S&P/KRX Exchanges Index Methodology

S&P/KRX Exchanges Index Methodology July 2021 S&P Dow Jones Indices: Index Methodology Table of Contents Introduction 3 Index Objective 3 Partnership 3 Supporting Documents 3 Eligibility Criteria 4 Index Eligibility 4 Eligibility Factors 4 Multiple Share Classes 4 Index Construction 5 Approaches 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 Holiday Schedule 10 Rebalancing 10 Closing Calculation 10 Unexpected Exchange Closures 10 Recalculation Policy 10 Contact Information 10 Index Dissemination 11 Tickers 11 S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 1 Index Data 11 Web sites 11 Appendix 12 EU Required ESG Disclosures 12 Disclaimer 13 S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 2 Introduction Index Objective The S&P/KRX Exchanges Index is comprised of leading publicly traded financial exchanges that meet size, liquidity, and tradability requirements. The index is designed to measure the listed financial exchange industry. Constituents are weighted by float-adjusted market capitalization, subject to a weight cap of 10%. Partnership The S&P/KRX Exchanges Index is designed and developed jointly by S&P Dow Jones Indices and the Korea Exchange. The index is owned, calculated, maintained and distributed by S&P Dow Jones Indices. 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 S&P Dow Jones Indices’ Global Industry GICS Methodology Classification Standard (GICS) 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/KRX Exchanges Index Methodology 3 Eligibility Criteria Index Eligibility The universe is derived from all publicly listed global financial exchanges in the S&P Global BMI (excluding China A shares) and S&P Frontier BMI indices. Financial exchanges are defined as a centralized location of trading for any type of financial instrument including equities, fixed income securities, futures, options, and other derivatives, classified as part of the GICS Financial Exchanges & Data Sub-Industry (code: 40203040). Eligibility Factors The universe is, then, narrowed down to an investable set of stocks based on the following criteria: Market Capitalization. The security must have an average daily float-adjusted market capitalization (FMC) greater than US$ 200 million for the preceding six months, as of each rebalancing reference date. Please refer to S&P Dow Jones Indices’ Float Adjustment Methodology for a detailed description of float adjustment and Investable Weight Factor (IWF). Liquidity. All index constituents must have a minimum average daily value traded (ADVT) of US$ 1 million for the preceding six months, as of each rebalancing reference date. Eligible Securities. All common shares (which are of an equity and not of a fixed income nature) are eligible for inclusion in the index. Preferred shares, convertible stocks, bonds, warrants, rights, and other stocks that provide a guaranteed fixed return are not eligible. Trading History. Except for Initial Public Offerings (IPOs) reviewed during the Semi-Annual Review, each eligible stock must have been trading for at least six months prior to the rebalancing reference date. IPOs. During the Semi-Annual Review, an IPO can have traded for less than six months and still be eligible, provided the IPO meets all other eligibility criteria.1 Stocks passing these criteria form the Selection Universe. 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. 1 IPOs with less than six months of trading history must meet the above threshold for their entire listing period. S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 4 Index Construction Approaches There are two steps in the creation of the index. The first is the selection of index constituents; the second is the weighting of the constituents within the index. Constituent Selection 1. The initial selection universe consists of all publicly listed global financial exchanges in the S&P Global BMI (excluding China A shares) and S&P Frontier BMI indices. 2. The six-month ADVT (hereafter referred to as “Liquidity”) and the six-month daily FMC are measured, as of the rebalancing reference date. 3. All stocks with a six-month daily FMC of less than US$ 200 million (the “Market Cap Threshold”) and/or Liquidity of less than US$ 1 million (the “Liquidity Threshold”) are removed. The remaining stocks become index constituents. Constituent Weightings At each rebalancing, each constituent’s weight is equal to its float-adjusted market capitalization divided by the total float-adjusted market capitalization of all the stocks in the index. Any stock whose float- adjusted market capitalization exceeds 10% of the total will be capped at 10%, with the excess weight proportionally redistributed to uncapped constituents. Index Calculations The index is calculated using the divisor methodology used in all S&P Dow Jones Indices’ equity indices. For more information on the index calculation methodology, please refer to S&P Dow Jones Indices’ Index Mathematics Methodology. S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 5 Index Maintenance Rebalancing Annual Rebalancing. The index is rebalanced once a year, effective after the market close of the third Friday in December. The reference date for the data used in the annual rebalancing is after the market close of the last trading day of November. Semi-annual Review. The index is also reviewed in June. An additional rebalancing is triggered if, at the time of the review, an IPO has occurred since the prior December annual rebalancing that would qualify for the index based on the eligibility and selection criteria stated above. The IPO must have an average six-month daily float-adjusted market capitalization over US$ 800 million at the time of the review. If the June review triggers an additional rebalancing, it takes place after the market close of the third Friday in June. The reference data used in the review is after the market close of the last trading date of May. Additions. Except for spin-offs, companies can only be added to the index at the time of rebalancing. Deletions. Between rebalancings, a company can be deleted from the index due to corporate events such as mergers, acquisitions, delistings or a significant event that affects company size and/or liquidity. In addition, constituents whose GICS classification changes are reviewed and removed at the subsequent rebalancing. Corporate Actions Divisor Corporate Action Adjustment Made to Index Adjustment? Spin-off Please refer to the Treatment of Spin-offs in S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology. Rights Offering The price is adjusted to the Price of the Parent Company No minus (the 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 Index Shares are multiplied by and price is divided by the No split, reverse stock split factor. split Share Issuance, None. No Share Repurchase, Equity Offering or Warrant Conversion Special Dividends Price of the stock making the special dividend payment is Yes reduced by the per share special dividend amount after the close of trading on the day before the dividend ex-date. Constituent Change Except for spin-offs, there are no intra-rebalancing additions. - Deletions due to delistings, acquisition or any other corporate Yes event resulting in the deletion of the stock from the Index will cause the weights of the rest of the stocks in the index to change. Relative weights will 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/KRX Exchanges Index Methodology 6 Currency of Calculation and Additional Index Return Series The index calculates in U.S. dollars, Korean won, Hong Kong dollars, and Japanese yen. The closing value of the index is calculated using WM Refinitiv closing spot foreign exchange rates taken daily at 4:00 PM London Time. 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.

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