S&P/KRX Exchanges Index

Methodology

February 2021
S&P Dow Jones Indices: Index Methodology
Table of Contents
Introduction 3
Index Objective 3
Partnership 3
Supporting Documents 3
Eligibility Criteria 4
Index Eligibility 4
Eligibility Factors 4
Multiple Share Classes 4
Index Construction 5
Approaches 5
Constituent Selection 5
Constituent Weightings 5
Index Calculations 5
Index Maintenance 6
Rebalancing 6
Corporate Actions 6
Currency of Calculation and Additional Index Return Series 7
Base Date 7
Index Data 8
Calculation Return Types 8
Index Governance 9
Index Committee 9
Index Policy 10
Announcements 10
Holiday Schedule 10
Rebalancing 10
Closing Calculation 10
Unexpected Exchange Closures 10
Recalculation Policy 10
Contact Information 10

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 1

Index Dissemination 11
Tickers 11
Index Data 11
Web sites 11
Appendix 12
EU Required ESG Disclosures 12
Disclaimer 13

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 2

Introduction
Index Objective

The S&P/KRX Exchanges Index is comprised of leading publicly traded financial exchanges that meet
size, liquidity, and tradability requirements. The index is designed to measure the listed financial
exchange industry. Constituents are weighted by float-adjusted market capitalization, subject to a weight
cap of 10%.

Partnership

The S&P/KRX Exchanges Index is designed and developed jointly by S&P Dow Jones Indices and the
Korea Exchange. The index is owned, calculated, maintained and distributed by S&P Dow Jones Indices.

Supporting Documents

This methodology is meant to be read in conjunction with supporting documents providing greater detail
with respect to the policies, procedures and calculations described herein. References throughout the
methodology direct the reader to the relevant supporting document for further information on a specific
topic. The list of the main supplemental documents for this methodology and the hyperlinks to those
documents is as follows:

Supporting Document URL

S&P Dow Jones Indices’ Equity Indices Policies &
Equity Indices Policies & Practices
Practices Methodology
S&P Dow Jones Indices’ Index Mathematics
Index Mathematics Methodology
Methodology
S&P Dow Jones Indices’ Float Adjustment
Float Adjustment Methodology
Methodology
S&P Dow Jones Indices’ Global Industry
GICS Methodology
Classification Standard (GICS) Methodology

This methodology was created by S&P Dow Jones Indices to achieve the aforementioned objective of
measuring the underlying interest of each index governed by this methodology document. Any changes to
or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones
Indices so that the index continues to achieve its objective.

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 3

Eligibility Criteria
Index Eligibility

The universe is derived from all publicly listed global financial exchanges in the S&P Global BMI
(excluding China A shares) and S&P Frontier BMI indices. Financial exchanges are defined as a
centralized location of trading for any type of financial instrument including equities, fixed income
securities, futures, options, and other derivatives, classified as part of the GICS Financial Exchanges &
Data Sub-Industry (code: 40203040).

Eligibility Factors

The universe is, then, narrowed down to an investable set of stocks based on the following criteria:

Market Capitalization. The security must have an average daily float-adjusted market capitalization
(FMC) greater than US$ 200 million for the preceding six months, as of each rebalancing reference date.

Please refer to S&P Dow Jones Indices’ Float Adjustment Methodology for a detailed description of float
adjustment and Investable Weight Factor (IWF).

Liquidity. All index constituents must have a minimum average daily value traded (ADVT) of US$ 1
million for the preceding six months, as of each rebalancing reference date.

Eligible Securities. All common shares (which are of an equity and not of a fixed income nature) are
eligible for inclusion in the index. Preferred shares, convertible stocks, bonds, warrants, rights, and other
stocks that provide a guaranteed fixed return are not eligible.

Trading History. Each eligible stock must have been trading for at least six months prior to the
rebalancing reference date.

Stocks passing these criteria form the Selection Universe.

Multiple Share Classes

Each company is represented once by the Designated Listing. For more information regarding the
treatment of multiple share classes, please refer to Approach B within the Multiple Share Classes section
of the S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology.

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 4

Index Construction
Approaches

There are two steps in the creation of the index. The first is the selection of index constituents; the second
is the weighting of the constituents within the index.

Constituent Selection

1. The initial selection universe consists of all publicly listed global financial exchanges in the S&P
Global BMI (excluding China A shares) and S&P Frontier BMI indices.
2. The six-month ADVT (hereafter referred to as “Liquidity”) and the six-month daily FMC are
measured, as of the rebalancing reference date.
3. All stocks with a six-month daily FMC of less than US$ 200 million (the “Market Cap Threshold”)
and/or Liquidity of less than US$ 1 million (the “Liquidity Threshold”) are removed. The remaining
stocks become index constituents.

Constituent Weightings

At each rebalancing, each stock’s weight is equal to its float-adjusted market capitalization divided by the
total float-adjusted market capitalization of all the stocks in the index. Any stock whose float-adjusted
market capitalization exceeds 10% of the total will be capped at 10%.

Index Calculations

The index is calculated using the divisor methodology used in all S&P Dow Jones Indices’ equity indices.

For more information on the index calculation methodology, please refer to S&P Dow Jones Indices’
Index Mathematics Methodology.

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 5

Index Maintenance
Rebalancing

Annual Rebalancing. The index is rebalanced once a year, effective after the market close of the third
Friday in December. The reference date for the data used in the annual rebalancing is after the market
close of the last trading day of November.

Semi-annual Review. The index is also reviewed in June. An additional rebalancing is triggered if, at the
time of the review, an IPO has occurred since the prior December annual rebalancing that would qualify
for the index. The IPO must have an average six-month daily float-adjusted market capitalization over
US$ 800 million at the time of the review. If the June review triggers an additional rebalancing, it takes
place after the market close of the third Friday in June. The reference data used in the review is after the
market close of the last trading date of May.

Additions. Except for spin-offs, companies can only be added to the index at the time of rebalancing.

Deletions. Between rebalancings, a company can be deleted from the index due to corporate events
such as mergers, acquisitions, delistings or a significant event that affects company size and/or liquidity.
In addition, constituents whose GICS classification changes are reviewed and removed at the subsequent
rebalancing.

Corporate Actions

Divisor
Corporate Action Adjustment Made to Index Adjustment?
Spin-off Please refer to the Treatment of Spin-offs in S&P Dow Jones Indices’ Equity
Indices Policies & Practices Methodology.
Rights Offering The price is adjusted to the Price of the Parent Company No
minus (the Price of the Rights Offering/Rights Ratio). Index
Shares change so that the company's weight remains the
same as its weight before the rights offering.
Stock dividend, stock Index Shares are multiplied by and price is divided by the No
split, reverse stock split factor.
split
Share Issuance, None. No
Share Repurchase,
Equity Offering or
Warrant Conversion
Special Dividends Price of the stock making the special dividend payment is Yes
reduced by the per share special dividend amount after the
close of trading on the day before the dividend ex-date.
Constituent Change Except for spin-offs, there are no intra-rebalancing additions. -
Deletions due to delistings, acquisition or any other corporate Yes
event resulting in the deletion of the stock from the Index will
cause the weights of the rest of the stocks in the index to
change. Relative weights will stay the same.

For more information, please refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices
Methodology.

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 6

Currency of Calculation and Additional Index Return Series

The index calculates in U.S. dollars, Korean won, Hong Kong dollars, and Japanese yen.

The closing value of the index is calculated using WM Refinitiv closing spot foreign exchange rates taken
daily at 4:00 PM London Time.

In addition to the indices detailed in this methodology, additional return series versions of the indices may
be available, including, but not limited to: currency, currency hedged, decrement, fair value, inverse,
leveraged, and risk control versions. For a list of available indices, please refer to the S&P DJI
Methodology & Regulatory Status Database.

For information on various index calculations, please refer to S&P Dow Jones Indices’ Index Mathematics
Methodology.

For the inputs necessary to calculate certain types of indices, including decrement, dynamic hedged, fair
value, and risk control indices, please refer to the Parameters documents available at www.spdji.com.

Base Date

The index has a base date of January 2, 2006 with a base value of 1,000.

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 7

Index Data
Calculation Return Types

S&P Dow Jones Indices calculates multiple return types which vary based on the treatment of regular
cash dividends. The classification of regular cash dividends is determined by S&P Dow Jones Indices.
• Price Return (PR) versions are calculated without adjustments for regular cash dividends.
• Gross Total Return (TR) versions reinvest regular cash dividends at the close on the ex-date
without consideration for withholding taxes.
• Net Total Return (NTR) versions, if available, reinvest regular cash dividends at the close on the
ex-date after the deduction of applicable withholding taxes.

In the event there are no regular cash dividends on the ex-date, the daily performance of all three indices
will be identical.

For a complete list of indices available, please refer to the daily index levels file (“.SDL”).

For more information on the classification of regular versus special cash dividends as well as the tax rates
used in the calculation of net return, please refer to S&P Dow Jones Indices’ Equity Indices Policies &
Practices Methodology.

For more information on the calculation of return types, please refer to S&P Dow Jones Indices’ Index
Mathematics Methodology.

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 8

Index Governance
Index Committee

The S&P Dow Jones Indices’ S&P/KRX Index Committee maintains the index. The Index Committee,
monitors the index policy guidelines and methodology, as well as additions to and deletions from this
index. The S&P/KRX Index Committee is composed of full-time employees of S&P Dow Jones Indices and
the Korea Exchange. The Committee meets regularly.

It is the sole responsibility of the Index Committee to decide on all matters relating to methodology,
maintenance, constituent selection and index procedures. Specifically, the Index Committee can modify
the definition of liquidity and market capitalization to reflect market conditions, as well as change the
Liquidity Threshold as required. The Index Committee makes decisions based on publicly available
information, and its discussions are kept confidential to avoid any unnecessary impact on market trading.

S&P Dow Jones Indices’ Index Committees reserve the right to make exceptions when applying the
methodology if the need arises. In any scenario where the treatment differs from the general rules stated
in this document or supplemental documents, clients will receive sufficient notice, whenever possible.

In addition to the daily governance of indices and maintenance of index methodologies, at least once
within any 12-month period, the Index Committee reviews the methodology to ensure the indices continue
to achieve the stated objectives, and that the data and methodology remain effective. In certain instances,
S&P Dow Jones Indices may publish a consultation inviting comments from external parties.

For information on Quality Assurance and Internal Reviews of Methodology, please refer to S&P Dow
Jones Indices’ Equity Indices Policies & Practices Methodology.

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 9

Index Policy
Announcements

All index constituents are evaluated daily for data needed to calculate index levels and returns. All events
affecting the daily index calculation are typically announced in advance via the Index Corporate Events
report (.SDE), delivered daily to all clients. Any unusual treatment of a corporate action or short notice of
an event may be communicated via email to clients.

For more information, please refer to the Announcements section of S&P Dow Jones Indices’ Equity
Indices Policies & Practices Methodology.

Holiday Schedule

The index is calculated daily, throughout the calendar year. The only days the index is not calculated are
on days when all exchanges where index constituents are listed are officially closed.

A complete holiday schedule for the year is available at www.spdji.com and the Korea Exchange Web
site at www.krx.co.kr.

Rebalancing

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

Closing Calculation

The closing value of the index is calculated generally at 08:00 AM Korea time, with the closing prices
published by all exchanges where the index constituents are listed and WM Refinitiv closing spot foreign
exchange rates taken daily at 4:00 PM London Time.

Unexpected Exchange Closures

For information on Unexpected Exchange Closures, please refer to S&P Dow Jones Indices’ Equity
Indices Policies & Practices Methodology.

Recalculation Policy

For information on the recalculation policy, please refer to S&P Dow Jones Indices’ Equity Indices
Policies & Practices Methodology.

For information on Calculations and Pricing Disruptions, Expert Judgment and Data Hierarchy, please
refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology.

Contact Information

For questions regarding an index, please contact: index_services@spglobal.com.

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 10

Index Dissemination
Index levels are available through S&P Dow Jones Indices’ Web site at www.spdji.com, the Korea
Exchange Web site at www.krx.co.kr, major quote vendors (see codes below), numerous investment-
oriented Web sites, and various print and electronic media.

Tickers

The table below lists headline indices covered by this document. All versions of the below indices that
may exist are also covered by this document. Please refer to the S&P DJI Methodology & Regulatory
Status Database for a complete list of indices covered by this document.

Index (Currency) Return Type Bloomberg RIC

S&P/KRX Exchanges Index (KRW) Price Return SPKREXK .SPKREXKR
Total Return SPKREXKT --
S&P/KRX Exchanges Index (USD) Price Return SPKREXU .SPKREXUS
Total Return SPKREXUT --
S&P/KRX Exchanges Index (JPY) Price Return SPKREXJ .SPKREXJP
Total Return SPKREXJT --
S&P/KRX Exchanges Index (HKD) Price Return SPKREXH .SPKREXHK
Total Return SPKREXHT --

Index Data

Daily constituent and index level data are available via subscription.

For product information, please contact S&P Dow Jones Indices, www.spdji.com/contact-us.

Web sites

For further information, please refer to S&P Dow Jones Indices’ Web site at www.spdji.com or the Korea
Exchange Web site at www.krx.co.kr.

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 11

Appendix
EU Required ESG Disclosures

EXPLANATION OF HOW ENVIRONMENTAL, SOCIAL & GOVERNANCE (ESG) FACTORS ARE

REFLECTED IN THE KEY ELEMENTS OF THE BENCHMARK METHODOLOGY 1
1. Name of the benchmark administrator. S&P Dow Jones Indices LLC.
Underlying asset class of the ESG
2. N/A
benchmark.2
Name of the S&P Dow Jones Indices
3. S&P DJI Equity Indices Benchmark Statement
benchmark or family of benchmarks.
Do any of the indices maintained by this
4. methodology take into account ESG No
factors?
Appendix latest update: February 2021
Appendix first publication: February 2021

1
The information contained in this Appendix is intended to meet the requirements of the European Union Commission Delegated
Regulation (EU) 2020/1817 supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards
the minimum content of the explanation of how environmental, social and governance factors are reflected in the benchmark
methodology.
2
The ‘underlying assets’ are defined in European Union Commission Delegated Regulation (EU) 2020/1816 supplementing
Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards the explanation in the benchmark statement
of how environmental, social and governance factors are reflected in each benchmark provided and published.

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 12

Disclaimer
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S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 13

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KRX and KOSPI are trademarks of The Korea Exchange and have been licensed for use by S&P Dow
Jones Indices.

S&P Dow Jones Indices: S&P/KRX Exchanges Index Methodology 14