Barclays Bank PLC may, from time to time, offer
and sell certain debt securities (the “notes”), as part of our Global Medium-Term Notes, Series A, and our universal
warrants (the “warrants” and together with the notes, the “securities”), linked to one or more indices
or exchange-traded funds.
This prospectus supplement, which we refer to
as an “underlying supplement,” describes potential indices and exchange-traded funds to which the securities may be linked.
This underlying supplement supplements the disclosure in any pricing supplement that may reference it, any applicable product supplement,
the accompanying prospectus supplement and prospectus. A pricing supplement will describe terms that apply to specific issuances of the
securities and may include updates or other modifications to the description of any relevant index or exchange-traded fund contained in
this underlying supplement. You should read this underlying supplement, the related prospectus supplement dated June 27, 2022, the related
prospectus dated May 23, 2022, any applicable product supplement and the applicable pricing supplement carefully before you invest. If
the applicable pricing supplement is inconsistent with this underlying supplement, the applicable pricing supplement will control. Information
that we indicate in this underlying supplement will or may be provided in a pricing supplement may instead be provided in a product supplement
or a free writing prospectus.
This underlying supplement describes only select
indices and exchange-traded funds to which the applicable securities may be linked. We do not guarantee that we will offer securities
linked to any of the indices or exchange-traded funds described herein. In addition, we may offer securities linked to one or more indices
or exchange-traded funds that are not described herein. In such an event, we will describe any such additional indices or exchange-traded
funds in the applicable pricing supplement or in any applicable product supplement.
Barclays Capital Inc. and other entities disclosed
in the applicable pricing supplement may solicit offers to subscribe for the securities as our agent. We may also issue securities to
any agent as principal for its own account at prices to be agreed upon at the time of subscription. The agents may resell any securities
they subscribe for as principal for their own accounts at prevailing market prices, or at other prices, as the agents determine. The applicable
pricing supplement will disclose the agent’s discounts and commissions, if any. Unless we or our agent informs you otherwise
in the confirmation of sale, the agents may also use this underlying supplement, the prospectus, the prospectus supplement, the applicable
pricing supplement and any applicable product supplement in connection with offers and sales of the securities in market-making.
Defining Market Capitalization Size Segments for Each
Market
Once a market investable equity universe is defined,
it is segmented into the following size-based indices (each, a “Size Segment Index”), with the following free float-adjusted
market capitalization market coverage target ranges:
| (i) | Investable Market Index (Large + Mid + Small): 99%+1% or -0.5% |
| (ii) | Standard Index (Large + Mid): 85% ± 5% |
| (iii) | Large Cap Index: 70% ± 5% |
| (iv) | Mid Cap Index: The Mid Cap Index market coverage in each market is derived as the difference between the market coverage of the Standard
Index and the Large Cap Index in that market. |
| (v) | Small Cap Index: The Small Cap Index market coverage in each market is derived as the difference between the free float-adjusted market
capitalization coverage of the Investable Market Index and the Standard Index in that market. |
Treatment of Securities that Exhibit Extreme Price
Increase: Additional size segment investability requirements are set for the Investable Market and the Standard Indices. For instance,
securities that exhibit extreme price increase will not be eligible for addition into the Standard Index but will continue to be considered
as part of the market investable equity universe. Such securities will be re-evaluated for Standard Index inclusion at the subsequent
index review using Standard Index inclusion criteria, including the applicable return-based thresholds for extreme price increase. MSCI
will evaluate the 5-day to 60-day excess returns, in increments of 5 days, as of the price cutoff date of the index review, for additions
to the Standard Indices. Excess return is calculated as the difference between the return of a security for the relevant period and the
average return of Investable Market Index constituents belonging to the same country-sector where the security is classified (in terms
of country of classification and GICS® classification at the sector level). For country-sectors that have five or fewer
Investable Market Index constituents, the relevant country Investable Market Index return is used instead. IPOs that do not meet the minimum
length of trading requirement but meet all other criteria for Standard Index inclusion are not subject to this requirement.
Index Continuity Rules for the Standard Indices
In order to achieve index continuity, as well
as provide some basic level of diversification within a market index, notwithstanding the effect of other index construction rules, a
minimum number of five constituents will be
maintained
for a DM Standard Index and a minimum number of three constituents will be maintained for an EM Standard Index.
If, after the application of the index construction
methodology, a Standard Index contains fewer than five securities in a DM or three securities in an EM, then the largest securities by
free float-adjusted market capitalization among the securities included in the market investable equity universe are added to the Standard
Index in order to reach five constituents in that DM or three in that EM. At subsequent index reviews, if, after the application of the
index maintenance methodology, a Standard Index contains fewer than five securities in a DM or three securities in an EM, then the remaining
securities are selected for inclusion by ranking such securities by descending free float-adjusted market capitalization and multiplying
the free float-adjusted market capitalization of such securities by a factor of 1.5.
Constructing and Calculating the Individual Global Investable
Market Indices
After companies are allocated to their respective
size segments and securities are reviewed for complying with the final size-segment requirements, the final list of constituents for each
Size Segment Index is determined. The MSCI Investable Market Indices are composed of the MSCI Standard Indices and the MSCI Small Cap
Indices. The MSCI Standard Indices are further subdivided into the MSCI Large Cap and the MSCI Mid Cap Indices. Two or more market indices
can be combined to form composite indices. Market indices can be grouped either on the basis of market classification definition, geographical
regions, economic regions or other criteria.
Maintenance of the MSCI Global Investable Market Indices
The MSCI Global Investable Market Indices are
maintained with the objective of reflecting the evolution of the underlying equity markets and segments on a timely basis, while seeking
to achieve index continuity, continuous investability of constituents and replicability of the indices, and index stability and low index
turnover.
In particular, index maintenance involves semi-annual
index reviews in May and November of the Size Segment and Global Value and Growth Indices and quarterly index reviews in February and
August of the Size Segment Indices. Semi-annual index reviews include updating the indices on the basis of a fully refreshed equity universe;
taking buffer rules into consideration for migration of securities across size and style segments; and updating FIFs and number of shares
(“NOS”). Quarterly index reviews include adding significant new eligible securities (such as IPOs that were not eligible
for earlier inclusion) in the index; allowing for significant moves of companies within the Size Segment Indices, using wider buffers
than in the semi-annual index reviews; and reflecting the impact of significant market events on FIFs and updating NOS.
In addition, ongoing event-related changes to
the indices are made as the result of mergers, acquisitions, spin-offs, bankruptcies, reorganizations and other similar corporate events.
They can also result from capital reorganizations in the form of rights issues, bonus issues, public placements and other similar corporate
actions that take place on a continuing basis. These changes generally are reflected in the indices at the time of the event. Significantly
large IPOs are included in the indices after the close of the company’s tenth day of trading.
Index Calculation
The MSCI Indices are calculated using the Laspeyres’
concept of a weighted arithmetic average together with the concept of chain-linking. As a general principle, today’s index level
is obtained by applying the change in the market performance to the previous period index level.
Treatment of Investment Sanctions Related to U.S. Executive Order
13959
The U.S. Executive Order 13959 dated November
12, 2020 which prohibits transactions by U.S. persons in certain Chinese companies (the “Order”), along with clarification
from the Office of Foreign Assets Control (“OFAC”), results in the deletion from/non-inclusion in the MSCI Global Investable
Market Indices of relevant impacted securities.
On January 5, 8 and 26, 2021, MSCI deleted securities
impacted by the Order from the MSCI Global Investable Market Indices. Following the amendment of the Order on June 3, 2021, OFAC has published
the Non-SDN Chinese Military-Industrial Complex Companies List (the “NS-CMIC List”) and related security tickers. MSCI
deleted
the securities included in OFAC’s NS-CMIC List from the MSCI Global Investable Market Indices as of the close of July 26, 2021.
MSCI continues to monitor for updates the NS-CMIC
List and related security tickers impacted by the Order. Furthermore, securities which are not included in the NS-CMIC List but belong
to the same issuer as a security already included in the NS-CMIC List will also be considered impacted by the Order.
Securities impacted by the Order are considered
to be ineligible for inclusion in the MSCI Global Investable Market Indices. Securities that are impacted by the Order that are assigned
to a size segment will have an adjustment factor of 0 applied and hence will not be included in the relevant Size Segment Indices. Existing
index constituents impacted by the Order will be deleted from the MSCI Global Investable Market Indices. At the time of their deletion
from the MSCI Global Investable Market Indices, the securities will be retained in their existing size segment and will continue to be
included in the market investable equity universe.
License Agreement
We have entered into a non-exclusive license agreement
with MSCI whereby we, in exchange for a fee, are permitted to use the MSCI Indices in connection with certain securities, including the
securities. We are not affiliated with MSCI; the only relationship between MSCI and us is any licensing of the use of MSCI’s indices
and trademarks relating to them.
THE SECURITIES ARE NOT SPONSORED OR ENDORSED
BY MSCI, ANY AFFILIATE OF MSCI OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX. THE SECURITIES ARE NOT
SOLD OR PROMOTED BY MSCI, ANY AFFILIATE OF MSCI OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX. THE
MSCI INDICES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARKS OF MSCI OR ITS AFFILIATES AND HAVE BEEN
LICENSED FOR USE FOR CERTAIN PURPOSES BY BARCLAYS BANK PLC. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED
TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF THE SECURITIES OR ANY
MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN FINANCIAL SECURITIES GENERALLY OR IN THE SECURITIES PARTICULARLY OR THE
ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS,
SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDICES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THE SECURITIES
OR TO BARCLAYS BANK PLC OR ANY OWNER OF THE SECURITIES. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED
TO, MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION TO TAKE THE NEEDS OF BARCLAYS BANK PLC OR OWNERS OF THE SECURITIES INTO CONSIDERATION
IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDICES. NEITHER MSCI, ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO,
MAKING OR COMPILING ANY MSCI INDEX IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES
OF THE SECURITIES TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH THE SECURITIES ARE REDEEMABLE FOR CASH.
NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, THE MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION
OR LIABILITY TO THE OWNERS OF THE SECURITIES IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THIS FINANCIAL PRODUCT.
NOTWITHSTANDING THE FOREGOING, CERTAIN AFFILIATES
OF MSCI MAY ACT AS DEALERS IN CONNECTION WITH THE SALE OF THE SECURITIES AND, AS SUCH, MAY SELL OR PROMOTE THE SECURITIES OR MAY BE INVOLVED
IN THE ADMINISTRATION, MARKETING OR OFFERING OF THIS FINANCIAL PRODUCT.
ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR
INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI INDICES FROM SOURCES WHICH MSCI CONSIDERS RELIABLE,
NEITHER
MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX WARRANTS OR GUARANTEES
THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NEITHER MSCI, ANY OF ITS AFFILIATES
NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS
TO BE OBTAINED BY BARCLAYS BANK PLC, BARCLAYS BANK PLC’S CUSTOMERS OR COUNTERPARTIES, OWNERS OF THE SECURITIES, OR ANY OTHER PERSON
OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER
USE. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX SHALL HAVE
ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER,
NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY EXPRESS
OR IMPLIED WARRANTIES OF ANY KIND, AND MSCI, ANY OF ITS AFFILIATES AND ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING
ANY MSCI INDEX HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO ANY MSCI
INDEX AND ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL MSCI, ANY OF ITS AFFILIATES OR ANY OTHER
PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE,
CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
No purchaser, seller or holder of the securities,
nor any other person or entity, should use or refer to any MSCI trade name, trademark or service mark to sponsor, endorse, market or promote
the securities without first contacting MSCI to determine whether MSCI’s permission is required. Under no circumstances may any
person or entity claim any affiliation with MSCI without the prior written permission of MSCI.
THE NASDAQ-100 INDEX®
All information contained in this underlying supplement
regarding the Nasdaq-100 Index®, including, without limitation, its make-up, method of calculation and changes in its components,
has been derived from publicly available information, without independent verification. This information reflects the policies of, and
is subject to change by, Nasdaq, Inc. (“Nasdaq”). The Nasdaq-100 Index® is calculated, maintained and
published by Nasdaq. Nasdaq has no obligation to continue to publish, and may discontinue the publication of, the Nasdaq-100 Index®.
The Nasdaq-100 Index® is a modified
market capitalization-weighted index that is designed to measure the performance of 100 of the largest non-financial companies listed
on The Nasdaq Stock Market. The Nasdaq-100 Index®, which includes companies across a variety of major industry groups,
was launched on January 31, 1985, with a base index value of 125.00, as adjusted. The Nasdaq-100 Index® is reported
by Bloomberg L.P. under the ticker symbol “NDX.”
The index share weights of the
component securities of the Nasdaq-100 Index® at any time are based upon the total shares outstanding (“TSO”)
in each of those securities and are additionally subject, in certain cases, to rebalancing. Accordingly, each security’s influence
on the level of the Nasdaq-100 Index® is directly proportional to the value of its index share weight.
Calculation of the Nasdaq-100 Index®
At any moment in time, the value of the Nasdaq-100
Index® equals the aggregate value of the then-current index share weights of each of the Nasdaq-100
Index® component securities, which are based on the TSO of each such Nasdaq-100 Index® component
security, multiplied by each such security’s respective last sale price on The Nasdaq Stock Market (which may be the official closing
price published by The Nasdaq Stock Market) and divided by a scaling factor (the “Divisor”), which becomes the basis
for the reported Nasdaq-100 Index® value. The Divisor serves the purpose of scaling such aggregate value to a lower
order of magnitude which is more desirable for index reporting purposes.
Security Eligibility Criteria
Eligible security types generally include American
depositary receipts, common stocks, ordinary shares and tracking stocks. Companies organized as real estate investment trusts (“REITs”)
are not eligible for index inclusion. If the security is a depositary receipt representing a security of a non-U.S. issuer, then references
to the “issuer” are references to the underlying security and the TSO is the actual depositary shares outstanding as
reported by the depositary banks.
If an issuer has listed multiple security classes,
all security classes are eligible, subject to meeting all other security eligibility criteria.
The issuer of the security’s primary U.S.
listing must exclusively be listed on the Nasdaq Global Select Market or the Nasdaq Global Market. If the issuer of the security is organized
under the laws of a jurisdiction outside the United States, then such security must have listed options on a registered options market
in the United States or be eligible for listed options trading on a registered options market in the United States.
The security must be classified as a non-financial
company (any industry other than financials) according to the Industry Classification Benchmark.
There is no market capitalization eligibility
criterion. Each security must have a minimum average daily trading volume of 200,000 shares (measured over the three calendar months ending
with the month that includes the reconstitution reference date).
The security must have traded for at least three
full calendar months, not including the month of initial listing, on an eligible exchange, which includes Nasdaq (Nasdaq Global Select
Market, Nasdaq Global Market or Nasdaq Capital Market), NYSE, NYSE American or Cboe BZX. Eligibility is determined as of the constituent
selection reference date and includes that month. A security that was added to the Nasdaq-100 Index® as the result of a
spin-off event will be exempt from the seasoning requirement. There is no float eligibility criterion.
The issuer of the security generally may not currently
be in bankruptcy proceedings.
The issuer of the security generally may not have
entered into a definitive agreement or other arrangement that would make it ineligible for index inclusion and where the transaction is
imminent as determined by the Nasdaq Index Management Committee.
Reconstitution and Rebalancing of the Nasdaq-100 Index®
Nasdaq selects constituents once annually in December.
The security eligibility criteria are applied using market data as of the end of October and TSO as of the end of November. Index reconstitutions
are announced in early December and become effective after the close of trading on the third Friday in December.
The Nasdaq-100 Index® is rebalanced
on a quarterly basis in March, June, September and December. The Nasdaq-100 Index® rebalance uses the TSO and last sale
price of all Nasdaq-100 Index® securities as of the prior month-end (February, May, August and November respectively).
Index rebalance changes are announced in early March, June, September and December and become effective after the close of trading on
the third Friday in March, June, September and December. A special rebalance may be conducted at any time based on the weighting restrictions
described in the index rebalance procedure if it is determined to be necessary to maintain the integrity of the Nasdaq-100 Index®.
Constituent Selection
A reconstitution is conducted on an annual basis,
at which time all eligible issuers, ranked by market capitalization, are considered for index inclusion based on the following order of
criteria.
| 1. | The top 75 ranked issuers will be selected for inclusion in the Nasdaq-100 Index®. |
| 2. | Any other issuers that were already members of the Nasdaq-100 Index® as of the reconstitution reference date and are
ranked within the top 100 are also selected for inclusion in the Nasdaq-100 Index®. |
| 3. | In the event that fewer than 100 issuers pass the first two criteria, the remaining positions will first be filled, in rank order,
by issuers currently in the Nasdaq-100 Index® ranked in positions 101-125 that were ranked in the top 100 at the previous
reconstitution or replacement- or spin-off-issuers added since the previous reconstitution. |
| 4. | In the event that fewer than 100 issuers pass the first three criteria, the remaining positions will be filled, in rank order, by
any issuers ranked in the top 100 that were not already members of the Nasdaq-100 Index® as of the reference date. |
Constituent Weighting
The Nasdaq-100 Index® is a modified
market capitalization-weighted index.
Quarterly Weight Adjustment
The Nasdaq-100 Index®’s quarterly
weight adjustment employs a two-stage weight adjustment scheme according to issuer- level constraints.
Nasdaq-100 Index® securities’
initial weights are determined using up to two calculations of market capitalization: TSO-derived market capitalization and index share-derived
market capitalization. TSO-derived market capitalization is defined as a security’s last sale price times its TSO. Nasdaq-100 Index®
share-derived market capitalization is defined as a security’s last sale price times its updated index shares as of the prior month
end. Both TSO-derived and index share-derived market capitalizations can be used to calculate TSO-derived and index share-derived initial
index weights by dividing each index security’s (TSO- or index share-derived) market capitalization by the aggregate (TSO- or index
share-derived) market capitalization of all index securities.
When the rebalance coincides with the reconstitution,
only TSO-derived initial weights are used. When the rebalance does not coincide with the reconstitution, index share-derived initial weights
are used when doing so results in no weight adjustment; otherwise, TSO-derived weights are used in both stages of the weight adjustment
procedure. Issuer weights are the aggregated weights of the issuers’ respective index securities.
Stage 1. If no initial issuer weight exceeds
24%, initial weights are used as Stage 1 weights; otherwise, initial weights are adjusted so that no issuer weight may exceed 20% of the
Nasdaq-100 Index®.
Stage 2. If the aggregate weight of the
subset of issuers whose Stage 1 weights exceed 4.5% does not exceed 48%, Stage 1 weights are used as final weights; otherwise, Stage 1
weights are adjusted so that the aggregate weight of the subset of issuers whose Stage 1 weights exceed 4.5% is set to 40%.
Annual Weight Adjustment
The Nasdaq-100 Index®’s annual
weight adjustment employs a two-stage weight adjustment scheme according to security-level constraints. Nasdaq-100 Index®
securities’ initial weights are determined via the quarterly weight adjustment procedure.
Stage 1. If no initial security weight
exceeds 15%, initial weights are used as Stage 1 weights; otherwise, initial weights are adjusted so that no security weight may exceed
14% of the Nasdaq-100 Index®.
Stage 2. If the aggregate weight of the
subset of index securities with the five largest market capitalizations is less than 40%, Stage 1 weights are used as final weights; otherwise,
Stage 1 weights are adjusted so that (i) the aggregate weight of the subset of index securities with the five largest market capitalizations
is set to 38.5% and (ii) no security with a market capitalization outside the largest five may have a final index weight exceeding the
lesser of 4.4% or the final index weight of the index security ranked fifth by market capitalization.
Maintenance of the Nasdaq-100 Index®
Deletion Policy
If, at any time other than an index reconstitution,
Nasdaq determines that an index security is ineligible for index inclusion, the index security is removed as soon as practicable.
This may include:
| · | Listing on an ineligible index exchange. |
| · | Merger, acquisition or other major corporate event that would adversely impact the integrity of the Nasdaq-100 Index®. |
| · | If a company is organized as a REIT. |
| · | If an index security is classified as a financial company (financials industry) according to the ICB. |
| · | If the issuer has an adjusted market capitalization below 0.10% of the aggregate adjusted market capitalization of the Nasdaq-100
Index® for two consecutive month ends. |
| · | If a security that was added to the Nasdaq-100 Index® as the result of a spin-off event has an adjusted market capitalization
below 0.10% of the aggregate adjusted market capitalization of the Nasdaq-100 Index® at the end of its second day of regular
way trading as a Nasdaq-100 Index® member. |
In the case of mergers and acquisitions, the effective
date for the removal of an index issuer or security will be largely event-based, with the goal to remove the issuer or security as soon
as completion of the acquisition or merger has been deemed highly probable. Notable events include, but are not limited to, completion
of various regulatory reviews, the conclusion of material lawsuits and/or shareholder and board approvals.
If at the time of the removal of the index issuer
or security there is not sufficient time to provide advance notification of the replacement issuer or security so that both the removal
and replacement can be effective on the same day, the index issuer or security being removed will be retained and persisted in the index
calculations at its last sale price until the effective date of the replacement issuer or security’s entry to the Nasdaq-100 Index®.
Securities that are added as a result of a spin-off
may be deleted as soon as practicable after being added to the Nasdaq-100 Index®. This may occur when Nasdaq determines
that a security is ineligible for inclusion because of
reasons
such as ineligible exchange, security type, industry or adjusted market capitalization. Securities that are added as a result of a spin-off
may be maintained in the Nasdaq-100 Index® until a later date and then removed, for example, if a spin-off security has
liquidity characteristics that diverge materially from the security eligibility criteria and could affect the integrity of the Nasdaq-100
Index®.
Replacement Policy
Securities may be added to the Nasdaq-100 Index®
outside of the index reconstitution when there is a deletion. The index security (or all index securities under the same issuer, if appropriate)
is replaced as soon as practicable if the issuer in its entirety is being deleted from the Nasdaq-100 Index®. The issuer
with the largest market capitalization as of the prior month end which is not in the Nasdaq-100 Index® will replace the
deleted issuer. Issuers that are added as a result of a spin-off are not replaced until after they have been included in a reconstitution.
For pending deletions set to occur soon after
an index reconstitution and/or index rebalance effective date, Nasdaq may decide to remove the index security from the Nasdaq-100 Index®
in conjunction with the index reconstitution and/or index rebalance effective date.
Corporate Actions
In the periods between scheduled index reconstitution
and rebalancing events, individual index securities may be subject to a variety of corporate actions and events that require maintenance
and adjustments to the Nasdaq-100 Index®.
At the quarterly rebalancing, no changes are made
to the Nasdaq-100 Index® from the previous month end until the quarterly share change effective date, with the exception
of corporate actions with an ex-date.
Governance of the Nasdaq-100 Index®
The Nasdaq Index Management Committee approves
all new index methodologies. This committee is comprised of full-time professional members of Nasdaq. The committee meets regularly and
reviews items including, but not limited to, pending corporate actions that may affect Nasdaq-100 Index® constituents,
statistics comparing the composition of the Nasdaq-100 Index® to the market, companies that are being considered as candidates
for addition to the Nasdaq-100 Index® and any significant market events.
License Agreement
For any specific issuance of securities, we will
enter into a non-exclusive license agreement with Nasdaq whereby we, in exchange for a fee, will be permitted to use the Nasdaq-100 Index®
in connection with such securities. We are not affiliated with Nasdaq; the only relationship between Nasdaq and us is any licensing of
the use of Nasdaq’s indices and trademarks relating to them.
The securities are not sponsored, endorsed, sold
or promoted by Nasdaq (including its affiliates) (Nasdaq, with its affiliates, are referred to as the “Corporations”).
The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating
to, the securities. The Corporations make no representations or warranty, express or implied to the owners of the securities or any member
of the public regarding the advisability of investing in securities generally or in the securities particularly, or the ability of the
Nasdaq-100 Index® to track general stock market performance. The Corporations’ only relationship to Barclays Bank
PLC is in the licensing of Nasdaq®, Nasdaq-100® and Nasdaq-100 Index® trademarks or service
marks, and certain trade names of the Corporations and the use of the Nasdaq-100 Index® which is determined, composed and
calculated by Nasdaq without regard to Barclays Bank PLC or the securities. Nasdaq has no obligation to take the needs of Barclays Bank
PLC or the owners of the securities into consideration in determining, composing and calculating the Nasdaq-100 Index®.
The corporations are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of
the securities to be issued or in the determination or calculation of the equation by which the securities is to be converted into cash.
The corporations have no liability in connection with the administration, marketing or trading of the securities.
THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY
AND/OR UNINTERRUPTED CALCULATION OF THE NASDAQ-100 INDEX® OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY,
EXPRESS OR IMPLIED, AS TO RESULTS TO BE
OBTAINED
BY BARCLAYS BANK PLC, OWNERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NASDAQ-100 INDEX® OR
ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY
OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE NASDAQ-100 INDEX® OR ANY DATA INCLUDED THEREIN. WITHOUT
LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE
OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
THE NIKKEI 225 INDEX
All information contained in this underlying supplement
regarding the Nikkei 225 Index, including, without limitation, its make-up, method of calculation and changes in its components, has been
derived from publicly available information, without independent verification. This information reflects the policies of, and is subject
to change by, Nikkei Inc. The Nikkei 225 Index is calculated, maintained and published by Nikkei Inc. Nikkei Inc. has no obligation to
continue to publish, and may discontinue the publication of, the Nikkei 225 Index.
The Nikkei 225 Index is a stock index that measures
the composite price performance of selected Japanese stocks. The Nikkei 225 Index is currently based on 225 underlying stocks (the “Nikkei
Underlying Stocks”) trading on the Tokyo Stock Exchange (“TSE”) representing a broad cross-section of Japanese
industries. Non-ordinary shares, such as shares of exchange-traded funds, real estate investment trusts, preferred stock or other preferred
securities or tracking stocks, are excluded from the Nikkei 225 Index. The Nikkei 225 Index is reported by Bloomberg L.P. under the ticker
symbol “NKY.”
All 225 Nikkei Underlying Stocks are stocks listed
on the TSE Prime Market. Stocks listed on the TSE Prime Market are among the most actively traded stocks on the TSE. Nikkei Inc. rules
require that the 75 most liquid issues (one-third of the component count of the Nikkei 225 Index) be included in the Nikkei 225 Index.
Rules of the Periodic Review
Nikkei Underlying
Stocks are reviewed annually (the “periodic review”) in accordance with the following rules with a base date at the
end of July, and results of the review are applied on the first trading day in October. Results of the review become effective on the
first trading day of October, and the maximum number of Nikkei Underlying Stocks that can be affected is three, excluding any Nikkei Underlying
Stock affected by corporate reorganization near the time of periodic review. Stocks selected by the procedures outlined below are presented
as candidates to a committee composed of academics and market professionals for comment; based on comments from the committee, Nikkei
Inc. determines and announces any changes to the Nikkei Underlying Stocks.
High Liquidity
Group
The top
450 most liquid stocks are chosen from the TSE Prime Market. For purposes of this selection, liquidity is measured by (i) trading volume
in the preceding 5-year period and (ii) the magnitude of price fluctuation by volume in the preceding 5-year period. These 450 stocks
constitute the “High Liquidity Group” for the review. Those Nikkei Underlying Stocks that are not in the High Liquidity
Group are removed. Those stocks that are not currently Nikkei Underlying Stocks but that are in the top 75 of the High Liquidity Group
are added.
Sector Balance
The High
Liquidity Group is then categorized into the following six sectors: Technology, Financials, Consumer Goods, Materials, Capital Goods/Others,
and Transportation and Utilities. These six sector categories are further divided into 36 industrial classifications as follows:
| · | Technology — Pharmaceuticals, Electrical Machinery, Automobiles & Auto Parts, Precision
Instruments and Telecommunications; |
| · | Financials — Banks, Other Financial Services, Securities and Insurance; |
| · | Consumer Goods — Fishery, Food, Retail and Services; |
| · | Materials — Mining, Textiles & Apparel, Paper & Pulp, Chemicals, Petroleum, Rubber,
Ceramics, Steel, Nonferrous Metals and Trading Companies; |
| · | Capital Goods/Others — Construction, Machinery, Shipbuilding, Transportation Equipment,
Other Manufacturing and Real Estate; and |
| · | Transportation/Utilities — Railway & Transport, Marine Transport, Air Transport, Warehousing,
Electric Power and Gas. |
The “appropriate
number” of constituents for each sector is defined to be half the number of stocks in that sector. After the liquidity-based
adjustments, discussed above, a rebalancing is conducted if any of the sectors are over- or under-represented. The degree of representation
is evaluated by comparing the actual number of constituents in the sector against the appropriate number for that sector.
For over-represented
sectors, current constituents in the sector are deleted in the order of liquidity (lowest liquidity first) to correct the overage. For
under-represented sectors, non-constituent stocks are added from the High Liquidity Group in the order of liquidity (highest liquidity
first) to correct the shortage.
Extraordinary Replacement
Rules
Nikkei Underlying
Stocks that meet the following criteria will be deleted from the Nikkei 225 Index: designation as “securities to be delisted”
or “securities on alert,” delisting due to corporate restructuring such as merger, share exchange or share transfer,
or transfer to a market other than the TSE Prime Market.
A constituent
designated as a “security under supervision” remains a constituent at the time of designation. However, Nikkei Inc. may replace
such constituent with a pre-announcement when it is highly inappropriate to keep the stock as a constituent (e.g. the probability
of delisting is extremely high).
When a Nikkei
Underlying Stock is deleted from the Nikkei 225 Index as outlined in the preceding paragraph, a new Nikkei Underlying Stock will be selected
and added, in principle, from the same sector of the High Liquidity Group in order of liquidity. Notwithstanding the foregoing, the following
rules may apply depending on the timing and circumstances of the deletion: (i) when such deletion is scheduled close to the time of the
periodic review, additional stocks may be selected as part of the periodic review process and (ii) when multiple deletions are scheduled
in a season other than the periodic review, additions may be selected using the liquidity and sector balancing rules outlined above.
Procedures to Implement Constituent
Changes
As a general
rule, for both the periodic review and the extraordinary replacement rules, additions and deletions are made effective on the same day
in order to keep the number of Nikkei Underlying Stocks 225. However, under the circumstances outlined below, when an addition cannot
be made on the same day as a deletion, the Nikkei 225 Index may be calculated with fewer than 225 Nikkei Underlying Stocks. In this case,
the divisor is adjusted to ensure continuity.
A Nikkei
Underlying Stock may be delisted when it establishes a parent company through a share transfer or becomes a subsidiary of an unlisted
company through a share exchange. If a new parent company is deemed to be succeeding the business of the delisted company, such new parent
company may become a Nikkei Underlying Stock if it becomes listed. In such case, during the period between the delisting of the original
company and the listing of the new succeeding company, the Nikkei 225 Index may be calculated with fewer than 225 Nikkei Underlying Stocks.
Calculation of the Nikkei 225 Index
The Nikkei 225 Index is a modified, price-weighted
index (i.e., a Nikkei Underlying Stock’s weight in the index is based on its price per share rather than the total market
capitalization of the issuer) that is calculated by (i) multiplying the per share price of each Nikkei Underlying Stock by the corresponding
price adjustment factor for such Nikkei Underlying Stock (a “PAF”), (ii) calculating the sum of all these products
and (iii) dividing such sum by a divisor. The divisor is subject to periodic adjustments as set forth below. The stock prices used in
the calculation of the Nikkei 225 Index are those reported by a primary market for the Nikkei Underlying Stocks (currently the TSE). The
level of the Nikkei 225 Index is calculated every 5 seconds.
The PAF of a Nikkei Underlying Stock will equal
1 if the per share price of such Nikkei Underlying Stock does not exceed 1% of the sum of the adjusted per share prices for all Nikkei
Underlying Stocks. If the per share price of a Nikkei Underlying Stock exceeds 1% of the sum of the adjusted per share prices for all
Nikkei Underlying Stocks, the PAF for such Nikkei Underlying Stock will be calculated in intervals of 0.1 (rounded down) and will equal
the highest possible value that, when multiplied by the per share price of such Nikkei Underlying Stock, does not
exceed 1%
of the sum of the adjusted per share prices for all Nikkei Underlying Stocks. PAFs are evaluated annually on the base date at the end
of July.
In order to maintain continuity of the Nikkei
225 Index in the event of certain changes due to non-market factors affecting the Nikkei Underlying Stocks, such as the addition or deletion
of stocks, substitution of stocks, stock splits or distributions of assets to stockholders, the divisor used in calculating the Nikkei
225 Index is adjusted in a manner designed to prevent any instantaneous change or discontinuity in the level of the Nikkei 225 Index.
Thereafter, the divisor remains at the new value until a further adjustment is necessary as the result of another change. As a result
of such change affecting any Nikkei Underlying Stock, the divisor is adjusted in such a way that the sum of all share prices immediately
after such change multiplied by the applicable PAF and divided by the new divisor (i.e., the level of the Nikkei 225 Index immediately
after such change) will equal the level of the Nikkei 225 Index immediately prior to the change.
License Agreement
For any specific issuance of securities, we will
enter into a non-exclusive license agreement with Nikkei Inc., whereby we, in exchange for a fee, will be permitted to use the Nikkei
225 Index in connection with such securities. We are not affiliated with Nikkei Inc.; the only relationship between Nikkei Inc. and us
is any licensing of the use of Nikkei Inc.’s indices and trademarks relating to them.
The copyright relating to the Nikkei 225 Index
and intellectual property rights as to the indications for “Nikkei,” “Nikkei Stock Average” and “Nikkei
225” and any other rights shall belong to Nikkei Inc. Nikkei Inc. will be entitled to change the details of the Nikkei 225 Index
and to suspend the announcement thereof. All the businesses and implementation relating to our license agreement with Nikkei Inc. will
be conducted exclusively at our risk, and Nikkei Inc. assumes no obligation or responsibility therefor.
The securities are not sponsored, endorsed, sold,
or promoted by Nikkei Inc., and Nikkei Inc. makes no representation whatsoever, whether express or implied, either as to the results to
be obtained from the use of the Nikkei 225 Index and/or the levels at which the Nikkei 225 Index stands at any particular time on any
particular date or otherwise. Nikkei Inc. will not be liable (whether in negligence or otherwise) to any person for any error in the Nikkei
225 Index, and Nikkei Inc. is under no obligation to advise any person of any error therein. Nikkei Inc. is making no representation whatsoever,
whether express or implied, as to the advisability of purchasing or assuming any risk in connection with the securities.
THE RUSSELL INDICES
All information contained in this underlying supplement
regarding the Russell 1000® Index, the Russell 2000® Index and the Russell 3000® Index (each,
a “Russell Index” and collectively, the “Russell Indices”), including, without limitation, their
make-up, method of calculation and changes in their components, has been derived from publicly available information, without independent
verification. This information reflects the policies of, and is subject to change by, FTSE Russell, which is wholly owned by the London
Stock Exchange Group. The Russell Indices are calculated, maintained and published by FTSE Russell. FTSE Russell has no obligation to
continue to publish, and may discontinue the publication of, any of the Russell Indices.
The Russell 1000® Index
The Russell 1000® Index measures
the capitalization-weighted price performance of 1,000 U.S. large-capitalization stocks listed on eligible U.S. exchanges. The companies
included in the Russell 1000® Index are the 1,000 largest companies that form the Russell 3000E™ Index, which is
composed of the 4,000 largest U.S. companies as determined by total market capitalization and represents approximately 99% of the U.S.
equity market. The Russell 1000® Index represents approximately 93% of the United States equity market. The Russell 1000®
Index is reported by Bloomberg L.P. under the ticker symbol “RIY.”
The Russell 2000® Index
The Russell 2000® Index measures
the capitalization-weighted price performance of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges and is designed
to track the performance of the small-capitalization segment of the U.S. equity market. The companies included in the Russell 2000®
Index are the middle 2,000 of the companies that form the Russell 3000E™ Index, which is composed of the 4,000 largest U.S. companies
as determined by total market capitalization and represents approximately 99% of the U.S. equity market. The Russell 2000®
Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
The Russell 3000® Index
The Russell 3000® Index measures
the capitalization-weighted price performance of 3,000 U.S. large-capitalization stocks listed on eligible U.S. exchanges and is designed
to represent the broad U.S. equity market. The companies included in the Russell 3000® Index are the 3,000 largest U.S.
companies that form the Russell 3000E™ Index, which is composed of the 4,000 largest U.S. companies as determined by total market
capitalization and represents approximately 99% of the U.S. equity market. The Russell 3000® Index consists of the 3,000
companies included in the Russell 1000® Index and the Russell 2000® Index, which are subsets of the Russell
3000E™ Index, and represents approximately 97% of the U.S. equity market. The Russell 3000E™ Index is not the same as the
Russell 3000® Index, which is a subset of the Russell 3000E™ Index. The Russell 3000® Index is reported
by Bloomberg L.P. under the ticker symbol “RAY.”
Selection of Stocks Underlying the Russell Indices
The Russell Indices are sub-indices of the Russell
3000E™ Index. To be eligible for inclusion in the Russell 3000E™ Index and, consequently, a Russell Index, a company must
meet the following criteria as of the rank day in May (except that initial public offerings (“IPOs”) are considered
for inclusion on a quarterly basis):
| · | U.S. Equity Market. The company must be determined to be part of the U.S. equity market, meaning that its home country is the
United States. If a company incorporates in, has a stated headquarters location in, and also trades in the same country (ADRs and ADSs
are not eligible), the company is assigned to its country of incorporation. |
If any of the three criteria do not match, FTSE Russell then
defines three Home Country Indicators (“HCIs”): country of incorporation, country of headquarters and country of the
most liquid exchange as defined by two-year average daily dollar trading volume from all exchanges within a country. After the HCIs are
defined, the next step in the country assignment involves an analysis of assets by location. FTSE Russell cross-compares the primary location
of the company’s assets with the three HCIs. If the primary location of assets matches any of the HCIs, then the company is assigned
to its primary asset location.
If there is not enough information to determine a company’s
primary location of assets, FTSE Russell uses the primary location of the company’s revenue for the same cross-comparison and assigns
the company to the appropriate country in a similar fashion. FTSE Russell uses an average of two years of assets or revenue data for analysis
to reduce potential turnover.
If conclusive country details cannot be derived from assets
or revenue, FTSE Russell assigns the company to the country in which its headquarters are located unless the country is a Benefit Driven
Incorporation (“BDI”) country. If the country in which its headquarters are located is a BDI country, the company is
assigned to the country of its most liquid stock exchange. The BDI countries are Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados,
Belize, Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey,
Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten and Turks and Caicos Islands.
| · | U.S. Eligible Exchange. The following exchanges and markets are deemed to be eligible U.S. exchanges: the Chicago Board Options
Exchange, the New York Stock Exchange, NYSE American, The Nasdaq Stock Market and NYSE Arca. Stocks that are not traded on an eligible
U.S. exchange (Bulletin Board, Pink Sheet and over-the-counter securities, including securities for which prices are displayed on the
FINRA Alternative Display Facility) are not eligible for inclusion. |
| · | Minimum Closing Price. A stock must have a close price at or above $1.00 (on its primary exchange), subject to exceptions to
reduce turnover. |
| · | Minimum Total Market Capitalization. Companies with a total market capitalization less than $30 million are not eligible for
inclusion. |
| · | Minimum Free Float. Companies with 5.5% or less of their shares available in the marketplace are not eligible for inclusion. |
| · | Company Structure. Companies structured in the following ways are not eligible for inclusion: royalty trusts, U.S. limited
liability companies, closed-end investment companies, business development companies (and other companies that are required to report
Acquired Fund Fees and Expenses, as defined by the SEC), blank-check companies, special-purpose acquisition companies, limited partnerships,
exchange-traded funds and mutual funds. |
| · | UBTI. Real estate investment trusts and publicly traded partnerships that generate or have historically generated unrelated
business taxable income (“UBTI”) and have not taken steps to block UBTI to equity holders are not eligible for inclusion.
Information used to confirm UBTI impact includes the following publicly available sources: 10-K, SEC Form S-3, K-1, company annual report,
dividend notices or company website. |
| · | Security Types. The following types of securities are not eligible for inclusion: preferred and convertible preferred stock,
redeemable shares, participating preferred stock, warrants, rights, installment receipts and trust receipts. |
| · | Minimum Voting Rights. As of August 2017, more than 5% of a company’s voting rights (aggregated across all of its equity
securities, including, where identifiable, those that are not listed or trading) must be in the hands of unrestricted shareholders. Existing
constituents have a 5 year grandfathering period to comply or they will be removed from each applicable Russell Index at the June 2023
reconstitution. Shares referenced as “non-voting” or providing legally minimum rights only will be viewed as having
no voting power as it relates to the minimum voting rights review. |
| · | Multiple Share Classes. If an eligible company trades under multiple share classes, each share class is reviewed independently
for eligibility for inclusion. Share classes in addition to the primary share class must meet the following minimum size, liquidity and
float requirements to be eligible: (i) total market cap must be larger than $30 million; (ii) average daily dollar trading value must
exceed that of the global median; and (iii) more than 5% of shares must be available in the marketplace. |
Securities of eligible companies are included
in Russell Indices based on total market capitalization. Total market capitalization is determined by multiplying total outstanding shares
by the market price (generally, the last price traded on the primary exchange of the share class with the highest two-year trading volume,
subject to exceptions) as of the rank day in May (except that IPOs are considered for inclusion on a quarterly basis). Common stock, non-restricted
exchangeable shares and partnership units/membership interests (but not operating partnership units of umbrella partnership real estate
investment trusts) are used to calculate a company’s total market capitalization. If multiple share classes of common stock exist,
they are combined to determine total shares outstanding; however, in cases where the common stock share classes act independently of each
other (e.g., tracking stocks), each class is considered for inclusion separately. For merger and spin-off transactions that are effective
between rank day in May and the business day immediately before the index lock-down takes effect ahead of the annual reconstitution in
June, the market capitalizations of the impacted securities are recalculated and membership is re-evaluated as of the effective date of
the corporate action.
The 4,000 securities with the greater total market
capitalization become members of the Russell 3000E™ Index. All remaining Russell Indices are a subset of the Russell 3000E™
Index. Market capitalization breakpoints for the Russell Indices are determined by the breaks between the rankings of companies (based
on descending total market capitalization). Market capitalization breakpoints for the Russell 3000® Index are determined
by the break between the companies ranked #1 through #3,000. Market capitalization breakpoints for the Russell 1000® Index
are determined by the break between the companies ranked #1 through #1,000. Market capitalization breakpoints for the Russell 2000®
Index are determined by the break between the companies ranked #1,001 through #3,000. New members are assigned on the basis of the breakpoints,
and existing members are reviewed to determine if they fall within a cumulative 5% market cap range around these new market capitalization
breakpoints. If an existing member’s market cap falls within this cumulative 5% of the market capitalization breakpoint, it will
remain in its current Russell Index rather than be moved to a different Russell Index.
After membership is determined, a security’s
shares are adjusted to include only those shares available to the public (“free float”). The purpose of this adjustment
is to exclude from market calculations the capitalization that is not available for purchase and is not part of the investable opportunity
set. Stocks in the Russell Indices are weighted by their available (also called float-adjusted) market capitalization. The following types
of shares are removed from total market capitalization to arrive at free float or available market capitalization, based on information
recorded in SEC corporate filings: officers’ and directors’ holdings, private holdings exceeding 10% of shares outstanding,
institutional holdings exceeding 30% of shares outstanding, shares held by publicly listed companies, shares held by an Employee Stock
Ownership Plan or a Leveraged Employee Stock Ownership Plan; shares locked up during an IPO; direct government holdings; and indirect
government holdings exceeding 10% of shares outstanding.
Reconstitution occurs on the fourth Friday in
June. A full calendar for reconstitution is published each spring, with such reconstitution schedule governed by FTSE Russell guidelines.
Corporate Actions and Events Affecting the Russell Indices
FTSE Russell applies corporate actions to the
Russell Indices on a daily basis. FTSE Russell applies the following methodology guidelines, among others, when adjusting the applicable
Russell Index in response to corporate actions:
| · | “No Replacement” Rule. Securities that leave the relevant Russell Index for any reason (e.g., mergers, acquisitions
or other similar corporate activity) are not replaced. Thus, the number of securities in the relevant Russell Index over a year will fluctuate
according to corporate activity. |
| · | Statement of Principles and Adjustments for Specific Corporate Events. FTSE Russell has stated as general principles that the
treatment of corporate events (a) should reflect how such events are likely to be dealt with in investment portfolios to maintain the
portfolio structure in line with the target set out in the index objective and index methodology and (b) should normally be designed to
minimize the trading activity required by investors to match the index performance. No assurance can be provided that corporate actions
and events will be treated by FTSE Russell in a manner consistent with its statement of general principles. |
In addition, FTSE Russell has established guidance for the
treatment of corporate actions and events, including, but not limited to, dividends, capital repayments, companies converting to a REIT
structure,
share buybacks, rights issues, mergers, acquisitions, tender
offers, split-offs, spin-offs, bankruptcies, insolvencies, liquidations and trading suspensions. However, because of the complexities
involved in some cases, those guidelines are not definitive rules that will determine FTSE Russell’s actions in all circumstances.
FTSE Russell reserves the right to determine the most appropriate method of implementation for any corporate event which is not covered
by those guidelines or which is of a complex nature.
| · | Changes to Shares Outstanding and Free Float. Each Russell Index will be reviewed quarterly for updates to shares outstanding
and to free floats used within the calculation of each Russell Index. In March, September and December, shares outstanding and free float
will be updated to reflect cumulative share changes greater than 1%, cumulative free float changes greater than 1% for constituents with
a free float greater than 5% but less than or equal to 15% and cumulative free float changes greater than 3% for constituents with a free
float greater than 15%. In June, the shares and free float updates will be implemented regardless of size. Shares and free float updates
can be triggered in some cases by certain events, such as some primary or secondary offerings. |
License Agreement
Barclays Bank PLC has entered into a non-exclusive
license agreement with FTSE Russell whereby we, in exchange for a fee, are permitted to use the Russell Indices and their related trademarks
in connection with certain securities, including the securities. We are not affiliated with FTSE Russell; the only relationship between
FTSE Russell and us is any licensing of the use of FTSE Russell’s indices and trademarks relating to them.
“Russell 1000® Index,”
“Russell 2000® Index,” “Russell 3000® Index” and “Russell 3000E™ Index”
are trademarks of FTSE Russell and have been licensed for use by Barclays Bank PLC. The securities are not sponsored, endorsed, sold,
or promoted by FTSE Russell and FTSE Russell makes no representation regarding the advisability of investing in the securities.
The securities are not sponsored, endorsed, sold,
or promoted by FTSE Russell. FTSE Russell makes no representation or warranty, express or implied, to the owners of the securities or
any member of the public regarding the advisability of investing in securities generally or in the securities particularly or the ability
of the Russell Indices to track general stock market performance or a segment of the same. FTSE Russell’s publication of the Russell
Indices in no way suggests or implies an opinion by FTSE Russell as to the advisability of investment in any or all of the securities
upon which any Russell Index is based. FTSE Russell’s only relationship to Barclays Bank PLC and its affiliates is the licensing
of certain trademarks and trade names of FTSE Russell and of the Russell Indices which are each determined, composed and calculated by
FTSE Russell without regard to Barclays Bank PLC and its affiliates or the securities. FTSE Russell is not responsible for and has not
reviewed the securities nor any associated literature or publications and FTSE Russell makes no representation or warranty, express or
implied, as to their accuracy or completeness, or otherwise. FTSE Russell reserves the right, at any time and without notice, to alter,
amend, terminate or in any way change any Russell Index. FTSE Russell has no obligation or liability in connection with the administration,
marketing or trading of the securities.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY
AND/OR THE COMPLETENESS OF THE RUSSELL INDICES OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY OMISSIONS,
OR INTERRUPTIONS THEREIN. FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC AND/OR
ITS AFFILIATES, INVESTORS, OWNERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RUSSELL INDICES OR ANY DATA INCLUDED
THEREIN. FTSE RUSSELL 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 RUSSELL INDICES OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN
NO EVENT SHALL FTSE RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS),
EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
THE RUSSELL STYLE INDICES
All information contained in this underlying supplement
regarding the Russell 1000® Growth Index, the Russell 2000® Growth Index and the Russell 3000® Growth
Index (each, a “Russell Growth Index” and collectively, the “Russell Growth Indices”) and the Russell
1000® Value Index, the Russell 2000® Value Index and the Russell 3000® Value Index (each,
a “Russell Value Index” and collectively, the “Russell Value Indices”), including, without limitation,
their make-up, method of calculation and changes in their components, has been derived from publicly available information, without independent
verification. This information reflects the policies of, and is subject to change by, FTSE Russell, which is wholly owned by the London
Stock Exchange Group. The Russell Growth Indices and the Russell Value Indices (each, a “Russell Style Index” and collectively,
the “Russell Style Indices”) are calculated, maintained and published by FTSE Russell. FTSE Russell has no obligation
to continue to publish, and may discontinue the publication of, any of the Russell Style Indices.
The constituents included in each Russell Style
Index are members of the Russell 1000® Index, the Russell 2000® Index or the Russell 3000®
Index (each, a “Russell Index” and collectively, the “Russell Indices”), as applicable. For additional
information about the Russell Indices, please see “Indices—The Russell Indices” in this underlying supplement.
The Russell 1000® Growth Index
The Russell 1000® Growth Index
measures the capitalization-weighted price performance of the stocks included in the Russell 1000® Index that are determined
by FTSE Russell to be growth oriented, with higher price-to-book ratios and higher forecasted and historical growth. The Russell 1000®
Index measures the capitalization-weighted price performance of 1,000 large-capitalization stocks (with respect to the Russell 1000®
Index, the “Component Stocks”) and is designed to track the performance of the large-capitalization segment of the
U.S. equity market. The Russell 1000® Growth Index is reported by Bloomberg L.P. under the ticker symbol “RLG.”
The Russell 1000® Value Index
The Russell 1000® Value Index measures
the capitalization-weighted price performance of the stocks included in the Russell 1000® Index that are determined by
FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted and historical growth. The Russell 1000®
Index measures the capitalization-weighted price performance of 1,000 large-capitalization stocks (with respect to the Russell 1000®
Index, the “Component Stocks”) and is designed to track the performance of the large-capitalization segment of the
U.S. equity market. The Russell 1000® Value Index is reported by Bloomberg L.P. under the ticker symbol “RLV.”
The Russell 2000® Growth Index
The Russell 2000® Growth Index
measures the capitalization-weighted price performance of the stocks included in the Russell 2000® Index that are determined
by FTSE Russell to be growth oriented, with higher price-to-book ratios and higher forecasted and historical growth. The Russell 2000®
Index measures the capitalization-weighted price performance of 2,000 small-capitalization stocks (with respect to the Russell 2000®
Index, the “Component Stocks”) and is designed to track the performance of the small-capitalization segment of the
U.S. equity market. The Russell 2000® Growth Index is reported by Bloomberg L.P. under the ticker symbol “RUO.”
The Russell 2000® Value Index
The Russell 2000® Value Index measures
the capitalization-weighted price performance of the stocks included in the Russell 2000® Index that are determined by
FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted and historical growth. The Russell 2000®
Index measures the capitalization-weighted price performance of 2,000 small-capitalization stocks (with respect to the Russell 2000®
Index, the “Component Stocks”) and is designed to track the performance of the small-capitalization segment of the
U.S. equity market. The Russell 2000® Value Index is reported by Bloomberg L.P. under the ticker symbol “RUJ.”
The Russell 3000® Growth Index
The Russell 3000® Growth Index
measures the capitalization-weighted price performance of the stocks included in the Russell 3000® Index that are determined
by FTSE Russell to be growth oriented, with higher price-to-book ratios and higher forecasted and historical growth. The Russell 3000®
Index measures the capitalization-weighted
price performance
of 3,000 large-capitalization stocks (with respect to the Russell 3000® Index, the “Component Stocks”)
and is designed to represent the broad U.S. equity market. The Russell 3000® Growth Index is reported by Bloomberg L.P.
under the ticker symbol “RAG.”
The Russell 3000® Value Index
The Russell 3000® Value Index measures
the capitalization-weighted price performance of the stocks included in the Russell 3000® Index that are determined by
FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted and historical growth. The Russell 3000®
Index measures the capitalization-weighted price performance of 3,000 large-capitalization stocks (with respect to the Russell 3000®
Index, the “Component Stocks”) and is designed to represent the broad U.S. equity market. The Russell 3000®
Value Index is reported by Bloomberg L.P. under the ticker symbol “RAV.”
Determining Style
FTSE Russell uses a “non-linear probability”
method to assign stocks to a Russell Value Index, an index that measures the capitalization-weighted price performance of the relevant
Component Stocks determined by FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted and historical
growth, and a Russell Growth Index, an index that measures the capitalization-weighted price performance of the relevant Component Stocks
determined by FTSE Russell to be growth oriented, with higher price-to-book ratios and higher forecasted and historical growth.
FTSE Russell uses three variables in the determination
of value and growth. For value, book-to-price (B/P) ratio is used, while for growth, two variables — I/B/E/S forecast medium-term
growth (2-year) and sales per share historical growth (5-year) — are used. The term “probability” is used to
indicate the degree of certainty that a stock is value or growth based on its relative book-to-price (B/P) ratio, I/B/E/S forecast medium-term
growth (2 year) and sales per share historical growth (5 year).
First, the relevant Component Stocks are ranked
by their adjusted book-to-price ratio (B/P), their I/B/E/S forecast medium-term growth (2 year) and sales per share historical growth
(5 year). These rankings are then converted to standardized units, where the value variable represents 50% of the score and the two growth
variables represent the remaining 50%. Next, these units are combined to produce a composite value score (“CVS”).
The relevant Component Stocks are then ranked
by their CVS, and a probability algorithm is applied to the CVS distribution to assign growth and value weights to each stock. In general,
a stock with a lower CVS is considered growth, a stock with a higher CVS is considered value and a stock with a CVS in the middle range
is considered to have both growth and value characteristics, and is weighted proportionately in the relevant Russell Growth Index and
the corresponding Russell Value Index. Stocks are always fully represented by the combination of their growth and value weights (e.g.,
a stock that is given a 20% weight in a Russell Value Index will have an 80% weight in the corresponding Russell Growth Index). Style
index assignment for non-pricing vehicle share classes will be based on that of the pricing vehicle and assigned consistently across all
additional share classes.
Stock A, in the figure below, is a security with
20% of its available shares assigned to a Russell Value Index and the remaining 80% assigned to the corresponding Russell Growth Index.
The growth and value probabilities will always sum to 100%. Hence, the sum of a stock’s market capitalization in a Russell Growth
Index and the corresponding Russell Value Index will always equal its market capitalization in the relevant Russell Index.
In the figure above, the quartile breaks are calculated
such that approximately 25% of the available market capitalization lies in each quartile. Stocks at the median are divided 50% in each
of the relevant Russell Growth Index and the corresponding Russell Value Index. Stocks below the first quartile are 100% in the Russell
Growth Index. Stocks above the third quartile are 100% in the relevant Russell Value Index. Stocks falling between the first and third
quartile breaks are included in both the relevant Russell Growth Index and the corresponding Russell Value Index to varying degrees, depending
on how far they are above or below the median and how close they are to the first or third quartile breaks.
Roughly 70% of the available market capitalization
is classified as all growth or all value. The remaining 30% have some portion of their market value in either the relevant Russell Value
Index or the corresponding Russell Growth Index, depending on their relative distance from the median value score. Note that there is
a small position cutoff rule. If a stock’s weight is more than 95% in one Russell Style Index, its weight is increased to 100% in
that Russell Style Index.
In an effort to mitigate unnecessary turnover,
FTSE Russell implements a banding methodology at the CVS level of the growth and value style algorithm. If a company’s CVS change
from the previous year is less than or equal to +/- 0.10 and if the company remains in the relevant Russell Index, then the CVS remains
unchanged during the next reconstitution process. Keeping the CVS static for these companies does not mean the probability (growth/value)
will remain unchanged in all cases due to the relation of a CVS score to the overall Russell Style Index. However, this banding methodology
is intended to reduce turnover caused by smaller, less meaningful movements while continuing to allow the larger, more meaningful changes
to occur, signaling a true change in a company’s relation to the market.
In calculating growth and value weights, stocks
with missing or negative values for B/P, or missing values for I/B/E/S growth (negative I/B/E/S growth is valid), or missing sales per
share historical growth (6 years of quarterly numbers are required), are allocated by using the mean value score of the Industry Classification
Benchmark subsector, sector, supersector or industry group of the relevant Russell Index into which the company falls. Each missing (or
negative B/P) variable is substituted with the subsector, sector, supersector or industry group independently. An industry must have five
members or the substitution reverts to the subsector and so forth to the sector. In addition, a weighted value score is calculated for
securities with low analyst coverage for I/B/E/S medium-term growth. For securities with coverage by a single analyst, 2/3 of the subsector,
sector, supersector or industry group value score is weighted with 1/3 the security’s independent value score. For those securities
with coverage by two analysts, 2/3 of the independent security’s value score is used and only 1/3 of the subsector, sector, supersector
or industry group is weighted. For those securities with at least three analysts contributing to the I/B/E/S medium-term growth, 100%
of the independent security’s value score is used.
License Agreement
Barclays Bank PLC has entered into a non-exclusive
license agreement with FTSE Russell whereby we, in exchange for a fee, are permitted to use the Russell Style Indices and their related
trademarks in connection with certain securities, including the securities. We are not affiliated with FTSE Russell; the only relationship
between FTSE Russell and us is any licensing of the use of FTSE Russell’s indices and trademarks relating to them.
“Russell 1000®,” “Russell
2000®” and “Russell 3000®” are trademarks of FTSE Russell and have been licensed for use
by Barclays Bank PLC. The securities are not sponsored, endorsed, sold, or promoted by FTSE Russell and FTSE Russell makes no representation
regarding the advisability of investing in the securities.
The securities are not sponsored, endorsed, sold,
or promoted by FTSE Russell. FTSE Russell makes no representation or warranty, express or implied, to the owners of the securities or
any member of the public regarding the advisability of investing in securities generally or in the securities particularly or the ability
of the Russell Style Indices to track general stock market performance or a segment of the same. FTSE Russell’s publication of the
Russell Style Indices in no way suggests or implies an opinion by FTSE Russell as to the advisability of investment in any or all of the
securities upon which any Russell Style Index is based. FTSE Russell’s only relationship to Barclays Bank PLC and its affiliates
is the licensing of certain trademarks and trade names of FTSE Russell and of the Russell Style Indices which are each determined, composed
and calculated by FTSE Russell without regard to Barclays Bank PLC and its affiliates or the securities. FTSE Russell is not responsible
for and has not reviewed the securities nor any associated literature or publications and FTSE Russell makes no representation or warranty,
express or implied, as to their accuracy or completeness, or otherwise. FTSE Russell reserves the right, at any time and without notice,
to alter, amend, terminate or in any way change any Russell Style Index. FTSE Russell has no obligation or liability in connection with
the administration, marketing or trading of the securities.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY
AND/OR THE COMPLETENESS OF THE RUSSELL STYLE INDICES OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY OMISSIONS,
OR INTERRUPTIONS THEREIN. FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC AND/OR
ITS AFFILIATES, INVESTORS, OWNERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RUSSELL STYLE INDICES OR ANY DATA
INCLUDED THEREIN. FTSE RUSSELL 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 RUSSELL STYLE INDICES OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING,
IN NO EVENT SHALL FTSE RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS),
EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
THE S&P/ASX 200 INDEX
All information contained in this underlying supplement
regarding the S&P/ASX 200 Index, including, without limitation, its make-up, method of calculation and changes in its components,
has been derived from publicly available information, without independent verification. This information reflects the policies of, and
is subject to change by, S&P Dow Jones Indices LLC (“S&P Dow Jones”). The S&P/ASX 200 Index is calculated,
maintained and published by S&P Dow Jones. S&P Dow Jones has no obligation to continue to publish, and may discontinue the publication
of, the S&P/ASX 200 Index. The S&P/ASX 200 Index is reported by Bloomberg L.P. under the ticker symbol “AS51.”
Composition of the S&P/ASX 200 Index
The S&P/ASX 200 Index is designed to be the
primary gauge for the Australian equity market, and it is recognized as an investable benchmark in Australia. The S&P/ASX 200 Index
measures the performance of the 200 largest and most liquid index-eligible stocks listed on the Australian Securities Exchange (the “ASX”)
by float-adjusted market capitalization.
The S&P/ASX 200 Index weights companies according
to the Global Industry Classification Standard, which creates uniform ground rules for replicable, custom-tailored, industry-focused portfolios.
It also enables meaningful comparisons of sectors and industries across regions.
Eligibility Criteria
The index companies are drawn from the universe
of ordinary and preferred equity stocks listed on ASX. The criteria for index additions include, but are not limited to:
| · | Listing. Only securities listed on the ASX are considered for inclusion in the S&P/ASX 200 Index; |
| · | Eligible Securities. Common and equity preferred stocks (which are not of a fixed income nature) are eligible for inclusion
in the S&P/ASX 200 Index. Hybrid stocks, such as convertible stock, bonds, warrants and preferred stock that provide a guaranteed
fixed return, are not eligible. Listed investment companies that invest in a portfolio of securities are not eligible. Companies that
are currently the target of an acquisition are ineligible. |
| · | Market Capitalization. The market capitalization criterion for stock inclusion is based upon the daily average market capitalization
of a security over the last six months. The ASX stock price history (last six months, adjusted for price-adjusting corporate actions),
latest available shares on issue and the investable weight factor (“IWF”) are the relevant variables for the calculation.
The IWF is a variable that is primarily used to determine the available float of a security for ASX-listed securities; and |
| · | Liquidity. Only securities that are regularly traded are eligible for inclusion in the S&P/ASX 200 Index. A stock’s
liquidity is measured relative to its peers. Relative Liquidity is calculated as follows: |
Where:
| · | Stock Median Liquidity is the median daily value traded on the ASX for each stock divided by the average float/index weight-adjusted
market capitalization for the previous six months; and |
| · | Market Liquidity is determined using the market capitalization-weighted average of the stock median liquidities of the 500 companies
in the All Ordinaries index, an index that includes nearly all ordinary shares listed on the ASX. |
Stocks must have a minimum Relative Liquidity
of 50% to be included in the S&P/ASX 200 Index.
Rebalancing. Rebalancing of the S&P/ASX
200 Index occurs on a regular basis. Shares and IWFs updates are also applied regularly. The reference date used for the six months’
worth of trading data is the second to last Friday of the month prior to the rebalancing.
Frequency. The S&P/ASX 200 Index constituents
are rebalanced quarterly to ensure adequate market capitalization and liquidity. Quarterly rebalancing changes take effect after the market
close on the third Friday of March, June, September and December.
Buffers. In order to limit the level of
index turnover, eligible non-constituent securities will generally only be considered for index inclusion once a current constituent stock
is excluded due to a sufficiently low rank and/or liquidity, based on the float-adjusted market capitalization. Potential index inclusions
and exclusions need to satisfy a buffer requirement in terms of the rank of the stock relative to the S&P/ASX 200 Index. The following
buffer aims to limit the level of index turnover that may take place at each quarterly rebalancing, maximizing the efficiency and limiting
the cost associated with holding the index portfolio.
Addition |
Rank
Buffer for Deletion |
179th or higher |
221st or lower |
This float-adjusted market capitalization rank
buffer serves as the guideline used by the index committee to arrive at any potential constituent changes to the S&P/ASX 200 Index.
However, the index committee has complete discretion to bypass these rules when circumstances warrant.
Intra-Rebalancing
Additions/Deletions. Between rebalancing dates, an addition to the S&P/ASX 200 Index is generally made only if a vacancy is
created by an index deletion. Index additions are made according to market size and liquidity. The reference date used to determine
the index replacement is determined on a case by case basis and taken closer to the time of the event that triggered the vacancy.
Deletions can occur between index rebalancing dates due to acquisitions, mergers and spin-offs or due to suspension or bankruptcies.
The decision to remove a stock from the S&P/ASX 200 Index will be made once there is sufficient evidence that the transaction
will be completed. Stocks that are removed due to mergers & acquisitions activity are removed from the S&P/ASX 200 Index at
the cash offer price for cash-only offers. Otherwise the best available price in the market is used.
Initial Public Offerings (IPOs). An initial
public offering is added to the S&P/ASX 200 Index only when an appropriate vacancy occurs or due to a rebalance and is subject to
proven liquidity for at least eight weeks. An exception may be made for extraordinary large offerings where sizeable trading volumes justify
inclusion. Available price and value traded data as of the reference date is used to determine eligibility for IPOs.
Share Updates. The share count for all
S&P/ASX 200 Index constituents are reviewed quarterly and are rounded to the nearest thousand (‘000).
Share updates for foreign-domiciled securities
will take place at each quarterly rebalancing. The update to the number of shares outstanding will take place only when the three-month
average of CHESS Depositary Interests (“CDIs”) or the total securities held in the Australian branch of issuer sponsored
register (where supplied) and in CHESS, on the rebalancing reference date, differs from the current number of shares used by 5% or more.
Where CDI information is not supplied to the ASX
by the company or the company’s share register, estimates for Australian equity capital will be drawn from CHESS data and, ultimately,
registry-sourced data.
Calculation of the S&P/ASX 200 Index
The S&P/ASX 200 Index is calculated using
a base-weighted aggregate methodology so that the level of the S&P/ASX 200 Index reflects the total market value of all the component
stocks relative to a particular base period. The total market value of a company is determined by multiplying the price of its stock by
the number of shares available after float (IWF) adjustment. An indexed number is used to represent the result of this calculation in
order to make the value easier to work with and track over time.
IWFs. A stock’s weight in the S&P/ASX
200 Index is determined by the float-adjusted market capitalization of the stock. The number of shares outstanding is reduced to exclude
closely held shares from the calculation of the S&P/ASX 200 Index because such shares are not available to investors. The S&P/ASX
200 Index calculates an
IWF, which
is the percentage of total shares outstanding that are included in the calculation of the S&P/ASX 200 Index. All constituents in
the S&P/ASX 200 Index are assigned an IWF. A company must have a minimum IWF of 0.3 to be eligible for index inclusion, however an
IWF at or above that level is not necessary for ongoing index membership. The IWF for foreign-domiciled securities in the S&P/ASX
200 Index is typically set to 1. IWFs are reviewed annually as part of the September quarterly rebalancing. In addition to the annual
IWF review, certain events may warrant an intra-quarter or quarterly IWF update.
On any given day, the S&P/ASX 200 Index value
is the quotient of the total available market capitalization of its constituents and its divisor. The key to index maintenance is the
adjustment of the divisor. The purpose of the index divisor is to maintain the continuity of an index level following the implementation
of corporate actions, index rebalancing events or other non-market driven actions. Index maintenance – reflecting changes in shares
outstanding, corporate actions, addition or deletion of stocks to the S&P/ASX 200 Index – should not change the level of the
S&P/ASX 200 Index. Any change to the stocks in the S&P/ASX 200 Index that alters the total market value of the S&P/ASX 200
Index while holding stock prices constant will require a divisor adjustment.
Index Governance
The S&P/ASX 200 Index is maintained by the
S&P/ASX index committee. S&P Dow Jones chairs the index committee, which is comprised of five voting members representing both
S&P Dow Jones and the ASX.
The S&P/ASX index committee meets regularly
to review market developments and convenes as needed to address major corporate actions. At each meeting, the index committee may review
pending corporate actions that may affect index constituents, statistics comparing the composition of the S&P/ASX 200 Index to the
market, companies that are being considered as candidates for addition to the S&P/ASX 200 Index and any significant market events.
In addition, the index committee may revise index policy covering rules for selecting companies, treatment of dividends, share counts
or other matters.
The index committee of the S&P/ASX 200 Index
reserves the right to make exceptions when applying the methodology if the need arises. At least once within any twelve-month period,
they review the methodology to ensure that the S&P/ASX 200 Index continues to achieve the stated objectives and that the data and
methodology remain effective.
License Agreement
The S&P/ASX 200 Index is a product of S&P
Dow Jones. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“SPFS”).
ASX is a registered trademark of ASX Operations Pty Limited (“ASX”). These trademarks have been licensed to S&P
Dow Jones and its affiliates, and sublicensed to Barclays Bank PLC for certain purposes.
The securities are not sponsored, endorsed, sold
or promoted by S&P Dow Jones, SPFS, ASX, or any of their respective affiliates (collectively, “S&P and ASX”). S&P
and ASX do not make any representation or warranty, express or implied, to the owners of the securities or any member of the public regarding
the advisability of investing in securities generally or in the securities particularly or the ability of the S&P/ASX 200 Index to
track general market performance. S&P Dow Jones Indices’ and ASX’s only relationship to Barclays Bank PLC with respect
to the S&P/ASX 200 Index is the licensing of the S&P/ASX 200 Index and certain trademarks, service marks and/or trade names of
S&P and ASX and/or their licensors. The S&P/ASX 200 Index is determined, composed and calculated by S&P Dow Jones Indices
without regard to Barclays Bank PLC or the securities. S&P Dow Jones Indices has no obligation to take the needs of Barclays Bank
PLC or the owners of the securities into consideration in determining, composing or calculating the S&P/ASX 200 Index. S&P and
ASX are not responsible for and has not participated in the determination of the prices, and amount of the securities or the timing of
the issuance or sale of the securities or in the determination or calculation of the equation by which the securities are to be converted
into cash, surrendered or redeemed, as the case may be. S&P and ASX have no obligation or liability in connection with the administration,
marketing or trading of the securities. There is no assurance that investment products based on the S&P/ASX 200 Index will accurately
track the performance of the index or provide positive investment returns. S&P Dow Jones Indices is not an investment advisor. Inclusion
of a security within the S&P/ASX 200 Index is not a recommendation by S&P Dow Jones Indices or ASX to buy, sell, or hold such
security, nor is it considered to be investment advice.
S&P
AND ASX DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P/ASX 200 INDEX OR ANY DATA RELATED THERETO
OR ANY COMMUNICATION (INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS)) WITH RESPECT
THERETO. S&P AND ASX SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P AND ASX
MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
OR USE OR AS TO RESULTS TO BE OBTAINED BY Barclays Bank PLC, OWNERS OF THE securities, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE
S&P/ASX 200 Index OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL
S&P DOW JONES INDICES OR ASX BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT
LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES,
WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN
S&P DOW JONES INDICES AND Barclays Bank PLC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
The
S&P® Select Industry Indices
All information contained in this underlying supplement
regarding the S&P® Banks Select Industry Index, the S&P® Biotechnology Select Industry Index, the
S&P® Metals & Mining Select Industry Index, the S&P® Oil & Gas Exploration & Production
Select Industry Index, the S&P® Regional Banks Select Industry Index and the S&P® Retail Select
Industry Index (each, a “Select Industry Index” and collectively, the “Select Industry Indices”),
including, without limitation, their make-up, method of calculation and changes in their components, has been derived from publicly available
information, without independent verification. This information reflects the policies of, and is subject to change by, S&P Dow Jones
Indices LLC (“S&P Dow Jones”). The Select Industry Indices are calculated, maintained and published by S&P
Dow Jones. S&P Dow Jones has no obligation to continue to publish, and may discontinue the publication of, any of the Select Industry
Indices.
The Select Industry Indices are modified equal-weighted
indices that are designed to measure the performance of stocks comprising specific Global Industry Classification Standard (“GICS®”)
sub-industries or groups of sub-industries in the S&P Total Market Index. Membership is based on a company’s GICS®
classification, as well as liquidity and market capitalization requirements.
The S&P Total Market Index
The S&P Total Market Index (the “S&P
TM Index”) offers broad market exposure to companies of all market capitalizations, including all eligible U.S. common equities
with a primary listing on the New York Stock Exchange, NYSE Arca, NYSE American, Nasdaq Global Select Market, Nasdaq Select Market, Nasdaq
Capital Market, Cboe BZX, Cboe BYX, Cboe EDGA or Cboe EDGX exchanges. Only U.S. companies are eligible for inclusion in the S&P TM
Index.
The S&P® Banks Select Industry Index
The S&P® Banks Select Industry
Index is a modified equal-weighted index that is designed to measure the performance of the following GICS® sub-industries
of the S&P TM Index: asset management and custody banks (must also meet the North American Industry Classification of depository credit
intermediation); diversified banks; regional banks; other diversified financial services; and thrifts and mortgage finance. The S&P®
Banks Select Industry Index is reported by Bloomberg L.P. under the ticker symbol “SPSIBK.”
The S&P® Biotechnology Select Industry
Index
The S&P® Biotechnology Select
Industry Index is a modified equal-weighted index that is designed to measure the performance of the GICS® biotechnology
sub-industry of the S&P TM Index. The S&P® Biotechnology Select Industry Index may also include companies in the
life sciences tools and services supplementary sub-industry. The S&P® Biotechnology Select Industry Index is reported
by Bloomberg L.P. under the ticker symbol “SPSIBI.”
The S&P® Metals & Mining Select Industry
Index
The S&P® Metals & Mining
Select Industry Index is a modified equal-weighted index that is designed to measure the performance of the following GICS®
sub-industries of the S&P TM Index: aluminum; coal and consumable fuels; copper; diversified metals and mining; gold; precious metals
and minerals; silver; and steel. The S&P® Metals & Mining Select Industry Index is reported by Bloomberg L.P. under
the ticker symbol “SPSIMM.”
The S&P® Oil & Gas Exploration &
Production Select Industry Index
The S&P® Oil & Gas Exploration
& Production Select Industry Index is a modified equal-weighted index that is designed to measure the performance of the following
GICS® sub-industries of the S&P TM Index: integrated oil and gas; oil and gas exploration and production; and oil and
gas refining and marketing. The S&P® Oil & Gas Exploration & Production Select Industry Index is reported by
Bloomberg under the ticker symbol “SPSIOP.”
The S&P® Regional Banks Select Industry Index
The S&P® Regional Banks
Select Industry Index is a modified equal-weighted index that is designed to measure the performance of the GICS®
regional banks sub-industry of the S&P TM Index. The S&P® Regional Banks Select Industry Index is reported
by Bloomberg L.P. under the ticker symbol “SPSIRBK.”
The S&P® Retail Select Industry Index
The S&P® Retail Select Industry
Index is a modified equal-weighted index that is designed to measure the performance of the following GICS® sub-industries
of the S&P TM Index: apparel retail; automotive retail; computer and electronic retail; department stores; drug retail; food retailers;
general merchandise stores; hypermarkets and super centers; internet and direct marketing retail; and specialty stores. The S&P®
Retail Select Industry Index is reported by Bloomberg L.P. under the ticker symbol “SPSIRE.”
Select Industry Index Eligibility
To qualify for membership in a Select Industry
Index, at each quarterly rebalancing, a company must satisfy the following criteria:
| 1. | be a member of the S&P TM Index; |
| 2. | be included in the relevant GICS® sub-industries for the relevant Select Industry Index (stocks included in such sub-industry,
“primary stocks”); |
| 3. | meet one of the following float-adjusted market capitalization (“FMC”) and float-adjusted liquidity ratio (“FALR”)
requirements: |
| a. | be a current constituent, have an FMC greater than or equal to US$ 300 million and have an FALR greater than or equal to 50%; |
| b. | have an FMC greater than or equal to US$ 500 million and an FALR greater than or equal to 90%; or |
| c. | have an FMC greater than or equal to US$ 400 million and an FALR greater than or equal to 150%. |
Notwithstanding the foregoing, to be eligible
for inclusion in the S&P® Banks Select Industry Index, a company’s FMC must be above US$ 2 billion and its FALR
must be above 100%, and existing constituents of the S&P® Banks Select Industry Index are removed at the quarterly
rebalancing date if either their FMC falls below US$ 1 billion or their FALR falls below 50%.
In the event that fewer than 35 stocks are selected
for each Select Industry Index using the eligible primary stocks, certain indices will select stocks for inclusion from a supplementary
list of highly correlated sub-industries (supplementary stocks) based on a process established by S&P Dow Jones. Additionally, minimum
FMC requirements may be relaxed for all Select Industry Indices to ensure that there are at least 22 stocks in each Select Industry Index
as of each rebalancing effective date.
Liquidity. An FALR, defined as the annual
dollar value traded divided by the FMC, is used to measure liquidity. Using composite pricing and consolidated volume (excluding dark
pools) across all venues (including historical values), annual dollar value traded is defined as the average closing price multiplied
by the historical volume over the 365 calendar days prior to the evaluation date. This is reduced to the available trading period for
stocks that do not have 365 calendar days of trading history. In these cases, the dollar value traded available as of the evaluation date
is annualized. Liquidity requirements are reviewed during the quarterly rebalancings. The price, shares outstanding and IWF (as defined
below) as of the evaluation date are used to calculate the FMC. The evaluation date is the last business day of the month prior to the
rebalancing effective date.
Takeover Restrictions. At the discretion
of S&P Dow Jones, constituents with shareholder ownership restrictions defined in company bylaws may be deemed ineligible for inclusion
in a Select Industry Index. Ownership restrictions preventing entities from replicating the index weight of a stock may be excluded from
the eligible universe or removed from the relevant Select Industry Index. S&P Dow Jones will provide up to five days advance notification
of a deletion between rebalancings due to ownership restrictions.
Multiple Share Classes. Some companies
in the S&P TM Index are represented by multiple share classes. As of December 2015, each company in the Select Industry Indices is
represented once by the primary listing, which is generally the most liquid share line.
Calculation of the Select Industry Indices
The Select Industry Indices are equal-weighted,
with adjustments to individual constituent weights to ensure concentration and liquidity requirements, and calculated by means of the
divisor methodology used by S&P Dow Jones for the Select Industry Indices.
The index value of each Select Industry Index
is simply the market value of that Select Industry Index divided by the index divisor:
Index Value = (Index Market Value) / Divisor
Index Market Value =
where N is the number of stocks in the index, Pi
is the price of stock i, Sharesi is total shares outstanding of stock i, IWFi is the float factor
of stock i (as defined below), and AWFi is the adjustment factor of stock i assigned at each index rebalancing
date, t, which makes all index constituents modified market capitalization equal (and, therefore, equal weight), while maintaining
the total market value of the overall index. The AWF for each index constituent, i, at rebalancing date, t, is calculated
by:
AWFi,t = Z / N × FloatAdjustedMarketValuei,t
where Z is an index-specific constant set for the purpose of deriving
the AWF and, therefore, each stock’s share count used in the index calculation (often referred to as modified index shares).
Float Adjustment. Float adjustment means
that the number of shares outstanding is reduced to exclude shares that are held by other publicly traded companies, government agencies
or certain types of strategic shareholders from the calculation of the index value because such shares are not available to investors.
The goal of float adjustment is to adjust each company’s total shares outstanding for long-term strategic shareholders, who often
have interests such as maintaining control rather than securing the shorter-term economic fortunes of the company. Generally, these long-term
strategic shareholders include, but are not limited to, officers and directors, private equity, venture capital and special equity firms,
asset managers and insurance companies with direct board of director representation, other publicly traded companies that hold shares,
holders of restricted shares, company-sponsored employee share plans/trusts, defined contribution plans/savings, and investment plans,
foundations or family trusts associated with the company, government entities at all levels (other than government retirement/pension
funds), sovereign wealth funds and any individual person who controls a 5% or greater stake in a company as reported in regulatory filings.
Restricted shares are generally not included in total shares outstanding except for shares held as part of a lock-up agreement. Shares
that are not considered outstanding are also not included in the available float. These generally include treasury stock, stock options,
equity participation units, warrants, preferred stock, convertible stock and rights.
For each component, S&P Dow Jones calculates
an Investable Weight Factor (“IWF”), which represents the portion of the total shares outstanding that are considered
part of the public float for purposes of the relevant Select Industry Index.
Divisor. Continuity in index values of
each Select Industry Index is maintained by adjusting its divisor for all changes in its constituents’ share capital after its base
date. This includes additions and deletions to the relevant Select Industry Index, rights issues, share buybacks and issuances and non-zero
price spin-offs. The value of each Select Industry Index’s divisor over time is, in effect, a chronological summary of all changes
affecting the base capital of that Select Industry Index. The divisor of each Select Industry Index is adjusted such that the index value
of that Select Industry Index at an instant just prior to a change in base capital equals the index value of that Select Industry Index
at an instant immediately following that change.
Constituent Weightings
At each quarterly rebalancing, companies are initially
equally weighted using closing prices as of the second Friday of the last month of the quarter as the reference price. Adjustments are
then made to ensure that there are no individual constituents whose weight in the relevant Select Industry Index exceeds the value that
can be traded in a single day for a given theoretical portfolio value ranging from US$ 500 million to US$ 2,000 million (the “Theoretical
Portfolio Value”). Theoretical Portfolio Values are determined and reviewed annually by an S&P
Dow Jones’
index committee (the “Index Committee”). Any updates to Theoretical Portfolio Values are made at the discretion of
the Index Committee and announced to the clients with ample lead time.
S&P Dow Jones calculates a maximum basket
liquidity weight for each constituent in the Select Industry Indices using the ratio of its three-month median daily value traded to the
Theoretical Portfolio Value. Each constituent’s weight in the relevant Select Industry Index is, then, compared to its maximum basket
liquidity weight and is set to the lesser of its maximum basket liquidity weight or its initial equal weight. All excess weight is redistributed
across the relevant Select Industry Index to the uncapped stocks. If necessary, a final adjustment is made to ensure that no stock in
a Select Industry Index has a weight greater that 4.5%. This step of the iterative weighting process may force the weight of those stocks
limited to their maximum basket liquidity weight to exceed that weight. In such cases, S&P Dow Jones will make no further adjustments.
If any of the Select Industry Indices contain exactly 22 stocks as of the rebalancing effective date, the relevant Select Industry Index
is equally weighted without basket liquidity constraints.
Maintenance of the Select Industry Indices
Membership of the Select Industry Indices is reviewed
quarterly. Rebalancings occur after the closing on the third Friday of the quarter ending month. The reference date for additions and
deletions is after the closing of the last trading date of the previous month. Closing prices as of the second Friday of the rebalancing
month are used for setting index weights. The Index Committee may change the date of a given rebalancing for reasons including market
holidays occurring on or around the scheduled rebalancing date. Any such change will be announced by S&P Dow Jones with proper advance
notice where possible.
The table below summarizes the treatment of certain
corporate actions.
Corporate
Action |
Treatment |
Company addition/deletion |
Addition Only
Stocks are added between rebalancings only if a deletion in the relevant
Select Industry Index causes the constituent count to fall below 22. In those cases, each stock deletion is accompanied with a stock addition.
A new stock is added to that Select Industry Index at the weight of the deleted stock.
Deletion Only
A stock is deleted from the relevant Select Industry Index if
dropped from the S&P TM Index. If a deletion causes the number of stocks in the relevant Select Industry
Index to fall below 22, each stock deletion is accompanied with a corresponding stock addition. The weights of all stocks in that
Select Industry Index will proportionately change, due to the absolute change in the number of index constituents. Relative weights
will stay the same. The index divisor will change due to the net change in the market capitalization of that Select Industry
Index.
|
Change in shares outstanding |
Shares outstanding changes are offset by an AWF. There is no change to the market capitalization of the relevant Select Industry Index and no divisor adjustment. |
Split/reverse split |
Shares outstanding are adjusted by the split ratio. Stock price is adjusted by the split ratio. There is no change to the market capitalization of the relevant Select Industry Index and no divisor adjustment. |
Spin-off |
In the case of spin-offs, the Select Industry Indices will follow the S&P TM Index’s treatment of the action. In general, both the parent and spin-off company will remain in the relevant Select Industry Index until the subsequent rebalancing. The spin-off company is added to the relevant Select Industry Index at a zero price at the close of the day before the ex-date. No price adjustment is applied to the parent and there is no divisor change. If the spin-off company is dropped from the S&P TM Index, the weight of the spun-off company is added back to the parent stock’s weight after at least one day of trading. |
Corporate
Action |
Treatment |
Change in IWF |
IWF changes are offset by an AWF. There is no change to the market capitalization of the relevant Select Industry Index and no divisor adjustment. |
Ordinary dividend |
When a company pays an ordinary cash dividend, the relevant Select Industry Index does not make any adjustments to the price or shares of the stock. As a result, there are no divisor adjustments to that Select Industry Index. |
Special dividend |
The stock price is adjusted by the amount of the dividend. The net change to the market capitalization of the relevant Select Industry Index causes a divisor adjustment. |
Rights offering |
All rights offerings that are in the money on the ex-date are applied under the assumption that the rights are fully subscribed. The stock price is adjusted by the value of the rights and the shares outstanding are increased by the rights ratio. The change in price and shares is offset by an AWF to keep the market capitalization (stock weight) of the relevant Select Industry Index unchanged. There is no change to the market capitalization of that Select Industry Index and no divisor adjustment. |
In the case of mergers involving two index constituents,
the merged entity remains in the relevant Select Industry Index provided it satisfies the eligibility criteria. If the merged entity qualifies
for inclusion in the relevant Select Industry Index, the stock deemed the target is dropped, the index shares for the acquirer will remain
unchanged, and the weightings of the remaining constituents adjust proportionally.
If a constituent’s GICS®
classification changes to an ineligible sub-industry for a Select Industry Index, the constitutent is removed at the subsequent rebalancing.
Governance of the Select Industry Indices
The Index Committee maintains the Select Industry
Indices. All Index Committee members are full-time professional members of S&P Dow Jones’ staff. The Index Committee meets regularly.
At each meeting, the Index Committee reviews pending corporate actions that may affect the Select Industry Indices constituents, statistics
comparing the composition of the Select Industry Indices to the market, companies that are being considered as candidates for addition
to a Select Industry Index and any significant market events. In addition, the Index Committee may revise index policy covering rules
for selecting companies, treatment of dividends, share counts or other matters.
License Agreement
The Select Industry Indices are products of S&P
Dow Jones, and have been licensed for use by Barclays Bank PLC. “Standard & Poor’s,” “S&P” and “S&P
500” are registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”). These trademarks
have been licensed to S&P Dow Jones and its affiliates and sublicensed to Barclays Bank PLC for certain purposes.
The securities are not sponsored, endorsed, sold
or promoted by S&P Dow Jones, SPFS, or any of their respective affiliates (collectively, “S&P”). S&P does
not make any representation or warranty, express or implied, to the owners of the securities or any member of the public regarding the
advisability of investing in securities generally or in the securities particularly or the ability of the Select Industry Indices to track
general market performance. S&P’s only relationship to Barclays Bank PLC with respect to the Select Industry Indices is the
licensing of the Select Industry Indices and certain trademarks, service marks and/or trade names of S&P and/or its licensors. The
Select Industry Indices are determined, composed and calculated by S&P without regard to Barclays Bank PLC or the securities. S&P
has no obligation to take the needs of Barclays Bank PLC or the owners of the securities into consideration in determining, composing
or calculating the Select Industry Indices. S&P is not responsible for and has not participated in the determination of the prices,
and amount of the securities or the timing of the issuance or sale of the securities or in the determination or calculation of the equation
by which the securities are to be converted into cash, surrendered or redeemed, as the case may be. S&P has no obligation or liability
in connection with the administration, marketing or trading of the securities. There is no assurance that investment products based on
the Select Industry Indices will accurately track the performance of the index or provide positive investment returns. S&P Dow Jones
is not an investment advisor. Inclusion of a security within the Select Industry
Indices is not a recommendation by S&P to buy, sell,
or hold such security, nor is it considered to be investment advice. In addition, CME Group Inc. and its affiliates may trade financial
products which are linked to the performance
of the Select Industry Indices. It is possible that this trading activity will affect the value of the Select Industry Indices and the
securities.
S&P DOES NOT GUARANTEE THE ADEQUACY, ACCURACY,
TIMELINESS AND/OR THE COMPLETENESS OF THE S&P SELECT INDUSTRY INDICES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION (INCLUDING
BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS)) WITH RESPECT THERETO. S&P SHALL NOT BE SUBJECT
TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY
DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK
PLC, OWNERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P SELECT INDUSTRY INDICES OR WITH RESPECT TO ANY
DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P BE LIABLE FOR ANY INDIRECT, SPECIAL,
INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN
IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO
THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P AND BARCLAYS BANK PLC, OTHER THAN THE LICENSORS OF S&P.
THE SELECT SECTOR INDICES
All information contained in this underlying supplement
regarding the Communication Services Select Sector Index, the Consumer Discretionary Select Sector Index, the Consumer Staples Select
Sector Index, the Energy Select Sector Index, the Financial Select Sector Index, the Health Care Select Sector Index, the Industrials
Select Sector Index, the Materials Select Sector Index, the Real Estate Select Sector Index, the Technology Select Sector Index and the
Utilities Select Sector Index (each, a “Select Sector Index” and collectively, the “Select Sector Indices”),
including, without limitation, their make-up, method of calculation and changes in their components, has been derived from publicly available
information, without independent verification. This information reflects the policies of, and is subject to change by, S&P Dow Jones
Indices LLC (“S&P Dow Jones”). The Select Sector Indices are calculated, maintained and published by S&P Dow
Jones. S&P Dow Jones has no obligation to continue to publish, and may discontinue the publication of, any of the Select Sector Indices.
The constituents included in each Select Sector
Index at each moment in time are members of the S&P 500® Index. For additional information about the S&P 500®
Index, please see “Indices—The S&P U.S. Indices” in this underlying supplement. S&P Dow Jones assigns constituents
to a Select Sector Index based on the constituent’s classification under the Global Industry Classification Standard (“GICS®”).
The Communication Services Select Sector Index
The Communication Services Select Sector Index
is a capped modified market capitalization-based index that measures the performance of the GICS® communication services
sector, which currently includes companies in the following industries: diversified telecommunication services; wireless telecommunication
services; media; entertainment; and interactive media and services. The Communication Services Select Sector Index is reported by Bloomberg
L.P. under the ticker symbol “IXCPR.”
The Consumer Discretionary Select Sector Index
The Consumer Discretionary Select Sector Index
is a capped modified market capitalization-based index that measures the performance of the GICS® consumer discretionary
sector, which currently includes companies in the following industries: retail (specialty, multiline, internet and direct marketing);
hotels, restaurants and leisure; textiles, apparel and luxury goods; household durables; automobiles; auto components; distributors; leisure
products; and diversified consumer services. The Consumer Discretionary Select Sector Index is reported by Bloomberg L.P. under the ticker
symbol “IXY.”
The Consumer Staples Select Sector Index
The Consumer Staples Select Sector Index is a
capped modified market capitalization-based index that measures the performance of the GICS® consumer staples sector, which
currently includes companies in the following industries: food and staples retailing; household products; food products; beverages; tobacco;
and personal products. The Consumer Staples Select Sector Index is reported by Bloomberg L.P. under the ticker symbol “IXR.”
The Energy Select Sector Index
The Energy Select Sector Index is a capped modified
market capitalization-based index that measures the performance of the GICS® energy sector, which currently includes companies
in the following industries: oil, gas and consumable fuels; and energy equipment and services. The Energy Select Sector Index is reported
by Bloomberg L.P. under the ticker symbol “IXE.”
The Financial Select Sector Index
The Financial Select Sector Index is a
capped modified market capitalization-based index that measures the performance of the GICS® financials sector,
which currently includes companies in the following industries: diversified financial services; insurance; banks; capital markets; mortgage
real estate investment trusts (“REITs”); consumer finance; and thrifts and mortgage finance. The Financial Select Sector
Index is reported by Bloomberg L.P. under the ticker symbol “IXM.”
The Health Care Select Sector Index
The Health Care Select Sector Index is a capped
modified market capitalization-based index that measures the performance of the GICS® health care sector, which currently
includes companies in the following industries: pharmaceuticals; health care equipment and supplies; health care providers and services;
biotechnology; life sciences tools and services; and health care technology. The Health Care Select Sector Index is reported by Bloomberg
L.P. under the ticker symbol “IXV.”
The Industrials Select Sector Index
The Industrials Select Sector Index is a capped
modified market capitalization-based index that measures the performance of the GICS® industrials sector, which currently
includes companies in the following industries: aerospace and defense; industrial conglomerates; marine; transportation infrastructure;
machinery; road and rail; air freight and logistics; commercial services and supplies; professional services; electrical equipment; construction
and engineering; trading companies and distributors; airlines; and building products. The Industrials Select Sector Index is reported
by Bloomberg L.P. under the ticker symbol “IXI.”
The Materials Select Sector Index
The Materials Select Sector Index is a capped
modified market capitalization-based index that measures the performance of the GICS® materials sector, which currently
includes companies in the following industries: chemicals; metals and mining; paper and forest products; containers and packaging; and
construction materials. The Materials Select Sector Index is reported by Bloomberg L.P. under the ticker symbol “IXB.”
The Real Estate Select Sector Index
The Real Estate Select Sector Index is a capped
modified market capitalization-based index that measures the performance of the GICS® real estate sector, which currently
includes companies in the following industries: real estate management and development and REITs, excluding mortgage REITs. The Real Estate
Select Sector Index is reported by Bloomberg L.P. under the ticker symbol “IXRE.”
The Technology Select Sector Index
The Technology Select Sector Index is a capped
modified market capitalization-based index that measures the performance of the GICS® information technology sector, which
currently includes companies in the following industries: technology hardware, storage and peripherals; software; communications equipment;
semiconductors and semiconductor equipment; IT services; and electronic equipment, instruments and components. The Technology Select Sector
Index is reported by Bloomberg L.P. under the ticker symbol “IXT.”
The Utilities Select Sector Index
The Utilities Select Sector Index is a capped
modified market capitalization-based index that measures the performance of the GICS® utilities sector, which currently
includes companies in the following industries: electric utilities; water utilities; multi-utilities; independent power and renewable
electricity producers; and gas utilities. The Utilities Select Sector Index is reported by Bloomberg L.P. under the ticker symbol “IXU.”
Select Sector Index Capping Methodology
For capping purposes, the Select Sector Indices
are rebalanced quarterly after the close of business on the third Friday of March, June, September and December using the following procedures:
| 1. | The rebalancing reference date is the second Friday of March, June, September and December. |
| 2. | With prices reflected on the rebalancing reference date, adjusted for any applicable corporate actions, and membership, shares outstanding
and investable weight factors (“IWFs”) as of the rebalancing effective date, each company is weighted by float-adjusted
market capitalization (“FMC”). Modifications are made as defined below. |
| 3. | If any company has an FMC weight greater than 24%, the company’s weight is capped at 23%, which allows for a 2% buffer. This
buffer is meant to mitigate against any company exceeding 25% as of the quarter-end diversification requirement date. |
| 4. | All excess weight is proportionally redistributed to all uncapped companies within the relevant Select Sector Index. |
| 5. | After this redistribution, if the FMC weight of any other company then breaches 23%, the process is repeated iteratively until no
company breaches the 23% weight cap. |
| 6. | The sum of the companies with weights greater than 4.8% cannot exceed 50% of the total index weight. These caps are set to allow for
a buffer below the 5% limit. |
| 7. | If the rule in paragraph 6 is breached, all companies are ranked in descending order of their FMC weights. The first company that
causes the 50% limit to be breached has its weight reduced to 4.5%. |
| 8. | This excess weight is proportionally redistributed to all companies with weights below 4.5%. This is repeated iteratively until paragraph
6 is satisfied. |
| 9. | Index share amounts are assigned to each constituent to arrive at the weights calculated above. Since index shares are assigned based
on prices one week prior to rebalancing, the actual weight of each constituent at the rebalancing differs somewhat from these weights
due to market movements. |
| 10. | If, on the second to last business day of March, June, September or December, a company has a weight greater than 24% or the sum of
the companies with weights greater than 4.8% exceeds 50%, a secondary rebalancing will be triggered with the rebalancing effective date
being after the close of the last business day of the month. This secondary rebalancing will use the closing prices as of the second to
last business day of March, June, September or December, and membership, shares outstanding and IWFs as of the rebalancing effective date. |
When companies represented in the Select Sector
Indices are represented by multiple share classes, maximum weight capping is based on company FMC, with the weight of multiple-class companies
allocated proportionally to each share class based on its FMC as of the rebalancing reference date. If no capping is required, both share
classes remain in the relevant Select Sector Index at their natural FMC.
Calculation, Maintenance and Governance of the Select Sector Indices
The Select Sector Indices are calculated, maintained
and governed using the same methodology as the S&P 500® Index, subject to the capping methodology described above.
For additional information about the calculation, maintenance and governance of the S&P 500® Index, please see “Indices—The
S&P U.S. Indices” in this underlying supplement.
License Agreement
The Select Sector Indices are products of S&P
Dow Jones, and have been licensed for use by Barclays Bank PLC. “Standard & Poor’s,” “S&P” and “S&P
500” are registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”). These trademarks
have been licensed to S&P Dow Jones and its affiliates and sublicensed to Barclays Bank PLC for certain purposes.
The securities are not sponsored, endorsed, sold
or promoted by S&P Dow Jones, SPFS, or any of their respective affiliates (collectively, “S&P”). S&P does
not make any representation or warranty, express or implied, to the owners of the securities or any member of the public regarding the
advisability of investing in securities generally or in the securities particularly or the ability of the Select Sector Indices to track
general market performance. S&P’s only relationship to Barclays Bank PLC with respect to the Select Sector Indices is the licensing
of the Select Sector Indices and certain trademarks, service marks and/or trade names of S&P and/or its licensors. The Select Sector
Indices are determined, composed and calculated by S&P without regard to Barclays Bank PLC or the securities. S&P has no obligation
to take the needs of Barclays Bank PLC or the owners of the securities into consideration in determining, composing or calculating the
Select Sector Indices. S&P is not responsible for and has not participated in the determination of the prices, and amount of the securities
or the timing
of the issuance
or sale of the securities or in the determination or calculation of the equation by which the securities are to be converted into cash,
surrendered or redeemed, as the case may be. S&P has no obligation or liability in connection with the administration, marketing
or trading of the securities. There is no assurance that investment products based on the Select Sector Indices will accurately track
the performance of the index or provide positive investment returns. S&P Dow Jones is not an investment advisor. Inclusion of a security
within the Select Sector Indices is not a recommendation by S&P to buy, sell, or hold such security, nor is it considered to be investment
advice. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the Select
Sector Indices. It is possible that this trading activity will affect the value of the Select Sector Indices and the securities.
S&P DOES NOT GUARANTEE THE ADEQUACY, ACCURACY,
TIMELINESS AND/OR THE COMPLETENESS OF THE SELECT SECTOR INDICES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION (INCLUDING BUT NOT LIMITED
TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS)) WITH RESPECT THERETO. S&P SHALL NOT BE SUBJECT TO ANY DAMAGES
OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL
WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, OWNERS
OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE SELECT SECTOR INDICES OR WITH RESPECT TO ANY DATA RELATED THERETO.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE,
OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN
ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES
OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P AND BARCLAYS BANK PLC, OTHER THAN THE LICENSORS OF S&P.
THE S&P EQUAL WEIGHT INDICES
All information contained in this underlying supplement
regarding the S&P 500® Equal Weight Index, the S&P MidCap 400® Equal Weight Index and the S&P
SmallCap 600® Equal Weight Index (each, an “S&P Equal Weight Index” and collectively, the “S&P
Equal Weight Indices”), including, without limitation, their make-up, method of calculation and changes in their components,
has been derived from publicly available information, without independent verification. This information reflects the policies of, and
is subject to change by, S&P Dow Jones Indices LLC (“S&P Dow Jones”). The S&P Equal Weight Indices are
calculated, maintained and published by S&P Dow Jones. S&P Dow Jones has no obligation to continue to publish, and may discontinue
the publication of, any of the S&P Equal Weight Indices.
The composition of the S&P 500®
Equal Weight Index, the S&P MidCap 400® Equal Weight Index and the S&P SmallCap 600® Equal Weight
Index is the same as that of the S&P 500® Index, the S&P MidCap 400® Index and the S&P SmallCap
600® Index (each, an “S&P U.S. Index” and collectively, the “S&P U.S. Indices”),
respectively. For additional information about the S&P U.S. Indices, please see “Indices—The S&P U.S. Indices”
in this underlying supplement.
The S&P 500® Equal Weight Index
The S&P 500® Equal Weight Index
is an equal-weighted version of the S&P 500® Index. The S&P 500® Index consists of stocks of 500
companies selected to provide a performance benchmark for the U.S. equity markets. The S&P 500® Equal Weight Index
is reported by Bloomberg L.P. under the ticker symbol “SPW.”
The S&P MidCap 400® Equal Weight Index
The S&P MidCap 400® Equal Weight
Index is an equal-weighted version of the S&P MidCap 400® Index. The S&P MidCap 400® Index consists
of stocks of 400 companies selected to provide a performance benchmark for the medium market capitalization segment of the U.S. equity
markets. The S&P MidCap 400® Equal Weight Index is reported by Bloomberg L.P. under the ticker symbol “MIDEWI.”
The S&P SmallCap 600® Equal Weight Index
The S&P SmallCap 600® Equal
Weight Index is an equal-weighted version of the S&P SmallCap 600® Index. The S&P SmallCap 600®
Index consists of stocks of 600 companies selected to provide a performance benchmark for the small market capitalization segment of the
U.S. equity markets. The S&P SmallCap 600® Equal Weight Index is reported by Bloomberg L.P. under the ticker symbol
“SMLEWI.”
Methodology of the S&P Equal Weight Indices
Composition of an S&P Equal Weight Index is
the same as that of the corresponding S&P U.S. Index. Constituent changes are incorporated in an S&P Equal Weight Index as and
when they are made in the corresponding S&P U.S. Index. When a company is added to an S&P Equal Weight Index in the middle of
the quarter, it takes the weight of the company that it replaced. The one exception is when a company is removed from an S&P Equal
Weight Index at a price of $0.00. In that case, the company’s replacement is added to that S&P Equal Weight Index at the weight
using the previous day’s closing value or the most immediate prior business day that the deleted company was not valued at $0.00.
Each S&P Equal Weight Index is generally calculated
and maintained in the same manner as the corresponding S&P U.S. Index, except that each constituent is equally weighted rather than
weighted by float-adjusted market capitalization. To calculate an equal-weighted index, the market capitalization for each stock used
in the calculation of the index is redefined so that each index constituent has an equal weight in the index at each rebalancing date.
In addition to being the product of the stock price, the stock’s shares outstanding and the stock’s float factor (“IWF”),
an additional weight factor (“AWF”) is also introduced in the market capitalization calculation to establish equal
weighting. The AWF of a stock is the adjustment factor of that stock assigned at each index rebalancing date that makes all index constituents’
modified market capitalization equal (and, therefore, equal weight), while maintaining the total market value of the overall index.
Each S&P Equal Weight Index is reset to equal
weight quarterly after the close of business on the third Friday of March, June, September and December. The reference date for weighting
is the second Friday of the reweighting
month and
changes are effective after the close of the following Friday using prices as of the reweighting reference date and membership, shares
outstanding and IWFs as of the reweighting effective date.
Each S&P Equal Weight Index is calculated,
maintained and governed using the same methodology as the corresponding S&P U.S. Index, subject to the equal weight methodology described
above. For additional information about the calculation, maintenance and governance of the S&P U.S. Indices, please see “Indices—The
S&P U.S. Indices” in this underlying supplement.
License Agreement
The S&P Equal Weight Indices are products
of S&P Dow Jones, and have been licensed for use by Barclays Bank PLC. “Standard & Poor’s,” “S&P,”
“S&P 500,” “S&P MidCap 400,” “MidCap 400,” “S&P SmallCap 600” and “SmallCap
600” are registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”). These trademarks
have been licensed to S&P Dow Jones and its affiliates and sublicensed to Barclays Bank PLC for certain purposes.
The securities are not sponsored, endorsed, sold
or promoted by S&P Dow Jones, SPFS, or any of their respective affiliates (collectively, “S&P”). S&P does
not make any representation or warranty, express or implied, to the owners of the securities or any member of the public regarding the
advisability of investing in securities generally or in the securities particularly or the ability of the S&P Equal Weight Indices
to track general market performance. S&P’s only relationship to Barclays Bank PLC with respect to the S&P Equal Weight Indices
is the licensing of the S&P Equal Weight Indices and certain trademarks, service marks and/or trade names of S&P and/or its licensors.
The S&P Equal Weight Indices are determined, composed and calculated by S&P without regard to Barclays Bank PLC or the securities.
S&P has no obligation to take the needs of Barclays Bank PLC or the owners of the securities into consideration in determining, composing
or calculating the S&P Equal Weight Indices. S&P is not responsible for and has not participated in the determination of the prices,
and amount of the securities or the timing of the issuance or sale of the securities or in the determination or calculation of the equation
by which the securities are to be converted into cash, surrendered or redeemed, as the case may be. S&P has no obligation or liability
in connection with the administration, marketing or trading of the securities. There is no assurance that investment products based on
the S&P Equal Weight Indices will accurately track the performance of the index or provide positive investment returns. S&P Dow
Jones is not an investment advisor. Inclusion of a security within the S&P Equal Weight Indices is not a recommendation by S&P
to buy, sell, or hold such security, nor is it considered to be investment advice. In addition, CME Group Inc. and its affiliates may
trade financial products which are linked to the performance of the S&P Equal Weight Indices. It is possible that this trading activity
will affect the value of the S&P Equal Weight Indices and the securities.
S&P DOES NOT GUARANTEE THE ADEQUACY, ACCURACY,
TIMELINESS AND/OR THE COMPLETENESS OF THE S&P U.S. INDICES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION (INCLUDING BUT NOT LIMITED
TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS)) WITH RESPECT THERETO. S&P SHALL NOT BE SUBJECT TO ANY DAMAGES
OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL
WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, OWNERS
OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P U.S. INDICES OR WITH RESPECT TO ANY DATA RELATED THERETO.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE,
OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN
ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES
OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P AND BARCLAYS BANK PLC, OTHER THAN THE LICENSORS OF S&P.
THE S&P STYLE INDICES
All information contained in this underlying supplement
regarding the S&P 500® Growth Index, the S&P MidCap 400® Growth Index and the S&P SmallCap 600®
Growth Index (each, an “S&P Growth Index” and collectively, the “S&P Growth Indices”) and
the S&P 500® Value Index, the S&P MidCap 400® Value Index and the S&P SmallCap 600®
Value Index (each, an “S&P Value Index” and collectively, the “S&P Value Indices”), including,
without limitation, their make-up, method of calculation and changes in their components, has been derived from publicly available information,
without independent verification. This information reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC
(“S&P Dow Jones”). The S&P Growth Indices and the S&P Value Indices (each, an “S&P Style Index”
and collectively, the “S&P Style Indices”) are calculated, maintained and published by S&P Dow Jones. S&P
Dow Jones has no obligation to continue to publish, and may discontinue the publication of, any of the S&P Style Indices.
Each S&P Style Index is a subset of the S&P
500® Index, the S&P MidCap 400® Index or the S&P SmallCap 600® Index (each, an “S&P
U.S. Index” and collectively, the “S&P U.S. Indices”), as applicable. For additional information about
the S&P U.S. Indices, please see “ Indices—S&P U.S. Indices” in this underlying supplement.
The S&P 500® Growth Index
The S&P 500® Growth Index is
a subset of the S&P 500® Index and is a float-adjusted market capitalization-weighted index composed of large-capitalization
U.S. equities that exhibit growth characteristics as determined by S&P Dow Jones. The S&P 500® Index consists of
stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. The S&P 500® Growth
Index is reported by Bloomberg L.P. under the ticker symbol “SGX.”
The S&P 500® Value Index
The S&P 500® Value Index is
a subset of the S&P 500® Index and is a float-adjusted market capitalization-weighted index composed of large-capitalization
U.S. equities that exhibit value characteristics as determined by S&P Dow Jones. The S&P 500® Index consists of
stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. The S&P 500® Value
Index is reported by Bloomberg L.P. under the ticker symbol “SVX.”
The S&P MidCap 400® Growth Index
The S&P MidCap 400® Growth
Index is a subset of the S&P MidCap 400® Index and is a float-adjusted market capitalization-weighted index composed
of medium-capitalization U.S. equities that exhibit growth characteristics as determined by S&P Dow Jones. The S&P MidCap 400®
Index consists of stocks of 400 companies selected to provide a performance benchmark for the medium market capitalization segment of
the U.S. equity markets. The S&P MidCap 400® Growth Index is reported by Bloomberg L.P. under the ticker symbol “MIDG.”
The S&P MidCap 400® Value Index
The S&P MidCap 400® Value Index
is a subset of the S&P MidCap 400® Index and is a float-adjusted market capitalization-weighted index composed of medium-capitalization
U.S. equities that exhibit value characteristics as determined by S&P Dow Jones. The S&P MidCap 400® Index consists
of stocks of 400 companies selected to provide a performance benchmark for the medium market capitalization segment of the U.S. equity
markets. The S&P MidCap 400® Value Index is reported by Bloomberg L.P. under the ticker symbol “MIDV.”
The S&P SmallCap 600® Growth Index
The S&P SmallCap 600® Growth
Index is a subset of the S&P SmallCap 600® Index and is a float-adjusted market capitalization-weighted index composed
of small-capitalization U.S. equities that exhibit growth characteristics as determined by S&P Dow Jones. The S&P SmallCap 600®
Index consists of stocks of 600 companies selected to provide a performance benchmark for the small market capitalization segment of the
U.S.
equity markets.
The S&P SmallCap 600® Growth Index is reported by Bloomberg L.P. under the ticker symbol “SMLG.”
The S&P SmallCap 600® Value Index
The S&P SmallCap 600® Value
Index is a subset of the S&P SmallCap 600® Index and is a float-adjusted market capitalization-weighted index composed
of small-capitalization U.S. equities that exhibit value characteristics as determined by S&P Dow Jones. The S&P SmallCap 600®
Index consists of stocks of 600 companies selected to provide a performance benchmark for the small market capitalization segment of the
U.S. equity markets. The S&P SmallCap 600® Value Index is reported by Bloomberg L.P. under the ticker symbol “SMLV.”
Composition of the S&P Style Indices
Each S&P Style Index is a subset of the relevant
S&P U.S. Index and is a float-adjusted market capitalization-weighted index. S&P Dow Jones allocates the complete float-adjusted
market capitalization of the companies included in the relevant S&P U.S. Index between the corresponding S&P Value Index and S&P
Growth Index based on an assessment of those companies’ respective value and growth characteristics.
The market capitalization of companies exhibiting
the strongest value characteristics relative to their respective growth characteristics is allocated to the relevant S&P Value Index
(approximately 33% of the market capitalization of its parent index), and the market capitalization of companies exhibiting the strongest
growth characteristics relative to their respective value characteristics (approximately 33% of the market capitalization of its parent
index) is allocated to the corresponding S&P Growth Index. The market capitalization of the remaining companies included in the relevant
S&P U.S. Index is split between the corresponding S&P Value Index and S&P Growth Index, with more of the market capitalization
of companies exhibiting stronger value characteristics relative to their respective growth characteristics being allocated to the relevant
S&P Value Index and more of the market capitalization of companies exhibiting the stronger growth characteristics relatively to their
respective value characteristics being allocated to the corresponding S&P Growth Index.
Construction of the S&P Style Indices
Each S&P Style Index is derived from its parent
index, the relevant S&P U.S. Index. An S&P Style Index cannot have a constituent that is not also a member of the relevant S&P
U.S. Index.
Style Factors. The S&P Growth Indices
and the S&P Value Indices measure growth and value along two separate dimensions, with three factors each used to measure growth and
value. The list of factors used is outlined in the table below.
Growth
Factors |
Value
Factors |
Three-year change in earnings per share (excluding extra items) over price per share |
Book value to price ratio |
Three-year sales per share growth rate |
Earnings to price ratio |
Momentum (12-month % price change) |
Sales to price ratio |
| · | If earnings from three years prior are not available, two-year change in earnings per share (excluding extra items) over price per
share is used. If earnings from two years prior are not available, one-year change in earnings per share (excluding extra items) over
price per share is used. If earnings from one year prior are not available, the factor is set equal to zero. If the starting values is
less than zero, the score is multiplied by a factor of negative 1. |
| · | If sales from three years prior are not available, two-year sales per share growth rate is used. If sales from two years prior are
not available, one-year sales per share growth rate is used. If sales from one year prior |
are not available, the factor is set equal to
zero. If the starting values is less than zero, the score is multiplied by a factor of negative 1.
| · | If there is not enough trading history to calculate 12-month momentum then the momentum factor is calculated from the stock’s
listing date. |
| · | If book value to price ratio, earnings to price ratio, or sales to price ratio is not available then such factor is set equal to zero. |
Style Scores. Raw values for each of the
above factors are calculated by S&P Dow Jones for each company in the S&P Total Market Index universe. The S&P Total Market
Index is a float-adjusted, market capitalization-weighted index designed to track the broad U.S. equity market, including large-, mid-,
small- and micro-cap stocks.
These raw values are first “winsorized”
(a statistical tool used to reduce the influence of outliers in data) to the 90th percentile and then standardized by dividing
the difference between each company’s raw score and the mean of the entire set by the standard deviation of the entire set. A “growth
score” for each company is computed as the average of the standardized values of the three growth factors. Similarly, a “value
score” for each company is computed as the average of the standardized values of the three value factors. At the end of this
step each company has a growth score and a value score.
Establishing Style Baskets. Companies within
the relevant S&P U.S. Index are then ranked based on their growth and value scores. A company with a high growth score would have
a higher “growth rank,” while a company with a low value score would have a lower “value rank.”
For example, the index constituent with the highest value score would have a value rank of 1, while the constituent with the lowest value
score would have a value rank of 500 in the case of the S&P 500® Index, 400 in the case of the S&P MidCap 400®
Index or 600 in the case of the S&P SmallCap 600® Index.
The companies within the relevant S&P U.S.
Index are then sorted in ascending order by the ratio of their growth rank to their value rank. The companies at the top of the list have
a higher growth rank (or higher growth score) and a lower value rank (or lower value score) and, therefore, exhibit pure growth characteristics.
The companies at the top of the list, comprising 33% of the total market capitalization of the relevant S&P U.S. Index, are included
in the “growth basket.”
The companies at the bottom of the list have a
higher value rank (or higher value score) and a lower growth rank (or lower growth score) and, therefore, exhibit pure value characteristics.
The companies at the bottom of the list, comprising 33% of the total market capitalization of the relevant S&P U.S. Index, are included
in the “value basket.”
The companies in the middle of the list have similar
growth ranks and value ranks and, therefore, exhibit neither pure growth nor pure value characteristics. The companies in the middle of
the list, comprising 34% of the total market capitalization of the relevant S&P U.S. Index, are included in the “blended
basket.”
Growth and Value Indices. The style baskets
described above are the starting points for the S&P Style Indices’ construction. 100% of the float market capitalization of
a company in the value basket is assigned to the relevant S&P Value Index, and 100% of the float market capitalization of a company
in the growth basket is assigned to the corresponding S&P Growth Index.
The middle 34% of float market capitalization
consists of companies that have similar growth and value ranks. The market capitalization of these companies that are in the blended basket
is distributed between the relevant S&P Value Index and the corresponding S&P Growth Index based on their distances from the midpoint
of the growth basket and the midpoint of the value basket. The midpoint of each style basket is calculated as the average of value scores
and growth scores of all companies in that style basket.
Based on back-tested results, the total market
capitalization is approximately equally divided among each S&P Growth Index and its corresponding S&P Value Index. However, there
is no mathematical procedure employed to force equal market capitalization for each S&P Growth Index and its corresponding S&P
Value Index, since price
movements
of constituent stocks would result in inequality immediately following any reconstitution. Therefore, the future allocation of the market
capitalization to the S&P Style Indices may not be equal.
Each S&P Style Index is calculated following
S&P Dow Jones’ modified market capitalization-weighted, divisor-based index methodology. Corporate actions and index changes
are implemented in the same manner as for other market capitalization-weighted indices. See “Indices—The S&P U.S. Indices”
in this underlying supplement for additional information.
Maintenance
of the S&P Style Indices
Rebalancing. Each S&P Style Index is
rebalanced once a year in December. The rebalancings occur after the close on the third Friday of December. The reference date for growth
and value expressions is after the close of the last trading date of the previous month.
Style scores, float market capitalization weights
and growth and value midpoint averages are reset only once a year at the December rebalancing.
Other changes to the S&P Style Indices are
made on an as-needed basis, following the guidelines of the relevant S&P U.S. Index. Changes in response to corporate actions and
market developments can be made at any time. Constituent changes are typically announced for the relevant S&P U.S. Index two-to-five
days before they are scheduled to be implemented.
Corporate Actions and Other Adjustments
Parent
Index Action |
Adjustment
Made to the Relevant S&P Style Index |
Divisor
Adjustment? |
Constituent Change |
If the index constituent being dropped is a member of an S&P Style Index, it is removed from such index. The replacement stock will then be added to either the relevant S&P Value Index or the corresponding S&P Growth Index (or both) based on its growth/value rank, and S&P Dow Jones will announce the percent of float market capitalization of the replacement stock to be added to the relevant S&P Value Index or the corresponding S&P Growth Index (or both) via its index corporate events report. The percent of float market capitalization of the constituent in each S&P Style Index for the replacement stock is calculated using the Global Industry Classification Standard industry-level averages for stocks outside the S&P Composite 1500 index other than spin-offs, and such percentage will be based on old values for inter-index moves. |
Yes |
Share Changes between Quarterly Share Adjustments |
Share count follows the relevant S&P U.S. Index share count. |
Yes |
Quarterly Share Changes |
Share count follows the relevant S&P U.S. Index share count. In addition, the new percent of float market capitalization in the relevant S&P Value Index and the corresponding S&P Growth Index changes for all constituent stocks at the December rebalancing. These will be pre-announced in a manner similar to quarterly share changes. |
Yes |
Spin-Off |
Index membership follows the relevant S&P U.S. Index. The “child stock” is assigned the same percent of float market capitalization in each S&P U.S. Index as its “parent stock.” |
No |
See “Indices—The
S&P U.S. Indices” in this underlying supplement for the treatment of other corporate actions.
Governance of
the S&P Style Indices
The Americas Thematic and Strategy Index Committee
(the “Index Committee”) maintains the S&P Style Indices. All members of the Index Committee are full-time professional
members of S&P Dow Jones’ staff. The Index Committee meets regularly. At each meeting, the Index Committee may review pending
corporate actions that may affect constituents of an S&P Style Index, statistics comparing the composition of the S&P Style Indices
to the market, companies that are being considered as candidates for addition to an S&P Style Index and any significant market events.
In addition, the Index Committee may revise index policy covering rules for selecting companies, treatment of dividends, share counts
or other matters.
License Agreement
The S&P Style Indices are products of S&P
Dow Jones, and have been licensed for use by Barclays Bank PLC. “Standard & Poor’s,” “S&P,” “S&P
500,” “S&P MidCap 400,” “MidCap 400,” “S&P SmallCap 600” and “SmallCap 600”
are registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”). These trademarks have been
licensed to S&P Dow Jones and its affiliates and sublicensed to Barclays Bank PLC for certain purposes.
The securities are not sponsored, endorsed, sold
or promoted by S&P Dow Jones, SPFS, or any of their respective affiliates (collectively, “S&P”). S&P does
not make any representation or warranty, express or implied, to the owners of the securities or any member of the public regarding the
advisability of investing in securities generally or in the securities particularly or the ability of the S&P Style Indices to track
general market performance. S&P’s only relationship to Barclays Bank PLC with respect to the S&P Style Indices is the licensing
of the S&P Style Indices and certain trademarks, service marks and/or trade names of S&P and/or its licensors. The S&P Style
Indices are determined, composed and calculated by S&P without regard to Barclays Bank PLC or the securities. S&P has no obligation
to take the needs of Barclays Bank PLC or the owners of the securities into consideration in determining, composing or calculating the
S&P Style Indices. S&P is not responsible for and has not participated in the determination of the prices, and amount of the securities
or the timing of the issuance or sale of the securities or in the determination or calculation of the equation by which the securities
are to be converted into cash, surrendered or redeemed, as the case may be. S&P has no obligation or liability in connection with
the administration, marketing or trading of the securities. There is no assurance that investment products based on the S&P Style
Indices will accurately track the performance of the index or provide positive investment returns. S&P Dow Jones is not an investment
advisor. Inclusion of a security within the S&P Style Indices is not a recommendation by S&P to buy, sell, or hold such security,
nor is it considered to be investment advice. In addition, CME Group Inc. and its affiliates may trade financial products which are linked
to the performance of the S&P Style Indices. It is possible that this trading activity will affect the value of the S&P Style
Indices and the securities.
S&P DOES NOT GUARANTEE THE ADEQUACY, ACCURACY,
TIMELINESS AND/OR THE COMPLETENESS OF THE S&P STYLE INDICES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION (INCLUDING BUT NOT LIMITED
TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS)) WITH RESPECT THERETO. S&P SHALL NOT BE SUBJECT TO ANY DAMAGES
OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL
WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, OWNERS
OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P STYLE INDICES OR WITH RESPECT TO ANY DATA RELATED THERETO.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE,
OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN
ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES
OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P AND BARCLAYS BANK PLC, OTHER THAN THE LICENSORS OF S&P.
THE S&P U.S. INDICES
All information contained in this underlying supplement
regarding the S&P 500® Index, the S&P MidCap 400® Index and the S&P SmallCap 600®
Index (each, an “S&P U.S. Index” and collectively, the “S&P U.S. Indices”), including, without
limitation, their make-up, method of calculation and changes in their components, has been derived from publicly available information,
without independent verification. This information reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC
(“S&P Dow Jones”). The S&P U.S. Indices are calculated, maintained and published by S&P Dow Jones. S&P
Dow Jones has no obligation to continue to publish, and may discontinue the publication of, any of the S&P U.S. Indices.
The S&P 500® Index
The S&P 500® Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. The S&P 500® Index
is reported by Bloomberg L.P. under the ticker symbol “SPX.”
The S&P MidCap 400® Index
The S&P MidCap 400® Index consists
of stocks of 400 companies selected to provide a performance benchmark for the medium market capitalization segment of the U.S. equity
markets. The S&P MidCap 400® Index is reported by Bloomberg L.P. under the ticker symbol “MID.”
The S&P SmallCap 600® Index
The S&P SmallCap 600® Index
consists of stocks of 600 companies selected to provide a performance benchmark for the small market capitalization segment of the U.S.
equity markets. The S&P SmallCap 600® Index is reported by Bloomberg L.P. under the ticker symbol “SML.”
Composition of the S&P U.S. Indices
Additions to the S&P U.S. Indices are evaluated
based as follows:
| · | Domicile. The company should be a U.S. company, meaning a company that has the following characteristics: |
| o | the company should file 10-K annual reports; |
| o | the U.S. portion of fixed assets and revenues should constitute a plurality of the total but need not exceed 50%. When these factors
are in conflict, fixed assets determine plurality. Revenue determines plurality when there is incomplete asset information. Geographic
information for revenue and fixed asset allocations are determined by the company as reported in its annual filings. If this criteria
is not met or is ambiguous, S&P Dow Jones may still deem the company to be a U.S. company for index purposes if its primary listing,
headquarters and incorporation are all in the United States and/or “a domicile of convenience” (Bermuda, Channel Islands,
Gibraltar, islands in the Caribbean, Isle of Man, Luxembourg, Liberia or Panama); and |
| o | the primary listing must be on an eligible U.S. exchange as described under “—Exchange Listing” below. |
In situations where the only factor suggesting that a company
is not a U.S. company is its tax registration in a domicile of convenience or another location chosen for tax-related reasons, S&P
Dow Jones normally determines that the company is still a U.S. company. The final determination of domicile eligibility is made by the
S&P Dow Jones’s U.S. index committee.
| · | Exchange Listing. A primary listing on one of the following U.S. exchanges is required: New York Stock Exchange, NYSE Arca,
NYSE American, Nasdaq Global Select Market, Nasdaq Select Market, Nasdaq Capital Market, Cboe BZX, Cboe BYX, Cboe EDGA or Cboe EDGX exchanges.
Ineligible exchanges include the OTC Bulletin Board and Pink Sheets. |
| · | Organizational Structure and Share Type. Eligible organizational structures and share types are corporations, including equity
and mortgage real estate investment trusts (“REITs”), and common stock (i.e., shares). Ineligible organizational
structures and share types include, but are not limited to, business development companies, limited partnerships, master limited partnerships,
limited liability companies, closed-end funds, exchange-traded funds, exchange-traded notes, royalty trusts, special purposes acquisition
companies, tracking stocks, preferred and convertible preferred stock, unit trusts, equity warrants, convertible bonds, investment trusts,
rights and American depositary receipts. |
As of July 2017, the securities of companies with multiple
share class structures (including companies with listed and unlisted share classes) are no longer eligible to be added to the S&P
U.S. Indices, but securities already included in an S&P U.S. Index have been grandfathered and are not affected by this change.
| · | Market Capitalization. The total company market capitalization should be within a specified range for the relevant S&P
U.S. Index. These ranges are reviewed quarterly and updated as needed to ensure they reflect current market conditions. A company meeting
the total company market capitalization criteria is also required to have a security level float-adjusted market capitalization (“FMC”)
that is at least 50% of the relevant S&P U.S. Index’s total company level minimum market capitalization threshold. For spin-offs,
S&P U.S. Index membership eligibility is determined using when-issued prices, if available. |
| · | Liquidity. A float-adjusted liquidity ratio (“FALR”), defined as the annual dollar value traded divided
by the FMC, is used to measure liquidity. Using composite pricing and consolidated volume (excluding dark pools) across all venues (including
historical values), annual dollar value traded is defined as the average closing price multiplied by the historical volume over the 365
calendar days prior to the evaluation date. This is reduced to the available trading period for initial public offerings (“IPOs”)
or spin-offs that do not have 365 calendar days of trading history. In these cases, the dollar value traded available as of the evaluation
date is annualized. The price, shares outstanding and IWF (as defined below) as of the evaluation date are used to calculate the FMC.
The evaluation date is the open of trading on the day prior to the announcement date. The stock should trade a minimum of 250,000 shares
in each of the six months leading up to the evaluation date. The FALR must be greater than or equal to 1.0 at the time of addition to
an S&P U.S. Index. Current index constituents have no minimum requirement. |
| · | Financial Viability. The sum of the most recent four consecutive quarters’ Generally Accepted Accounting Principles (“GAAP”)
earnings (net income excluding discontinued operations) should be positive as should the most recent quarter. For equity REITs, financial
viability is based on GAAP earnings and/or funds from operations, if reported. |
| · | Treatment of IPOs. IPOs should be traded on an eligible exchange for at least 12 months before being considered for addition
to an S&P U.S. Index. For former special purpose acquisition companies (“SPACs”), S&P Dow Jones considers the
de-SPAC transaction to be an event equivalent to an IPO, and 12 months of trading post the de-SPAC event are required before a former
SPAC can be considered for inclusion in an S&P U.S. Index. Spin-offs or in-specie distributions from existing constituents do not
need to be seasoned for 12 months prior to their inclusion in an S&P U.S. Index. |
| · | Sector Classification. The company is evaluated for its contribution to sector balance maintenance, as measured by a comparison
of each Global Industry Classification Standard sector’s weight in the relevant S&P U.S. Index with its weight in the S&P
Total Market Index, in the relevant market capitalization range. The S&P Total Market Index is a float-adjusted market capitalization-weighted
index designed to track the broad U.S. equity market, including large-, mid-, small- and micro-cap stocks. |
Companies that migrate from an ineligible exchange,
emerge from bankruptcy, are newly designated to be domiciled in the U.S. for index purposes by S&P Dow Jones or convert from an ineligible
share or organizational type to an eligible type do not need to trade on an eligible U.S. exchange for 12 months before being considered
for addition to an S&P U.S. Index.
Current constituents of an S&P U.S. Index
can be migrated from one S&P U.S. Index to another provided they meet the total company level market capitalization eligibility criteria
for the new index. Migrations from an S&P U.S. Index to another do not need to meet the financial viability, liquidity or 50% of the
respective index’s total company level minimum market capitalization threshold criteria.
Companies that are spun-off from current index
constituents do not need to meet the outside addition criteria, but they should be considered U.S. domiciled for index purposes and have
a total market cap representative of the relevant S&P U.S. Index.
Removals from the S&P U.S. Indices are evaluated based
as follows:
| · | Companies that are involved in mergers, acquisitions or significant restructuring such that they no longer meet the eligibility
criteria. Companies delisted as a result of merger, acquisition or other corporate action are removed at a time announced by S&P
Dow Jones, normally at the close of the last day of trading or expiration of a tender offer. Constituents that are halted from trading
may be kept in an S&P U.S. Index until trading resumes, at the discretion of S&P Dow Jones’s U.S. index committee. If a
stock is moved to Pink Sheets or the OTC Bulletin Board, the stock is removed. |
Any company that is removed from an S&P U.S. Index (including
discretionary and bankruptcy/exchange delistings) must wait a minimum of one year from its index removal date before being screened for
the eligibility criteria.
| · | Companies that substantially violate one or more of the addition criteria. S&P Dow Jones believes turnover in index membership
should be avoided when possible. At times, a stock may appear to temporarily violate one or more of the addition criteria. However, the
addition criteria are for addition to an S&P U.S. Index, not for continued membership. As a result, an S&P U.S. Index constituent
that appears to violate criteria for addition to that index is not deleted unless ongoing conditions warrant an index change. When a stock
is removed from an S&P U.S. Index, S&P Dow Jones explains the basis for the removal. |
Calculation of the S&P U.S. Indices
The S&P U.S. Indices are float-adjusted market
capitalization-weighted indices. On any given day, the index value of each S&P U.S. Index is the total float-adjusted market capitalization
of that S&P U.S. Index’s constituents divided by its divisor. The float-adjusted market capitalization reflects the price
of each stock in the relevant S&P U.S. Index multiplied by the number of shares used in the index value calculation.
Float Adjustment. Float adjustment means
that the number of shares outstanding is reduced to exclude shares that are held by other publicly traded companies, government agencies
or certain types of strategic shareholders from the calculation of the index value because such shares are not available to investors.
The goal of float adjustment is to adjust each company’s total shares outstanding for long-term strategic shareholders, who often
have interests such as maintaining control rather than securing the shorter-term economic fortunes of the company. Generally, these long-term
strategic shareholders include, but are not limited to, officers and directors, private equity, venture capital and special equity firms,
asset managers and insurance companies with direct board of director representation, other publicly traded companies that hold shares,
holders of restricted shares, company-sponsored employee share plans/trusts, defined contribution plans/savings, and investment plans,
foundations or family trusts associated with the company, government entities at all levels (other than government retirement/pension
funds), sovereign wealth funds and any individual person who controls a 5% or greater stake in a company as reported in regulatory filings.
Restricted shares are generally not included in total shares outstanding except for shares held as part of a lock-up agreement. Shares
that are not considered outstanding are also not included in the available float. These generally include treasury stock, stock options,
equity participation units, warrants, preferred stock, convertible stock and rights.
For each component, S&P Dow Jones calculates
an Investable Weight Factor (“IWF”), which represents the portion of the total shares outstanding that are considered
part of the public float for purposes of the relevant S&P U.S. Index.
Divisor. Continuity in index values of
each S&P U.S. Indices is maintained by adjusting its divisor for all changes in its constituents’ share capital after its base
date. This includes additions and deletions to the relevant S&P U.S. Index, rights issues, share buybacks and issuances and non-zero
price spin-offs. The value of each S&P U.S. Index’s divisor over time is, in effect, a chronological summary of all changes
affecting the base capital of that S&P U.S. Index. The divisor of each S&P U.S. Index is adjusted such that the index value of
that S&P U.S. Index at an instant just prior to a change in base capital equals the index value of that S&P U.S. Index at an instant
immediately following that change.
Maintenance
of the S&P U.S. Indices
Changes to index composition are made on an as-needed
basis. There is no scheduled reconstitution. Rather, changes in response to corporate actions and market developments can be made at any
time. Index additions and deletions are announced with at least three business days advance notice. Less than three business days’
notice may be given at the discretion of the S&P Dow Jones’s U.S. index committee.
Quarterly Update. Share counts are updated
to the latest publicly available filings on a quarterly basis. IWF changes will only be made at the quarterly review if the change represents
at least 5% of total current shares outstanding and is related to a single corporate action that did not qualify for the accelerated implementation
rule, regardless of whether there is an associated share change.
Share/IWF Reference Date and Freeze Period.
A reference date, after the market close five weeks prior to the third Friday in March, June, September and December, is the cutoff for
publicly available information used for quarterly shares outstanding and IWF changes. All shares outstanding and ownership information
contained in public filings and/or official sources dated on or before the reference date are included in that quarter’s update.
In addition, there is a freeze period on a quarterly basis for any changes that result from the accelerated implementation rule. The freeze
period begins after the market close on the Tuesday prior to the second Friday of each rebalancing month (i.e., March, June, September
and December) and ends after the market close on the third Friday of the rebalancing month.
Pro-forma files for float-adjusted market capitalization
indices are generally released after the market close on the first Friday, two weeks prior to the rebalancing effective date. For illustration
purposes, if rebalancing pro-forma files are scheduled to be released on Friday, March 5, the share/IWF freeze period will begin after
the close of trading on Tuesday, March 9, and will end after the close of trading the following Friday, March 19 (i.e., the third
Friday of the rebalancing month).
During the share/IWF freeze period, shares and
IWFs are not changed and the accelerated implementation rule is suspended, except for mandatory corporate action events (such as merger
activity, stock splits and rights offerings). The suspension includes all changes that qualify for accelerated implementation and would
typically be announced or effective during the share/IWF freeze period. At the end of the freeze period, all suspended changes will be
announced on the third Friday of the rebalancing month and implemented five business days after the quarterly rebalancing effective date.
Other Adjustments. In cases where there
is no achievable market price for a stock being deleted, it can be removed at a zero or minimal price at the S&P Dow Jones’s
U.S. index committee’s discretion.
The table below summarizes the treatment of certain
corporate actions.
Corporate
Action |
Treatment |
Company addition/deletion |
Addition
Companies are added at the float market capitalization weight. The
net change to the market capitalization of the relevant S&P U.S. Index causes a divisor adjustment.
Deletion
The weights of all stocks in the relevant S&P U.S. Index will proportionally
change. Relative weights will stay the same. The index divisor will change due to the net change in the market capitalization of that
S&P U.S. Index.
|
Change in shares outstanding |
Increasing (decreasing) the shares outstanding increases (decreases) the market capitalization of the relevant S&P U.S. Index. The change to the market capitalization of that S&P U.S. Index causes a divisor adjustment. |
Split/reverse split |
Shares outstanding are adjusted by the split ratio. Stock price is adjusted by the split ratio. There is no change to the market capitalization of the relevant S&P U.S. Index and no divisor adjustment. |
Corporate
Action |
Treatment |
Spin-off |
Generally, the spin-off is added to the relevant S&P U.S. Index
on the ex-date at a price of zero and will remain in that S&P U.S. Index for at least one trading day. As a result, there will be
no change to the index divisor on the ex-date.
However, if the spin-off is ineligible for continued inclusion, it
will be removed after the ex-date. The weight of the spin-off being deleted is reinvested across all the index components proportionally
such that the relative weights of all index components are unchanged. The net change in the market capitalization of the relevant S&P
U.S. Index will cause a divisor change.
|
Change in IWF |
Increasing (decreasing) the IWF increases (decreases) the market capitalization of the relevant S&P U.S. Index. A net change to the market capitalization of that S&P U.S. Index causes a divisor adjustment. |
Ordinary dividend |
When a company pays an ordinary cash dividend, the relevant S&P U.S. Index does not make any adjustments to the price or shares of the stock. As a result, there are no divisor adjustments to that S&P U.S. Index. |
Special dividend |
The stock price is adjusted by the amount of the dividend. The net change to the market capitalization of the relevant S&P U.S. Index causes a divisor adjustment. |
Rights offering |
All rights offerings that are in the money on the ex-date are applied under the assumption that the rights are fully subscribed. The stock price is adjusted by the value of the rights and the shares outstanding are increased by the rights ratio. The net change in the market capitalization of the relevant S&P U.S. Index causes a divisor adjustment. |
Governance of
the S&P U.S. Indices
The S&P U.S. Indices are maintained by S&P
Dow Jones’s U.S. index committee. All index committee members are full-time professional members of S&P Dow Jones’ staff.
The index committee meets monthly. At each meeting, the index committee reviews pending corporate actions that may affect index constituents,
statistics comparing the composition of the S&P U.S. Indices to the market, companies that are being considered as candidates for
addition to an S&P U.S. Index and any significant market events. In addition, the index committee may revise index policy covering
rules for selecting companies, treatment of dividends, share counts or other matters.
License Agreement
The S&P U.S. Indices are products of S&P
Dow Jones, and have been licensed for use by Barclays Bank PLC. “Standard & Poor’s,” “S&P,” “S&P
500,” “S&P MidCap 400,” “MidCap 400,” “S&P SmallCap 600” and “SmallCap 600”
are registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”). These trademarks have been
licensed to S&P Dow Jones and its affiliates and sublicensed to Barclays Bank PLC for certain purposes.
The securities are not sponsored, endorsed, sold
or promoted by S&P Dow Jones, SPFS, or any of their respective affiliates (collectively, “S&P”). S&P does
not make any representation or warranty, express or implied, to the owners of the securities or any member of the public regarding the
advisability of investing in securities generally or in the securities particularly or the ability of the S&P U.S. Indices to track
general market performance. S&P’s only relationship to Barclays Bank PLC with respect to the S&P U.S. Indices is the licensing
of the S&P U.S. Indices and certain trademarks, service marks and/or trade names of S&P and/or its licensors. The S&P U.S.
Indices are determined, composed and calculated by S&P without regard to Barclays Bank PLC or the securities. S&P has no obligation
to take the needs of Barclays Bank PLC or the owners of the securities into consideration in determining, composing or calculating the
S&P U.S. Indices. S&P is not responsible for and has not participated in the determination of the prices, and amount of the securities
or the timing of the issuance or sale of the securities or in the determination or calculation of the equation by which the securities
are to be converted into cash, surrendered or redeemed, as the case may be. S&P has no obligation or liability in connection with
the administration, marketing or trading of the securities. There is no assurance that investment products based on the S&P U.S. Indices
will
accurately
track the performance of the index or provide positive investment returns. S&P Dow Jones is not an investment advisor. Inclusion
of a security within the S&P U.S. Indices is not a recommendation by S&P to buy, sell, or hold such security, nor is it considered
to be investment advice. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance
of the S&P U.S. Indices. It is possible that this trading activity will affect the value of the S&P U.S. Indices and the securities.
S&P DOES NOT GUARANTEE THE ADEQUACY, ACCURACY,
TIMELINESS AND/OR THE COMPLETENESS OF THE S&P U.S. INDICES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION (INCLUDING BUT NOT LIMITED
TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS)) WITH RESPECT THERETO. S&P SHALL NOT BE SUBJECT TO ANY DAMAGES
OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL
WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, OWNERS
OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P U.S. INDICES OR WITH RESPECT TO ANY DATA RELATED THERETO.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE,
OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN
ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES
OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P AND BARCLAYS BANK PLC, OTHER THAN THE LICENSORS OF S&P.
THE
STOXX Benchmark Indices
All information contained in this underlying supplement
regarding the STOXX® Europe Total Market Index, the STOXX® Europe
600 Index, the EURO STOXX® Index, the STOXX® Europe 600 Supersector
indices, the EURO STOXX® Supersector indices, the STOXX® Europe
50 Index and the EURO STOXX 50® Index (each, a “STOXX Benchmark Index” and collectively, the
“STOXX Benchmark Indices”), including, without limitation, their make-up, method of calculation and changes in their
components, has been derived from publicly available information, without independent verification. This information reflects the policies
of, and is subject to change by, STOXX Limited, a wholly owned subsidiary of Deutsche Börse AG. The STOXX Benchmark Indices are calculated,
maintained and published by STOXX Limited. STOXX Limited has no obligation to continue to publish, and may discontinue the publication
of, any of the STOXX Benchmark Indices.
The STOXX® Europe Total Market Index
The STOXX®
Europe Total Market Index is a free float market capitalization-weighted index composed of at least 95% of the free float market capitalization
traded on the major exchanges of 17 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg,
the Netherlands, Norway, Poland, Portugal, Spain, Sweden, Switzerland and the United Kingdom. The euro price return version of the STOXX®
Europe Total Market Index is reported by Bloomberg L.P. under the ticker symbol “BKXP.”
Only common stocks and equities with similar characteristics
from financial markets that provide reliable real-time, historical component and currency pricing, and reference and corporate actions
data are eligible for inclusion in the STOXX® Europe Total Market Index. In addition, only listed companies on a regulated
market on a major exchange as determined by STOXX are eligible to be included in the STOXX® Europe Total Market Index.
Investment instruments (Industry Classification Benchmark: 8985 or 8995) and companies that were recently removed from the STOXX®
Europe Total Market Index due to mergers and acquisition are not eligible for inclusion in the STOXX® Europe Total Market
Index.
Each stock is uniquely assigned to a specific
country and listing within the STOXX investable universe. The country classification and listing is based on the country of incorporation,
the primary listing and the country with the largest trading volume. American and other depositary receipts (e.g., ADRs/GDRs) are
assigned to the same country as the stock on which the receipt is issued. Each country is assigned to one or more regions. The
STOXX® Europe Total Market Index is composed of stocks assigned to countries within the Europe region.
All stocks in the investable stock universe of
each country included in STOXX® Europe Total Market Index are ranked in terms
of their free float market capitalization at the cut-off date to produce the review list. The largest companies in the investible universe
of each country with a cumulative free float market capitalization up to and including 93% of the investible universe of that country,
qualify for inclusion in the STOXX® Europe Total Market Index. The stocks covering the next 2% of cumulative free float
market capitalization are selected among the largest remaining current components of the STOXX® Europe Total Market Index
representing the portion of capitalization above 93% and up to and including 99%. If the country coverage is still below the defined threshold,
then the largest remaining stocks are selected until the country coverage is reached.
No weighting cap factor (see “—STOXX
Benchmark Index Calculation” below) is applied in calculating the STOXX® Europe
Total Market Index.
The STOXX®
Europe 600 Index
The STOXX®
Europe 600 Index is a free float market capitalization-weighted index composed of 600 of the largest stocks in terms of free float market
capitalization traded on the major exchanges of 17 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy,
Luxembourg, the Netherlands, Norway, Poland, Portugal, Spain, Sweden, Switzerland and the United Kingdom. At any given time, some eligible
countries may not be represented in the STOXX® Europe 600 Index. The euro price return version of the STOXX®
Europe 600 Index is reported by Bloomberg L.P. under the ticker symbol “SXXP.”
The selection
list for the STOXX® Europe 600 Index is composed of the most liquid stock of each component of the STOXX®
Europe Total Market Index that has a minimum liquidity of greater than one million EUR measured over 3-month average daily trading value.
From the selection list, the largest 550 stocks qualify for inclusion in the STOXX® Europe 600 Index. The remaining 50
stocks are selected from the largest remaining current components
ranked
between 551 and 750. If the number of stocks selected is still below 600, the largest remaining stocks are selected until there are enough
stocks.
The weighting cap factor (see “— STOXX
Benchmark Index Calculation” below) limits the weight of each component stock within the STOXX® Europe 600 Index
to a maximum of 20% at the time of each review.
The EURO STOXX® Index
The EURO
STOXX® Index is a free float market capitalization-weighted index composed of the largest stocks in terms of free float
market capitalization traded on the major exchanges of 11 Eurozone countries: Austria,
Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain.
At any given time, some eligible countries may not be represented in the EURO STOXX® Index. The euro price return version
of the EURO STOXX® Index is reported by Bloomberg L.P. under the ticker symbol “SXXE.”
The EURO
STOXX® Index is composed of all of the components of the STOXX® Europe 600 Index that are traded in euros
and assigned to countries in the Eurozone.
The weighting cap factor (see “—STOXX
Benchmark Index Calculation” below) limits the weight of each component stock within the EURO
STOXX® Index to a maximum of 20% at the time of each review.
The STOXX®
Europe 600 Supersector Indices and the EURO STOXX® Supersector Indices
The STOXX®
Europe 600 Index and the EURO STOXX® Index are each divided into 20 supersector indices according to the Industry Classification
Benchmark (“ICB”), an international system for categorizing companies that is maintained by FTSE Russell. Each supersector
index includes the components of its parent index that have been issued by companies within the relevant ICB supersector. The ICB supersectors
are: automobiles and parts; banks; basic resources; chemicals; construction and materials; consumer products and services; energy; financial
services; food, beverage and tobacco; health care; industrial goods and services; insurance; media; personal care, drug and grocery stores;
real estate; retail; technology; telecommunications; travel and leisure; and utilities.
The STOXX®
Europe 600 Banks Index is one of 20 STOXX® Europe 600 Supersector indices and includes stocks composing the STOXX®
Europe 600 Index that have been issued by companies in the ICB banks supersector. The banks supersector tracks companies providing a broad
range of financial services, including retail banking, loans and money transmissions. The euro price return version of the STOXX®
Europe 600 Banks Index is reported by Bloomberg L.P. under the ticker symbol “SX7P.”
The EURO
STOXX® Banks Index is one of 20 EURO STOXX® Supersector indices and includes stocks composing the EURO STOXX®
Index that have been issued by companies in the ICB banks supersector. The banks supersector tracks companies providing a broad range
of financial services, including retail banking, loans and money transmissions. The euro price return version of the EURO STOXX®
Banks Index is reported by Bloomberg L.P. under the ticker symbol “SX7E.”
With respect to each STOXX®
Europe 600 Supersector index, the weighting cap factor (see “—STOXX Benchmark Index Calculation” below) limits
the weight of the highest weighted component stock to a maximum of 30% at the time of each review and limits the weight of the second
highest weighted component stock to a maximum of 15% at the time of each review. No weighting cap factor is applied in calculating the
EURO STOXX® Supersector indices.
The STOXX®
Europe 50 Index
The STOXX®
Europe 50 Index is a free float market capitalization-weighted index composed of 50 of the largest stocks in terms of free float market
capitalization traded on the major exchanges of 17 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy,
Luxembourg, the Netherlands, Norway, Poland, Portugal, Spain, Sweden, Switzerland and the United Kingdom. At any given time, some eligible
countries may not be represented in the STOXX® Europe 50 Index. The euro price return version of the STOXX®
Europe 50 Index is reported by Bloomberg L.P. under the ticker symbol “SX5P.”
The selection
list for the STOXX® Europe 50 Index is composed of the components of the STOXX® Europe 600 Index. In addition,
the selection list for the STOXX® Europe 50 Index includes only the top 60% of the free
float market
capitalization of each of the 20 STOXX® Europe 600 Supersector indices and all current STOXX®
Europe 50 Index component stocks. All the stocks on the selection list are ranked in terms of free float market capitalization.
The largest 40 stocks on the selection list are selected for inclusion in the STOXX®
Europe 50 Index; the remaining 10 stocks are selected from the largest remaining current stocks ranked between 41 and 60. If the
number of stocks selected is still below 50, then the largest remaining stocks are selected until there are 50 stocks.
The weighting cap factor (see “—STOXX
Benchmark Index Calculation” below) limits the weight of each component stock within the STOXX®
Europe 50 Index to a maximum of 10% at the time of each review.
The EURO STOXX 50® Index
The EURO
STOXX 50® Index is a free float market capitalization-weighted index composed of
50 of the largest stocks in terms of free float market capitalization traded on the major exchanges of 9 Eurozone countries: Belgium,
Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands and Spain. At any given time,
some eligible countries may not be represented in the EURO STOXX 50® Index.
The euro price return version of the EURO STOXX 50® Index is reported by Bloomberg
L.P. under the ticker symbol “SX5E.”
The selection
list for the EURO STOXX® 50 Index includes the top 60% of the free
float market capitalization of each of the 20 EURO STOXX® Supersector indices and all current EURO STOXX®
50 Index component stocks. All the stocks on the selection list are ranked in terms of free float market capitalization. The largest 40
stocks on the selection list are selected for inclusion in the EURO STOXX® 50 Index; the remaining 10 stocks are selected
from the largest remaining current stocks ranked between 41 and 60. If the number of stocks selected is still below 50, then the largest
remaining stocks are selected until there are 50 stocks.
The weighting cap factor (see “—STOXX
Benchmark Index Calculation” below) limits the weight of each component stock within the EURO
STOXX® 50 Index to a maximum of 10% at the time of each review.
STOXX Benchmark Index Maintenance
The composition of each of the STOXX®
Europe Total Market Index, the STOXX® Europe 600 Index, the EURO STOXX® Index, the STOXX®
Europe 600 Supersector Indices and the EURO STOXX® Supersector Indices is reviewed quarterly in March, June, September
and December. The review cut-off date is the last trading day of the month preceding the review month.
The composition of each of the STOXX®
Europe 50 Index and the EURO STOXX 50® Index is reviewed annually in September. The review cut-off date is the last
trading day of August. The composition of these STOXX Benchmark Indices is also reviewed monthly and components that rank 75 or below
are replaced and non-component stocks that rank 25 or above are added.
In addition, changes to country classification
and listing are effective as of the next quarterly review. At that time, the relevant STOXX Benchmark Index is adjusted accordingly to
remain consistent with its country membership rules by deleting the company where necessary.
The STOXX
Benchmark Indices are also reviewed on an ongoing basis. Corporate actions (including initial public offerings, mergers and takeovers,
spin-offs, delistings, bankruptcy, and price and share adjustments) that affect a STOXX Benchmark Index composition are immediately reviewed.
Any changes are announced, implemented and effective in line with the type of corporate action and the magnitude of the effect.
With respect to the STOXX® Europe
Total Market Index, removed companies are not replaced. With respect to the STOXX® Europe 600 Index, the EURO STOXX®
Index, the STOXX® Europe 600 Supersector Indices, the EURO STOXX® Supersector Indices, the STOXX®
Europe 50 Index and the EURO STOXX 50® Index, to maintain the number of components constant, a removed company is
replaced by the highest-ranked non-component on the relevant selection list. The selection list is updated on a monthly basis according
to the review component selection process.
The free
float factors for each component stock used to calculate each STOXX Benchmark Index are reviewed, calculated and implemented on a quarterly
basis and are fixed until the next quarterly review.
STOXX Benchmark Index Calculation
Each STOXX Benchmark Index is calculated with
the “Laspeyres formula,” which measures the aggregate price changes in the component stocks against a fixed base quantity
weight. The formula for calculating the value of a STOXX Benchmark Index can be expressed as follows:
Index = |
free float
market capitalization of the relevant STOXX Benchmark Index |
divisor |
The “free float market capitalization
of the relevant STOXX Benchmark Index” is equal to the sum of the products, for each component stock, of the price, number of
shares, free float factor, weighting cap factor and, if applicable, the exchange rate from the local currency into the index currency
of the relevant STOXX Benchmark Index as of the time that STOXX Benchmark Index is being calculated.
The free float factor of each component stock
is intended to reduce the number of shares to the actual amount available on the market. All fractions of the total number of shares that
are larger than 5% and whose holding is of a long-term nature are excluded from the calculation of the STOXX Benchmark Indices, including:
cross-ownership (stock owned either by the company itself, in the form of treasury shares, or owned by other companies); government ownership
(stock owned by either governments or their agencies); private ownership (stock owned by either individuals or families); and restricted
shares that cannot be traded during a certain period or have a foreign ownership restriction. Block ownership is not applied for holdings
of custodian nominees, trustee companies, mutual funds, investment companies with short-term investment strategies, pension funds and
similar entities.
Each STOXX Benchmark Index is also subject to
a divisor, which is adjusted to maintain the continuity of the values of that STOXX Benchmark Index despite changes due to corporate actions.
The following is a summary of the adjustments to any component stock of a STOXX Benchmark Index made for corporate actions and the effect
of such adjustment on the divisor of that STOXX Benchmark Index, where shareholders of the component stock will receive “B”
number of shares for every “A” share held (where applicable).
(1) Special cash dividend:
Cash distributions that are outside the scope of the regular dividend
policy or that the company defines as an extraordinary distribution
Adjusted price = closing price – dividend announced by the company
× (1 – withholding tax if applicable)
Divisor: decreases
|
(2) Split and reverse split:
Adjusted price = closing price × A / B
New number of shares = old number of shares × B / A
Divisor: unchanged
|
(3) Rights offering:
If the subscription price is not available or if the subscription price
is equal to or greater than the closing price on the day before the effective date, then no adjustment is made.
If the subscription price is available as a price range and not as
a fixed price, the price and share adjustment is performed only if both lower and upper range are in the money. The average value between
lower and upper range will be used as a subscription price.
In case the share increase is greater than or equal to 100% (B / A
≥ 1), the adjustment of the shares and weight factors are delayed until the new shares are listed.
Adjusted price = (closing price × A + subscription price ×
B) / (A + B)
New number of shares = old number of shares × (A + B) / A
Divisor: increases
|
(4) Stock dividend:
Adjusted price = closing price × A / (A + B)
New number of shares = old number of shares × (A + B) / A
Divisor: unchanged
|
(5) Stock dividend (from treasury stock):
Adjusted only if treated as extraordinary dividend.
Adjusted close = close – close × B / (A + B)
Divisor: decreases
|
(6) Stock dividend (from redeemable shares):
Adjusted only if treated as extraordinary dividend.
Adjusted close = close - close × B / (A + B)
Divisor: decreases
|
(7) Stock dividend of another company:
Adjusted price = (closing price × A – price of other company
× B) / A
Divisor: decreases
|
(8) Return of capital and share consolidation:
Adjusted price = (closing price – capital return announced by
company × (1-withholding tax)) × A / B
New number of shares = old number of shares × B / A
Divisor: decreases
|
(9) Repurchase of shares / self-tender:
Adjusted price = ((price before tender × old number of shares)
– (tender price × number of tendered shares)) / (old number of shares – number of tendered shares)
New number of shares = old number of shares – number of tendered
shares
Divisor: decreases
|
(10) Spin-off:
Adjusted price = (closing price × A – price of spun-off
shares × B) / A
Divisor: decreases
|
(11) Combination stock distribution (dividend or split) and rights
offering:
For this corporate action, the following additional assumptions apply:
Shareholders receive B new shares from the distribution and C new shares
from the rights offering for every A share held.
If A is not equal to one share, all the following “new number
of shares” formulae need to be divided by A:
|
- If rights are applicable after stock distribution (one action
applicable to other):
Adjusted price = (closing price × A + subscription price ×
C × (1 + B / A)) / ((A + B) × ( 1 + C / A))
New number of shares = old number of shares × ((A + B) ×
(1 + C / A)) / A
Divisor: increases
|
- If stock distribution is applicable after rights (one action applicable
to other):
Adjusted price = (closing price × A + subscription price ×
C) /((A + C) × (1 + B / A))
New number of shares = old number of shares × ((A + C) ×
(1 + B / A))
Divisor: increases
|
- Stock distribution and rights (neither action is applicable to
the other):
Adjusted price = (closing price × A + subscription price ×
C) / (A + B + C)
New number of shares = old number of shares × (A + B + C) / A
Divisor: increases
|
(12) Addition / deletion of a company:
No price adjustments are made. The net change in market capitalization
determines the divisor adjustment.
|
(13) Free float and shares changes:
No price adjustments are made. The net change in market capitalization
determines the divisor adjustment.
|
License Agreement
We have entered into a non-exclusive license agreement
with STOXX Limited whereby we, in exchange for a fee, are permitted to use the STOXX Benchmark Indices in connection with the securities.
STOXX Limited and its licensors (the “Licensors”) have no relationship to Barclays Bank PLC, other than the licensing of indices
and the related trademarks for use in connection with the securities.
STOXX Limited and its Licensors do not:
| · | sponsor, endorse, sell or promote the securities; |
| · | recommend that any person invest in the securities or any other securities; |
| · | have any responsibility or liability for or make any decisions about the timing, amount or pricing of securities. |
| · | have any responsibility or liability for the administration, management or marketing of the securities; or |
| · | consider the needs of the securities or the owners of the securities in determining, composing or calculating the STOXX Benchmark
Indices or have any obligation to do so. |
STOXX Limited and its Licensors will not have
any liability in connection with the securities. Specifically,
| · | STOXX Limited and its Licensors do not make any warranty, express or implied and disclaim any and all warranty about: |
| · | the results to be obtained by the securities, the owner of the securities or any other person in connection with the use of any
STOXX Benchmark Index and the data included in any STOXX Benchmark Index; |
| · | the accuracy or completeness of any STOXX Benchmark Index and its data; or |
| · | the merchantability and the fitness for a particular purpose or use of any STOXX Benchmark Index and its data; |
| · | STOXX Limited and its Licensors will have no liability for any errors, omissions or interruptions in any STOXX Benchmark Index
or its data; and |
| · | Under no circumstances will STOXX Limited or its Licensors be liable for any lost profits or indirect, punitive, special or consequential
damages or losses, even if STOXX Limited or its Licensors knows that they might occur. |
The licensing agreement between Barclays Bank
PLC and STOXX Limited is solely for their benefit and not for the benefit of the owners of the securities or any other third parties.
THE
STOXX Select Dividend Indices
All information contained in this underlying supplement
regarding the EURO STOXX® Select Dividend 30 Index, the STOXX®
Asia/Pacific Select Dividend 30 Index, the STOXX® Europe Select Dividend 30 Index,
the STOXX® North America Select Dividend 40 Index and the STOXX® Global Select Dividend 100 Index
(each, a “STOXX Select Dividend Index” and collectively, the “STOXX Select Dividend Indices”), including,
without limitation, their make-up, method of calculation and changes in their components, has been derived from publicly available information,
without independent verification. This information reflects the policies of, and is subject to change by, STOXX Limited, a wholly owned
subsidiary of Deutsche Börse AG. The STOXX Select Dividend Indices are calculated, maintained and published by STOXX Limited. STOXX
Limited has no obligation to continue to publish, and may discontinue the publication of, any of the STOXX Select Dividend Indices.
The EURO STOXX® Select Dividend 30 Index
The EURO STOXX® Select Dividend
30 Index is a net dividend yield-weighted index composed of 30 of the highest dividend-paying stocks selected from the components of the
EURO STOXX® Index, which provides a broad representation of the developed markets in the Eurozone. See “Indices—The
STOXX Benchmark Indices” in this underlying supplement for additional information about the EURO STOXX® Index. The
component stocks of the EURO STOXX® Select Dividend 30 Index are traded on the major
exchanges of 11 Eurozone countries: Austria, Belgium, Finland, France, Germany, Ireland,
Italy, Luxembourg, the Netherlands, Portugal and Spain. At any given time, some eligible countries
may not be represented in the EURO STOXX® Select Dividend 30 Index.
Although the EURO STOXX® Select Dividend 30 Index measures the performance of high dividend-yielding companies, it is a
price return index and, therefore, the return on the EURO STOXX® Select Dividend 30 Index will not include any dividends
paid on the securities that make up the EURO STOXX® Select Dividend 30 Index. The euro
price return version of the EURO STOXX® Select Dividend 30 Index is reported by Bloomberg L.P. under the ticker
symbol “SD3E.”
The STOXX® Asia/Pacific Select Dividend 30 Index
The STOXX® Asia/Pacific Select
Dividend 30 Index is a net dividend yield-weighted index composed of 30 of the highest dividend-paying stocks selected from the components
of the STOXX® Asia/Pacific 600 Index, which provides a broad representation of the developed markets in the Asia/Pacific
region. The selection list for the STOXX® Asia/Pacific 600 Index is derived from its relevant regional STOXX®
Total Market Index. Otherwise, the STOXX® Asia/Pacific 600 Index is calculated and maintained using the same methodology
as the STOXX® Europe 600 Index. See “Indices—The STOXX Benchmark Indices” in this underlying supplement
for additional information about the calculation and maintenance of the STOXX® Europe 600 Index. The component stocks of
the STOXX® Asia/Pacific Select Dividend 30 Index are traded on the major exchanges of Australia, Hong Kong, Japan, New
Zealand and Singapore. At any given time, some eligible countries may not be represented in the STOXX® Asia/Pacific Select
Dividend 30 Index. Although the STOXX® Asia/Pacific Select Dividend 30 Index measures the performance of high dividend-yielding
companies, it is a price return index and, therefore, the return on the STOXX® Asia/Pacific Select Dividend 30 Index will
not include any dividends paid on the securities that make up the STOXX® Asia/Pacific Select Dividend 30 Index. The euro
price return version of the STOXX® Asia/Pacific Select Dividend 30 Index is reported by Bloomberg L.P. under the
ticker symbol “SD3PP.”
The STOXX® Europe Select Dividend 30 Index
The STOXX® Europe Select Dividend
30 Index is a net dividend yield-weighted index composed of 30 of the highest dividend-paying stocks selected from the components of the
STOXX® Europe 600 Index, which provides a broad representation of the developed markets in the European region. See “Indices—The
STOXX Benchmark Indices” in this underlying supplement for additional information about the STOXX® Europe 600 Index.
The component stocks of the STOXX® Europe Select Dividend 30 Index are traded on the major exchanges of 17 European countries:
Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Poland, Portugal, Spain, Sweden,
Switzerland and the United Kingdom. At any given time, some eligible countries may not be represented in the STOXX® Europe
Select Dividend 30 Index. Although the STOXX® Europe Select Dividend 30 Index measures the performance of high dividend-yielding
companies, it is a price return index and, therefore, the return on the STOXX® Europe Select Dividend 30 Index will not
include any dividends paid on the securities that make up the STOXX® Europe Select Dividend 30 Index. The euro
price return
version
of the STOXX® Europe Select Dividend 30 Index is reported by Bloomberg L.P. under the ticker symbol “SD3P.”
The STOXX® North America Select Dividend 40 Index
The STOXX® North America Select
Dividend 40 Index is a net dividend yield-weighted index composed of 40 of the highest dividend-paying stocks selected from the components
of the STOXX® North America 600 Index, which provides a broad representation of the developed markets in the North American
region. The selection list for the STOXX® North America 600 Index is derived from its relevant regional STOXX®
Total Market Index. Otherwise, the STOXX® North America 600 Index is calculated and maintained using the same methodology
as the STOXX® Europe 600 Index. See “Indices—The STOXX Benchmark Indices” in this underlying supplement
for additional information about the calculation and maintenance of the STOXX® Europe 600 Index. The component stocks of
the STOXX® North America Select Dividend 40 Index are traded on the major exchanges of Canada and the United States. At
any given time, some eligible countries may not be represented in the STOXX® North America Select Dividend 40 Index. Although
the STOXX® North America Select Dividend 40 Index measures the performance of high dividend-yielding companies, it is a
price return index and, therefore, the return on the STOXX® North America Select Dividend 40 Index will not include any
dividends paid on the securities that make up the STOXX® North America Select Dividend 40 Index. The euro price return
version of the STOXX® North America Select Dividend 40 Index is reported by Bloomberg L.P. under the ticker symbol “SD4AP.”
The STOXX® Global Select Dividend 100 Index
The STOXX® Global Select Dividend
100 Index is a combination of the STOXX® Asia/Pacific Select Dividend 30 Index, the STOXX® Europe Select
Dividend 30 Index and the STOXX® North America Select Dividend 40 Index. Accordingly,
the STOXX® Global Select Dividend 100 Index is composed of the component stocks of the STOXX® Asia/Pacific
Select Dividend 30 Index, representing 30 of the highest dividend-paying stocks selected from the developed markets in the Asia/Pacific
region (from the components of the STOXX® Asia/Pacific 600 Index), the STOXX® Europe Select Dividend 30
Index, representing 30 of the highest dividend-paying stocks selected from the developed markets in the European region (from the components
of the STOXX® Europe 600 Index), and the STOXX® North America Select Dividend 40 Index, representing 40
of the highest dividend-paying stocks selected from the developed markets in the North American region (from the components of the STOXX®
North America 600 Index). At any given time, some eligible countries may not be represented in the STOXX® Global Select
Dividend 100 Index. Although the STOXX® Global Select Dividend 100 Index measures the performance of high dividend-yielding
companies, it is a price return index and, therefore, the return on the STOXX® Global Select Dividend 100 Index will not
include any dividends paid on the securities that make up the STOXX® Global Select Dividend 100 Index. The euro
price return version of the STOXX® Global Select Dividend 100 Index is reported by Bloomberg L.P. under the ticker
symbol “SDGP.”
Composition and Maintenance
of the STOXX Select Dividend Indices
The table
below sets forth each “Regional Select Dividend Index” with its corresponding “Parent Index” and number of component
stocks.
Regional
Select Dividend Index |
Parent
Index |
Number
of Component Stocks |
EURO STOXX® Select Dividend 30 Index |
EURO STOXX® Index |
30 component stocks |
STOXX® Asia/Pacific Select Dividend 30 Index |
STOXX® Asia/Pacific 600 Index |
30 component stocks |
STOXX® Europe Select Dividend 30 Index |
STOXX® Europe 600 Index |
30 component stocks |
STOXX® North America Select Dividend 40 Index |
STOXX® North America 600 Index |
40 component stocks |
For each
Regional Select Dividend Index, the components of the corresponding Parent Index and their secondary share lines are eligible for inclusion
in the applicable selection list. Companies are screened for the following criteria: indicated annualized dividend (applies for components
and non-components), non-negative dividend growth rate over the past five years (applies for non-components only), dividend payments in
four out of
five
calendar years (applies for non-components only), non-negative payout ratio (applies for components and non-components), payout ratio
of less than or equal to 80% (applies for non-components only) with respect to the STOXX® Asia/Pacific Select Dividend
30 Index or less than or equal to 60% (applies for non-components only) with respect to the other Regional Select Dividend Indices and
a minimum average daily traded value over the preceding three months (applies for non-components only) of approximately 11.11 million
euros with respect to the EURO STOXX® Select Dividend 30 Index, approximately 3.33 million euros with respect to the STOXX®
Asia/Pacific Select Dividend 30 Index and the STOXX® Europe Select Dividend 30 Index and 2.50 million euros with
respect to the STOXX® North America Select Dividend 40 Index. For companies that have more than one share line, the line
with the higher dividend yield is chosen.
For the
STOXX® North America Select Dividend 40 Index, all companies on the selection list are ranked according to the ratio of
their net dividend yield to the net dividend yield of the STOXX® Total Market Index for the relevant country. For each
of the other Regional Select Dividend Indices, all companies on the applicable selection list are ranked according to the ratio of their
net dividend yield to the greater of the net dividend yield of the STOXX® Total Market Index for the relevant country and
the net dividend yield of the STOXX® Total Market Index for the relevant region.
For each
of the EURO STOXX® Select Dividend 30 Index and the STOXX® Europe Select Dividend 30 Index, all current
companies ranked from 1 to 60 in the applicable selection list will remain in the relevant Regional Select Dividend Index. If fewer than
30 companies are included in the EURO STOXX® Select Dividend 30 Index or the STOXX® Europe Select Dividend
30 Index, the highest ranked non-components are added until 30 companies are included in the relevant Regional Select Dividend Index.
For the
STOXX® Asia/Pacific Select Dividend 30 Index, the companies are ranked by the net dividend yield ratio described above
for each country and region as a whole. All current companies ranked 20 or above in each country ranking will remain in the STOXX®
Asia/Pacific Select Dividend 30 Index. If fewer than 30 companies are included, the highest ranked non-components from the regional ranking
are added until 30 companies are included. A maximum of 10 companies per country can be included in the STOXX® Asia/Pacific
Select Dividend 30 Index.
For the
STOXX® North America Select Dividend 40 Index, the companies are ranked by the net dividend yield ratio described above
for each country and region as a whole. All current companies ranked 60 or above in each country ranking remain in the STOXX®
North America Select Dividend 40 Index. If fewer than 40 companies are included, the highest ranked non-components from the regional ranking
are added until 40 companies are included. A maximum of 30 companies per country can be included in the STOXX® North America
Select Dividend 40 Index.
The composition
of each STOXX Select Dividend Index is reviewed annually in March. Each STOXX Select Dividend Index is also reviewed on an ongoing basis.
Corporate actions (including initial public offerings, mergers and takeovers, spin-offs, delistings, bankruptcy, and price and share adjustments)
that affect a Parent Index composition are immediately reviewed. Any changes are announced, implemented and effective in line with the
type of corporate action and the magnitude of the effect. To maintain the number of components constant, a deleted company is replaced
by the highest-ranked non-component on the relevant selection list. Each selection list is updated on a quarterly basis according to the
review component selection process. Any restrictions on the maximum count per country are applied. If a company is deleted from a Parent
Index between the annual review dates but is still a component of the STOXX® Global Total Market Index,
the company will remain in the corresponding STOXX Select Dividend Index until the next annual review, provided that it still meets
the requirements for that STOXX Select Dividend Index.
If STOXX
Limited becomes aware of dividend data changes for the components of a STOXX Select Dividend Index, the following index adjustments may
occur. The timing of the index adjustment depends on the changes in the dividend data. If the company cancels one of its dividends, the
company will be deleted from the relevant STOXX Select Dividend Index, the replacement will be announced immediately, implemented two
trading days later and become effective the next trading day. The case of dividend cancellation does not apply to dividends whose payment
is postponed within the same fiscal year. Dividends whose payment is postponed indefinitely or to a subsequent fiscal year are considered
cancelled. In case a company pays its dividends for a fiscal year in tranches, after the first tranche has been paid, the cancellation
of one or more remaining tranches or the postponement of their payment to a subsequent fiscal year is treated as a lowering of dividend.
If the company
lowers its dividend, the company will remain in the relevant STOXX Select Dividend Index until the next selection list is available. If
the company is ranked at or above the rank threshold for the relevant Regional Select Dividend Index, it is retained. If it is ranked
below the rank threshold with respect to that Regional Select Dividend Index, it is removed and replaced by the highest-ranked non-component
on that selection list. The changes will be announced on the fifth trading day of the month together with the applicable selection list
and become effective on the first trading day after the third Friday of the month. The weight factors for the new components will be published
on the quarterly underlying data announcement based on previous day closing prices.
Calculation of the STOXX
Select Dividend Indices
Each STOXX
Select Dividend Index is calculated with the “Laspeyres formula,” which measures the
aggregate price changes in the component stocks against a fixed base quantity weight. The formula for calculating a STOXX Select
Dividend Index value can be expressed as follows:
Index = |
total “units”
of the relevant STOXX Select Dividend Index |
divisor |
|
The “total “units” of the
relevant STOXX Select Dividend Index” is equal to the sum of the products, for each component stock, of the price, weighting
factor and weighting cap factor as of the time that the relevant STOXX Select Dividend Index is being calculated.
The weighting factor for each component stock
is equal to the ratio of (a) the net dividend of the issuer of that component stock divided by the closing price of that component stock
(the “net dividend yield”) to (b) the sum of the net dividend yields of all component stocks. The
weighting factors are published on the second Friday in March, one week prior to quarterly review implementation using Thursday’s
closing prices.
In addition,
each STOXX Select Dividend Index applies a weighting cap factor for each component stock
of (1,000,000,000 × initial weight of that component / closing price of that component stock in euros), rounded to the nearest integer.
An additional cap factor limits the weight of each component stock within a STOXX Select Dividend Index to
a maximum of 10% with respect to the STOXX® Global Select Dividend 100 Index or 15% with respect to the other STOXX Select
Dividend Indices at the time of each review.
Each STOXX
Select Dividend Index is also subject to a divisor, which is adjusted to maintain the continuity
of the relevant STOXX Select Dividend Index values across changes due to corporate actions.
A summary of the adjustments to any component stock made for corporate actions and the effect of such adjustment on the divisor, which
is also applicable to each STOXX Select Dividend Index, is set forth under “Indices—The
STOXX Benchmark Indices—STOXX Benchmark Index Calculation” in this underlying supplement.
License Agreement
We have entered into a non-exclusive license agreement
with STOXX Limited whereby we, in exchange for a fee, are permitted to use the STOXX Select Dividend Indices in connection with the securities.
STOXX Limited and its licensors (the “Licensors”) have no relationship to Barclays Bank PLC, other than the licensing of indices
and the related trademarks for use in connection with the securities.
STOXX Limited and its Licensors do not:
| · | sponsor, endorse, sell or promote the securities; |
| · | recommend that any person invest in the securities or any other securities; |
| · | have any responsibility or liability for or make any decisions about the timing, amount or pricing of securities. |
| · | have any responsibility or liability for the administration, management or marketing of the securities; or |
| · | consider the needs of the securities or the owners of the securities in determining, composing or calculating the STOXX Select Dividend
Indices or have any obligation to do so. |
STOXX Limited and its Licensors will not have
any liability in connection with the securities. Specifically,
| · | STOXX Limited and its Licensors do not make any warranty, express or implied and disclaim any and all warranty about: |
| · | the results to be obtained by the securities, the owner of the securities or any other person in connection with the use of any
STOXX Select Dividend Index and the data included in any STOXX Select Dividend Index; |
| · | the accuracy or completeness of any STOXX Select Dividend Index and its data; or |
| · | the merchantability and the fitness for a particular purpose or use of any STOXX Select Dividend Index and its data; |
| · | STOXX Limited and its Licensors will have no liability for any errors, omissions or interruptions in any STOXX Select Dividend
Index or its data; and |
| · | Under no circumstances will STOXX Limited or its Licensors be liable for any lost profits or indirect, punitive, special or consequential
damages or losses, even if STOXX Limited or its Licensors knows that they might occur. |
The licensing agreement between Barclays Bank
PLC and STOXX Limited is solely for their benefit and not for the benefit of the owners of the securities or any other third parties.
THE SWISS MARKET INDEX
All information contained in this underlying supplement
regarding the Swiss Market Index (the “SMI®”), including, without limitation, its make-up, method of
calculation and changes in its components, has been derived from publicly available information, without independent verification. This
information reflects the policies of, and is subject to change by, SIX Swiss Exchange Ltd (“SSE”). The SMI®
is calculated, maintained and published by SSE. SSE has no obligation to continue to publish, and may discontinue the publication of,
the SMI®.
The SMI® is a free float-adjusted
market capitalization-weighted price return index of the Swiss equity market. The SMI® was standardized on June 30, 1988
with an initial baseline value of 1,500 points. The SMI® is reported by Bloomberg L.P. under the ticker symbol “SMI.”
Composition of the SMI®
The SMI® is composed of the most
highly capitalized and liquid stocks of the Swiss Performance Index (“SPI®”). The SMI®
represents more than 75% of the free float market capitalization of the Swiss equity market.
The SMI® is composed of the 20
highest ranked securities of the SPI®, where the ranking of each security is determined by a combination of the following
criteria:
| · | average free float market capitalization over the last 12 months (compared to the capitalization of the entire SPI®);
and |
| · | cumulated on order book turnover over the last 12 months (compared to the total turnover of the SPI®). |
The average market capitalization in percent and
the turnover in percent are each given a weighting of 50% and yield the weighted market share. A security is excluded from the SMI®
if it ranked 23 or lower in the selection list. To reduce fluctuations in the SMI®, a buffer is applied for securities
ranked 19 to 22. Out of the candidates from ranks 19 to 22, current components are selected with priority over the other candidates. New
components out of the buffer are selected until 20 components have been reached. Instruments that are primary listed on more than one
stock exchange and generate less than 50% of their total turnover at SIX Swiss Exchange, need to fulfill additional liquidity criteria
in order to be selectable for the SMI®. For this purpose, all components of the SPI® are ranked based on
their cumulated order book turnover over the past 12 months relative to the total turnover of the index universe. For this list, only
turnovers of stock exchanges are considered where the instrument is primary listed. Such an instrument with several primary listings must
rank among the first 18 components on the order book turnover list in order to be selectable for the SMI®. Such an instrument
is excluded from the SMI® once it reaches 23 or lower.
Standards for Admission and Exclusion
To ensure that the composition of the SMI®
maintains a high level of continuity, the stocks contained within it are subject to a special admission and exclusion procedure. This
is based on the criteria of free float market capitalization and liquidity. The index-basket adjustments which arise from this procedure
are, as a rule, made once per year.
The securities included in the SMI®
are weighted according to their free float. The free float is calculated only for shares with voting rights. This means that large positions
in a security that reach or exceed the threshold of 5% and are held in firm hands are subtracted from the total market capitalization.
The following positions in a security are deemed to be held in firm hands:
| · | Shareholding that has been acquired by one person or a group of persons who are subject to a shareholder or lockup agreement. |
| · | Shareholding that has been acquired by one person or a group of persons who according to publicly known facts, have a long-term interest
in a company. |
The free float is calculated on the basis of outstanding
shares. Issued and outstanding equity capital is, as a rule, the total amount of equity capital that has been fully subscribed, wholly
or partially paid in and documented in the Commercial Registry. Neither conditional nor approved capital is counted as issued and outstanding
equity capital. The free float is calculated on the basis of listed shares only. Where a company has different categories of listed participation
rights, these are considered separately for the free float calculation.
Exceptions
The positions in a security held by institutions of the
following kind are deemed free floating:
The SIX Swiss Exchange classifies at its own discretion
persons and groups of persons who, because of their area of activity or the absence of important information, cannot be clearly assigned.
Ordinary Index Review
Each year on the third Friday of September, the
composition of the SMI® is updated in the ordinary index review based on the selection list of June. With the cut-off dates
on March 31, September 30 and December 31, a provisional selection list is created, which serves as the basis for the adjustment of extraordinary
corporate actions. The number of securities and free float shares are adjusted on four ordinary adjustment dates a year: the third Friday
in March, June, September and December.
Extraordinary Corporate Actions
An extraordinary corporate action is an initial
public offering (“IPO”), merger and acquisition activity, spin-off, insolvency or any other event that leads to a listing
or delisting. An extraordinary corporate action has an ex-date, but its effect can usually not be calculated by a generic predefined formula.
In most cases, an extraordinary corporate action leads to a new listing or delisting and subsequently there is a change in the composition
of the SMI® and in the component weights of the composition of the SMI®.
Newly listed instruments that fulfill the selection
rules of the SMI®, are extraordinarily included in the SMI® on their second trading day and the SMI®
is adjusted with the free float market capitalization at the close of the first trading day. The extraordinary inclusion of a newly listed
instrument in the SMI® can lead to an extraordinary replacement of an existing index component. Extraordinary inclusions
are usually implemented after a notification period of 5 trading days. The adjusted cap factors are implemented after a notification period
of generally 5 trading days, but no less than one trading day.
If an IPO of a real estate instrument leads to
an extraordinary inclusion, it is included in the SMI® in three equal stages. This is achieved by the gradual increase
of the number of shares or the free float factor over three trading days starting on the second trading day.
In case of a planned delisting, the exclusion
of an index component is made, if possible, on the next ordinary index review date on the third Friday of March, June, September or December.
However, if the delisting would be effective before the ordinary index review, the component is excluded from the SMI® on
the effective date of the delisting. If the index component no longer meets the criteria for remaining in the SMI® due
to a pending acquisition, it may be removed ahead of time. If a component is excluded from the SMI® outside of the ordinary
index review, it is replaced by the best-ranked candidate on the selection list that is not yet part composition of the SMI®
in order to maintain a stable number of components within the SMI®. Extraordinary exclusions and respective additions are
implemented after a notification period of usually 5 trading days. Adjusted cap factors are implemented after a notification period of
generally 5 trading days, but no less than one trading day.
Extraordinary inclusions in the SMI®
take place if the selection rules for the SMI® are fulfilled after a three-month period. This occurs on a quarterly basis
after the close of trading on the third Friday of March, June, September and December as follows:
Latest
Listing Date |
Earliest
Extraordinary Acceptance Date |
5 trading days prior to the end of November |
March |
5 trading days prior to the end of February |
June |
5 trading days prior to the end of May |
September |
5 trading days prior to the end of August |
December |
In the case of major market changes as a result
of a corporate action, an instrument may be admitted to the SMI® outside of the accepted admission period as long as it
clearly fulfills the selection rules for the SMI®. For the same reasons, a component can be excluded if the requirements
for admission to the SMI® are no longer fulfilled.
Calculation of the SMI®
The SMI® is calculated using the
Laspeyres method with the weighted arithmetic mean of a defined number of securities issues. The formula for calculating the level of
the SMI® can be expressed as follows:
Index Level = |
free float
market capitalization of the SMI® |
divisor |
The “free float market capitalization of
the SMI®” is equal to the sum of the products, for each component, of the last-paid price, number of shares, free
float factor, capping factor and, if applicable, the current Swiss franc exchange rate as of the time the SMI® is being
calculated.
The divisor is a technical number used to calculate
the SMI®. If the market capitalization changes due to a corporate event, the divisor changes while the index level remains
the same. The new divisor is calculated on the evening of the day before the corporate event takes effect.
In calculating the SMI®, the last
available price is taken into account. If no price has been paid on the day of calculation, the previous day’s price is used. Only
the prices achieved via the electronic order book of the SIX Swiss Exchange are used.
The trading hours for Swiss equities, participation
certificates and bonus certificates are determined by the SIX Swiss Exchange. Since the opening phase usually causes strong price fluctuations,
the SMI® is first calculated two minutes after the start of on order book trading. This index level is called the “open.”
A closing auction takes place ten minutes before close of trading. At the close of trading, the final closing prices used in calculating
the closing level of the SMI® are established.
Component Weighting
The SMI® is weighted by the free
float market capitalization of its components. The number of shares and the free float factor are reviewed on a quarterly basis. In the
same context, each component of the SMI® with a free float market capitalization larger than 18% of the total market capitalization
of the SMI® is capped to that weight of 18%.
Additionally, the components of the SMI®
are capped to 18% between two ordinary index reviews as soon as two components exceed a weight of 20% each. If such an intra quarter breach
is observed after the close of markets, the new cap factors are calculated so that any component has a maximum weight of 18%. This cap
factor is set to be effective after the close of the following trading day.
If an issuer has issued more than one equity instrument
(e.g., registered shares, bearer shares, participation certificates, bonus certificates), it is possible that one issuer is represented
in the SMI® with more than one instrument. In this case, the free float market capitalization of those instruments is cumulated
for the calculation of the cap factors. If the cumulated index weight exceeds the 18% threshold, the weight is capped accordingly. The
cumulated, capped index weight is distributed proportionally based on the free float market capitalization of those instruments.
License Agreement
SSE has had the names of all the indices created
by it protected under trademark law. They have been registered in Switzerland as well as in key markets both in Europe and overseas. Under
certain conditions, SSE permits third parties to use the trademarks of its index family for commercial purposes. It has levied a license
fee for such use since 1999.
We have entered into a non-exclusive license agreement
with the SSE whereby we, in exchange for a fee, are permitted to use the SMI in connection with certain securities, including the notes
and warrants. We are not affiliated with the SSE; the only relationship between the SSE and us is any licensing of the use of the SMI
and trademarks relating to them.
Any transactions specified or described in this
underlying supplement or the applicable pricing supplement are not in any way sponsored, endorsed, sold or promoted by the SSE and the
SSE makes no warranty or representation whatsoever, express or implied, either as to the results to be obtained from the use of the SMI
and/or the figure at which the SMI stands at any particular day or otherwise. However, the SSE shall not be liable (whether in negligence
or otherwise) to any person for any error in the SMI and the SSE shall not be under any obligation to advise any person of any error therein.
SIX Group, SSE, SPI, Swiss Performance Index (SPI),
SPI EXTRA, SPI ex SLI, SMI, Swiss Market Index (SMI), SMI MID (SMIM), SMI Expanded, SXI, SXI Real Estate, SXI Swiss Real Estate, SXI Life
Sciences, SXI Bio+Medtech, SLI, SLI Swiss Leader Index, SBI, SBI Swiss Bond Index, SAR, SAR SWISS AVERAGE RATE, SARON, SCR, SCR SWISS
CURRENT RATE, SCRON, SAION, SCION, VSMI and SWX Immobilienfonds Index are trademarks that have been registered in Switzerland and/or abroad
by SIX Group Ltd respectively SIX Swiss Exchange Ltd. Their use is subject to a license.
THE TOPIX® INDEX
All information contained in this underlying supplement
regarding the Tokyo Stock Price Index, or the TOPIX® Index, including, without limitation, its make-up, method of calculation
and changes in its components, has been derived from publicly available information, without independent verification. This information
reflects the policies of, and is subject to change by, JPX Market Innovation & Research, Inc. (the “JPXI”). The
TOPIX® Index is calculated, maintained and published by the JPXI. The JPXI has no obligation to continue to publish, and
may discontinue the publication of, the TOPIX® Index.
The TOPIX® Index was developed
by the Tokyo Stock Exchange, Inc. (the “TSE”). Publication of the TOPIX® Index began on July 1, 1969,
based on an initial index value of 100 at January 4, 1968, which was reset at 1,000 on April 1, 1998. The TOPIX® Index
is computed and published every second via TSE’s Market Information System, and is reported to securities companies across Japan
and available worldwide through computerized information networks. The TOPIX® Index is reported by Bloomberg L.P. under
the ticker symbol “TPX.”
Composition and Maintenance of the TOPIX® Index
The TOPIX® Index is a free float-adjusted
market capitalization-weighted index of common stocks listed on the TSE covering an extensive portion of the Japanese stock market. On
April 4, 2022, JPXI began revisions to the TOPIX® Index in conjunction with the restructuring of the TSE into three new
market segments: the Prime Market, the Standard Market and the Growth Market.
Prior to April 4, 2022, the component stocks of
the TOPIX® Index consisted of all Japanese common stocks listed on the First Section of the TSE. Japanese stocks admitted
to the TSE were previously assigned to one of the First Section, the Second Section or the Mothers. Stocks listed on the First Section
were typically limited to larger, longer established and more actively traded issues, stocks listed on the Second Section were typically
limited to mid-sized companies and stocks listed on the Mothers were typically limited to high-growth start-up companies. Stocks that
were components of the TOPIX® Index as of April 1, 2022 continue to be included after the market restructuring, regardless
of their new market segment. However, component stocks with tradeable share market capitalization of under JPY 10 billion are designated
as “phased weighting reduction constituents,” and their weighting will be gradually reduced in ten stages on the last business
day of each quarter beginning in October 2022 and ending in January 2025. Subject to a re-evaluation after the fourth stage, they will
be removed from the TOPIX® Index on the last business day of January 2025.
During the transition period, additions to the
component stocks can occur (1) through the initial listing of a company on or transfer to the Prime Market, with such changes taking effect
on the last business day of the month after such initial listing; (2) through the initial listing of a new company resulting from a corporate
consolidation that results in an index constituent being delisted, with such changes taking effect on the new listing date; or (3) through
the delisting of an index constituent due to a merger with a surviving stock that is not an index constituent, with such changes taking
effect on the delisting date. In addition, a company removed from the Index due to its designation as a “Securities on Alert”
that has that designation canceled as of the last business day of August 2023 can be added if it meets tradeable share market capitalization
and annual traded value ratio requirements, with such changes taking effect on the last business day of October 2023.
Deletions of constituents can occur due to (1)
de-listing, resulting from a corporate consolidation, when the surviving company re-lists with the TSE, with such changes taking effect
on the initial listing date of the new company (normally two business days after the delisting date); (2) de-listing of a company for
reasons other than those stated above, with such changes taking effect on the de-listing date; or (3) designation of stocks to be de-listed,
with such changes taking effect four business days after such designation. Any component stock designated as a “Security on Alert”
as of April 4, 2022 was removed from the TOPIX® Index as of the last business day of April 2022.
Rules for addition of component stocks after January
31, 2025 will be determined following the transition period.
Calculation of the TOPIX® Index
The TOPIX® Index is calculated
using market capitalization weighting, with the market price of each component stock multiplied by the number of shares listed, as adjusted
by multiplying by a free float weight
(“FFW”)
that incorporates both a liquidity factor (to take into account only the listed shares deemed to be available for trading in the market)
and a transition factor (in the case of a component stock identified for phased weighting reduction as described above). The upper weighting
limit for any one component stock is 10%. The JPXI amended its free-float weight calculation methodology as of April 4, 2022, with changes
to any component’s FFW phased in over three months.
The TOPIX® Index is not expressed
in Japanese yen, but is presented in terms of points (as a decimal figure), rounded to the nearest one-hundredth. The TOPIX®
Index is calculated by multiplying 100 by the figure obtained by dividing the current free float-adjusted market value (the current market
price per share at the time of the index calculation multiplied by the number of free float-adjusted common shares listed on the TSE at
the same instance) (as adjusted by multiplying the FFW) (the “Current Market Value”) by the base market value (i.e.,
the Current Market Value on the base date) (the “Base Market Value”).
The calculation of the TOPIX® Index
can be represented by the following formula:
Index |
= |
Current
Market Value |
× |
100 |
Base Market Value |
The number of free float-adjusted shares at the
time of the index calculation is the number of common shares listed on the TSE multiplied by the free float weight. The free float weight
is the percentage of listed shares deemed to be available for trading in the market and is calculated by the JPXI for each listed company
for purposes of index calculation. The free float weight is determined by estimating the number of non-free float shares on the basis
of published materials such as securities reports. In determining the free float weight, the JPXI deems the following shares as non-free
float shares: shares held by the top 10 major shareholders (subject to certain exceptions), treasury stocks (including certain cross-shareholdings),
shares held by board members of the relevant company, equity securities held for investment purposes other than pure investment and other
shares JPXI deems not available for trading in the market. The free float weight is equal to 1 minus the number of non-free float shares
divided by the number of listed shares. In the case of some companies with low liquidity, the JPXI may adjust their free float downwards
by applying a “liquidity factor.”
The free float weight assigned to each listed
company is reviewed annually, with timings that vary according to the earnings release date of each such listed company. Free float weights
may also be subject to extraordinary review at JPXI’s discretion in the case of certain corporate actions (e.g., allocation of new
shares, conversion of preferred shares or exercise of subscription warrants, spin-offs, mergers, stock swaps, take-overs) and for other
reasons the JPXI believes appropriate.
In order to maintain continuity, the Base Market
Value is adjusted from time to time to ensure that it reflects only price movements resulting from auction market activity, and to eliminate
the effects of other factors and prevent any instantaneous change or discontinuity in the level of the TOPIX® Index. Such
factors include, without limitation: new listings, delistings, new share issues either through public offerings or through rights offerings
to shareholders (limited to cases where the allotted subscription warrant securities are listed) and issuance of shares as a consequence
of exercise of convertible bonds or warrants.
The formula for the adjustment is as follows:
Free float-adjusted
Market Value on business day before adjustment date |
= |
(Free float-adjusted
Market Value on business day before adjustment date ± Adjustment Amount) |
Base Market Value before adjustment |
|
Base Market Value after adjustment |
Where Adjustment Amount is equal to the changes in the number of shares
included in the calculation of the TOPIX® Index multiplied by the price of those shares used for the purposes of
the adjustment.
Therefore,
New Base Market Value |
= |
Old
Base Market Value × (Free float-adjusted Market Value on business day before adjustment date ± Adjustment Amount) |
Free float-adjusted Market Value on business day before adjustment date |
The Base Market Value remains at the new value
until a further adjustment is necessary as a result of another change. As a result of such change affecting the Current Market Value or
any stock underlying the TOPIX® Index, the Base Market Value is adjusted in such a way that the new value of the TOPIX®
Index will equal the level of the TOPIX® Index immediately prior to such change.
No adjustment is made to the Base Market Value,
however, in the case of events such as stock splits or decreases in capital without compensation, which theoretically do not affect market
capitalization.
License Agreement
We have entered into a non-exclusive license agreement
with the Tokyo Stock Exchange, Inc. whereby we, in exchange for a fee, are permitted to use the TOPIX Index in connection with certain
securities, including the notes and warrants. We are not affiliated with the Tokyo Stock Exchange, Inc.; the only relationship between
the Tokyo Stock Exchange, Inc. and us is any licensing of the use of the TOPIX indices and trademarks relating to them.
| (i) | The TOPIX Index Value and the TOPIX Index Marks are subject to the rights owned by the Tokyo Stock Exchange, Inc. and the Tokyo Stock
Exchange, Inc. owns all rights relating to the TOPIX Index such as calculation, publication and use of the TOPIX Index Value and relating
to the TOPIX Index Marks. |
| (ii) | The Tokyo Stock Exchange, Inc. shall reserve the rights to change the methods of calculation or publication, to cease the calculation
or publication of the TOPIX Index Value or to change the TOPIX Index Marks or cease the use thereof. |
| (iii) | The Tokyo Stock Exchange, Inc. makes no warranty or representation whatsoever, either as to the results stemmed from the use of the
TOPIX Index Value and the TOPIX Index Marks or as to the figure at which the TOPIX Index Value stands on any particular day. |
| (iv) | The Tokyo Stock Exchange, Inc. gives no assurance regarding accuracy or completeness of the TOPIX Index Value and data contained therein.
Further, the Tokyo Stock Exchange, Inc. shall not be liable for the miscalculation, incorrect publication, delayed or interrupted publication
of the TOPIX Index Value. |
| (v) | No securities are in any way sponsored, endorsed or promoted by the Tokyo Stock Exchange, Inc. |
| (vi) | The Tokyo Stock Exchange, Inc. shall not bear any obligation to give an explanation of the securities or an advice on investments
to any purchaser of the securities or to the public. |
| (vii) | The Tokyo Stock Exchange, Inc. neither selects specific stocks or groups thereof nor takes into account any needs of the issuing company
or any purchaser of the securities for calculation of the TOPIX Index Value. |
| (viii) | Including but not limited to the foregoing, the Tokyo Stock Exchange, Inc. shall not be responsible for any damage resulting from
the issue and sale of the securities. |
The copyright of “TOPIX” and other
intellectual property rights related to “TOPIX” and “TOPIX® Index” belong solely to the Tokyo Stock
Exchange, Inc. No securities relating to the TOPIX® Index are in any way sponsored, endorsed or promoted by the Tokyo Stock
Exchange, Inc. The Tokyo Stock Exchange, Inc. makes no warranty or representation whatsoever, express or implied, either as to the results
to be obtained as to the use of the TOPIX® Index or the figure at which the TOPIX® Index stands on any particular
day. The TOPIX® Index is solely compiled and calculated by the Tokyo Stock Exchange, Inc. However, the Tokyo Stock Exchange,
Inc. will not be under any obligation to advise any person (including purchasers and sellers of securities) of any error therein. The
Tokyo Stock
Exchange, Inc. shall not be liable for any modifications and changes in the method of calculation of the TOPIX® Index
and is not under any obligation to continue the calculation, publication and dissemination of any of its indices.
EXCHANGE-TRADED
FUNDS
The
ARK Innovation ETF
All information contained in this underlying supplement
regarding the ARK Innovation ETF (the “ARKK Fund”) has been derived from publicly available information, without independent
verification. This information reflects the policies of, and is subject to change by, ARK ETF Trust (“ARK Trust”).
The ARKK Fund is an actively-managed exchange-traded fund managed by ARK Investment Management LLC (“ARK LLC”), the
investment adviser to the ARKK Fund. The ARKK Fund trades on the NYSE Arca, Inc. under the ticker symbol “ARKK.”
The investment objective of the ARKK Fund is long-term
growth of capital.
As an actively-managed fund, the ARKK Fund is
subject to management risk. In managing the ARKK Fund, ARK LLC applies investment strategies, techniques and analyses in making investment
decisions for the ARKK Fund, but there can be no guarantee that these actions will produce the intended results. The ability of ARK LLC
to successfully implement the ARKK Fund’s investment strategy will significantly influence that ARKK Fund’s performance.
The ARKK Fund will invest under normal circumstances
primarily (at least 65% of its assets) in equity securities of U.S. and non-U.S. companies that are relevant to the ARKK Fund’s
investment theme of disruptive innovation. ARK LLC defines “disruptive innovation” as the introduction of a technologically
enabled new product or service that potentially changes the way the world works. ARK LLC believes that companies relevant to this theme
are those that rely on or benefit from the development of new products or services, technological improvements and advancements in scientific
research relating to the areas of genomics; innovation in automation and manufacturing, transportation, energy, artificial intelligence
and materials; the increased use of shared technology, infrastructure and services; and technologies that make financial services more
efficient. ARK LLC defines “genomics” as the study of genes and their functions, and related techniques (e.g., genomic
sequencing).
ARK Trust is a registered investment company that
consists of numerous separate investment portfolios, including the ARKK Fund. Information provided to or filed with the SEC by ARK Trust
pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to
SEC file numbers 333-191019 and 811-22883, respectively, through the SEC’s website at http://www.sec.gov.
The
Invesco QQQ TrustSM, Series 1
All information contained in this underlying supplement
regarding the Invesco QQQ TrustSM, Series 1 (the “QQQ Fund”) has been derived from publicly available information,
without independent verification. This information reflects the policies of, and is subject to change by, The Bank of New York Mellon,
as trustee of the QQQ Fund (the “QQQ Fund Trustee”), and Invesco Capital Management LLC, as sponsor of the QQQ Fund
(the “QQQ Fund Sponsor”). The QQQ Fund is a unit investment trust that issues securities called “Invesco QQQ
Shares.” The QQQ Fund is an exchange-traded fund that trades on The Nasdaq Stock Market under the ticker symbol “QQQ.”
The investment objective of the QQQ Fund is to
seek to track the investment results, before fees and expenses, of the Nasdaq-100 Index®. The Nasdaq-100 Index®
is a modified market capitalization-weighted index of 100 of the largest non-financial companies listed on The Nasdaq Stock Market based
on market capitalization. For more information about the Nasdaq-100 Index®, please see “Indices—The Nasdaq-100
Index®.”
The QQQ Fund holds all of the stocks in the Nasdaq-100
Index® and cash and is not actively managed by traditional methods, which typically involve effecting changes in the holdings
of securities on the basis of judgments made relating to economic, financial and market considerations. To maintain the correspondence
between the composition and weighs of the securities held by the QQQ Fund and the component securities of the Nasdaq-100 Index®
(“QQQ Index Securities”), the QQQ Fund Trustee adjusts the holdings of the QQQ Fund from time to time to conform to
periodic changes in the identity and/or relative weights of the QQQ Index Securities.
The QQQ Fund will not be able to replicate exactly
the performance of the Nasdaq-100 Index® because the total return generated by the securities held by the QQQ Fund will
be reduced by transaction costs incurred in adjusting the actual balance of the securities held by the QQQ Fund and other expenses of
the QQQ Fund, whereas such transaction costs and expenses are not included in the calculation of the Nasdaq-100 Index®.
It is also possible that for short periods of time, the QQQ Fund may not fully replicate the performance of the Nasdaq-100 Index®
due to the temporary unavailability of certain QQQ Index Securities in the secondary market or due to other extraordinary circumstances.
Such events are unlikely to continue for an extended period of time because the QQQ Fund Trustee is required to correct such imbalances
by means of adjusting the composition of the securities held by the QQQ Fund. It is also possible that the composition of the QQQ Fund
may not exactly replicate the composition of the Nasdaq-100 Index®.
The QQQ Fund is a registered investment company.
Information provided to or filed with the SEC by the QQQ Fund pursuant to the Securities Act of 1933, as amended, and the Investment Company
Act of 1940, as amended, can be located by reference to SEC file numbers 333-61001 and 811-08947, respectively, through the SEC’s
website at http://www.sec.gov.
THE INVESCO S&P 500® EQUAL
WEIGHT ETF
All information contained in this underlying supplement
regarding the Invesco S&P 500® Equal Weight ETF (the “RSP Fund”) has been derived from publicly
available information, without independent verification. This information reflects the policies of, and is subject to change by, Invesco
Exchange-Traded Fund Trust (the “Invesco Trust”) and Invesco Capital Management LLC (“Invesco”).
Invesco is currently the investment advisor to the RSP Fund. The RSP Fund is an exchange-traded fund that trades on the NYSE Arca, Inc.
under the ticker symbol “RSP.”
The RSP Fund seeks to track the investment results
(before fees and expenses) of the S&P 500® Equal Weight Index. The S&P 500® Equal Weight Index is
an equal-weighted version of the S&P 500® Index. For more information about the S&P 500® Equal Weight
Index, please see “Indices—The S&P Equal Weight Indices.”
The RSP Fund uses an “indexing” investment
approach to seek to track the investment results, before fees and expenses, of the S&P 500® Equal Weight Index. The
RSP Fund employs a “full replication” methodology in seeking to track the S&P 500® Equal Weight Index,
meaning that it generally invests in all of the securities composing the S&P 500® Equal Weight Index in proportion
to their weightings in the S&P 500® Equal Weight Index. However, under various circumstances, it may not be possible
or practicable to purchase all of those securities in those same weightings. In those circumstances, the RSP Fund may purchase a sample
of securities in the S&P 500® Equal Weight Index. A “sampling” methodology means that Invesco uses quantitative
analysis to select securities from the S&P 500® Equal Weight Index universe to obtain a representative sample of securities
that have, in the aggregate, investment characteristics similar to the S&P 500® Equal Weight Index in terms of key
risk factors, performance attributes and other characteristics. These include industry weightings, market capitalization, return variability,
earnings valuation, yield and other financial characteristics of securities. When employing a sampling methodology, Invesco bases the
quantity of holdings in the RSP Fund on a number of factors, including asset size of the RSP Fund, and generally expects the RSP Fund
to hold less than the total number of securities in the S&P 500® Equal Weight Index. However, Invesco reserves the
right to invest the RSP Fund in as many securities as it believes necessary to achieve the RSP Fund’s investment objective.
The RSP Fund’s return may not match the
return of the S&P 500® Equal Weight Index for a number of reasons. For example, the RSP Fund incurs operating expenses
not applicable to the S&P 500® Equal Weight Index and incurs costs in buying and selling securities, especially when
rebalancing the RSP Fund’s securities holdings to reflect changes in the composition of the S&P 500® Equal Weight
Index. In addition, the performance of the RSP Fund and the S&P 500® Equal Weight Index may vary due to asset valuation
differences and differences between the RSP Fund’s portfolio and the S&P 500® Equal Weight Index resulting from
legal restrictions, cost or liquidity constraint.
The Invesco Trust is a registered investment company
that consists of numerous separate investment portfolios, including the RSP Fund. Information provided to or filed with the SEC by the
Invesco Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by
reference to SEC file numbers 333-102228 and 811-21265, respectively, through the SEC’s website at http://www.sec.gov.
THE iSHARES® ETFS
All information contained in this underlying supplement
regarding the iShares® China Large-Cap ETF, the iShares® Global Clean Energy ETF, the iShares®
MSCI ACWI ETF, the iShares® MSCI Brazil ETF, the iShares® MSCI China ETF, the iShares®
MSCI EAFE® ETF, the iShares® MSCI Emerging Markets ETF, the iShares® MSCI Eurozone ETF, the
iShares® MSCI India ETF, the iShares® MSCI Japan ETF, the iShares® MSCI Mexico ETF,
the iShares® Russell 2000 ETF, the iShares® Russell 2000 Value ETF, the iShares® S&P
500 Value ETF, the iShares® Semiconductor ETF and the iShares® U.S. Real Estate ETF (each, an “iShares
ETF” and collectively, the “iShares ETFs”) has been derived from publicly available information, without
independent verification. This information reflects the policies of, and is subject to change by, the fund manager of each iShares ETF
and BlackRock Fund Advisors (“BFA”). The iShares ETFs are investment portfolios of either iShares Trust® or
iShares®, Inc. and are maintained and managed by their respective fund managers. BFA is currently the investment advisor
to the iShares ETFs.
BFA uses a representative sampling indexing strategy
to manage each iShares ETF. “Representative sampling” is an indexing strategy that involves investing in a representative
sample of securities that collectively has an investment profile similar to that of an applicable underlying index. The securities selected
are expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings),
fundamental characteristics (such as return variability and yield) and liquidity measures similar to those of an applicable underlying
index. An iShares ETF may or may not hold all of the securities in its underlying index.
Each iShares ETF’s underlying index is a
financial calculation, based on a grouping of financial instruments, and is not an investment product, while each iShares ETF is an actual
investment portfolio. The performance of each iShares ETF and its underlying index may vary for a number of reasons, including transaction
costs, non-U.S. currency valuations, asset valuations, corporate actions (such as mergers and spin-offs), timing variances and differences
between that iShares ETF’s portfolio and its underlying index resulting from that iShares ETF’s use of representative sampling
or from legal restrictions (such as diversification requirements) that apply to that iShares ETF but not to its underlying index. “Tracking
error” is the divergence of the performance (return) of an iShares ETF’s portfolio from that of its underlying index. Because
each iShares ETF uses a representative sampling indexing strategy, it can be expected to have a larger tracking error than if it used
a replication indexing strategy. “Replication” is an indexing strategy in which a fund invests in substantially all of the
securities in its underlying index in approximately the same proportions as in the underlying index.
iShares® Trust and iShares®,
Inc. are registered investment companies that consist of numerous separate investment portfolios, including the iShares ETFs. Information
provided to or filed with the SEC by iShares® Trust and iShares®, Inc. pursuant to the Securities Act of
1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-92935 and 811-09729,
respectively, for iShares® Trust, and SEC file numbers 033-97598 and 811-09102, respectively, for iShares®,
Inc., through the SEC’s website at http://www.sec.gov.
The iShares® China Large-Cap ETF
The iShares®
China Large-Cap ETF (the “FXI Fund”) seeks to track the investment results, before fees and expenses, of an index composed
of large-capitalization Chinese equities that trade on the Hong Kong Stock Exchange, which is currently the FTSE China 50 Index. For more
information about the FTSE China 50 Index, please see “Indices—The FTSE China 50 Index” in this underlying supplement.
The FXI Fund is an investment portfolio of iShares® Trust. The FXI Fund trades on the NYSE Arca, Inc. (the “NYSE
Arca”) under the ticker symbol “FXI.”
The iShares® Global Clean Energy ETF
The iShares®
Global Clean Energy ETF (the “ICLN Fund”) seeks to track the investment results, before fees and expenses, of an index
composed of global equities in the clean energy sector, which is currently the S&P Global Clean Energy IndexTM. For more
information about the S&P Global Clean Energy IndexTM, please see “—Additional Information about the Underlying
Indices for Certain iShares ETFs—The S&P Global Clean Energy IndexTM” below. The ICLN Fund is an investment
portfolio of iShares® Trust. The ICLN Fund trades on The Nasdaq Stock Market under the ticker symbol “ICLN.”
The iShares® MSCI ACWI ETF
The iShares® MSCI ACWI ETF (the
“ACWI Fund”) seeks to track the investment results, before fees and expenses, of an index composed of large- and mid-capitalization
developed and emerging market equities, which is currently the MSCI ACWI Index. For more information about the MSCI ACWI Index, please
see “Indices—The MSCI Indices” in this underlying supplement. The ACWI Fund is an investment portfolio of iShares®
Trust. The ACWI Fund trades on The Nasdaq Stock Market under the ticker symbol “ACWI.”
The iShares® MSCI Brazil ETF
The iShares® MSCI Brazil ETF (the
“EWZ Fund”) seeks to track the investment results, before fees and expenses, of an index composed of Brazilian equities,
which is currently the MSCI Brazil 25/50 Index. For more information about the MSCI Brazil 25/50 Index, please see “Indices—The
MSCI 25/50 Indices” in this underlying supplement. The EWZ Fund is an investment portfolio of iShares®, Inc. The
EWZ Fund trades on the NYSE Arca under the ticker symbol “EWZ.”
The iShares® MSCI China ETF
The iShares® MSCI China ETF (the
“MCHI Fund”) seeks to track the investment results, before fees and expenses, of an index composed of Chinese equities
that are available to international investors, which is currently the MSCI China Index. For more information about the MSCI China Index,
please see “Indices—The MSCI Indices” in this underlying supplement. The MCHI Fund is an investment portfolio of iShares®
Trust. The MCHI Fund trades on The Nasdaq Stock Market under the ticker symbol “MCHI.”
The iShares® MSCI EAFE ETF
The iShares® MSCI EAFE ETF (the
“EFA Fund”) seeks to track the investment results, before fees and expenses, of an index composed of large- and mid-capitalization
developed market equities, excluding the U.S. and Canada, which is currently the MSCI EAFE® Index. For more information
about the MSCI EAFE® Index, please see “Indices—The MSCI Indices” in this underlying supplement. The
EFA Fund is an investment portfolio of iShares® Trust. The EFA Fund trades on the NYSE Arca under the ticker symbol “EFA.”
The iShares® MSCI Emerging Markets ETF
The iShares® MSCI Emerging Markets
ETF (the “EEM Fund”) seeks to track the investment results, before fees and expenses, of an index composed of large-
and mid-capitalization emerging market equities, which is currently the MSCI Emerging Markets Index. For more information about the MSCI
Emerging Markets Index, please see “Indices—The MSCI Indices” in this underlying supplement. The EEM Fund is an investment
portfolio of iShares®, Inc. The EEM Fund trades on the NYSE Arca under the ticker symbol “EEM.”
The iShares® MSCI Eurozone ETF
The iShares® MSCI Eurozone ETF
(the “EZU Fund”) seeks to track the investment results, before fees and expenses, of an index composed of large- and
mid-capitalization equities from developed market countries that use the euro as their official currency, which is currently the MSCI
EMU Index. For more information about the MSCI EMU Index, please see “Indices—The MSCI Indices” in this underlying supplement.
The EZU Fund is an investment portfolio of iShares®, Inc. The EZU Fund trades on the Cboe BZX under the ticker symbol “EZU.”
The iShares® MSCI India ETF
The iShares® MSCI India ETF (the
“INDA Fund”) seeks to track the investment results, before fees and expenses, of an index composed of Indian equities,
which is currently the MSCI India Index. For more information about the MSCI India Index, please see “Indices—The MSCI Indices”
in this underlying supplement. The INDA Fund is an investment portfolio of iShares® Trust. The INDA Fund trades on the
Cboe BZX under the ticker symbol “INDA.”
The iShares® MSCI Japan ETF
The iShares® MSCI Japan ETF (the
“EWJ Fund”) seeks to track the investment results, before fees and expenses, of an index composed of Japanese equities,
which is currently the MSCI Japan Index. For more information about the MSCI Japan Index, please see “Indices—The MSCI Indices”
in this underlying supplement. The EWJ Fund is an investment portfolio of iShares®, Inc. The EWJ Fund trades on the NYSE
Arca under the ticker symbol “EWJ.”
The iShares® MSCI Mexico ETF
The iShares® MSCI Mexico ETF (the
“EWW Fund”) seeks to track the investment results, before fees and expenses, of a broad-based index composed of Mexican
equities, which is currently the MSCI Mexico IMI 25/50 Index. For more information about the MSCI Mexico IMI 25/50 Index, please see “Indices—The
MSCI 25/50 Indices” in this underlying supplement. The EWW Fund is an investment portfolio of iShares®, Inc. The
EWW Fund trades on the NYSE Arca under the ticker symbol “EWW.”
The iShares® Russell 2000 ETF
The iShares® Russell 2000 ETF (the
“IWM Fund”) seeks to track the investment results, before fees and expenses, of an index composed of small-capitalization
U.S. equities, which is currently the Russell 2000® Index. For more information about the Russell 2000® Index,
please see “Indices—The Russell Indices” in this underlying supplement. The IWM Fund is an investment portfolio of iShares®
Trust. The IWM Fund trades on the NYSE Arca under the ticker symbol “IWM.”
The iShares® Russell 2000 Value ETF
The iShares® Russell 2000 Value
ETF (the “IWN Fund”) seeks to track the investment results, before fees and expenses, of an index composed of small-capitalization
U.S. equities that exhibit value characteristics, which is currently the Russell 2000® Value Index. For more information
about the Russell 2000® Value Index, please see “Indices—The Russell Style Indices” in this underlying
supplement. The IWN Fund is an investment portfolio of iShares® Trust. The IWN Fund trades on the NYSE Arca under the ticker
symbol “IWN.”
The iShares® S&P 500 Value ETF
The iShares® S&P 500 Value
ETF (the “IVE Fund”) seeks to track the investment results, before fees and expenses, of an index composed of large-capitalization
U.S. equities that exhibit value characteristics, which is currently the S&P 500® Value Index. For more information
about the S&P 500® Value Index, please see “Indices—The S&P Style Indices” in this underlying
supplement. The IVE Fund is an investment portfolio of iShares® Trust. The IVE Fund trades on the NYSE Arca under the ticker
symbol “IVE.”
The iShares® Semiconductor ETF
The iShares® Semiconductor
ETF (the “SOXX Fund”) seeks to track the investment results, before fees and expenses, of an index composed of U.S.-listed
equities in the semiconductor sector, which is currently the ICE Semiconductor Index. Effective June 2021, the SOXX Fund’s underlying
index changed from the PHLX Semiconductor Sector Index to the ICE Semiconductor Index, and the SOXX Fund’s name accordingly changed
from the iShares® PHLX Semiconductor ETF to the iShares® Semiconductor ETF. For more information about the
ICE Semiconductor Index, please see “—Additional Information about the Underlying Indices for Certain iShares ETFs—The
ICE Semiconductor Index” below. The SOXX Fund is an investment portfolio of iShares® Trust. The SOXX Fund trades
on The Nasdaq Stock Market under the ticker symbol “SOXX.”
The iShares® U.S. Real Estate ETF
The iShares® U.S. Real Estate ETF
(the “IYR Fund”) seeks to track the investment results, before fees and expenses, of an index composed of U.S. equities
in the real estate sector, which is currently the Dow Jones U.S. Real Estate Capped Index. Effective January 2021, the IYR Fund’s
underlying index changed from the Dow Jones U.S. Real Estate Index to the Dow Jones U.S. Real Estate Capped Index. For more information
about the Dow Jones U.S. Real Estate Capped Index, please see “—Additional Information about the Underlying Indices for Certain
iShares
ETFs—The
Dow Jones U.S. Real Estate Capped Index” below. The IYR Fund is an investment portfolio of iShares® Trust. The IYR
Fund trades on the NYSE Arca under the ticker symbol “IYR.”
Additional Information about the Underlying Indices for Certain
iShares ETFs
The S&P Global Clean Energy IndexTM
All information contained in this underlying supplement
regarding the S&P Global Clean Energy IndexTM, including, without limitation, its make-up, method of calculation and changes
in its components, has been derived from publicly available information, without independent verification. This information reflects the
policies of, and is subject to change by, S&P Dow Jones Indices LLC (“S&P Dow Jones”). The S&P Global Clean
Energy IndexTM is calculated, maintained and published by S&P Dow Jones. S&P Dow Jones has no obligation to continue
to publish, and may discontinue the publication of, the S&P Global Clean Energy IndexTM.
The S&P Global Clean Energy IndexTM
is a modified market capitalization-weighted index that is designed to measure the performance of companies in global clean energy related
businesses from both developed and emerging markets, with a target constituent count of 100. The S&P Global Clean Energy IndexTM
is reported by Bloomberg L.P. under the ticker symbol “SPGTCLEN.”
S&P Global Clean Energy
IndexTM Eligibility
To be eligible for inclusion in the S&P Global
Clean Energy IndexTM, an eligible stock must have a minimum total market capitalization of US$ 300 million and a minimum float-adjusted
market capitalization (“FMC”) of US$ 100 million. Eligible stocks must also maintain a 6-month median daily value traded
(“MDVT”) liquidity threshold of US$ 3 million for new constituents and US$ 2 million for current constituents. If a
stock has traded for less than six months, the MDVT amount for as long as the stock has been trading is used. Eligible stocks must be
trading on a developed or emerging market exchange and included in the S&P® Global BMI in order to be considered for
inclusion in the S&P Global Clean Energy IndexTM. For more information about the S&P® Global BMI’s
constituent selection process, please see “S&P® Global BMI Constituent Selection” below.
S&P®
Global BMI Constituent Selection
The S&P® Global BMI (the “BMI”)
is designed to measure global stock market performance. Securities issued by companies domiciled in countries classified as developing
or emerging markets are eligible for inclusion in the BMI. The BMI covers all publicly listed equities with FMCs of at least $100 million.
At the BMI reconstitution, a BMI constituent is removed if its FMC falls below US$ 75 million.
At the annual reconstitution, the liquidity of
each stock being considered for inclusion is evaluated using two median daily value traded metrics:
| 1. | Eligible stocks must have a minimum USD 12 month median value traded ratio (“MVTR”) to be eligible. The ratio is
calculated by taking the US$ MDVT amount for each of the 12 months preceding the rebalancing reference date, multiplying the monthly amount
by the number of days that the stock traded during that month, and then dividing by its end-of-month FMC, also calculated in US$. The
sum of the 12 monthly values is the MVTR for that stock. If a stock has traded for less than 12 months, the average of the available monthly
values is taken and multiplied by 12. Monthly MDVT is defined as the median of the daily value traded for a given company in a given month.
The value traded is calculated by multiplying the number of shares traded by each stock’s price. |
| 2. | Eligible stocks must have a minimum USD MDVT over the six months prior to the rebalancing reference date to be eligible. If a stock
has traded for less than six months, the MDVT amount for as long as the stock has been trading is used. The requirements vary based on
a stock’s country classification, whether emerging or developed. These requirements are summarized in the following table: |
Liquidity Thresholds for Potential Constituents |
Region |
12-Month MVTR (%) |
6-Month MDVT (US$M) |
Emerging |
10 |
0.1 |
Developed |
20 |
0.25 |
At annual reconstitution, current constituents
of the BMI are removed if either of the liquidity metrics fall below the thresholds in the following table:
Liquidity Thresholds for Current Constituents |
Region |
12-Month MVTR (%) |
6-Month MDVT (US$M) |
Emerging |
7 |
0.07 |
Developed |
14 |
0.175 |
BMI candidates must be common shares or other
securities that have the characteristics of common equities. All classes of common shares, both fully and partially paid, are eligible.
Temporary issues arising from corporate actions, such as “when-issued shares,” are considered on a case-by-case basis
when necessary to maintain continuity in a company’s index membership. Real estate investment trusts (“REITs”),
listed property trusts, and similar real-property-owning pass-through structures taxed as REITs by their domiciles are eligible. In Canada,
income trusts (including Canadian REITs) are eligible, however, income-participating securities which combine stock and debt ownership
are ineligible. All publicly listed multiple share class lines are eligible for inclusion in the BMI, subject to meeting the eligibility
criteria and foreign investors may hold shares in the class.
If the practical available limit for an existing
constituent (as defined by the known shares actually available to foreign investors) falls below 5%, then it will be removed from the
BMI at the next quarterly rebalancing. A stock can be added only if the practical available limit is 10% or more. All stocks are reviewed
for this at each quarterly rebalancing.
Initial Public Offerings (“IPOs”),
as well as new listings on eligible exchanges and issues that emerged from bankruptcy status can be added to the BMI on a quarterly basis.
The criteria for inclusion are the same as that used at the annual reconstitution. In addition, the stock must have a trading history
of at least three months as of the reference date. The reference date for quarterly inclusions is five weeks prior to the effective rebalancing
date, and additions are effective at the open of Monday following the third Friday of March, June, September and December. Market cap
and liquidity are evaluated as of the reference date. Since the stocks will have traded less than a full year, the trading value data
that is available is annualized to determine BMI eligibility.
Certain large IPOs are eligible for fast track
entry to the BMI subject to the following conditions:
| · | Only newly public IPOs and direct placement listings will be considered eligible for fast track entry. Formerly bankrupt companies
that switch from an over-the-counter exchange or a non-covered exchange to an S&P Dow Jones covered exchange are ineligible. |
| · | Fast track IPO additions must meet a minimum FMC threshold of US$ 2 billion, calculated using the shares offered (excluding over-allotment
options) and the closing price on the first day of trading on an eligible exchange. The threshold level is reviewed from time to time
and updated as needed to assure consistency with market conditions. |
| · | In addition, the IPO will need to meet all other applicable BMI eligibility rules except for the liquidity requirement. If all necessary
public information is available, S&P Dow Jones verifies that the fast track conditions have been met. Once S&P Dow Jones announces
that the IPO is eligible for fast track addition, it is added to the BMI with five business days lead time. Fast track IPO additions eligible
to be added during a quarterly rebalancing freeze period will be added on the rebalancing effective date. |
Between rebalancings, a company can be deleted
from the BMI due to corporate events such as mergers, acquisitions, delistings or bankruptcies. Companies that fall below US$ 25 million
FMC are removed from the BMI. Evaluations are made quarterly using data from the reference date which is five weeks prior to the effect
rebalancing date. Deletions are effective at the open of Monday following the third Friday in March, June, September and December.
A company is deleted from the BMI if it is involved
in a merger, acquisition or significant restructuring such that it no longer meets the eligibility criteria. If a company’s shares
are no longer available or are no longer trading, the company is deleted from the BMI as soon as reasonably possible providing that five
days’ notice is given. In the event the information of delisting, bankruptcy or ineligible status becomes public after the fact,
the stock may be removed with a one-day notice period.
S&P Global Clean Energy
IndexTM Construction
Stocks that meet the eligibility criteria are
reviewed for specific practices related to clean energy. The preliminary universe of companies is identified based on ANY of the following
screens:
| · | Companies that derive at least 25% in aggregate revenue from clean energy-related businesses as defined by data from FactSet’s
Revere Business Industry Classification System (“RBICS”). RBICS is a comprehensive structured taxonomy designed to
offer precise classification of global companies and their individual business units. |
| · | Companies from “General Utilities” as defined by the following GICS® sub-industries that generate
at least 20% of their power (as measured by S&P Trucost Limited (“Trucost”) data) from renewable sources (i.e.,
wind, solar, hydroelectric, biomass and geothermal): electric utilities; multi-utilities and independent power producers & energy
traders. |
| · | Companies from “Renewable Utilities” as defined by the GICS® renewable electricity sub-industry. |
| · | Companies that had an exposure score of at least 0.5 in the universe for consideration as of the previous rebalancing. |
Sustainalytics Business Activity Screenings.
As of each rebalancing reference date, companies with specific levels of involvement and/or significant ownership thresholds, as specified
and measured by Sustainalytics, are excluded from the eligible universe:
Sustainalytics Product Involvement |
Sustainalytics Category of Involvement and Description |
Sustainalytics Involvement Proxy |
S&P Dow Jones Level of Involvement Threshold |
S&P Dow Jones Significant Ownership Threshold |
Controversial Weapons |
Tailor Made and Essential & Non-Tailor Made and Non-Essential: The company is involved in the core weapon system, or components/services of the core weapon system that are, and are not, considered tailor-made and essential for the lethal use of the weapon. |
N/A |
>0% |
≥25% |
Small Arms |
Civilian Customers (Assault and Non-Assault Weapons): The company manufactures and sells assault weapons and/or small arms (Non-assault weapons) to civilian customers. |
Revenue |
>0% |
Not Relevant |
Military/Law Enforcement Customers: The company manufactures and sells small arms to military/law enforcement customers. |
Key Components: The company manufactures and sells key components of small arms. |
Retail/Distribution (Assault and Non-Assault Weapons): The company is involved in the retail and/or distribution of assault weapons and/or small arms (Non-assault weapons). |
Sustainalytics Product Involvement |
Sustainalytics Category of Involvement and Description |
Sustainalytics Involvement Proxy |
S&P Dow Jones Level of Involvement Threshold |
S&P Dow Jones Significant Ownership Threshold |
Military Contracting |
Weapons: The company manufactures military weapon systems and/or integral, tailor-made components or these weapons. Weapon-related products and/or services: The company provides tailor-made products and/or services that support military weapons. |
Revenue |
>5% |
Not Relevant |
Weapon-related products and/or services: The company provides tailor-made products and/or services that support military weapons. |
>10% |
Tobacco |
Production: The company manufactures tobacco products. |
>0% |
Not Relevant |
Related Products/Services: The company supplies tobacco-related products/services. |
≥5% |
Retail: The company derives revenues from the distribution and/or retail sale of tobacco products. |
≥5% |
Thermal Coal |
Extraction: The company extracts thermal coal. |
≥5% |
Not Relevant |
Power Generation: The company generates electricity from thermal coal. |
≥25% |
Oil Sands |
Extraction: The company extracts oil sands. |
≥5% |
Not Relevant |
Shale Energy |
Extraction: The company is involved in shale energy exploration and/or production. |
≥5% |
Not Relevant |
Arctic Oil & Gas Exploration |
Extraction: The company is involved in oil and gas exploration in Arctic regions. |
≥5% |
Not Relevant |
Exclusions Based on Sustainalytics’ Global
Standards Screening. Sustainalytics’ Global Standards Screening (“GSS”) provides an assessment of a company’s
impact on stakeholders and the extent to which a company causes, contributes or is linked to violations of international norms and standards.
The basis of the GSS assessments are the United Nations Global Compact (“UNGC”) Principles. Information regarding related
standards is also provided in the screening, including the Organization for Economic Co-operation and Development (“OECD”)
Guidelines for Multinational Enterprises and the UN Guiding Principles on Business and Human Rights, as well as their underlying conventions.
Sustainalytics classifies companies into the following three statuses:
| · | Non-Compliant. Classification given to companies that do not act in accordance with the UNGC principles and its associated standards,
conventions and treaties. |
| · | Watchlist. Classification given to companies that are at risk of violating one or more principles, for which all dimensions for Non-Compliant
status could not be established or confirmed. |
| · | Compliant. Classification given to companies that act in accordance with the UNGC principles and its associated standards, conventions
and treaties. |
As of each rebalancing reference date, companies
classified as Non-Compliant, according to Sustainalytics, are ineligible for S&P Global Clean Energy IndexTM inclusion.
Companies without Sustainalytics coverage are ineligible for S&P Global Clean Energy IndexTM inclusion until they receive
such coverage.
Media and Stakeholder Analysis Overlay. S&P
Global uses RepRisk, a provider of business intelligence on environmental, social and governance risks, for daily filtering, screening
and analysis of controversies related to companies within the S&P Global Clean Energy IndexTM.
In cases where risks are presented, S&P Global
releases a Media and Stakeholder Analysis (“MSA”) which includes a range of issues such as economic crime and corruption,
fraud, illegal commercial practices, human rights issues, labor disputes, workplace safety, catastrophic accidents and environmental disasters.
The Index Committee (as defined below) will review
constituents that have been flagged by S&P Global’s MSA to evaluate the potential impact of controversial company activities
on the composition of the indices. In the event that the Index Committee decides to remove a company in question, that company would not
be eligible for re-entry into the indices for one full calendar year, beginning with the subsequent rebalancing.
Component Selection. After determining
the eligible universe, the S&P Global Clean Energy IndexTM components are selected as follows:
| 1. | S&P Dow Jones defines exposure scores for each company based on RBICS classifications, as set out in the following table, and
Trucost’s Power Generation Data for utility companies. |
Exposure Scores |
0 |
0.5 |
0.75 |
1 |
Eliminated, no exposure |
Moderate clean energy exposure |
Significant clean energy exposure |
Maximum clean energy exposure |
| 2. | For all companies with an exposure score of 1, 0.75, and 0.5, after introducing the exclusion criteria described above, those with
a Trucost carbon-to-revenue footprint standard score greater than three are excluded from S&P Global Clean Energy IndexTM
inclusion. The calculation uses all stocks in the preliminary universe (before introducing the exclusion criteria described above) with
an exposure score of 1. The carbon-to-revenue footprint standard score is calculated by subtracting the mean carbon-to-revenue footprint
of all preliminary universe stocks with an exposure score of 1 as of the rebalancing reference date from each stock’s carbon-to-revenue
footprint and then dividing the difference by the standard deviation (also determined based on preliminary universe stocks with an exposure
score of 1). The top and bottom five percent are excluded from the mean and standard deviation calculations. |
Companies without Trucost coverage are eligible for S&P
Global Clean Energy IndexTM inclusion. Companies without a Trucost carbon-to-revenue footprint are excluded from the carbon-to-revenue
footprint standard score calculation process.
| 3. | For all remaining stocks from the previous step, stocks are first ranking by the exposure scores then FMC. All exposure score 1 stocks
are selected, with a target constituent count of 100. If more than 100 exposure score 1 stocks are eligible, all exposure score 1 stocks
are selected. If fewer than 100 exposure score 1 stocks are eligible the following selection steps are performed. |
| 4. | If, after step 3 there are still not 100 constituents, the highest-ranking stock with an exposure score of 0.75 is selected until
the target constituent count of 100 is reached This process continues iteratively until the target constituent count is reached. |
| 5. | If, after step 4 there are still not 100 constituents, the highest-ranking stock with an exposure score of 0.5 is selected until the
target constituent count of 100 is reached. |
| 6. | If, after step 5, the S&P Global Clean Energy IndexTM’s weighted average exposure score, the sum of the product
between each constituent’s exposure score and its final optimized weights, falls below 0.85, the lowest ranking stock with an exposure
score of 0.5 is removed until the S&P Global Clean Energy IndexTM’s weighted average exposure score reaches 0.85.
If after removing all stocks with an exposure score of 0.5 and the weighted average exposure score is still below 0.85, the lowest ranking
stock with an exposure score of 0.75 is removed until the S&P Global Clean Energy IndexTM’s weighted average exposure
score reaches 0.85. Therefore, it is possible for the final S&P Global Clean Energy IndexTM constituent count to be below
100. The weighted average exposure score described above is the sum of the product between each constituents’ exposure score and
its final optimized weights. |
Exposure Score Calculations: Exposure Score
Assignment Steps. The calculation and thresholds used to determine the Exposure Scores used in the constituent selection and weighting
are as follows:
| 1. | Calculate a Clean Revenue Score |
| · | Calculate a revenue score for all eligible companies by aggregating the percentage of revenue across all in-scope sub-industries based
on RBICS data. The following RBICS sub-industries have been identified to capture the scope of the S&P Global Clean Energy IndexTM:
photovoltaic and solar cells and systems providers; wind energy equipment manufacturing; biodiesel fuel manufacturing; ethanol fuel manufacturing;
Canada biomass wholesale power; Canada geothermal wholesale power; Canada hydroelectric wholesale power; Canada solar wholesale power;
Canada wind wholesale power; Canada mixed alternative wholesale power; Latin America biomass wholesale power; Latin America geothermal
wholesale power; Latin America hydroelectric wholesale power; Latin America solar wholesale power; Latin America wind wholesale power;
Latin America mixed alternative wholesale power; China biomass wholesale power; China geothermal wholesale power; China hydroelectric
wholesale power; China solar wholesale power; China wind wholesale power; China mixed alternative wholesale power; other Asia/Pacific
biomass wholesale power; other Asia/Pacific geothermal wholesale power; other Asia/Pacific hydroelectric wholesale power; other Asia/Pacific
solar wholesale power; other Asia/Pacific wind wholesale power; other Asia/Pacific mixed alt. wholesale power; Europe biomass wholesale
power; Europe geothermal wholesale power; Europe hydroelectric wholesale power; Europe solar wholesale power; Europe wind wholesale power;
Europe mixed alternative wholesale power; Middle East and Africa biomass wholesale power; Middle East and Africa geothermal wholesale
power; Middle East and Africa hydroelectric wholesale power; Middle East and Africa solar wholesale power; Middle East and Africa wind
wholesale power; Middle East and Africa mixed alt. wholesale power; United States biomass wholesale power; United States geothermal wholesale
power; United States hydroelectric wholesale power; United States solar wholesale power; United States wind wholesale power; United States
mixed alternative wholesale power; hydroelectric power generation equipment providers; hydrogen fuel manufacturing; waste-to-energy services
and; fuel cell equipment and technology providers. |
| 2. | Calculate Clean Power Generation Score for Utilities/Power Generation companies. |
| · | Calculate the percentage of clean power generation for companies that are involved in power generation businesses. These are companies
that belong to “General Utilities” or “Renewable Utilities.” |
| · | Adjust the percentage of clean power generation for each company by multiplying into relevant revenue, where relevant revenue is considered
revenue sourced from power generation and distribution activities, as defined by RBICS data. |
| 3. | Step 3: Calculate Final Exposure Score |
For non-power generation companies, assign scores based on
the following clean revenue thresholds:
Non-Power Generation Companies |
Exposure Scores |
1 |
0.75 |
0.5 |
0 |
Clean Revenue Score (x) |
x ≥ 75% |
50% ≤ x < 75% |
25% ≤ x < 50% |
x < 25% |
For power generation-related companies, including companies
classified as “General Utilities” and “Renewable Utilities,” there are two scores available for
each company: Clean Revenue Score and Clean Power Generation Score. Score assignment is based on the maximum of the two scores:
Clean Score = Max (Clean Revenue Score, Clean Power Generation
Score)
Power Generation Companies (Utilities) |
Exposure Scores |
1 |
0.75 |
0.5 |
0 |
Clean Revenue Score (x) |
x ≥ 75% |
50% ≤ x < 75% |
25% ≤ x < 50% |
x < 25% |
| 4. | Companies with zero clean revenue score or clean power generation score but had an exposure score of at least 0.5 as of the previous
rebalancing are possible being assigned a non-zero score based on factors such as a company’s business description and its most
recent reported revenue by segment. |
Carbon-to-Revenue Footprint. The carbon-to-revenue
footprint data used in the methodology is calculated by Trucost, and is defined as the company’s annual greenhouse gas (“GHG”)
emissions (direct and first tier indirect), expressed as metric tons of carbon dioxide equivalent (tCO2e) emissions, divided
by annual revenues for the corresponding year, expressed in millions of US dollars. Trucost’s annual research process evaluates
environmental performance of a given company with one output of this process being its annual GHG emissions profile.
Trucost Environmental
Register Research Process
| 1. | Map company business segments. Trucost maps company business segments to more than 450 business activities in the Trucost model.
The model is based on the North American Industry Classification System, but goes into greater granularity in some areas, such as power
generating utilities. |
| 2. | Estimate data-modelled profile. Once company business segments have been mapped to Trucost sectors and their share of revenue
apportioned to each, Trucost is able to generate a data-modelled profile for the company. Trucost uses its environmentally extended input-output
model to estimate data for over 800 environmental and operational metrics across the entire operations of companies; from the raw materials
they depend on in their supply chains to the electricity they purchase to power their operations. |
| 3. | Collect public disclosure. Trucost searches for environmental performance information in annual reports, sustainability reports,
websites and other publicly disclosed sources. Third party datasets, like disclosures to the Carbon Disclosure Project (“CDP”),
are also reviewed. Trucost then standardizes reported environmental performance data to best practice guidelines so that it can be compared
across companies, regions and business activities. To correct errors in company reporting, data control procedures are applied, including
sector specialist data reviews, automated outlier identifications and year-on-year comparisons. Wherever a material metric is not disclosed,
Trucost uses the modelled value, to estimate the missing data fields. CDP is a not-for-profit charity that surveys companies on Climate,
Water and Forestry issues and aggregates the collected disclosures. |
| 4. | Engage with company. Trucost then conducts an annual engagement with each company, providing the opportunity to verify environmental
performance and provide additional information. Companies are further welcomed to contact Trucost analysts at any point in their environmental
reporting cycle to provide their most recently available data. This supports Trucost’s efforts to utilize the most up-to-date company
information and to maximize data quality. |
Greenhouse Gas Emissions
Data
The S&P Global Clean Energy IndexTM
uses Trucost’s greenhouse gas emissions data set. Quantities of greenhouse gas emissions are normalized by sales to calculate the
company’s carbon intensity, or “carbon-to-revenue footprint.” The S&P Global Clean Energy IndexTM
uses direct and first-tier indirect emissions in the carbon-to-revenue footprints.
Constituent Weighting
At each rebalancing, constituents are weighted
based on the product of each constituent’s FMC and exposure score, subject to the below constraints. This is done by using an optimization
procedure that chooses final weights in such a way to minimize the sum of the squared difference of capped weight and uncapped weight,
divided by uncapped weight for each stock, subject to the following constraints:
| · | Constituents with an exposure score of 1 are capped at the lower of 8% or five times the constituent’s liquidity weight. |
| · | Constituents with an exposure score of 0.75 are capped at the lower of 6% or five times the constituent’s liquidity weight. |
| · | Constituents with an exposure score of 0.5 are capped at the lower of 4% or five times the constituent’s liquidity weight. |
| · | The cumulative weight of all constituents within the S&P Global Clean Energy IndexTM which have a weight greater than
4.5% cannot exceed 40%. |
Effective only for the April 2022 reconstitution
and July 2022 reweighting, a factor of 0.5 is applied to the underlying FMC for emerging market listings.
The liquidity weight of a given stock is defined
as the stock liquidity of that stock divided by the aggregate stock liquidity of all selected stocks, where the stock liquidity
of a given stock is the 6-month MDVT of that stock, calculated as the median of the number of shares traded each day multiplied by that
day’s closing price over the six months prior to the relevant rebalancing reference date.
S&P Global Clean Energy
IndexTM Calculation
The S&P Global Clean Energy IndexTM
is a modified market capitalization-weighted index where index constituents have a defined weight in the S&P Global Clean Energy IndexTM.
The index value of the S&P Global Clean Energy IndexTM is simply the market value of the S&P Global Clean Energy IndexTM
divided by the index divisor:
Index Value = (Index Market Value) / Divisor
Index Market Value =
× Sharesi × IWFi × FxRateI × AWFi
where, Pi the price of stock i, Sharesi
are the outstanding shares of stock i, IWFi is the float factor of stock i (as defined below), AWFi
is the adjustment factor of stock i assigned at each index rebalancing date, t, which adjusts the market capitalization
for all index constituents to achieve the user-defined weight, while maintaining the total market value of the overall index and FxRatei
is the exchange rate from the local currency into index currency for stock i. The AWF for each index constituent, i,
at rebalancing date, t, is calculated as:
AWFi,t = Z / FloatAdjustedMarketValuei,t
× Wi,t × FxRatei
where Z is an index specific constant set for the purpose of
deriving the AWF and, therefore, each stock’s share count used in the index calculation (often referred to as modified index shares),
Wi,t is the user-defined weight of stock i on rebalancing date t and FxRate is the exchange rate from
the local currency into index currency for stock i.
Float Adjustment. Float adjustment means
that the number of shares outstanding is reduced to exclude shares that are held by other publicly traded companies, government agencies
or certain types of strategic shareholders from the calculation of the index value because such shares are not available to investors.
The goal of float adjustment is to adjust each company’s total shares outstanding for long-term strategic shareholders, who often
have interests such as maintaining control rather than securing the shorter-term economic fortunes of the company. Generally, these long-term
strategic shareholders include, but are not limited to, officers and directors, private equity, venture capital and special equity firms,
asset managers and insurance companies with direct board of director representation, other publicly traded companies that hold shares,
holders of restricted shares, company-sponsored employee share plans/trusts, defined contribution plans/savings, and investment plans,
foundations or
family trusts
associated with the company, government entities at all levels (other than government retirement/pension funds), sovereign wealth funds
and any individual person who controls a 5% or greater stake in a company as reported in regulatory filings. Restricted shares are generally
not included in total shares outstanding except for shares held as part of a lock-up agreement. Shares that are not considered outstanding
are also not included in the available float. These generally include treasury stock, stock options, equity participation units, warrants,
preferred stock, convertible stock and rights.
For each component, S&P Dow Jones calculates
an Investable Weight Factor (“IWF”), which represents the portion of the total shares outstanding that are considered
part of the public float for purposes of the S&P Global Clean Energy IndexTM.
The purpose of the S&P Global Clean Energy
IndexTM divisor is to maintain continuity of the S&P Global Clean Energy IndexTM level following the implementation
of corporate actions, index rebalancing events, or other non-market driven actions. To assure that the S&P Global Clean Energy IndexTM’s
value, or level, does not change when stocks are added or deleted, the divisor is adjusted to offset the change in market value of the
S&P Global Clean Energy IndexTM. Thus, the divisor plays a critical role in the S&P Global Clean Energy IndexTM’s
ability to provide a continuous measure of market valuation when faced with changes to the stocks included in the S&P Global Clean
Energy IndexTM. In a similar manner, some corporate actions that cause changes in the market value of the stocks in the S&P
Global Clean Energy IndexTM should not be reflected in the S&P Global Clean Energy IndexTM level. Adjustments
are made to the divisor to eliminate the impact of these corporate actions on the S&P Global Clean Energy IndexTM value.
S&P Global Clean Energy
IndexTM Maintenance and Adjustments
Semi-annual reconstitutions of the S&P Global
Clean Energy IndexTM occur after the close of trading on the third Friday of April and October. The reference date is after
the close of trading on the third Friday of March and September, respectively. In addition, quarterly reweightings occur after the close
on the third Friday of January and July.
The table below summarizes the type of index maintenance
adjustments and indicate whether or not an index adjustment is required.
Type of
Corporate Action |
|
Comments |
|
Divisor Adjustment? |
Spin-Off |
|
All spun-off companies are added to and remain in the S&P Global Clean Energy IndexTM until the subsequent rebalancing. |
|
No |
Constituent Change |
|
Except for spin-offs, there are no intra-rebalancing additions. |
|
- |
Deletions due to delistings, acquisition or any other corporate event resulting in the deletion of the stock from the S&P Global Clean Energy IndexTM will cause the weights of the rest of the stocks in the S&P Global Clean Energy IndexTM to change. Relative weights will stay the same. |
Yes |
Constituents changing their GICS® classification to a non-eligible GICS® classification will be removed at the next rebalancing. |
- |
Rebalancing changes including additions, deletions and weight changes. |
Yes |
Index Committee
The S&P Global Clean Energy IndexTM
is maintained by an S&P Dow Jones index committee (the “Index Committee”). The Index Committee meets regularly.
At each meeting, the Index Committee may review pending corporate actions that may affect the S&P Global Clean Energy IndexTM
constituents, statistics comparing the composition of the S&P Global Clean Energy IndexTM to the market, companies that
are being considered as
candidates
for addition to the S&P Global Clean Energy IndexTM and any significant market events. In addition, the Index Committee
may revise index policy covering rules for selecting companies, treatment of dividends, share counts or other matters.
S&P Dow Jones considers information about
changes to the S&P Global Clean Energy IndexTM and related matters to be potentially market moving and material. Therefore,
all Index Committee discussions are confidential.
The Index Committee reserves the right to make
exceptions when applying the methodology if the need arises. In any scenario where the treatment differs from the general rules S&P
Dow Jones will provide sufficient notice, whenever possible.
In addition to the daily governance of the S&P
Global Clean Energy IndexTM and maintenance of index methodologies, at least once within any 12-month period, the Index Committee
reviews the methodology to ensure the S&P Global Clean Energy IndexTM continues to achieve the stated objectives, and that
the data and methodology remain effective. In certain instances, S&P Dow Jones may publish a consultation inviting comments from external
parties.
The ICE Semiconductor Index
All information contained in this underlying supplement
regarding the ICE Semiconductor Index, including, without limitation, its make-up, method of calculation and changes in its components,
has been derived from publicly available information, without independent verification. This information reflects the policies of, and
is subject to change by, ICE Data Indices, LLC (“IDI”). The ICE Semiconductor Index is calculated, maintained and published
by IDI. IDI has no obligation to continue to publish, and may discontinue the publication of, the ICE Semiconductor Index.
The ICE Semiconductor Index is a modified float-adjusted
market capitalization-weighted index that is designed to track the performance of the thirty largest U.S.-listed semiconductor companies.
IDI defines semiconductor companies as those classified within the semiconductors industry of the ICE Uniform Sector Classification schema.
This includes companies that either manufacture materials that have electrical conductivity (semiconductors) to be used in electronic
applications or utilize LED and OLED technology. This also includes companies that provide services or equipment associated with semiconductors
such as packaging and testing. The ICE Semiconductor Index is reported by Bloomberg L.P. under the ticker symbol “ICESEMI.”
ICE Semiconductor Index Constituent Selection
The ICE Semiconductor Index includes common stocks,
ordinary shares, American depositary receipts (“ADRs”), shares of beneficial interest and limited partnership interest
that meet the following criteria:
| 1. | Listed on one of the following U.S. exchanges: New York Stock Exchange (“NYSE”), NYSE American, Cboe BZX, Nasdaq
Global Select Market, Nasdaq Global Market and Nasdaq Capital Market; |
| 2. | Classified within the semiconductors industry of the ICE Uniform Sector Classification schema; |
| 3. | A minimum $100 million security-level non-float-adjusted market capitalization; |
| 4. | A minimum 5% security-level free float; |
| 5. | 1.5 million share minimum U.S. consolidated traded volume in each of the six calendar months preceding the reference date; |
| 6. | Initial public offerings and new listings must be at least three full calendar months past the listing date, not including the listing
month but including the reconstitution reference date month of July; and |
| 7. | If a company has multiple listed share classes that qualify, then only the largest share class based on float-adjusted market capitalization
is eligible for selection. |
The thirty largest securities, ranked by security-level
float-adjusted market capitalization as of the reference date, are included in the ICE Semiconductor Index.
ICE Semiconductor Index Construction
The ICE Semiconductor Index is subject to the
following exposure limits:
| 1. | All constituents are capped at 8% with any excess weight redistributed on a pro-rata basis to constituents below that cap, provided
none can be increased above 8%. |
| 2. | The weights of constituents outside the initial five largest are capped at 4% with any excess weight redistributed on a pro-rata basis
to (i) any of the five largest constituents that are below 8% (provided they cannot be increased above 8%) and (ii) any other constituents
that are below 4% (provided none are increased above 4%). |
| 3. | The cumulative weight of all ADRs is capped at 10% with the reductions applied proportionately across that group. Excess weight is
redistributed on a pro-rata basis to (i) any non-ADR constituents among the resulting five largest constituents that are below 8% (provided
they cannot be increased above 8%) and (ii) any other non-ADR constituents that are below 4% (provided they cannot be increased
above 4%). |
ICE Semiconductor Index Calculation
The level of the ICE Semiconductor Index is calculated
by dividing the current index market capitalization by the index divisor. The index market capitalization represents the sum product of
index constituents shares and prices. The divisor was determined as a function of the initial index market capitalization and base index
level. The divisor is updated as a result of corporate actions, reconstitutions, rebalances and any other composition changes.
ICE Semiconductor Index Maintenance and Adjustments
The ICE Semiconductor Index undergoes a full reconstitution
of constituent holdings annually after the close of the third Friday of September. At the annual reconstitution, qualifying constituents
are re-selected based on the above criteria, and float-adjusted market capitalization weights are determined subject to the above exposure
limits. The reference date for the input data used to determine security qualifications is the close of the last trading day of July,
and reference data for the input data used to determine weights is the close of the last trading day of August. The announcement date
is the close of the first Friday of September.
In addition to the annual reconstitution, the
ICE Semiconductor Index undergoes a rebalancing after the close of the third Friday of March, June and December. At the quarterly rebalancings,
no constituents are added to or removed from the ICE Semiconductor Index; however, constituent weights are recalculated based on updated
float-adjusted market capitalizations subject to the issuer and ADR exposure limits. The reference date for all input data used in the
quarterly rebalances is the close of the last trading day of the month preceding the month of effectiveness (February, May, November)
and the announcement date is the close of the first Friday of the rebalance month.
The ICE Semiconductor Index is adjusted for corporate
actions that affect constituents and implements any intra-quarter float-adjusted shares outstanding updates greater than 10% in scheduled
monthly share updates that take effect after the close of the last trading day of each month. Securities are removed from the ICE Semiconductor
Index only when both the transaction and delisting is either confirmed or deemed imminent. If a security is suspended prior to its removal
from the ICE Semiconductor Index, then the security is deleted at the close of the next trading day at either the last traded price (cash
only terms) or the value of the deal terms (share or cash/share terms), if available. If a constituent is removed from the ICE Semiconductor
Index intra-quarter, then it is replaced with the eligible security with the next highest free float market capitalization as of the last
reconstitution or rebalance. The replacement is made at the security-level free float market capitalization of the new security, with
no additional capping rules applied. The ICE Semiconductor Index implements a zero-price spin-off policy. A spin-co is added into the
ICE Semiconductor Index effective for the spin-off ex-date with a $0 price and no price adjustment is made on the parent constituent.
After the close of the first day of trading for the spin-co, it is deleted from the ICE Semiconductor Index at its last traded price.
The Dow Jones U.S. Real Estate Capped Index
All information contained in this underlying supplement
regarding the Dow Jones U.S. Real Estate Capped Index, including, without limitation, its make-up, method of calculation and changes in
its components, has been
derived
from publicly available information, without independent verification. This information reflects the policies of, and is subject to change
by, S&P Dow Jones Indices LLC (“S&P Dow Jones”). The Dow Jones U.S. Real Estate Capped Index is calculated,
maintained and published by S&P Dow Jones. S&P Dow Jones has no obligation to continue to publish, and may discontinue the publication
of, the Dow Jones U.S. Real Estate Capped Index.
The Dow Jones U.S. Real Estate Capped Index is
a modified market capitalization-weighted index that is designed to track the performance of real estate investment trusts (“REITs”)
and other companies that invest directly or indirectly in real estate through development, management or ownership, including property
agencies, with a cap applied to ensure diversification among constituents. The Dow Jones U.S. Real Estate Capped Index is reported by
Bloomberg L.P. under the ticker symbol “DJUSRCUP.”
Index composition of the Dow Jones U.S. Real Estate
Capped Index is the same as the underlying sector index, which is the Dow Jones U.S. Real Estate Index. Constituent changes are incorporated
in the Dow Jones U.S. Real Estate Capped Index as and when they are made in the Dow Jones U.S. Real Estate Index. Any addition not coinciding
with a reweighting effective date, except for spin-offs, will be added to the Dow Jones U.S. Real Estate Capped Index with the largest
additional weight factor currently represented in the Dow Jones U.S. Real Estate Capped Index.
For capping purposes, the Dow Jones U.S. Real
Estate Capped Index is rebalanced quarterly after the close of business on the third Friday of March, June, September and December. The
reference date for capping is the Wednesday before the second Friday of the rebalancing month. The Dow Jones U.S. Real Estate Capped Index
is also reviewed daily based on each company’s capped market capitalization weight. Daily capping is only performed when the sum
of companies with a weight greater than 5% exceeds 25%. When daily capping is necessary, the changes are announced after the close of
business on the day in which the daily weight cap is exceeded, with the reference date after the close of that same business day. Changes
are effective after the close of the next trading day. While capping is reviewed daily, the Dow Jones U.S. Real Estate Capped Index may
be capped on a less frequent basis. Both the quarterly capping process and the daily capping process are performed according to the following
procedures:
| 1) | With prices reflected on the rebalancing price reference date, adjusted for any applicable corporate actions, and membership, shares
outstanding and investable weight factors (“IWFs”) as of the rebalancing effective date, each company is weighted by
float-adjusted market capitalization (“FMC”). Modifications are made as defined below. |
| 2) | If any company’s weight exceeds the weight cap of 10%, that company’s weight is capped at 10% and all excess weight is
proportionally redistributed to all uncapped companies within the index. If after this redistribution any company breaches the weight
cap, the process is repeated iteratively until no company breaches the company capping rule. |
| 3) | Then, the aggregate weight of the companies with a weight greater than 4.5% cannot exceed the aggregate cap of 22.5%. |
| 4) | If the rule in step 3 is breached, all the companies are ranked in descending order of their weights and the company with the smallest
weight above 4.5% is identified. The weight of this company is, then, reduced either until the rule in step 3 is satisfied or it reaches
4.5%. |
| 5) | This excess weight is proportionally redistributed to all companies with weights below 4.5%. Any company that receives weight cannot
breach the 4.5% cap. This process is repeated iteratively until step 3 is satisfied. |
| 6) | Index share amounts are assigned to each constituent to arrive at the weights calculated above. Since index shares are assigned based
on prices prior to rebalancing, the actual weight of each constituent at the rebalancing differs somewhat from these weights due to market
movements. |
Dow Jones U.S. Real Estate Index Composition and Maintenance
The Dow Jones U.S. Real Estate Index is designed
to track the performance of REITs and other companies that invest directly or indirectly in real estate through development, management,
or ownership, including property agencies. REITs are passive investment vehicles that invest primarily in income producing real estate
or real estate-related loans and interests.
The Dow Jones U.S. Real Estate Index is one of
the supersector indices that make up the Dow Jones U.S. Index. The Dow Jones U.S. Real Estate Index is a subset of the Dow Jones U.S.
Index, which is designed to be a measure of the U.S. stock market, covering 95% of U.S. stocks by FMC, excluding the most thinly traded
securities. The Dow Jones U.S. Real Estate Index is weighted by FMC, rather than full market capitalization, to reflect the actual number
of shares available to investors.
The index universe is defined as all stocks traded
on the major U.S. stock exchanges, minus any non-common issues and illiquid stocks. Index component candidates are filtered through screens
for share class and eligibility. For share class, index component candidates must be common shares or other securities that have the characteristics
of common equities. All classes of common shares, both fully and partially paid, are eligible. Temporary issues arising from corporate
actions, such as “when-issued shares,” are considered on a case-by-case basis when necessary to maintain continuity
in a company’s index membership. REITs, listed property trusts and similar real-property-owning pass-through structures taxed as
REITs by their domiciles are also eligible. In some cases, companies issue multiple share classes. All publicly listed multiple share
class lines are eligible for index inclusion. A separate IWF, which is an adjustment factor that accounts for publicly available shares
of a company, is calculated for each included share class. For liquidity, each stock must meet two separate liquidity criteria to be considered
eligible for inclusion:
| · | 12-Month Median Value Traded Ratio (MVTR). Stocks must have a MVTR of at least 20%. Current constituents remain eligible if they have
a MVTR of at least 14%. This ratio is calculated by taking the median daily value traded amount for each of the 12 months preceding the
rebalancing reference date, multiplying the amount by the number of days that the stock traded during that month, and then dividing by
its end-of-month FMC. The sum of the 12 monthly values is the MVTR for that stock. If a stock has traded for less than 12 months, the
average of the available monthly values is taken and multiplied by 12. |
| · | 6-Month Median Daily Value Traded (MDVT). Stocks must have a MDVT over the six months prior to the rebalancing reference date of at
least US$ 250,000. Current constituents remain eligible if they have a MDVT of at least US$ 175,000. If a stock has traded for less than
six months, the MDVT amount for as long as the stock has been trading is used. |
Stocks in the index universe are sorted by FMC.
Stocks in the top 95% of the index universe by FMC are selected as constituents of the Dow Jones U.S. Index. Selection is subject to a
2% buffer for current and non-current stocks. Current constituents remain eligible up to the 97th percentile as ranked by FMC. Non- constituents
are eligible up to the 93rd percentile as ranked by FMC. The capitalization thresholds are calculated once a year during the annual reconstitution
and used for screening potential additions during the quarterly rebalancings.
Stocks selected as components of the Dow Jones
U.S. Index are then categorized into subsectors based on their primary source of revenue. The subsectors are rolled up into sectors, which
in turn are rolled up into supersectors and finally into industries. Subsectors, sectors, supersectors and industries are defined by a
proprietary classification system used by S&P Dow Jones. The Dow Jones U.S. Real Estate Index is a supersector that is a subset of
the Dow Jones U.S. Index. Constituents of the Dow Jones U.S. Index that have an industry belonging to the real estate supersector will
be added to the Dow Jones U.S. Real Estate Index on the effective date of the industry change. If a stock changes to a different supersector,
the stock will be dropped on the effective date of the industry change.
The Dow Jones U.S. Real Estate Index is calculated
by means of the divisor methodology. On any given day, the index value is the quotient of the total FMC of the Dow Jones U.S. Real Estate
Index’s constituents and its divisor. The key to index maintenance is the adjustment of the divisor. Index maintenance – reflecting
changes in shares outstanding, corporate actions, addition or deletion of stocks to the index – should not change the level of the
index. This is accomplished with an adjustment to the divisor. Any change to the stocks in the index that alters the total market value
of the index while holding stock prices constant will require a divisor adjustment.
The Dow Jones U.S. Real Estate Index is reconstituted
annually in September. The process includes the review of all stocks in their respective markets to determine eligibility according to
the existing criteria. The reference date for data used in the annual reconstitution is the last business day in July. In addition, the
IWF for each stock is reviewed and updated as needed. Changes are implemented at the opening of trading on the Monday following the third
Friday of September. Changes to shares and IWFs are implemented at the open of trading on the Monday following the third Friday of March,
June and December.
Additions. Except for quarterly additions,
initial public offerings (“IPOs”) and spin-offs, there are no additions between rebalancings. Any stocks considered
for addition at a quarterly rebalancing must have an FMC larger than that of the smallest stock included in the Dow Jones U.S. Real Estate
Index at the time of the previous reconstitution.
Quarterly Additions. IPOs as well as new
listings on eligible exchanges and issues that emerged from bankruptcy status can be added to the Dow Jones U.S. Real Estate Index on
a quarterly basis. For former special purpose acquisition companies (“SPACs”) that transition to operating companies,
S&P Dow Jones considers the de-SPAC transaction to be an equivalent event to an IPO. The inclusion criteria is identical to the criteria
used at the annual reconstitution. Market cap and liquidity are evaluated as of the reference date. Any stocks considered for addition
at the quarterly rebalancing must have an FMC larger than that of the smallest stock included in the Dow Jones U.S. Real Estate Index
at the time of the previous reconstitution. In addition, the stock must have a trading history of at least three months as of the reference
date. Since the stocks will have traded less than a full year, the trading value data that is available is annualized to determine index
eligibility. The reference date for quarterly inclusions is five weeks prior to the effective rebalancing date, and additions are effective
at the open of Monday following the third Friday of March, June, September, and December.
Spin-offs. Spin-offs from current index
constituents are eligible for index inclusion and are included in the Dow Jones U.S. Real Estate Index on their ex-dates. Spin-offs are
assigned the same size and style as the parent company at the time of the event. All spin-off sizes are evaluated at the next quarterly
review.
Deletions. Between rebalancings, a company
can be deleted from the Dow Jones U.S. Real Estate Index due to corporate events such as mergers, acquisitions, takeovers, delistings
or bankruptcies. A company is deleted from the Dow Jones U.S. Real Estate Index if it is involved in a merger, acquisition, or significant
restructuring such that it no longer meets the eligibility criteria. If a company’s shares are no longer available or are no longer
trading, the company is deleted from the Dow Jones U.S. Real Estate Index as soon as reasonably possible providing that five days’
notice is given. In the event the information of delisting, bankruptcy or ineligible status becomes public after the fact, the stock may
be removed with a one-day notice period.
Corporate Actions. Corporate actions (such
as stock splits, stock dividends, spin-offs and rights offerings) are applied after the close of trading on the day prior to the ex-date.
Share changes resulting from exchange offers are applied on the ex-date.
Governance of the Dow Jones U.S. Real Estate
Index
An S&P Dow Jones index committee maintains
the Dow Jones U.S. Real Estate Index. All committee members are full-time professional members of S&P Dow Jones’ staff. The
index committee meets regularly. At each meeting, the index committee may review pending corporate actions that may affect index constituents,
statistics comparing the composition of the Dow Jones U.S. Real Estate Index to the market, companies that are being considered as candidates
for addition to the Dow Jones U.S. Real Estate Index, and any significant market events. In addition, the index committee may revise index
policy covering rules for selecting companies, treatment of dividends, share counts or other matters.
THE iSHARES® SILVER TRUST
All information contained in this underlying supplement
regarding the iShares® Silver Trust (the “SLV Fund”) has been derived from publicly available information,
without independent verification. This information reflects the policies of, and is subject to change by, the sponsor of the SLV Fund,
iShares Delaware Trust Sponsor LLC (“iShares Delaware”), an indirect subsidiary of BlackRock, Inc. The Bank of New
York Mellon is the trustee of the SLV Fund, and JPMorgan Chase Bank, N.A., London branch, is the custodian of the SLV Fund. The SLV Fund
is an investment trust that trades on the NYSE Arca, Inc. under the ticker symbol “SLV.”
The SLV Fund seeks to reflect generally the price
of silver before the payment of its expenses and liabilities. The assets of the SLV Fund consist primarily of silver held by the custodian
on behalf of the SLV Fund. The SLV Fund issues blocks of shares in exchange for deposits of silver and distributes silver in connection
with the redemption of blocks of shares. The shares of the SLV Fund are intended to constitute a simple and cost-effective means of making
an investment similar to an investment in silver.
The shares of the SLV Fund represent units of
fractional undivided beneficial interest in and ownership of the SLV Fund. The SLV Fund is a passive investment vehicle and the trustee
of the SLV Fund does not actively manage the silver held by the SLV Fund. The trustee of the SLV Fund sells silver held by the SLV Fund
to pay the SLV Fund’s expenses on an as-needed basis irrespective of then-current silver prices. Currently, the SLV Fund’s
only ordinary recurring expense is expected to be iShares Delaware’s fee, which is accrued daily at an annualized rate equal to
0.50% of the net asset value of the SLV Fund and is payable monthly in arrears. The trustee of the SLV Fund will, when directed by iShares
Delaware, and, in the absence of such direction, may, in its discretion, sell silver in such quantity and at such times as may be necessary
to permit payment of iShares Delaware’s fee and of expenses or liabilities of the SLV Fund not assumed by iShares Delaware.
Information provided to or filed with the SEC
by the SLV Fund pursuant to the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended, can be located
by reference to SEC file numbers 333-262440 and 001-32863, respectively, through the SEC’s website at http://www.sec.gov. The SLV
Fund is not a mutual fund or any other type of investment company within the meaning of the Investment Company Act of 1940, as amended,
and is not subject to regulation thereunder. The SLV Fund is not a commodity pool for purposes of the Commodity Exchange Act of 1936,
as amended, and is not subject to regulation thereunder, and iShares Delaware is not subject to regulation by the Commodity Futures Trading
Commission as a commodity pool operator or a commodity trading advisor.
THE SELECT SECTOR SPDR® ETFS
All information contained in this underlying supplement
regarding the Select Sector SPDR® Funds set forth in the table below (each, a “Select Sector Fund” and
collectively, the “Select Sector Funds”) has been derived from publicly available information, without independent
verification. This information reflects the policies of, and is subject to change by, the Select Sector SPDR® Trust (the
“Select Sector Trust”) and SSGA Funds Management, Inc. (“SSGA FM”). Each Select Sector Fund is an
investment portfolio maintained and managed by SSGA FM, the investment advisor to the Select Sector Funds. Each Select Sector Fund is
an exchange-traded fund (“ETF”) that trades on the NYSE Arca, Inc. under the ticker symbol set forth in the table below.
Each Select Sector Fund seeks to provide investment
results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies
included in a Select Sector Index, as specified in the table below. The companies included in each Select Sector Index are selected on
the basis of general industry classifications from a universe of companies defined by the S&P 500® Index. For more
information about the Select Sector Indices, please see “Indices—The Select Sector Indices” in this underlying supplement.
Select
Sector Fund |
Ticker |
Select
Sector Index |
Communication Services Select Sector SPDR® Fund |
XLC |
Communication Services Select Sector Index |
Consumer Discretionary Select Sector SPDR® Fund |
XLY |
Consumer Discretionary Select Sector Index |
Consumer Staples Select Sector SPDR® Fund |
XLP |
Consumer Staples Select Sector Index |
Energy Select Sector SPDR® Fund |
XLE |
Energy Select Sector Index |
Financial Select Sector SPDR® Fund |
XLF |
Financial Select Sector Index |
Health Care Select Sector SPDR® Fund |
XLV |
Health Care Select Sector Index |
Industrial Select Sector SPDR® Fund |
XLI |
Industrials Select Sector Index |
Materials Select Sector SPDR® Fund |
XLB |
Materials Select Sector Index |
Real Estate Select Sector SPDR® Fund |
XLRE |
Real Estate Select Sector Index |
Technology Select Sector SPDR® Fund |
XLK |
Technology Select Sector Index |
Utilities Select Sector SPDR® Fund |
XLU |
Utilities Select Sector Index |
In seeking to track the performance of the relevant
Select Sector Index, each Select Sector Fund employs a replication strategy, which means that each Select Sector Fund typically invests
in substantially all of the securities represented in the relevant Select Sector Index in approximately the same proportions as that Select
Sector Index. However, under various circumstances, it may not be possible or practical to purchase all of the securities in the relevant
Select Sector Index, or amounts of those securities in proportion to their weighting in that Select Sector Index. Under these circumstances,
SSGA FM intends to employ a sampling strategy in managing the relevant Select Sector Fund. Sampling means that SSGA FM will use quantitative
analysis to select securities, including securities in the relevant Select Sector Index, outside of the relevant Select Sector Index and
derivatives that have a similar investment profile as the relevant Select Sector Index in terms of key risk factors, performance attributes
and other economic characteristics. These include industry weightings, market capitalization and other financial characteristics of securities.
While SSGA FM seeks to track the performance of
the relevant Select Sector Index (i.e., achieve a high degree of correlation with the relevant Select Sector Index), each Select
Sector Fund’s return may not match the return of the relevant Select Sector Index due to operating expenses, transaction costs,
cash flows, regulatory requirements and operational inefficiencies. For example, it may take several business days for additions and deletions
to the relevant Select Sector Index to be reflected in the portfolio composition of the Select Sector Fund.
The Select Sector Trust is a registered investment
company that consists of a separate investment portfolio for each of the Select Sector Funds. Information provided to or filed with the
SEC by the Select Sector Trust pursuant to
the Securities
Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-57791
and 811-08837, respectively, through the SEC’s website at http://www.sec.gov.
THE SPDR® DOW JONES INDUSTRIAL
AVERAGE® ETF TRUST
All information contained in this underlying supplement
regarding the SPDR® Dow Jones Industrial Average® ETF Trust (the “DIA Fund”) has been
derived from publicly available information, without independent verification. This information reflects the policies of, and is subject
to change by, State Street Global Advisors Trust Company (“SSGA TC”), as trustee of the DIA Fund, and PDR Services
LLC (“PDRS”), as sponsor of the DIA Fund. The DIA Fund is a unit investment trust that issues securities called “Units.”
The DIA Fund trades on the NYSE Arca, Inc. under the ticker symbol “DIA.”
The DIA Fund seeks to provide investment results
that, before expenses, correspond generally to the price and yield performance of the Dow Jones Industrial Average®. For
more information about the Dow Jones Industrial Average®, please see “Indices—The Dow Jones Industrial Average®”
in this underlying supplement.
The DIA Fund seeks to achieve its investment objective
by holding a portfolio of common stocks that are included in the Dow Jones Industrial Average®, with the weight of each
stock in the portfolio substantially corresponding to the weight of that stock in the Dow Jones Industrial Average®. At
any time, the portfolio of the DIA Fund will consist of as many of the component stocks of the Dow Jones Industrial Average®
as is practicable. To maintain the correspondence between the composition and weightings of the stocks held by the DIA Fund and the component
stocks of the Dow Jones Industrial Average®, SSGA TC or its parent company, State Street Bank and Trust Company (“SSBT”)
adjusts the portfolio of the DIA Fund from time to time to conform to periodic changes in the identity and/or relative weightings of the
component stocks of the Dow Jones Industrial Average®. SSGA TC or SSBT generally makes these adjustments to the portfolio
of the DIA Fund within three business days before or after the day on which changes in the Dow Jones Industrial Average®
are scheduled to take effect.
While the DIA Fund is intended to track the performance
of the Dow Jones Industrial Average® as closely as possible (i.e., to achieve a high degree of correlation with
the Dow Jones Industrial Average®), the DIA Fund’s return may not match or achieve a high degree of correlation with
the return of the Dow Jones Industrial Average® due to expenses and transaction costs incurred in adjusting the DIA Fund’s
portfolio. In addition, it is possible that the DIA Fund may not always fully replicate the performance of the Dow Jones Industrial Average®
due to the unavailability of certain Dow Jones Industrial Average® securities in the secondary market or due to other extraordinary
circumstances (e.g., if trading in a security has been halted). In addition, the DIA Fund’s portfolio may deviate from the
Dow Jones Industrial Average® to the extent required to ensure continued qualification as a “regulated investment
company” under Subchapter M of the Internal Revenue Code of 1986, as amended.
The DIA Fund is a registered investment company.
Information provided to or filed with the SEC by the DIA Fund pursuant to the Securities Act of 1933, as amended, and the Investment Company
Act of 1940, as amended, can be located by reference to SEC file numbers 333-31247 and 811-09170, respectively, through the SEC’s
website at http://www.sec.gov.
THE SPDR® EURO STOXX 50®
ETF
All information contained in this underlying supplement
regarding the SPDR® EURO STOXX 50® ETF (the “FEZ Fund”) has been derived from publicly
available information, without independent verification. This information reflects the policies of, and is subject to change by, SSGA
Funds Management, Inc. (“SSGA FM”), the investment advisor for the FEZ Fund. The FEZ Fund is an investment portfolio
maintained and managed by SSGA FM. The FEZ Fund is an exchange-traded fund that trades on the NYSE Arca, Inc. under the ticker symbol
“FEZ.”
The FEZ Fund seeks to provide investment results
that, before fees and expenses, correspond generally to the total return performance of the EURO STOXX 50® Index. For more
information about the EURO STOXX 50® Index, please see “Indices—The STOXX Benchmark Indices” in this
underlying supplement.
In seeking to track the performance of the EURO
STOXX 50® Index, the FEZ Fund employs a sampling strategy, which means that the FEZ Fund is not required to purchase all
of the securities represented in the EURO STOXX 50® Index. Instead, the FEZ Fund may purchase a subset of the securities
in the EURO STOXX 50® Index in an effort to hold a portfolio of securities with generally the same risk and return characteristics
of the EURO STOXX 50® Index. The quantity of holdings in the FEZ Fund will be based on a number of factors, including asset
size of the FEZ Fund. Based on its analysis of these factors, SSGA FM, either may invest the FEZ Fund’s assets in a subset of securities
in underlying index or may invest the FEZ Fund’s assets in substantially all of the securities represented in the EURO STOXX 50®
Index in approximately the same proportions as the EURO STOXX 50® Index.
While SSGA FM seeks to track the performance of
the EURO STOXX 50® Index (i.e., achieve a high degree of correlation with the EURO STOXX 50® Index),
the FEZ Fund’s return may not match the return of the EURO STOXX 50® Index. The FEZ Fund incurs a number of operating
expenses not applicable to the EURO STOXX 50® Index, and incurs costs in buying and selling securities. In addition, the
FEZ Fund may not be fully invested at times, generally as a result of cash flows into or out of the FEZ Fund or reserves of cash held
by the FEZ Fund to meet redemptions. SSGA FM may attempt to replicate the EURO STOXX 50® Index return by investing in fewer
than all of the securities in the EURO STOXX 50® Index, or in some securities not included in the EURO STOXX 50®
Index, potentially increasing the risk of divergence between the FEZ Fund’s return and that of the EURO STOXX 50®
Index.
SPDR® Index Shares Funds is a registered investment
company that consists of numerous separate investment portfolios, including the FEZ Fund. Information provided to or filed with the SEC
by the FEZ Fund pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located
by reference to SEC file numbers 333-92106 and 811-21145, respectively, through the SEC’s website at http://www.sec.gov.
THE SPDR® GOLD TRUST
All information contained in this underlying supplement
regarding the SPDR® Gold Trust (the “GLD Fund”) has been derived from publicly available information,
without independent verification. This information reflects the policies of, and is subject to change by, the GLD Fund and World Gold
Trust Services, LLC (“World Gold”), the sponsor of the GLD Fund. BNY Mellon Asset Servicing, a division of The Bank
of New York Mellon, is the trustee of the GLD Fund, and HSBC Bank plc is the custodian of the GLD Fund. The GLD Fund is an investment
trust that trades on the NYSE Arca, Inc. under the ticker symbol “GLD.”
The investment objective of the GLD Fund is for
its shares to reflect the performance of the price of gold bullion, less the GLD Fund’s expenses. The GLD Fund holds gold bars and
from time to time, issues blocks of shares in exchange for deposits of gold and distributes gold in connection with the redemption of
blocks of shares. The shares of the GLD Fund are designed for investors who want a cost-effective and convenient way to invest in gold.
The shares of the GLD Fund represent units of
fractional undivided beneficial interest in and ownership of the GLD Fund. The GLD Fund is a passive investment vehicle and the trustee
of the GLD Fund does not actively manage the gold held by the GLD Fund. The trustee of the GLD Fund sells gold held by the GLD Fund to
pay the GLD Fund’s expenses on an as-needed basis irrespective of then-current gold prices. Currently, the GLD Fund’s only
recurring fixed expense is World Gold’s fee which accrues daily at an annual rate equal to 0.40% of the daily net asset value of
the GLD Fund, in exchange for World Gold assuming the responsibility to pay all ordinary fees and expenses of the GLD Fund.
Information provided to or filed with the SEC
by the GLD Fund pursuant to the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended, can be located
by reference to SEC file numbers 333-263087 and 001-32356, respectively, through the SEC’s website at http://www.sec.gov. The GLD
Fund is not a mutual fund or any other type of investment company within the meaning of the Investment Company Act of 1940, as amended,
and is not subject to regulation thereunder. The GLD Fund is not a commodity pool for purposes of the Commodity Exchange Act of 1936,
as amended, and is not subject to regulation thereunder, and World Gold is not subject to regulation by the Commodity Futures Trading
Commission as a commodity pool operator, or a commodity trading advisor.
The
SPDR Industry ETFs
All information contained in this underlying supplement
regarding the SPDR Industry ETFs set forth in the table below (each, a “ SPDR Industry ETF” and collectively, the “
SPDR Industry ETFs”) has been derived from publicly available information, without independent verification. This information
reflects the policies of, and is subject to change by, the SPDR® Series Trust and SSGA Funds Management, Inc. (“SSGA
FM”). Each SPDR Industry ETF is an investment portfolio maintained and managed by SSGA FM, the investment advisor to the SPDR
Industry ETFs. Each SPDR Industry ETF is an exchange-traded fund (“ETF”) that trades on the NYSE Arca, Inc. under the
ticker symbol set forth in the table below.
The SPDR® Series Trust is a registered
investment company that consists of a separate investment portfolio for each SPDR Industry ETF. Each SPDR Industry ETF is an index fund
that invests in a particular industry or group of industries represented by an S&P Select Industry as specified in the table below.
The companies included in each Select Industry Index are selected on the basis of Global Industry Classification Standards and liquidity
and market capitalization requirements from a universe of companies defined by the S&P® Total Market Index, a U.S.
total market composite index. The investment objective of each Select Industry SPDR® Fund is to provide investment results
that, before expenses, correspond generally to the total return performance of an index derived from a particular industry or group of
industries, as represented by a specified Select Industry Index. For more information about the Select Industry Indices, please see “Indices—The
S&P® Select Industry Indices” in this underlying supplement.
SPDR
Industry ETF |
Ticker |
Select
Industry Index |
SPDR® S&P® Bank ETF |
KBE |
S&P® Banks Select Industry Index |
SPDR® S&P® Biotech ETF |
XBI |
S&P® Biotechnology Select Industry Index |
SPDR® S&P® Metals & Mining ETF |
XME |
S&P® Metals & Mining Select Industry Index |
SPDR® S&P® Oil & Gas Exploration & Production ETF |
XOP |
S&P® Oil & Gas Exploration & Production Select Industry Index |
SPDR® S&P® Regional Banking ETF |
KRE |
S&P® Regional Banks Select Industry Index |
SPDR® S&P® Retail ETF |
XRT |
S&P® Retail Select Industry Index |
In seeking to track the performance of the relevant
Select Industry Index, each SPDR Industry ETF employs a “sampling” strategy, which means that the SPDR Industry ETF is not
required to purchase all of the securities represented in the relevant Select Industry Index. Instead, each SPDR Industry ETF may purchase
a subset of the securities in the relevant Select Industry Index in an effort to hold a portfolio of securities with generally the same
risk and return characteristics of the relevant Select Industry Index. The quantity of holdings in each SPDR Industry ETF will be based
on a number of factors, including asset size of that SPDR Industry ETF. Based on its analysis of these factors, SSGA FM may invest each
SPDR Industry ETF’s assets in a subset of securities in the relevant Select Industry Index or may invest that SPDR Industry ETF’s
assets in substantially all of the securities represented in the relevant Select Industry Index in approximately the same proportions
as the relevant Select Industry Index.
While SSGA FM seeks to track the performance of
the relevant Select Industry Index (i.e., achieve a high degree of correlation with the relevant Select Industry Index), a SPDR
Industry ETF’s return may not match the return of the relevant Select Industry Index for a number of reasons. For example, the return
on the sample of securities purchased by a SPDR Industry ETF (or the return on securities not included in the relevant Select Industry
Index) to replicate the performance of the relevant Select Industry Index may not correlate precisely with the return of that Select Industry
Index. Each SPDR Industry ETF incurs a number of operating expenses not applicable to the relevant Select Industry Index, and incurs costs
in buying and selling securities. In addition, a SPDR Industry ETF may not be fully invested at times, either as a result of cash flows
into or out of that SPDR Industry ETF or reserves of cash held by that SPDR Industry ETF to meet redemptions. SSGA FM may attempt to replicate
the relevant Select Industry Index return by investing in fewer than all of the securities in that Select Industry Index, or in some securities
not included in that Select Industry Index, potentially increasing the risk of divergence between a SPDR Industry ETF’s return and
that of the relevant Select Industry Index. Changes in the composition of the relevant Select Industry Index and regulatory requirements
also may impact a SPDR Industry ETF’s ability to match the
return of
the relevant Select Industry Index. SSGA FM may apply one or more “screens” or investment techniques to refine or limit the
number or types of issuers included in the relevant Select Industry Index in which a SPDR Industry ETF may invest. Application of such
screens or techniques may result in investment performance below that of the relevant Select Industry Index and may not produce results
expected by SSGA FM. Index tracking risk may be heightened during times of increased market volatility or other unusual market conditions.
Information provided to or filed with the SEC
by the SPDR® Series Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as
amended, can be located by reference to SEC file numbers 333-57793 and 811-08839, respectively, through the SEC’s website at http://www.sec.gov.
THE SPDR® S&P 500®
ETF TRUST
All information contained in this underlying supplement
regarding the SPDR® S&P 500® ETF Trust (the “SPY Fund”) has been derived from publicly
available information, without independent verification. This information reflects the policies of, and is subject to change by, State
Street Global Advisors Trust Company (“SSGA TC”), as trustee of the SPY Fund, and PDR Services LLC (“PDRS”),
as sponsor of the SPY Fund. The SPY Fund is a unit investment trust that issues securities called “Units.” The SPY Fund trades
on the NYSE Arca, Inc. under the ticker symbol “SPY.”
The SPY Fund seeks to provide investment results
that, before expenses, correspond generally to the price and yield performance of the S&P 500® Index. For more information
about the S&P 500® Index, please see “Indices—The S&P U.S. Indices” in this underlying supplement.
The SPY Fund seeks to achieve its investment objective
by holding a portfolio of common stocks that are included in the S&P 500® Index, with the weight of each stock in the
portfolio substantially corresponding to the weight of that stock in the S&P 500® Index. At any time, the portfolio
of the SPY Fund will consist of as many of the component stocks of the S&P 500® Index as is practicable. To maintain
the correspondence between the composition and weightings of the stocks held by the SPY Fund and the component stocks of the S&P 500®
Index, SSGA TC or its parent company, State Street Bank and Trust Company (“SSBT”) adjusts the portfolio of the SPY
Fund from time to time to conform to periodic changes in the identity and/or relative weightings of the component stocks of the S&P
500® Index. SSGA TC or SSBT aggregates certain of these adjustments and makes changes to the portfolio of the SPY Fund
at least monthly, or more frequently in the case of significant changes to the S&P 500® Index.
While the SPY Fund is intended to track the performance
of the S&P 500® Index as closely as possible (i.e., to achieve a high degree of correlation with the S&P
500® Index), the return of the SPY Fund may not match or achieve a high degree of correlation with the return of the S&P
500® Index due to expenses and transaction costs incurred in adjusting the SPY Fund’s portfolio. In addition, it
is possible that the SPY Fund may not always fully replicate the performance of the S&P 500® Index due to the unavailability
of certain component stocks of the S&P 500® Index in the secondary market or due to other extraordinary circumstances
(e.g., if trading in a security has been halted).
The SPY Fund is a registered investment company.
Information provided to or filed with the SEC by the SPY Fund pursuant to the Securities Act of 1933, as amended, and the Investment Company
Act of 1940, as amended, can be located by reference to SEC file numbers 033-46080 and 811-06125, respectively, through the SEC’s
website at http://www.sec.gov.
THE SPDR® S&P MIDCAP 400®
ETF TRUST
All information contained in this underlying supplement
regarding the SPDR® S&P MidCap 400® ETF Trust (the “MDY Fund”) has been derived from
publicly available information, without independent verification. This information reflects the policies of, and is subject to change
by, The Bank of New York Mellon (“BNYM”), as trustee of the MDY Fund, and PDR Services LLC (“PDRS”),
as sponsor of the MDY Fund. The MDY Fund is a unit investment trust that issues securities called “Units.” The MDY Fund trades
on the NYSE Arca, Inc. under the ticker symbol “MDY.”
The MDY Fund seeks to provide investment results
that, before expenses, correspond generally to the price and yield performance of the S&P MidCap 400® Index. For more
information about the S&P MidCap 400® Index, please see “Indices—The S&P U.S. Indices” in this
underlying supplement.
The MDY Fund seeks to achieve its investment objective
by holding a portfolio of common stocks that are included in the S&P MidCap 400® Index, with the weight of each stock
in the portfolio substantially corresponding to the weight of that stock in the S&P MidCap 400® Index. At any time,
the portfolio of the MDY Fund will consist of as many of the component stocks of the S&P MidCap 400® Index as is practicable.
To maintain the correspondence between the composition and weightings of the stocks held by the MDY Fund and the component stocks of the
S&P MidCap 400® Index, BNYM adjusts the portfolio of the MDY Fund from time to time to conform to periodic changes
in the identity and/or relative weightings of the component stocks of the S&P MidCap 400® Index. BNYM aggregates certain
of these adjustments and makes changes to the portfolio of the MDY Fund at least monthly, or more frequently in the case of significant
changes to the S&P MidCap 400® Index.
While the MDY Fund is intended to track the performance
of the S&P MidCap 400® Index as closely as possible (i.e., to achieve a high degree of correlation with the
S&P MidCap 400® Index), the return of the MDY Fund may not match or achieve a high degree of correlation with the return
of the S&P MidCap 400® Index due to expenses and transaction costs incurred in adjusting the MDY Fund’s portfolio.
In addition, it is possible that the MDY Fund may not always fully replicate the performance of the S&P MidCap 400®
Index due to the unavailability of certain component stocks of the S&P MidCap 400® Index in the secondary market or
due to other extraordinary circumstances (e.g., if trading in a security has been halted).
The MDY Fund is a registered investment company.
Information provided to or filed with the SEC by the MDY Fund pursuant to the Securities Act of 1933, as amended, and the Investment Company
Act of 1940, as amended, can be located by reference to SEC file numbers 033-89088 and 811-08972, respectively, through the SEC’s
website at http://www.sec.gov.
THE UNITED STATES USO FUND, LP
All information contained in this underlying supplement
regarding the United States USO Fund, LP (the “USO Fund”) has been derived from publicly available information, without
independent verification. This information reflects the policies of, and is subject to change by, United States Commodity Funds LLC (“USCF”).
The USO Fund is managed and controlled by USCF, a Delaware limited liability company that is registered as a commodity pool operator with
the Commodity Futures Trading Commission and is a member of the National Futures Association. The USO Fund, a Delaware limited partnership,
is a commodity pool that continuously issues common shares of beneficial interest that trade on the NYSE Arca, Inc. (“NYSE Arca”)
under the ticker symbol “USO.”
The investment objective of the USO Fund is for
the daily changes in percentage terms of its shares’ net asset value to reflect the daily changes in percentage terms of the spot
price of light, sweet crude oil delivered to Cushing, Oklahoma, as measured by the daily changes in the price of a specified short-term
futures contract on light, sweet crude oil (the “benchmark oil futures contract”), less the USO Fund’s expenses.
The benchmark oil futures contract is the futures contract on light, sweet crude oil traded on the New York Mercantile Exchange that is
the near month contract to expire, except when the near month contract is within two weeks of expiration, in which case it will be measured
by the futures contract that is the next month contract to expire.
The USO Fund seeks to achieve its investment objective
by investing primarily in futures contracts for light, sweet crude oil, other types of crude oil, diesel-heating oil, gasoline, natural
gas and other petroleum-based fuels that are traded on the New York Mercantile Exchange, ICE Futures Europe and ICE Futures U.S. or other
U.S. and foreign exchanges (collectively, “oil futures contracts”) and to a lesser extent, in order to comply with
regulatory requirements or in view of market conditions, other oil-related investments such as cash-settled options on oil futures contracts,
forward contracts for oil, cleared swap contracts and non-exchange traded (or over-the-counter) transactions that are based on the price
of oil, other petroleum-based fuels, oil futures contracts and indices based on the foregoing. The USO Fund seeks to achieve its investment
objective by investing so that the average daily percentage change in its net asset value for any period of 30 successive valuation days
will be within plus/minus ten percent (10%) of the average daily percentage change in the price of the benchmark oil futures contract
over the same period.
The daily changes in the price of the USO Fund’s
shares on the NYSE Arca on a percentage basis, may not closely track the daily changes in the spot price of light, sweet crude oil on
a percentage basis. This could happen if the price of shares traded on the NYSE Arca does not correlate closely with the value of the
USO Fund’s net asset value; the changes in the USO Fund’s net asset value do not correlate closely with the changes in the
price of the benchmark oil futures contract; or the changes in the price of the benchmark oil futures contract do not closely correlate
with the changes in the cash or spot price of crude oil. The price relationship between the near month contract to expire and the next
month contract to expire that compose the benchmark oil futures contract will vary and may impact the total return over time of the USO
Fund’s net asset value. In cases in which the near month contract’s price is lower than the next month contract’s price
(a situation known as “contango” in the futures markets), then absent the impact of the overall movement in crude oil prices,
the value of the benchmark oil futures contract would tend to decline as it approaches expiration. In cases in which the near month contract’s
price is higher than the next month contract’s price (a situation known as “backwardation” in the futures markets),
then absent the impact of the overall movement in crude oil prices, the value of the benchmark contract would tend to rise as it approaches
expiration.
Information provided to or filed with the SEC
by the USO Fund pursuant to the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended, can be located
by reference to SEC file numbers 333-237750 and 001-32834, respectively, through the SEC’s website at http://www.sec.gov. The USO
Fund is not a mutual fund or any other type of investment company within the meaning of the Investment Company Act of 1940, as amended,
and is not subject to regulation thereunder.
THE VANECK® ETFS
All information contained in this underlying supplement
regarding the VanEck® Gold Miners ETF, the VanEck® Junior Gold Miners ETF, the
VanEck® Oil Services ETF and the VanEck® Semiconductor ETF (each, a “VanEck ETF”
and collectively, the “VanEck ETFs”) has been derived from publicly available information, without independent verification.
This information reflects the policies of, and is subject to change by, VanEck® ETF Trust (the “VanEck Trust”)
and Van Eck Associates Corporation (“Van Eck”). Each VanEck ETF is an investment portfolio of the VanEck Trust. Van
Eck is currently the investment advisor to the VanEck ETFs. Prior to September 2021, VanEck® was branded as VanEck Vectors®.
Each VanEck ETF uses a “passive” or
indexing investment approach to attempt to approximate the investment performance of its underlying index by investing in a portfolio
of securities that generally replicates its underlying index. Van Eck anticipates that, generally, each VanEck ETF will hold or gain exposure
to all of the securities that comprise its underlying index in proportion to their weightings in such underlying index. However, under
various circumstances, it may not be possible or practicable to purchase all of those securities in those weightings. In these circumstances,
a VanEck ETF may purchase a sample of securities in its underlying index. There also may be instances in which Van Eck may choose to underweight
or overweight a security in a VanEck ETF’s underlying index, purchase securities not in the VanEck ETF’s underlying index
that Van Eck believes are appropriate to substitute for certain securities in such underlying index or utilize various combinations of
other available investment techniques in seeking to replicate as closely as possible, before fees and expenses, the price and yield performance
of the VanEck ETF’s underlying index.
Each VanEck ETF’s return may not match the
return of its underlying index for a number of reasons. For example, each VanEck ETF incurs a number of operating expenses, including
taxes, not applicable to its underlying index and incurs costs associated with buying and selling securities and entering into derivatives
transactions (if applicable), especially when rebalancing that VanEck ETF’s securities holdings to reflect changes in the composition
of its underlying index, which are not factored into the return of its underlying index. Transaction costs, including brokerage costs,
will decrease a VanEck ETF’s net asset value (“NAV”) to the extent not offset by the transaction fee payable
by an authorized participant. Market disruptions and regulatory restrictions could have an adverse effect on a VanEck ETF’s ability
to adjust its exposure to the required levels in order to track its underlying index. In addition, a VanEck ETF may not be able to invest
in certain securities included in its underlying index, or invest in them in the exact proportions in which they are represented in its
underlying index. A VanEck ETF’s performance may also deviate from the return of its underlying index due to legal restrictions
or limitations imposed by the governments of certain countries, certain listing standards of that VanEck ETF’s listing exchange,
a lack of liquidity on stock exchanges in which the securities trade, potential adverse tax consequences or other regulatory reasons or
legal restrictions or limitations (such as diversification requirements). A VanEck ETF may value certain of its investments and/or other
assets based on fair value prices. To the extent a VanEck ETF calculates its NAV based on fair value prices and the value of its underlying
index is based on securities’ closing prices (i.e., the value of its underlying index is not based on fair value prices),
that VanEck ETF’s ability to track its underlying index may be adversely affected. In addition, any issues a VanEck ETF encounters
with regard to currency convertibility (including the cost of borrowing funds, if any) and repatriation may also increase the index tracking
risk. For tax efficiency purposes, a VanEck ETF may sell certain securities, and such sale may cause that VanEck ETF to realize a loss
and deviate from the performance of its underlying index. In light of the factors discussed above, a VanEck ETF’s return may deviate
significantly from the return of its underlying index. Changes to the composition of its underlying index in connection with a rebalancing
or reconstitution of its underlying index may cause a VanEck ETF to experience increased volatility, during which time that VanEck ETF’s
index tracking risk may be heightened.
The VanEck Trust is a registered investment company
that consists of numerous separate investment portfolios, including the VanEck ETFs. Information provided to or filed with the SEC by
the VanEck Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located
by reference to SEC file numbers 333-123257 and 811-10325, respectively, through the SEC’s website at http://www.sec.gov.
The VanEck®
Gold Miners ETF
The VanEck®
Gold Miners ETF (the “GDX Fund”) seeks to replicate as closely as possible, before fees and expenses, the price
and yield performance of the NYSE Arca Gold Miners Index (the “Gold Miners Index”). For
more information about the Gold
Miners Index, please see “—Additional Information about the Underlying Indices for the
VanEck ETFs—The NYSE Arca Gold Miners Index” below. The GDX Fund is an exchange-traded
fund that trades on the NYSE Arca, Inc. (the “NYSE Arca”) under the ticker symbol “GDX.”
The VanEck®
Junior Gold Miners ETF
The VanEck®
Junior Gold Miners ETF (the “GDXJ Fund”) seeks to replicate as closely as possible, before fees and expenses, the price
and yield performance of the MVIS® Global Junior Gold Miners Index (the “Junior Gold Miners Index”).
For more information about the Junior Gold Miners Index, please see “—Additional Information about the Underlying Indices
for the VanEck ETFs—The MVIS® Indices” below. The GDXJ Fund is an exchange-traded fund that trades on the NYSE
Arca, Inc. (the “NYSE Arca”) under the ticker symbol “GDXJ.”
The VanEck®
Oil Services ETF
The VanEck®
Oil Services ETF (the “OIH Fund”) seeks to replicate as closely as possible, before fees and expenses, the price and
yield performance of the MVIS® US Listed Oil Services 25 Index (the “Oil Services Index”). For more
information about the Oil Services Index, please see “—Additional Information about the Underlying Indices for the
VanEck ETFs—The MVIS® Indices” below. The OIH Fund is an exchange-traded
fund that trades on the NYSE Arca under the ticker symbol “OIH.”
The VanEck® Semiconductor ETF
The VanEck® Semiconductor ETF (the
“SMH Fund”) seeks to replicate as closely as possible, before fees and expenses, the price and yield performance of
the MVIS® US Listed Semiconductor 25 Index (the “Semiconductor Index”). For more information about the
Semiconductor Index, please see “—Additional Information about the Underlying Indices for the VanEck ETFs—The
MVIS® Indices” below. The SMH Fund is an exchange-traded fund that trades on the NYSE Arca under the ticker
symbol “SMH.”