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Table of Contents S&P Next Emerging 40 Index Methodology February 2021 S&P Dow Jones Indices: Index Methodology Table of Contents Introduction 3 Index Objective and Highlights 3 Supporting Documents 3 Eligibility Criteria 4 Index Eligibility 4 Eligibility Factors 4 Index Construction 5 Constituent Selection 5 Constituent Weightings 5 Index Calculations 5 Index Maintenance 6 Rebalancing 6 Corporate Actions 6 Currency of Calculation and Additional Index Return Series 7 Base Date 7 Index Data 8 Calculation Return Types 8 Index Governance 9 Index Committee 9 Index Policy 10 Announcements 10 Pro-forma Files 10 Holiday Schedule 10 Rebalancing 10 Unexpected Exchange Closures 10 Recalculation Policy 10 Contact Information 11 Index Dissemination 12 Tickers 12 Index Data 12 Web site 12 S&P Dow Jones Indices: S&P Next Emerging 40 Index Methodology 1 Appendix I 13 Methodology Changes 13 Appendix II 14 EU Required ESG Disclosures 14 Disclaimer 15 S&P Dow Jones Indices: S&P Next Emerging 40 Index Methodology 2 Introduction Index Objective and Highlights The S&P Next Emerging 40 Index measures the performance of 40 of the largest stocks from Chile, Colombia, Czech Republic, Egypt, Hungary, Indonesia, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, South Africa, Thailand, and Turkey. Constituents are float-adjusted market capitalization (FMC) weighted, subject to modifications in order to reduce single stock or country concentration and enhance index basket liquidity. Supporting Documents This methodology is meant to be read in conjunction with supporting documents providing greater detail with respect to the policies, procedures and calculations described herein. References throughout the methodology direct the reader to the relevant supporting document for further information on a specific topic. The list of the main supplemental documents for this methodology and the hyperlinks to those documents is as follows: Supporting Document URL S&P Dow Jones Indices’ Equity Indices Policies & Equity Indices Policies & Practices Practices Methodology S&P Dow Jones Indices’ Index Mathematics Index Mathematics Methodology Methodology S&P Dow Jones Indices’ Float Adjustment Float Adjustment Methodology Methodology This methodology was created by S&P Dow Jones Indices to achieve the aforementioned objective of measuring the underlying interest of each index governed by this methodology document. Any changes to or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones Indices so that the index continues to achieve its objective. S&P Dow Jones Indices: S&P Next Emerging 40 Index Methodology 3 Eligibility Criteria Index Eligibility To be eligible for the S&P Next Emerging 40, companies must first be constituents of the S&P/IFCI country indices for Chile, Colombia, the Czech Republic, Egypt, Hungary, Indonesia, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, South Africa, Thailand, and Turkey. Eligibility Factors Market Capitalization. Stocks must have an FMC above US$ 1 billion (US$ 800 million for current constituents). Liquidity. Stocks must have three-month average daily value traded (ADVT) above US$ 10 million (US$ 8 million for current constituents). Eligible Exchanges. Stocks must be listed on one of the below domestic or developed markets exchanges: • Budapest Stock Exchange • London Stock Exchange • Indonesia Stock Exchange • Nasdaq Stock Market • Istanbul Stock Exchange • New York Stock Exchange • Johannesburg Stock Exchange • Prague Stock Exchange • Kuala Lumpur Stock Exchange • Santiago Stock Exchange • Mexican Stock Exchange • Warsaw Stock Exchange The list of eligible exchanges is subject to review and may change if warranted by market conditions. Multiple Share Classes. Each company is represented once by the Designated Listing. For more information regarding the treatment of multiple share classes, please refer to Approach B within the Multiple Share Classes section of the S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology. S&P Dow Jones Indices: S&P Next Emerging 40 Index Methodology 4 Index Construction Constituent Selection Eligible stocks are sorted in decreasing order by FMC. The highest ranking 40 stocks are selected and form the index, subject to a maximum of 10 stocks for each country. Constituent Weightings The index is FMC weighted, subject to the below constraints: o At each rebalancing, no stock can have a weight of more than 10% in the index. o The minimum initial portfolio size that can be turned over in a single day cannot be lower than US$ 600 million (based on three-month trading volumes as of the rebalancing reference date). o In addition, no country may have a weight greater than 25%. Index Calculations The index is calculated by means of the divisor methodology used in all S&P Dow Jones Indices’ equity indices. For more information on the Index calculation methodology, please refer to the Capped Market Capitalization Weighted Indices section of S&P Dow Jones Indices’ Index Mathematics Methodology. S&P Dow Jones Indices: S&P Next Emerging 40 Index Methodology 5 Index Maintenance Rebalancing The index is rebalanced annually in December. The annual rebalancing is effective after the market close of the third Friday of December. The reference date for the data used in the review is the close of the third Friday of November. New constituents and index shares are made available to clients five business days prior to the rebalancing date. In addition to the annual rebalancing, there is a mid-year review. A mid-year rebalancing occurs only if three of the 30 largest stocks from the eligible universe are not in the index during the mid-year review. In the event the condition above is met during the mid-year review, a full rebalancing is performed on the impacted index. In that situation, new constituents and index shares are made available five business days prior to the rebalancing date. There is no semi-annual rebalancing in years when this condition is not satisfied. The reference date for the data used in the mid-year review is the third Friday of May. Pricing reference data and index shares used in the weight calculations are from the close of the business day prior to the delivery of the first pro-forma file. Pro-forma files are generally published five business days prior to the rebalancing effective date. Additions. Except for spin-offs, companies can only be added to an index at the time of the rebalancing. Deletions. Between rebalancings, a company can be deleted from the S&P Next Emerging 40 due to corporate events such as mergers, acquisitions, takeovers or delistings. Corporate Actions Divisor Corporate Action Adjustment made to Index Adjustment? Spin-off All spinoffs are added to the index at a zero price and are reassessed at the subsequent rebalancing. Rights Offering The price is adjusted to the Price of the Parent Company minus (the No Price of the Rights Offering/Rights Ratio). Index shares change so that the company's weight remains the same as its weight before the rights offering. Stock Dividend, Stock Split, Index shares are multiplied by and price is divided by the split factor. No Reverse Stock Split Share Issuance, Share None. No Repurchase, Equity Offering or Warrant Conversion Special Dividends Price of the stock making the special dividend payment is reduced by Yes the per share special dividend amount after the close of trading on the day before the dividend ex-date. Constituent Change Except for spinoffs, there are no intra-rebalancing additions. - Deletions due to delistings, acquisition or any other corporate event Yes resulting in the deletion of the stock from the index causes the weights of the rest of the stocks in the index to change. Relative weights stay the same. For more information, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology. S&P Dow Jones Indices: S&P Next Emerging 40 Index Methodology 6 Currency of Calculation and Additional Index Return Series The index is calculated in U.S. dollars, euros and British pounds. WM/Refinitiv foreign exchange rates are taken daily at 4:00 PM London time and used in the calculation of the indices. These mid-market fixings are calculated by the WM Company based on Refinitiv data and appear on Refinitiv pages WMRA. In addition to the indices detailed in this methodology, additional return series versions of the indices may be available, including, but not limited to: currency, currency hedged, decrement, fair value, inverse, leveraged, and risk control versions. For a list of available indices, please refer to the S&P DJI Methodology & Regulatory Status Database. For information on various index calculations, please refer to S&P Dow Jones Indices’ Index Mathematics Methodology. For the inputs necessary to calculate certain types of indices, including decrement, dynamic hedged, fair value, and risk control indices, please refer to the Parameters documents available at www.spdji.com. Base Date Index history availability, base dates, and base values are shown in the table below. Launch First Value Base Index Date Date Base Date Value S&P Next Emerging 40 Index 06/17/2011 12/15/2006 12/15/2006 100 S&P Dow Jones Indices: S&P Next Emerging 40 Index Methodology 7 Index Data Calculation Return Types S&P Dow Jones Indices calculates multiple return types which vary based on the treatment of regular cash dividends. The classification of regular cash dividends is determined by S&P Dow Jones Indices. • Price Return (PR) versions are calculated without adjustments for regular cash dividends. • Gross Total Return (TR) versions reinvest regular cash dividends at the close on the ex-date without consideration for withholding taxes. • Net Total Return (NTR) versions, if available, reinvest regular cash dividends at the close on the ex-date after the deduction of applicable withholding taxes. In the event there are no regular cash dividends on the ex-date, the daily performance of all three indices will be identical.
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