Dow Jones STOXX Indices Rulebook - QUANTLABS.NET

Dow Jones STOXX® Index GuideVersion 13.0 · October 2008

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STOXX LIMITED A Joint Venture of Deutsche Börse AG, Dow Jones & Company and SIX Swiss Exchange AG

The indices described in this guide are the intellectual property of STOXX Limited and/or Dow Jones & Company Inc. ‘STOXX’ is a registered trademark of STOXX Limited. ‘Dow Jones’ and ‘Dow Jones Indexes’ are service marks of Dow Jones & Company Inc. A licence agreement is required to use indices and trademarks from STOXX and/or Dow Jones Indexes for any commercial purpose, namely but not exclusively for arranging, marketing, issuing, promoting fi nancial products based on the indices. Neither STOXX nor Dow Jones sells, sponsors or recommends the purchase of fi nancial products based on their indices. Neither Dow Jones nor STOXX makes any warranty as to the accuracy and completeness of any such index or any information related to it, or, as to the results to be obtained by any person or entity from the use of any such index or any information related to it.

Section A: Dow Jones STOXX Equity Indices 3

Section B: Dow Jones STOXX Strategy Indices 70

Section C: Industry Classifi cation Benchmark 89

Changes to the Dow Jones STOXX Index Guide 100

DOW JONES STOXX® INDEX GUIDE

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Section A: Dow Jones STOXX Equity Indices


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Section A

1 OVERVIEW 61.1 Index Family 61.2 Coverage 8 1.2.1 Global 8 1.2.2 Europe 9 1.2.3 Eastern Europe 10

2 SCOPE 112.1 Investable Stock Universe 112.2 Stock Exchanges and Trading Systems 11 2.2.1 Global 11 2.2.2 Europe 13 2.2.3 Eastern Europe 132.3 Classifi cation – Country and Regional 142.4 Classifi cation – Size (Large/Mid/Small) 172.5 Classifi cation – Style (Growth/Value) 172.6 Classifi cation – Sectors 17

3 INDICES 183.1 Dow Jones STOXX Global 1800 Indices 18 3.1.1 Regional Indices 18 3.1.2 Sector Indices 193.2 Dow Jones STOXX Total Market Indices (TMI) 19 3.2.1 Regional Indices 19 3.2.2 Sector Indices 20 3.2.3 Size Indices 20 3.2.4 Style Indices 21 3.2.5 Strong Style Indices 223.3 Dow Jones STOXX Fixed Component Benchmark Indices 22 3.3.1 Dow Jones STOXX 600 Indices 22 3.3.2 Dow Jones STOXX Eastern Europe 300 Indices 22 3.3.3 Sector Indices 23 3.3.4 Size Indices 24 3.3.4.1 Dow Jones STOXX 600 Indices 24 3.3.4.2 Dow Jones STOXX 600 Eastern Europe 300 Size Indices 243.4 Dow Jones STOXX Blue-chip Indices 253.5 Dow Jones STOXX Select Dividend Indices 263.6 Dow Jones STOXX Theme Indices 27 3.6.1 IPO Indices 27 3.6.2 Private Equity Index 27 3.6.3 Grand Prix Index 27 3.6.4 Football Index 27

4 DEFINITIONS 284.1 Base Dates & Base Values 284.2 Block Ownership & Restricted Shares 294.3 Free Float Market Capitalisation 304.4 Weighting Factors 304.5 Weighting Cap Factors 314.6 Buffers 324.7 Currency Rates 324.8 Dividend Treatment 334.9 Index Parameters 33 4.9.1 Price & Total Return Indices 33 4.9.2 Indices in Euro, U.S. Dollar and Other Currencies 33 4.9.3 Realtime & End-of-Day Indices 334.10 Index Formula & Index Divisors 344.11 Index Open Quotations 344.12 Index Settlement Values 344.13 Review Dates 344.14 Selection Lists 35 4.14.1 Dow Jones STOXX Global 1800 Indices 35 4.14.2 Dow Jones STOXX 600 Indices 35 4.14.3 Dow Jones STOXX Blue-chip Indices 35 4.14.4 Dow Jones STOXX Select Dividend Indices 36 4.14.5 Dow Jones STOXX Strong Style Indices 36 4.14.6 Dow Jones STOXX Private Equity 20 Index 364.15 Stock Prices 37

5 DISSEMINATION 385.1 Calendar 385.2 Dissemination Period 385.3 Available Data 38 5.3.1 Intraday Data 38 5.3.2 Closing Data 39 5.3.3 Monthly Reports 39 5.3.4 Quarterly, Semi-Annual & Annual Data 39 5.3.5 Corporate Action Forecasts 39

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6 CALCULATION 406.1 Index Value Calculation 40 6.1.1 Market Capitalisation Weighted 40 6.1.2 Price Weighted With Weighting Factors 406.2 Index Divisor Calculation 41 6.2.1 Market Capitalisation Weighted 41 6.2.2 Price Weighted With Weighting Factors 416.3 Data Accuracy 426.4 Input Data 42 6.4.1 Sources 42 6.4.2 Monitoring 42 6.4.3 Correction 426.5 Index Divisor Correction 436.6 Corporate Actions and Adjustments 43

7 PERIODIC REVIEW 467.1 Dow Jones STOXX Global 1800 Indices 467.2 Dow Jones STOXX Total Market Indices (TMI) 47 7.2.1 Regional Indices 47 7.2.2 Size Indices 48 7.2.3 Style Indices 49 7.2.4 STOXX Strong Style Indices 51 7.3 Dow Jones STOXX Fixed Component Benchmark Indices 52 7.3.1 Dow Jones STOXX 600 Index 52 7.3.2 Dow Jones STOXX Eastern Europe 300 Index 547.4 Dow Jones STOXX Blue-chip Indices 557.5 Dow Jones STOXX Select Dividend Indices 597.6 Dow Jones STOXX Theme Indices 61 7.6.1 Dow Jones STOXX IPO Indices 62 7.6.2 Dow Jones STOXX Private Equity Indices 62 7.6.3 Dow Jones STOXX Grand Prix Index 63 7.6.4 Dow Jones STOXX Football Index 637.7 Free Float Factors 647.8 Weighting Factors 647.9 Weighting Cap Factors 64

8 ONGOING REVIEW 658.1 Replacements 658.2 Free Float Factors and Shares Changes 658.3 Dividend Data Changes 668.4 Illiquidity 668.5 Initial Public Offerings 67 8.5.1 Blue-chip Indices 67 8.5.2 IPO Indices 678.6 Mergers & Takeovers 678.7 Sector Changes 688.8 Spin-Offs 69


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derived are> Theme indices

derived are> Regional indices> Country indices> Sector indices> Size indices> Style indices

> Sustainability indices> Select Dividend indices

derived are> Regional indices> Sector indices> Size indices> Style indices> Sustainability indices

derived are> Regional indices> Sector indices> Size indices> Select Dividend indices> Sustainability indices> Strategy indices

derived are> Regional indices> Strategy indices

1 OVERVIEW

DJ STOXX Americas 600

DJ STOXX Asia/Pacific 600 DJ STOXX 600

DJ STOXX TMI

~ 1,000 Components~ 95% Regional Coverage

Large

Mid

Small

DJ STOXX TMI DJ STOXXBlue-Chips

DJ STOXX Eastern Europe TMIDJ STOXX EU Enlarged TMI

DJ STOXX Global 1800

Global

Equity

Universe

~ 500 Components~ 95% Country Coverage

~ 60,000Components

DJ STOXX 600

Large 200

Mid 200

Small 200

DJ STOXXEastern Europe 300

Large 100

Mid 100

Small 100

~6,

500

Com

pone

nts

·~

95%

Regional Coverage

DJ World Index*

Blue-Chips

*excluding countries: Croatia, Macedonia, Ukraine, Serbia

TMI = Total Market Index

1.1 Index Family

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Indices (& ex-regions) Global Global ex Americas Global ex Europe Global ex Asia/Pacific

DJ STOXX Global 1800 1 1 1 1

Sector indices:

Supersectors 19 19 19 19

Sectors 1 – – –

Select Dividend indices:

DJ STOXX Select Dividend 1 – – –

Theme indices:

DJ STOXX Grand Prix 1 – – –

1.2 Coverage

1.2.1 Global

Indices (regions) Americas Europe Asia/Pacific Asia/Pacific ex Japan

Regional indices:

DJ STOXX Americas 600 1 – – –

DJ STOXX 600 – 1 – –

DJ STOXX Asia/Pacifi c 600 – – 1 –

DJ STOXX Asia/Pacifi c 600 ex Japan – – – 1

Sector indices:

Supersectors 19 19 19 19

Sectors 1 1 1 –


DJ STOXX Select Dividend 1 1 1 –

1 OVERVIEW

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1.2.2 Europe

Indices Europe Euro Europe ex UK Europe ex Euro Nordic

Benchmark & Size indices:

DJ STOXX Total Market Index (TMI) 1 1 1 1 1

(Large/Mid/Small) (1/1/1) (1/1/1) (1/1/1) (1/1/1) (1/1/1)

DJ STOXX 600 1 1 1 1 1

(Large/Mid/Small) (1/1/1) (1/1/1) (1/1/1) (1/1/1) (1/1/1)

Style indices:

DJ STOXX Strong 2 2 – – –

(Growth/Value/Composite) (1/1/1) (1/1/1) – – –

DJ STOXX TMI Growth/Value 2 2 – – –

(Large/Mid/Small) (1/1/1) (1/1/1) – – –

Sector indices: DJ STOXX TMI: Industries 10 10 – – 8

DJ STOXX TMI: Supersectors 19 19 19 – 12

DJ STOXX TMI: Sectors 41 35 – – –

DJ STOXX TMI: Subsectors 12 – – – –

DJ STOXX 600: Industries 10 10 – – –

DJ STOXX 600: Supersectors 19 19 19 – –

DJ STOXX 600: Sectors 1 – – – –

Blue-chip indices:

DJ STOXX Blue-chip indices 1 1 – – 1


DJ STOXX Select Dividend 1 1 – – 1

Theme indices:

DJ STOXX IPO indices 3 – – – –

DJ STOXX Private Equity 20 1 – – – –

DJ STOXX Football 1 – – – –

1 OVERVIEW

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1.2.3 Eastern Europe

Indices Eastern Europe Eastern Europeex Greece & Turkey

Sub Balkan Balkan EU Enlarged

Benchmark & Size indices:

DJ STOXX Total Market Index (TMI) 1 1 1 1 1

(Large/Mid/Small) (1/1/1) – – – –

DJ STOXX Eastern Europe 300: 1 – – – –

(Large/Mid/Small) (1/1/1) – – – –

Sector indices:

DJ STOXX Eastern Europe 300: Supersectors 19 – – – –

Blue-chip indices:

DJ STOXX Blue-chip indices 1 – 1 1 1


DJ STOXX Select Dividend – – – – 1

1 OVERVIEW

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2.1 Investable Stock Universe

The DJ STOXX investable stock universe is a subset of the global universe (see below). Stocks in the DJ STOXX investable universe have the following characteristics:

Stock class: only common stocks and others with similar characteristics.

Trading frequency: only stocks with no more than 10 non-trading days in the three months prior to the review dates.

2.2 Stock Exchanges and Trading Systems

2.2.1 GlobalThe global universe for the DJ World Index consists of the following trading systems:

Americas

American Stock Exchange

Bolsa Mexicana de Valores

Caracas Stock Exchange

NASDAQ

NYSE Arca New York (USA)

NYSE EURONEXT New York (USA)

Santiago Stock Exchange

Sao Paulo Stock Exchange

Toronto Stock Exchange

Africa

Johannesburg Stock Exchange

Asia/Pacific

Australian Stock Exchange

Jakarta Stock Exchange

JASDAQ

Korea Stock Exchange

Kuala Lumpur Stock Exchange

Nagoya Stock Exchange

New Zealand Stock Exchange

Osaka Stock Exchange

Philippine Stock Exchange

Singapore Stock Exchange

Stock Exchange of Hong Kong

Stock Exchange of Thailand

Taiwan Stock Exchange

Tokyo Stock Exchange

Europe

Athens Stock Exchange

MTA/MTAX – Borsa Italiana

NYSE EURONEXT Amsterdam (NL)

NYSE EURONEXT Brussels (BE)

NYSE EURONEXT Lisbon (PT)

NYSE EURONEXT Paris (FR)

OMX − Copenhagen Stock Exchange (DK)

OMX – Helsinki Stock Exchange (FI)

OMX – Reykjavik Stock Exchange (IS)

OMX – Stockholm Stock Exchange (SE)

Oslo Stock Exchange

SETSmm/SEAQ/SETSqx/SETS − LSE

SIBE – Bolsa De Madrid

SWX Europe, SIX Swiss Exchange AG

XETRA − German Stock Exchange (DE)

XETRA − Irish Stock Exchange (IE)

XETRA − Vienna Stock Exchange (AT)

EU Enlarged

Bratislava Stock Exchange

Bucharest Stock Exchange

Budapest Stock Exchange

Cyprus Stock Exchange

Ljubljana Stock Exchange

Malta Stock Exchange

OMX – Riga Stock Exchange (LV)

OMX – Tallinn Stock Exchange (EE)

OMX – Vilnius Stock Exchange (LT)

Prague Stock Exchange

Warsaw Stock Exchange

XETRA − Bulgarian Stock Exchange

2 SCOPE

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2 SCOPE

Eastern Europe


Belgrade Stock Exchange





Istanbul Stock Exchange


Macedonia Stock Exchange

Moscow Interbank Currency Exchange (MICEX)

2.2.1 Global (cont.)The global universe for the DJ World Index consists of the following trading systems:

Eastern Europe





Russian Trading System (RTS)

Ukrainian Stock Exchange


XETRA – Bulgarian Stock Exchange

Zagreb Stock Exchange

The broadest DJ STOXX index – The DJ STOXX Global 1800 Index – is a subset of DJ World Index and includes all developed countries of the above universe. The DJ STOXX global universe therefore consists of all stock exchanges in Europe (excluding EU Enlarged region) and the following trading systems of the Americas and Asia/Pacifi c region:

Americas

American Stock Exchange

NASDAQ

NYSE Arca New York (USA)

NYSE EURONEXT New York (USA)

Toronto Stock Exchange

Asia/Pacific

Australian Stock Exchange

JASDAQ

Nagoya Stock Exchange

New Zealand Stock Exchange

Osaka Stock Exchange

Singapore Stock Exchange

Stock Exchange of Hong Kong

Tokyo Stock Exchange

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2.2.3 Eastern EuropeThe regional universe for the DJ STOXX Eastern Europe TMI Index consists of the following trading systems:

Eastern Europe


Belgrade Stock Exchange





Istanbul Stock Exchange


Macedonia Stock Exchange

Moscow Interbank Currency Exchange (MICEX)

Eastern Europe





Russian Trading System (RTS)

Ukrainian Stock Exchange


XETRA – Bulgarian Stock Exchange

Zagreb Stock Exchange

2.2.2 EuropeThe regional universe for the DJ STOXX Total Market Index (TMI) consists of the following trading systems:

Europe


MTA/MTAX – Borsa Italiana

NYSE EURONEXT Amsterdam (NL)

NYSE EURONEXT Brussels (BE)

NYSE EURONEXT Lisbon (PT)

NYSE EURONEXT Paris (FR)

OMX − Copenhagen Stock Exchange (DK)

OMX – Helsinki Stock Exchange (FI)

OMX – Reykjavik Stock Exchange (IS)

Europe

OMX – Stockholm Stock Exchange (SE)

Oslo Stock Exchange

SETSmm/SEAQ/SETSqx/SETS − LSE

SIBE – Bolsa De Madrid

SWX Europe, SIX Swiss Exchange AG

XETRA − German Stock Exchange (DE)

XETRA − Irish Stock Exchange (IE)

XETRA − Vienna Stock Exchange (AT)

2 SCOPE

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2 SCOPE

2.3 Classification – Country and Regional

Each company is uniquely assigned to a specifi c country within the DJ STOXX global universe. The country classifi cation is based on the country of incorporation, the primary listing and the country with the largest trading volume.

The regional classifi cations cover the global universe in complementary ways:

Global: companies incorporated and listed in the DJ STOXX global universe, regardless of the trading currency. Americas: companies incorporated and listed in the Americas regional universe, regardless of the trading currency. Asia/Pacifi c: companies incorporated and listed in the Asia/Pacifi c regional universe, regardless of the trading currency. Europe: see below. Asia/Pacifi c ex Japan: companies incorporated and listed in the Asia/Pacifi c regional universe excluding Japan, regardless of the trading currency. Global ex Americas: companies incorporated and listed in the global universe excluding the Americas regional universe, regardless of the trading currency. Global ex Asia/Pacifi c: companies incorporated and listed in the global universe excluding the Asia/Pacifi c regional universe, regardless of the trading currency. Global ex Europe: companies incorporated and listed in the global universe excluding the European regional universe, regardless of the trading currency.

Europe: companies incorporated and listed in the European regional universe (i.e. 18 Western European countries), regardless of the trading currency. Eurozone: companies incorporated and listed in the Eurozone that are traded in Euro. Europe ex UK: companies incorporated and listed in the European regional universe excluding the United Kingdom, regardless of the trading currency. Nordic: companies incorporated and listed in the Nordic region (i.e. Sweden, Denmark, Finland, Norway and Iceland), regardless of the trading currency. Europe ex Euro: companies incorporated and listed in the European regional universe excluding the Eurozone region, regardless of the trading currency.

Eastern Europe: companies incorporated and listed in the Eastern European regional universe (i.e. 18 Eastern European countries), regardless of the trading currency. EU Enlarged: companies incorporated and listed in the EU Enlarged regional universe (i.e. the 10 countries that acceded to the EU in May 2004, and Bulgaria and Romania which joined the EU in January 2007), regardless of the trading currency. Balkan: companies incorporated and listed in the Balkan regional universe (i.e. Bulgaria, Croatia, Greece, Macedonia (FYROM), Romania, Serbia, Slovenia and Turkey), regardless of the trading currency. Balkan ex Greece & Turkey: companies incorporated and listed in the Balkan regional universe excluding Greece and Turkey, regardless of the trading currency. Sub Balkan: companies incorporated and listed in the Sub Balkan regional universe (i.e. Croatia, Macedonia (FYROM), Slovenia and Serbia), regardless of the trading currency.

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The countries covered by the DJ STOXX Global 1800 Index and the DJ STOXX TMI Index are assigned to regions as shown in the table below:

Region Country Global Americas Asia/Pacific Europe Euro Nordic

Europe Austria x – – x x –

Belgium x – – x x –

Denmark x – – x – x

Finland x – – x x x

France x – – x x –

Germany x – – x x –

Greece x – – x x –

Iceland x – – x – x

Ireland x – – x x –

Italy x – – x x –

Luxembourg x – – x x –

Netherlands x – – x x –

Norway x – – x – x

Portugal x – – x x –

Spain x – – x x –

Sweden x – – x – x

Switzerland x – – x – –

United Kingdom x – – x – –

Americas Canada x x – – – –

USA x x – – – –

Asia/Pacific Australia x – x – – –

Hong Kong x – x – – –

Japan x – x – – –

New Zealand x – x – – –

Singapore x – x – – –

No. of Countries 25 2 5 18 12 5

2 SCOPE

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2 SCOPE

The countries covered by the DJ STOXX Eastern Europe TMI Index are assigned to regions as shown in the table below:

Region Country Eastern Europe EU Enlarged Balkan Sub Balkan

Eastern Europe Bulgaria x x x –

Croatia x – x x

Cyprus x x – –

Czech Republic x x – –

Estonia x x – –

Greece x – x –

Hungary x x – –

Latvia x x – –

Lithuania x x – –

Macedonia (FYROM) x – x x

Malta – x – –

Poland x x – –

Romania x x x –

Russia x – – –

Serbia x – x x

Slovak Republic x x – –

Slovenia x x x x

Turkey x – x –

Ukraine x – – –

No. of Countries 18 12 8 4

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2.4 Classification – Size (Large/Mid/Small)

The size classifi cation groups companies into three different size ranges:

Large.

Mid.

Small.

2.5 Classification – Style (Growth/Value)

The style classifi cation groups companies that have similar growth and value characteristics. The resulting style clusters are:

Strong Growth (SG).

Weak Growth (WG).

Strong Value (SV).

Weak Value (WV).

Neutral (NT).

Companies that are added to the DJ STOXX TMI Index in-between style reviews will be assigned to the No Data (ND) category, until the next semi-annual review.

The Growth/Value indices consist of all companies that belong to the strong and weak growth/value clusters.

Companies in the Neutral or No Data category are not considered in the DJ STOXX TMI Style indices.

2.6 Classification – Sectors

The Industry Classifi cation Benchmark (ICB) groups together companies that have similar sources of primary revenue.

There are 10 Industries and, derived from these in increasingly fi ner classifi cations, there are also 19 Supersectors, 41 Sectors and 114 Subsectors. Each stock in the investable stock universe is uniquely classifi ed into one of the 114 Subsectors, depending on the company’s primary source of revenue. Consequently, it is automatically and uniquely classifi ed into one of the 41 Sectors, one of the 19 Supersectors and one of the 10 Industries.

The detailed hierarchy of the Industry Classifi cation Benchmark is shown in Section C.

2 SCOPE

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3 INDICES

The DJ World Index covers countries from the following regions: Europe, Eastern Europe, EU Enlarged, the Americas, Africa and Asia/Pacifi c. The DJ World Index is subdivided into Regional indices, Country indices and Sector indices as well as Size, Style, Select Dividend, Islamic, Dharma, Sustainability and Theme indices.

The DJ STOXX indices cover all European/EU Enlarged companies in the DJ World Index and the 600 largest companies of the developed countries in the Americas, Europe and Asia/Pacifi c region.In addition, the DJ STOXX IPO indices expand the coverage of the DJ STOXX indices by continuously (i.e. on a daily or weekly basis) adding recent IPOs.

The DJ STOXX indices are available in different size categories, where the companies within the respective indices are classifi ed according to their market capitalisation.

The DJ STOXX indices are available in different sector classifi cations. The companies comprising the respective indices are subdivided into different sector classifi cation levels according to the Industry Classifi cation Benchmark (ICB).

The DJ STOXX Total Market indices (TMI) for Europe have an additional dimension: the companies of these indices are grouped by investment styles into growth or value.

In addition to the above, the DJ STOXX indices cover the Eastern European region, and the 300 largest companies from the region to continuously expand the coverage provided by the DJ STOXX indices.

The following chapter gives an overview of the different index products and their subsets.

3.1 Dow Jones STOXX Global 1800 Indices

The DJ STOXX Global 1800 Index comprises the largest 600 stocks in the developed markets in each of the three regions: Europe, the Americas and Asia/Pacifi c.

3.1.1 Regional IndicesThe DJ STOXX Global 1800 Index combines the DJ STOXX 600 Index, which covers the 600 largest stocks in Europe, with the DJ STOXX Americas 600 and the DJ STOXX Asia/Pacifi c 600 indices.

The following table shows the DJ STOXX Global 1800 Index and its derived regional subsets:

Region Index Name

Global DJ STOXX Global 1800

Global ex Europe DJ STOXX Global 1800 ex Europe

Global ex Americas DJ STOXX Global 1800 ex Americas

Global ex Asia/Pacifi c DJ STOXX Global 1800 ex Asia/Pacifi c

Europe DJ STOXX 600, see chapter 3.3.1 for details

Americas DJ STOXX Americas 600

Asia/Pacifi c DJ STOXX Asia/Pacifi c 600

Asia/Pacifi c ex Japan DJ STOXX Asia/Pacifi c 600 ex Japan

Japan DJ STOXX Global 1800 Japan

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3.1.2 Sector IndicesThe DJ STOXX Global 1800 Index is further subdivided into 19 Supersectors according to the ICB.

The DJ STOXX Global 1800 Sector indices are available for the following regions and sector classifi cations:

Region Index Name

Global DJ STOXX Global 1800 ‹Supersector›

Global DJ STOXX Global 1800 ‹Sector›*

Global ex Europe DJ STOXX Global 1800 ex Europe ‹Supersector›

Global ex Americas DJ STOXX Global 1800 ex Americas ‹Supersector›

Global ex Asia/Pacifi c DJ STOXX Global 1800 ex Asia/Pacifi c ‹Supersector›

Europe DJ STOXX 600, see chapter 3.3.3 for details

Americas DJ STOXX Americas 600, see chapter 3.3.3 for details

Asia/Pacifi c DJ STOXX Asia/Pacifi c 600, see chapter 3.3.3 for details

* As some of these indices would not have enough components, not all indices are disseminated.

3.2 Dow Jones STOXX Total Market Indices (TMI)

The DJ STOXX TMI Index covers 95 percent of the free fl oat market capitalisation of the respective investable stock universe by region, while the DJ STOXX Eastern Europe TMI Index covers 95 percent of the free fl oat market capitalisation of the respective investable stock universe by country.

3.2.1 Regional IndicesThe following table shows the DJ STOXX TMI Index and its derived regional subsets:

The following table shows the DJ STOXX Eastern Europe TMI Index and its derived regional subsets:

Region Index Name

Europe DJ STOXX TMIEurozone DJ EURO STOXX TMI

Europe ex UK DJ STOXX ex UK TMI

Europe ex Euro DJ STOXX ex EURO TMI

Nordic DJ STOXX NORDIC TMI

Region Index Name

Eastern Europe DJ STOXX Eastern Europe TMIEU Enlarged DJ STOXX EU Enlarged TMI*

Balkan DJ STOXX Balkan TMI

Balkan ex Greece & Turkey DJ STOXX Balkan TMI ex Greece & Turkey

Sub Balkan DJ STOXX Sub Balkan TMI

* Includes Malta

3 INDICES

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3 INDICES


Region Index Name

Europe DJ STOXX TMI ‹Industry›

DJ STOXX TMI ‹Supersector›

DJ STOXX TMI ‹Sector›*

DJ STOXX TMI ‹Subsector›*

Eurozone DJ EURO STOXX TMI ‹Industry›

DJ EURO STOXX TMI ‹Supersector›

DJ EURO STOXX TMI ‹Sector›*

Europe ex UK DJ STOXX ex UK TMI ‹Supersector›

Nordic DJ STOXX NORDIC TMI ‹Industry›*

DJ STOXX NORDIC TMI ‹Supersector›*

3.2.3 Size IndicesThe DJ STOXX TMI Size indices are available for the following regions and are subdivided into three size categories:

The following table shows the DJ STOXX TMI Size indices and their derived regional subsets:

Region Index Name

Europe DJ STOXX TMI Large

DJ STOXX TMI Mid

DJ STOXX TMI Small

Eurozone DJ EURO STOXX TMI Large

DJ EURO STOXX TMI Mid

DJ EURO STOXX TMI Small

Europe ex UK DJ STOXX ex UK TMI Large

DJ STOXX ex UK TMI Mid

DJ STOXX ex UK TMI Small

Europe ex Euro DJ STOXX ex EURO TMI Large

DJ STOXX ex EURO TMI Mid

DJ STOXX ex EURO TMI Small

Nordic DJ STOXX NORDIC TMI Large

DJ STOXX NORDIC TMI Mid

DJ STOXX NORDIC TMI Small

Eastern Europe DJ STOXX Eastern Europe TMI Large

DJ STOXX Eastern Europe TMI Mid

DJ STOXX Eastern Europe TMI Small

3.2.2 Sector IndicesThe DJ STOXX TMI indices are subdivided into four different sector classifi cation levels in line with the ICB.

The DJ STOXX TMI Sector indices are available for the following regions and sector classifi cations:

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Index Based on

DJ STOXX TMI Large Growth & Value DJ STOXX TMI Large

DJ STOXX TMI Mid Growth & Value DJ STOXX TMI Mid

DJ STOXX TMI Small Growth & Value DJ STOXX TMI Small

3.2.4 Style IndicesThe DJ STOXX TMI Growth and Value indices cover the DJ STOXX TMI Index in three size ranges:

The above Growth and Value indices are combined to produce:

DJ STOXX TMI Growth Index: combining the TMI Large Growth, TMI Mid Growth and TMI Small Growth indices.

DJ STOXX TMI Value Index: combining the TMI Large Value, TMI Mid Value and TMI Small Value indices.

The DJ STOXX TMI Growth and Value indices are available for the following regions:

Region Index Name

Europe DJ STOXX TMI Growth

DJ STOXX TMI Growth Large

DJ STOXX TMI Growth Mid

DJ STOXX TMI Growth Small

DJ STOXX TMI Value

DJ STOXX TMI Value Large

DJ STOXX TMI Value Mid

DJ STOXX TMI Value Small

Eurozone DJ EURO STOXX TMI Growth

DJ EURO STOXX TMI Growth Large

DJ EURO STOXX TMI Growth Mid

DJ EURO STOXX TMI Growth Small

DJ EURO STOXX TMI Value

DJ EURO STOXX TMI Value Large

DJ EURO STOXX TMI Value Mid

DJ EURO STOXX TMI Value Small

3 INDICES

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3 INDICES

3.2.5 Strong Style IndicesThe DJ STOXX Strong Style Growth and Value indices cover the most style pure companies in the DJ STOXX TMI Growth/ Value Style indices.

The above Growth and Value indices are combined to produce:

The DJ STOXX Strong Style Composite 40 Index: combining the DJ STOXX Strong Growth 20 Index and the DJ STOXX Strong Value 20 Index.

The DJ STOXX Strong Growth and Value indices are available for the following regions:

Index Based on

DJ STOXX Strong Growth 20 DJ STOXX TMI Growth

DJ STOXX Strong Value 20 DJ STOXX TMI Value

Region Index Name

Europe DJ STOXX Strong Growth 20

DJ STOXX Strong Value 20

DJ STOXX Strong Style Composite 40

Eurozone DJ EURO STOXX Strong Growth 20

DJ EURO STOXX Strong Value 20

DJ EURO STOXX Strong Style Composite 40

3.3 Dow Jones STOXX Fixed Component Benchmark Indices

3.3.1 Dow Jones STOXX 600 IndicesThe DJ STOXX 600 Index, which is the European sub-index of the DJ STOXX Global 1800 Index, covers the largest 600 stocks in the DJ STOXX TMI Index. The DJ STOXX Americas 600 Index and the DJ STOXX Asia/Pacifi c 600 Index cover the largest 600 stocks of the developed countries in their respective region.

Besides the above-mentioned DJ STOXX 600 indices, there are also regional subindices with a varying number of stocks. The table below lists all DJ STOXX 600 indices and their derived regional subsets:

Region Index Name

Europe DJ STOXX 600

Eurozone DJ EURO STOXX

Europe ex UK DJ STOXX ex UK

Europe ex Euro DJ STOXX ex Euro

Nordic DJ STOXX NORDIC

Americas DJ STOXX Americas 600

Asia/Pacifi c DJ STOXX Asia/Pacifi c 600

Asia/Pacifi c ex Japan DJ STOXX Asia/Pacifi c 600 ex Japan

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3.3.2 Dow Jones STOXX Eastern Europe 300 IndicesThe DJ STOXX Eastern Europe 300 Index, which is the Eastern European sub-index of the DJ STOXX Eastern Europe TMI Index, covers the largest 300 stocks in the DJ STOXX Eastern Europe TMI Index.

Region Index Name

Eastern Europe DJ STOXX Eastern Europe 300

3.3.3 Sector IndicesThe DJ STOXX 600 and the DJ STOXX Eastern Europe 300 indices are subdivided into different sector classifi cation levels in line with the ICB.

For the DJ STOXX 600 indices, the following Sector indices are available:

Region Index Name

Europe DJ STOXX 600 ‹Industry›

DJ STOXX 600 ‹Supersector›

DJ STOXX 600 ‹Sector›*

DJ STOXX 600 ‹Subsector›*

Eurozone DJ EURO STOXX ‹Industry›

DJ EURO STOXX ‹Supersector›

Europe ex UK DJ STOXX ex UK ‹Supersector›

Americas DJ STOXX Americas 600 ‹Supersector›

DJ STOXX Americas 600 ‹Sector›*

DJ STOXX Americas 600 ‹Subsector›*

Asia/Pacifi c DJ STOXX Asia/Pacifi c 600 ‹Supersector›

DJ STOXX Asia/Pacifi c 600 ‹Sector›*

DJ STOXX Asia/Pacifi c 600 ‹Subsector›*

For the DJ STOXX Eastern Europe 300 indices, the following Sector indices are available:

Region Index Name

Eastern Europe DJ STOXX Eastern Europe 300 ‹Industry›*

DJ STOXX Eastern Europe 300 ‹Supersector›

DJ STOXX Eastern Europe 300 ‹Sector›*

DJ STOXX Eastern Europe 300 ‹Subsector›*


3 INDICES

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3 INDICES

3.3.4 Size Indices

3.3.4.1 Dow Jones STOXX 600 Size IndicesThe DJ STOXX 600 Size indices are available for Europe and cover the largest 600 stocks in the DJ STOXX TMI Index in three ranges:

DJ STOXX Large 200 Index: largest 200 stocks.

DJ STOXX Mid 200 Index: next largest 200 stocks.

DJ STOXX Small 200 Index: next largest 200 stocks.

The above DJ STOXX Large 200, Mid 200 and Small 200 indices are combined to produce the DJ STOXX 600 Index.

The European Size indices have a fi xed number of 200 stocks. The regional subsets of the Size indices have varying numbers of stocks. The following Size indices are available and are derived from the DJ STOXX 600 Index:

Region Index Name

Eurozone DJ EURO STOXX Large

DJ EURO STOXX Mid

DJ EURO STOXX Small

Europe ex UK DJ STOXX ex UK Large

DJ STOXX ex UK Mid

DJ STOXX ex UK Small

Europe ex Euro DJ STOXX ex EURO Large

DJ STOXX ex EURO Mid

DJ STOXX ex EURO Small

Nordic DJ STOXX NORDIC Large

DJ STOXX NORDIC Mid

DJ STOXX NORDIC Small

3.3.4.2 Dow Jones STOXX Eastern Europe 300 Size IndicesThe DJ STOXX Eastern Europe 300 Size indices are available for Eastern Europe and cover the largest 300 stocks in theDJ STOXX Eastern Europe TMI Index in three ranges:

DJ STOXX Eastern Europe Large 100 Index: largest 100 stocks.

DJ STOXX Eastern Europe Mid 100 Index: next largest 100 stocks.

DJ STOXX Eastern Europe Small 100 Index: next largest 100 stocks.

The above DJ STOXX Eastern Europe Large 100, Mid 100 and Small 100 indices are combined to produce the DJ STOXX Eastern Europe 300 Index.

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3.4 Dow Jones STOXX Blue-chip Indices

The DJ STOXX 50 Index consists of 50 stocks covering the largest Supersector leaders in the DJ STOXX 600 Index.

The DJ EURO STOXX 50 Index likewise consists of 50 stocks covering the largest Supersector leaders in the DJ EURO STOXX Index.

The DJ STOXX NORDIC 30 Index consists of 30 stocks covering the largest Supersector leaders in the DJ STOXX NORDIC Index.

The DJ STOXX Eastern Europe 50 Index consists of 50 stocks covering the largest Supersector leaders with country limitations in the DJ STOXX Eastern Europe 300 Index.

The DJ STOXX EU Enlarged 15 Index consists of 15 stocks covering the highest-ranked companies in the DJ STOXX EU Enlarged TMI Index, according to a weighted score based on their free fl oat market capitalisation, revenue and net income.

The DJ STOXX Sub Balkan 30 Index consists of 30 stocks covering the largest Supersector leaders in the DJ STOXX Sub Balkan TMI Index.

The DJ STOXX Balkan 50 Equal Weighted Index consists of 50 stocks covering the highest-ranked companies in theDJ STOXX Balkan TMI Index, according to their free fl oat market capitalisation along with the average daily traded value for the past three months.

3 INDICES

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3 INDICES

3.5 Dow Jones STOXX Select Dividend Indices

The DJ STOXX Select Dividend 30 Index consists of 30 stocks covering the highest-yielding stocks relative to their home market in Europe. The index components are selected from the DJ STOXX 600 components plus their secondary lines.

The DJ EURO STOXX Select Dividend 30 Index consists of 30 stocks covering the highest-yielding stocks relative to their home market in the Eurozone. The index components are selected from the DJ EURO STOXX components plus their secondary lines.

The DJ STOXX NORDIC Select Dividend 20 Index consists of 20 stocks covering the highest-yielding stocks relative to their home markets in Denmark, Finland, Iceland, Norway and Sweden. The components are selected from the DJ STOXX NORDIC TMI components.

The DJ STOXX EU Enlarged Select Dividend 15 Index consists of 15 stocks covering the highest-yielding stocks relative to their home markets in the twelve countries which joined the EU in May 2004 and January 2007 respectively. In cases where a company’s home market is represented by fi ve or fewer stocks, its yield will be measured relative to the net yield of the EU Enlarged region as a whole rather than its home market. The components are selected from the DJ STOXX EU Enlarged TMI components.

The DJ STOXX Americas Select Dividend 40 Index consists of 40 stocks covering the highest-yielding stocks relative to their home markets in the Americas region. A maximum of 30 stocks per country can be included in the index. The index components are selected from the DJ STOXX Americas 600 Index.

The DJ STOXX Asia/Pacifi c Select Dividend 30 Index consists of 30 stocks covering the highest-yielding stocks relative to their home markets in the Asia/Pacifi c region. In cases where a company’s home market is represented by twenty or fewer stocks, its yield will be measured relative to the net yield of the Asia/Pacifi c region as a whole rather than its home market. A maximum of 10 stocks per country can be included in the index. The index components are selected from the DJ STOXX Asia/Pacifi c 600 Index.

The DJ STOXX Global Select Dividend 100 Index consists of 100 stocks covering the highest-yielding stocks in the three regions Europe, the Americas and Asia/Pacifi c. The index combines the constituents of the following three indices:DJ STOXX Select Dividend 30 Index, DJ STOXX Americas Select Dividend 40 Index and DJ STOXX Asia/Pacifi c Select Dividend 30 Index.

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3.6 Dow Jones STOXX Theme Indices

3.6.1 IPO IndicesThe DJ STOXX IPO indices consist of European IPO stocks with a free fl oat market capitalisation on their listing date(i.e. number of IPO shares times the IPO-offer price) of between 100 million EUR and 3 billion EUR. Three different time horizons are available for the DJ STOXX IPO index family: 3 months, 12 months and 60 months. Each time horizondefi nes the length of the membership of each IPO in the index after its addition.

IPO companies are added to the DJ STOXX IPO Index (3 months) based on their fi rst closing price following their IPO listing. IPO stocks are removed after the close of trading on the fi rst Wednesday following 3 calendar months after the inclusion in the index, unless this removal would result in less than ten index components.

The DJ STOXX IPO Index (12 months) and the DJ STOXX IPO Index (60 months) include IPO stocks from the second Wednesday following their listing date. If the listing date is a Wednesday, this day is counted as the fi rst Wednesday.Stocks are removed from the indices after the close of trading on the fi rst Wednesday following, as the case may be, 12 or 60 calendar months after the inclusion in the index, unless this removal would result in less than ten index components.

3.6.2 Private Equity IndexThe DJ STOXX Private Equity 20 Index consists of 20 stocks that are classifi ed by the ICB as either Subsector 8775 (Specialty Finance) or Subsector 8985 (Equity Investments Instruments) and/or must have their main involvement in private equity.

3.6.3 Grand Prix IndexThe DJ STOXX Grand Prix Index covers publicly traded companies on a global basis which support or supply Formula 1 teams including engine manufacturers, tyre suppliers, oil/fuel suppliers and title sponsors.

3.6.4 Football IndexThe DJ STOXX Football Index covers all football clubs that are listed on a stock exchange in Europe and Eastern Europe.

3 INDICES

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4 DEFINITIONS

4.1 Base Dates & Base Values

The base dates and base values for the DJ STOXX indices are:

Indices Region Base Date Base Value

DJ STOXX Global 1800 Index All 31 December 1991 100

DJ STOXX Global Real Estate Cap indices All 29 December 2000 100

DJ STOXX Global REITS indices All 31 December 2006 100

DJ STOXX 600 indices All 31 December 1991 100

DJ STOXX TMI indices, Size & Sectors Europe 31 December 1991 100

DJ STOXX Eastern Europe TMI indices EU Enlarged 31 December 2002 100

Eastern Europe 31 December 2002 100

Balkan 31 December 2004 100

Sub Balkan 31 December 2004 100

DJ STOXX TMI Style indices Europe, Eurozone 30 June 1997 1,000

DJ STOXX Strong Style indices Europe, Eurozone 30 September 2001 1,000

DJ STOXX Football Index Europe, Eastern Europe 31 December 1991 100

DJ STOXX Grand Prix Index Global 31 December 1996 100

DJ STOXX Blue-chip indices Europe, Eurozone, Nordic 31 December 1991 1,000

Eastern Europe, EU Enlarged 31 December 2002 1,000

Balkan 31 December 2006 1,000

Sub Balkan 31 December 2004 1,000

DJ STOXX Select Dividend indices Europe, Eurozone, Nordic,

Global, Americas, Asia/Pacifi c 31 December 1998 1,000

EU Enlarged 31 December 2002 1,000

DJ STOXX IPO indices Europe 31 December 2001 1,000

DJ STOXX Private Equity 20 Index Europe 31 December 2003 1,000

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4.2 Block Ownership & Restricted Shares

All indices – except the DJ STOXX Balkan 50 Equal Weighted Index, DJ STOXX Strong Style indices and the DJ STOXX Grand Prix Index, which are weighted based on specifi c weighting factors – are weighted according to free fl oat market capitalisation in order to refl ect the proportion of a company’s stock that is available for trading. This is achieved by adjusting the total number of stocks by the stock held in strategic long-term holdings, i.e. block ownership.

This block ownership adjustment is applied if blocks of at least 5 percent of a company’s total stock are held in:

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.

This block ownership adjustment is not applied if:

The blocks comprise less than 5 percent of the total stock. The blocks are held by – but not limited to – custodian nominees, trustee companies, mutual funds and pension fund holdings, investment companies with short-term investment strategies and pension funds.

In addition, the total number of stocks is also adjusted by the restricted stocks, i.e. either those that cannot be traded during a certain period or those that have a foreign ownership restriction. Either the block ownership adjustment or the restricted stocks adjustment is applied, whichever produces the higher result.

4 DEFINITIONS

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4 DEFINITIONS

4.3 Free Float Market Capitalisation

The free fl oat factor is the percentage of shares remaining after the block ownership and restricted shares adjustments have been applied to the total number of shares:

Free fl oat factor (%) = 100% - [Maximum (block ownership (%); restricted shares adjustment (%))]

The free fl oat market capitalisation is the portion of a stock’s total market capitalisation that is available for trading:

Free fl oat market capitalisation = free fl oat factor · full market capitalisation

4.4 Weighting Factors

Weighting factors are used for the calculation of price weighted indices.

The weighting for DJ STOXX Select Dividend indices is based on a stock’s net dividend yield, the weighting for the DJ STOXX Strong Style indices is based on its growth/value scores, the weighting for the DJ STOXX Balkan 50 Equal Weighted Indexis based on 2% per company and the weighting for the DJ STOXX Grand Prix Index is based on the category a stock is in.A weighting factor is introduced to refl ect the initial stock’s weighting at the annual review. The weighting factor for a company has a similar role as the product of the number of shares and fl oat fi gures have for free fl oat market capitalisation weighted indices.

The weighting factor is kept constant until the next annual review. The weighting factor for the DJ STOXX Select Dividend, DJ STOXX Strong Style, DJ STOXX Balkan 50 Equal Weighted and the DJ STOXX Grand Prix constituents is calculated as follows:

Determine the initial weight of each company in the index based on the relevant methodology (i.e. based on net dividend yield for the DJ STOXX Select Dividend indices, based on growth/value score for the DJ STOXX Strong Style indices, based on 2% per company for the DJ STOXX Balkan 50 Equal Weighted Index and based on the different categories for the DJ STOXX Grand Prix Index). Determine the weighting factor for each stock, i.e.

Weighting factor = (1,000,000,000 · initial weight/closing price of stock) and rounded to integers.

The weighting factor will be adjusted in the event of a corporate action.

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4.5 Weighting Cap Factors

The individual weightings are capped at the following percentages:

Indices Region Weighting Cap Factor

DJ STOXX Fixed Component Benchmark & Size All 20%

DJ EURO STOXX & Size Eurozone 20%

DJ STOXX Blue-chip Europe, Eurozone, Nordic,

Eastern Europe, Sub Balkan 10%

EU Enlarged 15%

DJ STOXX Real Estate Cap All 20%

DJ STOXX Select Dividend All 15%

Global 10%

DJ STOXX Football Europe, Eastern Europe 10%

DJ STOXX IPO Indices (12 months / 60 months) Europe 20%

DJ STOXX Private Equity 20 Europe 20%

DJ STOXX Strong Style All 15%

The capping for market capitalisation weighted indices is implemented at the time of the quarterly reviews, for the Select Dividend indices and for the Strong Style indices, at the annual review.

If the weighting of a stock is 10 percent (15 percent, 20 percent) or less, then its weighting cap factor is 1.0.

If the weighting of a stock is greater than 10 percent (15 percent, 20 percent), then its weighting cap factor is adjusted to reduce the weighting to 10 percent (15 percent, 20 percent). The weightings of all other index components will therefore increase at the same time.

For the DJ STOXX Eastern Europe 50 Index, the weight of each country is capped at 50 percent and if the weighting of a stock is greater than 10 percent, then its weighting cap factor is adjusted to reduce the weighting to 10 percent and reallocated within the capped stocks of that country.

The weighting cap factors are calculated and announced on the quarterly underlying data announcement dates, implemented on the quarterly implementation dates and fi xed until the next quarterly review. For the Select Dividend indices and the Strong Style indices, the factors are announced on the annual underlying data announcement date, implemented on the annual implementation date, and fi xed until the next annual review.

4 DEFINITIONS

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4.6 Buffers

Buffers are used in the periodic reviews of the DJ STOXX indices for the following purposes:

To achieve the fi xed number of stocks for the DJ STOXX Blue-chip indices, the DJ STOXX Strong Style indices, the DJ STOXX Select Dividend indices, the DJ STOXX Fixed Component Benchmark indices and the DJ STOXX Global 1800 indices.

To achieve a fi xed free fl oat market capitalisation threshold for the DJ STOXX TMI Size indices.

To maintain the stability of the indices by reducing the index composition changes.

The buffers consist of an upper and a lower limit. These limits are applied to the stocks/companies on the relevant selection lists.

The stocks ranked at and above the upper limit are selected for the index.

The remaining stocks – necessary to achieve the target coverage (fi xed number of stocks or market capitalisation threshold) – are selected from the largest remaining current stocks ranked between the upper and lower limits.

If the index’s target coverage is still not achieved, then the largest remaining stocks are selected until the target coverage is achieved.

4.7 Currency Rates

All realtime indices use the following currency rates:

From 9:00 to 17:30 CET, the mid between the latest realtime bid and ask prices is used as the currency rate in order to calculate the indices for Europe, Eastern Europe and the EU Enlarged region.

From 15:30 to 22:00 CET, the mid between the latest realtime bid and ask prices is used as the currency rate in order to calculate the indices for the Americas region.

From 23:00 to 11:00 CET, the mid between the latest realtime bid and ask prices is used as the currency rate in order to calculate the indices for the Asia/Pacifi c region.

All end-of-day indices, as well as the closing procedure for the realtime indices, use currency rates as follows:

From 17:30 CET, fi xed foreign exchange rates are used for the calculation of the indices (using WM fi xed exchange rates from 17:00 CET).

The Global closings fi xed at 23:15 CET utilise the same fi xed rates as the European indices.

The fi xed foreign exchange rates are provided by the WM-Company – see Reuters page WMRSPOT01 & pp. or Bloomberg pages WMCO & pp. as reference.

4 DEFINITIONS

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4.8 Dividend Treatment

Dividend payments are included in the appropriate indices as net dividends: net dividend = declared dividend less withh olding tax.

For the latest update, please refer to the following link: http://www.stoxx.com/indices/indexguides/updates.html

4.9 Index Parameters

4.9.1 Price & Total Return IndicesAll indices are calculated as Price and Total Return indices. The only difference is the treatment of the dividend payments.

The Total Return indices include all dividend payments.

The Price indices only include:

Cash dividends with a gross amount equal to or greater than 10 percent of the stock’s closing price on the day before the effective date.

Special dividends from non-operating income.

4.9.2 Indices in Euro, U.S. Dollar and Other CurrenciesAll indices are calculated with the stock prices converted to Euro and U.S. Dollars, as appropriate:

Euro indices: non-Euro stock prices are converted to Euro for the index calculation.

U.S. Dollar indices: non-Euro stock prices are converted to Euro fi rst (as above), and then – together with the Euro stock prices – converted to U.S. Dollars for the index calculation.

Some indices are additionally available in other currencies.

Indices in other currencies: non-Euro stock prices are converted to Euro fi rst, and then – together with the Euro stock prices – converted to the appropriate index currency for the index calculation.

4.9.3 Realtime & End-of-Day IndicesThe indices are calculated and disseminated at different frequencies:

Realtime indices: calculated and disseminated every 15 seconds during the index dissemination period.

End-of-day indices: calculated and disseminated once a day at the end of the index dissemination period.

4 DEFINITIONS

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4.10 Index Formula & Index Divisors

The indices are calculated with the Laspeyres formula, which measures price changes against a fi xed base quantity weight. Each index has a unique index divisor, which is adjusted to maintain the continuity of the index’s values across changes due to corporate actions.

4.11 Index Open Quotations

The index open quotation takes account of the opening prices of all stocks in a realtime index. This value gives an indication of what the index value would have been if all opening stock prices had been received at the same time.

The index open quotations for the realtime indices are calculated either as soon as all the relevant opening stock prices are received or, at the latest, 10:30 CET. If an opening stock price is unavailable at 10:30 CET, then the stock’s previous day’s closing/adjusted price is used.

Non-Euro stock prices are converted into Euro using the currency rate that was valid at the time when the opening stock price (or previous day’s closing/adjusted price) was received, i.e. opening stock prices are converted using the realtime currency rates and the previous day’s closing prices are converted using the WM fi xed exchange rates of the day before.

4.12 Index Settlement Values

The index settlement values for the realtime indices and the Total Return Blue-chip indices are calculated daily as the average of the 41 index values disseminated between 11:50 CET and 12:00 CET.

4.13 Review Dates

The implementation dates are every third Friday of a quarter end (i.e. March, June, September, December).

Review data: the quarterly index reviews are based on the closing/adjusted stock data on the last trading day in January, April, July and October. [Style indices: on the last trading day in February and August; Strong Style indices: on the last trading day in August; and Blue-chip indices: on the last trading day in February for the DJ STOXX Eastern Europe 50 Index; and August for the other Blue-chip indices; Select Dividend indices and DJ STOXX Grand Prix Index: on the last trading day in February], see chapter 7 for details.

Component announcement: the index components are announced a minimum of four weeks before implementation, i.e. in the middle of February, May, August and November. [Style indices: on the fi rst trading day in March and September; Strong Style indices: on the fi rst trading day in September and Blue-chip indices: on the fi rst trading day in March for the DJ STOXX Eastern Europe 50 Index; and September for the other Blue-chip indices; Select Dividend indices and DJ STOXX Grand Prix Index: on the fi fth trading day in March; IPO indices: composition is constantly reviewed, see chapter 7 for details].

Underlying data announcement: the underlying data (i.e. new number of shares, new free fl oat, new weighting cap factors, new weighting factors) are announced two trading days before implementation. For Select Dividend indices the new weighting factors are announced fi ve trading days before implementation.

Implementation: the changes in the underlying data are implemented on the third Friday in March, June, September and December, after the index dissemination period. The changes become effective on the next trading day.

4 DEFINITIONS

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4.14 Selection Lists

The selection lists are produced for indices with a fi xed number of constituents in order to:

Indicate possible changes in the composition of the index at the time of the next quarterly / semi-annual / annual review.

Determine replacements for any stocks deleted from the indices due to corporate actions.

Selection lists are produced annually for DJ STOXX Strong Style indices, quarterly for DJ STOXX Select Dividend indices, DJ STOXX Balkan 50 Equal Weighted Index and DJ STOXX Private Equity 20 Index and monthly for all other indices with a fi xed number of components.

4.14.1 Dow Jones STOXX Global 1800 IndicesThe quarterly DJ STOXX Global 1800 review procedures are applied to the more liquid stock classes of the DJ Americas TMI, DJ STOXX TMI, DJ Asia/Pacifi c TMI stocks on the last trading day of each month in order to produce the selection list.

This list is valid for corporate actions that become effective the following month.

4.14.2 Dow Jones STOXX 600 and the Dow Jones STOXX Eastern Europe 300 IndicesThe respective quarterly review procedures are applied to the more liquid stock classes of the DJ STOXX TMI stocks on the last trading day of each month in order to produce the selection list.

This list is valid for corporate actions that become effective the following month.

4.14.3 Dow Jones STOXX Blue-chip IndicesThe respective Blue-chip index review procedures are applied on the last trading day of each month in order to produce the selection lists:

The lists are valid for corporate actions that become effective the following month.

Index Produced from

DJ STOXX 50 DJ STOXX 600

DJ EURO STOXX 50 DJ EURO STOXX

DJ STOXX NORDIC 30 DJ STOXX NORDIC

DJ STOXX EU Enlarged 15 DJ STOXX EU Enlarged TMI

DJ STOXX Eastern Europe 50 DJ STOXX Eastern Europe 300

DJ STOXX Balkan 50 Equal Weighted DJ STOXX Balkan TMI

DJ STOXX Sub Balkan 30 DJ STOXX Sub Balkan TMI

4 DEFINITIONS

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4 DEFINITIONS

4.14.4 Dow Jones STOXX Select Dividend IndicesThe annual DJ STOXX Select Dividend review procedures are applied on the last trading day of each quarter in order to produce the selection lists (with the exception of the list at the end of the fi rst quarter, which is produced at the end of February):

Index Produced from

DJ STOXX Select Dividend 30 DJ STOXX 600 + secondary lines

DJ EURO STOXX Select Dividend 30 DJ EURO STOXX + secondary lines

DJ STOXX NORDIC Select Dividend 20 DJ STOXX NORDIC TMI

DJ STOXX EU Enlarged Select Dividend 15 DJ STOXX EU Enlarged TMI

DJ STOXX Americas Select Dividend 40 DJ STOXX Americas 600

DJ STOXX Asia/Pacifi c Select Dividend 30 DJ STOXX Asia/Pacifi c 600

DJ STOXX Global Select Dividend 100 DJ STOXX Global 1800 (reviewed separately by region)

The lists are valid for corporate actions that become effective the following quarter.

4.14.5 Dow Jones STOXX Strong Style IndicesThe annual DJ STOXX Strong Style review procedures are applied on the last trading day of August in order to produce the selection lists.

Index Produced from

DJ STOXX Strong Growth 20 DJ STOXX TMI Growth

DJ STOXX Strong Value 20 DJ STOXX TMI Value

DJ EURO STOXX Strong Growth 20 DJ EURO STOXX TMI Growth

DJ EURO STOXX Strong Value 20 DJ EURO STOXX TMI Value

The lists are valid for corporate actions that become effective the following year.

4.14.6 Dow Jones STOXX Private Equity 20 IndexThe quarterly DJ STOXX Private Equity 20 Index review procedures are applied on the last trading day of each quarter in order to produce the selection list.

This list is valid for corporate actions that become effective the following quarter.

www.stoxx.com 37

4.15 Stock Prices

The stock prices used to calculate the indices are:

The opening price: the fi rst traded price during the offi cial trading hours of the stock’s trading system; until this is available, the previous day’s closing/adjusted price is used.

The intraday price: the currently traded price during the offi cial trading hours of the stock’s trading system. As long as the stock is not traded, the last available stock price will be used; this could either be the last available intraday stock price (e.g. if the stock is temporarily suspended) or the last available closing/adjusted price (e.g. if the stock exchange is closed).

The closing price: the last traded price or auction price during the offi cial trading hours of the stock’s trading system. If the stock has not been traded all day, then the previous day’s closing/adjusted price is used.

The adjusted price: the closing price is adjusted to refl ect a stock’s corporate action effective the next trading day.

4 DEFINITIONS

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5 DISSEMINATION

5.1 Calendar

The DJ STOXX Total Market Index (TMI) and DJ STOXX Eastern Europe TMI indices, as well as all their respective subindices, are only disseminated on days when at least 50 percent of the DJ STOXX TMI Index’s free fl oat market capitalisation and at least 50 percent of its markets are available for trading.

These two thresholds are based on:

The DJ STOXX TMI Index free fl oat market capitalisation at the end of the preceding year.

The trading calendars of the trading systems in the regional universe; changes to these trading calendars that are announced during the current year will only be implemented in the index dissemination calendar in the following year.

In exceptional cases the STOXX Limited Supervisory Board can make changes to the trading calendar.

5.2 Dissemination Period

The index dissemination period begins when the fi rst trading system in the regional universe opens for trading. The actual dissemination of each index is triggered when the fi rst opening stock price for that index is received. The index dissemination period ends when the last trading system in the regional universe closes.

For the latest update, please refer to the following link: http://www.stoxx.com/indices/dissemination/period.html

5.3 Available Data

Different sets of data are available for the DJ STOXX indices.

5.3.1 Intraday DataIntraday data for the DJ STOXX indices are disseminated daily at:

Open quotation (10:30 CET or earlier): opening stock prices for the DJ STOXX Blue-chip indices and open quotation index values for realtime indices.

10:30 CET: stock prices for all DJ STOXX TMI indices.

12:00 CET: index settlement values as well as index stock prices for the DJ STOXX Blue-chip indices, DJ STOXX Select Dividend indices and the DJ STOXX 600 Supersector indices; index settlement values for the DJ STOXX Size and DJ STOXX TMI indices.

15:30 CET: stock prices for all and DJ STOXX TMI indices.

18:00 CET: stock prices for all stocks in the DJ STOXX Global Select Dividend 100 and DJ STOXX Grand Prix indices.

www.stoxx.com 39

5.3.2 Closing DataThe closing data for the DJ STOXX indices are disseminated after the index dissemination period for the relevant region. The closing data includes the following sets of data:

Stock prices: both closing and adjusted prices for all components of the DJ STOXX indices.

Index related values: closing values, market capitalisation and divisors for all indices.

Currency rates to Euro for all currencies used in any DJ STOXX indices.

Corporate actions and dividends: effective the next trading day.

Other information like country and sector weightings, corporate actions and dividend forecasts.

5.3.3 Monthly ReportsThe monthly reports are disseminated on the fi rst trading day of each month and include the following data:

Pre-selection lists: Blue-chip indices; consisting of the Supersector leaders.

Index composition and performance reports.

Statistical and fundamental reports.

5.3.4 Quarterly, Semi-Annual & Annual DataThe quarterly, semi-annual and annual data contain:

Review lists: are available on the annual announcement dates in September for the DJ STOXX Blue-chip (except the DJ STOXX Eastern Europe 50 with announcement dates in March and September) and DJ STOXX Strong Style indices and in March for the DJ STOXX Select Dividend and the DJ STOXX Grand Prix indices; are available at the semi-annual announcement dates in March and September for the DJ STOXX Style indices, and quarterly component announcement dates for all other indices.

Underlying data, i.e. number of shares, free fl oat factor, for all stocks on the underlying data announcement dates. Factsheets for various indices with the most up-to-date information on fundamental ratios, performance data and other statistics.

5.3.5 Corporate Action ForecastsThe corporate action forecasts are updated daily and include the following information:

Mergers, takeovers, spin-offs and share consolidations: forecast for the coming weeks.

Initial public offerings (IPOs): recent IPOs that could qualify for the indices; for the DJ STOXX IPO Index (12 months) and the DJ STOXX IPO Index (60 months), separate additions and deletions announcements will be made every Monday.

A separate 3-months forecast for the DJ STOXX Large 200 companies is published; it contains information about upcoming dividends.

5 DISSEMINATION

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6 CALCULATION

6.1 Index Value Calculation

6.1.1 Market Capitalisation WeightedThe indices are calculated with the Laspeyres formula, which measures price changes against a fi xed base quantity weight.

Indext =

Where:t = Time the index is computedn = Number of companies in the indexpit = Price of company (i) at time (t)sit = Number of shares of company (i) at time (t)ffit = Free fl oat factor of company (i) at time (t)cfit = Weighting cap factor of company (i) at time (t) (if index is capped, otherwise equals 1)xit = Exchange rate from local currency into index currency for company (i) at time (t)Mt = Free fl oat market capitalisation of the index at time (t)Dt = Divisor of the index at time (t)

6.1.2 Price Weighted With Weighting FactorsThe indices are weighted, based on the components’ stock prices and weighting factors:

Indext =

Where:t = Time the index is computedn = Number of companies in the indexpit = Price of company (i) at time (t)wfit = Weighting factor of company (i) at time (t)cfit = Weighting cap factor of company (i) at time (t)xit = Exchange rate from local currency into index currency for company (i) at time (t)Mit = Total ‘units’ of the index at time (t)Dit = Divisor of the index at time (t)

�ni = 1(pit ∙ sit ∙ ffit ∙ cfit ∙ xit) Mt

DtDt=

�ni = 1(pit ∙ wfit ∙ cfit ∙ xit) Mt

DtDt=

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6.2 Index Divisor Calculation

6.2.1 Market Capitalisation WeightedEach index has a unique index divisor that is adjusted to maintain the continuity of the index’s values across changes due to corporate actions:The index divisors are calculated as follows:

Where:Dt+1 = Divisor at time (t+1)D1 = Divisor at time (t)n = Number of companies in the indexpit = Price of company (i) at time (t)sit = Number of shares of company (i) at time (t) ffit = Free fl oat factor of company (i) at time (t)cfit = Weighting cap factor of company (i) at time (t) (only applicable if index is capped)xit = Exchange rate from local currency into index currency for company (i) at time (t)�MCt+1 = The difference between the closing market capitalisation of the index and the adjusted closing market capitalisation of the index: For companies with corporate actions effective at time (t+1), the free fl oat market capitalisation calculated with adjusted closing prices, the new number of shares at time (t+1) and the free fl oat factor at time (t+1) minus the free fl oat market capitalisation calculated with closing prices, number of shares at time (t) and free fl oat factor at time (t).

6.2.2 Price Weighted with Weighting FactorsEach index has a unique index divisor that is adjusted to maintain the continuity of the index’s values across changes due to corporate actions:The index divisors are calculated as follows:

Where:Dt+1 = Divisor at time (t+1)D1 = Divisor at time (t)n = Number of companies in the indexpit = Price of company (i) at time (t)wfit = Weighting factor of company (i) at time (t) cfit = Weighting cap factor of company (i) at time (t)xit = Exchange rate from local currency into index currency for company (i) at time (t)�MCt+1 = The difference between the units in the index at closing and the units in the index after calculation parameters have been adjusted: For companies with corporate actions effective at time (t+1), the units in the index calculated with adjusted closing prices, the adjusted weighting factors at time (t+1) and the adjusted weighting cap factors at time (t+1) minus the units in the index calculated with closing prices, weighting factors at time (t) and weighting cap factors at time (t).

�ni = 1(pit ∙ sit ∙ ffit ∙ cfit ∙ xit) ± �MCt+1Dt+1 = Dt · �n

i = 1(pit ∙ sit ∙ ffit ∙ cfit ∙ xit)

�ni = 1(pit ∙ wfit ∙ cfit ∙ xit) ± �MCt+1Dt+1 = Dt · �n

i = 1(pit ∙ wfit ∙ cfit ∙ xit)

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6 CALCULATION

6.3 Data Accuracy

The data accuracy for the index calculation is:

Input data and other underlying data: rounded to seven decimal places.

Index divisors: rounded to integer numbers.

Free fl oat factors: rounded to four decimal places.

Index values: rounded to two decimal places for dissemination.

6.4 Input Data

6.4.1 SourcesThe input data sources for the index calculation include:

Trading platforms.

Regulatory agencies.

Companies in the investable stock universe.

Realtime stock prices are provided by Thomson Reuters.

Related service providers.

6.4.2 MonitoringThe realtime input data feeds for the index calculation are monitored by:

Data fi lters.

Quality assurance tools.

Verifi cation against secondary sources.

6.4.3 CorrectionThe correction procedures for incorrect or missing input data are:

Input data: corrected immediately.

Realtime index values: not retroactively corrected because the index is calculated in realtime.

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6.5 Index Divisor Correction

The correction procedures for incorrect index divisors are:

If discovered on the effective date: intraday correction.

If discovered after a day: intraday correction only if correction is feasible and considered signifi cant by the STOXX

Limited Supervisory Board.

6.6 Corporate Actions and Adjustments

Below is a list of corporate actions that indicates how the adjusted prices are calculated. The impact on the divisor is indicated as well.

For the corporate actions listed below, the following assumptions apply:

Shareholders will receive ‘B’ new shares for every ‘A’ share held (where applicable).

If the new shares have a dividend disadvantage – i.e. the new shares have a different dividend from that paid on the old shares – the price for these new shares will be adjusted according to the net dividend amount.

If the subscription price is not available, rule 8.2 applies.

1. Cash dividend (applied to Total Return indices only) Divisor Adjusted price = closing price - dividend announced by the company · (1 - withholding tax)

2. Special cash dividend (applied to Price and Total Return indices) Divisor Adjusted price = closing price - dividend announced by the company · (1 - withholding tax)

3. Split and reverse split Divisor Adjusted price = closing price · A / B New number of shares = old number of shares · B / A [For price weighted indices with weighting factors: new weighting factor = old weighting factor · B / A]

4. Rights offering a) Free fl oat market capitalisation weighted indices Divisor Adjusted price = (closing price · A + subscription price · B) / (A + B) New number of shares = old number of shares · (A + B) / A

b) Price weighted indices with weighting factors Divisor Adjusted price = (closing price · A + subscription price · B) / (A + B) New weighting factor = old weighting factor · closing price / adjusted price

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6.6 Corporate Actions and Adjustments (cont.)

5. Stock dividend (withholding taxes are not applied to stock dividends) Divisor Adjusted price = closing price · A / (A + B) New number of shares = old number of shares · (A + B) / A [For price weighted indices with weighting factors: new weighting factor = old weighting factor · (A + B) / A]

6. Stock dividend of another company (withholding taxes are not applied to stock dividends) Divisor Adjusted price = (closing price · A - price of the other company · B) / A

7. Return of capital and share consolidation Divisor Adjusted price = [closing price - capital return announced by company · (1 - withholding tax)] · A / B New number of shares = old number of shares · B / A [For price weighted indices with weighting factors: new weighting factor = old weighting factor · B / A]

8. Repurchase of shares/self tender a) Free fl oat market capitalisation weighted indices Divisor 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

b) Price weighted indices with weighting factors Divisor Adjusted price = [(price before tender · old number of shares) - (tender price · number of tendered shares)] / (old number of shares - number of tendered shares) New weighting factor = old weighting factor · closing price / adjusted price

9. Spin-off a) Adjusted price = (closing price · A - price of spin-off shares · B) / A Divisor b) Price weighted indices with weighting factors Divisor Adjusted price = (closing price · A - price of spin-off shares · B) / A New weighting factor for the spin-off = weighting factor of the parent company

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6.6 Corporate Actions and Adjustments (cont.)

10. Combination stock distribution (dividend or split) and rights offering For the above 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, all the following ‘new number of shares’ formulae need to be divided by ‘A’:

a1) If rights are applicable after stock distribution (one action applicable to another) Divisor 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

a2) If stock distribution is applicable after rights (one action applicable to another) Divisor 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)]

a3) Stock distribution and rights (neither action is applicable to the other) Divisor Adjusted price = [closing price · A + subscription price · C] / [A + B + C] New number of shares = old number of shares · [A + B + C] / A

b) Price weighted indices with weighting factors: Divisor Adjusted prices = see above New weighting factor = old weighting factor · closing price / adjusted price

To ensure that DJ STOXX indices are always accurate and follow the changes in the stock markets as closely as possible, the indices are reviewed on a regular basis. The following chapters describe the methodology that is applied to the different indices.

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7 PERIODIC REVIEW

7.1 Dow Jones STOXX Global 1800 Indices

The DJ STOXX Global 1800 Index is reviewed on a quarterly basis:

Target coverage: largest 600 companies from developed markets in each of the following regions: Europe, Americas and Asia/Pacifi c; only the more liquid stock class for each company in the DJ STOXX Total Market Index (TMI), the DJ US TMI Index and DJ Asia/Pacifi c TMI Index is eligible.

Review procedure: the European, Americas and Asia/Pacifi c regional indices are selected as follows:

1. The 550 highest-ranking stocks on the selection list are selected for the index.

2. The remaining 50 companies are selected from the highest-ranking current component between 551 and 750.

3. If the component number is still below 600, then stocks not previously included in the index are selected, beginning with the highest-ranking one.

The three regional indices are then combined to create the DJ STOXX Global 1800 Index.

Derived indices: the DJ STOXX Global 1800 ex Americas Index, the DJ STOXX Global 1800 ex Europe Index and the DJ STOXX Global 1800 ex Asia/Pacifi c Index are derived from the DJ STOXX Global 1800 Index.

Further derived indices from the above are the DJ STOXX Global 1800 Japan Index and the DJ STOXX Asia/Pacifi c 600 ex Japan Index.

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7.2 Dow Jones STOXX Total Market Indices (TMI)

7.2.1 Regional IndicesThe DJ STOXX TMI Index is reviewed on a quarterly basis:

Target coverage: 95 percent of the free fl oat market capitalisation of the investable stock universe by respective regions.

Review procedure:

1. All stocks in the investable stock universe on the quarterly review date are ranked in terms of free fl oat market capitalisation to produce the review list.

2. The stocks covering the top 93 percent of the free fl oat market capitalisation of the investable stock universe qualify for selection.

3. The stocks covering the remaining 2 percent are selected from the largest remaining current TMI components between the 93rd and 99th percentiles.

4. If the coverage is still below 95 percent, then the largest remaining stocks are selected until the coverage is 95 percent.

Derived indices: TMI for the other four European regions are then derived from the above reviewed DJ STOXX TMI Index.

The DJ STOXX Eastern Europe TMI Index is also reviewed on a quarterly basis:

Target coverage: 95 percent of the free fl oat market capitalisation of the investable stock universe by country.

Review procedure:

1. All stocks in the investable stock universe on the quarterly review date are ranked in terms of free fl oat market capitalisation to produce the review list.

2. The stocks covering the top 93 percent of the free fl oat market capitalisation of the investable stock universe qualify for selection. 3. The stocks covering the remaining 2 percent are selected from the largest remaining current TMI components between the 93rd and 99th percentiles. 4. If the coverage is still below 95 percent, then the largest remaining stocks are selected until the coverage is 95 percent.

Derived indices: TMI for the other four regional indices are then derived from the above reviewed DJ STOXX Eastern Europe TMI Index.

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7.2.2 Size IndicesThe DJ STOXX TMI Size indices are reviewed on a quarterly basis:

Target coverage: companies in the DJ STOXX TMI Index.

Review procedures: the companies in the given DJ STOXX TMI Index on the quarterly review date are ranked in terms of their total market capitalisation – i.e. for each company the total market capitalisation based on all its stock classes in the given DJ STOXX TMI Index – to produce the DJ STOXX TMI Size index review list.

DJ STOXX TMI Large Index (67.5 – 75 Rule)Target coverage: companies with a total market capitalisation above the 70th percentile of the total market capitalisation of the investable stock universe:

1. Companies with a total market capitalisation above the 67.5th percentile are selected.

2. Current DJ STOXX TMI Large companies with a total market capitalisation between the 67.5th and 75th percentiles are also selected.

DJ STOXX TMI Mid Index (85 – 92.5 Rule)Target coverage: companies with a total market capitalisation between the 70th and 90th percentiles of the total market capitalisation of the investable stock universe:

1. Companies with a total market capitalisation above the 85th percentile qualify for selection. Of these companies, those not already selected for the DJ STOXX TMI Large Index are selected for the DJ STOXX TMI Mid Index.

2. Current DJ STOXX TMI Mid companies with a total market capitalisation between the 85th and 92.5th percentiles are also selected.

DJ STOXX TMI Small IndexTarget coverage: companies with a total market capitalisation between the 90th and 95th percentiles of the total market capitalisation of the investable stock universe:

1. Companies not already selected for the DJ STOXX TMI Large and DJ STOXX TMI Mid indices are selected for the DJ STOXX TMI Small Index.

Derived indices: DJ STOXX TMI Size indices for the four European regions are then derived from the above reviewed DJ STOXX TMI Size indices.

The DJ STOXX Eastern Europe TMI Size Indices are also reviewed on a quarterly basis:

This index follows the same rules as those indicated above.

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7.2.3 Style IndicesThe Style indices are reviewed on a semi-annual basis in March and September:

Target coverage: growth and value stocks from the stocks selected from the European DJ STOXX TMI Index at the fi rst and third quarter reviews.

Review procedures: the style characteristics of each stock are determined by analysing six factors, i.e. two projected, two current and two historical factors:

Projected price/earnings (P/E) ratio: based on the closing price at the time of the review and on mean annual earnings-per-share (EPS) expected for the next fi scal period, as reported by IBES.

Projected earnings growth: based on the expected 3-5 year annual increase in operating EPS, as defi ned by the IBES long-term growth forecast.

Trailing P/E ratio: based on the closing price at the time of the review and on the previous quarter’s EPS from continuing operations, as reported by IBES.

Trailing earnings growth: based on average annualised EPS growth for the previous 21 quarters, as reported by IBES.

Price/book (P/B) ratio: based on the closing price at the time of the review and book value per share, as reported by Worldscope.

Dividend yield: based on the closing price at the time of the review and on total dividends declared by the company during the previous 12 months.

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7.2.3 Style Indices (cont.)DJ STOXX TMI Large Growth and Value Indices

1. The qualifying DJ STOXX TMI Large stocks are ranked for each of the six factors. For each factor, the stocks beyond the 5th and 95th percentiles are assigned the same values for the factor as the stocks at the 5th and 95th percentiles.

2. For each stock the values of the six factors are z-scored for normalisation. A multivariate, statistical cluster analysis is conducted to produce fi ve clusters: strong growth and weak growth, strong value and weak value, and neutral.

3. To reduce turnover there are certain criteria as to when a stock is reclassifi ed into a new cluster based on the result of the review. The rules are as follows:

All stocks that have been classifi ed into the strong value (strong growth) cluster in the last review, will remain in this cluster.

All stocks that have been classifi ed into the neutral cluster in the last review, will go into the cluster that they classify for in this review.

All stocks that have classifi ed for the weak value (weak growth) cluster in the last review, and are still classifi ed in any value (growth) cluster in this review, will remain in the weak value (weak growth) cluster.

All stocks that have classifi ed for the weak value (weak growth) cluster in the last review, and are now classifi ed in any growth (value) or neutral cluster in this review, will be reclassifi ed to neutral.

Neutral stocks with free fl oat market cap weightings of greater than or equal to 0.5 percent of the total index, which are closer to a value (growth) cluster mean, will be reclassifi ed to value (growth).

The remaining stocks are excluded from the Style indices.

At the second and fourth quarter reviews of the DJ STOXX TMI Index:

New stocks added to the DJ STOXX TMI Index are immediately classifi ed as neutral stocks until the time of the next review of the Style indices.

Stocks deleted from the DJ STOXX TMI Index are also immediately deleted from the Style indices.

Stocks reclassifi ed into different DJ STOXX TMI Size indices are also immediately reclassifi ed into the corresponding DJ STOXX TMI Style Size indices.

DJ STOXX TMI Mid Growth and Value IndicesSame methodology.

DJ STOXX TMI Small Growth and Value IndicesSame methodology.

Combination indices: DJ STOXX TMI Large Growth and Value, DJ STOXX TMI Mid Growth and Value, and DJ STOXX TMI Small Growth and Value indices, as reviewed above, are combined to produce the DJ STOXX TMI Growth and Value indices for Europe.

Derived indices: Growth and Value indices for the Eurozone are then derived from the DJ STOXX TMI Growth and Value indices.

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7.2.4 Strong Style IndicesDJ STOXX Strong Style indices are reviewed on an annual basis in September.

The DJ STOXX Strong Style index family consists of six indices: Target coverage: growth and value stocks from the stocks selected from the then DJ STOXX TMI Style Index at the third quarter review.

Review procedures:

DJ STOXX Strong Growth 20 Index (10 – 30 Rule)

1. The six factors used in creating the DJ STOXX Style index are normalised as z-scores.

2. The vector distances between the six factors and the growth seeds are calculated.

3. Stocks are screened for a minimum level of liquidity. If multiple lines of a stock qualify for the index, the less liquid line is removed.

4. Then the growth score is calculated.

5. All current components ranked 10 or above on the selection list will remain in the index. The remaining 10 stocks are selected from the largest remaining current stocks ranked between 11 – 30. If the number of stocks selected is still below 20, then the largest remaining stocks are selected until the component count reaches 20.

DJ STOXX Strong Value 20 Index (10 – 30 Rule) Same methodology.

DJ STOXX Strong Style 40 Index: the combination of the underlying DJ STOXX Strong Growth 20 and DJ STOXX Strong Value 20 indices.

Derived indices: Strong Growth and Strong Value indices for the Eurozone are then derived from the DJ EURO STOXX TMI Growth and Value indices.

In exceptional cases the STOXX Limited Supervisory Board can add stocks to the selection list and also remove them from the selection list.

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7.3 Dow Jones STOXX Fixed Component Benchmark Indices

7.3.1 Dow Jones STOXX 600 IndexThe DJ STOXX 600 Index is reviewed on a quarterly basis:

Target coverage: largest 600 companies in the DJ STOXX TMI Index; for each company only the more liquid stock is eligible.

Review procedures: on the quarterly review date, the more liquid stock class of the DJ STOXX TMI stocks are ranked in terms of free fl oat market capitalisation to produce the DJ STOXX 600 Index selection list.

DJ STOXX Large 200 Index (170 – 230 Rule)Target coverage: largest 200 companies in the DJ STOXX 600 Index:

1. The largest 170 stocks on the selection list are selected.

2. The remaining 30 stocks are selected from the largest remaining current DJ STOXX Large 200 stocks ranked between 171 and 230.

3. If the number of stocks selected is still below 200, then the largest remaining stocks are selected until there are 200 stocks.

DJ STOXX Mid 200 Index (350 – 450 Rule)Target coverage: next 200 companies in the DJ STOXX 600 Index:

1. The largest 350 stocks on the selection list qualify for selection. Of these 350 stocks, 200 stocks are already selected for the DJ STOXX Large 200 Index; the remaining 150 are selected for the DJ STOXX Mid 200 Index.

2. The remaining 50 stocks are selected from the largest remaining current DJ STOXX Large 200 and DJ STOXX Mid 200 stocks ranked between 351 and 450.


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7.3.1 Dow Jones STOXX 600 Index (cont.)DJ STOXX Small 200 Index (550 – 750 Rule)Target coverage: next 200 companies in the DJ STOXX 600 Index:

1. The largest 550 stocks on the selection list qualify for selection. Of these 550 stocks, 400 stocks are already selected for the DJ STOXX Large 200 and DJ STOXX Mid 200 indices; the remaining 150 stocks are selected for the DJ STOXX Small 200 Index.

2. The remaining 50 stocks are selected from the largest remaining current DJ STOXX Large 200, DJ STOXX Mid 200 and DJ STOXX Small 200 stocks ranked between 551 and 750.


Combination index: DJ STOXX Large 200, DJ STOXX Mid 200 and DJ STOXX Small 200 indices, as reviewed above, are combined to produce the DJ STOXX 600 indices.

Derived indices: Size indices for the four European regions are then derived from the DJ STOXX Size indices for Europe, as reviewed above.

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7.3.2 Dow Jones STOXX Eastern Europe 300 IndexThe DJ STOXX Eastern Europe 300 Index is reviewed on a quarterly basis: Target coverage: largest 300 companies in the DJ STOXX Eastern Europe TMI Index; for each company only the more

liquid stock is eligible.

Review procedures: on the quarterly review date, the more liquid stock class of the DJ STOXX Eastern Europe TMI stocks are ranked in terms of free fl oat market capitalisation to produce the DJ STOXX Eastern Europe 300 Index selection list.

DJ STOXX Eastern Europe Large 100 Index (85 – 115 Rule) Target coverage: largest 100 companies in the DJ STOXX Eastern Europe 300 Index:


2. The remaining 15 stocks are selected from the largest remaining current DJ STOXX Eastern Europe Large 100 stocks ranked between 86 and 115.


DJ STOXX Eastern Europe Mid 100 Index (175 – 225 Rule) Target coverage: next 100 companies in the DJ STOXX Eastern Europe 300 Index:

1. The largest 175 stocks on the selection list qualify for selection. Of these 175 stocks, 100 stocks are already selected for the DJ STOXX Eastern Europe Large 100 Index; the remaining 75 are selected for the DJ STOXX Eastern Europe Mid 100 Index.

2. The remaining 25 stocks are selected from the largest remaining current DJ STOXX Eastern Europ Large 100 and DJ STOXX Eastern Europe Mid 100 stocks ranked between 176 and 225.


DJ STOXX Eastern Europe Small 100 Index (275 – 375 Rule) Target coverage: next 100 companies in the DJ STOXX Eastern Europe 300 Index:

1. The largest 275 stocks on the selection list qualify for selection. Of these 275 stocks, 200 stocks are already selected for the DJ STOXX Eastern Europe Large 100 and DJ STOXX Eastern Europe Mid 100 indices; the remaining 75 stocks are selected for the DJ STOXX Eastern Europe Small 100 Index.

2. The remaining 25 stocks are selected from the largest remaining current DJ STOXX Eastern Europe Large 100, DJ STOXX Eastern Europe Mid 100 and DJ STOXX Eastern Europe Small 100 stocks ranked between 276 and 375.


Combination index: DJ STOXX Eastern Europe Large 100, DJ STOXX Eastern Europe Mid 100 and DJ STOXX Eastern Europe Small 100 indices, as reviewed above, are combined to produce the DJ STOXX Eastern Europe 300 indices.

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7.4 Dow Jones STOXX Blue-chip Indices

The Blue-chip indices are reviewed on an annual basis in September.

The DJ STOXX Blue-chip index family consists of three indices from different European regions: the DJ STOXX 50 Index represents the Blue-chip stocks from Europe, the DJ EURO STOXX 50 Index represents Blue-chip stocks from the Eurozone, and the DJ STOXX NORDIC 30 Index represents Blue-chip stocks from the Nordic region.

Target coverage: Supersector leaders of the DJ STOXX 600, DJ EURO STOXX and DJ STOXX NORDIC indices on the annual review date.

Review procedures: DJ STOXX 50 Index (40 – 60 Rule) Target coverage: 50 Supersector leaders from the stocks in the DJ STOXX 600 Index:

1. For each of the 19 DJ STOXX 600 Supersector indices, the stocks are ranked in terms of free fl oat market capitalisation; the largest stocks are added to the selection list until the coverage is close to, but still less than, 60 percent of the free fl oat market capitalisation of the corresponding DJ STOXX TMI Supersector Index; if the next ranked stock brings the coverage closer to 60 percent in absolute terms, then it is also added to the selection list; all remaining DJ STOXX 50 stocks are then added to the selection list.

2. All the stocks on the selection list are then ranked in terms of free fl oat market capitalisation to produce the DJ STOXX 50 Index selection list.

3. The largest 40 stocks on the selection list are selected; 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; if a stock is deleted from the DJ STOXX 600 Index in-between the annual review dates but is still a component of the DJ STOXX TMI Index, then this stock will remain in the DJ STOXX 50 Index until the next annual review.


DJ EURO STOXX 50 Index (40 – 60 Rule)Similarly, 50 Supersector leaders from the DJ EURO STOXX Index.

DJ STOXX NORDIC 30 Index (20 – 40 Rule)Similarly, 30 Supersector leaders from the DJ STOXX NORDIC Index and with 80 percent Supersector coverage.

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7.4 Dow Jones STOXX Blue-chip Indices (cont.)

The Dow Jones STOXX Eastern Europe 50 Index represents the Blue-chip stocks from Eastern Europe; and is reviewed on a semi-annual basis in March and in September.

Target coverage: Supersector leaders of the DJ STOXX Eastern Europe 300 Index on the semi-annual review date.

Review procedures: DJ STOXX Eastern Europe 50 Index (40 – 60 Rule) Target coverage: 50 Supersector leaders from the stocks in the DJ STOXX Eastern Europe 300 Index:

1. For each of the 19 DJ STOXX Eastern Europe 300 Supersector indices, the stocks are ranked in terms of free fl oat market capitalisation; the largest stocks are added to the selection list until the coverage is close to, but still less than, 80 percent of the free fl oat market capitalisation of the corresponding DJ STOXX Eastern Europe TMI Supersector Index; if the next ranked stock brings the coverage closer to 80 percent in absolute terms, then it is also added to the selection list; all remaining DJ STOXX Eastern Europe 50 stocks are then added to the selection list.

2. All the stocks on the selection list are then ranked in terms of free fl oat market capitalisation and are screened for a minimum level of liquidity to produce the DJ STOXX Eastern Europe 50 Index selection list, of which only the largest 15 stocks per country are selected.

3. The largest 40 stocks on the selection list are selected; 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; if a stock is deleted from the DJ STOXX Eastern Europe 300 Index in-between the annual review dates but is still a component of the DJ STOXX Eastern Europe TMI Index, then this stock will remain in the DJ STOXX Eastern Europe 50 Index until the next semi-annual review.


The DJ STOXX EU Enlarged 15 Index represents the Blue-chip stocks from 12 countries; i.e. the 10 countries that acceded to the EU in May 2004 plus Bulgaria and Romania which joined the EU in January 2007.The index is reviewed on an annual basis in September.

Target coverage: the largest stocks in the DJ STOXX EU Enlarged TMI Index on the annual review date; only the more liquid stock class for each company in the DJ STOXX EU Enlarged TMI Index is included.

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Review procedure: DJ STOXX EU Enlarged 15 Index (10 – 20 Rule)

1. All of the stocks on the selection list are ranked separately in terms of free fl oat market capitalisation, gross revenue, and net income. The fi nal ranking is calculated by weighting the free fl oat market capitalisation rank at 60 percent, the gross revenue rank at 20 percent and the net income rank at 20 percent.

2. The top 10 ranked stocks are selected. The remaining 5 stocks are selected from the highest remaining current stocks ranked between 11 and 20. If the number of stocks selected is still below 15, then the highest remaining stocks are selected until there are 15 stocks.

The Dow Jones STOXX Balkan 50 Equal Weighted Index represents the Blue-chip stocks from 8 countries and is reviewed on an annual basis in September.

Target coverage: highest-ranked components in the DJ STOXX Balkan TMI Index on the annual review date; only the more liquid stock class for each company in the DJ STOXX Balkan TMI Index is included.

Review procedures:DJ STOXX Balkan 50 Equal Weighted Index (5/3 – 15/7 Rule)

1. Selection process: for each country, companies are ranked by free fl oat market capitalisation. The highest-ranked components (20 companies each from Greece and Turkey, 10 companies from Bulgaria, Croatia, Macedonia (FYROM), Romania, Serbia and Slovenia) are chosen for the selection list. Each country selection list is fi rst ranked by free fl oat market capitalisation and second by liquidity (average daily traded value for the past three months). The fi nal rank is calculated by the average of the two ranks. If two or more companies have the same fi nal ranking, then their free fl oat market capitalisation is used as a tie-breaker.

2. Selection list: the top 5 ranked stocks are selected for Greece and Turkey. The top 3 ranked stocks are selected for other countries. The remaining 5 stocks each for Greece and Turkey are selected from the highest remaining current stocks ranked between 6 and 15. The remaining 2 stocks each from other countries are selected from the highest remaining current stocks ranked between 4 and 7. If the number of stocks selected is still below 10 for Greece and Turkey and 5 for other countries, then the highest remaining stocks are selected until there are 10 stocks from Greece and Turkey and 5 from other countries.


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The DJ STOXX Sub Balkan 30 Index represents the Blue-chip stocks from 4 countries and is reviewed on an annual basis in September.

Target coverage: Supersector leaders of the DJ STOXX Sub Balkan TMI Index on the annual review date; only the more liquid stock class for each company in the DJ STOXX Sub Balkan TMI Index is included.

Review procedures:DJ STOXX Sub Balkan 30 Index (20 – 40 Rule)

1. For each of the 19 DJ STOXX Sub Balkan TMI Supersector indices, the stocks are ranked in terms of free fl oat market capitalisation; the largest stocks are added to the selection list until the coverage is close to, but still less than, 80 percent of the free fl oat market capitalisation of the corresponding DJ STOXX Sub Balkan TMI Supersector Index; if the next ranked stock brings the coverage closer to 80 percent in absolute terms, then it is also added to the selection list; all remaining DJ STOXX Sub Balkan 30 stocks are then added to the selection list.

2. All the stocks on the selection list are then ranked in terms of free fl oat market capitalisation to produce the DJ STOXX Sub Balkan 30 Index selection list.

3. The largest 20 stocks on the selection list are selected; the remaining 10 stocks are selected from the largest remaining current stocks ranked between 21 and 40; if the number of stocks selected is still below 30, then the largest remaining stocks are selected until there are 30 stocks;


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7.5 Dow Jones STOXX Select Dividend Indices

DJ STOXX Select Dividend indices are reviewed on an annual basis in March.

The Select Dividend index family consists of seven indices: they represent the highest-yielding stocks within each region.

The DJ STOXX Global Select Dividend 100 Index covers the highest-yielding stocks in the three regions Europe, the Americas, and Asia/Pacifi c. Each region is reviewed separately and the highest-yielding stocks relative to their home market are selected (see below for details of the review procedure).

Target coverage: the highest-yielding companies based on indicated net dividend yield relative to their home market.

Review procedures: DJ STOXX Select Dividend 30 IndexTarget coverage: the highest dividend-yielding stocks relative to their home market; the 30 stocks are selected from the DJ STOXX 600 constituents including secondary lines of those companies:

1. Universe: the index universe is defi ned as all those companies in the DJ STOXX 600 Index (plus their secondary lines)that pay a dividend, have a non-negative historical fi ve-year dividend growth rate (at least 2 years for IPOs), and a non-negative payout ratio of less than or equal to 60 percent; the components will be screened for a minimum level of liquidity as well; current DJ STOXX Select Dividend 30 constituents are added to the universe as long as they are still components of the DJ STOXX 600 Index.

2. Selection process: an outperformance factor is calculated for every stock, i.e. the company net dividend yield divided by the net yield of the respective DJ Country TMI Index minus 1; for companies that have secondary lines in the index universe, only the higher-yielding line will remain in the index universe.

3. Ranking: all remaining stocks are ranked by their outperformance factor.

4. Index composition: all current components ranked 60 or above in the selection list will remain in the index; starting from the highest-ranked non-component on the selection list, stocks are added until the component count reaches 30; if a company is deleted from the DJ STOXX 600 Index between the DJ STOXX Select Dividend annual review dates, but is still a component of the DJ STOXX TMI Index, then this company will remain in the DJ STOXX Select Dividend Index until the next annual review, provided that it still meets the requirements for the DJ STOXX Select Dividend Index.


DJ EURO STOXX Select Dividend 30 IndexSimilarly, the 30 highest-yielding companies relative to their home market from the DJ EURO STOXX Index (plus secondary lines).

DJ STOXX NORDIC Select Dividend 20 IndexSimilarly, the 20 highest-yielding companies relative to their home market selected from the DJ STOXX NORDIC TMI Index. The non-negative payout ratio has to be less than or equal to 80 percent, and the index composition is using a 10/30 buffer (i.e. the stocks ranked 10 or above are automatically included in the index, and current components ranked between 11 and 30 are added to the index. If the number of stocks is still below 20, then the largest non-componentsare added until the index contains 20 stocks).

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DJ STOXX EU Enlarged Select Dividend 15 IndexSimilarly, the 15 highest-yielding companies relative to their home market selected from the DJ STOXX EU Enlarged TMI Index. The non-negative payout ratio has to be less than or equal to 100 percent, the non-negative dividend growth rate is based on the past 3 years, and the components will be screened for a minimum level of liquidity.The outperformance factor for countries with six or more components is calculated as indicated above; for countries with fi ve or fewer components the outperformance factor is calculated by dividing the company’s net dividend yield by the net yield of the DJ STOXX EU Enlarged TMI Index minus 1.

The index composition is using a 10/20 buffer (i.e. the stocks ranked 10 or above are automatically included in the index, and current components ranked between 11 and 20 are added to the index. If the number of stocks is still below 15, then the largest non-components are added until the index contains 15 stocks).

DJ STOXX Americas Select Dividend 40 IndexSimilarly, the 40 highest-yielding companies relative to their home market are selected from the DJ STOXX Americas 600 Index.

1. Preliminary index composition: all stocks in the index universe are ranked by country and by outperformance factor; all current components ranked 60 or above in each country will remain in the index; if less than 40 stocks remain in the index, the highest-ranked non-components in the region are added until the component count reaches 40; a single country can have a maximum of 30 stocks in the index.

2. Index composition: the list of 40 stocks (the preliminary index composition) is reviewed again. The number of stocks of each country in the preliminary index composition is divided by two (the result is rounded up to the next integer if necessary). The resulting number determines how many of the highest-ranked stocks in that country should be included in the index. In case they are not already in the index, they are added to the index and are replaced by the lowest-ranked stocks in the preliminary index composition.

DJ STOXX Asia/Pacifi c Select Dividend 30 IndexSimilarly, the 30 highest-yielding companies relative to their home market are selected from the DJ STOXX Asia/Pacifi c 600 Index.

1. Index universe: all stocks in the index universe have to have a non-negative payout ratio of less than or equal to 80 percent. The outperformance factor for countries with twenty-one or more components is calculated as described in the DJ STOXX Select Dividend 30 review procedure. For countries with twenty or fewer components the outperformance factor is calculated by dividing the company’s net dividend yield by the net yield of the DJ STOXX Asia/Pacifi c 600 Index minus 1.

2. Preliminary index composition: all stocks in the index universe are ranked by country and by outperformance factor. All current components ranked 20 or above in each country will remain in the index. If less than 30 stocks remain in the index, the highest-ranked non-components in the region are added until the component count reaches 30. A single country can have a maximum of 10 stocks in the index.

3. Index composition: the list of 30 stocks (the preliminary index composition) is reviewed in line with the review procedure for the DJ STOXX Americas Select Dividend 40 Index.

DJ STOXX Global Select Dividend 100 IndexSimilarly, the 100 highest dividend-yielding stocks in the three regions Europe, the Americas and Asia/Pacifi c. Each region is reviewed separately, and the index combines the constituents of the following three indices: DJ STOXX Select Dividend 30 Index, DJ STOXX Americas Select Dividend 40 Index and the DJ STOXX Asia/Pacifi c Select Dividend 30 Index.

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7.6 Dow Jones STOXX Theme Indices

7.6.1 Dow Jones STOXX IPO IndicesThe DJ STOXX IPO indices are reviewed on a daily or on a weekly basis.

The DJ STOXX IPO index family consists of three indices: DJ STOXX IPO Index (3 months) represents IPO stocks for a rolling 3 month period; the DJ STOXX IPO Index (12 months) and the DJ STOXX IPO Index (60 months) represent IPO stocks for a rolling 12 month and 60 month period respectively.

Target coverage: IPO stocks in Europe with a free fl oat market capitalisation at the listing date (i.e. number of IPO shares times the IPO-offer price) of between 100 million EUR and 3 billion EUR.

Review procedures:DJ STOXX IPO Index (3 months)IPO stocks with a free fl oat market capitalisation on their listing date of between 100 million EUR and 3 billion EUR are added to the DJ STOXX IPO Index (3 months) following the close of their fi rst listing day.

IPO stocks are removed from the DJ STOXX IPO Index (3 months) after the close of trading on the fi rst Wednesday following 3 calendar months after inclusion in the index, unless this removal would result in less than ten index components.

In cases where a removal would decrease the number of index components to less than ten, the exit date of the component set for removal is extended until a new component is added. If several stocks are to be removed on the same date, the removal process starts with the smallest stock in terms of free fl oat market capitalisation as of three days prior to the removal date.

It is acceptable that the index component count falls below ten following a merger, acquisition or related corporate action.

The number of shares and the free fl oat factors of all constituents of the DJ STOXX IPO Index (3 months) are reviewed on a quarterly basis in line with the review dates of other DJ STOXX indices.

DJ STOXX IPO Index (12 months)IPO stocks with a free fl oat market capitalisation on their listing date of between 100 million EUR and 3 billion EUR are added to the DJ STOXX IPO Index (12 months) after the close of trading of the second Wednesday following their listing date. If the listing date is a Wednesday, this day is counted as the fi rst Wednesday.

IPO stocks are removed from the DJ STOXX IPO Index (12 months) after the close of trading of the fi rst Wednesday following 12 calendar months after inclusion in the index, unless this removal would result in less than ten index components.

In case a removal would decrease the number of index components to less than ten, the exit date of the component set for removal is extended until a new component is added. If several stocks are to be removed on the same date, the removal process starts with the smallest stock in terms of free fl oat market capitalisation as of three days prior to the removal date.

It is acceptable that the index component count falls below ten following a merger, acquisition or related corporate action.

The number of shares and the free fl oat factors of all constituents as well as the 20 percent weighting cap factors of the DJ STOXX IPO Index (12 months) are reviewed on a quarterly basis in line with the review dates of other DJ STOXX indices.

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7.6.1 Dow Jones STOXX IPO Indices (cont.)Additionally, all constituents of the DJ STOXX IPO Index (12 months), which are no longer a constituent of the DJ STOXX IPO Index (3 months), are reviewed for their liquidity. If a constituent has more than ten non-trading days in the three months prior to the quarterly review date, it will be deleted from the index unless this deletion would decrease the number of constituents to below ten.

DJ STOXX IPO Index (60 months)In line with the review procedure of the DJ STOXX IPO Index (12 months), but the time period before removal is 60 months.

7.6.2 Dow Jones STOXX Private Equity Index The DJ STOXX Private Equity 20 Index is reviewed on a quarterly basis:

Target coverage: companies in the DJ STOXX TMI Index and other private equity companies of Western European developed markets.

Review procedures:

1. Universe: All companies that are classifi ed by the ICB – Industry Classifi cation Benchmark as either subsector 8775

(Speciality Finance) or subsector 8985 (Equity Investment Instruments). A minimum of 40% can be held in private equity companies, such as ‘Mezzanine’, ‘venture capital’, ‘buy-out’, ‘buy-in’. A maximum of 30% can be held in the DJ STOXX Global 1800 companies. All companies are screened for a minimum level of liquidity. In the case of multiple lines of a company qualifying for the index, the less liquid line is removed.

2. DJ STOXX Private Equity 20 Index (15 – 25 Rule) Target coverage: largest 20 companies in the universe:


2. The remaining 5 stocks are selected from the largest remaining current stocks ranked between 16 and 25.


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7.6.3 Dow Jones STOXX Grand Prix IndexThe DJ STOXX Grand Prix Index is reviewed on an annual basis in March:

Target coverage: publicly traded companies on a global basis which support or supply Formula 1 teams including engine manufacturers, tyre suppliers, oil/fuel suppliers, and title sponsors.

Review procedure: 1. Universe: all companies listed on a stock exchange covered by the DJ STOXX TMI Index.

2. Index composition: companies in the index universe which support or supply the Formula 1 teams on the entry list are reviewed for parent companies with exchange listings; the constituents of the DJ STOXX Grand Prix Index have to be in one of the following categories: Engine Manufacturers. Tyre Suppliers. Oil/Fuel Suppliers. Title Sponsors.

Weighting: the four categories in the DJ STOXX Grand Prix Index are weighted as follows: Engine Manufacturers 60 percent Tyre Suppliers 15 percent Oil/Fuel Suppliers 15 percent Title Sponsors 10 percent

For ‘Engine Manufacturers’, 30 percent weight is distributed equally among the components in this category. Based on the Constructors Championship, an additional 15 percent is added to the weight of the previous year’s winner, 10 percent is added to the weight of the previous year’s fi rst runner-up and 5 percent is added to the weight of the previous year’s second runner-up. For the remaining categories, the weight is distributed equally among the category components.

In the case of a component with a free fl oat market capitalisation of less than 250 MEUR in the category ‘Engine Manufacturers’, the component will automatically be weighted at 1 percent. The equal distribution will then be based on the remaining companies/weights (e.g. 29 percent).

7.6.4 Dow Jones STOXX Football IndexThe DJ STOXX Football Index is reviewed on a quarterly basis:

Target coverage: all football clubs that are listed in Europe or Eastern Europe.

Review procedure: all football companies in Europe or Eastern Europe are selected for inclusion in the index regardless of their trading volume and their number of days without any trading at all.

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7.7 Free Float Factors

The free fl oat factors are reviewed on a quarterly basis; they are published on the quarterly underlying data announcement dates and implemented on the quarterly implementation dates. The calculation of the free fl oat factors is described in chapter 4.3.

7.8 Weighting Factors

The weighting factors for the DJ STOXX Select Dividend indices, DJ STOXX Strong Style indices and the DJ STOXX Grand Prix Index are adjusted at the annual review. The DJ STOXX Balkan 50 Equal Weighted Index is adjusted on a quarterly basis. The calculation of the weighting factors is described in chapter 4.4.

7.9 Weighting Cap Factors

The weighting cap factors for stocks are reviewed on a quarterly basis (for the DJ STOXX Select Dividend and the DJ STOXX Strong Style indices annually). The calculation of the weighting cap factors is described in chapter 4.5.

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Corporate actions – including initial public offerings, mergers and takeovers, spin-offs, de-listings and bankruptcy – that affect the composition of the index are reviewed immediately. Any changes are announced, implemented and become effective in line with the type of corporate action, the indices affected and the magnitude of the effect.

8.1 Replacements

A deleted stock is replaced immediately to maintain the fi xed number of stocks in the DJ STOXX Global 1800, DJ STOXX Size, DJ STOXX Select Dividend, DJ STOXX Blue-chip and DJ STOXX Strong Style indices. The replacement is based on the latest respective selection list:

DJ STOXX Global 1800 Index: replaced by the largest non-component on the respective selection list.

DJ STOXX Size indices: replaced by the largest non-size component on the DJ STOXX 600 Index selection list; if the replacement stock is a component of a smaller Size index, then it is likewise replaced.

DJ STOXX Select Dividend indices: replaced by the largest non-component on the respective Select Dividend selection list; the new company will be added at the same weight as the company being removed.

DJ STOXX Blue-chip indices: replaced by the largest non-component on the Blue-chip Index selection list. For theDJ STOXX Eastern Europe 50 Index: replaced by the largest non-component on the selection list. For the DJ STOXX Balkan 50 Equal Weighted Index: replaced by the highest-ranked non-component on the respective country selection list. The new company will be added at the same weight as the company being removed.

DJ STOXX Strong Style indices: replaced by the largest non-component on the respective Strong Style selection list; the new company will be added at the same weight as the company being removed.

Changes are announced immediately, implemented two trading days later and become effective on the next trading day after implementation.

8.2 Free Float Factors and Shares Changes

The indices are updated with changes to the number of shares and/or free fl oat factors due to corporate actions; the timing depends on the magnitude of the change:

Changes to the number of shares due to stock dividends, splits, rights issues etc: implemented immediately and effective the next trading day.

Changes greater than ± 10 percent to the number of shares from one trading day to the next: announced immediately, implemented two trading days later and effective the next trading day after implementation.

Free fl oat factor changes greater than ± 5 percent from one trading day to the next: announced immediately, implemented two trading days later and effective the next trading day after implementation.

Changes to the combined free fl oat adjusted number of shares greater than ± 10 percent from one trading day to the next: announced immediately, implemented two trading days later and effective the next trading day after implementation.

All other changes: announced on the next quarterly underlying data announcement date, implemented on the quarterly implementation date and effective the next trading day after implementation.

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8.3 Dividend Data Changes

The components of the DJ STOXX Select Dividend indices are monitored for any changes in their dividend data. The timing depends on the changes in the dividend data:

Company eliminates its declared dividend: the company will be deleted from the index; the replacement will be announced immediately, implemented two trading days later and become effective the next trading day after implementation.

Company lowers its declared dividend: the company will remain in the index until the next selection list is available; if the company is ranked above the lower buffer on this selection list (e.g. ranked 60 or above for the DJ STOXX Select Dividend 30 Index), it is retained; if it falls below the lower buffer (e.g. ranked 61 or below for the DJ STOXX Select Dividend 30 Index), it is removed and replaced by the highest-ranked non-component on that selection list.

8.4 Illiquidity

Illiquid stocks are deleted immediately if their illiquidity is due to:

Not being traded for ten consecutive days.

Being suspended from trading.

Ongoing bankruptcy proceedings: a company that has fi led for bankruptcy will be deleted from the index based on either the traded stock price on its primary market, if available, or else the OTC stock price; if neither price is available, the company will be deleted at EUR 0.

Changes are announced immediately, implemented two trading days later and become effective the next trading day after implementation.

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8.5 Initial Public Offerings

8.5.1 Blue-chip IndicesAn initial public offering (IPO) stock is reviewed for fast-track addition to the Blue-chip indices at the next quarterly review.

The IPO stock is added if it would have:

Qualifi ed for the latest Blue-chip Index selection list valid during the appropriate quarterly review, i.e. the February, May, September or November Blue-chip index selection lists; and

Been ranked 40 or above on this selection list [DJ STOXX Nordic 30 and DJ STOXX Sub Balkan 30 Index : ranked 20 or above; DJ STOXX EU Enlarged 15 Index: ranked 10 or above]; and

Been the largest, non-current Blue-chip stock on this selection list.

If it is added, then the IPO stock replaces the smallest stock in the Blue-chip Index and the respective regional DJ STOXX TMI, DJ STOXX 600 and DJ STOXX Eastern Europe 300 indices.

Changes are announced on the quarterly underlying data announcement dates, are implemented two trading days later on the quarterly implementation dates and become effective the next trading day after implementation.

8.5.2 IPO IndicesAn initial public offering (IPO) stock is reviewed for immediate addition to the IPO indices. Please see chapter 7.6.1 for details.

8.6 Mergers & Takeovers

A merger or takeover is deemed successful if it has been declared wholly unconditional and has received the approval of all the regulatory agencies with jurisdiction over the transaction.

The result of a merger or takeover is one surviving stock and one or more non-surviving stocks that may not necessarily be de-listed from the respective trading system(s). The rules below are only applied if at least one company of this transaction is a component of the DJ STOXX TMI or the DJ STOXX IPO indices. A surviving stock that does not qualify for the DJ STOXX TMI or the DJ STOXX IPO indices, and also the non-surviving stock(s), is deleted immediately.

A surviving stock that qualifi es for the DJ STOXX TMI indices or the DJ STOXX IPO indices is added to the indices as follows:

DJ STOXX TMI indices: the surviving stock replaces the largest of the original stocks.

DJ STOXX Size indices: the surviving stock replaces the original stock that belonged to the largest affected Size index.

DJ STOXX Global 1800 indices: the surviving stock replaces the original stock that belonged to the largest affected regional index.

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8.6 Mergers & Takeovers (cont.)

DJ STOXX Blue-chip indices: if one of the original stocks was a Blue-chip stock, then it is replaced by the surviving stock. For the DJ STOXX Balkan 50 Equal Weighted Index, if one of the original stocks was a Blue-chip stock and from the same country, then it is replaced by the surviving stock: otherwise the highest-ranked non-component on the respective country selection list qualifi es.

DJ STOXX Select Dividend indices: if one of the original stocks was a Select Dividend component, then it is replaced by the surviving stock if this would be ranked at or above the lower buffer limit on the currently valid Select Dividend selection list (e.g. ranked 60 or above for the DJ STOXX Select Dividend 30 Index); if the surviving company falls below the lower buffer limit (e.g. ranked 61 or below for the DJ STOXX Select Dividend 30 Index), the original company will be replaced by the highest-ranked non-component on the selection list.

DJ STOXX Strong Style indices: if one of the original stocks was a Strong Style component, then it is replaced by the surviving stock if this would be ranked at or above the lower buffer limit on the currently valid Strong Style selection list. (e.g. ranked 15 or above for the DJ STOXX Strong Growth/Value 20 Index); if the surviving company falls below the lower buffer limit (e.g. ranked 16 or below for the DJ STOXX Strong Style Growth/Value 20 Index), the original company will be replaced by the highest-ranked non-component on the selection list.

DJ STOXX IPO indices: non-surviving stocks will be deleted immediately and surviving stocks will remain in any IPO indices of which they were components; no additions or replacements to the indices will be made.

DJ STOXX Private Equity 20 Index: if one of the original stocks was a private equity component, then it is replaced by the surviving stock if this would be ranked at or above the lower buffer limit on the currently valid private equity selection list (e.g. ranked 15 or above for the DJ STOXX Private Equity 20 Index); if the surviving company falls below the lower buffer limit (e.g. ranked 16 or below for the DJ STOXX Private Equity 20 Index), the original company will be replaced by the highest-ranked non-component on the selection list.

DJ STOXX Grand Prix Index: non-surviving stocks will be deleted immediately and the surviving stock will remain in the index; the weighting factors will not be changed.

Changes are announced immediately, are implemented two trading days later and become effective on the next trading day after implementation.

8.7 Sector Changes

The indices are updated with the sector changes; the timing depends on the cause of the change:

Changes due to corporate actions: announced immediately, implemented two trading days later and effective the next trading day after implementation.

Changes in the primary revenue source: announced on the quarterly component announcement dates, implemented on the quarterly implementation dates and effective the next trading day after implementation.

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8.8. Spin-Offs

Each spin-off stock is immediately added to all affected indices including the fi xed component indices for one trading day. If the spin-off company does not qualify based on the rules set out below, it will be deleted after the fi rst trading day.

DJ STOXX Global 1800 indices: if a spin-off stock would have qualifi ed for the latest DJ STOXX Global 1800 selection list, then it is added to the appropriate one of the three regional indices and replaces the smallest current stock in that index.

DJ STOXX TMI indices: the spin-off stock is added if it qualifi es for the DJ STOXX TMI Indices.

DJ STOXX Style indices: if a spin-off stock qualifi es for the DJ STOXX TMI Index, it will be added to the same cluster as its parent company.

DJ STOXX Size indices: if a spin-off stock would have qualifi ed for the latest DJ STOXX 600 or DJ STOXX Eastern Europe 300 selection list, then it is added to the appropriate one of the three Size indices and replaces the smallest current stock in that index.

DJ STOXX Blue-chip indices:

1. If the original company was a Blue-chip stock, then each spin-off stock qualifi es for addition if it is ranked at 60 or above on the Blue-chip Index selection list [DJ STOXX NORDIC 30 and DJ STOXX Sub Balkan 30 Index: ranked at 40 or above; DJ STOXX EU Enlarged 15 Index: ranked at 20 or above; DJ STOXX Balkan 50 Equal Weighted Index: ranked 15 or above for Greece and Turkey, 7 or above for Bulgaria, Croatia, Macedonia (FYROM), Romania, Serbia and Slovenia].

2. The qualifying spin-off stocks are added in sequence: The largest qualifying spin-off stock replaces the original stock in the index. The next largest qualifying spin-off stock replaces the smallest current stock in the index, if the spin-off stock is the larger. Likewise for the other qualifying spin-off stocks.

DJ STOXX Select Dividend indices: spin-off stocks are not considered for immediate addition in the DJ STOXX Select Dividend indices; if the original company has a signifi cantly lower dividend after the spin-off, then its status will be reviewed according to Chapter 8.3.

DJ STOXX Strong Style indices: spin-off stocks are not added to the DJ STOXX Strong Style indices.

DJ STOXX IPO indices: spin-off stocks are not added to the DJ STOXX IPO indices.

DJ STOXX Grand Prix Index: if the original company was a constituent of the DJ STOXX Grand Prix Index, each spin-off stock is reviewed for addition; the spin-off stock which carries on the business, as a supplier or sponsor of a Formula 1 team, will replace the original stock at the original stock’s weight; if the spin-off stock is no longer eligible for the DJ STOXX Grand Prix Index, the weighting factor for the original stock will be adjusted so that the weight of the original stock in the index does not change.

Changes are announced immediately, implemented two trading days later and become effective on the next trading day after implementation.

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Section B: Dow Jones STOXX Strategy Indices


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Section B

1 DJ EURO STOXX 50 BUYWRITE 721.1 Overview 72 1.1.1 Basic Data 72 1.1.2 Historical Data 721.2 Calculation 73 1.2.1 The Dow Jones EURO STOXX 50 BuyWrite Index formula 73 1.2.2 The Dow Jones EURO STOXX 50 BuyWrite Index formula (Price Index) 74 1.2.3 Computational Accuracy 75 1.2.4 Rolling 75 1.2.5 Trading Suspension 75

2 DJ STOXX LEVERAGED AND SHORT 762.1 Overview 76 2.1.1 Coverage 762.2 Defi nitions 76 2.2.1 Base Date & Base Values 76 2.2.1.1 Dow Jones STOXX Leveraged Index 76 2.2.1.2 Dow Jones STOXX Short Index 762.3 Indices 77 2.3.1 Dow Jones EURO STOXX 50 Leveraged Index 77 2.3.2 Dow Jones EURO STOXX 50 Short Index 77 2.3.3 Dow Jones STOXX 600 Supersector Short indices 772.4 Calculation 78 2.4.1 The Dow Jones STOXX Leveraged Index formula 78 2.4.2 The Dow Jones STOXX Leveraged Short Index formula 78 2.4.3 Computational Accuracy 79 2.4.4 Adjustments due to Extreme Market Movements 79 2.4.4.1 Exceptional Handler for the Dow Jones STOXX Leveraged Index 79 2.4.4.2 Exceptional Handler for the Dow Jones STOXX Short Index 79 2.4.5 Trading Suspension 79

3 DJ EURO STOXX 50 VOLATILITY (VSTOXX) 803.1 Overview 80 3.1.1 Concept 80 3.1.1.1 Underlying Index and Index Options 80 3.1.1.2 Sub-Indices 80 3.1.1.3 VSTOXX 80 3.1.2 Input Data 81 3.1.3 Dissemination 81 3.1.4 Historical Data 823.2 Data and Calculation 83 3.2.1 Index Calculation 83 3.2.2 Input Data 84 3.2.3 Price Screens 84 3.2.4 Preparing Data 85 3.2.5 Calculation Example 86 3.2.6 Calculation of VSTOXX 88


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1.1 Overview

The DJ EURO STOXX 50 BuyWrite Index refl ects the so-called ‘buy-write’ option strategy. With this strategy – which is also referred to as ‘covered-call’ – an investor buys the DJ EURO STOXX 50 Index (Price or Total Return index as the case may be) as an underlying instrument and simultaneously sells a DJ EURO STOXX 50 call option.

The index is based on the DJ EURO STOXX 50 Price Index or on the DJ EURO STOXX 50 Total Return Index and a DJ EURO STOXX 50 call option traded at Eurex.

1.1.1 Basic DataTwo versions of the DJ EURO STOXX 50 BuyWrite Index are available:

1. The DJ EURO STOXX 50 BuyWrite Index combines the DJ EURO STOXX 50 (Total Return) Index and a DJ EURO STOXX 50 call option.

2. The DJ EURO STOXX 50 BuyWrite (Price Index) combines the DJ EURO STOXX 50 (Price) Index and a DJ EURO STOXX 50 call option.

The base date of the DJ EURO STOXX 50 BuyWrite Index is 31 December 1999, with a base level of 100.

The index composition is adjusted on a monthly basis. On each third Friday of the month, a new one-month DJ EURO STOXX 50 call option is determined, which will be used to calculate the index until its last trading day, at noon (12:00 CET).

On regular trading days, the DJ EURO STOXX 50 BuyWrite Index is calculated every 60 seconds, between 9:00 and 18:00 CET; on option expiry dates, i.e. every third Friday in a month, only from 9:00 to 12:00 CET. The calculation is based on Eurex price data.

1.1.2 Historical DataHistorical index data is available back on a daily basis to the base date 31 December 1999.

1 DJ EURO STOXX 50 BUYWRITE

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1.2 Calculation

1.2.1 The Dow Jones EURO STOXX 50 BuyWrite Index FormulaOn regular trading days the DJ EURO STOXX 50 BuyWrite Index is calculated as follows:

The rolling is carried out monthly on every third Friday, i.e. on the expiry day (EXP).

Where:DJES50(BW)t = DJ EURO STOXX 50 BuyWrite Index at time tDJES50(BW)EXP = Settlement value of DJ EURO STOXX 50 BuyWrite Index at the previous expiry day (EXP)DJES50(BW)EXP–1 = Settlement value of DJ EURO STOXX 50 BuyWrite Index at the last expiry day before the previous expiry dateDJES50(TR)t = Last price of DJ EURO STOXX 50 (Total Return) Index at time tDJES50(TR)EXP = Settlement price of DJ EURO STOXX 50 (Total Return) Index at the previous expiry day (EXP)DJES50(TR)EXP–1 = Settlement price of DJ EURO STOXX 50 (Total Return) Index at the last expiry day before the previous expiry dateDJES50(P)EXP = Settlement price of DJ EURO STOXX 50 (Price) Index at the previous expiry day (EXP)DJES50(P)EXP–1 = Settlement price of DJ EURO STOXX 50 (Price) Index at the last expiry day before the previous expiry dateCt = Last price of the DJ EURO STOXX 50 call option at time tCo = Inclusion price of the DJ EURO STOXX 50 call option; i.e. averages of all best bids quoted on Eurex between 12:15 – 12:45 CET at the last expiry day (EXP)C’EXP = Settlement price of old DJ EURO STOXX 50 call option at the last expiry day (EXP)C’o = Inclusion price of the old DJ EURO STOXX 50 call option; i.e. averages of all best bids quoted on Eurex between 12:15 – 12:45 CET at the last expiry day (EXP-1), before the previous expiry day (EXP)

DJES50(BW)t =

DJES50(TR)t

DJES50(TR)EXP

∙ DJES50(P)EXP – Ct � �DJES50(P)EXP – Co

· DJES50(BW)EXP

DJES50(BW)EXP =

DJES50(TR)EXP

DJES50(TR)EXP–1

∙ DJES50(P)EXP–1 – C’EXP � �DJES50(P)EXP–1 – C’o

· DJES50(BW)EXP–1


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1.2.2 The Dow Jones EURO STOXX 50 BuyWrite Index Formula (Price Index)On regular trading days the DJ EURO STOXX 50 BuyWrite (Price) Index is calculated as follows:

The rolling is carried out monthly on every third Friday, i.e. on the expiry day (EXP).

Where:

DJES50(BWPrice)t = DJ EURO STOXX 50 BuyWrite (Price) Index at time tDJES50(BWPrice)EXP = Settlement value of DJ EURO STOXX 50 BuyWrite (Price) Index at the previous expiry day (EXP)DJES50(BWPrice)EXP–1 = Settlement value of DJ EURO STOXX 50 BuyWrite (Price) Index at the last expiry day before the previous expiry dateDJES50(P)EXP = Settlement price of DJ EURO STOXX 50 (Price) Index at the previous expiry day (EXP)DJES50(P)EXP–1 = Settlement price of DJ EURO STOXX 50 (Price) Index at the last expiry day before the previous expiry dateCt = Last price of the DJ EURO STOXX 50 call option at time tCo = Inclusion price of the DJ EURO STOXX 50 call option; i.e. averages of all best bids quoted on Eurex between 12:15 – 12:45 CET at the last expiry day (EXP)C’EXP = Settlement price of old DJ EURO STOXX 50 call option at the last expiry day (EXP)C’o = Inclusion price of the old DJ EURO STOXX 50 call option; i.e. averages of all best bids quoted on Eurex between 12:15 – 12:45 CET at the last expiry day (EXP-1), before the previous expiry day (EXP)

DJES50(BWPrice)t = DJES50(P)t – Ct

DJES50(P)EXP – Co

· DJES50(BWPrice)EXP

DJES50(BWPrice)EXP = DJES50(P)EXP – C’EXP

DJES50(P)EXP–1 – C’o· DJES50(BWPrice)EXP–1


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1.2.3 Computational AccuracyThe DJ EURO STOXX 50 Index (Price and Total Return), the DJ EURO STOXX 50 call option and the DJ EURO STOXX 50 BuyWrite Index are published as fi gures rounded to two decimal places.

1.2.4 RollingThe DJ EURO STOXX 50 BuyWrite Index requires a monthly rollover procedure, whereby the old DJ EURO STOXX 50 call option ceases trading at noon (12:00 CET) on the pre-determined expiry date, i.e. third Friday of a month, and is replaced by a new DJ EURO STOXX 50 call option whose last trading day falls on the next expiry date. The new one-month DJ EURO STOXX 50 call option must have a remaining lifetime of one month, and must be 5 percent out-of-the-money(i.e. the highest strike price below or equal to the DJ EURO STOXX 50 settlement price plus 5 percent).

1.2.5 Trading SuspensionIf there is suspension of the DJ EURO STOXX 50 Index (Price or Total Return) or the DJ EURO STOXX 50 call option whichis included in the DJ EURO STOXX 50 BuyWrite Index, then the index will be calculated using the latest prices which were available.

If a suspension occurs on an expiry day during the averaging process, i.e. 12:15 – 12:45 CET, only bids before the suspension will be considered.

In cases where the averaging procedure does not start at all (i.e. the suspension starts before 12:15 CET) then the averaging will be delayed until the end of the suspension on the same index business day. The averaging process will start 30 minutes after the end of the suspension and it will then take 30 minutes.

If the suspension will continue until the end of trading then the averaging will be delayed until the next index business day at 12:15 CET.


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2.1 Overview

2.1.1 Coverage

Indices Leveraged Short

DJ EURO STOXX 50 1 1

DJ STOXX 600 Supersectors – 19

2.2 Definitions

2.2.1 Base Date & Base ValuesThe base dates and base values for the DJ STOXX indices are:

Indices Region Base Date Base Value

Leveraged indices

DJ EURO STOXX 50 Eurozone 31 December 1991 1,000

Short indices

DJ EURO STOXX 50 Eurozone 31 December 1991 10,000

DJ STOXX 600 Supersector indices Europe 31 December 1991 10,000

2.2.1.1 Dow Jones STOXX Leveraged IndexThe index replicates the performance of an investor attaining twice the daily performance of the index or, in other words,a leverage factor of 2 with a daily rebalance. The double performance is achieved by investing twice the available money into the index portfolio, i.e. the available money is invested in the index basket, and the same amount is borrowed and additionally invested in the index.

The cost of borrowing is taken into account in the index calculation of the Leveraged index.

2.2.1.2 Dow Jones STOXX Short IndexThe index replicates the performance of an investor attaining the negative daily performance of the index, or, in other words, short selling the index with a daily rebalance.

The cost of dividends and the benefi t of earning interest are taken into account in the index calculation of the Short index.

2 DJ STOXX LEVERAGED AND SHORT

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2.3 Indices

2.3.1 Dow Jones EURO STOXX 50 Leveraged IndexThe index replicates the performance of an investor attaining twice the daily performance of the index or, in other words, a leverage factor of 2 with a daily rebalance.

2.3.2. Dow Jones EURO STOXX 50 Short IndexThe index replicates the performance of an investor attaining the negative daily performance of the index, or, in other words, short selling the index with a daily rebalance.

2.3.3. Dow Jones STOXX 600 Supersector Short IndicesThe indices replicate the performance of an investor attaining the negative daily performance of the index, or, in other words, short selling the index with a daily rebalance.


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2.4 Calculation

2.4.1 The Dow Jones STOXX Leveraged Index FormulaThe Leveraged indices are calculated as follows:

Where:The ‘leverage term’ describes the effect of Price index movements on the Leveraged index portfolio.The ‘fi nancing term’ indicates the costs caused by raising capital and reinvesting in the index portfolio.Index = Leveraged indexDJS = Dow Jones STOXX underlying Price indexEONIA = Overnight interest rate*t = Time of calculationT = Close of last trading day prior to td = Number of calendar days between t and T

2.4.2 The Dow Jones STOXX Short Index FormulaThe Short indices are calculated as follows:

Where:The ‘inverse performance’ describes the effect of the Total Return index movements on the Short index.The ‘interest accruing term’ indicates the interest received from lending capital.Index = Short indexDJSTR = Dow Jones STOXX underlying Total Return indexEONIA = Overnight interest rate*t = Time of calculationT = Close of last trading day prior to td = Number of calendar days between t and T

*Euro Overnight Index Average (EONIA) is the effective reference rate computed daily as a weighted average of all overnight unsecured lending transactions undertaken in the interbank market by the European Central Bank since 1 January 1999. Up to this date the daily interest provided by Deutsche Bundesbank has been used for calculation purposes.

Indext = DJSt

DJST

IndexT ∙ 2 ∙ – 1 – IndexT ∙ ∙ d � � EONIAT

360

LEVERAGE TERM FINANCING TERM

Indext = DJSTRt

DJSTRT

IndexT ∙ –1 ∙ + 2 + IndexT ∙ ∙ d ∙ 2 � � EONIAT

360

INVERSE PERFORMANCE INTEREST ACCRUING TERM

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2.4.3 Computational AccuracyThe DJ STOXX Short and the Leveraged indices are published as fi gures rounded to two decimal places.

All relevant parameters for calculation of the Dow Jones Price and Total Return indices are as described above.

2.4.4 Adjustments due to Extreme Market Movements

2.4.4.1 Exceptional Handler for the Dow Jones STOXX Leveraged Index

DJSt < DJST · 0.75

If the DJ STOXX Price index drops by 25 percent at the time of calculation t compared to the closing price on the last trading day T, the leverage will be adjusted intraday. During the adjustment, the latest prices received before time t are considered. No additional refi nancing costs (‘fi nancing term’) are calculated.

The adjustment will be carried out by simulating a new day, by setting:

t = T (i.e. DJST = DJSt and IndexT = Indext)d = 0

With this adjustment the risk of a total loss is substantially limited.

2.4.4.2 Exceptional Handler for the Dow Jones STOXX Short Index

DJSTRt > DJSTRT · 1.25

If the DJ STOXX Total Return index rises by 25 percent at the time of calculation t compared to the closing price on the last trading day T, the inverse performance will be adjusted intraday. During the adjustment, the latest prices received before time t are considered. No additional interest (‘interest accruing term’) rates are calculated.The adjustment will be carried out by simulating a new day, by setting:

t = T (i.e. DJSTRT = DJSTRt and IndexT = Indext)d = 0

2.4.5 Trading SuspensionThe DJ STOXX Leveraged and the Short indices are calculated on the same days and during the same time as the underlying DJ STOXX indices are calculated.

If there is suspension of the DJ STOXX Price or Total Return index, the DJ STOXX Leveraged or Short indices will be calculated with the latest prices available.


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3 DJ EURO STOXX 50 VOLATILITY (VSTOXX)

3.1 Overview

3.1.1 ConceptVolatility is a measure of the level of uncertainty prevailing in certain markets. In principle, there are two different approaches to estimating volatility. Historical volatility involves measuring the standard deviation of historical closing prices for any particular security over a given period of time. Implied volatility is derived from option prices; this kindof volatility represents the estimates and assumptions of market participants involved in a trade, on the basis of a given option price.

The DJ EURO STOXX 50 Volatility Index (VSTOXX) does not measure implied volatilities of at-the-money DJ EURO STOXX 50 options but the implied variance across all options of a given time to expiry1. This model has been jointly developed by Goldman Sachs and Deutsche Börse. It offers great advantages in terms of trading, hedging and introducing derivative products on this index. The main index VSTOXX is designed as a rolling index at a fi xed 30 days to expiry through linear interpolation of the two nearest of the eight available subindices. The VSTOXX and its eight subindices are updated every minute.

3.1.1.1 Underlying Index and Index OptionsThe DJ EURO STOXX 50 measures the performance of the Eurozone equity market. It covers the 50 largest sector leaders in the Eurozone based on free fl oat market capitalisation. The index is calculated every 15 seconds and provides a comprehensive and up-to-date image of the Eurozone stock market.The options contract on this index is one of the products of Eurex with the highest trading volume2. The VSTOXX is calculated on the basis of eight expiry months with a maximum time to expiry of two years.

3.1.1.2 SubindicesApart from the main index VSTOXX (which is irrespective of a specifi c time to expiry), subindices for each time to expiry of the DJ EURO STOXX 50 options, ranging from one month to two years, are calculated and distributed. For options with longer time to expire, no such subindices are currently available.

The various VSTOXX subindices are calculated on the basis of all options available. The calculations are based on the best bid and best ask available for these options in the Eurex system.

3.1.1.3 VSTOXXThe VSTOXX is calculated by way of linear interpolation using the two subindices which include the remaining time to expiry of 30 days for VSTOXX. The VSTOXX is therefore independent of a specifi c time to expiry, i.e. it does not expire. This helps to eliminate effects that typically result in strong volatility fl uctuations close to expiry.

1 STOXX®, Dow Jones EURO STOXX 50® and VSTOXX® are registered trademarks of STOXX Ltd.2 Eurex® and REX® are registered trademarks of Deutsche Börse AG

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3.1.2 Input DataDuring the calculation hours for the VSTOXX and the respective eight subindices (9:15 to 17:30 CET), the following data is used via snapshots every minute:

DJ EURO STOXX 50 - DJ EURO STOXX 50 IndexOESX - Best bid and best ask of all DJ EURO STOXX 50 optionsEONIA - Euro Overnight Index Average – overnight interest rateEURIBOR - Euro Interbank Offered Rates – money market reference rates for 1, 2, … 12 months (calculated once a day, 11:00 CET, by the European Banking Federation)REX - Yield of the 2-year REX as the longer-term interest rate

Index Name Period Code ISIN

EONIA 1 day EU1D EU0009659945

EURIBOR 1 month 1 month EU1M EU0009659937

EURIBOR 2 months 2 months EU2M EU0009652841








EURIBOR 10 months 10 months EU10 EU0009652908



REX 2-year (Price index) 2 years REX2 DE0008469149

3.1.3 DisseminationThe VSTOXX and its eight subindices are calculated on every Eurex exchange trading day, from 9:15 to 17:30 CET.

The realtime calculation of a sub-index is triggered as soon as all required input data for this sub-index is available.

The dissemination of the VSTOXX commences as soon as the two subindices, which include the 30-day time to expiry, become available and thus allow for an interpolation.

In line with the expiration structure of DJ EURO STOXX 50 options, each of the eight subindices is assigned to a specifi c expiry, which can be directly identifi ed from the respective code. There is a system of 120 codes and ISINs, only eight of each of which are in simultaneous use at any time.


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3.1.4 Historical Data

Index Code ISIN Daily closing price since

VSTOXX V2TX DE000A0C3QF1 4 January 1999

VSTOXX 1M V6I1 DE000A0G87B2 4 January 1999

VSTOXX 2M V6I2 DE000A0G87C0 4 January 1999

VSTOXX 3M V6I3 DE000A0G87D8 4 January 1999

VSTOXX 6M V6I4 DE000A0G87E6 4 January 1999

VSTOXX 9M V6I5 DE000A0G87F3 4 January 1999

VSTOXX 12M V6I6 DE000A0G87G1 4 January 1999

VSTOXX 18M V6I7 DE000A0G87H9 4 January 1999

VSTOXX 24M V6I8 DE000A0G87J5 4 January 1999

The VSTOXX and its eight subindices have been calculated on a realtime basis starting April 2005. Historical time series for the main index and the subindices, based on daily settlement prices, date back to 4 January 1999.

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3.2 Data and Calculation

3.2.1 Index CalculationThe model for VSTOXX aims at making pure volatility tradable – i.e. the index should be trackable by a portfolio which does not react to price fl uctuations, but only to changes in volatility. This is not directly achieved through volatility, but rather through variance or squared volatility. A portfolio of DJ EURO STOXX 50 options with different exercise prices with a given weighting, as described below, meets this requirement. So the implied volatilities of all options of a given time to expiry are considered.

The subindices are calculated according to the formula shown below:

and:Ti = Time to expiry of the ith OESXFi = Forward price derived from the prices of the ith OESX, for which the absolute difference between call and put prices (C and P) is smallest. Therefore:

(Note: if a clear minimum does not exist, the average value of the relevant forward prices will be used instead.)

Ki,j = Exercise price of the jth out-of-the-money option of the ith OESX expiry month in ascending order

�Ki,j = Interval between the relevant exercise prices or half the interval between the one higher and one lower exercise price. On the boundaries, the simple interval between the highest and second highest exercise price (or lowest and second lowest exercise price) is used:

Ki,0 = Highest exercise price below forward price FiRi = Refi nancing factor of the ith OESX

The subindices are calculated up until two days prior to expiry. Each new sub-index is disseminated for the fi rst time on the second trading day of the relevant DJ EURO STOXX 50 options.

VSTOXXi = 100 ∙ �i2(1)

(2) �i2 = ∙ Ri ∙ M(Ki,j) – – 1 , i = 1,2,…8

2

Ti��

j

�Ki,j

Ki,j2

1

Ti

Fi

Ki,o�

2

(3) Fi = Kmin | C–P | + Ri ∙ (C – P)

(4)Ki,j+1 – Ki,j–1�Ki,j =

2

(5) Ri = er i ∙Ti

ri = Risk-free interest rate to expiry of the ith OESXM(Ki,j) = Price of the option Ki,j, whereby Ki,j � Ki,0M(Ki,0) = Average of the put and call prices at exercise price Ki,0


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3.2.2 Input DataDuring the calculation hours from 9:15 to 17:30 CET, the respective best bid and best ask of all DJ EURO STOXX 50 options contracts listed on Eurex are extracted and a snapshot is taken at one minute intervals.

The various interest rates mentioned under 3.1.2 are recorded simultaneously.

3.2.3 Price Screensa) All option prices that are one-sided – i.e. either a bid or an ask price – or options without a bid-price or ask-price at all, are screened out.b) Only options which are quoted within the established maximum spreads for Eurex market-makers are eligible. The maximum spread is derived from bid prices as shown in the table below:

Bid (Index Points) Maximum Spread

0 – 13.3 1.4

13.4 – 133.3 10%

>133.3 13.4

Example: Bid = 45.32 and Ask = 54.30: therefore the spread is 8.98. The maximum spread for a bid price of 45.32 is: 45.32 · 0.10 = 4.532. Therefore both prices (bid and ask) are rejected.

If Eurex activates Fast Market status, permitting market-makers to increase their quotation spreads under very turbulent trading conditions, maximum spreads are set higher accordingly. This is also taken into account for the calculation of the VSTOXX, with the applicable fi lter criteria being adjusted accordingly.

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3.2.4 Preparing Dataa) Determining the prices, which are used for the calculation. The mid price is calculated for all eligible option prices, using the respective best bid and best ask. The most recent of each of the following pieces of information is used subsequently: Settlement price (previous day). Mid price. Last traded price.

Example:

Underlying Settlement Bid (time) Ask (time) Mid (time) Last-traded (time) Price

4050 76.70 – – – 76.70

4100 53.71 – – – 54.01 (09:05) 54.01

4150 37.51 33.70 (09:04) 34.40 (09:05) 34.05 (09:05) 34.05

4200 22.54 17.29 (09:04) 19.53 (09:05) 18.41 (09:05) 20.21 (09:01) 18.41

b) ‘Cutting the wings’ – exclusion of options prices This fi lter ensures that the various prices used (settlement, mid and last traded price) do not fall short of a minimum value of 0.5 index points. If there are two or more options with different exercise prices with a mid price of 0.5, then only the one nearest to the at-the-money point is used for the calculation. Options that are too far out-of-the-money and therefore do not have much infl uence on the result of the calculation, are fi ltered out and not used for the calculation.

c) Determining the time to expiry Ti Ti = TSettlement-Calculation/TYear TSettlement-Calculation = Seconds between index calculation and settlement TYear = Seconds per annum

Example: Index calculation: 25.11.2004 at 11:00 CET Expiry (i = 1): 17.12.2004 at 13:00 CET T1 = 1.908.000 / (365 · 60 · 60 · 24) = 0.0605022831 d) Determining risk-free interest rates. Linear interpolation is used to determine the interest rates, which match the time to expiry of the OESX.

e) The refi nancing factor Ri is determined according to equation.

Tk+1 – Tiri = r(Ti) = r(Tk) + r(Tk+1); Tk � Ti � Tk+1Tk+1 – Tk

Ti – Tk

Tk+1 – Tk


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3.2.5 Calculation Example

Determining the Forward Price Fi and the Exercise Price Ki,0The forward price of the ith expiry month is derived from OESX prices, for which the difference (in absolute terms) between call and put prices is smallest. Accordingly, the forward price F1 of the 1st expiry month and the exercise price Ki,0, which is the closest exercise price below the forward price Fi, are subject to the following:

Fi = Ki,o + Ri ∙ (Calli – Puti)

Example:R1 = 1.001298K1,0 = 4150F1 = 4151.401817

If there are several pairs of calls and puts with identical differences, a forward price will be calculated for each of the corresponding exercise prices. Ki,0 is accordingly defi ned as the closest exercise price below the simple average of these forward prices.

Determining the Option Price M(Ki,j)The price M(Ki,j), which is used for the jth out-of-the-money option of the ith expiry month, is determined as follows:

M(Ki,j) =

PutPut + Call

2Call

: Ki,j � Ki,o

: Ki,j � Ki,o

: Ki,j � Ki,o

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3.2.5 Calculation Example (cont.)

Calculation of the Subindices

Exercise price Ki,j �Ki,j Call Put Call-Put M(KI.J)

2350 50 472.00 0.60 471.40 0.60 0.0000054370

2400 50 422.30 1.00 421.30 1.00 0.0000086880

2450 50 372.80 1.50 371.30 1.50 0.0000125055

2500 50 322.40 2.30 320.10 2.30 0.0000184157

2550 50 273.50 3.30 270.20 3.30 0.0000253966

2600 50 225.15 4.60 220.55 4.60 0.0000340528

2650 50 177.85 6.70 171.15 6.70 0.0000477446

2700 50 132.40 12.00 120.40 12.00 0.0000823749

2750 50 90.90 21.00 69.90 21.00 0.0001389617

2800 50 57.90 35.40 22.50 46.65 0.0002977672

2850 50 29.50 58.25 28.75 29.50 0.0001817497

2900 50 13.10 92.00 78.90 13.10 0.0000779501

2950 50 5.00 134.10 129.10 5.00 0.0000287520

3000 50 1.50 180.90 179.40 1.50 0.0000083405

3050 50 0.70 229.55 228.85 0.70 0.0000037656

3100 50 0.60 230.00 229.40 0.60 0.0000031244

� 0.0009750263

�Ki,jKi,j2

Ri M(Ki,j)

VSTOXXi = 100 ∙ �i2

�i2 = ∙ Ri ∙ M(Ki,j) – – 1

2

Ti��

j

�Ki,j

Ki,j2

1

Ti

Fi

Ki,o�

2

VSTOXX1 = 100 ∙ 0.046119304 = 21.4754055

�i2 = 0.047701564 – 0.001582260 = 0.046119304


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3.2.6 Calculation of VSTOXXApart from the eight subindices for the various option series, the VSTOXX is defi ned as the main index with a constant remaining time to expiry of 30 days (this index is therefore not linked to a specifi c time to expiry). The VSTOXX is determined by linear interpolation of the subindices which are nearest to the remaining time to expiry of 30 days. If there are no such surrounding subindices, the VSTOXX is calculated using extrapolation. In this case, the two nearest available indices are used, which are as close to the time to expiry of 30 calendar days as possible.

Where:NTi

= Time to expiry of the ith OESXNTi+1

= Time to expiry of the i + 1th OESXNT = Time for next daysN365 = Time for a standard year

VSTOXX = NTi+1

– NT

NTi+1 – NTi

100 ∙ Ti ∙ �i2 ∙ + Ti+1 ∙ �i+1 ∙ ∙

2NT

– NTiNTi+1

– NTi

N365 NT

= NTi+1

– NT

NTi+1 – NTi

Ti ∙ VSTOXXi ∙ + Ti+1 ∙ VSTOXXi+1 ∙ ∙2

NT – NTi

NTi+1 – NTi

N365 NT

2

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Section C: Industry Classifi cation Benchmark


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Section C

1 ICB – INDUSTRY CLASSIFICATION BENCHMARK 911.1 Hierarchy 911.2 Subsector Defi nitions 94


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1.1 Hierarchy

10 Industries 19 Supersectors 41 Sectors 114 Subsectors

Oil & Gas [0001] Oil & Gas [0500] Oil & Gas Producers Exploration & Production [0533]

[0530] Integrated Oil & Gas [0537]

Oil Equipment, Services Oil Equipment & Services [0573]

& Distribution [0570] Pipelines [0577]

Alternative Energy [0580] Renewable Energy Equipment [0583]

Alternative Fuels [0587]

Basic Materials Chemicals [1300] Chemicals [1350] Commodity Chemicals [1353]

[1000] Specialty Chemicals [1357]

Basic Resources Forestry & Paper [1730] Forestry [1733]

[1700] Paper [1737]

Industrial Metals Aluminum [1753]

& Mining [1750] Nonferrous Metals [1755]

Iron & Steel [1757]

Mining [1770] Coal [1771]

Diamonds & Gemstones [1773]

General Mining [1775]

Gold Mining [1777]

Platinum & Precious Metals [1779]

Industrials [2000] Construction & Construction & Building Materials & Fixtures [2353]

Materials [2300] Materials [2350] Heavy Construction [2357]

Industrial Goods & Aerospace & Aerospace [2713]

Services [2700] Defense [2710] Defense [2717]

General Industrials Containers & Packaging [2723]

[2720] Diversifi ed Industrials [2727]

Electronic & Electrical Electrical Components & Equipment

Equipment [2730] [2733]

Electronic Equipment [2737]

Industrial Engineering Commercial Vehicles & Trucks [2753]

[2750] Industrial Machinery [2757]

Industrial Delivery Services [2771]

Transportation [2770] Marine Transportation [2773]

Railroads [2775]

Transportation Services [2777]

Trucking [2779]

Support Services Business Support Services [2791]

[2790] Business Training & Employment

Agencies [2793]

Financial Administration [2795]

Industrial Suppliers [2797]

Waste & Disposal Services [2799]

1 ICB – INDUSTRY CLASSIFICATION BENCHMARK

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Consumer Goods Automobiles & Parts Automobiles & Parts Automobiles [3353]

[3000] [3300] [3350] Auto Parts [3355]

Tires [3357]

Food & Beverage Beverages [3530] Brewers [3533]

[3500] Distillers & Vintners [3535]

Soft Drinks [3537]

Food Producers [3570] Farming & Fishing [3573]

Food Products [3577]

Personal & House- Household Goods & Durable Household Products [3722]

hold Goods [3700] Home Construction [3720] Nondurable Household Products [3724]

Furnishings [3726]

Home Construction [3728]

Leisure Goods [3740] Consumer Electronics [3743]

Recreational Products [3745]

Toys [3747]

Personal Goods [3760] Clothing & Accessories [3763]

Footwear [3765]

Personal Products [3767]

Tobacco [3780] Tobacco [3785]

Health Care [4000] Health Care [4500] Health Care Equipment Health Care Providers [4533]

& Services [4530] Medical Equipment [4535]

Medical Supplies [4537]

Pharmaceuticals & Biotechnology [4573]

Biotechnology [4570] Pharmaceuticals [4577]

Consumer Services Retail [5300] Food & Drug Retailers Drug Retailers [5333]

[5000] [5330] Food Retailers & Wholesalers [5337]

General Retailers Apparel Retailers [5371]

[5370] Broadline Retailers [5373]

Home Improvement Retailers [5375]

Specialized Consumer Services [5377]

Specialty Retailers [5379]

Media [5500] Media [5550] Broadcasting & Entertainment [5553]

Media Agencies [5555]

Publishing [5557]

Travel & Leisure Travel & Leisure Airlines [5751]

[5700] [5750] Gambling [5752]

Hotels [5753]

Recreational Services [5755]

Restaurants & Bars [5757]

Travel & Tourism [5759]


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Telecommuni-cations [6000]

Telecommunications[6500]

Fixed Line Telecommu-nications [6530]

Fixed Line Telecommunications [6535]

Mobile Telecommu-nications [6570]

Mobile Telecommunications [6575]

Utilities [7000] Utilities [7500] Electricity [7530] Conventional Electricity [7535]

Alternative Electricity [7537]

Gas, Water & Multiutilities [7570]

Gas Distribution [7573]

Multiutilities [7575]

Water [7577]

Financials [8000] Banks [8300] Banks [8350] Banks [8355]

Insurance [8500] Nonlife Insurance [8530]

Full Line Insurance [8532]

Insurance Brokers [8534]

Property & Casualty Insurance [8536]

Reinsurance [8538]

Life Insurance [8570] Life Insurance [8575]

Real Estate [8600] Real Estate Investment & Services [8630]

Real Estate Holding & Development [8633]

Real Estate Services [8637]

Real Estate Investment Trusts [8670]

Industrial & Offi ce REITs [8671]

Retail REITs [8672]

Residential REITs [8673]

Diversifi ed REITs [8674]

Specialty REITs [8675]

Mortgage REITs [8676]

Hotel & Lodging REITs [8677]

Financial Services [8700]

Financial Services [8770]

Asset Managers [8771]

Consumer Finance [8773]

Specialty Finance [8775]

Investment Services [8777]

Mortgage Finance [8779]

Equity Investment Instruments [8980]

Equity Investment Instruments[8985]

Nonequity Investment Instruments [8990]

Nonequity Investment Instruments [8995]

Technology [9000] Technology [9500] Software & Computer Services [9530]

Computer Services [9533]

Internet [9535]

Software [9537]

Technology Hardware & Equipment [9570]

Computer Hardware [9572]

Electronic Offi ce Equipment [9574]

Semiconductors [9576]

Telecommunications Equipment[9578]


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1.2 Subsector Definitions

Subsector Definition

0533 Exploration & Production Companies engaged in the exploration for and drilling, production, refi ning and supply of oil and gas products.

0537 Integrated Oil & Gas Integrated oil and gas companies engaged in the exploration for and drilling, production, refi ning, distribution and retail sales of oil and gas products.

0573 Oil Equipment & Services Suppliers of equipment and services to oil fi elds and offshore platforms, such as drilling, exploration, seismic-information services and platform construction.

0577 Pipelines Operators of pipelines carrying oil, gas or other forms of fuel. Excludes pipelineoperators that derive the majority of their revenues from direct sales to end users, which are classifi ed under Gas Distribution.

0583 Renewable Energy Equipment Companies that develop or manufacture renewable energy equipment utilizing sources such as solar, wind, tidal, geothermal, hydro and waves.

0587 Alternative Fuels Companies that produce alternative fuels such as ethanol, methanol, hydrogen and bio-fuels that are mainly used to power vehicles, and companies that are involved in the production of vehicle fuel cells and/or the development of alternative fuelling infrastructure.

1353 Commodity Chemicals Producers and distributors of simple chemical products that are primarily used to formulate more complex chemicals or products, including plastics and rubber in their raw form, fi berglass and synthetic fi bers.

1357 Specialty Chemicals Producers and distributors of fi nished chemicals for industries or end users, including dyes, cellular polymers, coatings, special plastics and other chemicals for specialized applications. Includes makers of colorings, fl avors and fragrances, fertilizers, pesticides, chemicals used to make drugs, paint in its pigment form and glass in its unfi nished form. Excludes producers of paint and glass products usedfor construction, which are classifi ed under Building Materials & Fixtures.

1733 Forestry Owners and operators of timber tracts, forest tree nurseries and sawmills. Excludes providers of fi nished wood products such as wooden beams, which are classifi ed under Building Materials & Fixtures.

1737 Paper Producers, converters, merchants and distributors of all grades of paper. Excludes makers of printed forms, which are classifi ed under Business Support Services,and manufacturers of paper items such as cups and napkins, which are classifi ed under Nondurable Household Products.

1753 Aluminum Companies that mine or process bauxite or manufacture and distribute aluminum bars, rods and other products for use by other industries. Excludes manufacturersof fi nished aluminum products, such as siding, which are categorized according to the type of end product.

1755 Nonferrous Metals Producers and traders of metals and primary metal products other than iron, aluminum and steel. Excludes companies that make fi nished products, which are categorized according to the type of end product.

1757 Iron & Steel Manufacturers and stockholders of primary iron and steel products such as pipes, wires, sheets and bars, encompassing all processes from smelting in blast furnaces to rolling mills and foundries. Includes companies that primarily mine iron ores.

1771 Coal Companies engaged in the exploration for or mining of coal.

1773 Diamonds & Gemstones Companies engaged in the exploration for and production of diamonds and other gemstones.

1775 General Mining Companies engaged in the exploration, extraction or refi ning of minerals notdefi ned elsewhere within the Mining sector.

1777 Gold Mining Prospectors for and extractors or refi ners of gold-bearing ores.


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1779 Platinum & Precious Metals Companies engaged in the exploration for and production of platinum, silver and other precious metals not defi ned elsewhere.

2353 Building Materials & Fixtures Producers of materials used in the construction and refurbishment of buildings and structures, including cement and other aggregates, wooden beams and frames, paint, glass, roofi ng and fl ooring materials other than carpets. Includes producers of bathroom and kitchen fi xtures, plumbing supplies and central air-conditioning and heating equipment. Excludes producers of raw lumber, which are classifi ed under Forestry.

2357 Heavy Construction Companies engaged in the construction of commercial buildings, infrastructure such as roads and bridges, residential apartment buildings, and providers of services to construction companies, such as architects, masons, plumbers and electrical contractors.

2713 Aerospace Manufacturers, assemblers and distributors of aircraft and aircraft parts primarily used in commercial or private air transport. Excludes manufacturers of communica-tions satellites, which are classifi ed under Telecommunications Equipment.

2717 Defense Producers of components and equipment for the defense industry, includingmilitary aircraft, radar equipment and weapons.

2723 Containers & Packaging Makers and distributors of cardboard, bags, boxes, cans, drums, bottles and jars and glass used for packaging.

2727 Diversifi ed Industrials Industrial companies engaged in three or more classes of business within the Industrial industry that differ substantially from each other.

2733 Electrical Components & Equipment Makers and distributors of electrical parts for fi nished products, such as printed circuit boards for radios, televisions and other consumer electronics. Includesmakers of cables, wires, ceramics, transistors, electric adapters, fuel cells and security cameras.

2737 Electronic Equipment Manufacturers and distributors of electronic products used in different industries. Includes makers of lasers, smart cards, bar scanners, fi ngerprinting equipment and other electronic factory equipment.

2753 Commercial Vehicles & Trucks Manufacturers and distributors of commercial vehicles and heavy agricultural and construction machinery, including rail cars, tractors, bulldozers, cranes, buses andindustrial lawn mowers. Includes non-military shipbuilders, such as builders of cruise ships and ferries.

2757 Industrial Machinery Designers, manufacturers, distributors and installers of industrial machinery and factory equipment, such as machine tools, lathes, presses and assembly line equipment. Includes makers of pollution control equipment, castings, pressings, welded shapes, structural steelwork, compressors, pumps, bearings, elevators and escalators.

2771 Delivery Services Operators of mail and package delivery services for commercial and consumer use. Includes courier and logistic services primarily involving air transportation.

2773 Marine Transportation Providers of on-water transportation for commercial markets, such as container shipping. Excludes ports, which are classifi ed under Transportation Services, and shipbuilders, which are classifi ed under Commercial Vehicles & Trucks.

2775 Railroads Providers of industrial railway transportation and railway lines. Excludes passenger railway companies, which are classifi ed under Travel & Tourism, and manufacturers of rail cars, which are classifi ed under Commercial Vehicles & Trucks.

2777 Transportation Services Companies providing services to the Industrial Transportation sector, including companies that manage airports, train depots, roads, bridges, tunnels, ports, and providers of logistic services to shippers of goods. Includes companies that provide aircraft and vehicle maintenance services.

2779 Trucking Companies that provide commercial trucking services. Excludes road and tunnel operators, which are classifi ed under Transportation Services, and vehicle rental and taxi companies, which are classifi ed under Travel & Tourism.


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2791 Business Support Services Providers of nonfi nancial services to a wide range of industrial enterprises and governments. Includes providers of printing services, management consultants, offi ce cleaning services, and companies that install, service and monitor alarm and security systems.

2793 Business Training & Employment Agencies

Providers of business or management training courses and employment services.

2795 Financial Administration Providers of computerized transaction processing, data communication and infor-mation services, including payroll, bill payment and employee benefi t services.

2797 Industrial Suppliers Distributors and wholesalers of diversifi ed products and equipment primarily used in the commercial and industrial sectors. Includes builders merchants.

2799 Waste & Disposal Services Providers of pollution control and environmental services for the management,recovery and disposal of solid and hazardous waste materials, such as landfi lls andrecycling centers. Excludes manufacturers of industrial air and water fi ltration equipment, which are classifi ed under Industrial Machinery.

3353 Automobiles Makers of motorcycles and passenger vehicles, including cars, sport utility vehicles (SUVs) and light trucks. Excludes makers of heavy trucks, which are classifi ed under Commercial Vehicles & Trucks, and makers of recreational vehicles (RVs and ATVs), which are classifi ed under Recreational Products.

3355 Auto Parts Manufacturers and distributors of new and replacement parts for motorcycles and automobiles, such as engines, carburetors and batteries. Excludes producers of tires, which are classifi ed under Tires.

3357 Tires Manufacturers, distributors and retreaders of automobile, truck and motorcycle tires.

3533 Brewers Manufacturers and shippers of cider or malt products such as beer, ale and stout.

3535 Distillers & Vintners Producers, distillers, vintners, blenders and shippers of wine and spirits such as whisky, brandy, rum, gin or liqueurs.

3537 Soft Drinks Manufacturers, bottlers and distributors of nonalcoholic beverages, such as soda, fruit juices, tea, coffee and bottled water.

3573 Farming & Fishing Companies that grow crops or raise livestock, operate fi sheries or own nontobacco plantations. Includes manufacturers of livestock feeds and seeds and other agri-cultural products but excludes manufacturers of fertilizers or pesticides, which are classifi ed under Specialty Chemicals.

3577 Food Products Food producers, including meatpacking, snacks, fruits, vegetables, dairy products and frozen seafood. Includes producers of pet food and manufacturers of dietary supplements, vitamins and related items. Excludes producers of fruit juices, tea, coffee, bottled water and other nonalcoholic beverages, which are classifi ed under Soft Drinks.

3722 Durable Household Products Manufacturers and distributors of domestic appliances, lighting, hand tools and power tools, hardware, cutlery, tableware, garden equipment, luggage, towels and linens.

3724 Nondurable Household Products Producers and distributors of pens, paper goods, batteries, light bulbs, tissues, toilet paper and cleaning products such as soaps and polishes.

3726 Furnishings Manufacturers and distributors of furniture, including chairs, tables, desks,carpeting, wallpaper and offi ce furniture.

3728 Home Construction Constructors of residential homes, including manufacturers of mobile and pre-fabricated homes intended for use in one place.

3743 Consumer Electronics Manufacturers and distributors of consumer electronics, such as TVs, VCRs, DVD players, audio equipment, cable boxes, calculators and camcorders.

3745 Recreational Products Manufacturers and distributors of recreational equipment. Includes musicalinstruments, photographic equipment and supplies, RVs, ATVs and marinerecreational vehicles such as yachts, dinghies and speedboats.

3747 Toys Manufacturers and distributors of toys and video/computer games, including such toys and games as playing cards, board games, stuffed animals and dolls.


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3763 Clothing & Accessories Manufacturers and distributors of all types of clothing, jewelry, watches or textiles. Includes sportswear, sunglasses, eyeglass frames, leather clothing and goods, and processors of hides and skins.

3765 Footwear Manufacturers and distributors of shoes, boots, sandals, sneakers and other types of footwear.

3767 Personal Products Makers and distributors of cosmetics, toiletries and personal-care and hygiene products, including deodorants, soaps, toothpaste, perfumes, diapers, shampoos, razors and feminine-hygiene products. Includes makers of contraceptives other than oral contraceptives, which are classifi ed under Pharmaceuticals.

3785 Tobacco Manufacturers and distributors of cigarettes, cigars and other tobacco products. Includes tobacco plantations.

4533 Health Care Providers Owners and operators of health maintenance organizations, hospitals, clinics, dentists, opticians, nursing homes, rehabilitation and retirement centers. Excludes veterinary services, which are classifi ed under Specialized Consumer Services.

4535 Medical Equipment Manufacturers and distributors of medical devices such as MRI scanners, prosthe-tics, pacemakers, X-ray machines and other nondisposable medical devices.

4537 Medical Supplies Manufacturers and distributors of medical supplies used by health care providers and the general public. Includes makers of contact lenses, eyeglass lenses,bandages and other disposable medical supplies.

4573 Biotechnology Companies engaged in research into and development of biological substances forthe purposes of drug discovery and diagnostic development, and which derive themajority of their revenue from either the sale or licensing of these drugs anddiagnostic tools.

4577 Pharmaceuticals Manufacturers of prescription or over-the-counter drugs, such as aspirin, cold remedies and birth control pills. Includes vaccine producers but excludes vitamin producers, which are classifi ed under Food Products.

5333 Drug Retailers Operators of pharmacies, including wholesalers and distributors catering to these businesses.

5337 Food Retailers & Wholesalers Supermarkets, food-oriented convenience stores and other food retailers anddistributors. Includes retailers of dietary supplements and vitamins.

5371 Apparel Retailers Retailers and wholesalers specializing mainly in clothing, shoes, jewelry, sunglasses and other accessories.

5373 Broadline Retailers Retail outlets and wholesalers offering a wide variety of products including both hard goods and soft goods.

5375 Home Improvement Retailers Retailers and wholesalers concentrating on the sale of home improvement products, including garden equipment, carpets, wallpaper, paint, home furniture, blinds and curtains, and building materials.

5377 Specialized Consumer Services Providers of consumer services such as auction houses, day-care centers, dry cleaners, schools, consumer rental companies, veterinary clinics, hair salons and providers of funeral, lawn-maintenance, consumer-storage, heating and cooling installation and plumbing services.

5379 Specialty Retailers Retailers and wholesalers concentrating on a single class of goods, such aselectronics, books, automotive parts or closeouts. Includes automobile dealer-ships, video rental stores, dollar stores, duty-free shops and automotive fuel stations not owned by oil companies.

5553 Broadcasting & Entertainment Producers, operators and broadcasters of radio, television, music and fi lmed entertainment. Excludes movie theaters, which are classifi ed under Recreational Services.

5555 Media Agencies Companies providing advertising, public relations and marketing services. Includes billboard providers and telemarketers.


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5557 Publishing Publishers of information via printed or electronic media.

5751 Airlines Companies providing primarily passenger air transport. Excludes airports, which are classifi ed under Transportation Services.

5752 Gambling Providers of gambling and casino facilities. Includes online casinos, racetracks and the manufacturers of pachinko machines and casino and lottery equipment.

5753 Hotels Operators and managers of hotels, motels, lodges, resorts, spas and campgrounds.

5755 Recreational Services Providers of leisure facilities and services, including fi tness centers, cruise lines, movie theaters and sports teams.

5757 Restaurants & Bars Operators of restaurants, fast-food facilities, coffee shops and bars. Includesintegrated brewery companies and catering companies.

5759 Travel & Tourism Companies providing travel and tourism related services, including travel agents, online travel reservation services, automobile rental fi rms and companies that primarily provide passenger transportation, such as buses, taxis, passenger rail and ferry companies.

6535 Fixed Line Telecommunications Providers of fi xed-line telephone services, including regional and long-distance. Includes companies that primarily provides telephone services through the internet. Excludes companies whose primary business is Internet access, which are classifi ed under Internet.

6575 Mobile Telecommunications Providers of mobile telephone services, including cellular, satellite and paging services. Includes wireless tower companies that own, operate and lease mobile site towers to multiple wireless service providers.

7535 Conventional Electricity Companies generating and distributing electricity through the burning of fossil fuels such as coal, petroleum and natural gas, and through nuclear energy.

7537 Alternative Electricity Companies generating and distributing electricity from a renewable source.Includes companies that produce solar, water, wind and geothermal electricity.

7573 Gas Distribution Distributors of gas to end users. Excludes providers of natural gas as a commodity, which are classifi ed under the Oil & Gas industry.

7575 Multiutilities Utility companies with signifi cant presence in more than one utility.

7577 Water Companies providing water to end users, including water treatment plants.

8355 Banks Banks providing a broad range of fi nancial services, including retail banking, loans and money transmissions.

8532 Full Line Insurance Insurance companies with life, health, property & casualty and reinsuranceinterests, no one of which predominates.

8534 Insurance Brokers Insurance brokers and agencies.

8536 Property & Casualty Insurance Companies engaged principally in accident, fi re, automotive, marine, malpractice and other classes of nonlife insurance.

8538 Reinsurance Companies engaged principally in reinsurance.

8575 Life Insurance Companies engaged principally in life and health insurance.

8633 Real Estate Holding & Development Companies that invest directly or indirectly in real estate through development,investment or ownership. Excludes real estate investment trusts and similar entities, which are classifi ed as Real Estate Investment Trusts.

8637 Real Estate Services Companies that provide services to real estate companies but do not own theproperties themselves. Includes agencies, brokers, leasing companies, management companies and advisory services. Excludes real estate investment trusts and similar entities, which are classifi ed as Real Estate Investment Trusts.

8671 Industrial & Offi ce REITs Real estate investment trusts or corporations (REITs) or listed property trusts (LPTs) that primarily invest in offi ce, industrial and fl ex properties.

8672 Retail REITs Real estate investment trusts or corporations (REITs) or listed property trusts (LPTs) that primarily invest in retail properties. Includes malls, shopping centers, strip centers and factory outlets.


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8673 Residential REITs Real estate investment trusts or corporations (REITs) or listed property trusts (LPTs) that primarily invest in residential home properties. Includes apartment buildings and residential communities.

8674 Diversifi ed REITs Real estate investment trusts or corporations (REITs) or listed property trusts (LPTs) that invest in a variety of property types without a concentration on any single type.

8675 Specialty REITs Real estate investment trusts or corporations (REITs) or listed property trusts (LPTs) that invest in self storage properties, properties in the health care industry such as hospitals, assisted living facilities and health care laboratories, and other specialized properties such as auto dealership facilities, timber properties and net lease properties.

8676 Mortgage REITs Real estate investment trusts or corporations (REITs) or listed property trusts (LPTs) that are directly involved in lending money to real estate owners and operators or indirectly through the purchase of mortgages or mortgage backed securities.

8677 Hotel & Lodging REITs Real estate investment trusts or corporations (REITs) or listed property trusts (LPTs) that primarily invest in hotels or lodging properties.

8771 Asset Managers Companies that provide custodial, trustee and other related fi duciary services. Includes mutual fund management companies.

8773 Consumer Finance Credit card companies and providers of personal fi nance services such as personal loans and check cashing companies.

8775 Specialty Finance Companies engaged in fi nancial activities not specifi ed elsewhere. Includes com-panies not classifi ed under Equity Investment Instruments or Nonequity Investment Instruments engaged primarily in owning stakes in a diversifi ed range of companies.

8777 Investment Services Companies providing a range of specialized fi nancial services, including securities brokers and dealers, online brokers and security or commodity exchanges.

8779 Mortgage Finance Companies that provide mortgages, mortgage insurance and other related services.

8985 Equity Investment Instruments Corporate closed-ended investment entities identifi ed under distinguishing egislation, such as investment trusts and venture capital trusts.

8995 Nonequity Investment Instruments Noncorporate, open-ended investment instruments such as open-ended investment companies and funds, unit trusts, ETFs, currency funds and split capital trusts.

9533 Computer Services Companies that provide consulting services to other businesses relating toinformation technology. Includes providers of computer-system design, systemsintegration, network and systems operations, data management and storage, repair services and technical support.

9535 Internet Companies providing Internet-related services, such as Internet access providers and search engines and providers of Web site design, Web hosting, domain-name registration and e-mail services.

9537 Software Publishers and distributors of computer software for home or corporate use.Excludes computer game producers, which are classifi ed under Toys.

9572 Computer Hardware Manufacturers and distributors of computers, servers, mainframes, workstations and other computer hardware and subsystems, such as mass-storage drives, mice, keyboards and printers.

9574 Electronic Offi ce Equipment Manufacturers and distributors of electronic offi ce equipment, including photo-copiers and fax machines.

9576 Semiconductors Producers and distributors of semiconductors and other integrated chips, including other products related to the semiconductor industry, such as semiconductorcapital equipment and motherboards. Excludes makers of printed circuit boards, which are classifi ed under Electrical Components & Equipment.

9578 Telecommunications Equipment Makers and distributors of high-technology communication products, including satellites, mobile telephones, fi ber optics, switching devices, local and wide-area networks, teleconferencing equipment and connectivity devices for computers, including hubs and routers.


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History of changes to the DJ STOXX Index Guide

Section A: Dow Jones STOXX Equity Indices

November 2007

Addition of DJ STOXX Balkan 50 Equal Weighted Index

Methodology change – Spin Off

January 2008

Additions of the DJ STOXX Strong Style indices to the Weighting Cap Factors

February 2008

Change of Review Dates for DJ STOXX Select Dividend indices

October 2008

Addition of DJ STOXX Eastern European index family

CHANGES TO THE DJ STOXX INDEX GUIDE

STOXX Limited · Selnaustrasse 30 · CH-8021 Zurich Phone +41 (0) 58 854 5400 · [email protected] · www.stoxx.com

Dow Jones STOXX® Index GuideVersion 11.3 · November 2007

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