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REUTERS/Russell Boyce

THOMSON REUTERS CONVERTIBLE INDICES METHODOLOGY

Revision 6 – Final 30 December 2016

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Contents

1. OVERVIEW 1

1.1 Index Governance 1

1.2 Market Feedback 2 1.2.1. User Base 3 1.2.2. Index Advisory Group 3

1.3 Management of feedback 3

1.4 Historical notes 4 1.4.1. Historical calculation arrangements 4 1.4.2. Transitional Arrangements 4

1.5 Effective Date for Methodology changes 4

2. THOMSON REUTERS GLOBAL CONVERTIBLE INDEX MAINTENANCE 5

2.1 Overview of the Global Index maintenance process 5 2.1.1 Overview of the Quarterly Reselection Process 5 2.1.2 Allocation of dates for timetable 6

2.2 Quarterly Index Reselection – Initial Reselection Report 7 2.2.1 Initial Reselection Report - Overview 7 2.2.2 Eligible Issues 7

2.2.2.1 Issue Type Requirements (Not an Index constituent) 7 2.2.2.2 Issue size Requirements (Not an Index constituent) 7

2.2.3 Quantitative Recommendations for Issues on the Eligible List 8 2.2.3.1 Traded Value derivation for Quarterly Index Reselection 9 2.2.3.2 Qualifying Prices derivation for Quarterly Index Reselection 9 2.2.3.3 Issues which receive exceptional treatment 9 2.2.3.4 Requirements for Issues that are Global Index constituents 9 2.2.3.5 Requirements for Issues that are not Global Index constituents 10

2.2.4 Categorisation of Issues 11 2.2.5 Proposed Action 11

2.3 Categorisation Review 12 2.3.1 Recommendations – special notes 12

2.4 Quarterly Index Reselection review process 13 2.4.1 Overview 13 2.4.2 Index Manager role in the review process 13

2.5 New issues added between Quarterly Index Reselections 14 2.5.1 New issues added between reselections – overview 14 2.5.2 Index Manager review of New Issues 14 2.5.3 New Issue Guidelines – Minimum Size 15 2.5.4 New issue guidelines – minimum liquidity 15 2.5.5 Index Status Report 15

2.6 Issues removed between Quarterly Index Reselections 18 2.6.1 Detail on Drop process 18

2.6.1.1 Overall flow of the Drop process 18 2.6.1.2 Resolution of conflicting guidelines 18 2.6.1.3 Index Manager role in the Drop Process 19

2.6.2 Guidelines for removal between Quarterly Index Reselections 19 2.6.2.1 Issue approaching final conversion date 19 2.6.2.2 Market Capitalisation below threshold 20 2.6.2.3 Issue is subject to a successful tender offer for the entire issue 20

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2.6.2.4 Exchange property de-listed 21 2.6.2.5 Issue becomes impractical to price 21 2.6.2.6 Issue approaching a Put 21 2.6.2.7 Issue subject to an offer 22 2.6.2.8 Proactive Deselection 24

2.7 Outstanding Issue Size Changes 24 2.7.1 Small adjustments 25 2.7.2 Substantially all retired 25 2.7.3 Substantial Changes 25

2.8 Other changes between Quarterly Index Reselections 25 2.8.1 Technical changes 25 2.8.2 Proactive selection or change 26

2.9 Delayed and retrospective information 26 2.9.1 Retrospective adjustment of prices for Adds, Drops and volume adjustments 26

3. SUB-INDEX MAINTENANCE 27

3.1 Overview of sub-indices 27

3.2 Static Sub-indices 27 3.2.1 Static Sub-indices – common aspects 27 3.2.2 Region Sub-indices 27 3.2.3 Vanilla Sub-indices 28 3.2.4 Credit Sub-indices 29

3.3 Dynamic Sub-indices 31 3.3.1 Focus Sub-index 31

3.3.1.1 Focus Sub-index overview 31 3.3.1.2 Focus Monthly Review timetable 32 3.3.1.3 Focus Universe selection 32 3.3.1.4 Guidelines for Balanced issues 32 3.3.1.5 Amendment of Guidelines for Balanced Issues by the Index Manager 34 3.3.1.6 Focus Sub-index selection from Focus Universe 34

4. EQUITY INDICES 36

4.1 Overview of Equity Indices 36

4.2 Parity Indices 36

4.3 Equity Cash Indices 36 4.3.1 Equity Cash Since Inception Indices 36 4.3.2 Equity Cash Year to Date Indices 36 4.3.3 Equity Cash Quarter to Date Indices 36 4.3.4 Equity Cash Year on Year Indices 37

5. INDEX CALCULATION METHODS 38

5.1 Regular Index Calculation 38 5.1.1 Daily Index Calculation 38 5.1.2 Treatment of Income Events 39 5.1.3 Treatment of changes of constituents or weightings 40

5.2 FX Hedged Index Calculation 40 5.2.1 FX Hedged Methodology 40 5.2.2 FX Hedged Implementation 41

5.3 Concentration Factors 42 5.3.1 Concentration Levels 42 5.3.2 Concentration Factor changes 44 5.3.3 Concentration Factor calculation 44

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5.3.4 Concentration Factor usage 45

6. APPENDIX 46

6.1 Equity-Linked Issue & Exchange Property 46 6.1.1 Definition of an Equity-Linked issue 46 6.1.2 Exchange Property 46

6.2 Naming Methodology 46

6.3 Definitions and Derivations 46 6.3.1 Overview 46 6.3.2 Issue Price 47 6.3.3 Original Issue Size 47 6.3.4 Initial Issue Proceeds & Outstanding Issue Proceeds 47 6.3.5 Accreted Issue Proceeds 47 6.3.6 Issue Premium 47 6.3.7 Market Capitalisation 48 6.3.8 Face Value 48 6.3.9 Parity 48 6.3.10 Premium 48 6.3.11 Traded Value 48

6.4 Qualifying Prices 49 6.4.1 Overview 49 6.4.2 Qualifying price conditions 49

6.4.2.1 Absolute conditions 49 6.4.2.2 Relative condition 49

6.5 Price Basis 49 6.5.1 Overview 49 6.5.2 Price basis 49 6.5.3 Price sources 50 6.5.4 Price timings 50 6.5.5 Recognised exchanges 51

6.5.5.1 Equity exchanges 51 6.5.5.2 Convertible exchanges 51

6.5.6 Index Manager role in Pricing 51 6.5.6.1 Index Manager role in end of day pricing 51 6.5.6.2 Index Manager role in pricing Adds and Drops 51

6.5.7 TRPS Closing Price 52

6.6 Country and Region Details 52 6.6.1 Method of allocation of Country and Region 52

6.7 Credit Rating detail 54 6.7.1 Rating equivalence table 54 6.7.2 Issuer Rating derivation 55

6.8 Equity Dividend Treatment 55

6.9 Index Calendar 55

7. COMMUNICATION OF INDEX EVENTS 57

7.1 Overview 57

7.2 E-mail announcements 57 7.2.1 Subscription Lists 57 7.2.2 Announcement Group 57

7.3 Daily Change Report 57 7.3.1 Index Status Report 57

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7.3.2 Index Changes Report 58

7.4 Amendments to Reports 58

8. SUB-INDICES - DEFINITIONS 59

8.1 Sub-index groupings 59

8.2 Sub-index tables 59 9.2.1 Headline Indices 60 9.2.2 Global Indices 64 9.2.3 Regional Indices 66 9.2.4 Credit Indices 71 9.2.5 Focus Indices 73

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Thomson Reuters Convertible Index Disclaimer

The name Thomson Reuters Convertible Index and the names of the related Thomson Reuters sub-indices (together the "Thomson Reuters Indices") are proprietary to Reuters Limited ("Thomson Reuters ").

Thomson Reuters does not warrant or represent or provide any guarantee, express or implied, either as to the results to be obtained using the benchmark of the Thomson Reuters Indices or otherwise or the figures or levels at which the Thomson Reuters Indices stand at any particular day. In addition, Thomson Reuters gives no assurance regarding any modification or change in any methodology used in calculating the Thomson Reuters Indices and is under no obligation to continue the calculation, publication and dissemination of the Thomson Reuters Indices.

Furthermore, Thomson Reuters makes no representation or warranty and provides no guarantee, express or implied, to any person with respect to the accuracy or completeness of the Thomson Reuters Indices or their computation and compilation of the Thomson Reuters Indices, including but not limited to, any information or data related thereto or contained therein.

The rules and/or guidelines of the Thomson Reuters Indices, the process and basis of computation and compilation of the Thomson Reuters Indices and the related formula, constituent benchmarks and other relevant factors may at any time be changed or altered by Thomson Reuters without notice and at Thomson Reuters sole discretion. In determining the constituents of the Thomson Reuters Indices and any amendment thereto, Thomson Reuters has no obligation to consider the needs or opinions of any person that uses, tracks or has products referenced to the Thomson Reuters Indices, irrespective of whether or not Thomson Reuters has in fact sought the view(s) of any person using the Thomson Reuters Indices. Thomson Reuters may disclose information, to licensees and others, regarding the Thomson Reuters Indices (and changes thereto) without disclosing such to the public or to counterparties that have products referenced thereto.

No responsibility or liability is accepted by Thomson Reuters its affiliates, officers, employees or agents (whether for negligence or otherwise) in respect of the Thomson Reuters Indices, or for any inaccuracies, omissions, mistakes, delays or errors in the computation and compilation of the Thomson Reuters Indices (and Thomson Reuters shall not be obliged to advise any person of any error therein). Any person that uses, tracks or has products referenced to the Thomson Reuters Indices does so entirely at their own risk, in full knowledge of this disclaimer and can place no reliance whatsoever on Thomson Reuters for any economic or other loss which may be directly or indirectly sustained by such person in using the Thomson Reuters Indices.

The values shown in the Thomson Reuters Indices are not an indicative price quotation and the information in this document is not an offer, recommendation or solicitation to buy or sell securities and should not be treated as giving investment advice.

For avoidance of doubt, this disclaimer does not create any contractual or quasi-contractual relationship between any person and Thomson Reuters and must not be construed to have created such relationship.

The WM/Reuters Closing Spot Rates are provided by The World Markets Company plc (“WM”) in conjunction with Reuters. WM shall not be liable for any errors in or delays in providing or making available the data contained within this service or for any actions taken in reliance on the same except to the extent that the same is directly caused by its or its employees’ negligence.

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1. Overview

The Thomson Reuters Global Convertible Index serves to represent the active convertible market. The index was previously known as the UBS Global Convertible Index prior to the acquisition of the index by Thomson Reuters in June 2014 a brief history of the arrangements prior to the acquisition and the transitional arrangements during the acquisition are set out in Section 1.4

The Global Index was launched on 30 September 1998 with the Global Index and most sub-indices calculated back to 31 December 1993.

The Base Date for the Global Index and all Sub-indices is 30 September 1998.

The Methodology for the Thomson Reuter Indices is determined by Thomson Reuters and may be changed from time to time in accordance with the Thomson Reuters Index Methodology Policy.

The composition of the Global Index is determined via the Quarterly Index Reselection process. In addition, the Global Index changes as a result of Adds and Drops from time to time in between reselections. The sub-indices are generated using a variety of calculation and selection methods.

This document is intended (non-exhaustively) to explain the guidelines used to select and calculate the Thomson Reuter Indices, covering;

Global Quarterly Index Reselection process

Additions to and removals from the Global Index between Quarterly Index Reselections

Selection of Static Sub-indices (Country, Region, Vanilla, Investment Grade)

Selection of Focus Sub-indices

Calculation of Equity Cash and Parity indices

Description of calculation methodologies (Regular and FX hedged)

Communication of Index events

Definition of terms used and basis for prices used in the Global Index

The Thomson Reuters Index Business is responsible for the Administration of the Index. The Index Manager together with the Index Team are responsible for the maintenance and calculation of the Thomson Reuter Indices.

1.1 Index Governance

The Index is administered by Thomson Reuters who make all decisions regarding Adds, Drops, Reselections and changes to Index Methodology, and index calculation.

The index is subject to the Thomson Reuters governance policy for index methodologies:

The Thomson Reuters Benchmark Governance Framework sets the Policies governing each aspect of the index business, including oversight, conflicts of interest, materials retention and remuneration.

The Thomson Reuters Index Methodology Policy describes the requirements that Thomson Reuters Indices Methodologies need to satisfy

The governance of the Thomson Reuters Convertible Index follows the Governance framework described in the relevant documents except where this Methodology provides for specific exceptions.

These policies and procedures are implemented by the functions outlined below which are further described in the relevant Governance documents as appropriate:

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Index Team

The Index Team is responsible for the maintenance, calculation and distribution of the Index as set out in this methodology.

Index Manager

The Index Manager is responsible for the integrity and quality of the index and has specific responsibilities as set out below:

To oversee day to day operations of the Index Team

To interpret the index rules and decide on inclusions and exclusions of individual securities in the index

To review feedback received from the User Base

Develop and implement changes to the Index Methodology

Manage interaction with the Index Advisory Group and Index Action Committee in respect of Index changes and Index Methodology changes

Report to the Thomson Reuters Benchmarks Oversight Committee (“TRBOC”)

Index Action Committee (“IAC”)

The Index Action Committee (“IAC”) is an internal Thomson Reuters group of subject matter experts (indices as well as asset classes) that support the Index Manager with additional advice related to methodology interpretation or changes to the methodology. Specifically, the Index Manager may communicate the feedback obtained from the Index Advisory Group and/or the User Base to solicit advice from the IAC. The IAC reports to the Thomson Reuters Benchmarks Oversight Committee.

Thomson Reuters Benchmarks Oversight Committee

The Thomson Reuters Benchmarks Oversight Committee (“TRBOC”) consists of Thomson Reuters senior managers, and may also include external independent members. This committee is responsible for oversight of the benchmark businesses and is responsible for compliance with all relevant regulations and guidelines, as well as Thomson Reuters Indices policies.

1.2 Market Feedback

The governance of the Thomson Reuters Convertibles Index differs from the general Thomson Reuters Index Governance Frameworks as it includes the ability of all licensors of the Index (the “User Base”) to provide feedback to the Index Manager regarding Add/Drops and Reselection, in addition to the Index Advisory Group.

Maintenance and calculation of the index requires timely, accurate and complete information on the issues that are constituents of the index or are potential constituents of the index.

The information used in the construction and calculation of the index is collated by the Index Team on behalf of the Index Manager from the broad range of information sources available to Thomson Reuters.

It is recognised that on occasions market participants will have information that is relevant to index operations that may not have been considered by the Index Business and the methodology includes a number of processes to allow this information to be utilised by the Index Business whilst maintaining the integrity of the index.

Market feedback may be received from either or both of two sources, the User Base and the Index Advisory Group (“IAG”)

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1.2.1. User Base

The User Base is not a formal group but consists of any user or recipient of index information. It is anticipated that generally feedback will be received from recipients of the Daily Change Report (Section 7.3), although any feedback received will be considered. The Daily Change Report includes details of proposed Adds, Drops and other relevant events and indicates the date on which the Index Manager will review feedback for a particular event.

Feedback should be directed to [email protected]

When considering feedback from the User Base the Index Manager will seek to independently validate any information provided in the feedback, where feedback is qualitative rather than quantitative the Index Manager has the option of using the IAG or IAC to provide assistance in evaluating the feedback.

1.2.2. Index Advisory Group

The IAG is a formal group which is comprised of market participants that are familiar with the index constituents and general index methodology. The IAG is not responsible for any specific decisions in respect of the index but rather provides a mechanism for the Index Manager to procure feedback to a specific question from a market aware group.

IAG members are required to adhere to specific terms of reference, which are published separately to this Methodology and provide a more complete description of activities of the group. The points below provide an outline of the IAG function:

The IAG may be consulted by the Index Manager in relation to any aspect of the maintenance or calculation of the Index when the Index Manager believes that additional market feedback will assist in a particular decision.

The IAG may be consulted by the Index Manager in relation to changes in Methodology.

When the Index Manager refers a maintenance question to the IAG the question will be set out in an e-mail to all IAG members and will include relevant supporting information together with a time by which responses are required.

The Index Manager will consider all responses from the IAG and will seek to validate any information provided in those responses.

Should a response from the IAG contain information that may be of relevance to the remainder of the IAG when considering the question the Index Manager may choose to circulate that information to the IAG in which case the Index Manager will first seek to independently validate the information and will indicate in any e-mail containing the additional information the status of the independent validation.

Any member of the User Base may request membership of the IAG by contacting the Index Manager using the feedback e-mail address. The size and composition of the IAG will be determined by the Index Manager to provide an effective feedback mechanism and as such not all requests for membership may be accepted.

1.3 Management of feedback

The Index Manager will keep a record of all feedback received from the User Base.

The Index Manager will keep a record of all interactions with the IAG.

The Index Manager will maintain a record of all index actions which will include an indication if feedback was received and if the IAG and/or IAC were involved in the decision.

These records will be available for review by the Head of Indices, IAC and TRBOC.

The Index Manager will use feedback in conjunction with all other available information to decide the appropriate action for a particular event and may also seek guidance from the IAC before reaching a final decision.

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1.4 Historical notes

1.4.1. Historical calculation arrangements

From inception of the indices in 1998 until November 2010 the UBS Convertible Indices Calculation Agent was MACE Advisers Ltd.

In November 2010 Thomson Reuters acquired MACE Advisers Ltd, following which, the day to day maintenance and calculation of the Thomson Reuter Indices was carried out by the same team that provided the maintenance and calculation prior to November 2010.

The Index Team consists of the same team that has provided maintenance and calculation since November 2010.

1.4.2. Transitional Arrangements

The transfer of the UBS Global Convertible Index from UBS to Thomson Reuters was subject to the following transitional arrangements:

The maintenance and calculation of the index was carried out in accordance with the UBS Convertible Indices Guidelines dated 9 Jan 2013 until EoD on 9th July 2014.

The Q2 2014 reselection (effective date 9 July 2014) was carried out under the UBS Convertible Indices Guidelines dated 9 Jan 2013.

The maintenance and calculation of the index was be carried out in accordance with the Thomson Reuters Convertible Indices Initial Methodology from 10th July 2014 to 28th July 2014

The maintenance and calculation of the index was carried out in accordance with the Thomson Reuters Convertible Indices Initial Methodology (Rev 2) from 29th July 2014 to 15 September 2014.

From 16 September 2014 onwards the maintenance and calculation of the index will be carried out in accordance with the relevant version of Thomson Reuters Convertible Indices Methodology

1.5 Effective Date for Methodology changes

The effective dates for revisions of the Methodology are:

Revision Effective Date

3 8 October 2014, however

Sections 2.2-2.4 were applied to the Q3 2014 Reselection process (effective data 8 October 2014)

Section 2.5.4 was effective as of 16 September 2014

4 2 December 2014

5 25 November 2015, however the change to the source for FX Rates (Section 6.5.3) is effective as of the Index calculation at end of day on 11 December 2015.

6 30 December 2016 (updated Index Calendar only)

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2. Thomson Reuters Global Convertible Index Maintenance

2.1 Overview of the Global Index maintenance process

The maintenance process consists of a periodic reselection of the Global Index constituents 4 times each year (“Quarterly Index Reselection”) together with additions and removals that are required between reselections.

2.1.1 Overview of the Quarterly Reselection Process

The Reselection Base Date is the base date for data collation for the reselection.

The Reselection Reference Point is the Index calculation carried out at EoD immediately preceding the Reselection Base Date.

During the period from the Reselection Base Date to the Initial Reselection Announcement Date (“Reselection Preparation Period”) data is collated and for each issue the following parameters are determined:

Quantitative Recommendation (Add / Drop / Hold / Exclude)

Categorisation for feedback (In Scope / Out of Scope)

Proposed Action (Add / Drop / Hold / Exclude)

Section 2.2 describes in detail how these parameters are set for each issue.

The Initial Reselection Report contains details of all issues eligible for consideration for the Index together with the Quantitative Recommendation, Categorisation and Proposed Action for each issue.

Following publication of the Initial Reselection Report feedback is solicited from the User Base on the Categorisation of all issues in the report and following review of this feedback and any updated quantitative date the following changes may be made to the Initial Reselection Report by the Index Manager:

Issues may be amended from “Out of Scope” to “In Scope” for the Provisional Reselection Report

Quantitative Recommendations may be amended to reflect updated quantitative data

Proposed Actions may be amended

Section 2.3 describes the review process carried out at this stage.

The amended report is then published as the Provisional Reselection Report.

Following publication of the Provisional Reselection Report feedback is solicited from the User Base on the Proposed Action for any of the issues which are “In Scope” for the reselection and following review of this feedback and any updated quantitative date the Index Manager will Confirm or Decline the Quantitative Recommendation for each issue.

Section 2.4 describes the review process used to determine the final decision for each issue

The Final Reselection Report containing details of all issues eligible for consideration for the Index together with the decision for each issue is published to the User Base on the Final Reselection Announcement Date.

The Reselection Effective Date is the date on which the reselection is applied. This date is the last date that issues being dropped will affect the Global Index level. It is the closing prices on this date which will be used for Adds to and Drops from the Global Index.

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2.1.2 Allocation of dates for timetable

The key date is the Reselection Effective Date, which will be the second Wednesday in January, April, July and October. However, if 1st January is a Wednesday then the date will move to the third Wednesday in January.

The Final Reselection Announcement Date will be one week prior to the Reselection Effective Date.

The Provisional Reselection Announcement Date will be two weeks prior to the Reselection Effective Date.

The Initial Reselection Announcement Date will be three weeks prior to the Reselection Effective Date.

The Reselection Base Date will be four weeks prior to the Reselection Effective Date.

The dates for each Quarterly Index Reselection will be announced prior to the Provisional Reselection Announcement Date. The Index Manager may amend the dates to be used for any reselection. The timetable for the Reselection which becomes effective in January will normally be amended from the above timetable to allow for the December holiday period. The Index calendar (Section 6.9) lists the timetable for future reselections.

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2.2 Quarterly Index Reselection – Initial Reselection Report

2.2.1 Initial Reselection Report - Overview

The Initial Reselection Report includes, for each Eligible Issue:

Quantitative Recommendation (Add / Drop / Hold / Exclude)

Categorisation for feedback (In Scope / Out of Scope)

Proposed Action (Add / Drop / Hold / Exclude)

The Eligible Issues are determined by the process set out in Section 2.2.2.

The Quantitative Recommendation for each issue is determined by the process set out in Section 2.2.3

The Categorisation for feedback for each issue is determined by the process set out in Section 2.2.4

The Proposed Action for each issue is determined by the process set out in Section 2.2.5

The detail of the derivation of each of the parameters used in the generation of the recommendations is given in the Appendix (Section 6).

The FX rates used during the Quarterly Index Reselection are the FX rates at the Reselection Reference Point unless otherwise stated.

2.2.2 Eligible Issues

All issues that are in the Global Index on the Reselection Base Date are eligible for Quarterly Index Reselection.

All issues added to the Global Index on or after the Reselection Base Date are eligible for the Quarterly Index Reselection. These issues will be included in the relevant reports at each stage of the process and will have a Quantitative Recommendation of “Hold – New Issue”

All issues that are not constituents of the Global Index on the Reselection Base Date are eligible for inclusion in the Quarterly Index Reselection only if they meet both the issue type requirements (Section 2.2.2.1) and the issue size requirements (Section 2.2.2.2)

2.2.2.1 Issue Type Requirements (Not an Index constituent)

These requirements apply to issues that are NOT constituents of the Index on the Reselection Base Date.

Issues will meet this requirement if ALL of the following conditions are satisfied.

The issue is an Equity-Linked Convertible Security (as defined in the Appendix section 6.1.1).

The issue must not be a Chinese domestic issue or a Taiwanese domestic issue.

The issue must have an ISIN code.

The maturity date (or mandatory conversion date for mandatory issues) for the issue is after the Reselection Effective Date for the second Quarterly Index Reselection following the current Quarterly Index Reselection.

The issue has not been called as of the Reselection Base Date.

2.2.2.2 Issue size Requirements (Not an Index constituent)

These requirements apply to issues that are NOT constituents of the Index on the Reselection Base Date.

An issue will meet this requirement if the issue meets both the Market Capitalisation and Outstanding Issue Proceeds requirements below:

Market Capitalisation Requirement

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The issue will be meet this requirement if the Market Capitalisation of the issue at the Reselection Reference Point is greater than or equal to US$100m and the Market Capitalisation of the issue at the Reselection Reference Point is greater than or equal to the lesser of US$500m and 40% of the Accreted Issue Proceeds.

Outstanding Issue Proceeds Requirement

Issues will meet this requirement if the Outstanding Issue Proceeds at the Reselection Reference Point equals or exceeds the threshold in the table below for the region of the issue.

Region Threshold

US US$300m

Europe US$200m

Other US$200m

Asia US$100m

Japan US$100m

2.2.3 Quantitative Recommendations for Issues on the Eligible List

A quantitative recommendation is generated for each eligible Issue.

The quantitative recommendations that can be allocated are shown in the tables below.

For Issues that are constituents of the Global Index on the Reselection Base Date

Recommendation Description

Hold Recommend that the issue remains in the Index following the Reselection on the basis that the issue has satisfied both the issues size tests (Section 2.2.3.4.1) and the liquidity tests (Section 2.2.3.4.2)

Hold – New Issue Recommend that the issue remains in the Index following the reselection on the basis that the issue has been added as a new issue on or after the prior Reselection Base Date (Section 2.2.3.3)

Hold – Pending Drop

Recommend that the issue remains in the Index following the Reselection on the basis that a Drop date for the issue has been announced where the Effective Date for the Drop falls after the Reselection Effective Date.

The issue will be a Hold at the Reselection, but will be removed from the Index on the announced Effective Drop Date. (Section 2.2.3.3)

Drop Recommend that the issue in not in the Index following the Reselection on the basis that the issue has satisfied the issue size tests (Section 2.2.3.4.1) but has not satisfied the liquidity tests (Section 2.2.3.4.2)

Drop due to size Recommend that the issue in not in the Index following the Reselection on the basis of the issue size tests (Section 2.2.3.4.1)

Drops before Resection

Recommend that the issue in not in the Index following the Reselection on the basis of that the issue has been announced as a Drop with an Effective Date on or prior to the Reselection Effective Date (Section 2.2.3.3)

For Issues that are NOT constituents of the Global Index on the Reselection Base Date

Recommendation Description

Add Recommend that the issue is added to the Index at the Reselection on the basis that the issue has satisfied the liquidity tests (Section 2.2.3.5.1)

Exclude Recommend that the issue is NOT added to the Index at the Reselection on the basis that the issue has not satisfied the liquidity tests (Section 2.2.3.5.1)

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2.2.3.1 Traded Value derivation for Quarterly Index Reselection

The Quarterly Traded Value used for the liquidity tests during the Quarterly Index Reselection is calculated using the sum of the daily Traded Value (Section 6.3.11 describes the derivation of Traded Value) from and including the Reselection Base Date for the prior Quarterly Index Reselection up to and including the day before the Reselection Base Date for the current Quarterly Index Reselection (Raw Traded Value).

The Raw Traded Value data is adjusted to reflect a standard 65 weekday period by using the formula:

Quarterly Traded Value = Raw Traded Value * 65 / Number of weekdays in sample period

2.2.3.2 Qualifying Prices derivation for Quarterly Index Reselection

The procedure for determining the number of Qualifying Prices available for an issue is described in Section 6.4.

The number of Qualifying Prices available for each issue that is to be used for the liquidity tests during the Quarterly Index Reselection is obtained by sampling the available prices during the Reselection Preparation Period.

The prices for each issue will be sampled one or more times during the Reselection Preparation period and the Qualifying Prices value used for the liquidity tests will be the highest value obtained.

2.2.3.3 Issues which receive exceptional treatment

The following issues receive exceptional treatment in the reselection:

(i) Any issue added to the Global Index on the basis of the new issue guidelines on or after the Reselection Base Date of the Quarterly Index Reselection that immediately preceded the current Quarterly Index Reselection will be recommended as Hold - New Issue. However, in the event that the issue was dropped from the Index prior to the Reselection Base Date the issue will not receive exceptional treatment in the reselection.

(ii) Any issue announced as a Drop from the Index with an Effective Drop Date falling after the Reselection Effective Date will be recommended as Hold – Pending Drop.

(iii) Any issue which is dropped from the Index with an Effective Drop Date on or after the Reselection Base date and on or before the Reselection Effective Date will included with a recommendation of Drops before Reselection.

2.2.3.4 Requirements for Issues that are Global Index constituents

For issues that are Global Index constituents as of the Reselection Base Date, the process below determines the recommendation for each issue.

Section 2.2.3.4.1 describes the tests for issue size; issues failing to meet the tests receive a Drop due to size recommendation.

Section 2.2.3.4.2 describes the tests for liquidity; these tests are only applied to issues that satisfy the issue size test. Issues that satisfy either test receive a Hold recommendation; issues failing to satisfy either test receive a Drop recommendation.

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2.2.3.4.1 Issue size tests (Index constituents)

The issue will be recommended as Drop due to size if the Outstanding Issue Proceeds at the Reselection Reference Point are below the threshold for the region of the issue. The threshold for each region is

Region Threshold

US US$250m

Europe US$150m

Other US$150m

Asia US$75m

Japan US$75m

The issue will be recommended as a Drop due to size if the Market Capitalisation of the issue at the Reselection Reference Point is below US$75m.

The issue will be recommended as a Drop due to size if the Market Capitalisation of the issue at the Reselection Reference Point is below the lesser of US$400m and 30% of the Accreted Issue Proceeds.

2.2.3.4.2 Liquidity test (Index constituents)

This test is only applied to issues which satisfy the Issues Size tests above. The issue will be recommended as a Hold if the issue satisfies either of the liquidity tests below.

2.2.3.4.2.1 Qualifying Prices test (Index constituents)

The qualifying prices test is not applied to issues which have a regional categorisation of US.

The issue will be recommended as a Hold if there are 2 or more Qualifying Prices available for the issue.

2.2.3.4.2.2 Traded Value Test (Index constituents)

The issue will be recommended as a Hold if the Traded Value for the issue is greater than or equal to 7% of the Market Capitalisation of the issue on the Reselection Base Date.

2.2.3.5 Requirements for Issues that are not Global Index constituents

For issues that are not Global Index constituents as of the Reselection Base Date, the process below determines the recommendation for each issue.

Section 2.2.3.5.1 describes the tests for liquidity; issues meeting either of the tests for liquidity will receive an Add recommendation, issues failing both tests will be recommend as Exclude.

2.2.3.5.1 Liquidity test (Not an Index constituent)

The issue will be recommended as an Add if the issue satisfies either of the liquidity tests below.

2.2.3.5.1.1 Qualifying Prices Test (Not an Index constituent)

The qualifying prices test is not applied to issues which have a regional categorisation of US.

The issue will be recommended as an Add if there are 3 or more Qualifying Prices available for the issue.

2.2.3.5.1.2 Traded Value Test (Not an Index constituent)

The issue will be recommended as an Add if the Traded Value for the issue is greater than or equal to 14% of the Market Capitalisation of the issue on the Reselection Base Date.

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2.2.4 Categorisation of Issues

Each issue in the Initial Reselection Report will be categorised as either “In Scope” or “Out of Scope” for the Provisional Reselection.

The categorisation of any “Out of Scope” issue may be changed to “In Scope” following the review of feedback prior to publication of the Provisional Reselection Report.

The categorisation of any issue marked as “In Scope” will not be changed following the review of feedback prior to publication of the Provisional Reselection Report.

The basis of the categorisation is shown in the table below

Recommendation Categorisation Guideline

Add In Scope unless the issue was recommended as an Add at the prior Reselection as was subsequently not added to the Index in which case the issue is categorised as Out of Scope.

Drop In Scope unless the issue was recommended as a Drop at the prior Reselection as was subsequently retained in the Index in which case the issue is categorised as Out of Scope.

Hold Out of Scope

Hold – New Issue Out of Scope

Hold – Pending Drop

Out of Scope

Drop due to size Out of Scope

Drops before Resection

Out of Scope

Exclude Out of Scope

2.2.5 Proposed Action

The proposed action for each issue follows from the Quantitative Recommendation and Categorisation for the issue as shown in the table below.

Recommendation Categorisation Proposed Action

Add In Scope Add subject to feedback received

Add Out of Scope Will not be considered for addition to the Index unless the categorisation is amended during the Categorisation Review

Drop In Scope Drop subject to feedback received

Drop Out of Scope Will not be considered for removal from to the Index unless the categorisation is amended during the Categorisation Review

Hold – New Issue Out of Scope Will remain in the Index unless categorisation is amended during the Categorisation Review Hold – Pending Drop Out of Scope

Drop due to size Out of Scope Will be removed from the Index unless categorisation is amended during the Categorisation Review

Drops before Resection Out of Scope Will be removed from the Index

Exclude Out of Scope Will not be considered for addition to the Index unless the categorisation is amended during the Categorisation Review

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2.3 Categorisation Review

The Initial Reselection Report will solicit feedback on the categorisation of issues and will indicate a cut-off time of 12:00 on the day before the Provisional Reselection Announcement Date. Feedback received after the cut-off time may or may not be considered in the review process.

The Index Manager will review all feedback received regarding the categorisation of issues and determine the action to be taken in respect of each issue listed in the Initial Reselection Report.

The categorisation of issues listed in the Initial Reselection report as In Scope may not be amended.

The categorisation of issues listed in the Initial Reselection report as Out of Scope may be amended by the Index Manager to In Scope under the following circumstances:

Feedback received indicates the Proposed Action may be amended if the issue is In Scope during the Provisional Reselection.

Updated quantitative data indicates the Proposed Action may be amended if the issue is In Scope during the Provisional Reselection.

If the categorisation of an issue is changed then the reason for the change will be included as a note in the Provisional Reselection Report.

2.3.1 Recommendations – special notes

The Provisional Reselection Report may include special notes in certain circumstances. The Index Manager will determine if a special note is to be added to an issue.

The special note will be included in the Provisional Reselection Report and will indicate that there will be a presumption that the recommendation will be declined by the Index Manager at review subject to any feedback received during the Reselection Review Period. The note will include an explanation of the reason that the note has been added.

The Index Manager may add a special note to the recommendation if, since the Reselection Base Date:

The Market Capitalisation or Outstanding Issue Proceeds have reduced substantially such that the issue no longer satisfies the size tests.

The price has declined substantially and the Qualifying Prices test is no longer satisfied.

An issue recommended as an Add is called for redemption.

An issue recommended as an Add is subject to an Offer that materially affects the issue.

Quantitative data or market information indicates that the liquidity of the issue has substantially altered during the Reselection Review Period.

By way of guidance a substantial price movement would be around 15% more then general market movement for similar issues.

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2.4 Quarterly Index Reselection review process

2.4.1 Overview

Following publication of the Provisional Reselection Report to the User Base, the Index Manager will review all feedback received regarding the recommendations and determine the action to be taken in respect of each issue included in the Provisional Reselection Report.

Feedback will only be considered for issues that are listed as In Scope in the Provisional Reselection Report.

2.4.2 Index Manager role in the review process

The provisional Reselection Report will solicit feedback on the recommendations and will indicate a cut-off time of 12:00 on the day before the Final Reselection Announcement Date. Feedback received after the cut-off time may or may not be considered in the review process.

In respect of feedback received for issues listed as In Scope in the Provisional Reselection Report the Index Manager will use the table below to determine the action to be taken.

Recommendation No Feedback received

Clear consensus supporting Recommendation

Clear consensus

to decline Recommendation

No clear consensus on Recommendation

Add Add Add Exclude Exclude

Drop Drop Drop Hold Hold

Hold Hold Hold Drop Hold

Exclude Exclude Exclude Add Exclude

However;

(i) If a special note (Section2.3.1) has been applied to the issue then the presumption is that the Index Manager will decline the original recommendation unless there is a clear consensus to confirm the original recommendation.

(ii) If quantitative data or market information that was not available during the Reselection Preparation Period indicates a substantial and material change to the issue then the Index Manager may amend the original recommendation to reflect that information.

The Index Manager may ask the IAG and/or the IAC for feedback and/or guidance on any of the decisions required during the Reselection Review Period.

The Final Reselection Report contains details of all issues eligible for consideration for inclusion in the Index together with the action to be taken for each issue (Hold, Add, Drop or Exclude). The report also includes details of the original recommendation and any notes added by the Index Manager.

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2.5 New issues added between Quarterly Index Reselections

2.5.1 New issues added between reselections – overview

The overall approach is that the Index Team will review all new issues that they become aware of and add to the Index Status Report any issue that meet the new issue minimum size threshold set out in Section 2.5.3 with a status of “Monitor for Add”.

All new issues included in the Index Status Report will be monitored daily for liquidity until the 14th calendar day after the date on which the terms are fixed (“Terms Fix Date”). The Index Manager may extend the monitoring period if there is good reason believe that the liquidity threshold will be met in the near future.

If at any point during the monitoring period an issue meets both the new issue minimum size threshold set out in Section 2.5.3 and the liquidity criteria set out in Section 2.5.4 the issue will be identified as a “Potential Add” to the Global Index in the next Index Status Report issued after the conditions have been satisfied and the Index Manager will determine, based on feedback, if the issue is to be added to the Global Index (Section 2.5.2 below describes this process in more detail)

The Index Manager may decide, based on feedback, to identify as a Potential Add a new issue that does not meet the liquidity criteria set out in Section 2.5.4. Any issues identified as a Potential Add on this basis will be highlighted in the Quarterly New Issues Report.

Issues that are not added as a new issue are eligible for consideration for addition to the Global Index at the subsequent Quarterly Index Reselection.

A summary of all new issues included in the Index Status Report together with the Index Manager decision on each issue is published in the Quarterly New Issues Report.

The term Workday is used to describe a weekday that is not a UK bank holiday.

2.5.2 Index Manager review of New Issues

The Index Manager will review all feedback received on each Potential Add at 12:00 London time on the third Workday following the announcement of the Potential Add to the User Base. The presumption is that the issue will be confirmed as an Add unless there is a clear reason to decline the Add.

The Index Manager will take one of the following actions:

(i) Confirm the issue as an Add, the Add Announcement Date will be the same day as the decision. The Add Effective Date will be decided by the Index Manager, but will generally be the following Workday. The issue will be added to the index at EOD on the Add Effective Date and will contribute to index performance at the first index calculation following the Add Effective Date.

(ii) Decline the issue as an Add.

(iii) Ask the IAC and/or IAG for feedback and/or guidance on the decision. In general this will result in the decision being delayed and the status of the issue in the Index Status Report will be amended to reflect the status of the issue.

(iv) Delay the decision to await further feedback. This option will only be used when there is good reason to expect additional material feedback on the Add. The status of the issue in the Index Status Report will be amended to reflect the status of the issue.

In all cases the Index Manager decision will be communicated to the User Base by means of the Index Status Report

If an issue is declined as an Add the issue will remain on the Index Status Report until the end of the monitoring period with a status of “Declined”. The Index Manager may review the “Declined” decision at any time during the monitoring period if new information becomes available and if appropriate reset the status to “Potential Add” and trigger a new review process.

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2.5.3 New Issue Guidelines – Minimum Size

The Initial Issue Proceeds must equal or exceed the regional threshold shown in the table below.

Region Threshold

US US$300m

Europe US$200m

Other US$200m

Asia US$100m

Japan US$100m

For issues not denominated in US$ the Initial Issue Proceeds will be translated to US$ at the FX rates used for Global Index calculations at the end of the weekday preceding the Terms Fixing Date.

For issues where an ‘option to increase’ is exercised in part or in whole, the issue will be re-assessed after the announcement of the increase option exercise. Where an FX rate is required, the same FX rate will be used for the re-assessment as for the original assessment of the issue. This re-assessment will only be carried out if the information regarding the increase is available prior to the end of the monitoring period.

2.5.4 New issue guidelines – minimum liquidity

A new issue will have satisfied the minimum liquidity guideline provided that it has satisfied either of the conditions set out below.

i. Any issue for which the total Traded Value since issue is greater than or equal to 7% of the Original Issue Proceeds.

ii. Any issue for which 2 Qualifying Prices are available, however this condition does not apply to US issues.

2.5.5 Index Status Report

The Index Status Report is issued daily and reflects the position as of 16:30 London Time on the day of publication.

The report will include details of any issue subject to any of the Status/Events listed below together with the details listed in the Details column.

The report is segregated into sections to group similar events together.

Status/Event Description Details

Monitor for Add Issue meets minimum size threshold for an Add, does not meet liquidity threshold.

Basic identification information only.

Potential Add - Review DD Mmm

Issue meets minimum size and liquidity threshold a review of feedback will take place at 12:00 London time on DD Mmm

Full details of issue including all parameters that affect inclusion of issue in sub-indexes

Add Under Review

Issue meets minimum size and liquidity threshold for an Add, the issue is under review by the Index Manager.

Full details of issue including all parameters that affect inclusion of issue in sub-indexes.

Add DD Mmm Issue confirmed as an Add, will be added at EoD on DD Mmm


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Add Declined Issue declined by Index Manager as an Add although issue did meet size and liquidity criteria.

Full details of issue including all parameters that affect inclusion of issue in sub-indexes. Also contains details of the reason the Add was declined.

Added DD Mmm Issue was added as of EoD on DD Mmm - issue will remain on report until the later of Last Monitor Date and Add Effective Date +2 weekdays


Potential Drop – Review DD Mmm

The Issue is under consideration to be dropped from the index, a review of feedback will take place at 12:00 London time on DD Mmm.

Full details of the reason for the drop together with relevant supporting figures such as Parity / Offer details etc.

Drop Under Review

A potential Drop that is under review by the Index Manager.

Full details of the reason for the drop together with relevant supporting figures such as Parity / Offer details etc.

Drop DD Mmm Issue confirmed as a Drop at EoD on DD Mmm

Full details of the reason for the Drop together with the Drop price or Drop price basis as appropriate.

Dropped DD Mmm

Issue was dropped as of EoD on DD Mmm - issue will remain on report for 3 weekdays following DD Mmm

Full details of the reason for the Drop together with the Drop price.

Drop Declined DD Mmm

The issue was announced as a Potential Drop and subsequently declined as a Drop by the Index Manager on DD Mmm – the issue will remain on report for 5 weekdays following DD Mmm.

Details of the original drop basis together with the Index Manager reason for declining the Drop

Change DD Mmm The outstanding Size will be changed on DD Mmm.

Details of the proposed change.

Put - Review DD Mmm

The Issue is subject to a Put and the Index Manager is awaiting feedback, a review of feedback will take place at 12:00 London time on DD Mmm. Following feedback the Event status will change to either Drop, Put – Decline, Put – Under Review or will remain as Put – Review with a new date set

Full details of the Put together with supporting additional data such as parity.

Put – Under Review

The Issue is subject to a Put and the Index Manager is reviewing feedback received.


Put – Decline DD Mmm

The Issue is subject to a Put on DD Mmm and the Index Manager has determined that the issue will not be dropped from the index.


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Offer - Review DD Mmm

The Issue is subject to an Offer and the Index Manager is awaiting feedback, a review of feedback will take place at 12:00 London time on DD Mmm. Following feedback the Event status will change to either Drop, Offer – Decline, Offer – Under Review or will remain as Offer – Review with a new date set

Full details of the Offer together with supporting additional data such as parity.

Offer – Under Review

The Issue is subject to an Offer and the Index Manager is reviewing feedback received.


Offer - Decline DD Mmm

The Issue is subject to an Offer on DD Mmm and the Index Manager has determined that the issue will be treated as not accepting the offer – Section 2.6.2.7 below gives additional details on this treatment.


Technical Add DD Mmm

Issue has been announced as a Technical Add (See Section 2.8.1)

Detail of the reason for the event and linkage to associated Technical Drop

Technical Drop DD Mmm

Issue has been announced as a Technical Drop (See Section 2.8.1)

Detail of the reason for the event and linkage to associated Technical Add

Focus Add DD Mmm

Issue is being added to the Focus Index. Full details of issue including all parameters that affect inclusion of issue in sub-indexes.

Focus Drop DD Mmm

Issue is being dropped from the Focus Index. This record type will only be used when an issue is being dropped from the Focus Index and not being dropped from the Global Index.


Rating Change The issue has changed in status from or to Investment Grade. Rating changes within each band are not reported. Unusually, the date for this event are included in the details section as the date will be different for Focus and Non-Focus sub-indices

Full details of issue including all parameters that affect inclusion of issue in sub-indexes. Date of action for Focus and Non-Focus sub-indices.

Other Issue has been subject to a change or action not covered by a specific event type.

Details of the event

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2.6 Issues removed between Quarterly Index Reselections

The circumstances under which an issue may be removed from the Global Index other than at Quarterly Index Reselections are listed below:

Issue reaching final conversion date (section 2.6.2.1)

Market Capitalisation below threshold (section 2.6.2.2)

Issue is subject of a successful tender offer (section 2.6.2.3)

Exchange Property de-listed (section2.6.2.4)

Issue becomes impractical to price (section 2.6.2.5)

Issue approaching a Put (section 2.6.2.6)

Issue subject to an Offer (section 2.6.2.7)

Proactive deselection (section 2.6.2.8)

2.6.1 Detail on Drop process

2.6.1.1 Overall flow of the Drop process

The sequence of events for issues that are removed from the Global Index at times other than the Quarterly Index Reselections is as follows:

The Index Team determines that an issue has met the guidelines necessary for the issue to be notified to the Index Manager as an issue that may require removal from the Global Index and the Index Team informs the Index Manager of the details and the proposed basis for handling the drop (the “Drop Notification Date”).

The Index Manager will then, determine if the issue is to be removed, and if the issue is to be removed then the Index Manager will determine, the Drop Announcement Date, the Drop Date, the Issue Drop Price and the Equity Drop Price. The Index Manager may, or may not request feedback from the User Base depending on the circumstances of the Drop.

Should the Index Manager determine that feedback is to be requested from the User Base then the date of this announcement is the “Potential Drop Notification Date” and the date on which the feedback will be reviewed will also be announced (the “Potential Drop Review Date”).

Guidance on whether the feedback should be requested by the Index Manager and the timeframe for feedback is given in the sections below.

The Drop Announcement Date is the date on which details of the drop are released.

The Drop Date is the date which is used to determine the appropriate value to use for removal of the issue from the Global Index, for example if an issue is to be removed from the Global Index at the Parity value, then the equity price prevailing at the end of the Drop Date will be used to compute the Parity.

The Drop Date is the last date on which the issue contributes to the calculation of the Global Index.

A summary of all issues which have been notified to the Index Manager as a Potential Drop will be included in the Index Status Report from the Drop Notification Date until the Drop process is completed.

2.6.1.2 Resolution of conflicting guidelines

In the event that more than one guideline is triggered then the guideline that would result in the removal of the issue at the earliest date will prevail. If conflict remains then the Index Manager will, determine the guideline(s) appropriate for the particular issue. The Index Manager may decide to request feedback from the User Base to assist in the decision as to the appropriate guideline to apply, however generally is these situations time is of the essence and a decision will need to be reached immediately.

30 December 2016 19

2.6.1.3 Index Manager role in the Drop Process

The role of the Index Manager in the Drop Process is to determine whether an issue is to be dropped and if so the relevant dates and prices to associate with the drop. The guidelines below indicate when the Index Manager will generally request feedback from the User Base. In all circumstances the Index Manager may elect to request feedback from the User Base and/or ask the IAC and/or IAG for feedback and/or guidance on the decision. The baseline timetable for the feedback process will be as follows:

Potential Drop Announcement Date Drop notification Date

Potential Drop Review Date 3rd Workday following Potential Drop Announcement Date

Drop Announcement Date Potential Drop Review Date

Drop Date As indicated in the relevant guideline

The Index Manager will review all feedback received on the Potential Drop at 12:00 London time on the third Workday following the announcement of the Potential Drop to the User Base. The presumption is that the issue will be confirmed as a Drop using the basis announced unless there is a clear reason to decline the Drop or to amend the basis of the Drop.

The Index Manager will take one of the following actions:

(i) Confirm the issue as a Drop on the terms stated in the Potential Drop Announcement. The Drop Announcement Date will be the same day as the decision.

(ii) Confirm the issue as a Drop on amended terms, the amendment may relate to the date and/or the price to be used for the Drop. The Drop Announcement Date will be the same day as the decision.

(iii) Decline the issue as a Drop. In this case the Index Status Report will be updated to reflect the decision and the record will remain on the Issue Status Report for 5 weekdays.

(iv) Ask the IAC and/or IAG for feedback and/or guidance on the. In general this will result in the decision being delayed and the status of the issue in the Index Status Report will be amended to reflect the status of the issue.

(v) Delay the decision to await further feedback. This option will commonly be used when there is a significant period between the Potential Drop Announcement Date and the expected Drop Announcement Date and it is perceived that market events may result is a change to the drop treatment. In this event the Index Manager will determine a revised Potential Drop Review Date which will be communicated to the User Base by inclusion in the Index Status Report and the issues will be reviewed again on that date.

In all cases the Index Manager decision will be communicated to the User Base by means of the Index Status Report

2.6.2 Guidelines for removal between Quarterly Index Reselections

The following sections set out the guidelines used to identify issues to be advised by the Index Team to the Index Manager as candidates for removal at times other than the Quarterly Index Reselections.

2.6.2.1 Issue approaching final conversion date

For an issue approaching the final conversion date the Drop Notification Date is generally the 15th Workday prior to the last date on which a holder may elect to convert the issue rather than retain the issue for the benefit of future coupons and/or redemption proceeds.

This guideline applies both to issues which have been called and issues that are approaching maturity.

30 December 2016 20

This guideline also applies to issues with mandatory conversion. Although in general there is no benefit to converting close to the mandatory conversion date each issue is considered when approaching the final holders’ conversion date to establish the appropriate drop date for the issue. For issues with mandatory conversion the “redemption proceeds” in the guidelines below refer to the value of securities that will be received at mandatory conversion.

The guidelines for the removal basis depend on parity on the Drop Notification Date.

If parity is greater than the redemption proceeds (including any remaining coupon) then the guidelines are:

Issue Drop Price Market Price at close on Drop Date

Drop Announcement Date Workday following the Drop Notification Date

Drop Date 5th Workday following Drop Announcement Date

If parity is less than the redemption proceeds (including any remaining coupon) then the guidelines are:

Issue Drop Price Redemption proceeds


Drop Date Maturity / Mandatory conversion date

In general, the Index Manager will not request feedback on an issue that is notified in these circumstances.

2.6.2.2 Market Capitalisation below threshold

If the Market Capitalisation of the issue falls below BOTH of the limits set out below then the issue will be advised to the Index Manager on the following Workday

US$300m 20% of the Accreted Issue Proceeds on the day.

The guidelines for the removal basis are:

Issue Drop Price Market Price

Drop Announcement Date Drop Notification Date


In general, the Index Manager will not request feedback on an issue that is notified in these circumstances

2.6.2.3 Issue is subject to a successful tender offer for the entire issue

The date on which the Index Team becomes aware that an issue has been subject to a successful tender offer for all of the outstanding convertibles is the Drop Notification Date for the issue.


Issue Drop Price To be supplied by the Index Manager


Drop Date To be supplied by the Index Manager taking into account the terms of the tender


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2.6.2.4 Exchange property de-listed

If the Exchange Property is expected to be de-listed from all Recognised Exchanges then the Drop Notification Date for the issue will, where possible, be the 15th Workday prior to the last trading day for the Exchange Property prior to de-listing.





In general, the Index Manager will not request feedback on an issue that is notified in these circumstances..

2.6.2.5 Issue becomes impractical to price

For an issue to become impractical to price BOTH of the following conditions must be satisfied:

i. An acceptable price is not available from any Recognised Convertible Exchange

ii. A TRPS Closing Price is not available or TRPS have advised that pricing of the issue will be terminated

The Index Manager will determine if a price is an acceptable price in the context of condition (i) above.

If this situation arises then the Index Manager will be advised.


Issue Drop Price To be supplied by the Index Manager



In general, the Index Manager will not request feedback on an issue that is notified in these circumstances

2.6.2.6 Issue approaching a Put

For an issue approaching a Put, the Drop Notification Date is the 11th Workday prior to the last date on which a holder may elect to Put the issue rather than retain the issue. For issues with terms that allow the holder to submit and then withdraw their notice the last day on which the notice may be withdrawn is the relevant date.

The guideline is that the Index Manager will review the issue and then announce the treatment of the issue for the event. There are 4 options available at this stage:

(i) Announce that the issue will not be dropped at the forthcoming Put – no further action in respect of the event is required.

(ii) Announce that the issue will be dropped from the index at the forthcoming Put. In this event the guidelines for the removal basis are:

Issue Drop Price Put Price


Drop Date Put Date

(iii) Announce that the issue will be dropped from the index prior to the forthcoming Put. In this event the guidelines for the removal basis are:



Drop Date 5th Workday following Potential Drop Review Date

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(iv) Announce that the issue will be monitored – in this case the Index Manager will determine the date on which a further announcement will be made. At the time of the further announcement the Index Manager will determine which of these 4 options is appropriate for the issue.

In general, the Index Manager will select option (i) above when the Market Price is greater than the Put Price together with any Coupon due to a holder between the Market Price date and the Put otherwise option (ii) above will be the default action.

In general, the Index Manager will request feedback on an issue that is notified in these circumstances and may request further feedback as the Put Date approaches.

2.6.2.7 Issue subject to an offer

This guideline deals with situations where the issue becomes the subject of an offer, examples of such events are:

Offer to pay holders a cash amount in consideration of a terms change

Offer to purchase the convertible by the issuer or another entity

Offer to pay holders a cash amount in consideration of the holder not exercising a Put option

Offer to exchange the issue for a new or existing issue

In this situation the Drop Notification Date is the 15th Workday prior to the last date on which a holder can make a final decision in respect of the offer, in the case of an offer with terms that allow the holder to submit and then withdraw their acceptance the last day on which the acceptance may be withdrawn is the relevant date.

The guideline is that the Index Manager will review the issue and then announce the treatment of the issue for the event. There are 3 options available at this stage:

(i) Announce that the issue will be dropped prior to the acceptance date for the offer, in which case the guidelines for the removal basis are:



Drop Date 5th Workday following Potential Drop Review Date

(ii) Announce that the issue will be treated as not accepting the offer – the issue will be treated as if a holder had not accepted any offer made, however if the offer is of the type that if a certain percentage of holders accept the offer and such percentage of holders do accepts the offer then the remaining holders are deemed to have accepted the offer whereupon the guidelines for action will be as if the decision had been made to accept the offer.

(iii) Announce that the issue will be treated as accepting the offer, in which case, if the offer results in the exchange of the issue for cash or other non convertible securities then the issue is removed from the index and guidelines for the removal basis are:

Issue Drop Price Offer Value


Drop Date Offer effective date

If the offer is for the issue to be exchanged for other convertible securities then the guideline would be for the new issue to replace the old issue.

(iv) Announce that the issue will be monitored – in this case the Index Manager will determine the date on which a further announcement will be made. At the time of the further announcement the Index Manager will determine which of these 4 options is appropriate for the issue.

In general, the Index Manager will request feedback on an issue that is notified in these circumstances and may request further feedback as the Offer Effective Date approaches.

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Issues subject to a tender offer when all convertibles tendered may not be accepted for the offer.

If an issue is subject to an offer where the cash or other consideration available to holders is less than the amount required should all holders tender their holdings, and where the mechanism for dealing with this event is to accept tenders on a pro-rata basis then the treatment of the issue if option (iii) above (treat as accepting the offer) is selected by the Index Manager is as follows:

The announcement will state that the issue will be treated as accepting the offer and that the announcement will highlight the fact that the tender may be scaled back.

In the event that the offer is not oversubscribed then the issue is dropped on the offer effective date using the offer price as the Drop Price. However, if the result of the offer is not available until a later date then the Drop Date is the first date on which the necessary information is available to the Index Team.

In the event that the offer is oversubscribed then:

o The amount outstanding for the issue is reduced by the pro-rata basis announced by the issuer and the price used to value the issue on the date the amount is reduced will be the tender offer price. The amount outstanding will be amended on the offer effective date. However, if the result of the offer is not available until a later date then the change is made on the first date on which the necessary information is available to the Index Team.

o At the following Reselection Effective Date the amount outstanding for the issue is amended to reflect the actual amount outstanding at that time rather than the notional amount outstanding calculated when the result of the offer was announced.

o In the event that the amount outstanding for the issue changes between the offer effective date and the following Reselection Effective Date then the Index Manager will, at its sole discretion, determine the amount outstanding to be used for index calculations up to the following Reselection Effective Date.

By way of an example of the oversubscription treatment:

A zero coupon issue has US$120m nominal outstanding.

The issuer offers to purchase convertibles at par, however the offer is subject to a limit of US$60m nominal of convertibles to be purchased and oversubscriptions will be scaled back pro-rata.

The index announces that the issue will be treated as accepting the offer.

At the conclusion of the tender, US$100m nominal of convertibles have been tendered.

The pro-rata ratio is 60% - thus for each US$1m nominal tendered the holder will receive US$600,000 cash and US$400,000 nominal will be “returned” to the holder.

On the offer effective date the amount outstanding for the purposes of index calculations is reduced from US$120m to US$48m ( US$120m – { US$120m x 60% } )

The actual amount outstanding is:

Tendered US$100m

Accepted US$60m

Returned US$40m

Not Tendered US$20m

Outstanding US$60m (US$40m returned + US$20m not tendered)

On the following Reselection Effective Date the amount outstanding for the purposes of index calculations is reset to US$60m.

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2.6.2.8 Proactive Deselection

There are circumstances where a judgment is required to establish the most appropriate action to take in respect of the possible removal of an issue from the Global Index between Quarterly Index Reselections.

As and when the Index Team become aware of such circumstances the Index Team will advise the Index Manager of the details of the circumstances and the Index Manager will decide if the issue is to be removed from the Global Index and, if the issue is to be removed from the Global Index, then the Index Manager will decide on the date and price of the removal.

In general, the Index Manager will seek feedback from the User Base and/or the IAG and/or the IAC. In exceptional circumstance it may be necessary for the Index Manager to determine the treatment of an issue without seeking feedback from the User Base.

It is not possible to anticipate all of the circumstances that might require proactive deselection, however, examples of such circumstances are:

An issue with time limited enhanced conversion terms

An issue subject to a time limited cash exchange offer by the issuer

An issue associated with a complex merger or takeover

An issue where a corporate event associated with the Exchange Property might trigger a holder to convert

In addition to these specific circumstances the Index Manager may, as described above, decide that it is appropriate for an issue to be removed from the Global Index and the Index Manager will then, as described above, decide on the date and price of the removal.

Actions taken under this guideline will be included in the Index Status Report in the same format as other Drops, however the basis of the Drop will be highlighted in the notes section of the report.

2.7 Outstanding Issue Size Changes

The Outstanding Issue Size of each issue in the Global Index is monitored by the Index Team. When the Index Team becomes aware of a change in the Outstanding Issue Size for a constituent of the Global Index then the Index Team will inform the Index Manager of the details and the proposed basis for handling the change.

The Index Manager will then decide the appropriate action to take; this process will generally not include seeking feedback from the User Base, following this decision:

If a change is to be applied the Index Manager will determine the Change Announcement Date, the Change Effective Date and the Change Effective Price.

The Index Manager may, as a result of a notification, decide to remove the issue from the Global Index in which case the Index Manager will determine the Drop Date, the Issue Drop Price and the Equity Drop Price.

If the Index Manager decides to seek feedback from the User Base then the issue will be included in the Index Status Report.

If a change is required, the sequence of events for a change is to announce the change on the Change Announcement Date, the change will apply as of the end of day on the Change Effective Date at the Change Effective Price.

As the price used for the volume change is the price used for the issue in the calculation of the Global Index for the Change Effective Date, in circumstances where the Change Effective Price is not the current market price there will be a transient impact on the Global Index value.

The common types of change, together with the guidelines for handling the change are set out in the sections below. Any types of change not covered below will be notified to the Index Manager who will then decide the appropriate action to take.

30 December 2016 25

2.7.1 Small adjustments

Where the Outstanding Issue Size change represents a change in Market Capitalisation that is less than US$100m then the guidelines are:

Change Effective Price Market Price

Change Announcement Date Change Notification Date

Change Effective Date Workday following Change Announcement Date


2.7.2 Substantially all retired

All changes of Outstanding Issue Size whether classified as small or substantial are checked against the guidelines below to determine if the issue should be considered as substantially all retired.

In the event that the issue is considered to be substantially all retired then the issue will be dropped from the index using the guidelines for the price and timing of the removal as per section 2.6.2.2

An issue will be considered as substantially all retired if after the change has been applied the issue would meet either of the following conditions:

(i) Less than 20% of the Original Issue Size outstanding and less than US$300m Market Capitalisation.

(ii) The amount outstanding is such that it is likely that the outstanding issue size will cause the issue not to be eligible at the following Quarterly Index Reselection.

The Index Manager will, if necessary, decide if the issue does or does not meet condition (ii); this process may or may not include seeking feedback from the User Base.


Actions taken under this guideline will be included in the Index Status Report in the same format as other Drops, however the basis of the Drop will be highlighted in the notes section of the report.

2.7.3 Substantial Changes

Where the Outstanding Issue Size change represents a change in Market Capitalisation that is US$100m or greater the guidelines are:

Change Effective Price Market Price

Change Announcement Date Change Notification Date

Change Effective Date 5th Workday following Change Announcement Date


2.8 Other changes between Quarterly Index Reselections

2.8.1 Technical changes

Issues in the Global Index are subject to Technical Add and Technical Drop when certain features of the issue change. The most common event that may require a technical change is a merger or takeover that results in a change to the Exchange Property of the issue. This is reflected in the Global Index by the replacement of one MACE ID by a new MACE ID, the physical issue represented by these references remains unchanged.

Any issue subject to a Technical Add / Technical Drop will be included in the Index Status Report.

30 December 2016 26

2.8.2 Proactive selection or change

Circumstances may occur such that, between Quarterly Index Reselections, it may be appropriate for an issue to be added to the Global Index or to be replaced with one or more other issues. If such circumstances become apparent to the Index Team then the Index Team will advise the Index Manager of the circumstances.

In these circumstances the Index Manager will advise the Index Team of which issues, if any, to add and or remove from the Global Index and the effective dates and prices to apply to these changes.

In general, the Index Manager will request feedback on an issue that is notified in these circumstances however when time is of the essence the Index Manager may decide to proceed without requesting feedback.

Any issue subject to proactive selection or change will be included in the Index Status Report and the basis for the change will be highlighted in the notes section of the report.

2.9 Delayed and retrospective information

The maintenance process for the Index requires a flow of timely and accurate information of the status of all securities which are constituents or potential constituents of the Index.

On occasions, the information available to make a particular decision will have been missed, delayed or be amended retrospectively.

The Index Manager will decide on the appropriate action to take in such circumstances; this process may or may not include seeking feedback from the User Base.

The action will be announced in the Index Status Report with the event type “other” and details of the action in the notes section of the report.

2.9.1 Retrospective adjustment of prices for Adds, Drops and volume adjustments

On occasions, the price used for an Add, a Drop or for a change of the amount outstanding will require amendment.

An amendment will be made only if the Index Manager decides an amendment is the appropriate action to take; this process may or may not include seeking feedback from the IAC and/or IAG, however if an amendment is carried out then it will always be reported to the IAC.

If an amendment is required then the following procedures will be followed:

For an amendment to an Add price:

The issue will be dropped from the Global Index at the prevailing market price and then immediately reinstated at a different price. The difference between the prices will generate the required amendment.

For an amendment to a Drop price:

The issue will be reinstated to the index for a single day and the Add and Drop prices will be selected to provide the required amendment.

For an amendment to a price used for a change to amount outstanding:

The amount outstanding will be restored to the prior amount outstanding for one day in order to make the adjustment. The start and end of day prices for that day will be selected to provide the required amendment.

The action will be announced in the Index Status Report with the event type “other” and details of the action in the notes section of the report.

30 December 2016 27

3. Sub-Index Maintenance

3.1 Overview of sub-indices

All sub-indices are selected from the issues that form the Global Index. As such any issue which is removed from the Global Index is simultaneously removed from all sub-indices. Issues which are added to the Global Index may, or may not, become eligible for inclusion in a particular sub-index, the guidelines for each sub-index set out the basis for inclusion of new issues.

Sub-indices can be broadly divided into two categories:

Static Sub-indices – sub-indices where selection is based on constant or rarely changing parameters such as Region or credit rating

Dynamic Sub-indices – sub-indices where selection is based on a periodic assessment of parameters

3.2 Static Sub-indices

3.2.1 Static Sub-indices – common aspects

Issues qualify for inclusion in Static Sub-indices at the same time the issue is added to the Global Index, whether as a new issue or at a Quarterly Index Reselection. However, the actual date that an issue is added to a Static Sub-index may not be the same as the date used for addition to the Global Index; the sections below indicate the circumstances under which a different date is used.

The Index Manager will determine, the appropriate allocation of all parameters used for the allocation of Static Sub-indices based on the guidelines and, if appropriate, feedback from the User Base and/or feedback and/or guidance from the IAC and/or the IAG .

3.2.2 Region Sub-indices

The Region of an issue is based directly on the Country allocated to that issue.

The allocation of Country to Region is set out in Section 6.6.1

The Country of an issue will be determined as follows:

Issues with an equity as the underlying asset will be allocated to the country of the Primary Exchange of the underlying asset.

Issues with an ADR or GDR as the underlying asset will be allocated to the country of the Primary Exchange of the underlying asset of the ADR / GDR.

Issues with an ADR or GDR as the underlying asset where the ADR/GDR does not have a listed equity as the underlying asset will be allocated to the country of the Primary Exchange of the ADR / GDR.

Issues with a basket of equities as the underlying asset will be allocated to the country of the Primary Exchange of the underlying asset which predominates.

The Primary Exchange of a particular equity will be determined using the Primary Issue RIC allocated by Thomson Reuters.

The Index Manager may, following feedback/guidance from the User Base and/or the IAC and/or the IAG, as appropriate, determine the Country of an issue to be set differently to the Country that would be selected by the above guidelines. In particular, the Index Manager will use feedback/guidance to assist in determining the underlying asset which predominates for issues with baskets as the underlying asset.

30 December 2016 28

The Global Index is divided into 5 key Regions:

US

Europe

Asia ex-Japan

Japan

Other Markets

In addition there are 4 other Regions for which indices are calculated:

Global ex-US

Eurozone

Asia

Growth Markets

The allocation of an issue may change with time and the Index Manager may reallocate an issue to a different Country or Region at any time. In general the Index Manager will seek feedback on both the change and the timing before making a change, however if time is of the essence then feedback may not be requested. In the event that an issue is to be reallocated the Index Manager will determine the effective date for the change – the effective date may be different for different indices or index groups, for example the focus drops may be selected to align to a Focus Monthly Review Effective Date.

If an issue is reallocated or feedback is requested from the User Base in connection with a proposed change then the change will be included in the Index Status Report.

A full list of Countries and the Country – Region allocations is given in the Appendix section 6.6.

3.2.3 Vanilla Sub-indices

Vanilla sub-indices are indices which exclude issues identified as Mandatory issues.

Issues are identified as Mandatory or Vanilla at the time the issue is added to the Global Index

For all new issues where conversion into the Exchange Property is compulsory at maturity, the Index Team will advise the Index Manager. The Index Manager will then determine, if the issue is to be regarded as Mandatory or Vanilla for the purposes of sub-index selection and other index features where the Mandatory feature is significant to selection or computation.

The Index Manager may request feedback/guidance from the User Base and/or the IAC and/or the IAG, as appropriate in order to determine whether the issue is to be regarded as Mandatory or Vanilla.

The nature of an issue may change with time and the Index Manager may reclassify an issue as Mandatory or Vanilla at any time. In general the Index Manager will seek feedback on both the change and the timing before making a change, however if time is of the essence then feedback may not be requested. In the event that an issue is to be reallocated the Index Manager will determine the effective date for the change – the effective date may be different for different indices or index groups, for example the Focus Sub-Index drops may be selected to align to a Focus Monthly Review Effective Date.

If an issue is reallocated or feedback is requested from the User Base in connection with a proposed change then the change/proposed change will be included in the Index Status Report.

The following index groups are Vanilla indices.

All Credit Sub-Indices

Europe

Eurozone

Asia ex-Japan

Japan

Asia

Focus

Growth Markets

Other Markets

30 December 2016 29

3.2.4 Credit Sub-indices

Credit sub-indices are determined by reference to the credit rating assigned to each issue, or in the absence of any ratings for the issue then on the basis of the issuer ratings applicable to the guarantor and/or issuer as appropriate. For the avoidance of doubt:

Only Vanilla issues are eligible for Credit Sub-Indices

‘Shadow’ or implied ratings are not used for Credit Sub-indices.

The credit sub-indices are obtained by grouping ratings into 2 separate classes, these are:

Investment Grade – BBB- and above

Sub-Investment Grade – Below BBB- and not rated

The rating agencies used to determine the class for an issue are Standard & Poor’s and Moody’s Investors Service. For issues rated by both services the lower credit rating is used.

For issues with no ratings for the issue then If the issue has a guarantor then the issuer ratings from S&P and Moody's for the guarantor are evaluated using the same criteria used for issue ratings, for issues rated by both services the lower credit rating is used. If there are no ratings available for the guarantor then the issue is treated as if there were no guarantor.

For issues with no ratings for the issue and with no guarantor then the issuer ratings from S&P and Moody's for the issuer are evaluated using the same criteria used for issue ratings, for issues rated by both services the lower credit rating is used.

Both rating agencies provide a number of types of ratings for issuers, the derivation of the issuer ratings used for this guideline are given in the Appendix Section 6.7.2

A table giving the cross reference between rating systems is given in the Appendix Section 6.7 6.7.1

When a rating change results in an issue changing between Investment Grade and Sub-investment Grade, or if a new issue is added to the Global Index when already classified as Investment Grade, the treatment within the Credit Sub-indices will be as follows:

For all indices:

For issues changing from Sub-investment Grade to Investment Grade only; if the maturity date of the issue is less than 6 months after the Focus Monthly Review Effective Date following the next Focus Monthly Review Selection Date then the issue is not included in any Investment Grade indices. This guideline is applied irrespective of whether the issue is a member of the Global Focus Index at the time of the change.

For Focus sub-indices:

The change will be announced immediately and then applied at the Focus Monthly Review Effective Date which follows the first Focus Monthly Review Selection Date which falls on or after the announcement date.

For other sub-indices

The change will be announced immediately and then applied on the 5th Workday following the announcement

The Index Manager may vary the timing of the announcement or application of the rating change to sub-indices.

If an issue is reclassified or feedback is requested from the User Base in connection with a proposed change then the change will be included in the Index Status Report. For issues that are being added or are proposed to be added to Global Index under the New Issue guidelines (Section 2.5) the process of classifying an issue as Investment Grade or Sub-investment Grade is carried out as part of the New Issue Add process and feedback regarding the classification will be taken in conjunction with any other feedback regarding the proposed addition of the issue.

30 December 2016 30

Historical notes for Credit sub-indices

Prior to January 2013 mandatory convertible issues were eligible for non-Focus Credit Sub-indices.

Prior to 10th July 2014 the guidelines provided for R&I and JCR ratings to be additionally considered in respect of Japanese issues.

Prior to 8 October 2014 the guidelines excluded issuer ratings from consideration.

30 December 2016 31

3.3 Dynamic Sub-indices

3.3.1 Focus Sub-index

3.3.1.1 Focus Sub-index overview

The Focus Sub-index is an index which is selected to contain Balanced issues.

The overall flow of maintenance of the Focus Sub-index is as follows:

On a monthly cycle, after any changes resulting from a Quarterly Index Reselection are applied, the Focus Sub-index is subject to a periodic maintenance process as set out below (the Focus Monthly Review).

All dated (i.e. non-perpetual) Vanilla Global Index issues are reviewed and the Balanced issues are identified (section 3.3.1.4). The list of all Global Index issues that are Balanced is referred to as the Focus Universe

Any issues that have been announced as additions to the Vanilla Global Index prior to the Focus Monthly Review Selection Date will be included in the issues to be reviewed – issues for which the add announcement date (for the Vanilla Global Index) falls after the start of the Focus Monthly Review Selection Period are reviewed on the basis of the data from the add announcement date to the end of the Focus Monthly Review Selection Period

All issues in the Focus Sub-index which are no longer Balanced are removed from the Focus Sub-index

Balanced issues that meet the size criteria for addition to the Focus Sub-index will be added if the issue meets the price and premium limits for addition to the Focus Sub-index (section 3.3.1.6).

Balanced issues are never removed from the Focus Sub-index as part of the Focus Monthly Review process although Balanced issues will be removed from the Focus Sub-index at the time of a Focus Monthly Review if they are removed from the Global Index at the corresponding Quarterly Index Reselection.

There is no general provision for additions to or deletions from the Focus Sub-index between Focus Monthly Reviews, however changes may be made in any of the following circumstances:

Any issue removed from the Global Index for whatever reason is automatically removed from the Focus Sub-index. This is not particular to the Focus Sub-index but applies generally to all sub-indices.

Any issue that is in the Focus Sub-index that is replaced in the Global Index by one or more other issues will be advised to the Index Manager. The Index Manager will then determine which, if any, of the replacement issues will be added to the Focus Sub-index. The Index Manager may request feedback/guidance from the User Base and/or the IAC and/or the IAG, as appropriate in order to determine the appropriate action.

Circumstances may occur such that, between Focus Monthly Reviews, it may be appropriate for an issue to be added to or removed from the Focus Sub-index. In these circumstances the Index Manager will determine the detail of any amendments to the constituents of the Focus Sub-index. The Index Manager may request feedback/guidance from the User Base and/or the IAC and/or the IAG, as appropriate in order to determine the appropriate action.

If an issue is added to or removed from the Focus Sub-Index between Focus Monthly Reselections or feedback is requested from the User Base in connection with a proposed change then the change/proposed change will be included in the Index Status Report.

The sections below set out the detail of each of the maintenance steps.

30 December 2016 32

3.3.1.2 Focus Monthly Review timetable

The Focus Monthly Review Effective Date is the date on which changes required as a result of the Focus Monthly Review are applied - issues that are to be removed from the Focus Sub-index will be removed at the EOD price on the effective date and issues that are to be added to the Focus Sub-index will be added at the EOD price on the effective date.

The Focus Monthly Review Effective Date will generally be the second Wednesday in each month. In months containing a Reselection Effective Date for the Quarterly Index Reselection the Focus Monthly Review Effective Date will be the same as the Reselection Effective Date.

The Focus Monthly Review Selection Date is the date on which the Focus Universe is determined and the constituents of the Focus Sub-index that will be effective as from the Focus Monthly Review Effective Date are announced.

The Focus Monthly Review Selection Date is generally one week prior to the Focus Monthly Review Effective Date.

The Focus Monthly Review Selection Period is the period during which market prices and related parameters are measured to allow application of the mechanical guidelines used to generate the initial list of Balanced issues.

The Focus Monthly Review Selection Period is generally the 5 weekdays immediately prior to the Focus Monthly Review Selection Date

The dates for each review will be announced prior to the Focus Monthly Review Selection Date.

The calendar above is for guidance, the Index Manager may determine a different calendar of events.

The Index calendar (Section 6.9) lists the key dates for future reviews.

3.3.1.3 Focus Universe selection

The Focus Universe is selected during the Focus Sub-index monthly review.

At each monthly review cycle all Global Index issues are reviewed against the mechanical guidelines for Balanced issues set out in section 3.3.1.4 below.

A list of all Global Index issues is available to the Index Manager indicating which issues meet the mechanical guidelines for Balanced issues.

The Index Manager may, in exceptional circumstances, determine amendments to the list of Balanced issues. The Index Manager may seek feedback/guidance from the IAC and/or IAG in this situation; however the timescale of the reselection permits only a limited time for this decision.

Any amendments made by the Index Manager to the list of Balanced issues generated by the mechanical guidelines will be reported in the Index Status Report and at the following Quarterly Index Reselection

The list of Balanced issues as amended by the Index Manager forms the Focus Universe for the review cycle.

3.3.1.4 Guidelines for Balanced issues

The specific guidelines for each parameter are set out in the sections below. For an issue to be regarded as Balanced the issue must pass all of the guidelines below. Failure to meet any of the guidelines will cause the issue to be marked as ‘Not Balanced’.

The thresholds are monitored at each Focus Monthly Review and the Index Manager may amend any of the threshold values as described in Section 3.3.1.5.

In some cases the guidelines use different thresholds depending on whether an issue was measured by the guidelines as Balanced at the previous monthly review.

For the price and Premium guidelines the value is tested against the threshold using the EOD values on each weekday in the Focus Monthly Review Selection Period.

30 December 2016 33

For an issue that was measured as Balanced at the prior review to fail the guideline the value must fall outside the threshold on all of the days in the Focus Monthly Review Selection Period. If the issue falls inside the threshold for one or more days in the Focus Monthly Review Selection Period then the issue meets the guideline.

For an issue that was measured as Not Balanced at the prior review, or an issue that was not a Global Index constituent at the prior review to pass the guideline the value must fall inside the threshold on all of the days in the Focus Monthly Review Selection Period. If the issue falls outside the threshold for one or more days in the Focus Monthly Review Selection Period then the issue fails the guideline.

3.3.1.4.1 Premium guidelines for Balanced issues

The limits for conversion premium depend on whether the issue was measured as Balanced at the prior review.

Measured at prior review as Threshold

Balanced Meets guideline if Premium is less than or equal to 100%

Not Balanced Meets the guideline if the Premium is less than 75%

The threshold upper limit for premium has been varied historically as a result of the prevailing market conditions. The historical values used are shown in the table below.

Date Balanced Not Balanced

Start End Premium <= Premium <

Inception Oct 2008 100% 75%

Nov 2008 Dec 2009 200% 75%

Jan 2010 Sep 2010 125% 75%

Oct 2010 Current 100% 75%

These limits are subject to further revision by the Index Manager (Section 3.3.1.5 gives details of this process).

3.3.1.4.2 Price guidelines for Balanced issues

The limits for market price depend on whether the issue was measured as Balanced at the prior review.

For the purpose of this test, the market price is first converted to a Dirty Price by the addition of any contractual Accrued and then expressed as a percentage of the Accreted Issue Price plus any contractual Accrued (Percentage Price).

Measured at prior review as Threshold (ranges are inclusive)

Balanced Meets guideline if Percentage Price falls in the range 60% to 140%

Not Balanced Meets guideline if Percentage Price falls in the range 70% to 125%

The threshold limits for price have been varied historically as a result of the prevailing market conditions. The historical values used are shown in the table below.

Date Balanced Not Balanced

Start End Lower Upper Lower Upper

Inception Oct 2008 50% 140% 60% 125%

Nov 2008 Dec 2009 40% 140% 60% 125%

Jan 2010 Dec 2011 50% 140% 60% 125%

Jan 2012 Current 60% 140% 70% 125%

30 December 2016 34

These limits are subject to further revision by the Index Manager (Section 3.3.1.5 gives details of this process).

3.3.1.4.3 Life and market event guidelines for Balanced issues

The following guidelines are applied to the initial list of Balanced issues. These guidelines apply only to issues that are not in the Focus Sub-index on the Focus Monthly Review Selection Date.

If the maturity date of the issue is less than 6 months after the Focus Monthly Review Effective Date then the issue is automatically categorised as Not Balanced.

If an announcement has been made that the issue will be dropped from the Global Index on a future date then the issue is automatically categorised as Not Balanced.

Any issue with an offer outstanding for some or all of the issue as of the Focus Monthly Review Selection Date will be categorised as Not Balanced.

Any issue with a merger or takeover offer outstanding on the underlying asset of the issue as of the Focus Monthly Review Selection Date will be categorised as Not Balanced.

3.3.1.5 Amendment of Guidelines for Balanced Issues by the Index Manager

The price or premium thresholds used to allocate issues as Balanced or Not Balanced during the Focus Monthly Review Selection together with the Regional Threshold Level may be amended by the Index Manager. The Index Manager may only amend these thresholds following feedback from the IAC on the proposed changes. The Index Manager may also seek feedback from the IAG and/or the User Base on proposed changes. Any changes that are made to the thresholds will be announced in the Index Status Report.

3.3.1.6 Focus Sub-index selection from Focus Universe

Following selection of the Focus Universe as per section 3.3.1.3, the Focus Sub-index is selected as follows:

i. All issues in the Focus Sub-index prior to the monthly review that are present in the Focus Universe are automatically retained.

ii. Issues which are in the Focus Universe, but not in the Focus Sub-index prior to the monthly review are added to the Focus Sub-index if the issue has a Market Capitalisation greater than or equal to the relevant Regional Threshold Level on all of the weekdays in the Focus Monthly Review Selection Period.

The Regional Threshold Level for each Region is set out in the table below. Changes to the Regional Threshold Level will be determined by Index Manager as set out in Section 3.3.1.5. Changes to the Regional Threshold Level to be applied from a particular Focus Sub-index monthly review will be announced no later than the Focus Monthly Review Selection Date.

Region Currency Value

US USD 500m

Europe EUR 375m

Asia ex-Japan USD 275m

Japan JPY 22,000m

Other Markets USD 275m

30 December 2016 35

The Regional Threshold Levels have been varied historically as a result of the prevailing market conditions. The historical values used are shown in the table below.

Region Currency Inception – Dec 2009

Jan 2010 – Jan 2013

Feb 2013 - Current

US USD 650m 600m 500m

Europe EUR 450m 400m 375m

Asia ex-Japan USD 300m 300m 275m

Japan JPY 30,000m 25,000m 22,000m

Other Markets USD 300m 300m 275m

30 December 2016 36

4. Equity Indices

4.1 Overview of Equity Indices

For each sub-index in the Index there a number of related equity indices.

The constituents of the equity indices related to a particular convertible index are the equities that form the exchange properties of the convertibles in the related index.

The different equity indices related to the same convertible index differ in the weighting assigned to the constituents and the method of calculation.

4.2 Parity Indices

The Parity Index associated with each convertible index uses a weighting for each issue equal to the value of the Exchange Property for the entire outstanding convertible issue. For convertible indices where concentration factors are applied the concentration factor for the issue is applied to the related constituent(s) in the Parity Index.

The Parity Index start value on 31 Dec 1993 is based on a percentage of the relevant convertible index start value on 31 Dec 1993. This percentage being the sum of the Market Capitalisation of the Parity Index divided by the Market Capitalisation of the convertible index.

4.3 Equity Cash Indices

An Equity Cash Index has the weighting set on the relevant Equity Cash Index Base Date such that the Market Capitalisation of the entire outstanding convertible issue (subject to any relevant concentration factor) is equal to the Market Capitalisation of the related equity holding in the Equity Cash Index. Subsequent to the Equity Cash Index Base Date the weighting in the Equity Cash Index is adjusted proportionately to any changes in amount outstanding or concentration factor applied to the related convertible issue. The weight is also adjusted as required to account for stock splits, rights issues and similar corporate events.

The various Equity Cash Indices use different Equity Cash Index Base Dates as set out below.

4.3.1 Equity Cash Since Inception Indices

Equity Cash Since Inception Indices use the date on which the issue first entered relevant convertible index as the Equity Cash Index Base Date.

The Equity Cash Since Inception Indices start values on 31 Dec 1993 are set to be the same as the relevant convertible index.

4.3.2 Equity Cash Year to Date Indices

Equity Cash Year to Date Indices use the last weekday of each year as the Equity Cash Index Base Date.

The Equity Cash Index value is reset at the end of each year to align with the relevant convertible index. To allow comparison of convertible and Equity Cash Index performance for a year, the Equity Cash Index level on 31 December each year is based on the weightings set one year earlier. The Equity Cash Index level on 1 January each year is based on the weightings set on the previous weekday and uses a base index level equal to the convertible index level on the previous weekday.

4.3.3 Equity Cash Quarter to Date Indices

Equity Cash Quarter to Date Indices use the last weekday of each calendar quarter as the Equity Cash Index Base Date.

The Equity Cash Index value is reset at the end of each quarter to align with the relevant convertible index. To allow comparison of convertible and Equity Cash Index performance for a quarter, the Equity

30 December 2016 37

Cash Index level on the last weekday of the quarter is based on the weightings set one quarter earlier. The Equity Cash Index level on the first weekday of each quarter is based on the weightings set on the previous weekday and uses a base index level equal to the relevant convertible index level on the previous weekday.

4.3.4 Equity Cash Year on Year Indices

Equity Cash Year on Year Indices use same calendar day in the prior year as the Equity Cash Index Base Date. In the event that the same calendar day in the prior year is not a weekday then the first weekday prior to the same calendar day is used as the base point.

The Equity Cash Year on Year Indices value reports a year on year change rather than an absolute level, thus a value of 11 for an Equity Cash Year on Year Index on a particular date reflects the fact that an Equity Cash Index with an Equity Cash Index Base Date set one year prior to that date with a base value of 100 on the Equity Cash Index Base Date would have a value of 111.

30 December 2016 38

5. Index Calculation Methods

5.1 Regular Index Calculation

The basic index calculation method is a Market Capitalisation weighted chain-linked index calculation with income reinvestment.

The index is calculated to the full precision available to the calculation process; however the official published values of the index are rounded to 2 decimal places (1 decimal place up to and including 31 December 2007).

The index is calculated using the prices available at the time of calculation. In general, the index is not subject to retrospective recalculation. However the Index Manager may determine that a retrospective recalculation is required and if so will then determine the data items that are to be amended for that calculation.

A retrospective calculation will only be made when there has been a manifest and material error.

The Index Manager may only determine that a retrospective calculation is required following feedback from the IAC on the proposed retrospective calculation. The Index Manager may also seek feedback from the IAG and/or the User Base on proposed changes.

Any retrospective recalculation that is made will be announced in the Index Status Report.

5.1.1 Daily Index Calculation

The index is constructed and the index value is computed such that the impact of each issue is in proportion to the Market Capitalisation of the issue and where the income periodically due to each issue is fully and continually reflected in the index value.

In order to derive:

Vt The value of the index on day t. Index values are only computed for weekdays and if day t is

a Friday then day t +1 will be the following Monday

The values required are:

Dti The dirty cash value of one unit of the i th issue in the index on day t.

Cti The cash value of any income that becomes due for one unit of the i th issue in the

index on day t

Sti The issue size outstanding in units of the i th issue in the index on day t

Xti The exchange rate used to convert the cash price of the i th issue in the index on day

t to the index currency.

Ft The index factor on day t

nt The number of issues in the index on day t

The value of the index is given by:

F

XSCDV t

ni

i

t

i

t

i

t

i

t

it

t

1

**

The value of F will remain unchanged until there is a change to the constituents of the index, there is a change to the issue size of one or more of the constituents or until an income event occurs for an issue in the index.

30 December 2016 39

The above equation assumes that income is generated in the same currency as the price. In exceptional cases the income currency is different to the price currency, in which case the equation is modified shown below:

F

XcSCXSDV t

ni

i

ti

ti

ti

ti

ti

ti

t

t

1

****

Where Xc t

I is the exchange rate used to convert the income cash value to the index currency.

For simplicity, the remaining equations in this section assume that the income currency is the same as the price currency, although in practice the index is computed on the more general basis shown above.

5.1.2 Treatment of Income Events

The principle is that the index should, at all times, reflect the income stream of constituent issues.

On a day to day basis the index reflects the income element of constituent issues by using the Dirty Price for computation. Thus if all issues in the index were priced at constant Clean Prices on successive days, the index would increase to reflect the increase of accrual on each issue.

The key date for the handling of income events is the Ex-income Date. The Ex-income Date is the first trade date on which trading takes place for delivery of the security such that the buyer does not become entitled to the income.

On the Ex-income Date for a particular security, the contribution to the index value from the security is composed of 2 elements:

The Dirty Price for the issue multiplied by the number of units outstanding and converted to the index currency divided by the index factor.

The income received per unit of the issue multiplied by the number of units outstanding and converted to the index currency divided by the index factor

If the index is considered as a theoretical portfolio this approach equates to holding the income as cash for the duration of the Ex-income Date and re-investing the cash at the end of day prices across the index in proportion to the Market Capitalisation of the issues.

At the end of the Ex-income Date, the income is re-invested in the index. This re-investment does not alter the value of the index and therefore the end of day value of the index before re-investment:

F

XSCDt

ni

i

t

i

t

i

t

i

t

i

t

1

**

must be equal to the end of day value after the re-investment

F

XSD

tnew

ni

i

ti

ti

ti

t

1

**

The new index factor is therefore

t

t

ni

i

ti

ti

ti

ti

ni

i

ti

ti

ti

ttnew

XSCD

XSDFF

1

1

**

**

*

For convertible indices the gross income is used for the calculation. For equity indices the income used may be net or gross depending on the market, details for each market are given in Section 6.8.

30 December 2016 40

5.1.3 Treatment of changes of constituents or weightings

When changing the constituents of the index by adding or deleting issues, or by changing the size of an issue, the principle is that the immediate effect of the addition is to leave the index unchanged.

Given that the value of the index before the addition will be:

F

XSDV t

ni

i

ti

ti

ti

t

t

1

and, that the value of the index after the addition will be:

Fnew

XnewSnewDnew

Vt

tnnewi

i

t

i

t

i

t

it

_

____

1

Where

Dnewt

i_ The revised dirty cash value of one unit of the i th issue in the index on day t

Snewt

i_ The revised issue size outstanding in units of the i th issue in the index on day t

Xnewt

i_ The exchange rate used to convert the cash price of the i

th issue in the index

on day t to the index currency.

Fnewt

_ The revised index factor on day t

nnewt

_ The revised number of issues in the index on day t

Then

t

t

ni

i

ti

ti

ti

nnewi

i

t

i

t

i

t

itt

XSD

XnewSnewDnew

FFnew

1

_

1

____

Changes are always made using the final values for prices on a particular day. Thus whilst a change has been implemented on a particular day, the first day on which the changes will affect the index value is the following day.

The conventional approach is to refer to the first day on which a change will affect the value of the index as being the date on which the change was implemented, although this is not strictly true. The conventional terminology is used throughout this document.

5.2 FX Hedged Index Calculation

5.2.1 FX Hedged Methodology

A simple hedge strategy is to sell forward currency of equal value to the securities held in any currency other than the base currency of the fund. It is this strategy that the FX Hedged methodology is intended to closely imitate.

The performance of a fund adopting this approach will be the performance of the securities in their native currencies plus the impact of the forward currency transaction.

The impact of the forward currency transaction over a specific period in isolation is the difference between the base currency amount required to purchase the securities and the amount of base currency that will be received when the forward is closed out.

For example:

Start date: 5 July 2004

30 December 2016 41

Securities to be purchased 104,700,000 JPY

To fund the purchase buy 104,700,000 JPY at 109.1 JPY/US$ at a cost of 959,670.03 US$

Looking at a 1 month period, to protect the fund against FX movements, the forward contract is: Deliver 104,700,000 JPY against 960,814.90 US$ (108.97 JPY/US$) in 1 month

After 1 month (5 Aug 04) the securities have a value of 102,700,000 JPY

At the end of the month, sell the securities to generate 102,700,000 JPY

Settle the Forward contract to leave cash balances of:

(2,000,000) JPY (102,700,000 – 104,700,000) 1,144.87 US$ (960,814.90 – 959,670.03)

The JPY loss of 2,000,000 JPY is the performance of the securities during the period, which is (1.91)% of the original value (in JPY).

The JPY loss converted to US$ at the spot rate for 5 Aug 04 (111.78) is 17892.29 US$, which is (1.86)% of the original value (in US$).

The US$ profit of 1,144.87 is the impact of the forward transaction and represents 0.119% of the original value.

The total performance for the period is (16,747.42) US$, which represents (1.75)% of the original value.

The total percentage performance can also be obtained as:

(% JPY LOSS * SOM FX/EOM FX) + % US$ PROFIT = (-1.91 X 109.1/111.78) + .119 = -1.75

{EOM FX = End of Month FX Rate SOM FX = Start of Month FX Rate}

The first element of the equation is the performance of the security in the currency of the security adjusted for the impact of FX rate changes during the month between that currency and the base currency used for hedging.

The second element of the equation is the profit or loss generated by the forward transaction over the period.

5.2.2 FX Hedged Implementation

The implementation within an index calculation requires the calculation to closely imitate the strategy described above. The calculation needs to be applied on a per security basis and on a daily basis.

To provide a realistic estimate of the impact of an effective 1 day forward rate one month deposit rates for the currencies are used as set out below, the mid market rates are used for the calculations.

The impact of the FX forward for a period of n days as a percentage of the position value is calculated as:

(1 month deposit rate for FX Hedge currency – 1 month deposit rate for constituent currency) x n/365

In the calculation of the index values the period of n days is either one day or 3 days, depending on whether a weekend is involved in the calculation.

The performance of the constituent in base currency is adjusted to account for FX moves during the day as:

Adjusted performance = Raw Performance * Start of Day FX/End of day FX

The FX is the constituent currency per unit of base currency.

The % hedged performance is:

% Impact of FX forward + % Adjusted Performance

The performance of the overall hedged index is the sum of:

% hedged performance of each constituent * weight of constituent within index.

30 December 2016 42

The performance of the overall hedged index is then used to generate an index value

Where depo rate information is not available a value of zero is used.

5.3 Concentration Factors

5.3.1 Concentration Levels

Concentration Factors are used to limit the impact of specific issues in a particular index.

Concentration Factors are used for most indices.

For each index where Concentration Factors are used a Concentration Level is used to calculate the Concentration Factor to be applied to each issue in the index. The Concentration Level is the percentage of the Market Capitalisation of the index to which the influence of a single issuer or underlying is limited by application of the Concentration Factors.

The Index Manager will determine from time to time which indices will use Concentration Factors and for those indices the Concentration Level to apply. The Index Manager may only amend these details following feedback from the IAC on the proposed changes. The Index Manager may also seek feedback from the IAG and/or the User Base on proposed changes. Any changes that are made to the list of which indices will use Concentration Factors and for those indices the Concentration Level to apply will be announced in the Index Status Report.

30 December 2016 43

The table below sets out the Concentration Level used for each index group, the Concentration Level is used for all indices based on that selection of issues regardless of the calculation currency or calculation method.

Index Group Concentration Level

Global 2%

Global Vanilla 2%

Global ex US 3%

US 3%

Global Focus 4%

Global Investment Grade 4%

US Vanilla 4%

Europe 5%

Eurozone 5%

Asia 5%

Growth Markets 5%

Global Focus Investment Grade 6%

US Focus 6%

US Investment Grade 6%

Asia ex-Japan 6%

Asia Focus 6%

Japan 8%

Europe Focus 8%

Eurozone Focus 10%

Europe Investment Grade 10%

Asia ex-Japan Focus 10%

Japan Focus 15%

US Focus Investment Grade 15%

Europe Focus Investment Grade 15%

Japan Investment Grade No Limit

Other Markets No Limit

Note: These values are effective as of reselections effective 9 July 2014.

The Concentration Level used for each index group is reviewed at each Focus Monthly Review and the Index Manager will determine any amendments to Concentration Levels using the procedure set out above.

Concentration Factors are used to ensure the following conditions are satisfied following the calculation of Concentration Factors.

The total Market Capitalisation of issues from a single issuer does not exceed a specified amount set for that index.

The total Market Capitalisation of issues that convert into a particular underlying does not exceed a specified amount set for that index.

There is only one Concentration Factor for each issue in a particular index.

The calculation of Concentration Factors may be carried out for an entire index or may be carried out for a selection of one or more issues.

30 December 2016 44

The Index Manager may determine the Concentration Factor to be used for a specific issue in a particular index using the procedure set out above for changes to the Concentration Factors used for each index .

Mandatory convertibles are not included in the computation of the total capitalisation issued by an issuer, but are included in the computation of the overall index capitalisation.

The issuer related to the Exchange Property of each issue is generally a straightforward determination, however where necessary the Index Manager will determine the issuer to be allocated for the purposes of these calculations. The Index Manager may ask the User Base and/or IAC and/or IAG for feedback and/or guidance on the decision.

Any changes or proposed changes to the issuer associated with the Exchange Property of an issue will be announced in the Index Status Report. For issues that are being added or are proposed to be added to Global Index under the New Issue guidelines (Section 2.5) the process identifying the issuer to be associated with the Exchange Property is carried out as part of the New Issue Add process and feedback regarding the association will be taken in conjunction with any other feedback regarding the proposed addition of the issue.

5.3.2 Concentration Factor changes

The method used to calculate Concentration Factors is set out in section 5.3.3 below.

Concentration Factors are recalculated for each index at Quarterly Index Reselections and for Focus sub-indices at Focus Monthly Reviews.

Concentration Factors are recalculated for specific issues when an issue is added to or dropped from an index. In these circumstances the issues for which the Concentration Factors are recalculated is limited to the Related Issues of the issue or issues being added or dropped.

During the daily index calculation a check is carried out to determine if any issuer or underlying exceeds 125% of the Concentration Level applying to the index. If this situation occurs then the Index Team will advise the Index Manager of the details of the situation and Index Manager will determine if a re-calculation of the Concentration Factors is to be carried out and if so the timing of such re-calculation. The Index Manager may seek feedback and/or guidance from the IAC and/or the IAG

The Index Manager may require a re-calculation of the Concentration Factors to be carried out for specified issues or indices or may defer a specific calculation of Concentration Factors. In general the Index Manager would seek guidance from the IAC before such actions, however if time is of the essence the Index Manager may authorise these actions and subsequently report the events to the IAC.

5.3.3 Concentration Factor calculation

The process for calculating the Concentration Factors is iterative as the application of any factor will change the weighting of all other issues in the index.

The calculation follows the same sequence whether the Concentration Factors for the whole index or the Concentration Factors for specific issues are being recalculated.

For recalculation of the Concentration Factors for the whole index the Relevant Issues are all of the constituents of the index.

For recalculation of specified issues the Relevant Issues are the Related Issues based on the specified issues required for the recalculation.

Related Issues are determined iteratively; initially the Related Issues are set to the specified issues. Then all issues that have the same issuer as any of the Related Issues together with all issues that have the same underlying as any of the Related Issues are added to the list of Related Issues. This process is repeated until no additions to the list of Related Issues are made.

The sequence of operations for the calculation is as follows:

30 December 2016 45

a) Remove all of the Concentration Factors.

b) For any issues where the Index Manager has set an override value for the Concentration Factor,

apply the Concentration Factor and remove those issues from the list of Relevant Issues.

c) Calculate the total Market Capitalisation of the index using the Concentration Factors already set and then calculate the Threshold Capitalisation as the product of the Market Capitalisation and the Concentration Level.

d) For each underlying represented in the Relevant Issues, calculate the aggregate Market

Capitalisation of all Relevant Issues with that underlying. If the value exceeds the Threshold Capitalisation then adjust the Concentration Factor used for each of the Relevant Issues with that underlying by the ratio of the Threshold Capitalisation divided by the aggregate Market Capitalisation of all Relevant Issues with that underlying.

e) Repeat step (c) and (d) until no material change is made.

f) Calculate the total Market Capitalisation of the index using the Concentration Factors already set and then calculate the Threshold Capitalisation as the product of the Market Capitalisation and the Concentration Level.

g) For each issuer represented in the Relevant Issues, calculate the aggregate Market Capitalisation of all Relevant Issues from that issuer. If the value exceeds the Threshold Capitalisation then adjust the Concentration Factor used for each of the Relevant Issues from that issuer by the ratio of the Threshold Capitalisation divided by the aggregate Market Capitalisation of all Relevant Issues from that issuer.

h) Repeat step (f) and (g) until no material change is made.

i) Repeat steps (c) to (h) until no material change is made in either (d) or (g)

The materiality test used is that if the aggregate Market Capitalisation is no more than US$10 above the Threshold Capitalisation then the change is not material

5.3.4 Concentration Factor usage

The product of the Concentration Factor set at any particular calculation and the Outstanding Issue Size for a particular issue at the time of the calculation is the Maximum Allowed Size for that issue for the period until the next calculation of Concentration Factors affecting that issue.

The actual issue size used in index calculation will be the lower of the Outstanding Issue Size and the Maximum Allowed Size.

An issue that is not subject to the application of a Concentration Factor will use the Outstanding Issue Size as the actual issue size in index calculations.

30 December 2016 46

6. Appendix

6.1 Equity-Linked Issue & Exchange Property

6.1.1 Definition of an Equity-Linked issue

For an issue to be a candidate for inclusion in the Global Index it must be an Equity-Linked Convertible Security as generally recognised in the market.

Examples of such issues would include convertibles, exchangeables, mandatory issues and ‘useable’ bonds with warrants.

We define useable bonds with warrants as issues that differ from the conventional bonds with warrant structure, as the warrant(s) can only be exercised if the holder tenders the bond, which means it behaves like a vanilla convertible.

The issue must be convertible into a listed share. On this basis various pre-IPO convertibles are excluded from the Global Index.

Contingent convertible structures with only downside, contingent conversion features which are dependent on capital ratio triggers are not considered to be Equity-Linked Convertible Securities.

The Index Team will refer any issue where there is uncertainty regarding this classification to the Index Manager. The Index Manager will determine the classification of the issue. The Index Manager may ask the User Base and/or IAC and/or IAG for feedback and/or guidance on the decision.

6.1.2 Exchange Property

The Exchange Property for a convertible is the equity and/or any other value that is received on conversion of the issue.

Issues where the exchange property consists of an amount of cash where the cash value is directly linked to the market value of an equity or basket of equities are regarded as being convertible directly into the equities for the purposes of calculations in respect of the indices.

6.2 Naming Methodology

The names used to describe issue in the Global Index follow specific conventions

Convertible type Naming method Example

Convertible Underlying name, coupon, maturity year

Celesio 2.5% 2018

Preferreds Underlying name, dividend cash value per year, maturity year

Omnicare 'B' $2 2033

Perpetual Underlying name, coupon, type Health Care REIT $3.25 Perpetual

Exchangeable Underlying name, (Issuer name), coupon, maturity year

Daimler (Aabar) 4% 2016

If an issuer or underlying is subject to a takeover or name change then both the old and the new names are shown, separated by a forward slash, with the new name first, once the new name comes in to common usage the old name is removed.

6.3 Definitions and Derivations

6.3.1 Overview

This section contains details of the definitions and derivations of a number of parameters used in the construction and calculation of the indices.

30 December 2016 47

6.3.2 Issue Price

The Issue Price for an issue is the price at which an issue is first sold to general investors. Issues which are re-offered at a price lower than the originally published issue price will be allocated the re-offered price as the Issue Price. Some issues, particularly Japanese issues are quoted with a headline issue price which is paid by the underwriter and then an offer price which is the price at which the issue is offered to the market. In this case the Issue Price is set to the offer price.

If there is any doubt as to the appropriate price to be used for the Issue Price the Index Team will refer the issue to the Index Manager. The Index Manager will determine the Issue Price to be used for the issue. The Index Manager may ask the User Base and/or IAC and/or IAG for feedback and/or guidance on the decision.

6.3.3 Original Issue Size

The Original Issue Size is the size of the issue when launched, including any option to increase that was exercised.

6.3.4 Initial Issue Proceeds & Outstanding Issue Proceeds

Size Issue Original Price IssueProceeds Issue Initial

Size Issue Original

Size Issue gOutstandin Proceeds Issue InitialProceeds Issue gOutstandin

6.3.5 Accreted Issue Proceeds

The Accreted Issue Proceeds is a measure of the capitalisation of an issue which varies through the life of an issue to reflect the impact of discount issue or premium redemption terms.

By way of example, the TJX Companies 0% 2021 issue was launched in 2001 at an issue price of 67.165% with issue proceeds of US$347,578,875, the issue matures in 2021 at a price of 100% with redemption proceeds of US$517,500,000. The Accreted Issue Proceeds tracks the change from the issue proceeds to the redemption proceeds through the life of an issue.

The derivation of this value is as follows:

Accreted Issue Proceeds = Dirty Accreted Issue Price x Original Issue Size

Dirty Accreted Issue Price = Accreted Issue Price + Allowance for Accrued

Allowance for Accrued is the accrued interest for transactions on the relevant trade date. For issues subject to contractual accrued this is the contractual accrued. For issues that trade with accrued in the price this value is a notional value calculated using an accrual method appropriate to the market.

Accreted Issue Price = Issue Price * (Capital Yield ^ Elapsed Life)

Capital Yield = (Redemption Price/Issue Price) ^ ( 1/Issue Term)

Elapsed Life is the number of years since issue date and Issue Term is the number of years from Issue Date to final redemption.

For issues where the Redemption Price is not a fixed value at issue (e.g. Floating principal issues) or where the Redemption Price is not defined (e.g. Perpetual Issues) or where the Redemption Price is zero (e.g. Mandatory issues) or where the Redemption Price is in a currency different to the Issue Price then Capital Yield is set to a value of 1.

6.3.6 Issue Premium

The Issue Premium is percentage by which the Issue Price exceeds the Parity calculated using the equity price at issue. The equity price at issue is frequently stated as a reference price at the time the terms of a new issue is fixed.

30 December 2016 48

If there is any doubt as to the appropriate Issue Premium to be used the Index Team will refer the issue to the Index Manager. The Index Manager will determine the Issue Premium to be used for the issue. The Index Manager may ask the User Base and/or IAC and/or IAG for feedback and/or guidance on the decision.

6.3.7 Market Capitalisation

Size Issue gOutstandin Price Dirty tionCapitalisaMarket

6.3.8 Face Value

The Face Value of an issue is the nominal value of the issue, for bonds this is normally clearly stated in the prospectus and is the basis for the percentage pricing used in many markets. For preferred convertible issues the Face Value is normally the liquidation preference.

If the Face Value is not clear from the issue documentation the Index Team will refer the issue to the Index Manager. . The Index Manager will determine the Face Value to be used for the issue. The Index Manager may ask the User Base and/or IAC and/or IAG for feedback and/or guidance on the decision.

6.3.9 Parity

The Parity value of an issue is the value of the Exchange Property due to the holder of the issue on conversion of a single unit of the issue. Conventionally, Parity is converted to be in the same currency and units as the price of the issue.

When an issue is priced at Parity then the security price used will be the security price such that the consideration paid is equal to the Parity, thus if the security trades on a Clean Price basis then the Clean Price will be the Parity less the Accrued.

When Parity is calculated as a possible price to use for an issue being dropped from the Global Index owing to redemption then in addition to the usual simple calculation of the value of the Exchange Property an allowance may be required to account for any Exchange Property that will be received not ranking pari-passu with existing equity in respect of forthcoming dividends.

6.3.10 Premium

Premium is the percentage by which a clean security price exceeds the Parity.

6.3.11 Traded Value

Traded Value is the value of turnover reported on an exchange or trade reporting platform for an issue.

Traded Value is converted to US$ on a daily basis using the EoD FX rates used for index calculation on that day.

Traded Value data obtained from TRACE is subject to the following limitations:

Trades marked 1MM+ on TRACE represents trades in excess of 1,000,000 nominal and are recorded for the purposes of Traded Value calculations as 1,000,000 nominal.

Trades marked 5MM+ on TRACE represents trades in excess of 5,000,000 nominal and are recorded for the purposes of Traded Value calculations as 5,000,000 nominal.

New Issues may, in some circumstances, not report through TRACE on the first day of trading. In those circumstances no Traded Value from TRACE will be recorded against the issue for that day.

As such the values used for assessing liquidity may understate the actual value traded.

30 December 2016 49

6.4 Qualifying Prices

6.4.1 Overview

The number of Qualifying Prices is used as a guide to liquidity for both new issues and at Quarterly Index Reselections.

To be a Qualifying Price for an issue a price must meet a number of conditions which are set out in the section below.

6.4.2 Qualifying price conditions

6.4.2.1 Absolute conditions

To be a Qualifying Price a price must meet all of the following conditions

The price must be from a source that provides prices that are available to be used by TRPS in the determination of the TRPS Closing Price

The price must be no older than one week

The price must have a non-zero bid and a non-zero offer

The price must have a positive, non-zero spread

The price must have a spread less than or equal to 2% of Face Value

The price must have a spread less than or equal to 3% of the Bid

6.4.2.2 Relative condition

In addition to the absolute conditions above, the mid prices of all of the Qualifying Prices for an issue must fall within one Standard Spread.

A Standard Spread is the lesser of 2% of Face Value and 3% of the lowest mid price of any Qualifying Price

6.5 Price Basis

6.5.1 Overview

The overall philosophy for pricing issues in the indices is that for prices used for Adds and Drops the method for determining the price is determined by Index Manager. For end of day pricing of the indices prices are acquired by the Index Team using automated price feeds (“Market Prices”).

6.5.2 Price basis

The basis used for pricing convertibles in the Index is:

For issues being added to the Global Index or any sub-index at the calculation point the offer price.

For issues being retained in the Global Index or any sub-index at the calculation point the bid price.

For issues being dropped from the Global Index or any sub-index at the calculation point the bid price.

The equity prices used for the calculation of the Parity Indices and other equity based indices are last trading prices.

30 December 2016 50

6.5.3 Price sources

The Index Team obtains prices for convertibles as set out below:

For issues where a TRPS Closing Price is available then the TRPS Closing Price will be used unless otherwise determined by the Index Manager.

For issues where a TRPS Closing Price is not available then the closing price from a Recognised Convertible Exchange will be used.

For issues where neither a TRPS Closing Price nor a closing price from a Recognised Convertible Exchange is available then the Index Manager will determine the price to be used (Section 6.5.6.1 applies)

When a price from a Recognised Convertible Exchange is used then the Index Team will determine the appropriate exchange to use for a particular issue. If there is uncertainty as to the appropriate exchange to use then the Index Manager will determine the appropriate exchange to use.

The Index Team obtains prices for equities from exchange feeds. The price used for Global Index calculation is the last trading price. Where an equity trades on a number of exchanges the Index Team will determine which exchange or exchanges are appropriate for a particular issue at any particular time. If there is uncertainty as to the appropriate exchange to use then the Index Manager will determine the appropriate exchange to use.

Effective 11 December 2015, The WM/Reuters Closing Spot Rates are used as the basis for FX rates used for Index calculations. The Index uses the bid and ask rates to USD to calculate a mid rate to USD which is used for Index calculations. Where cross-rates are required for calculation purposes these rates are calculated from the mid rates calculated by the Index.

Prior to 11 December 2015 the FX rates used for Index calculation were taken from Thomson Reuters as of 16:30 London time.

Interest rates required for the calculation of FX hedged indexes are taken from Thomson Reuters; the mid rates are used for calculation.

6.5.4 Price timings

The prices captured by the automated price feeds are intended to be the most recent reliable price for each security in the index.

The general basis for the convertibles is shown in the table below:

Price Type Latest Collection

TRPS Closing Price The prices provided by TRPS in the following regional price files (estimated delivery times in brackets): Asia px_asia_6pm_govcorp (18:45 Tokyo time) EMEA px_emea_6pm_govcorp (18:45 London time) US px_amer_4pm_govcorp (16:45 New York time)

Asian and European exchange traded convertibles

More than 1 hour after the stated close of the exchange, however the exchanges only transmit trades from regular trading and therefore last trade will be last trade during a regular session.

US Exchange traded issues Price collection ceases once the exchange sends the "end of trading" message

The general basis for equities is shown in the table below.

30 December 2016 51

Price Type Latest Collection

Asian and European Equity More than 1 hour after the stated close of the exchange, however the exchanges only transmit trades from regular trading and therefore last trade will be last trade during a regular session.

US Equity Price collection ceases once the exchange sends the "end of trading" message

The WM/Reuters Closing Spot Rates are normally calculated at 16:00 London time.

The Interest Rates required for Index calculation are as of 16:30 London time, rates taken from Thomson Reuters.

Individual securities may be treated differently if the Index Manager determines that the general approach is generating unsatisfactory prices (Section 6.5.6.1 applies).

6.5.5 Recognised exchanges

6.5.5.1 Equity exchanges

A Recognised Exchange for equity trading is any exchange that provides trading and price data on equities and is available as an exchange feed through the Thomson Reuters market data systems.

6.5.5.2 Convertible exchanges

A Recognised Convertible Exchange for convertible trading is any exchange that provides trading and price data on convertibles and is generally recognised as an exchange which provides a viable market in a particular issue.

In general the Luxembourg Exchange is not regarded as a Recognised Convertible Exchange as it does not generally provide a trading forum.

In general the Singapore Exchange is not regarded as a Recognised Convertible Exchange for issues that are not local issues as it does not generally provide a trading forum.

The Index Manager will decide if a particular exchange is a Recognised Convertible Exchange for a particular issue.

6.5.6 Index Manager role in Pricing

6.5.6.1 Index Manager role in end of day pricing

In general the Market Prices generated from the automated price feeds will be used for all end of day pricing of issues required for calculation of the Index.

The Index Manager may determine that a different price source or a price determined by the Index Manager should be used either for a single calculation point or for an extended period if there is a clear reason to believe that the automated price is not representative. In these circumstances the Index Manager will, if time permits, seek guidance and/or feedback from the IAC and/or IAG to determine the appropriate action. If time does not permit the Index Manager to seek guidance and/or feedback from the IAC and/or IAG then the Index Manager will provide the IAC with details of the event as soon as possible the IAC may seek feedback from the IAG on the event and will give guidance if further action is required.

6.5.6.2 Index Manager role in pricing Adds and Drops

All Add and Drop prices will be reviewed by the Index Manager and if required will be amended. The Index Manager will take into account any feedback received from the User Base regarding the published Add and Drop prices. If the Index Manager determines that an Add or Drop price requires amendment the Index Manager will, if time permits, seek guidance and/or feedback from the IAC and/or IAG to

30 December 2016 52

determine the appropriate action. If time does not permit the Index Manager to seek guidance and/or feedback from the IAC and/or IAG then the Index Manager will provide the IAC with details of the event as soon as possible, the IAC may seek feedback from the IAG on the event and will give guidance if further action is required.

6.5.7 TRPS Closing Price

The Thomson Reuters Pricing Service (“TRPS”) is an independent, global evaluated pricing source covering over 2.5 million fixed income securities, derivatives and bank loans. Coverage spans all major financial markets and prices are available at multiple times daily. TRPS evaluations, which provide detailed transparency and market insight, are designed to support asset managers, custodian banks, mutual fund administrators and risk managers. The TRPS Closing Price is taken from the regional prices files listed in Section 6.5.4. The regional price files contain both bid and offer prices.

6.6 Country and Region Details

6.6.1 Method of allocation of Country and Region

The allocation of an issue to a Country is determined as set out in Section 3.2.2

The relationship between Country and Region is shown in the table below

The relationship between Country and Region may be amended from time to time by the Index Manager. The Index Manager may only amend the relationship following feedback from the IAC on the proposed changes. The Index Manager may also seek feedback from the IAG and/or the User Base on proposed changes.

The US and Japan are also regarded as Regions for the purposes of sub-index creation.

30 December 2016 53

Country to Region allocation table

Country Glo

bal

Glo

bal

ex

US

US

Euro

pe

Asi

a

Oth

er

Mar

kets

Euro

-

zon

e

Asi

a e

x

Jap

an

Gro

wth

Mar

kets

Jap

an

Argentina

Australia

Austria

Bahamas

Belgium

Bermuda

Brazil

Canada

Cayman Islands

China

Denmark

Egypt

Finland

France

Germany

Ghana

Greece

Hungary

India

Indonesia

Ireland

Israel

Italy

Japan

Liechtenstein

Luxembourg

Malaysia

Mauritius

Mexico

Netherlands

New Zealand

Norway

OTHER

Pakistan

Philippines

Poland

Portugal

Russia

Singapore

South Africa

South Korea

Spain

Sweden

Switzerland

Taiwan

Thailand

UK

United Arab Emirates

US

30 December 2016 54

6.7 Credit Rating detail

6.7.1 Rating equivalence table

The equivalence between rating schemes for the purposes of allocating issues as Investment Grade or Sub Investment Grade is shown in the table below.

S&P Moody’s

Investment

Grade

1 AAA Aaa

2 AA+ Aa1

3 AA Aa2

4 AA- Aa3

5 A+ A1

6 A A2

7 A- A3

8 BBB+ Baa1

9 BBB Baa2

10 BBB- Baa3

Sub

Investment

Grade

11 BB+ Ba1

12 BB Ba2

13 BB- Ba3

14 B+ B1

15 B B2

16 B- B3

17 CCC+ Caa1

18 CCC Caa2

19 CCC- Caa3

20 CC Ca

21 C C

22 D

30 December 2016 55

6.7.2 Issuer Rating derivation

The issuer ratings used when determining the classification of each issue for the credit sub-indices in accordance with Section 3.2.4 are obtained from the Thomson Reuters GovCorp database which is maintained by the Thomson Reuters Ratings Team using data from relevant rating agencies.

The rating agencies considered for the purposes of the Index are Moody’s and S&P.

The GovCorp data fields used are from the “party” table for the issuer/guarantor and are:

Rating Agency GovCorp Database field in party table

Moody mdy_issuer_rating_cd

S&P sp_issuer_long_rating_cd

These fields are populated from the data available from the rating agencies using the following procedures.

mdy_issuer_rating_cd

This field is populated using the Moody rating designations listed below only.

LT Issuer Rating

LT Issuer Rating (Domestic)

LT Issuer Rating (Foreign)

In the event that more than one of these is provided by the rating agency then the most recent is used to populate the field, if both Foreign and Domestic are updated at the same time then the Foreign rating is dominant.

sp_issuer_long_rating_cd

This field is populated using the S&P rating designations listed below only.

Foreign Currency LT

Local Currency LT

In the event that more than one of these is provided by the rating agency then the most recent is used to populate the field, if both Foreign and Local are updated at the same time then the Foreign rating is dominant.

6.8 Equity Dividend Treatment

Gross dividends are used for all equity markets.

If there is any doubt as to the appropriate dividend to be used for the issue the Index Team will refer the issue to the Index Manager. The Index Manager will determine the dividend to be used for the issue. The Index Manager may ask the User Base and/or IAC and/or IAG for feedback and/or guidance on the decision.

6.9 Index Calendar

The Index Calendar below lists the key dates for the Focus Monthly Review and Quarterly Index Reselection.

This may be amended by the Index Manager. Any amendments will be announced in the Index Status Report which is published on all weekdays.

To be eligible for consideration for addition to the Focus sub-Index a new issue must have been announced as an “Add” to the Index (not a “Potential Add”, but a confirmed “Add”) no later than the Index Status Report published on the day before the Selection Date for the relevant monthly review.

30 December 2016 56

Index Calendar 2017

Date Focus Monthly Review Quarterly Index Reselection

Wed 30 Nov 2016 Selection Period start - Dec 2016

Wed 07 Dec 2016 Selection Date - Dec 2016

Wed 14 Dec 2016 Effective Date - Dec 2016 Initial Reselection Report - Q4 2016

Wed 21 Dec 2016 Provisional Reselection Report - Q4 2016

Wed 28 Dec 2016 Selection Period start - Jan 2017

Wed 04 Jan 2017 Selection Date - Jan 2017 Final Reselection Report - Q4 2016

Wed 11 Jan 2017 Effective Date - Jan 2017 Effective Date - Q4 2016

Wed 25 Jan 2017 Selection Period start - Feb 2017

Wed 01 Feb 2017 Selection Date - Feb 2017

Wed 08 Feb 2017 Effective Date - Feb 2017

Wed 22 Feb 2017 Selection Period start - Mar 2017

Wed 01 Mar 2017 Selection Date - Mar 2017

Wed 08 Mar 2017 Effective Date - Mar 2017

Wed 22 Mar 2017 Initial Reselection Report - Q1 2017

Wed 29 Mar 2017 Selection Period start - Apr 2017 Provisional Reselection Report - Q1 2017

Wed 05 Apr 2017 Selection Date - Apr 2017 Final Reselection Report - Q1 2017

Wed 12 Apr 2017 Effective Date - Apr 2017 Effective Date - Q1 2017

Wed 26 Apr 2017 Selection Period start - May 2017

Wed 03 May 2017 Selection Date - May 2017

Wed 10 May 2017 Effective Date - May 2017

Wed 31 May 2017 Selection Period start - Jun 2017

Wed 07 Jun 2017 Selection Date - Jun 2017

Wed 14 Jun 2017 Effective Date - Jun 2017

Wed 21 Jun 2017 Initial Reselection Report - Q2 2017

Wed 28 Jun 2017 Selection Period start - Jul 2017 Provisional Reselection Report - Q2 2017

Wed 05 Jul 2017 Selection Date - Jul 2017 Final Reselection Report - Q2 2017

Wed 12 Jul 2017 Effective Date - Jul 2017 Effective Date - Q2 2017

Wed 26 Jul 2017 Selection Period start - Aug 2017

Wed 02 Aug 2017 Selection Date - Aug 2017

Wed 09 Aug 2017 Effective Date - Aug 2017

Wed 30 Aug 2017 Selection Period start - Sep 2017

Wed 06 Sep 2017 Selection Date - Sep 2017

Wed 13 Sep 2017 Effective Date - Sep 2017

Wed 20 Sep 2017 Initial Reselection Report - Q3 2017

Wed 27 Sep 2017 Selection Period start - Oct 2017 Provisional Reselection Report - Q3 2017

Wed 04 Oct 2017 Selection Date - Oct 2017 Final Reselection Report - Q3 2017

Wed 11 Oct 2017 Effective Date - Oct 2017 Effective Date - Q3 2017

Wed 25 Oct 2017 Selection Period start - Nov 2017

Wed 01 Nov 2017 Selection Date - Nov 2017

Wed 08 Nov 2017 Effective Date - Nov 2017

Wed 29 Nov 2017 Selection Period start - Dec 2017

Wed 06 Dec 2017 Selection Date - Dec 2017

Wed 13 Dec 2017 Effective Date - Dec 2017 Initial Reselection Report - Q4 2017

Wed 20 Dec 2017 Provisional Reselection Report - Q4 2017

Wed 27 Dec 2017 Selection Period start - Jan 2018

Wed 03 Jan 2018 Selection Date - Jan 2018 Final Reselection Report - Q4 2017

Wed 10 Jan 2018 Effective Date - Jan 2018 Effective Date - Q4 2017

30 December 2016 57

7. Communication of Index events

7.1 Overview

There are 2 primary channels through which changes to the Index may be communicated.

E-mail announcements

Announcements of forthcoming changes to the Index constituents or Index guidelines may be published from time to time by Thomson Reuters by e-mail. Interested parties may request addition to these subscription lists. These announcements are described in section 7.2 below.

Daily Reports

Subscribers to a relevant Thomson Reuters Convertible Indices Data Licence may request Daily Change Reports as an element of their package. These reports are described in section 7.3 below.

7.2 E-mail announcements

7.2.1 Subscription Lists

Requests for addition to or deletion from the subscription lists should be made to [email protected] .The Index Team maintain the subscription lists and the e-mail addresses provided for these subscription lists will be used only for the purposes of communicating index events as described below. Thomson Reuters, at its sole discretion, may decline to accept a request for addition to the subscription list or may remove an address from a subscription list without notice

7.2.2 Announcement Group

Two levels of subscription are available; the types of announcements generally included in each group are shown in the table below.

Subscription Level Information Provided

Overview Communications regarding the Index guidelines, data licences, delivery mechanisms and notable events that impact the Index

Detail All communications from the Overview Subscription Level. Quarterly reselection reports Daily Change Report (Section 7.3)

7.3 Daily Change Report

This report consists of 2 sections:

Index Status Report

Index Changes Report

The reports are generated at around 17:30 London time each weekday.

7.3.1 Index Status Report

This report includes the following events:

New issues that are being monitored for liquidity

New issues that are potential Adds subject to review by the Index Manager

Issues that are potential Drops subject to review by the Index Manager

mailto:[email protected]

30 December 2016 58

Announced Adds, Drops and Changes

Declined Adds and Drops that have been recently declined

These are reported at the Global Index level only. Further details of this report are given in Section 2.5.5

The reports are generated at around 17:30 London time each weekday.

7.3.2 Index Changes Report

This report includes all announced Adds, Drops and Changes. The report does not include any changes which are subject to review by the Index Manager. The changes are reported at both the Global Index level and also for each of the Index Groups.

7.4 Amendments to Reports

Reports that include information that relates to future events are subject to revision if additional information becomes available.

If reports are subject to revision then Thomson Reuters will, at its sole discretion, decide what action to take, in particular, revised reports may not be published.

All information contained in the reports is subject to the disclaimer at the beginning of these guidelines.

30 December 2016 59

8. Sub-Indices - definitions

8.1 Sub-index groupings

For convenience the sub-indices are arranged in groups:

Headline

Global

Regional

Credit

Focus Indices The Headline group includes those indices that are most frequently used and contains indices from the other groups. The Global group contains those indices with a Global geographic coverage, some of which are also present in other groups.

8.2 Sub-index tables

The sub-index tables in the following sections describe the selection criteria and calculation methods used for each index. The detail of the columns used is shown in the table below

Column Description

Index Name The descriptive name as used on the UBS website

Currency The currency in which the index is calculated - for FX Hedged Indices this is also the base currency for hedging.

RIC / Bloomberg The RIC for index information together with the Bloomberg Ticker for index information

Calculation Type Regular, FX Hedged, Costed or FX Hedged + Costed (Section 5 refers)

Focus This indicates if the index is dynamically selected using the Focus selection method, if blank then the index is not subject to dynamic selection (Section 3.3 refers)

Vanilla This field indicates any selection criteria applied in respect of the redemption features of the issues (Section 3.2.3 refers)

After Jan 08 Mandatory issues are excluded after 9 Jan 2008 (Section 3.2.3 refers)

Vanilla Mandatory issues are excluded

Mandatory Only Mandatory issues are included

{Blank} No selection by redemption features

Geographic The Region or Country selection applied to the index, if blank then no selection by geographic location (Section 3.2.2 refers)

Credit The credit rating selection applied to the index, if blank then the index is not subject to selection by credit (Section 3.2.4 refers)

30 December 2016 60

9.2.1 Headline Indices

Index Name Currency RIC

Bloomberg Calculation

Type Focus Vanilla Geographic Credit

Global USD UCBINDEXW0001

UCBIGLBL Regular None Global

Global EUR UCBINDEXW1410

UCBIGLBE Regular None Global

Global CHF UCBINDEXW1146

UCBIGLBC Regular None Global

Global JPY UCBINDEXW1145

UCBIGLBJ Regular None Global

Global GBP UCBINDEXW1546

UCBIGLBG Regular None Global

Global Hedged USD UCBINDEXW1054

UCBIFX01 FX Hedged None Global

Global Hedged EUR UCBINDEXW1055


Global Hedged CHF UCBINDEXW1070


Global Hedged JPY UCBINDEXW1131


Global Hedged GBP UCBINDEXW1547

UCBIGLHG FX Hedged None Global

Global Focus USD UCBINDEXW0204

UICBFOCU Regular Focus

After Jan 08

Global

Global Focus EUR UCBINDEXW1414

UCBIFOCE Regular Focus

After Jan 08

Global

Global Focus CHF UCBINDEXW1148

UCBIFOCC Regular Focus

After Jan 08

Global

Global Focus JPY UCBINDEXW1147

UCBIFOCJ Regular Focus

After Jan 08

Global

Global Focus GBP UCBINDEXW1545

UCBIGLFG Regular Focus

After Jan 08

Global

Global Focus Hedged USD UCBINDEXW1058

UCBIFX02 FX Hedged Focus

After Jan 08

Global

Global Focus Hedged EUR UCBINDEXW1059


After Jan 08

Global

Global Focus Hedged CHF UCBINDEXW1068


After Jan 08

Global

Global Focus Hedged JPY UCBINDEXW1132


After Jan 08

Global

Global Focus Hedged GBP UCBINDEXW1303


After Jan 08

Global

Global Investment Grade USD UCBINDEXW1416

UICBGIGU Regular None

After Jan 13

Global Investment Grade

Global Investment Grade EUR UCBINDEXW1417

UICBGIGE Regular None

After Jan 13


Global Investment Grade CHF UCBINDEXW1150

UICBGIGC Regular None

After Jan 13


Global Investment Grade JPY UCBINDEXW1149

UICBGIGJ Regular None

After Jan 13


Global Investment Grade GBP UCBINDEXW1551

UCBIGLIG Regular None

After Jan 13


Global Investment Grade Hedged USD UCBINDEXW1057

UCBIFX04 FX Hedged None

After Jan 13


Global Investment Grade Hedged EUR UCBINDEXW1056


After Jan 13


Global Investment Grade Hedged CHF UCBINDEXW1128


After Jan 13


Global Investment Grade Hedged JPY UCBINDEXW1310


After Jan 13


Global Investment Grade Hedged GBP UCBINDEXW1552

UCBIGIHG FX Hedged None

After Jan 13


Global Focus Investment Grade USD UCBINDEXW1418

UICBFOIU Regular Focus

After Jan 08


Global Focus Investment Grade EUR UCBINDEXW1419

UICBFOIE Regular Focus

After Jan 08


Global Focus Investment Grade CHF UCBINDEXW1152

UICBFOIC Regular Focus

After Jan 08


Global Focus Investment Grade JPY UCBINDEXW1151

UICBFOIJ Regular Focus

After Jan 08


Global Focus Investment Grade GBP UCBINDEXW1553

UCBIGFIG Regular Focus

After Jan 08


30 December 2016 61

9.2.1 Headline Indices - Continued




Global Focus Investment Grade Hedged

USD UCBINDEXW1061


After Jan 08



EUR UCBINDEXW1060


After Jan 08



CHF UCBINDEXW1134


After Jan 08



JPY UCBINDEXW1133


After Jan 08



GBP UCBINDEXW1554

UCBIFIHG FX Hedged Focus

After Jan 08


Europe USD UCBINDEXW0045

UCBIEUUS Regular None Vanilla Europe

Europe EUR UCBINDEXW0046

UCBIEUEU Regular None Vanilla Europe

Europe CHF UCBINDEXW1306

UCBIEUCH Regular None Vanilla Europe

Europe GBP UCBINDEXW1555

UCBIEURG Regular None Vanilla Europe

Europe Hedged USD UCBINDEXW1045

UCBIFX09 FX Hedged None Vanilla Europe

Europe Hedged EUR UCBINDEXW1044


Europe Hedged CHF UCBINDEXW1315


Europe Hedged GBP UCBINDEXW1556

UCBIEUHG FX Hedged None Vanilla Europe

Europe Focus USD UCBINDEXW0205

UICBFOEU Regular Focus Vanilla Europe

Europe Focus EUR UCBINDEXW0206

UICBFOEE Regular Focus Vanilla Europe

Europe Focus CHF UCBINDEXW1307

UICBFOEC Regular Focus Vanilla Europe

Europe Focus GBP UCBINDEXW1559

UCBIEUFG Regular Focus Vanilla Europe

Europe Focus Hedged USD UCBINDEXW1047

UCBIFX10 FX Hedged Focus Vanilla Europe

Europe Focus Hedged EUR UCBINDEXW1046


Europe Focus Hedged CHF UCBINDEXW1316


Europe Focus Hedged GBP UCBINDEXW1560

UCBIEFHG FX Hedged Focus Vanilla Europe

Europe Investment Grade USD UCBINDEXW0196

UCBIEIGU Regular None Vanilla Europe

Investment Grade

Europe Investment Grade EUR UCBINDEXW0197

UCBIEIGE Regular None Vanilla Europe

Investment Grade

Europe Investment Grade CHF UCBINDEXW1309

UCBIEIGC Regular None Vanilla Europe

Investment Grade

Europe Investment Grade GBP UCBINDEXW1557

UCBIEIGG Regular None Vanilla Europe

Investment Grade

Europe Investment Grade Hedged USD UCBINDEXW1043


Investment Grade

Europe Investment Grade Hedged EUR UCBINDEXW1042


Investment Grade

Europe Investment Grade Hedged CHF UCBINDEXW1158

UCBIEAAE FX Hedged None Vanilla Europe

Investment Grade

Europe Investment Grade Hedged GBP UCBINDEXW1558

UCBIEIHG FX Hedged None Vanilla Europe

Investment Grade

Europe Focus Investment Grade USD UCBINDEXW1016

UCBIFIEU Regular Focus Vanilla Europe

Investment Grade

Europe Focus Investment Grade EUR UCBINDEXW1017

UCBIFIEE Regular Focus Vanilla Europe

Investment Grade

Europe Focus Investment Grade CHF UCBINDEXW1018

UCBIFIEC Regular Focus Vanilla Europe

Investment Grade

Europe Focus Investment Grade GBP UCBINDEXW1561

UCBIEFIG Regular Focus Vanilla Europe

Investment Grade

Europe Focus Investment Grade Hedged

USD UCBINDEXW1135


Investment Grade

30 December 2016 62






EUR UCBINDEXW1136


Investment Grade


CHF UCBINDEXW1137


Investment Grade


GBP UCBINDEXW1562

UCBIPIHG FX Hedged Focus Vanilla Europe

Investment Grade

Eurozone USD UCBINDEXW0049

UCBIEMUS Regular None Vanilla Eurozone

Eurozone EUR UCBINDEXW0050

UCBIEMUE Regular None Vanilla Eurozone

Eurozone CHF UCBINDEXW1599

UCBIEMUC Regular None Vanilla Eurozone

Eurozone Hedged USD UCBINDEXW1049

UCBIFX45 FX Hedged None Vanilla Eurozone

Eurozone Hedged EUR UCBINDEXW1048


Eurozone Hedged CHF UCBINDEXW1600


Eurozone Focus USD UCBINDEXW0211

UICBFOZU Regular Focus Vanilla Eurozone

Eurozone Focus EUR UCBINDEXW0212

UICBFOZE Regular Focus Vanilla Eurozone

Eurozone Focus Hedged USD UCBINDEXW1051

UCBIFX46 FX Hedged Focus Vanilla Eurozone

Eurozone Focus Hedged EUR UCBINDEXW1050


US USD UCBINDEXW0039

UCBIUS Regular None US

US EUR UCBINDEXW1500

UCBIUSEU Regular None US

US CHF UCBINDEXW1576

UCBIUSAC Regular None US

US Hedged USD UCBINDEXW1501

UCBIFX39 FX Hedged None US

US Hedged EUR UCBINDEXW1321


US Hedged CHF UCBINDEXW1577

UCBIUSHC FX Hedged None US

Asia ex Japan USD UCBINDEXW0051

UCBIASIA Regular None

After Jan 13

Asia ex Japan

Asia ex Japan EUR UCBINDEXW1502

UCBIASIE Regular None

After Jan 13

Asia ex Japan

Asia ex Japan CHF UCBINDEXW1568

UCBIASXC Regular None

After Jan 13

Asia ex Japan

Asia ex Japan GBP UCBINDEXW1569

UCBIASXG Regular None

After Jan 13

Asia ex Japan

Asia ex Japan Hedged USD UCBINDEXW1025


After Jan 13

Asia ex Japan

Asia ex Japan Hedged EUR UCBINDEXW1319

UCBIENRU FX Hedged None

After Jan 13

Asia ex Japan

Asia ex Japan Hedged CHF UCBINDEXW1570

UCBIAXHC FX Hedged None

After Jan 13

Asia ex Japan

Asia ex Japan Hedged GBP UCBINDEXW1571

UCBIAXHG FX Hedged None

After Jan 13

Asia ex Japan

Japan USD UCBINDEXW0031

UCBIJPUS Regular None

After Jan 13

Japan

Japan EUR UCBINDEXW1506

UCBIJPEU Regular None

After Jan 13

Japan

Japan CHF UCBINDEXW1591

UCBIJAPC Regular None

After Jan 13

Japan

Japan JPY UCBINDEXW0032

UCBIJPJP Regular None

After Jan 13

Japan

Japan Hedged USD UCBINDEXW1067


After Jan 13

Japan

Japan Hedged EUR UCBINDEXW1320


After Jan 13

Japan

Japan Hedged CHF UCBINDEXW1592

UCBIJPHC FX Hedged None

After Jan 13

Japan

Japan Hedged JPY UCBINDEXW1066


After Jan 13

Japan

30 December 2016 63





Other Markets USD UCBINDEXW0052

UCBIOTHR Regular None

After Jan 13

Other Markets

Other Markets EUR UCBINDEXW1515

UCBIOTHE Regular None

After Jan 13

Other Markets

Other Markets Hedged USD UCBINDEXW1516

UCBIOTH1 FX Hedged None

After Jan 13

Other Markets

Other Markets Hedged EUR UCBINDEXW1517


After Jan 13

Other Markets

30 December 2016 64

9.2.2 Global Indices




Global USD UCBINDEXW0001

UCBIGLBL Regular None Global

Global EUR UCBINDEXW1410

UCBIGLBE Regular None Global

Global CHF UCBINDEXW1146

UCBIGLBC Regular None Global

Global JPY UCBINDEXW1145

UCBIGLBJ Regular None Global

Global GBP UCBINDEXW1546

UCBIGLBG Regular None Global

Global Hedged USD UCBINDEXW1054


Global Hedged EUR UCBINDEXW1055


Global Hedged CHF UCBINDEXW1070


Global Hedged JPY UCBINDEXW1131


Global Hedged GBP UCBINDEXW1547

UCBIGLHG FX Hedged None Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 08




After Jan 08




After Jan 08




After Jan 08




After Jan 08


30 December 2016 65

9.2.2 Global Indices – Continued





USD UCBINDEXW1061


After Jan 08



EUR UCBINDEXW1060


After Jan 08



CHF UCBINDEXW1134


After Jan 08



JPY UCBINDEXW1133


After Jan 08



GBP UCBINDEXW1554


After Jan 08


Global Vanilla USD UCBINDEXW0002

UCBIGLVU Regular None Vanilla Global

Global Vanilla EUR UCBINDEXW1411

UCBIGLVE Regular None Vanilla Global

Global Vanilla CHF UCBINDEXW1511

UCBIGLVC Regular None Vanilla Global

Global Vanilla JPY UCBINDEXW1512

UCBIGLVJ Regular None Vanilla Global

Global Vanilla GBP UCBINDEXW1548

UCBIGLVG Regular None Vanilla Global

Global Vanilla Hedged USD UCBINDEXW1064

UCBIFX03 FX Hedged None Vanilla Global

Global Vanilla Hedged EUR UCBINDEXW1065

UCBIFX15 FX Hedged None Vanilla Global

Global Vanilla Hedged CHF UCBINDEXW1021

UCBIEABU FX Hedged None Vanilla Global

Global Vanilla Hedged JPY UCBINDEXW1514

UCBIEABJ FX Hedged None Vanilla Global

Global Vanilla Hedged GBP UCBINDEXW1543

UCBIGVHG FX Hedged None Vanilla Global

30 December 2016 66

9.2.3 Regional Indices




Europe USD UCBINDEXW0045

UCBIEUUS Regular None Vanilla Europe

Europe EUR UCBINDEXW0046

UCBIEUEU Regular None Vanilla Europe

Europe CHF UCBINDEXW1306

UCBIEUCH Regular None Vanilla Europe

Europe GBP UCBINDEXW1555

UCBIEURG Regular None Vanilla Europe

Europe Hedged USD UCBINDEXW1045


Europe Hedged EUR UCBINDEXW1044


Europe Hedged CHF UCBINDEXW1315


Europe Hedged GBP UCBINDEXW1556

UCBIEUHG FX Hedged None Vanilla Europe



















Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade


USD UCBINDEXW1135


Investment Grade


EUR UCBINDEXW1136


Investment Grade


CHF UCBINDEXW1137


Investment Grade


GBP UCBINDEXW1562


Investment Grade

Eurozone USD UCBINDEXW0049

UCBIEMUS Regular None Vanilla Eurozone

Eurozone EUR UCBINDEXW0050

UCBIEMUE Regular None Vanilla Eurozone

30 December 2016 67

9.2.3 Regional Indices - continued




Eurozone CHF UCBINDEXW1599

UCBIEMUC Regular None Vanilla Eurozone

Eurozone Hedged USD UCBINDEXW1049


Eurozone Hedged EUR UCBINDEXW1048


Eurozone Hedged CHF UCBINDEXW1600










US USD UCBINDEXW0039

UCBIUS Regular None US

US EUR UCBINDEXW1500

UCBIUSEU Regular None US

US CHF UCBINDEXW1576

UCBIUSAC Regular None US

US Hedged USD UCBINDEXW1501


US Hedged EUR UCBINDEXW1321


US Hedged CHF UCBINDEXW1577

UCBIUSHC FX Hedged None US

US Vanilla USD UCBINDEXW0041

UCBIUSV Regular None Vanilla US

US Vanilla EUR UCBINDEXW1520

UCBIUSVE Regular None Vanilla US

US Vanilla CHF UCBINDEXW1582

UCBIUSVC Regular None Vanilla US

US Vanilla Hedged USD UCBINDEXW1521

UCBIUSV1 FX Hedged None Vanilla US

US Vanilla Hedged EUR UCBINDEXW1522

UCBIUSV2 FX Hedged None Vanilla US

US Vanilla Hedged CHF UCBINDEXW1583

UCBIUVHC FX Hedged None Vanilla US

US Focus USD UCBINDEXW0207

UCBIFOUU Regular Focus

After Jan 08

US

US Focus EUR UCBINDEXW1526

UCBIFOUE Regular Focus

After Jan 08

US

US Focus CHF UCBINDEXW1578

UCBIUSFC Regular Focus

After Jan 08

US

US Focus Hedged USD UCBINDEXW1527

UCBIFOU1 FX Hedged Focus

After Jan 08

US

US Focus Hedged EUR UCBINDEXW1528


After Jan 08

US

US Focus Hedged CHF UCBINDEXW1579

UCBIUFHC FX Hedged Focus

After Jan 08

US

US Investment Grade USD UCBINDEXW0201

UICBUIGU Regular None

After Jan 13

US Investment Grade

US Investment Grade EUR UCBINDEXW1523

UICBUIGE Regular None

After Jan 13

US Investment Grade

US Investment Grade CHF UCBINDEXW1537

UICBUIGC Regular None

After Jan 13

US Investment Grade

US Investment Grade Hedged USD UCBINDEXW1524

UICBUIG1 FX Hedged None

After Jan 13

US Investment Grade

US Investment Grade Hedged EUR UCBINDEXW1525


After Jan 13

US Investment Grade

US Investment Grade Hedged CHF UCBINDEXW1006


After Jan 13

US Investment Grade

US Focus Investment Grade USD UCBINDEXW1019

UCBIUFIU Regular Focus

After Jan 08

US Investment Grade

US Focus Investment Grade EUR UCBINDEXW1529

UCBIUFIE Regular Focus

After Jan 08

US Investment Grade

30 December 2016 68





US Focus Investment Grade CHF UCBINDEXW1580

UCBIUFIC Regular Focus

After Jan 08

US Investment Grade

US Focus Investment Grade Hedged

USD UCBINDEXW1530

UCBIUFI1 FX Hedged Focus

After Jan 08

US Investment Grade


EUR UCBINDEXW1531


After Jan 08

US Investment Grade


CHF UCBINDEXW1581

UCBIFIHC FX Hedged Focus

After Jan 08

US Investment Grade

Asia ex Japan USD UCBINDEXW0051

UCBIASIA Regular None

After Jan 13

Asia ex Japan

Asia ex Japan EUR UCBINDEXW1502

UCBIASIE Regular None

After Jan 13

Asia ex Japan

Asia ex Japan CHF UCBINDEXW1568

UCBIASXC Regular None

After Jan 13

Asia ex Japan

Asia ex Japan GBP UCBINDEXW1569

UCBIASXG Regular None

After Jan 13

Asia ex Japan

Asia ex Japan Hedged USD UCBINDEXW1025


After Jan 13

Asia ex Japan

Asia ex Japan Hedged EUR UCBINDEXW1319

UCBIENRU FX Hedged None

After Jan 13

Asia ex Japan

Asia ex Japan Hedged CHF UCBINDEXW1570

UCBIAXHC FX Hedged None

After Jan 13

Asia ex Japan

Asia ex Japan Hedged GBP UCBINDEXW1571

UCBIAXHG FX Hedged None

After Jan 13

Asia ex Japan

Asia ex Japan Focus USD UCBINDEXW1138

UCBIAJFU Regular Focus

After Jan 08

Asia ex Japan

Asia ex Japan Focus EUR UCBINDEXW1503

UCBIAJF1 Regular Focus

After Jan 08

Asia ex Japan

Asia ex Japan Focus CHF UCBINDEXW1586

UCBIAXFC Regular Focus

After Jan 08

Asia ex Japan

Asia ex Japan Focus Hedged USD UCBINDEXW1504

UCBIAJF2 FX Hedged Focus

After Jan 08

Asia ex Japan

Asia ex Japan Focus Hedged EUR UCBINDEXW1505


After Jan 08

Asia ex Japan

Asia ex Japan Focus Hedged CHF UCBINDEXW1587

UCBIXFHC FX Hedged Focus

After Jan 08

Asia ex Japan

Japan USD UCBINDEXW0031

UCBIJPUS Regular None

After Jan 13

Japan

Japan EUR UCBINDEXW1506

UCBIJPEU Regular None

After Jan 13

Japan

Japan CHF UCBINDEXW1591

UCBIJAPC Regular None

After Jan 13

Japan

Japan JPY UCBINDEXW0032

UCBIJPJP Regular None

After Jan 13

Japan

Japan Hedged USD UCBINDEXW1067


After Jan 13

Japan

Japan Hedged EUR UCBINDEXW1320


After Jan 13

Japan

Japan Hedged CHF UCBINDEXW1592

UCBIJPHC FX Hedged None

After Jan 13

Japan

Japan Hedged JPY UCBINDEXW1066


After Jan 13

Japan

Japan Focus USD UCBINDEXW1140

UCBIJPFU Regular Focus

After Jan 08

Japan

Japan Focus EUR UCBINDEXW1507

UCBIJPFE Regular Focus

After Jan 08

Japan

Japan Focus CHF UCBINDEXW1593

UCBIJPFC Regular Focus

After Jan 08

Japan

Japan Focus JPY UCBINDEXW1141

UCBIJPFJ Regular Focus

After Jan 08

Japan

Japan Focus Hedged USD UCBINDEXW1508

UCBIJPF1 FX Hedged Focus

After Jan 08

Japan

Japan Focus Hedged EUR UCBINDEXW1509


After Jan 08

Japan

Japan Focus Hedged CHF UCBINDEXW1594

UCBIJFHC FX Hedged Focus

After Jan 08

Japan

Japan Focus Hedged JPY UCBINDEXW1510


After Jan 08

Japan

30 December 2016 69





Japan Investment Grade USD UCBINDEXW0202

UICBJIGU Regular None

After Jan 13

Japan Investment Grade

Japan Investment Grade EUR UCBINDEXW1539

UICBJIGR Regular None

After Jan 13


Japan Investment Grade CHF UCBINDEXW1538

UICBCIGE Regular None

After Jan 13


Japan Investment Grade JPY UCBINDEXW0203

UICBJIGE Regular None

After Jan 13


Japan Investment Grade Hedged USD UCBINDEXW1534

UICBJIG8 FX Hedged None

After Jan 13


Japan Investment Grade Hedged EUR UCBINDEXW1535


After Jan 13


Japan Investment Grade Hedged CHF UCBINDEXW1005


After Jan 13


Japan Investment Grade Hedged JPY UCBINDEXW1536


After Jan 13


Asia USD UCBINDEXW1010

UCBIASJP Regular None

After Jan 13

Asia

Asia EUR UCBINDEXW1532

UCBIASJE Regular None

After Jan 13

Asia

Asia CHF UCBINDEXW1590

UCBIASAC Regular None

After Jan 13

Asia

Asia Hedged USD UCBINDEXW1026


After Jan 13

Asia

Asia Hedged EUR UCBINDEXW1533

UCBIFX1E FX Hedged None

After Jan 13

Asia

Asia Hedged CHF UCBINDEXW1573

UCBIASHC FX Hedged None

After Jan 13

Asia

Asia Focus USD UCBINDEXW0208

UCBIASFU Regular Focus

After Jan 08

Asia

Asia Focus EUR UCBINDEXW1540

UCBIASFE Regular Focus

After Jan 08

Asia

Asia Focus CHF UCBINDEXW1588

UCBIASFC Regular Focus

After Jan 08

Asia

Asia Focus Hedged USD UCBINDEXW1541

UCBIAFHE FX Hedged Focus

After Jan 08

Asia

Asia Focus Hedged EUR UCBINDEXW1542

UCBIAFHU FX Hedged Focus

After Jan 08

Asia

Asia Focus Hedged CHF UCBINDEXW1589

UCBIAFHC FX Hedged Focus

After Jan 08

Asia

Other Markets USD UCBINDEXW0052

UCBIOTHR Regular None

After Jan 13

Other Markets

Other Markets EUR UCBINDEXW1515

UCBIOTHE Regular None

After Jan 13

Other Markets

Other Markets Hedged USD UCBINDEXW1516


After Jan 13

Other Markets

Other Markets Hedged EUR UCBINDEXW1517


After Jan 13

Other Markets

Global ex US USD UCBINDEXW0044

UCBIGXUS Regular None Global ex US

Global ex US EUR UCBINDEXW1412

UCBIGXUE Regular None Global ex US

Global ex US CHF UCBINDEXW1574

UCBIGXUC Regular None Global ex US

Global ex US GBP UCBINDEXW1549

UCBIGXUG Regular None Global ex US

Global ex US Hedged USD UCBINDEXW1518

UCBIGXU1 FX Hedged None Global ex US

Global ex US Hedged EUR UCBINDEXW1519

UCBIGXU2 FX Hedged None Global ex US

Global ex US Hedged CHF UCBINDEXW1575

UCBIGXHC FX Hedged None Global ex US

Global ex US Hedged GBP UCBINDEXW1550

UCBIGXHG FX Hedged None Global ex US

Growth Markets USD UCBINDEXW1564

UCBIGROU Regular None Vanilla

Growth Markets

Growth Markets EUR UCBINDEXW1565

UCBIGROE Regular None Vanilla

Growth Markets

30 December 2016 70





Growth Markets CHF UCBINDEXW1584

UCBIGROC Regular None Vanilla

Growth Markets

Growth Markets JPY UCBINDEXW1601

UCBIGROJ Regular None Vanilla

Growth Markets

Growth Markets Hedged USD UCBINDEXW1566

UCBIGRHU FX Hedged None Vanilla

Growth Markets

Growth Markets Hedged EUR UCBINDEXW1567

UCBIGRHE FX Hedged None Vanilla

Growth Markets

Growth Markets Hedged CHF UCBINDEXW1585

UCBIGRHC FX Hedged None Vanilla

Growth Markets

Growth Markets Hedged JPY UCBINDEXW1602

UCBIGRHJ FX Hedged None Vanilla

Growth Markets

30 December 2016 71

9.2.4 Credit Indices






After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 13




After Jan 08




After Jan 08




After Jan 08




After Jan 08




After Jan 08



USD UCBINDEXW1061


After Jan 08



EUR UCBINDEXW1060


After Jan 08



CHF UCBINDEXW1134


After Jan 08



JPY UCBINDEXW1133


After Jan 08



GBP UCBINDEXW1554


After Jan 08




Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade



Investment Grade


USD UCBINDEXW1135


Investment Grade


EUR UCBINDEXW1136


Investment Grade

30 December 2016 72

9.2.4 Credit Indices – Continued





CHF UCBINDEXW1137


Investment Grade


GBP UCBINDEXW1562


Investment Grade

US Investment Grade USD UCBINDEXW0201

UICBUIGU Regular None

After Jan 13

US Investment Grade

US Investment Grade EUR UCBINDEXW1523

UICBUIGE Regular None

After Jan 13

US Investment Grade

US Investment Grade CHF UCBINDEXW1537

UICBUIGC Regular None

After Jan 13

US Investment Grade

US Investment Grade Hedged USD UCBINDEXW1524


After Jan 13

US Investment Grade

US Investment Grade Hedged EUR UCBINDEXW1525


After Jan 13

US Investment Grade

US Investment Grade Hedged CHF UCBINDEXW1006


After Jan 13

US Investment Grade



After Jan 08

US Investment Grade



After Jan 08

US Investment Grade



After Jan 08

US Investment Grade


USD UCBINDEXW1530


After Jan 08

US Investment Grade


EUR UCBINDEXW1531


After Jan 08

US Investment Grade


CHF UCBINDEXW1581


After Jan 08

US Investment Grade

Japan Investment Grade USD UCBINDEXW0202

UICBJIGU Regular None

After Jan 13


Japan Investment Grade EUR UCBINDEXW1539

UICBJIGR Regular None

After Jan 13


Japan Investment Grade CHF UCBINDEXW1538

UICBCIGE Regular None

After Jan 13


Japan Investment Grade JPY UCBINDEXW0203

UICBJIGE Regular None

After Jan 13


Japan Investment Grade Hedged USD UCBINDEXW1534


After Jan 13


Japan Investment Grade Hedged EUR UCBINDEXW1535


After Jan 13


Japan Investment Grade Hedged CHF UCBINDEXW1005


After Jan 13


Japan Investment Grade Hedged JPY UCBINDEXW1536


After Jan 13


30 December 2016 73

9.2.5 Focus Indices






After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08

Global



After Jan 08




After Jan 08




After Jan 08




After Jan 08




After Jan 08



USD UCBINDEXW1061


After Jan 08



EUR UCBINDEXW1060


After Jan 08



CHF UCBINDEXW1134


After Jan 08



JPY UCBINDEXW1133


After Jan 08



GBP UCBINDEXW1554


After Jan 08




















Investment Grade



Investment Grade



Investment Grade



Investment Grade


USD UCBINDEXW1135


Investment Grade


EUR UCBINDEXW1136


Investment Grade

30 December 2016 74

9.2.5 Focus Indices - continued





CHF UCBINDEXW1137


Investment Grade


GBP UCBINDEXW1562


Investment Grade









US Focus USD UCBINDEXW0207

UCBIFOUU Regular Focus

After Jan 08

US

US Focus EUR UCBINDEXW1526

UCBIFOUE Regular Focus

After Jan 08

US

US Focus CHF UCBINDEXW1578

UCBIUSFC Regular Focus

After Jan 08

US

US Focus Hedged USD UCBINDEXW1527


After Jan 08

US

US Focus Hedged EUR UCBINDEXW1528


After Jan 08

US

US Focus Hedged CHF UCBINDEXW1579

UCBIUFHC FX Hedged Focus

After Jan 08

US



After Jan 08

US Investment Grade



After Jan 08

US Investment Grade



After Jan 08

US Investment Grade


USD UCBINDEXW1530


After Jan 08

US Investment Grade


EUR UCBINDEXW1531


After Jan 08

US Investment Grade


CHF UCBINDEXW1581


After Jan 08

US Investment Grade

Asia ex Japan Focus USD UCBINDEXW1138

UCBIAJFU Regular Focus

After Jan 08

Asia ex Japan

Asia ex Japan Focus EUR UCBINDEXW1503

UCBIAJF1 Regular Focus

After Jan 08

Asia ex Japan

Asia ex Japan Focus CHF UCBINDEXW1586

UCBIAXFC Regular Focus

After Jan 08

Asia ex Japan

Asia ex Japan Focus Hedged USD UCBINDEXW1504


After Jan 08

Asia ex Japan

Asia ex Japan Focus Hedged EUR UCBINDEXW1505


After Jan 08

Asia ex Japan

Asia ex Japan Focus Hedged CHF UCBINDEXW1587

UCBIXFHC FX Hedged Focus

After Jan 08

Asia ex Japan

Japan Focus USD UCBINDEXW1140

UCBIJPFU Regular Focus

After Jan 08

Japan

Japan Focus EUR UCBINDEXW1507

UCBIJPFE Regular Focus

After Jan 08

Japan

Japan Focus CHF UCBINDEXW1593

UCBIJPFC Regular Focus

After Jan 08

Japan

Japan Focus JPY UCBINDEXW1141

UCBIJPFJ Regular Focus

After Jan 08

Japan

Japan Focus Hedged USD UCBINDEXW1508


After Jan 08

Japan

Japan Focus Hedged EUR UCBINDEXW1509


After Jan 08

Japan

Japan Focus Hedged CHF UCBINDEXW1594

UCBIJFHC FX Hedged Focus

After Jan 08

Japan

Japan Focus Hedged JPY UCBINDEXW1510


After Jan 08

Japan

Asia Focus USD UCBINDEXW0208

UCBIASFU Regular Focus

After Jan 08

Asia

Asia Focus EUR UCBINDEXW1540

UCBIASFE Regular Focus

After Jan 08

Asia

30 December 2016 75

9.2.5 Focus Indices - continued




Asia Focus CHF UCBINDEXW1588

UCBIASFC Regular Focus

After Jan 08

Asia

Asia Focus Hedged USD UCBINDEXW1541

UCBIAFHE FX Hedged Focus

After Jan 08

Asia

Asia Focus Hedged EUR UCBINDEXW1542

UCBIAFHU FX Hedged Focus

After Jan 08

Asia

Asia Focus Hedged CHF UCBINDEXW1589

UCBIAFHC FX Hedged Focus

After Jan 08

Asia

thomson reuters convertible indices ... reuters convertible indices methodology revision 6 – final...

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