review Date (tRW) and a Basket Component (i),
the official closing price of such Basket Component at the Scheduled
Closing Time on the Exchange.
Index Calculation Agent Solactive AG
Index Currency U.S. dollar (“USD”)
Index Disruption Event means the occurrence of existence of (i) a Basket Component
Disruption Event, (ii) a Reference Index Disruption Event or (iii) an
Index Data Disruption Event, and which, in each case, the Index
Calculation Agent, after instruction from the Index Sponsor, determines
is material.
Index Extraordinary Event means (i) a Reference Index Extraordinary Event, (ii) a Basket
Component Extraordinary Event, (iii) a Market Consensus Model
Licensor Extraordinary Event, (iv) an SG Group Policy Extraordinary
Event, (v) an Index Data Extraordinary Event or (vi) an Index
Calculation Extraordinary Event, which, in any case, the Index
Calculation Agent, after instruction from the Index Sponsor, determines
is material.
Index Launch Date, “t0”
May 16, 2017
Index Level, “IL(t)”
means, in respect of any Calculation Date (t), the level of the Index as
calculated by the Index Calculation Agent, pursuant to the Solactive
Guidelines, on such date at the Valuation Time.
Janus Market Consensus Index (USD – Gross Total Return)
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Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
Index Sponsor
Société Générale (“SG”)
Initial Index Level, “IL(t0)”
1,000.000
Market Consensus Model
Licensor
Janus Index & Calculation Services
Reference Index
Solactive US Large Cap Index (Bloomberg Ticker: SOLUSLCP
<Index>).
Reference Index Sponsor
Solactive AG
Underlying Basket Size,
“N_stocks”
250
2.3 Terms and definitions relating to the Basket Components:
Basket Component
means, in respect of any day, any stock included in the Index on such
day.
Basket Component Turnover
means, in respect of a Reconstitution Date (tRW) and an Eligible Basket
Component (i), a 90-day average daily trading volume of at least USD
15 million multiplied by the Basket Component Turnover Adjustment
Factor.
Basket Component Turnover
Adjustment Factor
means the Index Level of the Reference Index as of the Calculation
Date immediately preceding the relevant Review Date divided by its
closing level on the Index Launch Date.
Effective Weight, “W(i,t)”
means, in respect of a Basket Component (i) and Calculation Date (t),
the weight (expressed in percentage) of such Basket Component in the
Index as effective on the Rebalancing Date (tR) preceding (but
excluding) such Calculation Date (t). The Effective Weight is
determined pursuant to Section 3.2.1 herein.
Eligible Basket Component means any constituent of the Reference Index eligible for inclusion in
the Index as specified in Section 3.1.1 herein.
Exchange means (i) in respect of a Basket Component, each exchange or
quotation system (if applicable) on which such Basket Component
trades and (ii) any successor exchange or quotation system or any
substitute exchange or quotation system to which such trading has
temporarily relocated.
Exchange Business Day means, in respect of each Basket Component observed separately, any
Scheduled Trading Day on which each relevant Exchange and Related
Exchange are open for trading during their respective regular trading
sessions, notwithstanding any such Exchange or Related Exchange
closing prior to its Scheduled Closing Time.
Janus Market Consensus Index (USD – Gross Total Return)
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Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
New Basket Component
In respect of a Reconstitution Date (tRW), any Eligible Basket
Component that is not a Basket Component on such Reconstitution
Date (tRW) and whose Basket Component Score satisfies Section 3.1.2.
Related Exchange means, in respect of a Basket Component, each exchange or quotation
system where trading has a material effect on the overall market for
futures and options contracts relating to such Basket Component and
any successor exchange or quotation system or any substitute
exchange or quotation system to which such trading has temporarily
relocated.
Scheduled Closing Time means, in respect of an Exchange or Related Exchange, the scheduled
weekday closing time of such Exchange or Related Exchange, without
regard to after hours or any other trading outside the hours of the
regular trading session.
Target Weight, “TW(i, tRW)”
means, in respect of a Basket Component (i) and Review Date (tRW),
the weight (expressed in percentage) of such Basket Component in the
Index determined pursuant to Section 3.2.1.
Tie Breaker means, in respect of Eligible Basket Components and Reconstitution
Date (tRW), the Eligible Basket Component(s) with the higher Closing
Price(s) as of such Reconstitution Date.
2.4 Terms and definitions relating to Index Data
Index Data means any data concerning a Basket Component reasonably required
(i) by the Index Calculation Agent for the calculation of the Index Level
and/or (ii) for the monitoring thereof by the Index Sponsor. For the
avoidance of doubt, all data provided by FactSet Research Systems
Inc. (“FactSet”) is Index Data. FactSet is not affiliated with the Index
Sponsor, the Index Calculation Agent or the Market Consensus Model
Licensor.
2.5 Rounding rules
The Index Level shall be published with a precision up to 3 decimal places.
Janus Market Consensus Index (USD – Gross Total Return)
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Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
3 Review of the Underlying Basket
3.1 Underlying Basket Composition
3.1.1. Eligible Basket Components
On each Review Date, an Eligible Basket Component includes any constituent of the Reference Index
that satisfies the Basket Component Turnover requirement (i.e., a 90-day average daily trading volume of
at least USD 15 million multiplied by the Basket Component Turnover Adjustment Factor).
3.1.2. New Basket Components
On each Reconstitution Date (t��), a Market Consensus Score shall be determined for each Eligible
Basket Component.
The Eligible Basket Components are ranked according to their 3-month realized volatility (the “Realized
Volatility Rank”).
The Eligible Basket Components that:
(i) have a Realized Volatility Rank among the 300 lowest Realized Volatility Rank, and
(ii) have an Effective Weight of greater than 0 as of such Reconstitution Date (i.e., such Eligible
Basket Component is already included in the Index),
shall be Basket Components.
In the event that the number of Basket Components (“N”) is less than the Underlying Basket Size (i.e.,
250), then the (250 – N) Eligible Basket Components (which are not already included in the Index) with
the lowest Realized Volatility Rank will be deemed to become New Basket Components.
The Realized Volatility Rank is determined in respect of an Eligible Basket Component (i) as of
Reconstitution Date (t��) according to the following formulas:
����, tRW) = 25262 × � ����, tRW − k) + ���, tRW − k − 1, tRW − k)���, tRW − k − 1) − 163 �� ���, tRW − s) + ���, tRW − s − 1, tRW − s)���, tRW − s − 1)62�=0 � 262
!=0
�"#$�%"& �($#)�$�)* �#+! = �#+!,����, tRW)-
“D(i,t’,t)” means, in respect of Basket Component (i), the official gross cash dividends (including special
cash distributions) per Share, expressed in US dollars, determined by the Index Calculation Agent for the
period between the Calculation Date (t’) (excluded) and the Calculation Date (t) (included) during which
the shares of such Basket Component trade ex-dividend.
“Rank” is, in respect of realized volatility, the ranking of such realized volatility across Eligible Basket
Components where such realized volatility is available. The lowest value of realized volatility gets a Rank
of 1. Ties are broken according to the Tie Breaker.
Relevant Data Sources are provided by FactSet. FactSet is not affiliated with the Index Sponsor, the
Index Calculation Agent or the Market Consensus Model Licensor.
3.1.2. Basket Composition
On each Rebalancing Date (t�), the Index shall be composed of Basket Components with respect to the
immediately preceding Reconstitution Date (t��).
Janus Market Consensus Index (USD – Gross Total Return)
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Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
3.2 Underlying Basket Allocation
3.2.1. Weight Determination
On each Review Date (t��) in respect of a Basket Component (i), the Target Weight and Effective Weight
are determined as follows.
Step 1:
A “Market Consensus Score”, “MCS” shall be determined for each Eligible Basket Component.
Each Market Consensus Score is computed as follows:
./0��, tRW) = .#1 20; 44�5��, tRW) − ���, tRW) + 12.�6���, tRW)���, tRW)����, tRW) 7
“AAPT(i,tRW)” means, in respect of Basket Component (i) and Review Date tRW, the Average Analyst
Price Target 12M for such Basket Component as of such Review Date, available through the FactSet
function FE_ESTIMATE.
“12MDIV(i,tRW)” means, in respect of Basket Component (i) and Review Date tRW, the 12-month trailing
dividend per share for such Basket Component as of such Review Date. For the avoidance of doubt,
special dividends are excluded.
AAPT and 12MDIV are provided by FactSet.
Step 2:
If the Basket Component (i) is a Basket Component with respect to the relevant Reconstitution Date:
TW�i, t��) = ./0��, t��)∑ ./0��, t��);_=>?@A=�>BC)DEF
Otherwise TW�i, t��) = 0%
Step 3:
Finally, for each Basket Component, the Effective Weight is the Target Weight, which is capped at 5%.
The residual weight is then redistributed proportionally across all uncapped shares. If after the
redistribution, the weight of any Basket Component increases above 5%, it will be capped and the
redistribution process will be repeated.
3.2.2. Rebalancing Process
The rebalancing will be implemented on the Rebalancing Dates and shall take place over a one-day
period.
Janus Market Consensus Index (USD – Gross Total Return)
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Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
4 Index Disruption Events:
4.1 Basket Component Disruption Event
(A) If a Basket Component Disruption Event occurs on a Scheduled Calculation Date (a “Basket
Component Disrupted Day”) and affects (x) up to five (5) Basket Components and (y) the
aggregate Effective Weights of such Affected Basket Components (as defined below) is less
than or equal to five percent (5%) of the weight of the Index, the Index Calculation Agent, after
instruction from the Index Sponsor, shall not calculate the Index Level on such Basket
Component Disrupted Day. If the Basket Component Disruption Event no longer exists on the
first Scheduled Calculation Date following the Basket Component Disrupted Day, the Index
Calculation Agent (upon instruction from the Index Sponsor) shall calculate the Index Level as
normal. If the Scheduled Calculation Date following the initial Basket Component Disrupted Day
is also a Basket Component Disrupted Day, the second Scheduled Calculation Date following
the initial Basket Component Disrupted Day shall be deemed to be a Calculation Date,
notwithstanding the existence of a Basket Component Disruption Event on such date, and the
Index Calculation Agent shall calculate the Index Level based on the following levels and prices:
(1) in respect of each Index Component affected by the Basket Component Disruption Event
(an “Affected Basket Component”), such Affected Basket Component will exit the Index on
such date at a price determined as follows:
(i) the level or price of such Affected Basket Component(s) shall be the level or
price of such Affected Basket Component(s) determined as of such date in
accordance with the foregoing:
The Index Sponsor shall request firm bids from at least three leading dealers
in the relevant market (“Reference Dealers”) for a hypothetical position (the
“Hypothetical Position”) equal to five percent (5%) of the 20-day average
daily trading volume (determined for the 20 days preceding the initial Basket
Component Disrupted Day) for such Affected Basket Component. If more than
one firm bid is received, then the price of such Affected Basket Component(s)
shall be the volume weighted average of the firm bids unless the aggregate of
the firm bids is for a size smaller than the Hypothetical Position, in which case
the price of such Affected Basket Component shall be the volume weighted
average of (x) the firm bids and (y) a price of zero for the portion of the
Hypothetical Position not included in the firm bids. If zero firm bids are
received, the price of such Affected Basket Component shall be equal to zero.
(ii) the Effective Weight of such Affected Basket Component(s) shall be set to
zero on such date and the Index Calculation Agent will distribute the weight
pro rata across the other Basket Components on such Calculation Date.
(2) in respect of each Index Component that is unaffected by the Basket Component Disruption
Event (an “Unaffected Index Component”):
(i) where the Unaffected Index Component(s) comprise one or more Basket
Components, the level or price of each unaffected Basket Component(s) shall
be determined on the relevant date(s) of determination as if no Basket
Component Disruption Event existed; and
Janus Market Consensus Index (USD – Gross Total Return)
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Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
(ii) where the Unaffected Index Component(s) are the subject of Index Data, such
Index Data shall be determined using the level of such Index Data on the
relevant date(s) of determination as if no Basket Component Disruption Event
existed.
If a Basket Component Disruption Event exists on a Rebalancing Date, such Rebalancing Date
will be postponed until the first Calculation Date on which such Basket Component Disruption
Event ceases to exist.
(B) If a Basket Component Disruption Event occurs on a Scheduled Calculation Date and affects (x)
more than five (5) Basket Components or (y) the aggregate Effective Weights of such Affected
Basket Components is greater than five percent (5%) of the weight of the Index, Section 4(A)
shall not apply and the Index Calculation Agent, after instruction from the Index Sponsor, shall
not calculate the Index Level on such Disrupted Day, and the next Calculation Date shall be the
first succeeding Scheduled Calculation Date that is not a Disrupted Day for any Basket
Component (as determined by the Index Calculation Agent, after instruction from the Index
Sponsor) unless each of the twenty (20) business days immediately following the initial Disrupted
Day is also a Disrupted Day for any Basket Component, in which case:
(1) the Index Sponsor shall permanently cancel the Index on such twentieth business day and
determine a final Index Level following the procedure set forth in Section 4.1(A), provided,
however, that the Index Sponsor may decide at any time during such period to remedy the Basket
Component Disruption Event by adjusting any relevant terms of the Index in a manner that
preserves the economic characteristics of the Index; or
(2) extend suspension of calculation of the Index Level pursuant to Section 4.1(B) for another
maximum period of twenty business days (a “Disruption Period Extension”), provided that after
such period (rather than permanently cancelling the Index at such time) the Index Sponsor may
decide again between the Index Disruption Remedies set out in Section 4.1(B)(2) above and a
renewal of the Disruption Period Extension, subject to a maximum of three such extensions,
including the first one.
“Basket Component Disruption Event” means, in respect of a Basket Component, the occurrence or
existence of (i) a Trading Disruption, (ii) an Exchange Disruption which, in either case, the Index
Calculation Agent, after instruction from the Index Sponsor, determines is material or (iii) an Early Closure,
Where,
A. “Trading Disruption” means, in respect of a Basket Component, any suspension of or limitation
on trading imposed by the relevant Exchange or Related Exchange or otherwise and whether by
reason of movements in price exceeding limits permitted by the relevant Exchange or Related
Exchange or otherwise, relating to (i) such Basket Component or (ii) futures or options contracts
on any relevant Related Exchange in respect of such Basket Component;
B. “Exchange Disruption” means in respect of a Basket Component, any event (other than an
Early Closure) that disrupts or impairs the ability of market participants in general to effect
transactions in, or obtain market values for (i) such Basket Component or (ii) futures or options
contracts on any relevant Related Exchange relating to such Basket Component;
C. “Early Closure” means, in respect of a Basket Component, the closure on any Exchange
Business Day of (i) any relevant Exchange relating to such Basket Component or (ii) any Related
Exchange for futures or options contracts relating to such Basket Component;
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Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
prior to its Scheduled Closing Time unless such earlier closing is announced by such Exchange
or Related Exchange (as the case may be) at least one hour prior to the earlier of (I) the actual
closing time for the regular trading session on such Exchange or Related Exchange (as the case
may be) on such Exchange Business Day and (II) the submission deadline for orders to be
entered into the Exchange or Related Exchange system for execution at the relevant Scheduled
Closing Time on such Exchange Business Day.
4.2 Index Data Disruption Event
If an Index Data Disruption Event occurs on a Scheduled Calculation Date (an “Index Data Disrupted
Day”), the Index Calculation Agent, after instruction from the Index Sponsor, shall not calculate the Index
Level on such Index Data Disrupted Day, and the next Calculation Date shall be the first succeeding
Scheduled Calculation Date that is not an Index Data Disrupted Day (as determined by the Index
Calculation Agent, after instruction from the Index Sponsor) unless each of the five Scheduled Calculation
Dates immediately following the initial Index Data Disrupted Day is also an Index Data Disrupted Day, in
which case:
(1) the fifth Scheduled Calculation Date following the initial Index Data Disrupted Day, and each
Scheduled Calculation Date that is an Index Data Disrupted Day thereafter, shall be deemed to
be a Calculation Date (each, an “Data Disruption Calculation Date”), notwithstanding the
existence of an Index Data Disruption Event on such date and only for the purpose of determining
the Index Level; and
(2) on that fifth Scheduled Calculation Date and on each Data Disruption Calculation Date
thereafter, the Index Calculation Agent shall calculate the Index Level based on the following
levels and prices:
(a) in respect of each Index Component affected by the Index Data Disruption Event (an
“Affected Index Data Component”), the relevant Affected Index Data Component shall be
determined in good faith by the Index Calculation Agent, after instruction from the Index Sponsor,
using relevant market indicators on the Data Disruption Calculation Date;
(b) in respect of each Index Component that is unaffected by the Index Data Disruption Event
(an “Unaffected Index Component”):
(i) where the Unaffected Index Component(s) comprise one or more Basket
Components, the level or price of each unaffected Basket Component(s) shall be
determined on the relevant date(s) of determination as if no Index Data Disruption Event
existed; and
(ii) where the Unaffected Index Component(s) are the subject of Index Data, such Index
Data shall be determined using the level of such Index Data on the relevant date(s) of
determination as if no Index Data Disruption Event existed.
Notwithstanding the foregoing, if an Index Data Disruption Event has been continuing on each Scheduled
Calculation Date from the first Index Data Disrupted Day to but no later than the twentieth Scheduled
Calculation Date following the initial Index Data Disrupted Day, the Index Sponsor shall permanently
cancel the Index on such twentieth Scheduled Calculation Date, provided, however, that the Index
Sponsor may decide at any time during such period that one of the following constitutes a suitable remedy
for such Index Data Disruption Event:
(3) adjust any relevant terms of the Index in a manner that preserves the economic characteristics of the
Index or,
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Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
(4) continue the determination of the Index Level pursuant to Section 4.3(2) for another maximum period
of twenty Scheduled Calculation Dates (a “Disruption Period Extension”), provided that after such
period (rather than permanently cancelling the Index at such time) the Index Sponsor may decide again
between the remedies set out in 4.2(3) above and a renewal of the Disruption Period Extension, subject
to a maximum of three such extensions, including the first one.
“Index Data Disruption Event” means, with respect to a Basket Component, the non-publication of the
Index Data relating to such Basket Component normally used by the Index Calculation Agent for the
purposes of calculating the Index.
4.3 Reference Index Disruption Event
If a Reference Index Disruption Event occurs, the Index Disruption Event Remedies set out in Section
4.2(3) and (4) above shall apply.
“Reference Index Disruption Event” means (i) the non-publication of the Reference Index or (ii) the
occurrence or existence of a disruption event (howsoever described in the rules of the Reference Index)
with respect to the Reference Index, which, in either case, occurs on a Reconstitution Date.
5 Index Extraordinary Events:
5.1 Extraordinary Event Remedies
(A) If an Index Extraordinary Event (other than a Market Consensus Model Licensor Extraordinary Event)
occurs in respect of one or more Index Component(s) on a Scheduled Calculation Date (an
“Extraordinary Event Day”), then the Index Calculation Agent, after instruction from the Index Sponsor,
may suspend the calculation of the Index Level on such Extraordinary Event Day, in which case the next
Calculation Date (if any) shall be the first succeeding Scheduled Calculation Date on which the Index
Extraordinary Event has been remedied in accordance with the following sentence. As soon as possible
but no later than the twentieth Scheduled Calculation Date following the initial Extraordinary Event Day,
the Index Sponsor shall decide to (i) permanently cancel the Index on such twentieth Scheduled
Calculation Date or (ii) provided the Index Sponsor determines that a remedy described under items (i) or
(ii) below (an “Extraordinary Event Remedy”) constitutes a suitable remedy for such Index Extraordinary
Event, apply such remedy:
(i) adjust any relevant terms of the Index (including, without limitation, a reduction of the weight of
or a full removal of the relevant Index Component(s) or the removal of the relevant Index Data)
in a manner that preserves the economic characteristics of the Index; or
(ii) replace the relevant Index Component, Reference Index or Index Data with a new component or
data with similar characteristics.
(B) If a Market Consensus Model Licensor Extraordinary Event occurs, upon becoming aware of
such event the Index Sponsor shall promptly notify the Index Calculation Agent (the date of such notice,
a “Market Consensus Model Licensor Extraordinary Event Day”), and the Index Calculation Agent,
after instruction from the Index Sponsor, shall take one of the following actions (collectively, the “Market
Consensus Model Licensor Extraordinary Event Remedies”):
(i) permanently cancel the Index on the date instructed by the Index Sponsor; provided that such
date of cancellation shall occur not later than the twentieth Scheduled Calculation Date following
the Market Consensus Model Licensor Extraordinary Event Day; or
Janus Market Consensus Index (USD – Gross Total Return)
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Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
(ii) continue to calculate the Index as set forth in this Index rulebook, maintaining the composition of
the Index as of the Market Consensus Model Licensor Extraordinary Event Day.
5.2 Reference Index Extraordinary Event
“Reference Index Extraordinary Event” means, in respect of the Reference Index, the occurrence of
any of the following events:
(1) a “Change of Reference Index Sponsor” means that the Reference Index is not calculated and/or
announced by the Reference Index Sponsor, but is calculated and/or announced by a successor
reference index sponsor, or, as the case may be, a successor reference index calculation agent that
is not acceptable to the Index Calculation Agent, after instruction from the Index Sponsor.
(2) a “Change of Reference Index” means that the Reference Index is (i) replaced by a successor index
or (ii) merges with another index to constitute a merged index.
(3) a “Modification to Reference Index” means that the Reference Index Sponsor announces that it will
make a material change in the formula for or the method of calculating the Reference Index or in any
other way materially modifies the Reference Index (other than a modification prescribed in that
formula or method to maintain the Reference Index in the event of changes in constituent stock and
capitalization and other routine events).
(4) a “Cancellation of Reference Index” means that the Reference Index Sponsor announces that it
will permanently cancel the Reference Index.
5.3 Basket Component Extraordinary Event
“Basket Component Extraordinary Event” means, in respect of a Basket Component, the occurrence
or existence of any of the following events:
(1) “Liquidation” means that the company related to the Basket Component is subject to a voluntary or
involuntary liquidation, dissolution or winding-up, nationalization, expropriation or is otherwise
required to be transferred to any governmental agency, authority, entity or instrumentality thereof.
(2) “Delisting” means that the relevant Exchange announces that pursuant to the rules of such
Exchange, the Basket Component ceases (or will cease) to be listed, traded or publicly quoted on
the Exchange for any reason (other than the events described under Basket Component Disruption
Event) and is not immediately re-listed, re-traded or re-quoted on an exchange or quotation system
located in the same country as the Exchange.
(3) “Nationalization” means, with respect to a Basket Component, all the shares or all or substantially
all of the assets of the company that issued such shares are nationalized expropriated or are
otherwise required to be transferred to any governmental agency, authority, entity or instrumentality
thereof.
5.4 Market Consensus Model Licensor Extraordinary Event
“Market Consensus Model Licensor Extraordinary Event” means, in respect of the Index, (1) the
Market Consensus Model Licensor fails to maintain any authorization, consent, license or registration
required under any law, rule or regulation applicable to it and which is relevant to the performance of its
functions with respect to the Market Consensus Model, (2) the Market Consensus Model Licensor ceases
any of its material operations, transfers all or substantially all of its assets or is subject to a voluntary or
Janus Market Consensus Index (USD – Gross Total Return)
14
Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
involuntary liquidation, dissolution or winding-up, (3) the Market Consensus Model Licensor (a) becomes
insolvent or bankrupt, (b) enters into an arrangement with or for the benefit of its creditors, (c) institutes
or has instituted against it, by a regulator, supervisor or other similar official, a proceeding seeking a
judgment of insolvency or bankruptcy or other similar relief, or (d) becomes subject to the exercise of
powers by a secured creditor, (4) the Market Consensus Model Licensor, in the commercially reasonable
discretion of the Index Sponsor exercised in good faith, becomes unable to perform its functions with
respect to the Market Consensus Model or (5) the agreement between the Index Sponsor and the Market
Consensus Model Licensor governing the Market Consensus Model Licensor’s obligations and duties in
relation to the Market Consensus Model is terminated for any reason.
5.5 SG Group Policy Extraordinary Event
“SG Group Policy Extraordinary Event” means that on or after the Index Launch Date, a Basket
Component appears on an SG Group Restricted List or a change in any SG Group Policies materially
impairs the ability of any of SG’s index replication teams to (1) acquire, maintain, hold, unwind or dispose
of an interest or synthetic interest in any Basket Component or (2) otherwise replicate the Index, where,
for purposes of the definition of this event:
“SG Group” means the Index Sponsor and its affiliates.
“SG Group Policies” means the internal, formal and documented policies, procedures, standards and
guidelines (as revised from time to time) which have been established at SG by persons acting
independently of the trading or front office function and which ensure compliance with applicable laws,
rules, regulations and regulatory standards by each member of the SG Group subject thereto. As used
herein, the term “regulatory standards” includes codes of conduct, banking standards, frameworks and
guidance (such as capital and liquidity standards, frameworks or guidance, among other things) issued
by any competent authority (including, but not limited to, relevant supranational bodies, treaty
organizations, supervisory committees or governmental, judicial, tax, banking or regulatory authorities, or
self-regulatory organizations) with a view to setting standards for the business conduct, organization and
prudential supervision of banks and financial services firms.
“SG Group Restricted List” means any internal policies, internal compliance restricted list and/or
sanctions policies not otherwise included as an SG Group Policy.
5.6 Index Data Extraordinary Event
“Index Data Extraordinary Event” means, in respect of Index Data, the occurrence of any of the following
events:
(1) a “Change of Index Data Publisher” means the Index Data is not calculated and/or announced by
the same publisher of such Index Data as of the Index Launch Date or under the same conditions as those
prevailing as of the Index Launch Date (including, without limitation, any material increase in fees and
costs for access and use of such Index Data).
(2) a “Change of Index Data” means the relevant Index Data is replaced by successor data that is not
acceptable to the Index Calculation Agent, after instruction from the Index Sponsor.
(3) a “Modification to Index Data” means that the publisher of any Index Data announces that it will make
a material change in the formula for or the method of calculating such Index Data or in any other way
materially modifies that Index Data (other than a modification prescribed in that formula or method to
maintain that Index Data).
Janus Market Consensus Index (USD – Gross Total Return)
15
Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
(4) a “Cancellation of Index Data” means that the publisher of any Index Data announces that it will
permanently cancel such Index Data.
(5) an “Index Data Access Failure” means that (a) access by the Index Calculation Agent and/or the
Index Sponsor to the Index Data has become impractical or impossible due to, among other things,
significant increase in costs, technical incompatibilities or the cancellation of the relevant feed by the data
provider and (b) such access cannot be restored or replaced without significant cost or delay, as
determined by the Index Calculation Agent after instruction from the Index Sponsor.
5.7 Index Calculation Agent Extraordinary Event
“Index Calculation Agent Extraordinary Event” means that (i) the Index Calculation Agent, in the
commercially reasonable discretion of the Index Sponsor exercised in good faith, can no longer perform
its functions with respect to the Index and/or (ii) the agreement between the Index Sponsor and the Index
Calculation Agent governing the Index Calculation Agent’s obligations and duties in relation to the Index
is terminated (or any license or other provision thereunder material to the maintenance of the Index is
terminated) for any reason whatsoever, and, in each case in the reasonable discretion of the Index
Sponsor, an adequate replacement of such Index Calculation Agent for purposes of the Index is not legally
or commercially practicable.
Janus Market Consensus Index (USD – Gross Total Return)
16
Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the
Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade
mark or the Index Level at any time or in any other respect.
Société Générale
The Janus Market Consensus Index (the “Index”) has been developed by, and is proprietary to, Société
Générale (“SG”) and no third party shall have any proprietary interest herein except as may be expressly
granted by SG. Solactive AG acknowledges that the ownership and all intellectual property rights in
respect of the name of the Index (and index rules such as, but not limited to, calculation methods) are and
shall remain the exclusive property of SG.
SG DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR
ANY DATA INCLUDED THEREIN AND SHALL HAVE NO LIABILITY FOR ANY ERROR OR OMISSION
THEREIN AND/OR ANY INTERRUPTION IN THE CALCULATION AND/OR DISSEMINATION
THEREOF. SG MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED
BY ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX RULES OR ANY DATA
INCLUDED THEREIN. SG MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY
DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR
PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT
LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL SG HAVE ANY LIABILITY FOR ANY
SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES OR LOST PROFITS, EVEN IF
NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
The Market Consensus Model is the exclusive property of Janus Index & Calculation Services. All Janus
names, logos and website “www.janus.com” are service marks of Janus International Holding LLC and
have been licensed for use by Société Générale.
Janus Market Consensus Index (USD – Gross Total Return)
17
Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index.
The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the
Index Level at any time or in any other respect.
Appendix 1 – Underlying Basket at Launch Date
Basket Component Ticker Index Component W(i,t0)
STRYKER CORP SYK US <Equity> Equity 0.463%
CROWN CASTLE INTL CORP CCI US <Equity> Equity 0.827%
INTERNATIONAL PAPER CO IP US <Equity> Equity 0.288%
ALTRIA GROUP INC MO US <Equity> Equity 0.278%
AETNA INC AET US <Equity> Equity 0.140%
NORTHROP GRUMMAN CORP NOC US <Equity> Equity 0.610%
DOW CHEMICAL CO/THE DOW US <Equity> Equity 0.674%
BOSTON SCIENTIFIC CORP BSX US <Equity> Equity 0.465%
DENTSPLY SIRONA INC XRAY US <Equity> Equity 0.278%
GENERAL DYNAMICS CORP GD US <Equity> Equity 0.606%
THERMO FISHER SCIENTIFIC INC TMO US <Equity> Equity 0.407%
CORNING INC GLW US <Equity> Equity 0.093%
BECTON DICKINSON AND CO BDX US <Equity> Equity 0.312%
ROCKWELL COLLINS INC COL US <Equity> Equity 0.624%
MEDTRONIC PLC MDT US <Equity> Equity 0.557%
WESTERN UNION CO WU US <Equity> Equity 0.045%
KELLOGG CO K US <Equity> Equity 0.768%
AMPHENOL CORP-CL A APH US <Equity> Equity 0.281%
HONEYWELL INTERNATIONAL INC HON US <Equity> Equity 0.475%
INTL BUSINESS MACHINES CORP IBM US <Equity> Equity 0.423%
HARRIS CORP HRS US <Equity> Equity 0.513%
CBS CORP-CLASS B NON VOTING CBS US <Equity> Equity 0.569%
AIR PRODUCTS & CHEMICALS INC APD US <Equity> Equity 0.606%
WALGREENS BOOTS ALLIANCE INC WBA US <Equity> Equity 0.610%
DU PONT (E.I.) DE NEMOURS DD US <Equity> Equity 0.578%
BAXTER INTERNATIONAL INC BAX US <Equity> Equity 0.241%
TEXAS INSTRUMENTS INC TXN US <Equity> Equity 0.528%
EQUIFAX INC EFX US <Equity> Equity 0.337%
AMERICAN TOWER CORP AMT US <Equity> Equity 0.809%
ORACLE CORP ORCL US <Equity> Equity 0.379%
ALLSTATE CORP ALL US <Equity> Equity 0.542%
WILLIS TOWERS WATSON PLC WLTW US <Equity> Equity 0.349%
MICROSOFT CORP MSFT US <Equity> Equity 0.790%
NORFOLK SOUTHERN CORP NSC US <Equity> Equity 0.327%
XEROX CORP XRX US <Equity> Equity 0.847%
PHILIP MORRIS INTERNATIONAL PM US <Equity> Equity 0.446%
GENERAL MILLS INC GIS US <Equity> Equity 0.416%
BOEING CO/THE BA US <Equity> Equity 0.233%
WASTE MANAGEMENT INC WM US <Equity> Equity 0.368%
Janus Market Consensus Index (USD – Gross Total Return)
18
Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index.
The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the
Index Level at any time or in any other respect.
EDISON INTERNATIONAL EIX US <Equity> Equity 0.308%
REPUBLIC SERVICES INC RSG US <Equity> Equity 0.033%
CA INC CA US <Equity> Equity 0.198%
ANALOG DEVICES INC ADI US <Equity> Equity 0.956%
UNITED TECHNOLOGIES CORP UTX US <Equity> Equity 0.570%
TJX COMPANIES INC TJX US <Equity> Equity 0.632%
INGERSOLL-RAND PLC IR US <Equity> Equity 0.221%
COSTCO WHOLESALE CORP COST US <Equity> Equity 0.172%
ACCENTURE PLC-CL A ACN US <Equity> Equity 0.463%
YUM! BRANDS INC YUM US <Equity> Equity 0.668%
JOHNSON & JOHNSON JNJ US <Equity> Equity 0.453%
ADOBE SYSTEMS INC ADBE US <Equity> Equity 0.523%
LOCKHEED MARTIN CORP LMT US <Equity> Equity 0.606%
MOLSON COORS BREWING CO -B TAP US <Equity> Equity 1.274%
INTEL CORP INTC US <Equity> Equity 0.723%
CAMPBELL SOUP CO CPB US <Equity> Equity 0.160%
PAYCHEX INC PAYX US <Equity> Equity 0.096%
AMETEK INC AME US <Equity> Equity 0.170%
COCA-COLA CO/THE KO US <Equity> Equity 0.692%
PPG INDUSTRIES INC PPG US <Equity> Equity 0.227%
PFIZER INC PFE US <Equity> Equity 1.260%
NIKE INC -CL B NKE US <Equity> Equity 0.411%
KLA-TENCOR CORP KLAC US <Equity> Equity 0.252%
RAYTHEON COMPANY RTN US <Equity> Equity 0.947%
OMNICOM GROUP OMC US <Equity> Equity 0.334%
FEDEX CORP FDX US <Equity> Equity 0.682%
GENERAL ELECTRIC CO GE US <Equity> Equity 0.998%
SYSCO CORP SYY US <Equity> Equity 0.247%
AMERICAN ELECTRIC POWER AEP US <Equity> Equity 0.532%
PRAXAIR INC PX US <Equity> Equity 0.362%
PEPSICO INC PEP US <Equity> Equity 0.924%
ILLINOIS TOOL WORKS ITW US <Equity> Equity 0.336%
COLGATE-PALMOLIVE CO CL US <Equity> Equity 0.386%
GILEAD SCIENCES INC GILD US <Equity> Equity 0.636%
PPL CORP PPL US <Equity> Equity 0.253%
DANAHER CORP DHR US <Equity> Equity 0.485%
MARSH & MCLENNAN COS MMC US <Equity> Equity 0.427%
MCDONALD'S CORP MCD US <Equity> Equity 0.576%
PUBLIC SERVICE ENTERPRISE GP PEG US <Equity> Equity 0.454%
AUTOZONE INC AZO US <Equity> Equity 1.079%
AT&T INC T US <Equity> Equity 0.598%
WALT DISNEY CO/THE DIS US <Equity> Equity 0.493%
CISCO SYSTEMS INC CSCO US <Equity> Equity 0.537%
Janus Market Consensus Index (USD – Gross Total Return)
19
Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index.
The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the
Index Level at any time or in any other respect.
WAL-MART STORES INC WMT US <Equity> Equity 0.168%
PARKER HANNIFIN CORP PH US <Equity> Equity 0.351%
PROCTER & GAMBLE CO/THE PG US <Equity> Equity 0.574%
KIMBERLY-CLARK CORP KMB US <Equity> Equity 0.262%
CHUBB LTD CB US <Equity> Equity 0.566%
ENTERGY CORP ETR US <Equity> Equity 0.298%
DUKE ENERGY CORP DUK US <Equity> Equity 0.349%
GENUINE PARTS CO GPC US <Equity> Equity 0.534%
VERIZON COMMUNICATIONS INC VZ US <Equity> Equity 0.835%
CLOROX COMPANY CLX US <Equity> Equity 0.036%
EMERSON ELECTRIC CO EMR US <Equity> Equity 0.240%
AON PLC AON US <Equity> Equity 0.276%
TARGET CORP TGT US <Equity> Equity 0.266%
SEMPRA ENERGY SRE US <Equity> Equity 0.407%
FIDELITY NATIONAL INFO SERV FIS US <Equity> Equity 0.424%
UNITED PARCEL SERVICE-CL B UPS US <Equity> Equity 0.308%
PROGRESSIVE CORP PGR US <Equity> Equity 0.224%
ECOLAB INC ECL US <Equity> Equity 0.033%
WEC ENERGY GROUP INC WEC US <Equity> Equity 0.208%
NEXTERA ENERGY INC NEE US <Equity> Equity 0.512%
HOME DEPOT INC HD US <Equity> Equity 0.179%
XCEL ENERGY INC XEL US <Equity> Equity 0.188%
P G & E CORP PCG US <Equity> Equity 0.307%
3M CO MMM US <Equity> Equity 0.275%
DOMINION ENERGY INC D US <Equity> Equity 0.230%
TIME WARNER INC TWX US <Equity> Equity 1.071%
AGILENT TECHNOLOGIES INC A US <Equity> Equity 0.123%
DTE ENERGY COMPANY DTE US <Equity> Equity 0.207%
CHEVRON CORP CVX US <Equity> Equity 1.159%
EXXON MOBIL CORP XOM US <Equity> Equity 0.660%
ROPER TECHNOLOGIES INC ROP US <Equity> Equity 0.400%
AMEREN CORPORATION AEE US <Equity> Equity 0.227%
ROCKWELL AUTOMATION INC ROK US <Equity> Equity 0.063%
SOUTHERN CO/THE SO US <Equity> Equity 0.410%
APPLE INC AAPL US <Equity> Equity 0.463%
ABBOTT LABORATORIES ABT US <Equity> Equity 0.784%
AFLAC INC AFL US <Equity> Equity 0.126%
AMERICAN INTERNATIONAL GROUP AIG US <Equity> Equity 0.525%
ARTHUR J GALLAGHER & CO AJG US <Equity> Equity 0.585%
TD AMERITRADE HOLDING CORP AMTD US <Equity> Equity 0.361%
AMAZON.COM INC AMZN US <Equity> Equity 0.941%
ALEXANDRIA REAL ESTATE EQUIT ARE US <Equity> Equity 0.414%
ARAMARK ARMK US <Equity> Equity 0.654%
Janus Market Consensus Index (USD – Gross Total Return)
20
Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index.
The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the
Index Level at any time or in any other respect.
ASHLAND GLOBAL HOLDINGS INC ASH US <Equity> Equity 0.260%
AVALONBAY COMMUNITIES INC AVB US <Equity> Equity 0.228%
AMERICAN WATER WORKS CO INC AWK US <Equity> Equity 0.246%
BB&T CORP BBT US <Equity> Equity 0.532%
BROWN-FORMAN CORP-CLASS B BF/B US <Equity> Equity 0.191%
BANK OF NEW YORK MELLON CORP BK US <Equity> Equity 0.676%
BLACKROCK INC BLK US <Equity> Equity 0.854%
BALL CORP BLL US <Equity> Equity 0.324%
BRIXMOR PROPERTY GROUP INC BRX US <Equity> Equity 1.294%
BOSTON PROPERTIES INC BXP US <Equity> Equity 0.532%
CITIGROUP INC C US <Equity> Equity 0.512%
CDK GLOBAL INC CDK US <Equity> Equity 0.385%
C.H. ROBINSON WORLDWIDE INC CHRW US <Equity> Equity 0.228%
CINCINNATI FINANCIAL CORP CINF US <Equity> Equity 0.266%
CIT GROUP INC CIT US <Equity> Equity 0.089%
COMCAST CORP-CLASS A CMCSA US <Equity> Equity 1.013%
CME GROUP INC CME US <Equity> Equity 0.425%
CMS ENERGY CORP CMS US <Equity> Equity 0.207%
COOPER COS INC/THE COO US <Equity> Equity 0.309%
CINTAS CORP CTAS US <Equity> Equity 0.263%
CITRIX SYSTEMS INC CTXS US <Equity> Equity 0.122%
DISCOVER FINANCIAL SERVICES DFS US <Equity> Equity 1.117%
AMDOCS LTD DOX US <Equity> Equity 0.293%
DR PEPPER SNAPPLE GROUP INC DPS US <Equity> Equity 0.583%
ESTEE LAUDER COMPANIES-CL A EL US <Equity> Equity 0.468%
EQUITY RESIDENTIAL EQR US <Equity> Equity 0.238%
EVERSOURCE ENERGY ES US <Equity> Equity 0.203%
ESSEX PROPERTY TRUST INC ESS US <Equity> Equity 0.082%
FEDERAL REALTY INVS TRUST FRT US <Equity> Equity 0.764%
GGP INC GGP US <Equity> Equity 1.428%
ALPHABET INC-CL A GOOGL US <Equity> Equity 0.846%
ALPHABET INC-CL A GOOGL US <Equity> Equity 0.720%
HASBRO INC HAS US <Equity> Equity 0.161%
HARTFORD FINANCIAL SVCS GRP HIG US <Equity> Equity 0.677%
HILTON WORLDWIDE HOLDINGS IN HLT US <Equity> Equity 0.553%
HEWLETT PACKARD ENTERPRIS HPE US <Equity> Equity 0.000%
HERSHEY CO/THE HSY US <Equity> Equity 0.525%
INTERCONTINENTAL EXCHANGE IN ICE US <Equity> Equity 0.365%
INTERPUBLIC GROUP OF COS INC IPG US <Equity> Equity 0.802%
HUNT (JB) TRANSPRT SVCS INC JBHT US <Equity> Equity 0.409%
JPMORGAN CHASE & CO JPM US <Equity> Equity 0.409%
KRAFT HEINZ CO/THE KHC US <Equity> Equity 0.326%
KIMCO REALTY CORP KIM US <Equity> Equity 1.203%
Janus Market Consensus Index (USD – Gross Total Return)
21
Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index.
The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the
Index Level at any time or in any other respect.
LKQ CORP LKQ US <Equity> Equity 0.686%
ALLIANT ENERGY CORP LNT US <Equity> Equity 0.126%
LOWE'S COS INC LOW US <Equity> Equity 0.143%
MASTERCARD INC - A MA US <Equity> Equity 0.458%
MACERICH CO/THE MAC US <Equity> Equity 0.801%
MARRIOTT INTERNATIONAL -CL A MAR US <Equity> Equity 0.205%
MOODY'S CORP MCO US <Equity> Equity 0.027%
MGM RESORTS INTERNATIONAL MGM US <Equity> Equity 0.393%
MEAD JOHNSON NUTRITION CO MJN US <Equity> Equity 0.063%
MCCORMICK & CO-NON VTG SHRS MKC US <Equity> Equity 0.039%
MONSANTO CO MON US <Equity> Equity 0.786%
MOTOROLA SOLUTIONS INC MSI US <Equity> Equity 0.059%
M & T BANK CORP MTB US <Equity> Equity 0.145%
MAXIM INTEGRATED PRODUCTS MXIM US <Equity> Equity 0.628%
NORTHERN TRUST CORP NTRS US <Equity> Equity 0.240%
PRINCIPAL FINANCIAL GROUP PFG US <Equity> Equity 0.102%
PACKAGING CORP OF AMERICA PKG US <Equity> Equity 0.071%
PNC FINANCIAL SERVICES GROUP PNC US <Equity> Equity 0.376%
PUBLIC STORAGE PSA US <Equity> Equity 0.425%
PHILLIPS 66 PSX US <Equity> Equity 0.676%
RESMED INC RMD US <Equity> Equity 0.253%
ROSS STORES INC ROST US <Equity> Equity 0.591%
STARBUCKS CORP SBUX US <Equity> Equity 0.530%
SCANA CORP SCG US <Equity> Equity 0.403%
SEALED AIR CORP SEE US <Equity> Equity 0.534%
SIRIUS XM HOLDINGS INC SIRI US <Equity> Equity 0.223%
JM SMUCKER CO/THE SJM US <Equity> Equity 0.599%
SCHLUMBERGER LTD SLB US <Equity> Equity 1.466%
SNAP-ON INC SNA US <Equity> Equity 0.392%
SIMON PROPERTY GROUP INC SPG US <Equity> Equity 1.075%
S&P GLOBAL INC SPGI US <Equity> Equity 0.781%
SUNTRUST BANKS INC STI US <Equity> Equity 0.329%
STATE STREET CORP STT US <Equity> Equity 0.282%
STANLEY BLACK & DECKER INC SWK US <Equity> Equity 0.638%
T ROWE PRICE GROUP INC TROW US <Equity> Equity 0.258%
TRAVELERS COS INC/THE TRV US <Equity> Equity 0.163%
TRACTOR SUPPLY COMPANY TSCO US <Equity> Equity 0.747%
TEXTRON INC TXT US <Equity> Equity 0.508%
JOHNSON CONTROLS INTERNATION JCI US <Equity> Equity 0.953%
UDR INC UDR US <Equity> Equity 0.190%
UNITEDHEALTH GROUP INC UNH US <Equity> Equity 0.512%
US BANCORP USB US <Equity> Equity 0.448%
VISA INC-CLASS A SHARES V US <Equity> Equity 0.843%
Janus Market Consensus Index (USD – Gross Total Return)
22
Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index.
The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the
Index Level at any time or in any other respect.
VALSPAR CORP/THE VAL US <Equity> Equity 0.348%
VORNADO REALTY TRUST VNO US <Equity> Equity 1.091%
XYLEM INC XYL US <Equity> Equity 0.295%
ZOETIS INC ZTS US <Equity> Equity 0.294%
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