July 2017 S&P Dow Jones Indices: Index Methodology

S&P 500 Stock Covered Call Index Family

Methodology

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 1

Table of Contents

Introduction 2

Index Family 2

Highlights 2

Definitions 3

Index Construction 4

Approaches 4

Index Calculations 4

Index Maintenance 9

Rebalancing 9

Index Governance 10

Index Committee 10

Index Policy 11

Announcements 11

Holiday Schedule 11

Rebalancing 11

Unscheduled Exchange Closures 11

Recalculation Policy 11

Index Dissemination 12

Tickers 12

FTP 12

Web site 12

Appendix A 13

S&P Dow Jones Indices’ Contact Information 14

Index Management 14

Product Management 14

Media Relations 14

Client Services 14

Disclaimer 15

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 2

Introduction

Index Family

The S&P 500 Stock Covered Call Index1 family includes three indices:

S&P 500 Stock Covered Call Index. The index seeks to simulate a volatility driven covered call strategy based on the eligible individual constituents of the S&P 500.

S&P 500 Financial Select Sector Stock Covered Call Index. The index seeks to simulate a volatility driven covered call strategy based on the eligible individual constituents of the Financial Select Sector Index.

S&P 500 Energy Select Sector Stock Covered Call Index. The index seeks to simulate a volatility driven covered call strategy based on the eligible individual constituents of the Energy Select Sector Index.

Highlights

A covered call strategy is an income generating strategy that is generally used in a bear, range-bound or modest bull market environment. The indices seek to provide higher returns than the underlying indices, with lower volatility, in most market environments with the exception of when the stock market is rallying rapidly. This methodology was created by S&P Dow Jones Indices to achieve the aforementioned objective of measuring the underlying interest of each index governed by this methodology document. Any changes to or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones Indices so that the index continues to achieve its objective.

1 The S&P Covered Call Index Family is calculated by Chicago Board Options Exchange (CBOE).

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 3

Definitions Call option. A contract between a buyer and seller whereby the buyer acquires the right, but not the obligation, to purchase a specific security at a fixed price on a specified date. The seller of the call assumes the obligation of delivering the security. For purposes of the S&P Covered Call Indices it is assumed that an option is not be exercised prior to expiration. Strike price. The price at which the underlying is delivered in the event the option is exercised. Volatility. The degree to which the price of an underlying security tends to fluctuate over time. Covered call. An options strategy whereby an investor holds a long position in an asset and writes (sells) call options on that same asset in an attempt to generate increased income from the asset. Out of the money (OTM). When the strike price of an option is higher than the current market price of the underlying asset of the option. At the money (ATM). When the strike price of an option is equal to the current market price of the underlying asset of the option. In the money (ITM). When the strike price of an option is lower than the current market price of the underlying asset of the option. Delta. The ratio comparing the change in the price of an option to a corresponding change in the price of the underlying asset of the option.

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 4

Index Construction

Approaches

The S&P 500 Stock Covered Call Index consists of a long cash position in the S&P 500 index and a basket of short OTM calls on the eligible index constituents, which are rolled monthly on option expiration day. The S&P 500 Financial Select Sector Stock Covered Call Index is calculated on a hypothetical portfolio consisting of a long cash position in the Financial Select Sector index and a basket of short OTM calls on the eligible index constituents, which are rolled monthly on option expiration day. The S&P 500 Energy Select Sector Stock Covered Call Index is calculated on a hypothetical portfolio consisting of a long cash position in the Energy Select Sector index and a basket of short OTM calls on the eligible index constituents, which are rolled monthly on option expiration day. Strikes are adaptive for prevailing volatility conditions of the individual constituents. The higher the volatility, the higher the hypothetical strike for the option, and vice versa. The index uses the implied volatility of each individual stock when the option is opened or rolled, to determine the strike of its OTM call.

Index Calculations

Calculating the Total Return of the Portfolio The index is calculated based on the total return of a hypothetical portfolio consisting of a long cash position in the underlying index and a basket short OTM calls on all eligible index components. The index value is calculated as:

)1(1 ttt RII (1)

where:

Rt = Index return on day t

It = Index level on day t

If it is not a roll day, the return is calculated as:

i

titit RwR )*( ,1, (2)

where:

wi, t-1= Weight of the i-th covered call on day t-1, calculated as:

i

titi

titi

tiXS

XSw

)*(

*

,,

,,

, (3)

where:

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 5

Si, t = Closing price of the i-th stock on day t

Xi, t = Float adjusted number of shares of the i-th stock on day t

Note that wi, t-1 is adjusted at the close for corporate actions on day t. Ri, t = Return of the i-th covered call on day t, calculated as:

1*

*

1,1,

,,,

,

tiiti

tiititi

tiCQS

CQDivSR (4)

where:

Si, t = Closing price of the i-th stockon day t

Si, t-1 = Closing price of the i-th stock on day t-1

Divi,t = Dividends payable on the i-th stock on day t

Divi,t-1 = Dividends payable on the i-th stock on day t-1

Ci,t = Closing mid price of the call on the i-th stock on day t

Ci,t-1 = Closing mid price of the call on the i-th stock on day t-1

Qi = Number of calls written on 1 share of the i-th stock, as defined in formula (6) If it is a roll day, the return is calculated as follows: Step 1 - Group stocks as follows:

If the roll day is not an S&P 500 rebalancing day:

o Calculate the call option spread between expiring option and new option as noon bid of the new option less the ask of the old noon option. If there is no expiring option position, treat the ask of the old noon option as zero.

o A stock belongs to Group A if its call option roll spread between expiring option and new option is greater than or equal to 15 cents

(2) and the stock price is greater than or equal to

$10;

o A stock belongs to Group B if its call option roll spread between expiring option and new option is less than 15 cents. A new option is written only if the stock price is greater than or equal to $10;

o A stock belongs to Group C if no previous option position is open and no new option position is opened.

If the roll day is an S&P 500 rebalancing day:

o A stock belongs to Group B if there is a previous option position open. A new option is written only if the stock price is equal to or greater than $10 and new option bid is greater than or equal to 15 cents.

o A stock belongs to Group A if there is no previous option position open and a new option is written at close. A new option is written only if the stock price is equal to or greater than $10 and new option bid is greater than or equal to 15 cents.

o Otherwise a stock belongs to Group C - no previous option position is open and no new option position is opened

2 If no option position is open, the noon ask price of the old option is assumed to be zero for determining the roll spread.

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 6

Step 2 – Evaluate returns of individual stock covered calls in each group. Group A: For each stock in this group that has an expiring option, buy back the option at Friday noon and write new option at Friday noon.

1*

*

*

*

,,

,,

1,1,

,,,

,

new

nooni

new

inooni

new

ti

new

iti

old

ti

old

iti

old

nooni

old

itinooni

tiCQS

CQS

CQS

CQDivSR (5a)

where:

Si,noon = Mid price of the i-th stock at noon

Si,t-1 = Closing price of the i-th stock on day t-1

Si,t = Closing price of the i-th stock on day t

Divi,t = Dividends payable on the i-th stock index on day t in dollar amount

Ci,t-1 old

= Closing mid price of the i-th expiring call on day t-1

Ci,noon old

= Ask price of the i-th expiring call at noon

Ci,noonnew

= Bid price of the i-th new call at noon

Ci,tnew

= Mid price of the i-th new call on day t

Qiold

= Number of expiring calls written on 1 share of the i-th stock, as defined in formula (6)

Qinew

= Number of new calls written on 1 share of the i-th stock, as defined in formula (6) For those securities for which there is no previous option position:

If the new option meets the minimum bid requirement (bid >= 15 cents and stock price >= $10) at noon, a new position is opened at noon:

1*

*

,,

,,

1,

,,

,

new

nooni

new

inooni

new

ti

new

iti

ti

tinooni

tiCQS

CQS

S

DivSR

(5b)

If the new option does not meet the minimum bid requirement at noon, but does meet this requirement at close, a new position is opened at the close:

1*

*

,,1,

,,,,

,

new

bidti

new

iti

new

midti

new

ititi

tiCQS

CQDivSR

(5c)

Otherwise the stock belongs to Group C. Group B: For each stock in this group, let the option expire at intrinsic value.

At Friday close, write new options if

stock price >= $10, and

option bid >= 15 cents

In this case, return is calculated as:

𝑅𝑖,𝑡 = (𝑆𝑖,𝑛𝑜𝑜𝑛−𝑄𝑖

𝑜𝑙𝑑∗ 𝐶𝑖,𝑛𝑜𝑜𝑛,𝑚𝑖𝑑𝑜𝑙𝑑 +𝐷𝑖𝑣𝑖,𝑡

𝑆𝑖,𝑡−1−𝑄𝑖𝑜𝑙𝑑∗𝐶𝑖,𝑡−1

𝑜𝑙𝑑 ) (𝑆𝑖,𝑡−1.1∗𝑄𝑖

𝑜𝑙𝑑∗ 𝐶𝑖,𝑖𝑛𝑡𝑟𝑖𝑛𝑠𝑖𝑐𝑜𝑙𝑑

𝑆𝑖,𝑛𝑜𝑜𝑛−𝑄𝑖𝑜𝑙𝑑∗ 𝐶𝑖,𝑛𝑜𝑜𝑛,𝑚𝑖𝑑

𝑜𝑙𝑑 ) (𝑆𝑖,𝑡−𝑄𝑖

𝑛𝑒𝑤∗ 𝐶𝑖,𝑡,𝑚𝑖𝑑𝑛𝑒𝑤

𝑆𝑖,𝑡− 𝑄𝑖𝑛𝑒𝑤∗𝐶𝑖,𝑡,𝑏𝑖𝑑

𝑛𝑒𝑤 ) − 1 (5d)

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 7

where:

Si,noon = Mid price of the i-th stock at noon

Si,t-1 = Closing price of the i-th stock on day t-1

Si,t = Closing price of the i-th stock on day t

Divi,t = Dividends payable on the i-th stock index on day t in dollar amount

Ci,t-1 old

= Closing mid price of the i-th expiring call on day t-1

Ci,noon,mid old

= Mid price of the i-th expiring call at noon

Ci,instrinsic old

= Intrinsic value of the i-th expiring call at close. Equals zero for ATM or OTM calls.

Ci,t,midnew

= Closing mid price of the i-th new call on day t

Ci,t,bidnew

= Closing bid price of the i-th new call on day t

Qiold

= Number of expiring calls written on 1 share of the i-th stock, as defined in formula (6)

Qinew

= Number of new calls written on 1 share of the i-th stock, as defined in formula (6)

Otherwise, the index does not write new options and return is calculated as:

𝑅𝑖,𝑡 = (𝑆𝑖,𝑛𝑜𝑜𝑛− 𝑄𝑖

𝑜𝑙𝑑∗𝐶𝑖,𝑛𝑜𝑜𝑛,𝑚𝑖𝑑𝑜𝑙𝑑 +𝐷𝑖𝑣𝑖,𝑡

𝑆𝑖,𝑡−1−𝑄𝑖𝑜𝑙𝑑∗𝐶𝑖,𝑡−1

𝑜𝑙𝑑 ) (𝑆𝑖,𝑡−1.1∗ 𝑄𝑖

𝑜𝑙𝑑∗𝐶𝑖,𝑖𝑛𝑡𝑟𝑖𝑛𝑠𝑖𝑐𝑜𝑙𝑑

𝑆𝑖,𝑛𝑜𝑜𝑛− 𝑄𝑖𝑜𝑙𝑑∗𝐶𝑖,𝑛𝑜𝑜𝑛,𝑚𝑖𝑑

𝑜𝑙𝑑 ) − 1 (5e)

Group C: For each stock in this group, the return of the constituents is calculated.

𝑅𝑖,𝑡 = (𝑆𝑖,𝑡+𝐷𝑖𝑣𝑖,𝑡

𝑆𝑖,𝑡−1) − 1 (5f)

Step 3 – Return of the index is the weighted average of the stock covered calls. See formula (2). Determining the Number of Call Options to Write Number of options = Y = Number of shares in the index /100

(3)

When a position is opened where the option delta at that time (noon or close) >.30: Number of options = Y * .25/delta of option

Qi is the number of options written per share of the i-th underlying stock. If the roll day is an S&P 500 rebalancing day Qi is determined using the number of shares of the i-th stock in the index on day t+1 , i.e. the post rebalance float adjusted shares of the i-th stock in the index. On each roll day, it is determined as:

Qi =Number of options on the i−th stock∗100

Number of shares of the i−th stock in the index (6)

An S&P 500 rebalancing day refers to the quarterly share updates that take place. Determining the Strike of the Call Options After the close of the trading day prior to the roll day, the implied volatility of each constituent of the underlying Index is calculated. Please refer to Appendix A for the implied volatility calculation. Implied volatility is published on the CBOE website (www.cboe.com) on the option expiration date.

3 Rounded down to the nearest whole number.

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 8

The strike of the new call option, K, is ¾ voli above the opening price of the i-th stock on the roll day.

)*75.01( ii

t

i volPK (7)

where:

Pt i = Opening price of the i-th stock on day t.

For all stocks as part of Step 1, K is calculated immediately after the market open to determine if they belong in Group A or Group B. K is rounded to the second decimal point. If the calculated strike price, K

i, falls between two option strikes, the call option that is immediately below

Ki is chosen so long as K

i is OTM or ATM. If the strike immediately below is ITM then use the lower of

the ATM or first OTM strike. If both the first and second OTM options have zero bid, no new option is written on this stock. If writing at K

i does not meet the minimum bid requirement (bid >= 15 cents) we move to the next strike

below Ki ( K

j). K

j must be OTM or ATM and meet the minimum bid requirement of 15 cents for a new

position to be opened. If Kj is ITM, the option is not written.

If K cannot be calculated due to missing implied volatility or any other reason, the index writes the first OTM call option. For more information on the Index calculation methodology, please refer to S&P Dow Jones Indices’ Index Mathematics Methodology.

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 9

Index Maintenance

Rebalancing

All indices in the index family are rebalanced to maintain the weight of the underlying index. Changes in the underlying index constituents are incorporated in the covered call index calculation on the effective day. Monthly Roll At the monthly roll (option expiration Friday), call options that expire in the current month are either rolled to the next month or expire worthless if they are OTM or ATM. ITM calls are bought back at intrinsic value *1.10. All options which are not rolled are rewritten at the close on Friday. The index is calculated as described in formula (5a) to (5f).

If the stock price of an equity security is < $10, we do not write an option on it.

If there is a 15 cent roll spread we buy back the option at the Friday noon .price and rewrite at Friday noon.

If a previously written option is ITM at expiration we buy back the option at intrinsic* 1.10.

If a previously written option is OTM or ATM we let it expire worthless.

If an underlying option is not written at the monthly roll day because it did not meet the minimum thresholds, there is no option position on the underlying constituent until it is re-evaluated at the following monthly roll.

For corporate actions where the shares of a constituent are reduced resulting in a reduction in the weight of that constituent, the index buys back the proportionate number of contracts at the closing offer price on the day prior to the corporate action effective date. Therefore, Qi remains unchanged if Xi is reduced. For spinoffs, the index buys back the corresponding call option at the closing offer price on the day prior to the corporate action effective date. For corporate actions where a constituent is deleted, the index buys back the corresponding option position at the closing offer price the day prior to the index corporate action effective date. Therefore, Qi=0 if a constituent is deleted. For all other corporate actions, no adjustment is made to the existing options position. This includes, but is not limited to, stock splits/consolidation, rights offerings, share updates and special dividends. For example, in the case of a split or consolidation of a constituent, the option shares, strike price and/or the option multiplier would be adjusted automatically in a corresponding manner by the CBOE to account for the corporate action (the type of adjustment made would follow the general market convention for adjusting options in these circumstances on a case by case basis). No other adjustment would be necessary by the index. No new option positions are opened between monthly rolls. Therefore Qi is reduced if Xi shares are increased. The adjusted Qi is calculated using formula (8). At each monthly roll day, new adds and weights are evaluated to determine if an option is written as per the existing criteria.

adjusted

i

iiadjusted

iX

XQQ

*

(8)

For more information, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document located on our Web site, www.spdji.com.

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 10

Index Governance

Index Committee

S&P Dow Jones Indices’ Global Benchmarks Index Committee maintains the indices. All committee members are full-time professional members of S&P Dow Jones Indices’ staff. The committee meets regularly. At each meeting, the Index Committee reviews pending corporate actions that may affect index constituents, statistics comparing the composition of the indices to the market, companies that are being considered as candidates for addition to an index, and any significant market events. In addition, the Index Committee may revise index policy covering rules for selecting companies, treatment of dividends, share counts, or other matters. S&P Dow Jones Indices considers information about changes to its indices and related matters to be potentially market moving and material. Therefore, all Index Committee discussions are confidential. For information on Quality Assurance and Internal Reviews of Methodology, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document located on our Web site, www.spdji.com.

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 11

Index Policy

Announcements

All index constituents are evaluated daily for data needed to calculate index levels and returns. Any unusual treatment of a corporate action or short notice of an event may be communicated via email to clients. All methodology changes are posted to the S&P Dow Jones Indices’ Web site and announced via email to all clients. The latest available version is posted on the Web site at www.spdji.com. For more information on S&P Dow Jones Indices’ announcements, please refer to the Announcement Policy located on our Web site, www.spdji.com.

Holiday Schedule

The index is calculated daily when NYSE and CBOE are open for official trading and official settlement prices are provided, excluding holidays and weekends. A complete holiday schedule for the year is available at www.spdji.com.

Rebalancing

The index committee may change the date of a given rebalancing for reasons including market holidays occurring on or around the scheduled rebalancing date. Any such change will be announced with proper advance notice where possible.

Unscheduled Exchange Closures

For information on Unexpected Exchange Closures, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document located on our Web site, www.spdji.com.

Recalculation Policy

For information on the recalculation policy, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document located on our Web site, www.spdji.com. For information on Calculations and Pricing Disruptions, Expert Judgment and Data Hierarchy, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices document located on our Web site, www.spdji.com.

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 12

Index Dissemination

Tickers

Daily index values, corporate actions, index weights and portfolios can be received via S&P Dow Jones Indices’ FTP site. Additionally, daily index values can be viewed on Bloomberg and Reuters. The tickers are listed below:

Index Bloomberg Reuters

S&P 500 Stock Covered Call Index SPXCC .SPXCC

S&P 500 Financial Select Sector Stock Covered Call Index IXMCC .IXMCC

S&P 500 Energy Select Sector Stock Covered Call Index IXECC .IXECC

FTP

Daily stock level and index data is available via FTP subscription. For product information, please contact S&P Dow Jones Indices, www.spdji.com/contact-us.

Web site

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

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 13

Appendix A

Implied Volatility Calculation

At Friday opening, we identify the first OTM option of each stock. Implied volatility is calculated on that option using Thursday night closing values.

The Newton-Raphson method is used to converge on the implied volatility of the first OTM call option priced from the Black-Scholes pricing model. The process is iterated until the degree of accuracy, E, is > | Pi – Prem | and the implied volatility is chosen.

The Implied Volatility is defined as:

Vega

Prem - P - i

i1 i

where:

σ i = The implied volatility. The Manaster and Koehler seed value is used as the initial

estimate of volatility.

E = 0.000001

Pi = Black-Scholes Theoretical Option Price at σ i

Prem = Mid-Price of the Call Option

Vega = Vega of the Call Option. Calculated as )1('** U dNT

in the Black-Scholes model.

U = Current Stock Price less the present value of the expected annual dividend

The volatility of each stock is calculated as:

252

exp#*

iretodaystradingvolatilityimpliedvol ii

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 14

S&P Dow Jones Indices’ Contact Information

Index Management

David M. Blitzer, Ph.D. – Managing Director & Chairman of the Index Committee

david.blitzer@spglobal.com +1.212.438.3907

Product Management

Vinit Srivastava – Managing Director, Strategy Indices

vinit.srivastava@spglobal.com +1.212.438.4168

Media Relations

Soogyung Jordan – Communications

soogyung.jordan@spglobal.com +1.212.438.2297

Client Services

index_services@spglobal.com

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 15

Disclaimer Copyright © 2017 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved. STANDARD & POOR’S, S&P, SPDR, S&P 500, S&P EUROPE 350, S&P 100, S&P 1000, S&P COMPOSITE 1500, S&P MIDCAP 400, S&P SMALLCAP 600, GIVI, GLOBAL TITANS, S&P RISK CONTROL INDICES, S&P GLOBAL THEMATIC INDICES, S&P TARGET DATE INDICES, S&P TARGET RISK INDICES, DIVIDEND ARISTOCRATS, STARS, GICS, HOUSINGVIEWS, INDEX ALERT, INDEXOLOGY, MARKET ATTRIBUTES, PRACTICE ESSENTIALS, S&P HEALTHCARE MONITOR, SPICE, and SPIVA are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”). DOW JONES, DJ, DJIA and DOW JONES INDUSTRIAL AVERAGE are registered trademarks of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks together with others have been licensed to S&P Dow Jones Indices LLC. Redistribution, reproduction and/or photocopying in whole or in part are prohibited without written permission. This document does not constitute an offer of services in jurisdictions where S&P Dow Jones Indices LLC, Dow Jones, S&P or their respective affiliates (collectively “S&P Dow Jones Indices”) do not have the necessary licenses. All information provided by S&P Dow Jones Indices is impersonal and not tailored to the needs of any person, entity or group of persons. S&P Dow Jones Indices receives compensation in connection with licensing its indices to third parties. Past performance of an index is not a guarantee of future results. It is not possible to invest directly in an index. Exposure to an asset class represented by an index is available through investable instruments based on that index. S&P Dow Jones Indices does not sponsor, endorse, sell, promote or manage any investment fund or other investment vehicle that is offered by third parties and that seeks to provide an investment return based on the performance of any index. S&P Dow Jones Indices makes no assurance that investment products based on the index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor, and S&P Dow Jones Indices makes no representation regarding the advisability of investing in any such investment fund or other investment vehicle. A decision to invest in any such investment fund or other investment vehicle should not be made in reliance on any of the statements set forth in this document. Prospective investors are advised to make an investment in any such fund or other vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or other investment product or vehicle. S&P Dow Jones Indices LLC is not a tax advisor. A tax advisor should be consulted to evaluate the impact of any tax-exempt securities on portfolios and the tax consequences of making any particular investment decision. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. These materials have been prepared solely for informational purposes based upon information generally available to the public and from sources believed to be reliable. No content contained in these materials (including index data, ratings, credit-related analyses and data, research, valuations, model, software or other application or output therefrom) or any part thereof (“Content”) may be modified, reverse-engineered, reproduced or distributed in any form or by any means, or stored in a database or retrieval system, without the prior written permission of S&P Dow Jones Indices. The Content shall not be used for any unlawful or unauthorized purposes. S&P Dow Jones Indices and its third-party data providers and licensors (collectively “S&P Dow Jones Indices Parties”) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Dow Jones Indices Parties are not responsible for any errors or omissions, regardless of the cause, for the results obtained from the use of the Content. THE CONTENT IS PROVIDED ON AN “AS IS” BASIS. S&P DOW JONES INDICES PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY

S&P Dow Jones Indices: S&P 500 Stock Covered Call Index Family Methodology 16

SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Dow Jones Indices Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs) in connection with any use of the Content even if advised of the possibility of such damages. S&P Global keeps certain activities of its various divisions and business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain divisions and business units of S&P Global may have information that is not available to other business units. S&P Global has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process. In addition, S&P Dow Jones Indices provides a wide range of services to, or relating to, many organizations, including issuers of securities, investment advisers, broker-dealers, investment banks, other financial institutions and financial intermediaries, and accordingly may receive fees or other economic benefits from those organizations, including organizations whose securities or services they may recommend, rate, include in model portfolios, evaluate or otherwise address.