Anavex Life Sciences Corp (AVXL)

[Doc328]

Most quarterly expiration volumes for AVXL have been closer to 4 million so 6 MM is high. XBI re-balances the third Friday of each EOQ month (M, J, S, D) and owns 2.2 MM shares as of yesterday. Anavex needed a MC > 500 MM to be initially included and would be excluded if < 300 MM so current MC (actually Feb 29) would have been about $430 M, which theoretically is safe. They do include the caveat " The market capitalization threshold and the liquidity threshold are each reviewed from time to time based on market conditions". Possibly some other funds could use a 500 MM threshold. Should be obvious in a couple weeks when the 13D/G's are reported if today was a fluke or a distribution day.

from XBI prospectus

The Index consists of the S&P TMI constituents belonging to the Biotechnology sub-industry that satisfy the following criteria: (i) have a float-adjusted market capitalization greater than or equal to $500 million with a float-adjusted liquidity ratio (defined by dollar value traded over the previous 12 months divided by the float-adjusted market capitalization as of the index rebalancing reference date) greater than or equal to 90% or have a float- adjusted market capitalization greater than or equal to $400 million with a float-adjusted liquidity ratio (as defined above) greater than or equal to 150%; and (ii) are U.S. based companies. To evaluate liquidity, the dollar value traded for initial public offerings or spin-offs that do not have 12 months of trading history is annualized. If there are fewer than 35 stocks, stocks from the Life
Sciences Tools & Services sub-industry that meet the market capitalization and liquidity thresholds are included in order of their float-adjusted market capitalization from largest to smallest. If there continues to be fewer than 22 stocks, the market capitalization threshold may be relaxed to ensure that there are at least 22 stocks in the Index as of the rebalancing effective date. Existing Index constituents are removed at the quarterly rebalancing effective date if either their float-adjusted market capitalization falls below $300 million or their float-adjusted liquidity ratio falls below 50%. The market capitalization threshold and the liquidity threshold are each reviewed from time to time based on market conditions. The Index rebalances and reconstitutes quarterly on the third Friday of the quarter ending month. The reference date for additions and deletions is after the close of the last trading date of the previous month.