Introduction 2 Partnership 2 Highlights 2 Index Family 2 Index Construction 4 Approaches 4 Index Calculations 4 Index Maintenance 6 Rebalancing 6 Base Date and History Availability 6 Index Governance 7 Index Committee 7 Index Policy 8 Announcements 8 Unscheduled Market Closures 8 Recalculation Policy 9 Index Dissemination 10 Tickers 10 FTP 10 Web site 10 Contact Information 11 Index Management 11 Product Management 11 Media Relations 11 Client Services 11 Disclaimer 12

S&P Dow Jones Indices: S&P BSE SENSEX Gold Hedged Indices Methodology 1 Introduction

Partnership

On February 19, 2013, S&P Dow Jones Indices and the BSE Ltd. (formerly Bombay Stock Exchange (“BSE”) announced their strategic partnership to calculate, disseminate, and license the widely followed BSE suite of indices.

Highlights

The S&P BSE SENSEX Gold Hedged Index and S&P BSE SENSEX Dynamic Gold Hedged Index seek to simulate the returns of an investment strategy which is long the S&P BSE SENSEX and hedged against changes in the Indian rupee versus gold.

The indices are calculated by hedging the beginning-of-period S&P BSE SENSEX total return index values using rolling Multi Commodity Exchange (MCX) Gold Mini futures contracts.

The hedge only protects against adverse movements in the relative value of the Indian rupee, as expressed in the rupee price of gold. Stock market risk is not hedged in any way.

The results of the gold-hedged index strategy, versus that of an un-hedged strategy, vary depending upon the movement of the gold futures contract and the Indian rupee. Those holding long gold futures contracts gain when the Indian rupee loses value as expressed by gold. Conversely, they lose when the opposite occurs.

S&P BSE SENSEX Gold Hedged Index. The index is rebalanced monthly during the one-day roll of the gold futures contracts to equalize notional exposure to equity and gold.

S&P BSE SENSEX Dynamic Gold Hedged Index. The index is rebalanced monthly during the five-day roll of the gold futures contracts to adjust the notional exposure of equity and gold. The index is also re-weighted when the equity and gold exposures exceed certain thresholds as defined in Index Maintenance.

Index Family

The S&P BSE SENSEX Gold Hedged Indices are part of the suite of S&P BSE indices.

For information on the other S&P BSE indices, please refer to www.spdji.com and www.asiaindex.co.in.

S&P Dow Jones Indices: S&P BSE SENSEX Gold Hedged Indices Methodology 2 This methodology was created by Asia Index Private Limited 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 Asia Index Private Limited so that the index continues to achieve its objective.

S&P Dow Jones Indices: S&P BSE SENSEX Gold Hedged Indices Methodology 3 Index Construction

Approaches

Each index is calculated as a combination of a long S&P BSE SENSEX position overlaid with a long position in MCX Gold Mini futures.

Index Calculations

Calculating the Daily Return Series. The indices are calculated based on the total return of a hypothetical portfolio consisting of long S&P BSE SENSEX and long MCX Gold Mini futures positions. The return and the total return index value are calculated as follows:

= 1 푡 푆푆푆푆푆 푆푆푆푆� 푅 푟 − = 푆𝑃𝑃1 퐺퐺퐺퐺푡 푅퐺퐺퐺퐺 = _− + _ 퐺퐺퐺퐺푟 푅ℎ=푒�푒푒1�+ 퐻� 푆푆푆푆�푟 ∗ 푅푆푆푆푆푆 퐻� 퐺퐺퐺퐺푟 ∗ 푅퐺퐺퐺퐺

푡 ℎ푒�푒푒� 푟 where:퐼 � 푅 � ∗ 퐼

RSPBTR = Total return of the S&P BSE SENSEX since the previous rebalancing day

RGold = Return of Gold Mini futures since the previous rebalancing day

Rhedged = Return of the total return index since the previous rebalancing day

It = The total return index value on day t

SPBTRr = S&P BSE SENSEX total return index value on the previous rebalancing day

SPBTRt = S&P BSE SENSEX total return index value on day t

Goldr = Gold Mini futures closing price on the previous rebalancing day (based on the latest contract that the index rolled into)

Goldt = Gold Mini futures closing price on day t

HR_SPBTRr = Hedge ratio for the S&P BSE SENSEX total return index as described below

HR_Goldr = Hedge ratio for the Gold Mini futures as described below

Ir = The total return index value on the previous rebalancing day

Asia Index Private Limited: S&P BSE SENSEX Gold Hedged Indices Methodology 4 Hedge Ratio. Index hedge ratios are as follows:

For S&P BSE SENSEX Gold Hedged Index, the hedge ratio on the rebalancing day is equalized at 100%.

HR_SPBTRr = 100%

HR_Goldr = 100%

For S&P BSE SENSEX Dynamic Gold Hedged Index, the hedge ratio is calculated as follows on reference date t which is one business day prior to the rebalancing date.

_ = 푡 푡−1 푟 푆푆푆푆� 퐼 퐻� 푆푆푆푆� 푡−1 ∗ 푡 _ = 푆푆푆푆� 퐼 퐺퐺퐺퐺푡 퐼푡−1 퐻� 퐺퐺퐺퐺푟 ∗ For more information퐺퐺퐺퐺 on푡− 1the index퐼푡 calculation methodology, please refer to S&P Dow Jones Indices’ Index Mathematics Methodology.

Monthly Roll. The S&P BSE SENSEX Gold Hedged Index uses the designated Gold Mini futures on the MCX (ticker GOLDM) as illustrated in Table 1. Gold Mini futures are not held to maturity. Instead, the long futures positions roll to the next designated contract at the close of business on the fifth-to-the-last business day that is both an equity and a commodity exchange business day. The positions are rebalanced to equal weights on that day. If either the MCX or the BSE is closed on a particular day at the end of the month, that day is not used in the calculation of the five business days.

Table 1: Futures Contracts Roll Rebalancing Month Roll Out Roll In Month (M) Expiration in Month (M+1) Expiration in Month (M+2)

For example, at the beginning of February 2016, the hypothetical portfolio holds the Mar- 16 futures. On Febuary 23rd, the futures contract is rolled into the Apr-16 futures. The positions are rebalanced so that the notional of the Apr-16 futures equals the equity position. The equal-weight rebalancing occurs monthly.

Table 2: February 2016 Calendar February 2016 S M T W T F S 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

The S&P BSE SENSEX Dynamic Gold Hedged Index rolls to the next Gold Mini futures contract in the last five trading days of the month. On each day, 20% of the gold futures contract is rolled into the new contract. The roll schedule is illustrated in Table 1.

Asia Index Private Limited: S&P BSE SENSEX Gold Hedged Indices Methodology 5 Index Maintenance

Rebalancing

S&P BSE SENSEX Gold Hedged Index. The index is rebalanced monthly so that the notional exposure to equity and gold is equal after the close of the fifth-to-the-last business day that is both an equity and a commodity exchange business day. The positions are rebalanced to equal weights on that day. If either the MCX or the BSE is closed on a particular day at the end of the month, that day is not used in the calculation of the five business days. No announcements are made. The index also has a limited loss provision as follows: • By the close of any given business day, if the S&P BSE SENSEX Gold Hedged Index loses 80% or more since the last rebalancing day then the S&P BSE SENSEX Gold Hedged Index rebalances on that business day. It rebalances again normally after the close of the fifth-to-the-last business day of the month.

S&P BSE SENSEX Dynamic Gold Hedged Index. The index is rebalanced in the last five trading days of the month during the roll period of the Gold Mini futures contracts. It is also rebalanced if the difference between the values of the gold futures exposure and the equity exposure is more than 10% above or below the value of the index as of the last rebalancing, or if the sum of the equity return and gold futures return since the last rebalancing is more than 20% or below -20%.

On any rebalancing day, the S&P BSE SENSEX Dynamic Gold Hedged Index calculates the number of units of futures to hold after closing, and is rebalanced on t+1.

Base Date and History Availability

Index history availability, base dates and base values are shown in the table below.

Launch First Base Index Date Value Date Base Date Value S&P BSE SENSEX Gold Hedged Index 04/05/2016 06/13/2005 06/13/2005 1000 S&P BSE SENSEX Dynamic Gold 04/05/2016 06/13/2005 06/13/2005 1000 Hedged Index

Asia Index Private Limited: S&P BSE SENSEX Gold Hedged Indices Methodology 6 Index Governance

Index Committee

The S&P BSE Index Committee oversees the indices. The Index Committee is composed of full time employees of S&P Dow Jones Indices and the BSE. The Index Committee meets regularly. At each meeting, the Index Committee reviews any significant market events. In addition, the Index Committee may revise index policy for timing of rebalancings or other matters.

Asia Index Private Limited considers information about changes to its indices and related matters to be potentially market moving and material. Therefore, all Index Committee discussions are confidential.

For information on Quality Assurance and Internal Reviews of Methodology, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document and/or Commodities Indices Policies & Practices document available at www.spdji.com.

Asia Index Private Limited: S&P BSE SENSEX Gold Hedged Indices Methodology 7 Index Policy

Announcements

Announcements of the daily index values are made after the equity and futures markets close each day. As the MCX closes at 11:30/11:55 PM Indian Standard Time, the announcement of index values may be made on the next day.1 The index is calculated daily when the Indian exchanges are open for official trading, excluding holidays and weekends.

For more information on S&P Dow Jones Indices’ announcements, please refer to the Announcement Policy located on our Web site, www.spdji.com.

Unscheduled Market Closures

Equity Asset Class. In situations where an exchange is forced to close early due to unforeseen events, such as computer or electric power failures, weather conditions or other events, S&P Dow Jones Indices will calculate the closing price of the indices based on (1) the closing prices published by the exchange, or (2) if no closing price is available, the last regular trade reported for each security before the exchange closed. If an exchange fails to open due to unforeseen circumstances, S&P Dow Jones Indices treats this closure as a standard market holiday. The index will use the prior day’s closing prices and shifts any corporate actions to the following business day. If all exchanges fail to open or in other extreme circumstances, S&P Dow Jones Indices may determine not to publish the index for that day.

Commodity Futures Asset Class. In situations where an exchange is forced to close early due to unforeseen events, such as computer or electric power failures, weather conditions or other events, S&P Dow Jones Indices will calculate the value of the index based on most recent futures price published by the exchange. If an exchange fails to open due to unforeseen circumstances, S&P Dow Jones Indices may determine not to publish the index for that day.

If a market disruption occurs on a roll/rebalancing day, the monthly roll/rebalancing will be performed on the next business day that both the BSE and MCX are open. The prices of the S&P BSE SENSEX Total Return Index and Gold Mini futures on the actual roll/rebalancing day shall be used.

1 For further information on MCX closing times, please refer to the MCX Web site, www.mcxindia.com.

Asia Index Private Limited: S&P BSE SENSEX Gold Hedged Indices Methodology 8 For further information on Unexpected Exchange Closures, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document and/or Commodities Indices Policies & Practices document located on our Web site, www.spdji.com.

Recalculation Policy

S&P Dow Jones Indices reserves the right to recalculate an index under certain limited circumstances. S&P Dow Jones Indices may choose to recalculate and republish an index if it is found to be incorrect or inconsistent within two trading days of the publication of the index level in question for one of the following reasons:

Equity Asset Class Commodity Futures Asset Class 1. Incorrect or revised closing price 1. Index methodology event 2. Missed corporate event 2. Late announcement 3. Late announcement of a corporate event 3. Revised source data 4. Incorrect application of corporate action or index methodology

Any other restatement or recalculation of an index is only done under extraordinary circumstances to reduce or avoid possible market impact or disruption as solely determined by the Index Committee.

For more information on the recalculation policy and Error Corrections, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices and Commodities Indices Policies & Practices documents for the equity asset and commodity futures asset classes, respectively. These documents are located on our Web site, www.spdji.com.

For information on Calculations and Pricing Disruptions, Market Disruption Events and Holidays During Roll Period, Expert Judgment and Data Hierarchy, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices and Commodities Indices Policies & Practices documents for the equity asset and commodity futures asset classes, respectively. These documents are located on our Web site, www.spdji.com.

Asia Index Private Limited: S&P BSE SENSEX Gold Hedged Indices Methodology 9 Index Dissemination

Index levels are available through S&P Dow Jones Indices’ Web site at www.spdji.com, Asia Index Private Limited’s Web site at www.asiaindex.co.in, major quote vendors (see codes below), numerous investment-oriented Web sites, and various print and electronic media.

Tickers

Index Bloomberg S&P BSE SENSEX Gold Hedged SPBSGLDH S&P BSE SENSEX Dynamic Gold Hedged SPBSDGDH

FTP

Daily stock level and index data are available via FTP subscription.

For product information, please contact S&P Dow Jones Indices, www.spdji.com/contact-us.

Web site

For further information, please refer to S&P Dow Jones Indices’ Web site at www.spdji.com.

Asia Index Private Limited: S&P BSE SENSEX Gold Hedged Indices Methodology 10 Contact Information

Index Management

David M. Blitzer, Ph.D. – Managing Director & Chairman of the Index Committee [email protected] +1.212.438.3907 Khushro Bulsara – Head of Listing Compliance & Legal [email protected] +91.22.2272.8241 Neeraj Kulshreshtha – Chief of Business Operations [email protected] +91.22.2272.8484

Product Management

Arunkumar Dolas [email protected] +91.22.2272.5234 Mahavir Kaswa [email protected] +91.22.2272.5206

Media Relations

Soogyung Jordan – Communications [email protected] +1.212.438.2297

Client Services

[email protected]

Asia Index Private Limited: S&P BSE SENSEX Gold Hedged Indices Methodology 11 Disclaimer

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Asia Index Private Limited: S&P BSE SENSEX Gold Hedged Indices Methodology 14