NYSE U.S. Market & NYSE U.S. Pure Exposure Sector Index ...

[Pages:22]NYSE? U.S. Market & NYSE U.S. Pure Exposure Sector IndexTM Families

Version 2.0 Valid from April 30, 2018

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Table of contents

Version History: ......................................................................................................................................................... 2 1. Index summary ...................................................................................................................................................... 1 2. Governance.............................................................................................................................................................. 4 3. Index Description.................................................................................................................................................. 6 4. Publication............................................................................................................................................................... 7

4.1 The opening, intraday and closing or daily publication of index values. ................................. 7 4.2 Exceptional market conditions and corrections................................................................................ 8 4.3 Changes to the Index .................................................................................................................................... 8 5. Calculation ............................................................................................................................................................ 11 5.1 Calculation of the price index ................................................................................................................ 11 6. Index reviews ...................................................................................................................................................... 12 6.1 General aim of reviews and frequency ............................................................................................... 12 6.2 Index universe and selection principle .............................................................................................. 12 6.3 Periodical update of weighting.............................................................................................................. 14 7. Corporate Actions .............................................................................................................................................. 16 7.1 General............................................................................................................................................................ 16 8. Disclaimer ............................................................................................................................................................. 17

Version History:

Version 2.0 (Effective April 30, 2018) This version incorporates language reflecting changes to the announcement policy, exceptional market conditions and corrections handing, legal structure of the Index Administrator, introduces language codifying certain established procedures relating to Index governance and includes an updated Disclaimer. Version 1.0 (Effective December 11, 2015) This version was released to support the launch of the NYSE? U.S. Market Sector IndexTM Family and the NYSE U.S. Pure Exposure Sector IndexTM Family.

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1. Index summary

Factsheet

Full name

NYSE? U.S. Market Consumer Goods Sector IndexTM (NYUSMCG)

NYSE? U.S. Market Consumer Goods Sector IndexTM (TR) (NYUSMCGT)

NYSE? U.S. Market Consumer Services Sector IndexTM (NYUSMCS)

NYSE? U.S. Market Consumer Services Sector IndexTM (TR) (NYUSMCST)

NYSE? U.S. Market Energy Sector IndexTM (NYUSMEN) NYSE? U.S. Market Energy Sector IndexTM (TR)

(NYUSMENT) NYSE? U.S. Market Financials Sector IndexTM

(NYUSMFN) NYSE? U.S. Market Financials Sector IndexTM (TR)

(NYUSMFNT) NYSE? U.S. Market Healthcare Sector IndexTM

(NYUSMHC) NYSE? U.S. Market Healthcare Sector IndexTM (TR)

(NYUSMHCT) NYSE? U.S. Market Industrials Sector IndexTM

(NYUSMIN) NYSE? U.S. Market Industrials Sector IndexTM (TR)

(NYUSMINT) NYSE? U.S. Market Basic Materials Sector IndexTM

(NYUSMMT) NYSE? U.S. Market Basic Materials Sector IndexTM (TR)

(NYUSMMTT) NYSE? U.S. Market Technology Sector IndexTM

(NYUSMTC) NYSE? U.S. Market Technology Sector IndexTM (TR)

(NYUSMTCT) NYSE? U.S. Market Utilities and Telecommunications

Sector IndexTM (NYUSMUT) NYSE? U.S. Market Utilities and Telecommunications

Sector IndexTM (TR) (NYUSMUTT) NYSE U.S. Pure Exposure Consumer Goods Sector IndexTM

(NYPURECG) NYSE U.S. Pure Exposure Consumer Services Sector

IndexTM (NYPURECS) NYSE U.S. Pure Exposure Energy Sector IndexTM

(NYPUREEN) NYSE U.S. Pure Exposure Financials Sector IndexTM

(NYPUREFN)

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Index Type

Eligible components Number of constituents

Weighting

Review of composition

Effective date of the rebalance Calculation frequency Base date Base level Historic data available since Bloomberg code

NYSE U.S. Pure Exposure Healthcare Sector IndexTM (NYPUREHC)

NYSE U.S. Pure Exposure Industrials Sector IndexTM (NYPUREIN)

NYSE U.S. Pure Exposure Basic Materials Sector IndexTM (NYPUREMT)

NYSE U.S. Pure Exposure Technology Sector IndexTM (NYPURETC)

NYSE U.S. Pure Exposure Utilities and Telecommunications Sector IndexTM (NYPUREUT)

NYSE? U.S. Market Sector Indices: Price Return & Gross Total Return

NYSE U.S. Pure Exposure Sector Indices: Gross Total Return

NYSE? U.S. Market Sector Indices; Common stocks and real estate investment trusts (REITs) of U.S. companies that are listed on the NYSE, NASDAQ, NYSE AMERICAN, or another major U.S. exchange

NYSE? U.S. Pure Exposure Sector Indices: NYSE? U.S. Market Sector Indices, SPDR? S&P 500? ETF Trust (NYSE: SPY) & Cash

NYSE? U.S. Market Sector Indices: Variable NYSE? U.S. Pure Exposure Sector Indices: Variable NYSE? U.S. Market Sector Indices: Float-adjusted

market capitalization NYSE? U.S. Pure Exposure Sector Indices: Float-adjusted

market capitalization and hedge ratio weighting NYSE? U.S. Market Sector Indices: Quarterly

reconstitution stock selection and weighting determination occurs T-3 from the effective date NYSE? U.S. Pure Exposure Sector Indices: Monthly rebalance hedge ratio determination T-3 from the effective date NYSE? U.S. Market Sector Indices: Quarterly reconstitution of stocks and weightings effective before the open of the 2nd Wednesday of March, June, September, December NYSE? U.S. Pure Exposure Sector Indices: Monthly rebalance of hedge ratio effective before the open of the 2nd Wednesday of each month

Every 15 seconds between 09:30 & 18:00 ET

March 12, 2002

1000.00

March 12, 2002 NYUSMCG INDEX / NYUSMCGT INDEX / NYUSMCS INDEX / NYUSMCST INDEX / NYUSMEN INDEX / NYUSMENT INDEX / NYUSMFN INDEX / NYUSMFNT INDEX / NYUSMHC INDEX /

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Reuters code Launch date Website

NYUSMHCT INDEX / NYUSMIN INDEX / NYUSMINT INDEX / NYUSMMT INDEX / NYUSMMTT INDEX / NYUSMTC INDEX / NYUSMTCT INDEX / NYUSMUT INDEX / NYUSMUTT INDEX / NYPURECG INDEX / NYPURECS INDEX / NYPUREEN INDEX / NYPUREFN INDEX / NYPUREHC INDEX / NYPUREIN INDEX / NYPUREMT INDEX / NYPURETC INDEX / NYPUREUT INDEX .NYUSMCG / .NYUSMCGT / .NYUSMCS / .NYUSMCST / .NYUSMEN / .NYUSMENT / .NYUSMFN / .NYUSMFNT / .NYUSMHC / .NYUSMHCT / .NYUSMIN / .NYUSMINT / .NYUSMMT / .NYUSMMTT / .NYUSMTC / .NYUSMTCT / .NYUSMUT / .NYUSMUTT / .NYPURECG / .NYPURECS / .NYPUREEN / .NYPUREFN / .NYPUREHC / .NYPUREIN / .NYPUREMT / .NYPURETC / .NYPUREUT /

December 11, 2015



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2. Governance

Index Sponsor & Administrator

ICE Data Indices, LLC ("IDI") is the Index Sponsor and the Index Administrator.

IDI is responsible for the day-to-day management of the Index, including retaining primary responsibility for all aspects of the index determination process, including implementing appropriate governance and oversight, as required under the International Organization of Securities Commission's Principles for Financial Benchmarks (the IOSCO Principles). The Governance Committee is responsible for helping to ensure IDI's overall compliance with the IOSCO Principles, by performing the Oversight Function which includes overseeing the index development, design, issuance and operation of the indices, as well as reviewing the control framework. IDI is also responsible for decisions regarding the interpretation of these rules and the Governance Committee is responsible for reviewing all rule book modifications and index constituent changes with respect to the Index to ensure that they are made objectively, without bias, and in accordance with applicable law and regulation and IDI's policies and procedures. Consequently, all IDI's and the Governance Committee discussions and decisions are confidential until released to the public.

Cases not covered in rules

In cases which are not expressly covered in these rules, operational adjustments will take place along the lines of the aim of the Index. Operational adjustments may also take place if, in the opinion of the Index Administrator, it is desirable to do so to maintain a fair and orderly market in derivatives on this Index and/or this is in the best interests of the investors in products based on the Index and/or the proper functioning of the markets.

Any such modifications described under this section or exercise of Expert Judgment will also be governed by any applicable policies, procedures and Guidelines in place by IDI at such time.

Rule book changes

The Governance Committee reviews all rule book modifications and Index changes to ensure that they are made objectively, without bias and in accordance with applicable law and regulation and IDI's policies and procedures. These rules may be supplemented, amended in whole or in part, revised or withdrawn at any time in accordance with applicable law and regulation and IDI applicable policies and procedures. Supplements, amendments, revisions and withdrawals may also lead to changes in the way the Index is compiled or calculated or affect the Index in another way.

Limitations of the Index

All the NYSE indices produced by IDI ("the NYSE Indices") may be subject to potential limitations, such as a decline in the pool of available eligible securities due to advancements

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in technology, shifts in demographic spending or the economy, changes in regulation or accounting rules, consolidation in certain sectors or industries, or other factors. Other limitations may include the ability of the Benchmark to operate in illiquid or fragmented markets. IDI seeks to manage and mitigate these limitations through the Benchmark design, review and oversight process.

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3. Index Description

The NYSE? U.S. Market Sector Index SeriesTM universe is compiled from the common stocks and real estate investment trusts (REITs) of the largest 85% of the total unadjusted market capitalization of the investable universe that are listed on the NYSE, NASDAQ, NYSE American, or another major U.S. exchange. The universe is divided into the following sectors based upon NYSE proprietary sector classifications:

1. Energy 2. Basic Materials 3. Industrials 4. Consumer Goods 5. Healthcare 6. Consumer Services 7. Utilities and Telecommunications 8. Financials 9. Technology The NYSE? U.S. Sector Pure Exposure Index Series TM is a hedged version of the NYSE? U.S. Market Index SeriesTM. Utilizing a proprietary, rules-based model for beta calculation, a hedge ratio is determined for each Sector Index as of the close of the last trading day of the month preceding the rebalance month. Each Sector Index holds a short position in the SPDR? S&P 500? ETF Trust (SPY) ETF to affect the market exposure hedge. The indices were developed in association with Verus Analytics, Inc. a Scottsdale-based quantitative finance and research firm, and AlphaBetaWorks, a division of Alpha Beta Analytics, LLC a San Francisco-based provider of risk management, skill evaluation, and predictive performance analytics.

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