Stoxx Indexguide

STOXX® Index Guide
Version 13.8 · April 2010

CONTENTS
Section A: STOXX Equity Indices 7
Section B: STOXX Strategy Indices 76
Section C: Industry Classification Benchmark 105
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The indices described in this guide are the intellectual property of STOXX Limited and/or its licensors. STOXX® is a registered trademark of STOXX Limited. A
licence agreement is required to use indices and trademarks from STOXX for any commercial purpose, namely but not exclusively for arranging, marketing,
issuing, promoting financial products based on the indices. Neither STOXX nor its licensors, sponsor or recommend the purchase of financial products based
on their indices. Neither STOXX nor its licensors make any warranty as to the accuracy and completeness of any such index or any information related to it, or,
as to the results to be obtained by any person or entity from the use of any such index or any information related to it.
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CONTENTS
Section A:
STOXX Equity Indices
1 OVERVIEW 8 4 DEFINITIONS 28
1.1 Coverage 8 4.1 Base Dates & Base Values 28
1.1.1 Global 8 4.2 Block Ownership & Restricted Shares 29
1.1.2 Europe 9 4.3 Free Float Market Capitalisation 30
1.1.3 Eastern Europe 10 4.4 Weighting Factors 30
4.5 Weighting Cap Factors 31
2 SCOPE 11 4.6 Liquidity Scaling Factor 32
2.1 Investable Stock Universe 11 4.7 Buffers 32
2.2 Stock Exchanges and Trading Systems 11 4.8 Currency Rates 33
2.2.1 Global 11 4.9 Dividend Treatment 33
2.2.2 Europe 13 4.10 Index Parameters 34
2.2.3 Eastern Europe 13 4.10.1 Price & Total Return Indices 34
2.3 Classification – Country and Regional 14 4.10.2 Indices in Euro, U.S. Dollar
2.4 Classification – Size (Large/Mid/Small) 17 and Other Currencies 34
2.5 Classification – Style (Growth/Value) 17 4.10.3 Realtime & End-of-Day Indices 34
2.6 Classification – Sectors 17 4.11 Index Formula & Index Divisors 35
4.12 Index Open Quotations 35
3 INDICES 18 4.13 Index Settlement Values 35
3.1 STOXX Global 1800 Indices 18 4.14 Review Dates 36
3.1.1 Regional Indices 18 4.15 Selection Lists 37
3.1.2 Sector Indices 19 4.15.1 STOXX Global 1800 Indices 37
3.2 STOXX Total Market Indices (TMI) 19 4.15.2 STOXX Europe 600 and
3.2.1 Regional Indices 19 STOXX Eastern Europe 300 Indices 37
3.2.2 Sector Indices 20 4.15.3 STOXX Blue-chip Indices 37
3.2.3 Size Indices 20 4.15.4 STOXX Select Dividend Indices 38
3.2.4 Style Indices 21 4.15.5 STOXX Strong Style Indices 38
3.2.5 Strong Style Indices 22 4.15.6 STOXX Private Equity 20 Index 38
3.3 STOXX Fixed Component Benchmark Indices 22 4.15.7 STOXX Europe Christian Index 38
3.3.1 STOXX Europe 600 and 4.16 Stock Prices 39
STOXX Eastern Europe 300 Indices 22
3.3.1.1 Sector Indices 23 5 DISSEMINATION 40
3.3.1.2 Size Indices 24 5.1 Calendar 40
3.4 STOXX Blue-chip Indices 25 5.2 Dissemination Period 40
3.5 STOXX Select Dividend Indices 26 5.3 Available Data 40
3.6 STOXX Optimised Indices 26 5.3.1 Intraday Data 40
3.7 STOXX Theme Indices 27 5.3.2 Closing Data 41
3.7.1 IPO Indices 27 5.3.3 Monthly Reports 41
3.7.2 Private Equity Index 27 5.3.4 Quarterly, Semi-Annual & Annual Data 41
3.7.3 Grand Prix Index 27 5.3.5 Corporate Action Forecasts 41
3.7.4 Football Index 27
3.7.5 Christian Index 27
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CONTENTS
6 CALCULATION 42 8 ONGOING REVIEW 70

6.1 Index Value Calculation 42 8.1 Replacements 70
6.1.1 Market Capitalisation Weighted 42 8.2 Free Float Factors and Share Changes 71
6.1.2 Price Weighted With Weighting Factors 42 8.3 Dividend Data Changes 71
6.2 Index Divisor Calculation 43 8.4 Illiquidity 72
6.2.1 Market Capitalisation Weighted 43 8.5 Fast Exit Rule 72
6.2.2 Price Weighted With Weighting Factors 43 8.6 Initial Public Offerings 73
6.3 Data Accuracy 44 8.6.1 Blue-chip Indices 73
6.4 Input Data 44 8.6.2 IPO Indices 73
6.4.1 Sources 44 8.7 Mergers & Takeovers 73
6.4.2 Monitoring 44 8.8 Sector Changes 74
6.4.3 Correction 44 8.9 Spin-offs 75
6.5 Index Divisor Correction 45
6.6 Corporate Actions and Adjustments 45 Section B:
STOXX Strategy Indices
7 PERIODIC REVIEW 48
7.1 STOXX Global 1800 Indices 48 1 EURO STOXX 50 BUYWRITE 77
7.2 STOXX Total Market Indices (TMI) 49 1.1 Overview 77
7.2.1 Regional Indices 49 1.1.1 Basic Data 77
7.2.2 Size Indices 50 1.1.2 Historical Data 77
7.2.3 Style Indices 51 1.2 Calculation 78
7.2.4 Strong Style Indices 53 1.2.1 The EURO STOXX 50
7.3 STOXX Fixed Component Benchmark Indices 54 BuyWrite Index Formula 78
7.3.1 STOXX Europe 600 Index 54 1.2.2 The EURO STOXX 50
7.3.2 STOXX Eastern Europe 300 Index 56 BuyWrite Index Formula (Price Index) 79
7.4 STOXX Blue-chip Indices 57 1.2.3 Computational Accuracy 80
7.5 STOXX Select Dividend Indices 61 1.2.4 Rolling 80
7.6 STOXX Optimised Indices 64 1.2.5 Trading Suspension 80
7.7 STOXX Theme Indices 65
7.7.1 IPO Indices 65 2 EURO STOXX 50 PUTWRITE 81
7.7.2 Private Equity Index 66 2.1 Overview 81
7.7.3 Grand Prix Index 67 2.1.1 Basic Data 81
7.7.4 Football Index 68 2.1.2 Historical Data 81
7.7.5 Christian Index 68 2.2 Calculation 82
7.8 Free Float Factors 69 2.2.1 At time t 82
7.9 Weighting Factors 69 2.2.2 At time t+1 82
7.10 Weighting Cap Factors 69 2.2.3 At time t+2 83
7.11 Liquidity Scaling Factors 69 2.2.4 At time t+3 83
2.2.5 Computational Accuracy 84
2.2.6 Rolling 84
2.2.7 Trading Suspension/Non-trading days 84
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CONTENTS
3 STOXX LEVERAGE AND SHORT 85 5.2 Calculation 98

3.1 Overview 85 5.2.1 Main characteristics 98
3.1.1 Coverage 85 5.2.2 Index Calculation 98
3.2 Definitions 85 5.2.3 Rolling Period 99
3.2.1 Base Dates & Base Values 85 5.2.4 Computational Accuracy 99
3.2.1.1 STOXX Daily Leverage Index 85 5.2.5 Dissemination 99
3.2.1.2 STOXX Daily Short Indices 85 5.3 Dissemination and Policies 100
3.3 Calculation 86 5.3.1 Dissemination 100
3.3.1 The STOXX Index Formula 86 5.3.2 Delisting of Eurex DVP Futures 100
3.3.2 Cost of Borrowing 86 5.3.3 Consequences of an
3.3.3 Computational Accuracy 87 Index Disruption Event 100
3.3.4 Adjustments due to Extreme
Market Movements 87 6 EURO STOXX 50 VOLATILITY SHORT-TERM FUTURES 101
3.3.4.1 Exceptional Handler for the 6.1 Overview 101
STOXX Daily Leverage Index 87 6.1.1 Concept 101
3.3.5 Trading Suspension 87 6.1.2 Input Data 101
6.1.3 Historical Data 101
4 EURO STOXX 50 VOLATILITY (VSTOXX) 88 6.1.4 Identifiers 101
4.1 Overview 88 6.2 Calculation 102
4.1.1 Concept 88 6.2.1 Main Characteristics 102
4.1.1.1 Underlying Index and Index Options 88 6.2.2 Index Calculation 102
4.1.1.2 Subindices 88 6.2.2.1 Excess Return Calculation 102
4.1.1.3 VSTOXX 88 6.2.2.2 Total Return Calculation 102
4.1.2 Input Data 89 6.2.2.3 Roll Period 103
4.1.3 Dissemination 89 6.2.3 Computational Accuracy 103
4.1.4 Historical Data 90 6.3 Dissemination and Policies 104
4.2 Data and Calculation 91 5.3.1 Dissemination 104
4.2.1 Index Calculation 91 6.3.2 Delisting of Eurex VSTOXX Futures 104
4.2.2 Input Data 92 6.3.3 Consequences of an Index Disruption Event 104
4.2.3 Price Screens 92
4.2.4 Preparing Data 93 Section C:
4.2.5 Calculation Example 94 Industry Classification Benchmark
4.2.6 Calculation of VSTOXX 96
1 ICB – INDUSTRY CLASSIFICATION BENCHMARK 105
5 EURO STOXX 50 DVP FUTURES 97 1.1 Hierarchy 106
5.1 Overview 97 1.2 Subsector Definitions 109
5.1.1 Concept 97 1.3 Subsector assignment for
5.1.2 Input Data 97 STOXX Optimised Market Quartiless 115
5.1.3 Historical Data 97
5.1.4 Identifiers 97
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CHANGES TO THE STOXX INDEX GUIDE
History of methodology changes to the STOXX Index Guide
Section A: STOXX Equity Indices
February 2008
Change of review dates for STOXX Select Dividend indices

October 2008
Addition of STOXX Eastern European index family

December 2008
Rule change – cash dividend treatment for Price indices

Change thresholds for dissemination calender
February 2009
Clarification of treatment of stock dividends paid from treasury shares

Addition of fast exit rule
July 2009
Addition of European STOXX Optimised indices

February 2010
Rule change – STOXX Select Dividend indices (Europe, Eurozone, Nordic and EU Enlarged)
March 2010
Addition of STOXX Optimised Market Quartiles indices

April 2010
Addition of STOXX Europe Christian Index
Section B: STOXX Strategy Indices
November 2008
Addition of STOXX Double Short indices

October 2009
Addition of STOXX EURO STOXX 50 PutWrite Index

March 2010
Methodology change for Leverage and Short indices

Addition of STOXX Europe 600 Daily Short and STOXX Europe 600 Supersector Daily Double
Short indices
April 2010
Addition of EURO STOXX 50 DVP Futures Index

Addition of EURO STOXX 50 Volatility Short-Term Futures Index
Please also refer to the updated version at www.stoxx.com/indices/rulebooks.html
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SECTION A
STOXX Equity Indices
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1 OVERVIEW
1.1 Coverage
1.1.1 Global
Indices (& ex-regions) Global Global ex Americas Global ex Europe Global ex Asia/Pacific
STOXX Global 1800 1 1 1 1
Sector indices:
Supersectors 19 19 19 19
Sectors 1 – – –
Select Dividend indices:

STOXX Select Dividend 1 – – –
Theme indices:
STOXX Global Grand Prix 1 – – –
Indices (regions) Americas Europe Asia/Pacific Asia/Pacific ex Japan

Regional indices:
STOXX Americas 600 1 – – –
STOXX Europe 600 – 1 – –
STOXX Asia/Pacific 600 – – 1 –
STOXX Asia/Pacific 600 ex Japan – – – 1
Sector indices:
Supersectors 19 19 19 19
Sectors 1 1 1 –

STOXX Select Dividend 1 1 1 –
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1 OVERVIEW
1.1.2 Europe
Indices Europe Eurozone Europe ex UK Europe ex Eurozone Nordic

Benchmark & Size indices:
STOXX Total Market Index (TMI) 1 1 1 1 1
(Large/Mid/Small) (1/1/1) (1/1/1) (1/1/1) (1/1/1) (1/1/1)
STOXX 600 1 1 1 1 1
(Large/Mid/Small) (1/1/1) (1/1/1) (1/1/1) (1/1/1) (1/1/1)
Style & Strong Style indices:

STOXX TMI Growth/Value 2 2 – – –
(Large/Mid/Small) (1/1/1) (1/1/1) – – –
STOXX Strong – – – – –
(Growth/Value/Style Composite 40) (1/1/1) (1/1/1) – – –
Sector indices:
STOXX TMI: Industries 10 10 – – 8
STOXX TMI: Supersectors 19 19 19 – 12
STOXX TMI: Sectors 41 35 – – –
STOXX TMI: Subsectors 12 – – – –
STOXX 600: Industries 10 10 – – –
STOXX 600: Supersectors 19 19 19 – –
STOXX 600: Sectors 1 – – – –
Blue-chip indices:
STOXX Blue-chip 1 1 – – 1

STOXX Select Dividend 1 1 – – 1
Optimised indices:
STOXX Europe 600: Supersectors 19 – – – –
STOXX Europe 600:
4 – – – –
Optimised Market Quartiles
Theme indices:
STOXX IPO 3 – – – –
STOXX Europe Private Equity 20 1 – – – –
STOXX Europe Football 1 – – – –
STOXX Europe Christian 1 – – – –
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1 OVERVIEW
1.1.3 Eastern Europe
Indices Eastern Europe Balkan Balkan Sub Balkan EU Enlarged

ex Greece & Turkey
Benchmark & Size indices:
STOXX Total Market Index (TMI) 1 1 1 1 1
(Large/Mid/Small) (1/1/1) – – – –
STOXX Eastern Europe 300: 1 – – – –
(Large/Mid/Small) (1/1/1) – – – –
Sector indices:
STOXX Eastern Europe 300: Super-
19 – – – –
sectors
Blue-chip indices:
STOXX Blue-chip 1 1 – 1 1

STOXX Select Dividend – – – – 1
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2 SCOPE
2.1 Investable Stock Universe
The STOXX investable stock universe is a subset of the global universe (see below). Stocks in the STOXX investable
universe have the following characteristics:
Stock class: only common stocks and others with similar characteristics.
Trading frequency: only stocks with no more than 10 non-trading days in the three months prior to the review dates.
2.2 Stock Exchanges and Trading Systems

2.2.1 Global
The global universe for STOXX indices consists of the following trading systems:
Americas Europe
American Stock Exchange Athens Stock Exchange
Bolsa Mexicana de Valores MTA/MTAX – Borsa Italiana
Caracas Stock Exchange NYSE EURONEXT Amsterdam (NL)
NASDAQ NYSE EURONEXT Brussels (BE)
NYSE EURONEXT New York (USA) NYSE EURONEXT Lisbon (PT)
Santiago Stock Exchange NYSE EURONEXT Paris (FR)
Sao Paulo Stock Exchange OMX − Copenhagen Stock Exchange (DK)
Toronto Stock Exchange OMX – Helsinki Stock Exchange (FI)
OMX – Reykjavik Stock Exchange (IS)
Africa OMX – Stockholm Stock Exchange (SE)
Johannesburg Stock Exchange Oslo Stock Exchange
SETSmm/SEAQ/SETSqx/SETS − LSE
Asia/Pacific SIBE – Bolsa De Madrid
Australian Stock Exchange SIX Swiss Exchange AG
Jakarta Stock Exchange XETRA − German Stock Exchange (DE)
JASDAQ XETRA − Irish Stock Exchange (IE)
Korea Stock Exchange XETRA − Vienna Stock Exchange (AT)
Kuala Lumpur Stock Exchange
Nagoya Stock Exchange
New Zealand Stock Exchange
Osaka Stock Exchange
Philippine Stock Exchange
Singapore Stock Exchange
Stock Exchange of Hong Kong
Stock Exchange of Thailand
Taiwan Stock Exchange
Tokyo Stock Exchange
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2 SCOPE
2.2.1 Global (cont.)

The global universe for STOXX indices consists of the following trading systems:
EU Enlarged Eastern Europe

Bratislava Stock Exchange Athens Stock Exchange
Bucharest Stock Exchange Belgrade Stock Exchange
Budapest Stock Exchange Bratislava Stock Exchange
Cyprus Stock Exchange Bucharest Stock Exchange
Ljubljana Stock Exchange Budapest Stock Exchange
Malta Stock Exchange Cyprus Stock Exchange
OMX – Riga Stock Exchange (LV) Istanbul Stock Exchange
OMX – Tallinn Stock Exchange (EE) Ljubljana Stock Exchange
OMX – Vilnius Stock Exchange (LT) Macedonia Stock Exchange
Prague Stock Exchange Moscow Interbank Currency Exchange (MICEX)
Warsaw Stock Exchange OMX – Riga Stock Exchange (LV)
XETRA − Bulgarian Stock Exchange OMX – Tallinn Stock Exchange (EE)
OMX – Vilnius Stock Exchange (LT)
Prague Stock Exchange
Russian Trading System (RTS)
Ukrainian Stock Exchange
Warsaw Stock Exchange
XETRA – Bulgarian Stock Exchange
Zagreb Stock Exchange
The broadest STOXX index – the STOXX Global 1800 Index – is a subset of the STOXX universe and includes all
developed countries of the above universe. The STOXX global universe therefore consists of all stock exchanges in
Europe (excluding EU Enlarged region) and the following trading systems of the Americas and Asia/Pacific region:
Americas Asia/Pacific
American Stock Exchange Australian Stock Exchange
NASDAQ JASDAQ
NYSE EURONEXT New York (USA) Nagoya Stock Exchange
Toronto Stock Exchange New Zealand Stock Exchange
Osaka Stock Exchange
Singapore Stock Exchange
Stock Exchange of Hong Kong
Tokyo Stock Exchange
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2 SCOPE
2.2.2 Europe
The regional universe for the STOXX Europe Total Market Index (TMI) consists of the following trading systems:
Europe Europe
Athens Stock Exchange OMX – Stockholm Stock Exchange (SE)
MTA/MTAX – Borsa Italiana Oslo Stock Exchange
NYSE EURONEXT Amsterdam (NL) SETSmm/SEAQ/SETSqx/SETS − LSE
NYSE EURONEXT Brussels (BE) SIBE – Bolsa De Madrid
NYSE EURONEXT Lisbon (PT) SIX Swiss Exchange AG
NYSE EURONEXT Paris (FR) XETRA − German Stock Exchange (DE)
OMX − Copenhagen Stock Exchange (DK) XETRA − Irish Stock Exchange (IE)
OMX – Helsinki Stock Exchange (FI) XETRA − Vienna Stock Exchange (AT)
OMX – Reykjavik Stock Exchange (IS)
2.2.3 Eastern Europe

The regional universe for the STOXX Eastern Europe TMI Index consists of the following trading systems:
Eastern Europe Eastern Europe

Athens Stock Exchange OMX – Riga Stock Exchange (LV)
Belgrade Stock Exchange OMX – Tallinn Stock Exchange (EE)
Bratislava Stock Exchange OMX – Vilnius Stock Exchange (LT)
Bucharest Stock Exchange Prague Stock Exchange
Budapest Stock Exchange Russian Trading System (RTS)
Cyprus Stock Exchange Ukrainian Stock Exchange
Istanbul Stock Exchange Warsaw Stock Exchange
Ljubljana Stock Exchange XETRA – Bulgarian Stock Exchange
Macedonia Stock Exchange Zagreb Stock Exchange
Moscow Interbank Currency Exchange (MICEX)
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2 SCOPE
2.3 Classification – Country and Regional

Each company is uniquely assigned to a specific country within the STOXX global universe. The country classification is
based on the country of incorporation, the primary listing and the country with the largest trading volume.
The regional classifications cover the global universe in complementary ways:
Global: companies incorporated and listed in the STOXX global universe, regardless of the trading currency.
Americas: companies incorporated and listed in the Americas regional universe, regardless of the trading currency.
Asia/Pacific: companies incorporated and listed in the Asia/Pacific regional universe, regardless of the trading
currency.
Europe: see below.
Asia/Pacific ex Japan: companies incorporated and listed in the Asia/Pacific regional universe excluding Japan,
regardless of the trading currency.
Global ex Americas: companies incorporated and listed in the global universe excluding the Americas regional
universe, regardless of the trading currency.
Global ex Asia/Pacific: companies incorporated and listed in the global universe excluding the Asia/Pacific regional
universe, regardless of the trading currency.
Global ex Europe: companies incorporated and listed in the global universe excluding the European regional universe,
Europe: companies incorporated and listed in the European regional universe (i.e. 18 Western European countries),
Eurozone: companies incorporated and listed in the Eurozone that are traded in Euro.
Europe ex UK: companies incorporated and listed in the European regional universe excluding the United Kingdom,
Nordic: companies incorporated and listed in the Nordic region (i.e. Sweden, Denmark, Finland, Norway and Iceland),
Europe ex Eurozone: companies incorporated and listed in the European regional universe excluding the Eurozone
region, regardless of the trading currency.
Eastern Europe: companies incorporated and listed in the Eastern European regional universe (i.e. 18 Eastern European
countries), regardless of the trading currency.
EU Enlarged: companies incorporated and listed in the EU Enlarged regional universe (i.e. the 10 countries that
acceded to the EU in May 2004, and Bulgaria and Romania which joined the EU in January 2007), regardless of the
trading currency.
Balkan: companies incorporated and listed in the Balkan regional universe (i.e. Bulgaria, Croatia, Greece, Macedonia
(FYROM), Romania, Serbia, Slovenia and Turkey), regardless of the trading currency.
Balkan ex Greece & Turkey: companies incorporated and listed in the Balkan regional universe excluding Greece and
Turkey, regardless of the trading currency.
Sub Balkan: companies incorporated and listed in the Sub Balkan regional universe (i.e. Croatia, Macedonia (FYROM),
Slovenia and Serbia), regardless of the trading currency.
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2 SCOPE
The countries covered by the STOXX Global 1800 Index and the STOXX Europe TMI Index are assigned to regions as shown in
the table below:
Region Country Global Americas Asia/Pacific Europe Euro Nordic

Europe Austria x – – x x –
Belgium x – – x x –
Denmark x – – x – x
Finland x – – x x x
France x – – x x –
Germany x – – x x –
Greece x – – x x –
Iceland x – – x – x
Ireland x – – x x –
Italy x – – x x –
Luxembourg x – – x x –
Netherlands x – – x x –
Norway x – – x – x
Portugal x – – x x –
Spain x – – x x –
Sweden x – – x – x
Switzerland x – – x – –
United Kingdom x – – x – –
Americas Canada x x – – – –
USA x x – – – –
Asia/Pacific Australia x – x – – –
Hong Kong x – x – – –
Japan x – x – – –
New Zealand x – x – – –
Singapore x – x – – –
No. of Countries 25 2 5 18 12 5
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2 SCOPE
The countries covered by the STOXX Eastern Europe TMI Index are assigned to regions as shown in the table below:
Region Country Eastern Europe EU Enlarged Balkan Sub Balkan

Eastern Europe Bulgaria x x x –
Croatia x – x x
Cyprus x x – –
Czech Republic x x – –
Estonia x x – –
Greece x – x –
Hungary x x – –
Latvia x x – –
Lithuania x x – –
Macedonia (FYROM) x – x x
Malta – x – –
Poland x x – –
Romania x x x –
Russia x – – –
Serbia x – x x
Slovak Republic x x – –
Slovenia x x x x
Turkey x – x –
Ukraine x – – –
No. of Countries 18 12 8 4
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2 SCOPE
2.4 Classification – Size (Large/Mid/Small)
The size classification groups companies into three different size ranges:
Large.
Mid.
Small.
2.5 Classification – Style (Growth/Value)
The style classification groups companies that have similar growth and value characteristics. The resulting style clusters are:
Strong Growth (SG).
Weak Growth (WG).
Strong Value (SV).
Weak Value (WV).
Neutral (NT).
Companies that are added to the STOXX Europe TMI Index in-between style reviews will be assigned to the No Data (ND)
category until the next semi-annual review.
The Growth/Value indices consist of all companies that belong to the strong and weak growth/value clusters.
Companies in the Neutral or No Data category are not considered in the STOXX TMI Style indices.
2.6 Classification – Sectors
The Industry Classification Benchmark (ICB) groups companies that have similar sources of primary revenue.
There are 10 industries and, derived from these in increasingly finer classifications, there are also 19 supersectors, 41
sectors and 114 subsectors. Each stock in the investable stock universe is uniquely classified into one of the 114
subsectors, depending on the company’s primary source of revenue. Consequently, it is automatically and uniquely
classified into one of the 41 sectors, one of the 19 supersectors and one of the 10 industries.
The detailed hierarchy of the Industry Classification Benchmark is shown in Section C.
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3 INDICES
The STOXX universe covers countries from the following regions: Europe, Eastern Europe, EU Enlarged, the Americas, Africa
and Asia/Pacific. The STOXX indices are subdivided into Regional indices and Sector indices as well as Size, Style, Select
Dividend, Optimised, Sustainability and Theme indices.
The STOXX indices cover all European/EU Enlarged companies in the STOXX universe and the 600 largest companies of the
developed countries in the Americas, Europe and Asia/Pacific region.
In addition, the European STOXX IPO indices expand the coverage of the STOXX indices by continuously (i.e. on a daily or
weekly basis) adding recent IPOs.
The STOXX indices cover the Eastern European region and the 300 largest companies from the region so as to continuously
expand the coverage provided by the STOXX indices.
The STOXX indices are available in different size categories and the companies within the respective indices are classified
according to their market capitalisation.
The STOXX indices are available in different sector classifications. The companies comprising the respective indices are
subdivided into different sector classification levels according to the Industry Classification Benchmark (ICB).
The STOXX Total Market indices (TMI) for Europe and the Eurozone have an additional dimension: the companies of these
indices are grouped by investment styles into growth or value.
The following chapter gives an overview of the different index products and their subsets.
3.1 STOXX Global 1800 Indices
The STOXX Global 1800 Index comprises the largest 600 stocks in the developed markets in each of the three regions:
Europe, the Americas and Asia/Pacific.
3.1.1 Regional Indices

The STOXX Global 1800 Index combines the STOXX Europe 600 Index, which covers the 600 largest stocks in Europe, with
the STOXX Americas 600 and the STOXX Asia/Pacific 600 indices.
The following table shows the STOXX Global 1800 Index and its derived regional subsets:
Region Index Name

Global STOXX Global 1800
Global ex Europe STOXX Global 1800 ex Europe
Global ex Americas STOXX Global 1800 ex Americas
Global ex Asia/Pacific STOXX Global 1800 ex Asia/Pacific
Europe STOXX Europe 600, see chapter 3.3.1 for details
Americas STOXX Americas 600
Asia/Pacific STOXX Asia/Pacific 600
Asia/Pacific ex Japan STOXX Asia/Pacific 600 ex Japan
Japan STOXX Global 1800 Japan
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3 INDICES
3.1.2 Sector Indices

The STOXX Global 1800 Index is further subdivided into 19 supersectors according to the ICB.
The STOXX Global 1800 Sector indices are available for the following regions and sector classifications:
Region Index Name

Global STOXX Global 1800 ‹Supersector›
Global STOXX Global 1800 ‹Sector›*
Global ex Europe STOXX Global 1800 ex Europe ‹Supersector›
Global ex Americas STOXX Global 1800 ex Americas ‹Supersector›
Global ex Asia/Pacific STOXX Global 1800 ex Asia/Pacific ‹Supersector›
Europe STOXX Europe 600, see chapter 3.3.1.1 for details
Americas STOXX Americas 600, see chapter 3.3.1.1 for details
Asia/Pacific STOXX Asia/Pacific 600, see chapter 3.3.1.1 for details
* As some of these indices would not have enough components, not all indices are disseminated.
3.2 STOXX Total Market Indices (TMI)
The STOXX Europe TMI Index covers 95 percent of the free float market capitalisation of the respective investable stock
universe by region, while the STOXX Eastern Europe TMI Index covers 95 percent of the free float market capitalisation of
the respective investable stock universe by country.

The following table shows the STOXX Europe TMI Index and its derived regional subsets:
Region Index Name

Europe STOXX Europe TMI
Eurozone EURO STOXX TMI
Europe ex UK STOXX Europe ex UK TMI
Europe ex Euro STOXX Europe ex Eurozone TMI
Nordic STOXX Nordic TMI
The following table shows the STOXX Eastern Europe TMI Index and its derived regional subsets:
Region Index Name

Eastern Europe STOXX Eastern Europe TMI
EU Enlarged STOXX EU Enlarged TMI*
Balkan STOXX Balkan TMI
Balkan ex Greece & Turkey STOXX Balkan TMI ex Greece & Turkey
Sub Balkan STOXX Sub Balkan TMI
* Includes Malta
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3 INDICES
3.2.2 Sector Indices

The STOXX TMI indices are subdivided into four different sector classification levels in line with the ICB.
The STOXX TMI Sector indices are available for the following regions and sector classifications:
Region Index Name

Europe STOXX Europe TMI ‹Industry›
STOXX Europe TMI ‹Supersector›
STOXX Europe TMI ‹Sector›*
STOXX Europe TMI ‹Subsector›*
Eurozone EURO STOXX TMI ‹Industry›
EURO STOXX TMI ‹Supersector›
EURO STOXX TMI ‹Sector›*
Europe ex UK STOXX Europe ex UK TMI ‹Supersector›
Nordic STOXX Nordic TMI ‹Industry›*
STOXX Nordic TMI ‹Supersector›*
3.2.3 Size Indices

The STOXX TMI Size indices are available for the following regions and are subdivided into three size categories:
The following table shows the STOXX TMI Size indices and their derived regional subsets:
Region Index Name

Europe STOXX Europe TMI Large
STOXX Europe TMI Mid
STOXX Europe TMI Small
Eurozone EURO STOXX TMI Large
EURO STOXX TMI Mid
EURO STOXX TMI Small
Europe ex UK STOXX Europe ex UK TMI Large
STOXX Europe ex UK TMI Mid
STOXX Europe ex UK TMI Small
Europe ex Eurozone STOXX Europe ex Eurozone TMI Large
STOXX Europe ex Eurozone TMI Mid
STOXX Europe ex Eurozone TMI Small
Nordic STOXX Nordic TMI Large
STOXX Nordic TMI Mid
STOXX Nordic TMI Small
Eastern Europe STOXX Eastern Europe TMI Large
STOXX Eastern Europe TMI Mid
STOXX Eastern Europe TMI Small
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3 INDICES
3.2.4 Style Indices

The STOXX Europe TMI Growth and Value indices cover the STOXX Europe TMI Index in three size ranges:
Index Based on
STOXX Europe TMI Large Growth & Value STOXX Europe TMI Large
STOXX Europe TMI Mid Growth & Value STOXX Europe TMI Mid
STOXX Europe TMI Small Growth & Value STOXX Europe TMI Small
The above Growth and Value indices are combined to produce:
STOXX Europe TMI Growth Index: combining the TMI Large Growth, TMI Mid Growth and TMI Small Growth indices.
STOXX Europe TMI Value Index: combining the TMI Large Value, TMI Mid Value and TMI Small Value indices.
The STOXX TMI Growth and Value indices are available for the following regions:
Region Index Name

Europe STOXX Europe TMI Growth
STOXX Europe TMI Growth Large
STOXX Europe TMI Growth Mid
STOXX Europe TMI Growth Small
STOXX Europe TMI Value
STOXX Europe TMI Value Large
STOXX Europe TMI Value Mid
STOXX Europe TMI Value Small
Eurozone EURO STOXX TMI Growth
EURO STOXX TMI Growth Large
EURO STOXX TMI Growth Mid
EURO STOXX TMI Growth Small
EURO STOXX TMI Value
EURO STOXX TMI Value Large
EURO STOXX TMI Value Mid
EURO STOXX TMI Value Small
www.stoxx.com 21
3 INDICES
3.2.5 Strong Style Indices

The STOXX Strong Style Growth and Value indices cover the most style pure companies in the STOXX TMI Growth/ Value
Style indices.
Index Based on
STOXX Europe Strong Growth 20 STOXX Europe TMI Growth
STOXX Europe Strong Value 20 STOXX Europe TMI Value
The above Growth and Value indices are combined to produce:
The STOXX Europe Strong Style Composite 40 Index: combining the STOXX Europe Strong Growth 20 Index and the STOXX
Europe Strong Value 20 Index.
The STOXX Strong Growth and Value indices are available for the following regions:
Region Index Name

Europe STOXX Europe Strong Growth 20
STOXX Europe Strong Value 20
STOXX Europe Strong Style Composite 40
Eurozone EURO STOXX Strong Growth 20
EURO STOXX Strong Value 20
EURO STOXX Strong Style Composite 40
3.3 STOXX Fixed Component Benchmark Indices

3.3.1 STOXX Europe 600 and STOXX Eastern Europe 300 Indices
The STOXX Europe 600 Index, which is the European subindex of the STOXX Global 1800 Index, covers the largest 600
stocks in the STOXX Europe TMI Index. The STOXX Americas 600 Index and the STOXX Asia/Pacific 600 Index cover the
largest 600 stocks of the developed countries in their respective region.
Besides the above-mentioned STOXX 600 indices, there are also regional subindices with a varying number of stocks. The
table below lists all STOXX 600 indices and their derived regional subsets:
Region Index Name

Europe STOXX Europe 600
Eurozone EURO STOXX
Europe ex UK STOXX Europe ex UK
Europe ex Euro STOXX Europe ex Eurozone
Nordic STOXX Nordic
Americas STOXX Americas 600
Asia/Pacific STOXX Asia/Pacific 600
Asia/Pacific ex Japan STOXX Asia/Pacific 600 ex Japan
The STOXX Eastern Europe 300 Index, which is the Eastern European subindex of the STOXX Eastern Europe TMI Index,
covers the largest 300 stocks in the STOXX Eastern Europe TMI Index.
Region Index Name

Eastern Europe STOXX Eastern Europe 300
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3 INDICES
3.3.1.1 Sector Indices

The STOXX 600 and the STOXX Eastern Europe 300 indices are subdivided into different sector classification levels in line
with the ICB.
For the STOXX 600 indices, the following Sector indices are available:
Region Index Name

Europe STOXX Europe 600 ‹Industry›
STOXX Europe 600 ‹Supersector›
STOXX Europe 600 ‹Sector›*
STOXX Europe 600 ‹Subsector›*
Eurozone EURO STOXX ‹Industry›
EURO STOXX ‹Supersector›
Europe ex UK STOXX Europe ex UK ‹Supersector›
Americas STOXX Americas 600 ‹Supersector›
STOXX Americas 600 ‹Sector›*
STOXX Americas 600 ‹Subsector›*
Asia/Pacific STOXX Asia/Pacific 600 ‹Supersector›
STOXX Asia/Pacific 600 ‹Sector›*
STOXX Asia/Pacific 600 ‹Subsector›*
For the STOXX Eastern Europe 300 indices, the following Sector indices are available:
Region Index Name

Eastern Europe STOXX Eastern Europe 300 ‹Industry›*
STOXX Eastern Europe 300 ‹Supersector›
STOXX Eastern Europe 300 ‹Sector›*
STOXX Eastern Europe 300 ‹Subsector›*
www.stoxx.com 23
3 INDICES
3.3.1.2 Size Indices
The STOXX Europe Size indices cover the largest 600 stocks in the STOXX Europe TMI Index in three ranges:
STOXX Europe Large 200 Index: largest 200 stocks.
STOXX Europe Mid 200 Index: next largest 200 stocks.
STOXX Europe Small 200 Index: next largest 200 stocks.
The above STOXX Europe Large 200, Mid 200 and Small 200 indices are combined to produce the STOXX Europe 600 Index.
The European Size indices have a fi xed number of 200 stocks. The regional subsets of the Size indices have varying
numbers of stocks. The following Size indices are available and are derived from the STOXX Europe 600 Index:
Region Index Name

Eurozone EURO STOXX Large
EURO STOXX Mid
EURO STOXX Small
Europe ex UK STOXX Europe ex UK Large
STOXX Europe ex UK Mid
STOXX Europe ex UK Small
Europe ex Euro STOXX Europe ex Eurozone Large
STOXX Europe ex Eurozone Mid
STOXX Europe ex Eurozone Small
Nordic STOXX Nordic Large
STOXX Nordic Mid
STOXX Nordic Small
The STOXX Eastern Europe 300 Size indices are available for Eastern Europe and cover the largest 300 stocks in the
STOXX Eastern Europe TMI Index in three ranges:
STOXX Eastern Europe Large 100 Index: largest 100 stocks.
STOXX Eastern Europe Mid 100 Index: next largest 100 stocks.
STOXX Eastern Europe Small 100 Index: next largest 100 stocks.
The above STOXX Eastern Europe Large 100, Mid 100 and Small 100 indices are combined to produce the STOXX Eastern
Europe 300 Index.
www.stoxx.com 24
3 INDICES
3.4 STOXX Blue-chip Indices
The STOXX Europe 50 Index consists of 50 stocks covering the largest supersector leaders in the STOXX Europe 600 Index.
The EURO STOXX 50 Index likewise consists of 50 stocks covering the largest supersector leaders in the EURO STOXX
Index.
The STOXX Nordic 30 Index consists of 30 stocks covering the largest supersector leaders in the STOXX Nordic Index.
The STOXX Eastern Europe 50 Index consists of 50 stocks covering the largest supersector leaders with country
limitations in the STOXX Eastern Europe 300 Index.
The STOXX EU Enlarged 15 Index consists of 15 stocks covering the highest-ranked companies in the STOXX EU Enlarged TMI
Index, according to a weighted score based on their free float market capitalisation, revenue and net income.
The STOXX Sub Balkan 30 Index consists of 30 stocks covering the largest supersector leaders in the STOXX Sub Balkan TMI
Index.
The STOXX Balkan 50 Equal Weighted Index consists of 50 stocks covering the highest-ranked companies in the
STOXX Balkan TMI Index, according to their free float market capitalisation along with the average daily traded value for
the past three months.
www.stoxx.com 25
3 INDICES
3.5 STOXX Select Dividend Indices
The STOXX Europe Select Dividend 30 Index consists of 30 stocks covering the highest-yielding stocks relative to their home
market in Europe. The index components are selected from the STOXX Europe 600 components plus their secondary lines.
The EURO STOXX Select Dividend 30 Index consists of 30 stocks covering the highest-yielding stocks relative to their home
market in the Eurozone. The index components are selected from the EURO STOXX components plus their secondary lines.
The STOXX Nordic Select Dividend 20 Index consists of 20 stocks covering the highest-yielding stocks relative to their home
markets in Denmark, Finland, Iceland, Norway and Sweden. The components are selected from the STOXX Nordic TMI Index
components.
The STOXX EU Enlarged Select Dividend 15 Index consists of 15 stocks covering the highest-yielding stocks relative to their
home markets in the 12 countries which joined the EU in May 2004 and January 2007 respectively. In cases where
a company’s home market is represented by fi ve or fewer stocks, its yield will be measured relative to the net yield of the
EU Enlarged region as a whole rather than its home market. The components are selected from the STOXX EU Enlarged TMI
Index components.
The STOXX Americas Select Dividend 40 Index consists of 40 stocks covering the highest-yielding stocks relative to their
home markets in the Americas region. A maximum of 30 stocks per country can be included in the index. The index
components are selected from the STOXX Americas 600 Index.
The STOXX Asia/Pacific Select Dividend 30 Index consists of 30 stocks covering the highest-yielding stocks relative to their
home markets in the Asia/Pacific region. In cases where a company’s home market is represented by 20 or fewer stocks,
its yield will be measured relative to the net yield of the Asia/Pacific region as a whole rather than its home market. A
maximum of 10 stocks per country can be included in the index. The index components are selected from the STOXX Asia/
Pacific 600 Index.
The STOXX Global Select Dividend 100 Index consists of 100 stocks covering the highest-yielding stocks in the three
regions Europe, the Americas and Asia/Pacific. The index combines the constituents of the following three indices:
STOXX Select Dividend 30 Index, STOXX Americas Select Dividend 40 Index and STOXX Asia/Pacific Select Dividend 30
Index.
3.6 STOXX Optimised Indices
The STOXX Optimised indices are available for Europe and capture equal or improved liquidity and country diversification of
the STOXX Europe 600 Index. These indices apply a sector dependent liquidity cap that reduces the weighting of only those
constituents whose average daily turnover, as a fraction of its free float market cap, is below the sector average. This hybrid
market cap and the liquidity weighting methodology optimise the tradability of the STOXX Optimised indices, while
retaining the free float market capitalisation weighting across the larger and more liquid constituents.
Region Index Name

Europe STOXX Europe 600 Optimised <Supersector>
Europe STOXX Europe 600 Optimised Market Quartiles
www.stoxx.com 26
3 INDICES
3.7 STOXX Theme Indices
3.7.1 IPO Indices

The STOXX IPO indices consist of European IPO stocks with a free float market capitalisation on their listing date
(i.e. number of IPO shares times the IPO-offer price) of between 100 million EUR and three billion EUR. Three different time
horizons are available for the STOXX IPO index family: 3 months, 12 months and 60 months. Each time horizon
defines the length of the membership of each IPO in the index after its addition.
IPO companies are added to the STOXX Europe IPO Index (3 months) based on their first closing price following their IPO
listing. IPO stocks are removed after the close of trading on the first Wednesday following three calendar months after the
inclusion in the index, unless this removal would result in less than 10 index components.
The STOXX Europe IPO Index (12 months) and the STOXX Europe IPO Index (60 months) include IPO stocks from the second
Wednesday following their listing date. If the listing date is a Wednesday, this day is counted as the first Wednesday.
Stocks are removed from the indices after the close of trading on the first Wednesday following, as the case may be, 12 or
60 calendar months after the inclusion in the index, unless this removal would result in less than 10 index components.
3.7.2 Private Equity Index

The STOXX Europe Private Equity 20 Index consists of 20 stocks that are classified by the ICB as either subsector 8775
(Specialty Finance) or subsector 8985 (Equity Investment Instruments) and/or must have their main involvement in private
equity.
3.7.3 Grand Prix Index

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

The STOXX Europe Football Index covers all football clubs that are listed on a stock exchange in Europe and Eastern
Europe.
3.7.5 Christian Index

The STOXX Europe Christian Index is designed to provide European equity market availability to investors who seek
equity ownership in alignment with the moral and social teachings of the Christian religion (social, environmental, ethical
and economical responsibility).
www.stoxx.com 27
4 DEFINITIONS
4.1 Base Dates & Base Values
The base dates and base values for the STOXX indices are:
Indices Region Base Date Base Value

STOXX Global 1800 Index All 31 December 1991 100
STOXX Global Real Estate Cap indices All 29 December 2000 100
STOXX Global REITS indices All 31 December 2006 100
STOXX 600 indices All 31 December 1991 100
STOXX Europe TMI indices, Size & Sectors Europe 31 December 1991 100
STOXX Eastern Europe TMI indices EU Enlarged 31 December 2002 100
Eastern Europe 31 December 2002 100
Balkan 31 December 2004 100
Sub Balkan 31 December 2004 100
STOXX TMI Style indices Europe, Eurozone 30 June 1997 1,000
STOXX Strong Style indices Europe, Eurozone 30 September 2001 1,000
STOXX Europe Football Index Europe, Eastern Europe 31 December 1991 100
STOXX Global Grand Prix Index Global 31 December 1996 100
STOXX Blue-chip indices Europe, Eurozone, Nordic 31 December 1991 1,000
Eastern Europe, EU Enlarged 31 December 2002 1,000
Balkan 31 December 2006 1,000
Sub Balkan 31 December 2004 1,000
STOXX Select Dividend indices Europe, Eurozone, Nordic,
Global, Americas, Asia/Pacific 31 December 1998 1,000
EU Enlarged 31 December 2002 1,000
STOXX Optimised Supersector indices Europe 31 December 2000 1,000
STOXX Optimised Market Quartiles indices Europe 31 December 2004 1,000
STOXX IPO indices Europe 31 December 2001 1,000
STOXX Europe Private Equity 20 Index Europe 31 December 2003 1,000
STOXX Europe Christian Index Europe 31 December 2004 100
www.stoxx.com 28
4 DEFINITIONS
4.2 Block Ownership & Restricted Shares
All indices – except the price weighted indices, which are weighted based on specific weighting factors – are weighted
according to free float market capitalisation in order to reflect the proportion of a company’s stock that is available for
trading. This is achieved by adjusting the total number of stocks by the stock held in strategic long-term holdings, i.e.
block ownership.
This block ownership adjustment is applied if blocks of at least five percent of a company’s total stock are held in:
Cross-ownership: stock owned either by the company itself, in the form of treasury shares, or owned by other companies.
Government ownership: stock owned by either governments or their agencies.
Private ownership: stock owned by either individuals or families.
This block ownership adjustment is not applied if:
The blocks comprise less than five percent of the total stock.
The blocks are held by – but not limited to – custodian nominees, trustee companies, mutual funds and pension fund
holdings, investment companies with short-term investment strategies and pension funds.
In addition, the total number of stocks is also adjusted by the restricted stocks, i.e. either those that cannot be traded
during a certain period or those that have a foreign ownership restriction. The block ownership adjustment and the
restricted stocks adjustment are applied.
www.stoxx.com 29
4 DEFINITIONS
4.3 Free Float Market Capitalisation
The free float factor is the percentage of shares remaining after the block ownership and restricted shares adjustments
have been applied to the total number of shares:
The free float factor percentage is calculated by 100 percentage - total block ownership percentage and restricted shares
adjustment percentage, if any.
The free float market capitalisation is the portion of a stock’s total market capitalisation that is available for trading:
Free float market capitalisation = free float factor · full market capitalisation
4.4 Weighting Factors
A weighting factor is applied to the price weighted indices in order to reflect the initial stock weighting at the annual review.
It plays a similar role as the product of the number of shares and float figures has for free float market capitalisation
weighted indices.
The weighting for the STOXX Select Dividend indices is based on a stock’s net dividend yield, the weighting for the STOXX
Strong Style indices is based on its growth/value scores, the weighting for the STOXX Balkan 50 Equal Weighted Index
is based on two percent per company and the weighting for the STOXX Global Grand Prix Index is based on the category a
stock is in.
The weighting factor is kept constant until the next annual review. The weighting factor for the STOXX Select Dividend,
STOXX Strong Style, STOXX Balkan 50 Equal Weighted and the STOXX Global Grand Prix constituents is calculated as follows:
Determine the initial weight of each company in the index based on the relevant methodology (i.e. based on net dividend
yield for the STOXX Select Dividend indices, based on growth/value score for the STOXX Strong Style indices, based
on two percent per company for the STOXX Balkan 50 Equal Weighted Index and based on the different categories for
the STOXX Global Grand Prix Index).
Determine the weighting factor for each stock, i.e.
Weighting factor = (1,000,000,000 · initial weight/closing price of stock) and rounded to integers.
The weighting factor will be adjusted in the event of a corporate action.
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4 DEFINITIONS
4.5 Weighting Cap Factors
The individual weightings are capped at the following percentages:
Indices Region Weighting Cap Factor

STOXX Fixed Component Benchmark & Size All 20%
EURO STOXX & Size Eurozone 20%
STOXX Blue-chip Europe, Eurozone, Nordic,
Eastern Europe, Sub Balkan 10%
EU Enlarged 15%
STOXX Real Estate Cap All 20%
STOXX Select Dividend All 15%
Global 10%
STOXX Europe Football Europe, Eastern Europe 10%
STOXX IPO Indices (12 months / 60 months) Europe 20%
STOXX Europe Private Equity 20 Europe 20%
STOXX Strong Style All 15%
STOXX Optimised Supersector* Europe If n < 25 apply 20%
If 25 < = n < 40 apply 15%
If n > = 40 apply 10%
STOXX Optimised Market Quartiles Europe 10%
STOXX Europe Christian Europe 20%
* Apply cap factors to each sector based on the number of stocks, n, in the supersector.
The capping for market capitalisation weighted indices is implemented at the time of the quarterly reviews, for the Select
Dividend indices and for the Strong Style indices, at the annual review.
If the weighting of a stock is 10 percent (15 percent, 20 percent) or less, then its weighting cap factor is 1.0.
If the weighting of a stock is greater than 10 percent (15 percent, 20 percent), then its weighting cap factor is adjusted to
reduce the weighting to 10 percent (15 percent, 20 percent). The weightings of all other index components will therefore
increase at the same time.
For the STOXX Eastern Europe 50 Index, the weight of each country is capped at 50 percent and if the weighting of
a stock is greater than 10 percent, then its weighting cap factor is adjusted to reduce the weighting to 10 percent and
reallocated within the capped stocks of that country.
The weighting cap factors are calculated and announced on the quarterly underlying data announcement dates, implemented
on the quarterly implementation dates and fi xed until the next quarterly review. For the Select Dividend indices and the
Strong Style indices, the factors are announced on the annual underlying data announcement date, implemented on the
annual implementation date, and fi xed until the next annual review.
www.stoxx.com 31
4 DEFINITIONS
4.6 Liquidity Scaling Factor
A liquidity factor is applied to the Optimised indices to reflect the average daily turnover (ADTV) for the stock over the most
recent three-month period.
The liquidity scaling factor is kept constant until the next quarterly review and is calculated as follows:
The ratio of the weight of the stock (ADTV) in the respective Optimised index and its ADTV is calculated. The weighted
average of the stocks in each Optimised index with an ADTV above the weighted average ADTV of the respective
Optimised index are decreased to reach the respective average ADTV.
Combined factors incorporating the liquidity scaling factors and the weighting cap factors are calculated and announced on
the quarterly underlying data announcement dates, implemented on the quarterly implementation dates and fi xed until the
next quarterly review. A combined factor of 1 is applied to all new constituents if added intra-quarter.
4.7 Buffers
Buffers are used in the periodic reviews of the STOXX indices for the following purposes:
To achieve the fi xed number of stocks for the STOXX Blue-chip indices, the STOXX Strong Style indices, the STOXX
Select Dividend indices, the STOXX Fixed Component Benchmark indices and the STOXX Global 1800 indices.
To achieve a fi xed free float market capitalisation threshold for the STOXX TMI Size indices.
To maintain the stability of the indices by reducing the index composition changes.
The buffers consist of an upper and a lower limit. These limits are applied to the stocks/companies on the relevant
selection lists. The stocks ranked at and above the upper limit are selected for the index. The remaining stocks – necessary
to achieve the target coverage (fi xed number of stocks or market capitalisation threshold) – are selected from the largest
remaining current stocks ranked between the upper and lower limits. If the index’s target coverage is still not achieved,
then the largest remaining stocks are selected until the target coverage is achieved.
www.stoxx.com 32
4 DEFINITIONS
4.8 Currency Rates
All realtime indices use the following currency rates:
From 09:00 to 17:30 CET, the mid between the latest realtime bid and ask prices is used as the currency rate in order to
calculate the indices for Europe, Eastern Europe and the EU Enlarged region.
calculate the indices for the Americas region.
calculate the indices for the Asia/Pacific region.
All end-of-day indices, as well as the closing procedure for the realtime indices, use currency rates as follows:
From 17:30 CET, fixed foreign exchange rates are used for the calculation of the indices (using WM fi xed exchange rates
from 17:00 CET).
The Global closings fi xed at 23:15 CET utilise the same fixed rates as the European indices.
The fixed foreign exchange rates are provided by the WM-Company – see Reuters page WMRSPOT01 & pp. or Bloomberg
pages WMCO & pp. as reference.
4.9 Dividend Treatment
Dividend payments are included in the appropriate indices as net dividends: net dividend = declared dividend less
withholding tax.
For the latest update, please refer to the following link:

http://www.stoxx.com/indices/taxes.html
www.stoxx.com 33
4 DEFINITIONS
4.10 Index Parameters
4.10.1 Price & Total Return Indices

All indices are calculated as Price and Total Return indices. The only difference is the treatment of the dividend payments.
The Total Return indices include all dividend payments.
The Price indices only include:
Cash dividends where the distribution is outside the scope of the regular dividend policy or where the company
declares such distribution to be extraordinary or special.
Special dividends from non-operating income.
4.10.2 Indices in Euro, U.S. Dollar and Other Currencies

All indices are calculated with the stock prices converted to Euro and U.S. Dollars, as appropriate:
Euro indices: non-Euro stock prices are converted to Euro for the index calculation.
U.S. Dollar indices: non-Euro stock prices are converted to Euro first (as above), and then – together with the Euro stock
prices – converted to U.S. Dollars for the index calculation.
Some indices are additionally available in other currencies.
Indices in other currencies: non-Euro stock prices are converted to Euro first, and then – together with the Euro stock
prices – converted to the appropriate index currency for the index calculation.
4.10.3 Realtime & End-of-Day Indices

The indices are calculated and disseminated at different frequencies:
Realtime indices: calculated and disseminated every 5/15 seconds during the index dissemination period.
End-of-day indices: calculated and disseminated once a day at the end of the index dissemination period.
www.stoxx.com 34
4 DEFINITIONS
4.11 Index Formula & Index Divisors
The indices are calculated with the Laspeyres formula, which measures price changes against a fi xed base quantity weight.
Each index has a unique index divisor, which is adjusted to maintain the continuity of the index’s values across changes
due to corporate actions.
4.12 Index Open Quotations
The index open quotation takes account of the opening prices of all stocks in a realtime index. This value gives an indication
of what the index value would have been if all opening stock prices had been received at the same time.
The index open quotations for the realtime indices are calculated either as soon as all the relevant opening stock prices are
received or, at the latest, 10:30 CET. If an opening stock price is unavailable at 10:30 CET, then the stock’s previous day’s
closing/adjusted price is used.
Non-Euro stock prices are converted into Euro using the currency rate that was valid at the time when the opening stock
price (or previous day’s closing/adjusted price) was received, i.e. opening stock prices are converted using the realtime
currency rates and the previous day’s closing prices are converted using the WM fi xed exchange rates of the day before.
4.13 Index Settlement Values
The index settlement values for the realtime indices and the Total Return Blue-chip indices are calculated daily as the
average of the 41 index values disseminated between 11:50 CET and 12:00 CET.
www.stoxx.com 35
4 DEFINITIONS
4.14 Review Dates
The implementation dates are every third Friday of a quarter end (i.e. March, June, September and December).
Indices Review Dates

Benchmark & Fixed Component Benchmark indices Based on the closing/adjusted stock data on the
last trading day in January, April, July and October.
Style indices Based on the closing/adjusted stock data on the
last trading day in February and August.
Strong Style indices Based on the closing/adjusted stock data on the

last trading day in August.
Blue-chip indices Based on the closing/adjusted stock data on the
last trading day in August.
STOXX Eastern Europe 50 Index Based on the closing/adjusted stock data on the
last trading day in February and August.
Select Dividend indices and STOXX Global Grand Prix Index Based on the closing/adjusted stock data on the
last trading day in February.
Optimised indices Based on the closing/adjusted stock data on the close
of first Friday in February, May, August and November.
Christian Index Based on the closing/adjusted stock data on the last
trading day in May and November.
Announcements Benchmark indices & Fixed Component Price weighted indices Blue-chip indices
Benchmark indices (Select Dividend/
(STOXX TMI/Global 1800/600/ Balkan 50 Equal
Eastern Europe 300/Theme & Private Equity/ Weighted/Global Grand
Optimised) Prix & Style indices)
Underlying compo- Fourth Tuesday prior Fifth trading day of the Last trading day prior
nent announcements to review implementation month review month to the review month
(additions/deletions/
ICB supersector)
Underlying data Five trading days prior Five trading days prior Two trading days prior
announcements to review implementation using Thursday’s to review implementation, to review implementation
(shares/free float/ closing prices (cap factors) using Thursday’s closing using Tuesday’s closing
ICB subsector) prices (weight factors) & prices (cap factors)
liquidity scaling factors
where applicable
www.stoxx.com 36
4 DEFINITIONS
4.15 Selection Lists
The selection lists are produced for indices with a fi xed number of constituents in order to:
Indicate possible changes in the composition of the index at the time of the next quarterly / semi-annual / annual
review.
Determine replacements for any stocks deleted from the indices due to corporate actions.
Selection lists are produced annually for STOXX Strong Style indices, semi-annual for the STOXX Europe Christian Index,
quarterly for STOXX Select Dividend indices, STOXX Balkan 50 Equal Weighted Index and STOXX Europe Private Equity 20
Index and monthly for all other indices with a fi xed number of components.
4.15.1 STOXX Global 1800 Indices

The quarterly STOXX Global 1800 review procedures are applied to the more liquid stock classes of the STOXX universe on
the last trading day of each month in order to produce the selection list.
This list is valid for corporate actions that become effective the following month.
4.15.2 STOXX Europe 600 and STOXX Eastern Europe 300 Indices
The respective quarterly review procedures are applied to the more liquid stock classes of the STOXX Europe TMI stocks on
the last trading day of each month in order to produce the selection list.
This list is valid for corporate actions that become effective the following month.
4.15.3 STOXX Blue-chip Indices

The respective Blue-chip review procedures are applied on the last trading day of each month in order to produce the
selection list, with the exception of the STOXX Balkan 50 Equal Weighted Index on a quarterly basis:
Index Produced from

STOXX Europe 50 STOXX Europe 600
EURO STOXX 50 EURO STOXX
STOXX Nordic 30 STOXX Nordic
STOXX EU Enlarged 15 STOXX EU Enlarged TMI
STOXX Eastern Europe 50 STOXX Eastern Europe 300
STOXX Balkan 50 Equal Weighted STOXX Balkan TMI
STOXX Sub Balkan 30 STOXX Sub Balkan TMI
The lists are valid for corporate actions that become effective the following month.
www.stoxx.com 37
4 DEFINITIONS
4.16 Stock Prices
The stock prices used to calculate the indices are:
The opening price: the first traded price during the official trading hours of the stock’s trading system; until this is
available, the previous day’s closing/adjusted price is used.
The intraday price: the currently traded price during the official trading hours of the stock’s trading system. As long as the
stock is not traded, the last available stock price will be used; this could either be the last available intraday stock price
(e.g. if the stock is temporarily suspended) or the last available closing/adjusted price (e.g. if the stock exchange is closed).
The closing price: the last traded price or auction price during the official trading hours of the stock’s trading system.
If the stock has not been traded all day, then the previous day’s closing/adjusted price is used.
The adjusted price: the closing price is adjusted to reflect a stock’s corporate action effective the next trading day.
www.stoxx.com 39
4 DEFINITIONS
4.15.4 STOXX Select Dividend Indices

The annual STOXX Select Dividend review procedures are applied on the last trading day of each quarter in order to produce
the selection lists (with the exception of the list at the end of the first quarter, which is produced at the end of February):
Index Produced from

STOXX Europe Select Dividend 30 STOXX Europe 600 + secondary lines
EURO STOXX Select Dividend 30 EURO STOXX + secondary lines
STOXX Nordic Select Dividend 20 STOXX Nordic TMI
STOXX EU Enlarged Select Dividend 15 STOXX EU Enlarged TMI
STOXX Americas Select Dividend 40 STOXX Americas 600
STOXX Asia/Pacific Select Dividend 30 STOXX Asia/Pacific 600
STOXX Global Select Dividend 100 STOXX Global 1800 (reviewed separately by region)
The lists are valid for corporate actions that become effective the following quarter.
4.15.5 STOXX Strong Style Indices

The annual STOXX Strong Style review procedures are applied on the last trading day of August in order to produce the
selection lists.
Index Produced from

STOXX Europe Strong Growth 20 STOXX Europe TMI Growth
STOXX Europe Strong Value 20 STOXX Europe TMI Value
EURO STOXX Strong Growth 20 EURO STOXX TMI Growth
EURO STOXX Strong Value 20 EURO STOXX TMI Value
The lists are valid for corporate actions that become effective the following year.
4.15.6 STOXX Europe Private Equity 20 Index

The quarterly STOXX Europe Private Equity 20 Index review procedures are applied on the last trading day of each quarter
in order to produce the selection list.
This list is valid for corporate actions that become effective the following quarter.
4.15.7 STOXX Europe Christian Index

The semi-annual STOXX Europe Christian Index review procedures are applied every third Friday of a quarter end.
The list is valid for corporate actions that become effective the following quarter.
www.stoxx.com 38
5 DISSEMINATION
5.1 Calendar
The STOXX Europe Total Market Index (TMI) and STOXX Eastern Europe TMI indices, as well as all their respective
subindices, are only disseminated on days when at least 50 percent of the STOXX Europe TMI Index’s free fl oat market
capitalisation and at least 50 percent of its markets are available for trading.
These two thresholds are based on:
The STOXX Europe TMI Index free float market capitalisation as of the last trading day of November each year.
The trading calendars of the trading systems in the regional universe; changes to these trading calendars that are
announced during the current year will only be implemented in the index dissemination calendar depending on the
magnitude of change.
In exceptional cases the STOXX Limited Supervisory Board can make changes to the trading calendar.
5.2 Dissemination Period
The index dissemination period begins when the first trading system in the regional universe opens for trading. The actual
dissemination of each index is triggered when the first opening stock price for that index is received. The index
dissemination period ends when the last trading system in the regional universe closes.
For the latest update, please refer to the following link: http://www.stoxx.com/indices/dissemination/period.html
5.3 Available Data
Different sets of data are available for the STOXX indices.
5.3.1 Intraday Data

Intraday data for the STOXX indices are disseminated daily at:
Open quotation (10:30 CET or earlier): opening stock prices for the STOXX Blue-chip indices and open quotation index
values for realtime indices.
10:30 CET: stock prices for all STOXX TMI indices.
12:00 CET: index settlement values as well as index stock prices for the STOXX Blue-chip indices, STOXX Select
Dividend indices and the STOXX Europe 600 Supersector indices; index settlement values for the STOXX Size and
STOXX TMI indices.
15:30 CET: stock prices for all STOXX TMI indices.
18:00 CET: stock prices for all stocks in the STOXX Global Select Dividend 100 and STOXX Global Grand Prix indices.
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5 DISSEMINATION
5.3.2 Closing Data

The closing data for the STOXX indices are disseminated after the index dissemination period for the relevant region. The
closing data includes the following sets of data:
Stock prices: both closing and adjusted prices for all components of the STOXX indices.
Index related values: closing values, market capitalisation and divisors for all indices.
Currency rates to Euro for all currencies used in any STOXX indices.
Corporate actions and dividends: effective the next trading day.
Other information like country and sector weightings, corporate actions and dividend forecasts.
5.3.3 Monthly Reports

The monthly reports are disseminated on the first trading day of each month and include the following data:
Pre-selection lists: Blue-chip indices, consisting of the supersector leaders.
Index composition and performance reports.
Statistical and fundamental reports.
5.3.4 Quarterly, Semi-Annual & Annual Data

The quarterly, semi-annual and annual data contain:
Review lists: are available on the annual announcement dates in September for the STOXX Blue-chip indices (except
the STOXX Eastern Europe 50 Index with announcement dates in March and September) and the STOXX Strong Style
indices, and in March for the STOXX Select Dividend and the STOXX Global Grand Prix indices; are available at the
semi-annual announcement dates in March and September for the STOXX Style indices; are available at semi-annual
announcement dates in June and December for the STOXX Europe Christian Index, and quarterly component
announcement dates for all other indices.
Underlying data, i.e. number of shares, free float factor, for all stocks on the underlying data announcement dates.
Factsheets for various indices with the most up-to-date information on fundamental ratios, performance data and other
statistics.
5.3.5 Corporate Action Forecasts

The corporate action forecasts are updated daily and include the following information:
Mergers, takeovers, spin-offs and share consolidations: forecast for the coming weeks.
Initial public offerings (IPOs): recent IPOs that could qualify for the indices; for the STOXX Europe IPO Index (12 months)
and the STOXX Europe IPO Index (60 months), separate additions and deletions announcements will be made every Monday.
An extended corporate action forecast is published; it contains information about upcoming dividends and corporate
actions.
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6 CALCULATION
6.1 Index Value Calculation

6.1.1 Market Capitalisation Weighted
The indices are calculated with the Laspeyres formula, which measures price changes against a fi xed base quantity weight.
兺 ni= 1 (pit ∙ sit ∙ ff it ∙ cf it ∙ xit) M

Index t = = t
Dt Dt
Where:
t = Time the index is computed
n = Number of companies in the index
pit = Price of company (i) at time (t)
sit = Number of shares of company (i) at time (t)
ff it = Free float factor of company (i) at time (t)
cf it = Weighting cap factor of company (i) at time (t) (if index is capped, otherwise equals 1)
xit = Exchange rate from local currency into index currency for company (i) at time (t)
Mt = Free float market capitalisation of the index at time (t)
Dt = Divisor of the index at time (t)
6.1.2 Price Weighted With Weighting Factors

The indices are weighted based on the components’ stock prices and weighting factors:
兺 ni= 1 (pit ∙ wf it ∙ cf it ∙ xit) M

Index t = = t
Dt Dt
Where:
t = Time the index is computed
wf it = Weighting factor of company (i) at time (t)
cf it = Weighting cap factor of company (i) at time (t)
Mt = Total ‘units’ of the index at time (t)
Dt = Divisor of the index at time (t)
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6 CALCULATION
6.2 Index Divisor Calculation

6.2.1 Market Capitalisation Weighted
Each index has a unique index divisor that is adjusted to maintain the continuity of the index’s values across changes due
to corporate actions.
The index divisors are calculated as follows:
兺 ni= 1 (pit ∙ sit ∙ ff it ∙ cf it ∙ xit) ± MCt+1

Dt+1 = Dt ·
兺 ni= 1 (pit ∙ sit ∙ ff it∙ cf it ∙ xit)
Where:
Dt+1 = Divisor at time (t+1)
D1 = Divisor at time (t)
sit = Number of shares of company (i) at time (t)
ff it = Free float factor of company (i) at time (t)
cf it = Weighting cap factor of company (i) at time (t) (only applicable if index is capped)
MCt+1 = The difference between the closing market capitalisation of the index and the adjusted closing market
capitalisation of the index:
For companies with corporate actions effective at time (t+1), the free float market capitalisation calculated with
adjusted closing prices, the new number of shares at time (t+1) and the free float factor at time (t+1) minus the
free float market capitalisation calculated with closing prices, number of shares at time (t) and free fl oat factor
at time (t).
6.2.2 Price Weighted with Weighting Factors

Each index has a unique index divisor that is adjusted to maintain the continuity of the index’s values across changes due
to corporate actions.
The index divisors are calculated as follows:
兺 ni= 1 (pit ∙ wf it ∙ cf it ∙ xit) ± MCt+1

Dt+1 = Dt ·
兺 ni= 1 (pit ∙ wf it ∙ cf it ∙ xit)
Where:
Dt+1 = Divisor at time (t+1)
D1 = Divisor at time (t)
wf it = Weighting factor of company (i) at time (t)
cf it = Weighting cap factor of company (i) at time (t)
MCt+1 = The difference between the units in the index at closing and the units in the index after calculation parameters
have been adjusted:
For companies with corporate actions effective at time (t+1), the units in the index calculated with adjusted closing
prices, the adjusted weighting factors at time (t+1) and the adjusted weighting cap factors at time (t+1) minus the units
in the index calculated with closing prices, weighting factors at time (t) and weighting cap factors at time (t).
www.stoxx.com 43
6 CALCULATION
6.3 Data Accuracy
The data accuracy for the index calculation is:
Input data and other underlying data: rounded to seven decimal places.
Index divisors: rounded to integer numbers.
Free float factors: rounded to four decimal places.
Index values: rounded to two decimal places for dissemination.
6.4 Input Data
6.4.1 Sources
The input data sources for the index calculation include:
Trading platforms.
Regulatory agencies.
Companies in the investable stock universe.
Realtime stock prices are provided by Thomson Reuters.
Related service providers.
6.4.2 Monitoring
The realtime input data feeds for the index calculation are monitored by:
Data filters.
Quality assurance tools.
Verification against secondary sources.
6.4.3 Correction
The correction procedures for incorrect or missing input data are:
Input data: corrected immediately.
Realtime index values: not retroactively corrected because the index is calculated in realtime.
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6 CALCULATION
6.5 Index Divisor Correction
The correction procedures for incorrect index divisors are:
If discovered on the effective date: intraday correction.
If discovered after a day: intraday correction only if correction is feasible and considered significant by the STOXX
Limited Supervisory Board.
6.6 Corporate Actions and Adjustments
Below is a list of corporate actions that indicates how the adjusted prices are calculated. The impact on the divisor is
indicated as well.
For the corporate actions listed below, the following assumptions apply:
Shareholders will receive ‘B’ new shares for every ‘A’ share held (where applicable).
If the new shares have a dividend disadvantage – i.e. the new shares have a different dividend from that paid on the old
shares – the price for these new shares will be adjusted according to the net dividend amount.
If the subscription price is not available or if the subscription price is equal to or greater than the closing price on the
day before the effective date, then rule 8.2 applies, i.e. no adjustment is done.
Stock dividends from treasury stock will be adjusted as a cash dividend (Rule 4.10.1).
1. Cash dividend (applied to Total Return indices only) Divisor

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

Adjusted price = closing price · A / B
New number of shares = old number of shares · B / A
[For price weighted indices with weighting factors: new weighting factor = old weighting factor · B / A]
4. Rights offering
a) Free float market capitalisation weighted indices Divisor
Adjusted price = (closing price · A + subscription price · B) / (A + B)
New number of shares = old number of shares · (A + B) / A
b) Price weighted indices with weighting factors Divisor

Adjusted price = (closing price · A + subscription price · B) / (A + B)
New weighting factor = old weighting factor · closing price / adjusted price
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6 CALCULATION
6.6 Corporate Actions and Adjustments (cont.)
5. Stock dividend (withholding taxes are applied to stock dividends if applicable) Divisor
Adjusted price = closing price · A / (A + B)
New number of shares = old number of shares · (A + B) / A
[For price weighted indices with weighting factors: new weighting factor = old weighting factor · (A + B) / A]
6. Stock dividend (from treasury stock) Divisor

a1) If treated as ordinary according to 4.10.1 then only Total Return indices are adjusted
Adjusted close = close - close · B / (A + B)
a2) If treated as special according to 4.10.1 then Price and Total Return indices are adjusted
Adjusted close = close - close · B / (A + B)
7. Stock dividend of another company (withholding taxes are applied to stock dividends if applicable) Divisor
Adjusted price = (closing price · A - price of the other company · B) / A
8. Return of capital and share consolidation Divisor

Adjusted price =
[closing price - capital return announced by company · (1 - withholding tax)] · A / B
New number of shares = old number of shares · B / A
[For price weighted indices with weighting factors: new weighting factor = old weighting factor · B / A]
9. Repurchase of shares/self tender

Adjusted price =
[(price before tender · old number of shares) - (tender price · number of tendered shares)] /
(old number of shares - number of tendered shares)
New number of shares = old number of shares - number of tendered shares

Adjusted price =
[(price before tender · old number of shares) - (tender price · number of tendered shares)] /
(old number of shares - number of tendered shares)
10.Spin-off (withholding taxes are applied to stock dividends if applicable)

Adjusted price = (closing price · A - price of spin-off shares · B) / A

Adjusted price = (closing price · A - price of spin-off shares · B) / A
New weighting factor for the spin-off = weighting factor of the parent company
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6 CALCULATION
6.6 Corporate Actions and Adjustments (cont.)
11. Combination stock distribution (dividend or split) and rights offering

For the above corporate action the following additional assumptions apply:
Shareholders receive ‘B’ new shares from the distribution and ‘C’ new shares from the rights offering for every ‘A’ share held.
If ‘A’ is not equal to one, all the following ‘new number of shares’ formulae need to be divided by ‘A’:
a1) If rights are applicable after stock distribution (one action applicable to another) Divisor
Adjusted price = [closing price · A + subscription price · C · (1 + B / A)] / [(A+B) · (1+C / A)]
New number of shares = old number of shares · [(A + B) · (1 + C / A)] / A
a2) If stock distribution is applicable after rights (one action applicable to another) Divisor
Adjusted price = [closing price · A + subscription price · C] / [(A + C) · (1 + B / A)]
New number of shares = old number of shares · [(A + C) · (1 + B / A)]
a3) Stock distribution and rights (neither action is applicable to the other) Divisor
Adjusted price = [closing price · A + subscription price · C] / [A + B + C]
New number of shares = old number of shares · [A + B + C] / A
b) Price weighted indices with weighting factors: Divisor

Adjusted prices = see above [combination stock distribution (dividend split) and rights offering]
To ensure that STOXX indices are always accurate and follow the changes in the stock markets as closely as possible,
the indices are reviewed on a regular basis. The following chapters describe the methodology that is applied to the
different indices.
www.stoxx.com 47
7 PERIODIC REVIEW
7.1 STOXX Global 1800 Indices
The STOXX Global 1800 Index is reviewed on a quarterly basis:
Target coverage: largest 600 companies from developed markets in each of the following regions: Europe, Americas
and Asia/Pacific; only the more liquid stock class for each company in the STOXX universe is eligible.
Review procedure: the European, Americas and Asia/Pacific regional indices are selected as follows:
1. The 550 highest-ranking stocks on the selection list are selected for the index.
2. The remaining 50 companies are selected from the highest-ranking current component between 551 and 750.
3. If the component number is still below 600, then stocks not previously included in the index are selected,
beginning with the highest-ranking one.
The three regional indices are then combined to create the STOXX Global 1800 Index.
Derived indices: the STOXX Global 1800 ex Americas Index, the STOXX Global 1800 ex Europe Index and the
STOXX Global 1800 ex Asia/Pacific Index are derived from the STOXX Global 1800 Index.
Further derived indices from the above are the STOXX Global 1800 Japan Index and the STOXX Asia/Pacific 600
ex Japan Index.
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7 PERIODIC REVIEW
7.2 STOXX Total Market Indices (TMI)

The STOXX Europe TMI Index is reviewed on a quarterly basis:
Target coverage: 95 percent of the free float market capitalisation of the investable stock universe by respective regions.
Review procedure:
1. All stocks in the investable stock universe on the quarterly review date are ranked in terms of free fl oat market
capitalisation to produce the review list.
2. The stocks covering the top 93 percent of the free float market capitalisation of the investable stock universe
qualify for selection.
3. The stocks covering the remaining two percent are selected from the largest remaining current TMI components
between the 93rd and 99th percentiles.
4. If the coverage is still below 95 percent, then the largest remaining stocks are selected until the coverage is
95 percent.
Derived indices: TMI for the other European regions are then derived from the above reviewed STOXX Europe TMI Index.
The STOXX Eastern Europe TMI Index is also reviewed on a quarterly basis:
Target coverage: 95 percent of the free float market capitalisation of the investable stock universe by country.
Review procedure:
1. All stocks in the investable stock universe on the quarterly review date are ranked in terms of free fl oat market
capitalisation to produce the review list.
2. The stocks covering the top 93 percent of the free float market capitalisation of the investable stock universe qualify
for selection.
3. The stocks covering the remaining two percent are selected from the largest remaining current TMI components
between the 93rd and 99th percentiles.
4. If the coverage is still below 95 percent, then the largest remaining stocks are selected until the coverage is 95 percent.
Derived indices: TMI for the other four regional indices are then derived from the above reviewed STOXX Eastern Europe
TMI Index.
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7 PERIODIC REVIEW
7.2.2 Size Indices

The STOXX TMI Size indices are reviewed on a quarterly basis:
Target coverage: companies in the STOXX Europe TMI Index.
Review procedures: the companies in the given STOXX TMI Europe Index on the quarterly review date are ranked in
terms of their total market capitalisation – i.e. for each company the total market capitalisation based on all its stock
classes in the given STOXX Europe TMI Index – to produce the STOXX Europe TMI Size index review list.
STOXX Europe TMI Large Index (67.5 – 75 Rule)

Target coverage: companies with a total market capitalisation above the 70th percentile of the total market capitalisation
of the investable stock universe:
1. Companies with a total market capitalisation above the 67.5th percentile are selected.
2. Current STOXX Europe TMI Large companies with a total market capitalisation between the 67.5th and 75th percentiles
are also selected.
STOXX Europe TMI Mid Index (85 – 92.5 Rule)

Target coverage: companies with a total market capitalisation between the 70th and 90th percentiles of the total market
capitalisation of the investable stock universe:
1. Companies with a total market capitalisation above the 85th percentile qualify for selection. Of these companies,
those not already selected for the STOXX Europe TMI Large Index are selected for the STOXX Europe TMI Mid Index.
2. Current STOXX Europe TMI Mid companies with a total market capitalisation between the 85 th and 92.5th percentiles
are also selected.
STOXX Europe TMI Small Index

Target coverage: companies with a total market capitalisation between the 90th and 95th percentiles of the total market
capitalisation of the investable stock universe:
1. Companies not already selected for the STOXX Europe TMI Large and STOXX Europe TMI Mid indices are selected for
the STOXX Europe TMI Small Index.
Derived indices: STOXX TMI Size indices for the other European regions are then derived from the above reviewed
STOXX Europe TMI Size indices.
The STOXX Eastern Europe TMI Size indices are also reviewed on a quarterly basis:
This index follows the same rules as those indicated above.
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7 PERIODIC REVIEW
7.2.3 Style Indices

The Style indices are reviewed on a semi-annual basis in March and September:
Target coverage: growth and value stocks from the stocks selected from the STOXX Europe TMI Index at the first and
third quarter reviews.
Review procedures: the style characteristics of each stock are determined by analysing six factors, i.e. two projected,
two current and two historical factors:
Projected price/earnings (P/E) ratio: based on the closing price at the time of the review and on mean annual
earnings-per-share (EPS) expected for the next fiscal period, as reported by IBES.
Projected earnings growth: based on the expected three to five year annual increase in operating EPS, as defined by
the IBES long-term growth forecast.
Trailing P/E ratio: based on the closing price at the time of the review and on the previous quarter’s EPS from
continuing operations, as reported by IBES.
Trailing earnings growth: based on average annualised EPS growth for the previous 21 quarters, as reported by IBES.
Price/book (P/B) ratio: based on the closing price at the time of the review and book value per share, as reported
by Worldscope.
Dividend yield: based on the closing price at the time of the review and on total dividends declared by the company
during the previous 12 months.
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7 PERIODIC REVIEW
7.2.3 Style Indices (cont.)

STOXX Europe TMI Large Growth and Value Indices
1. The qualifying STOXX Europe TMI Large stocks are ranked for each of the six factors. For each factor, the stocks beyond
the 5th and 95th percentiles are assigned the same values for the factor as the stocks at the 5th and 95th percentiles.
2. For each stock the values of the six factors are z-scored for normalisation. A multivariate, statistical cluster analysis
is conducted to produce five clusters: strong growth and weak growth, strong value and weak value, and neutral.
3. To reduce turnover there are certain criteria as to when a stock is reclassified into a new cluster based on the result
of the review. The rules are as follows:
All stocks that have been classified into the strong value (strong growth) cluster in the last review, will remain in
this cluster.
All stocks that have been classified into the neutral cluster in the last review, will go into the cluster that they
classify for in this review.
All stocks that have been classified for the weak value (weak growth) cluster in the last review, and are still
classified in any value (growth) cluster in this review, will remain in the weak value (weak growth) cluster.
All stocks that have been classified for the weak value (weak growth) cluster in the last review, and are now
classified in any growth (value) or neutral cluster in this review, will be reclassified to neutral.
Neutral stocks with free float market cap weightings of greater than or equal to 0.5 percent of the total index, which
are closer to a value (growth) cluster mean, will be reclassified to value (growth).
The remaining stocks are excluded from the Style indices.
At the second and fourth quarter reviews of the STOXX Europe TMI Index:
New stocks added to the STOXX Europe TMI Index are immediately classified as neutral stocks until the time of the
next review of the Style indices.
Stocks deleted from the STOXX Europe TMI Index are also immediately deleted from the Style indices.
Stocks reclassified into different STOXX Europe TMI Size indices are also immediately reclassified into the
corresponding STOXX Europe TMI Style Size indices.
STOXX Europe TMI Mid Growth and Value Indices

Same methodology.
STOXX Europe TMI Small Growth and Value Indices

Same methodology.
Combination indices: STOXX Europe TMI Large Growth and Value, STOXX Europe TMI Mid Growth and Value, and STOXX Europe
TMI Small Growth and Value indices, as reviewed above, are combined to produce the STOXX Europe TMI Growth and Value indices.
Derived indices: Growth and Value indices for the Eurozone are then derived from the STOXX Europe TMI Growth and
Value indices.
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7 PERIODIC REVIEW
7.2.4 Strong Style Indices

STOXX Strong Style indices are reviewed on an annual basis in September.
The STOXX Strong Style index family consists of six indices:

Target coverage: growth and value stocks from the stocks selected from the STOXX Europe TMI Style Index at the third
quarter review.
Review procedures:
STOXX Europe Strong Growth 20 Index (10 – 30 Rule)
1. The six factors used in creating the STOXX Europe Style index are normalised as z-scores.
2. The vector distances between the six factors and the growth seeds are calculated.
3. Stocks are screened for a minimum level of liquidity. If multiple lines of a stock qualify for the index, the less
liquid line is removed.
4. Then the growth score is calculated.
5. All current components ranked 10 or above on the selection list will remain in the index. The remaining 10 stocks
are selected from the largest remaining current stocks ranked between 11 – 30. If the number of stocks selected is
still below 20, then the largest remaining stocks are selected until the component count reaches 20.
STOXX Europe Strong Value 20 Index (10 – 30 Rule)

Same methodology.
STOXX Europe Strong Style 40 Index: the combination of the underlying STOXX Europe Strong Growth 20 and STOXX
Europe Strong Value 20 indices.
Derived indices: Strong Growth and Strong Value indices for the Eurozone are then derived from the EURO STOXX TMI
Growth and Value indices.
In exceptional cases the STOXX Limited Supervisory Board can add stocks to the selection list and also remove them
from the selection list.
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7 PERIODIC REVIEW
7.3 STOXX Fixed Component Benchmark Indices
7.3.1 STOXX Europe 600 Index

The STOXX Europe 600 Index is reviewed on a quarterly basis:
Target coverage: largest 600 companies in the STOXX Europe TMI Index; for each company only the more liquid stock
is eligible.
Review procedures: on the quarterly review date, the more liquid stock class of the STOXX Europe TMI stocks are ranked
in terms of free float market capitalisation to produce the STOXX Europe 600 Index selection list.
STOXX Europe Large 200 Index (170 – 230 Rule)

Target coverage: largest 200 companies in the STOXX Europe 600 Index:
1. The largest 170 stocks on the selection list are selected.
2. The remaining 30 stocks are selected from the largest remaining current STOXX Europe Large 200 stocks ranked
between 171 and 230.
3. If the number of stocks selected is still below 200, then the largest remaining stocks are selected until there are
200 stocks.
STOXX Europe Mid 200 Index (350 – 450 Rule)

Target coverage: next 200 companies in the STOXX Europe 600 Index:
1. The largest 350 stocks on the selection list qualify for selection. Of these 350 stocks, 200 stocks are already selected
for the STOXX Europe Large 200 Index; the remaining 150 are selected for the STOXX Europe Mid 200 Index.
2. The remaining 50 stocks are selected from the largest remaining current STOXX Europe Large 200 and STOXX Europe
Mid 200 stocks ranked between 351 and 450.
200 stocks.
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7 PERIODIC REVIEW
7.3.1 STOXX Europe Europe 600 Index (cont.)

STOXX Europe Small 200 Index (550 – 750 Rule)
Target coverage: next 200 companies in the STOXX Europe 600 Index:
for the STOXX Europe Large 200 and STOXX Europe Mid 200 indices; the remaining 150 stocks are selected for the
STOXX Europe Small 200 Index.
2. The remaining 50 stocks are selected from the largest remaining current STOXX Europe Large 200, STOXX Europe Mid
200 and STOXX Europe Small 200 stocks ranked between 551 and 750.
3. If the number of stocks selected is still below 200, then the largest remaining stocks are selected until there are 200 stocks.
Combination index: STOXX Europe Large 200, STOXX Europe Mid 200 and STOXX Europe Small 200 indices, as reviewed
above, are combined to produce the STOXX Europe 600 indices.
Derived indices: Size indices for the four European regions are then derived from the STOXX Europe Size indices,
as reviewed above.
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7 PERIODIC REVIEW
7.3.2 STOXX Eastern Europe 300 Index

The STOXX Eastern Europe 300 Index is reviewed on a quarterly basis:
Target coverage: largest 300 companies in the STOXX Eastern Europe TMI Index; for each company only the more liquid
stock is eligible.
Review procedures: on the quarterly review date, the more liquid stock class of the STOXX Eastern Europe TMI stocks
are ranked in terms of free float market capitalisation to produce the STOXX Eastern Europe 300 Index selection list.
STOXX Eastern Europe Large 100 Index (85 – 115 Rule)

Target coverage: largest 100 companies in the STOXX Eastern Europe 300 Index:
2. The remaining 15 stocks are selected from the largest remaining current STOXX Eastern Europe Large 100 stocks
ranked between 86 and 115.
100 stocks.
STOXX Eastern Europe Mid 100 Index (175 – 225 Rule)

Target coverage: next 100 companies in the STOXX Eastern Europe 300 Index:
for the STOXX Eastern Europe Large 100 Index; the remaining 75 are selected for the STOXX Eastern Europe Mid 100
Index.
2. The remaining 25 stocks are selected from the largest remaining current STOXX Eastern Europe Large 100 and
STOXX Eastern Europe Mid 100 stocks ranked between 176 and 225.
100 stocks.
STOXX Eastern Europe Small 100 Index (275 – 375 Rule)

Target coverage: next 100 companies in the STOXX Eastern Europe 300 Index:
for the STOXX Eastern Europe Large 100 and STOXX Eastern Europe Mid 100 indices; the remaining 75 stocks
are selected for the STOXX Eastern Europe Small 100 Index.
2. The remaining 25 stocks are selected from the largest remaining current STOXX Eastern Europe Large 100,
STOXX Eastern Europe Mid 100 and STOXX Eastern Europe Small 100 stocks ranked between 276 and 375.
100 stocks.
Combination index: STOXX Eastern Europe Large 100, STOXX Eastern Europe Mid 100 and STOXX Eastern Europe Small
100 indices, as reviewed above, are combined to produce the STOXX Eastern Europe 300 indices.
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7 PERIODIC REVIEW
7.4 STOXX Blue-chip Indices
The Blue-chip indices are reviewed on an annual basis in September.
The STOXX Blue-chip index family consists of three indices from different European regions:
the STOXX Europe 50 Index represents Blue-chip stocks from Europe, the EURO STOXX 50 Index represents Blue-chip
stocks from the Eurozone, and the STOXX Nordic 30 Index represents Blue-chip stocks from the Nordic region.
Target coverage: supersector leaders of the STOXX Europe 600, EURO STOXX and STOXX Nordic indices on the annual
review date.
Review procedures:
STOXX Europe 50 Index (40 – 60 Rule)
Target coverage: 50 supersector leaders from the stocks in the STOXX Europe 600 Index:
1. For each of the 19 STOXX Europe 600 Supersector indices, the stocks are ranked in terms of free float market
capitalisation; the largest stocks are added to the selection list until the coverage is close to, but still less than, 60
percent of the free float market capitalisation of the corresponding STOXX Europe TMI Supersector Index; if the next
ranked stock brings the coverage closer to 60 percent in absolute terms, then it is also added to the selection list; all
remaining STOXX Europe 50 stocks are then added to the selection list.
2. All the stocks on the selection list are then ranked in terms of free float market capitalisation to produce the
STOXX Europe 50 Index selection list.
3. The largest 40 stocks on the selection list are selected; the remaining 10 stocks are selected from the largest
remaining current stocks ranked between 41 and 60; if the number of stocks selected is still below 50, then the largest
remaining stocks are selected until there are 50 stocks; if a stock is deleted from the STOXX Europe 600 Index in-
between the annual review dates but is still a component of the STOXX Europe TMI Index, then this stock will remain
in the STOXX Europe 50 Index until the next annual review.
EURO STOXX 50 Index (40 – 60 Rule)

Similarly, 50 supersector leaders from the EURO STOXX Index.
STOXX Nordic 30 Index (20 – 40 Rule)

Similarly, 30 supersector leaders from the STOXX Nordic Index and with 80 percent supersector coverage.
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7.4 STOXX Blue-chip Indices (cont.)
The STOXX Eastern Europe 50 Index represents Blue-chip stocks from Eastern Europe and is reviewed on a semi-annual basis
in March and in September.
Target coverage: supersector leaders of the STOXX Eastern Europe 300 Index on the semi-annual review date.
Review procedures:
STOXX Eastern Europe 50 Index (40 – 60 Rule)
Target coverage: 50 supersector leaders from the stocks in the STOXX Eastern Europe 300 Index:
1. For each of the 19 STOXX Eastern Europe 300 Supersector indices, the stocks are ranked in terms of free fl oat
market capitalisation; the largest stocks are added to the selection list until the coverage is close to, but still less
than, 80 percent of the free float market capitalisation of the corresponding STOXX Eastern Europe TMI Supersector
Index; if the next ranked stock brings the coverage closer to 80 percent in absolute terms, then it is also added
to the selection list; all remaining STOXX Eastern Europe 50 stocks are then added to the selection list.
2. All the stocks on the selection list are then ranked in terms of free float market capitalisation and are screened for a
minimum level of liquidity to produce the STOXX Eastern Europe 50 Index selection list, of which only the largest 15
stocks per country are selected.
3. The largest 40 stocks on the selection list are selected; the remaining 10 stocks are selected from the largest
remaining current stocks ranked between 41 and 60; if the number of stocks selected is still below 50, then
the largest remaining stocks are selected until there are 50 stocks; if a stock is deleted from the STOXX Eastern
Europe 300 Index in-between the annual review dates but is still a component of the STOXX Eastern Europe TMI
Index, then this stock will remain in the STOXX Eastern Europe 50 Index until the next semi-annual review.
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7 PERIODIC REVIEW
The STOXX EU Enlarged 15 Index represents Blue-chip stocks from 12 countries; i.e. the 10 countries that acceded to the
EU in May 2004 plus Bulgaria and Romania which joined the EU in January 2007. The index is reviewed on an annual basis
in September.
Target coverage: the largest stocks in the STOXX EU Enlarged TMI Index on the annual review date; only the more liquid
stock class for each company in the STOXX EU Enlarged TMI Index is included.
Review procedure:
STOXX EU Enlarged 15 Index (10 – 20 Rule)
1. All of the stocks on the selection list are ranked separately in terms of free float market capitalisation, gross revenue,
and net income. The final ranking is calculated by weighting the free float market capitalisation rank at 60 percent,
the gross revenue rank at 20 percent and the net income rank at 20 percent.
2. The top 10 ranked stocks are selected. The remaining fi ve stocks are selected from the highest remaining current
stocks ranked between 11 and 20. If the number of stocks selected is still below 15, then the highest remaining stocks
are selected until there are 15 stocks.
The STOXX Balkan 50 Equal Weighted Index represents Blue-chip stocks from eight countries and is reviewed on an annual
basis in September.
Target coverage: highest-ranked components in the STOXX Balkan TMI Index on the annual review date; only the more
liquid stock class for each company in the STOXX Balkan TMI Index is included.
Review procedures:
STOXX Balkan 50 Equal Weighted Index (5/3 – 15/7 Rule)
1. Selection process: for each country, companies are ranked by free float market capitalisation. The highest-ranked
components (20 companies each from Greece and Turkey, 10 companies from Bulgaria, Croatia, Macedonia (FYROM),
Romania, Serbia and Slovenia) are chosen for the selection list. Each country selection list is first ranked by free float
market capitalisation and second by liquidity (average daily traded value for the past three months). The final rank is
calculated by the average of the two ranks. If two or more companies have the same final ranking, then their free float
market capitalisation is used as a tie-breaker.
2. Selection list: the top five ranked stocks are selected for Greece and Turkey. The top three ranked stocks are selected
for other countries. The remaining five stocks each for Greece and Turkey are selected from the highest remaining
current stocks ranked between six and 15. The remaining two stocks each from other countries are selected from the
highest remaining current stocks ranked between four and seven. If the number of stocks selected is still below 10 for
Greece and Turkey and fi ve for other countries, then the highest remaining stocks are selected until there are 10
stocks from Greece and Turkey and fi ve from other countries.
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7 PERIODIC REVIEW
The STOXX Sub Balkan 30 Index represents Blue-chip stocks from four countries and is reviewed on an annual basis in
September.
Target coverage: supersector leaders of the STOXX Sub Balkan TMI Index on the annual review date; only the more liquid
stock class for each company in the STOXX Sub Balkan TMI Index is included.
Review procedures:
STOXX Sub Balkan 30 Index (20 – 40 Rule)
1. For each of the 19 STOXX Sub Balkan TMI Supersector indices, the stocks are ranked in terms of free fl oat market
capitalisation; the largest stocks are added to the selection list until the coverage is close to, but still less than,
80 percent of the free float market capitalisation of the corresponding STOXX Sub Balkan TMI Supersector Index;
if the next ranked stock brings the coverage closer to 80 percent in absolute terms, then it is also added to the
selection list; all remaining STOXX Sub Balkan 30 stocks are then added to the selection list.
2. All the stocks on the selection list are then ranked in terms of free float market capitalisation to produce the STOXX Sub
Balkan 30 Index selection list.
3. The largest 20 stocks on the selection list are selected; the remaining 10 stocks are selected from the largest remaining
current stocks ranked between 21 and 40; if the number of stocks selected is still below 30, then the largest remaining
stocks are selected until there are 30 stocks.
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7 PERIODIC REVIEW
7.5 STOXX Select Dividend Indices
STOXX Select Dividend indices are reviewed on an annual basis in March.
The Select Dividend index family consists of seven indices: they represent the highest-yielding stocks within each region.
The STOXX Global Select Dividend 100 Index covers the highest-yielding stocks in the three regions Europe, the Americas,
and Asia/Pacific. Each region is reviewed separately and the highest-yielding stocks relative to their home market are
selected (see below for details of the review procedure).
Target coverage: the highest-yielding companies based on indicated net dividend yield relative to their home market.
Review procedures:
STOXX Europe Select Dividend 30 Index
Target coverage: the highest dividend-yielding stocks relative to their home market; the 30 stocks are selected from the
STOXX Europe 600 constituents including secondary lines of those companies:
1. Universe: the index universe is defined as all those companies in the STOXX Europe 600 Index (plus their secondary
lines). The following characteristics are screened to be eligible for the universe:
Non-negative dividend growth rate over the past five years (at least two years for IPOs).
Dividend payments in four out of fi ve calendar years.
Non-negative payout ratio (applies to all companies).
Payout ratio of less than or equal to 60 percent (applies for non-components).
Screened for minimum level of liquidity.
2. Selection Process: an outperformance factor is calculated for every stock as follows:
Company net dividend yield / MAX{country net dividend yield; STOXX Europe TMI net dividend yield}-1.
(the company net dividend yield divided by the net dividend yield of the respective region or country minus 1, i. e.
the maximum of STOXX Country TMI net dividend yield and STOXX Europe TMI net dividend yield is used.)
For companies that have secondary lines in the index universe, only the higher yielding line will remain in the index
universe.
3. Ranking: all remaining stocks are ranked by their outperformance factor.
4. Index composition: all current components ranked 60 or above in the selection list will remain in the index; starting
from the highest-ranked non-component on the selection list, stocks are added until the component count reaches
30; if a company is deleted from the STOXX Europe 600 Index between the STOXX Select Dividend annual review
dates, but is still a component of the STOXX Europe TMI Index, then this company will remain in the STOXX Select
Dividend Index until the next annual review, provided that it still meets the requirements for the STOXX Select
Dividend Index.
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7 PERIODIC REVIEW
7.5 STOXX Select Dividend Indices (cont.)
EURO STOXX Select Dividend 30 Index

Similarly, the 30 highest-yielding companies relative to their home market selected from the EURO STOXX Index (plus
secondary lines).
STOXX Nordic Select Dividend 20 Index

Similarly, the 20 highest-yielding companies relative to their home market selected from the STOXX Nordic TMI Index.
The non-negative payout ratio has to be less than or equal to 80 percent, and the index composition is using a 10/30
buffer (i.e. the stocks ranked 10 or above are automatically included in the index, and current components ranked
between 11 and 30 are added to the index. If the number of stocks is still below 20, then the largest non-components
are added until the index contains 20 stocks).
STOXX EU Enlarged Select Dividend 15 Index

Similarly, the 15 highest-yielding companies relative to their home market selected from the STOXX EU Enlarged TMI
Index. The non-negative payout ratio has to be less than or equal to 100 percent, the non-negative dividend growth rate
is based on the past three years, and the components will be screened for a minimum level of liquidity.
The outperformance factor is calculated for every stock as follows:
Company net yield / MAX{country net dividend yield; STOXX EU Enlarged TMI net dividend yield}-1.
(the company net dividend yield divided by the net dividend yield of the respective region or country minus 1, i. e. the
maximum of STOXX Country TMI net dividend yield and STOXX EU Enlarged TMI net dividend yield is used.)
For companies that have secondary lines in the index universe, only the higher yielding line will remain in the index
universe.
The index composition is using a 10/20 buffer (i.e. the stocks ranked 10 or above are automatically included in the index,
and current components ranked between 11 and 20 are added to the index. If the number of stocks is still below 15, then
the largest non-components are added until the index contains 15 stocks).
STOXX Americas Select Dividend 40 Index

Similarly, the 40 highest-yielding companies relative to their home market are selected from the STOXX Americas 600 Index.
1. Preliminary index composition: all stocks in the index universe are ranked by country and by outperformance factor;
all current components ranked 60 or above in each country will remain in the index; if less than 40 stocks remain
in the index, the highest-ranked non-components in the region are added until the component count reaches 40;
a single country can have a maximum of 30 stocks in the index.
2. Index composition: the list of 40 stocks (the preliminary index composition) is reviewed again. The number of stocks
of each country in the preliminary index composition is divided by two (the result is rounded up to the next integer if
necessary). The resulting number determines how many of the highest-ranked stocks in that country should be included
in the index. In case they are not already in the index, they are added to the index by replacing the lowest-ranked
stocks in the preliminary index composition.
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7 PERIODIC REVIEW
7.5 STOXX Select Dividend Indices (cont.)
STOXX Asia/Pacific Select Dividend 30 Index

Similarly, the 30 highest-yielding companies relative to their home market are selected from the STOXX Asia/
Pacific 600 Index.
1. Index universe: all stocks in the index universe have to have a non-negative payout ratio of less than or equal to
80 percent. The outperformance factor for countries with 21 or more components is calculated as described in the
STOXX Europe Select Dividend 30 review procedure.
For countries with 20 or fewer components the outperformance factor is calculated by dividing the company’s net
dividend yield by the net yield of the STOXX Asia/Pacific 600 Index minus 1.
2. Preliminary index composition: all stocks in the index universe are ranked by country and by outperformance factor.
All current components ranked 20 or above in each country will remain in the index. If less than 30 stocks remain
in the index, the highest-ranked non-components in the region are added until the component count reaches 30.
A single country can have a maximum of 10 stocks in the index.
3. Index composition: the list of 30 stocks (the preliminary index composition) is reviewed in line with the review
procedure for the STOXX Americas Select Dividend 40 Index.
STOXX Global Select Dividend 100 Index

Similarly, the 100 highest dividend-yielding stocks in the three regions Europe, the Americas and Asia/Pacific. Each
region is reviewed separately, and the index combines the constituents of the following three indices:
STOXX Europe Select Dividend 30 Index, STOXX Americas Select Dividend 40 Index and the STOXX Asia/Pacific Select
Dividend 30 Index.
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7 PERIODIC REVIEW
7.6 STOXX Optimised Indices
The Optimised indices are reviewed on a quarterly basis.
Target coverage: most liquid companies in the STOXX Europe 600 Index (excluding Greece and Iceland) on the quarterly
review date.
Review procedure:
All STOXX Europe 600 stocks excluding Greece and Iceland qualify for inclusion.
For each eligible company equity turnover and the availability to borrow are calculated:
Equity turnover: Average Daily Turnover (ADTV) over three months in EUR.
Availability to borrow: Based on averaged data over seven trading days, as provided by Data Explorers in EUR
STOXX Optimised Supersector

The 30 least liquid and the 30 hardest to borrow stocks are deleted starting with the smallest as long as both of the
following conditions are fulfilled:
a. At least ten stocks must remain in the respective supersector.

b. The combined free float market capitalisation of the excluded stocks from a particular supersector must not exceed
20 percent.
The following capping procedure is then applied:
1. If the weighting of a component is above the supersector’s weighted average ADTV it is reduced to that value by
introducing a liquidity scaling factor (see section 4.6).
2. A cap factor is applied based on the number of components in the index (see section 4.5)
STOXX Optimised Market Quartile indices*

The 30 least liquid and the 30 hardest to borrow stocks are removed leaving a minimum of 540 final components.
These are then assigned to one of four thematic baskets which were clustered from the ICB subsectors.*
The following capping procedure is then applied:
1. If the weighting of a component is above the market quartile’s weighted average ADTV it is reduced to that value by
introducing a liquidity scaling factor (see section 4.6).
2. A cap factor of 10 % is applied.
* Please see section C 1.3 for further information on subsector assignment to the relevant market quartiles.
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7 PERIODIC REVIEW
7.7 STOXX Theme Indices

7.7.1 IPO Indices
The STOXX IPO indices are reviewed on a daily or on a weekly basis.
The STOXX IPO index family consists of three indices:

STOXX Europe IPO Index (3 months) represents IPO stocks for a rolling three month period; the STOXX Europe IPO Index (12
months) and the STOXX Europe IPO Index (60 months) represent IPO stocks for a rolling 12 month and 60 month period
respectively.
Target coverage: IPO stocks in Europe with a free float market capitalisation at the listing date (i.e. number of IPO shares
times the IPO-offer price) of between 100 million EUR and three billion EUR.
Review procedures:
STOXX Europe IPO Index (3 months)
IPO stocks with a free float market capitalisation on their listing date of between 100 million EUR and three billion EUR
are added to the STOXX Europe IPO Index (3 months) following the close of their first listing day.
IPO stocks are removed from the STOXX Europe IPO Index (3 months) after the close of trading on the first Wednesday
following three calendar months after inclusion in the index, unless this removal would result in less than 10 index
components.
In cases where a removal would decrease the number of index components to less than 10, the exit date of the component
set for removal is extended until a new component is added. If several stocks are to be removed on the same date, the
removal process starts with the smallest stock in terms of free float market capitalisation as of three days prior to the
removal date.
It is acceptable that the index component count falls below 10 following a merger, acquisition or related corporate action.
The number of shares and the free float factors of all constituents of the STOXX IPO Index (3 months) are reviewed on a
quarterly basis in line with the review dates of other STOXX indices.

IPO stocks with a free float market capitalisation on their listing date of between 100 million EUR and three billion EUR
are added to the STOXX Europe IPO Index (12 months) after the close of trading of the second Wednesday following
their listing date. If the listing date is a Wednesday, this day is counted as the first Wednesday.
IPO stocks are removed from the STOXX Europe IPO Index (12 months) after the close of trading of the first Wednesday
following 12 calendar months after inclusion in the index, unless this removal would result in less than 10 index
components.
In case a removal would decrease the number of index components to less than 10, the exit date of the component set
for removal is extended until a new component is added. If several stocks are to be removed on the same date, the removal
process starts with the smallest stock in terms of free float market capitalisation as of three days prior to the removal date.
It is acceptable that the index component count falls below 10 following a merger, acquisition or related corporate action.
The number of shares and the free float factors of all constituents as well as the 20 percent weighting cap factors of the
STOXX Europe IPO Index (12 months) are reviewed on a quarterly basis in line with the review dates of other STOXX indices.
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7 PERIODIC REVIEW
7.7.1 IPO Indices (cont.)

Additionally, all constituents of the STOXX Europe IPO Index (12 months), which are no longer a constituent of the STOXX
Europe IPO Index (3 months), are reviewed for their liquidity. If a constituent has more than 10 non-trading days in the
three months prior to the quarterly review date, it will be deleted from the index unless this deletion would decrease the
number of constituents to below 10.

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

The STOXX Europe Private Equity 20 Index is reviewed on a quarterly basis:
Target coverage: companies in the STOXX Europe TMI Index and other private equity companies of Western European
developed markets.
Review procedures:
1. Universe
All companies that are classified by the ICB – Industry Classification Benchmark as either subsector 8775
(Speciality Finance) or subsector 8985 (Equity Investment Instruments).
A minimum of 40 percent can be held in private equity companies, such as ‘mezzanine’, ‘venture capital’, ‘buy-out’,
‘buy-in’.
A maximum of 30 percent can be held in the STOXX Global 1800 companies.
All companies are screened for a minimum level of liquidity. In the case of multiple lines of a company qualifying
for the index, the less liquid line is removed.
2. STOXX Europe Private Equity 20 Index (15 – 25 Rule)

Target coverage: largest 20 companies in the universe:
2. The remaining five stocks are selected from the largest remaining current stocks ranked between 16 and 25.
20 stocks.
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7 PERIODIC REVIEW
7.7.3 Grand Prix Index

The STOXX Global Grand Prix Index is reviewed on an annual basis in March:
Target coverage: publicly traded companies on a global basis which support or supply Formula 1 teams including engine
manufacturers, tyre suppliers, oil/fuel suppliers, and title sponsors.
Review procedure:
1. Universe: all companies listed on a stock exchange covered by the STOXX TMI Index.
2. Index composition: companies in the index universe which support or supply the Formula 1 teams on the entry list are
reviewed for parent companies with exchange listings; the constituents of the STOXX Global Grand Prix Index have
to be in one of the following categories:
Engine Manufacturers.
Tyre Suppliers.
Oil/Fuel Suppliers.
Title Sponsors.
Weighting: the four categories in the STOXX Global Grand Prix Index are weighted as follows:
Engine Manufacturers 60 percent
Tyre Suppliers 15 percent
Oil/Fuel Suppliers 15 percent
Title Sponsors 10 percent
For ‘Engine Manufacturers’, 30 percent weight is distributed equally among the components in this category. Based on
the Constructors Championship, an additional 15 percent is added to the weight of the previous year’s winner, 10 percent
is added to the weight of the previous year’s first runner-up and fi ve percent is added to the weight of the previous
year’s second runner-up.
For the remaining categories, the weight is distributed equally among the category components.
In the case of a component with a free float market capitalisation of less than 250 million EUR in the category ‘Engine
Manufacturers’, the component will automatically be weighted at 1 percent. The equal distribution will then be based on
the remaining companies/weights (e.g. 29 percent).
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7 PERIODIC REVIEW
7.7.4 Football Index

The STOXX Europe Football Index is reviewed on a quarterly basis:
Target coverage: all football clubs that are listed in Europe and Eastern Europe.
Review procedure: all football companies in Europe and Eastern Europe are selected for inclusion in the index regardless
of their trading volume and their number of days without any trading at all.
7.7.5 Christian Index

The STOXX Europe Christian Index is reviewed on a semi-annual basis:
Target coverage: all companies in the STOXX Europe 600 Index that indicate high levels of competence in addressing
Christian values (social, environmental, ethical and economical responsibilities) as a business approach.
Review procedure:
1. Universe: all companies in the STOXX Europe 600 Index.
2. Index composition: for companies to be included in the index strict limits are applied based on the company’s share
of revenues generated in the following areas: pornography, weapons, tobacco, alcohol, birth control and gambling.
The screening of companies is performed by an independent committee.
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7 PERIODIC REVIEW
7.8 Free Float Factors
The free float factors are reviewed on a quarterly basis; they are published on the quarterly underlying data announcement
dates and implemented on the quarterly implementation dates. The calculation of the free float factors is described in
chapter 4.3.
7.9 Weighting Factors
The weighting factors for the STOXX Select Dividend indices, STOXX Strong Style indices and the STOXX Global Grand Prix
Index are adjusted at the annual review. The STOXX Balkan 50 Equal Weighted Index is adjusted on a quarterly basis. The
calculation of the weighting factors is described in chapter 4.4.
7.10 Weighting Cap Factors
The weighting cap factors for stocks are reviewed on a quarterly basis (for the STOXX Select Dividend and the STOXX
Strong Style indices annually). The calculation of the weighting cap factors is described in chapter 4.5.
7.11 Liquidity Scaling Factors
The liquidity scaling factors for the STOXX Optimised indices are reviewed on a quarterly basis. The calculation of the
liquidity scaling factors is described in chapter 4.6.
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8 ONGOING REVIEW
Corporate actions – including initial public offerings, mergers and takeovers, spin-offs, de-listings and bankruptcy – that
affect the composition of the index are reviewed immediately. Any changes are announced, implemented and become
effective in line with the type of corporate action, the indices affected and the magnitude of the effect.
8.1 Replacements
A deleted stock is replaced immediately to maintain the fi xed number of stocks in the STOXX Global 1800, STOXX Size,
STOXX Select Dividend, STOXX Blue-chip and STOXX Strong Style indices. The replacement is based on the latest
respective selection list:
STOXX Global 1800 Index: replaced by the largest non-component on the respective selection list.
STOXX Size indices: replaced by the highest-ranked non-size component on the STOXX Europe 600 Index selection list;
if the replacement stock is a component of a smaller Size index, then it is likewise replaced.
STOXX Select Dividend indices:

1. For STOXX Select Dividend Europe, Eurozone, Nordic and EU Enlarged: replaced by the highest-ranked non-
component on the respective Select Dividend selection list; the new company will be added to the index with a
weight according to its net dividend yield as published on the respective Select Dividend selection list.
2. For the STOXX Global, Americas and Asia/Pacific: replaced by the highest-ranked non-component on the respective
Select Dividend selection list; the new company will be added at the same weight as the company being removed.
STOXX Blue-chip indices: replaced by the largest non-component on the Blue-chip selection list. For the STOXX Eastern
Europe 50 Index: replaced by the largest non-component on the selection list. For the STOXX Balkan 50 Equal Weighted
Index: replaced by the highest-ranked non-component on the respective country selection list. The new company will be
added at the same weight as the company being removed.
STOXX Strong Style indices: replaced by the highest-ranked non-component on the respective Strong Style selection list;
the new company will be added at the same weight as the company being removed.
STOXX Optimised indices: replaced by the highest-ranked non-component on the STOXX Europe 600 Index selection
list, unless the replacement is from Greece or Iceland.
STOXX Europe Christian Index: no replacement until the next review.
Changes are announced immediately, implemented two trading days later and become effective on the next trading day
after implementation.
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8 ONGOING REVIEW
8.2 Free Float Factors and Share Changes
The indices are updated with changes to the number of shares and/or free float factors due to corporate actions; the timing
depends on the magnitude of the change:
Changes to the number of shares due to stock dividends, splits, rights issues etc: implemented immediately and effective
the next trading day.
Changes greater than ± 10 percent to the number of shares from one trading day to the next: announced immediately,
implemented two trading days later and effective the next trading day after implementation.
Free float factor changes greater than ± fi ve percent from one trading day to the next:
announced immediately, implemented two trading days later and effective the next trading day after implementation.
Changes to the combined free float adjusted number of shares greater than ± 10 percent from one trading day to the next:
announced immediately, implemented two trading days later and effective the next trading day after implementation.
All other changes: announced on the next quarterly underlying data announcement date, implemented on the quarterly
implementation date and effective the next trading day after implementation.
8.3 Dividend Data Changes
The components of the STOXX Select Dividend indices are monitored for any changes in their dividend data. The timing
depends on the changes in the dividend data:
Company eliminates its declared dividend: the company will be deleted from the index; the replacement will be announced
immediately, implemented two trading days later and become effective the next trading day after implementation.
Company lowers its declared dividend: the company will remain in the index until the next selection list is available;
if the company is ranked above the lower buffer on this selection list (e.g. ranked 60 or above for the STOXX Europe
Select Dividend 30 Index), it is retained; if it falls below the lower buffer (e.g. ranked 61 or below for the STOXX Europe
Select Dividend 30 Index), it is removed and replaced by the highest-ranked non-component on that selection list.
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8 ONGOING REVIEW
8.4 Illiquidity
Illiquid stocks are deleted immediately if their illiquidity is due to:
Not being traded for 10 consecutive days.
Being suspended from trading.
Ongoing bankruptcy proceedings: a company that has filed for bankruptcy will be deleted from the index based on
either the traded stock price on its primary market, if available, or else the OTC stock price; if neither price is available,
the company will be deleted at EUR 0.
Changes are announced immediately, implemented two trading days later and become effective the next trading day after
implementation.
8.5 Fast Exit Rule
The components of the STOXX Europe 50, EURO STOXX 50 and STOXX Nordic 30 indices are monitored for any changes
based on the monthly selection list ranking, i.e. on an ongoing monthly basis.
A component is deleted if:
it ranks 75 or below on the monthly selection list for STOXX Europe 50 and EURO STOXX 50, for STOXX Nordic 30 if it
ranks 50 or below; and
it has been ranked 75 / 50 or below for a consecutive period of two months in the monthly selection list depending on
the respective indices.
The deletion will be announced on the first trading day following the second consecutive publication of the monthly
selection lists.
The addition will be announced based on the monthly selection list, i.e. the highest ranked non-component will be selected
based on then monthly selection list.
Changes will be implemented on the close of the fifth trading day and effective the next trading day.
The components of the STOXX Europe Christian index are monitored for eligibility. In case a company is no longer eligible it
is being removed from the index at the next quarterly review.
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8 ONGOING REVIEW
8.6 Initial Public Offerings
8.6.1 Blue-chip Indices

An initial public offering (IPO) stock is reviewed for fast-track addition to the Blue-chip indices at the next quarterly review.
The IPO stock is added if it would have:
qualified for the latest Blue-chip selection list valid during the appropriate quarterly review, i.e. the February, May,
September or November Blue-chip selection lists; and
been ranked 40 or above on this selection list [STOXX Nordic 30 Index and STOXX Sub Balkan 30 Index:ranked 20 or
above; STOXX EU Enlarged 15 Index: ranked 10 or above]; and
been the largest non-current Blue-chip stock on this selection list.
If it is added, then the IPO stock replaces the smallest stock in the Blue-chip Index and the respective regional STOXX
Europe TMI, STOXX Europe 600 and STOXX Eastern Europe 300 indices.
Changes are announced on the quarterly underlying data announcement dates, are implemented two trading days later on
the quarterly implementation dates and become effective the next trading day after implementation.
8.6.2 IPO Indices

An initial public offering (IPO) stock is reviewed for immediate addition to the IPO indices. Please see chapter 7.7.1 for details.
8.7 Mergers & Takeovers
A merger or takeover is deemed successful if it has been declared wholly unconditional and has received the approval of all
the regulatory agencies with jurisdiction over the transaction.
The result of a merger or takeover is one surviving stock and one or more non-surviving stocks that may not necessarily be
de-listed from the respective trading system(s). The rules below are only applied if at least one company in this transaction
is a component of the STOXX TMI or the STOXX IPO indices. A surviving stock that does not qualify for the STOXX TMI or the
STOXX IPO indices, and also the non-surviving stock(s), is deleted immediately.
A surviving stock that qualifies for the STOXX TMI indices or the STOXX IPO indices is added to the indices as follows:
STOXX TMI indices: the surviving stock replaces the largest of the original stocks.
STOXX Size indices: the surviving stock replaces the original stock that belonged to the largest affected Size index.
STOXX Global 1800 indices: the surviving stock replaces the original stock that belonged to the largest affected
regional index.
www.stoxx.com 73
8 ONGOING REVIEW
8.7 Mergers & Takeovers (cont.)
STOXX Blue-chip indices: if one of the original stocks was a Blue-chip stock, then it is replaced by the surviving stock.
For the STOXX Balkan 50 Equal Weighted Index, if one of the original stocks was a Blue-chip stock and from the same
country, then it is replaced by the surviving stock; otherwise the highest-ranked non-component on the respective country
selection list qualifies.
STOXX Select Dividend indices: if one of the original stocks was a Select Dividend component, then it is replaced by the
surviving stock if this would be ranked at or above the lower buffer limit on the currently valid Select Dividend selection
list (e.g. ranked 60 or above for the STOXX Europe Select Dividend 30 Index); if the surviving company falls below the
lower buffer limit (e.g. ranked 61 or below for the STOXX Europe Select Dividend 30 Index), the original company will be
replaced by the highest-ranked non-component on the selection list.
STOXX Strong Style indices: if one of the original stocks was a Strong Style component, then it is replaced by the
surviving stock if this would be ranked at or above the lower buffer limit on the currently valid Strong Style selection list
(e.g. ranked 15 or above for the STOXX Europe Strong Growth/Value 20 Index); if the surviving company falls below the
lower buffer limit (e.g. ranked 16 or below for the STOXX Europe Strong Style Growth/Value 20 Index), the original
company will be replaced by the highest-ranked non-component on the selection list.
STOXX IPO indices: non-surviving stocks will be deleted immediately and surviving stocks will remain in any
IPO indices of which they were components; no additions or replacements to the indices will be made.
STOXX Europe Private Equity 20 Index: if one of the original stocks was a private equity component, then it is replaced
by the surviving stock if this would be ranked at or above the lower buffer limit on the currently valid private equity
selection list (e.g. ranked 15 or above for the STOXX Europe Private Equity 20 Index); if the surviving company falls below
the lower buffer limit (e.g. ranked 16 or below for the STOXX Europe Private Equity 20 Index), the original company will
be replaced by the highest-ranked non-component on the selection list.
STOXX Global Grand Prix Index: non-surviving stocks will be deleted immediately and the surviving stock will remain in
the index; the weighting factors will not be changed.
Changes are announced immediately, are implemented two trading days later and become effective on the next trading day
8.8 Sector Changes
The indices are updated with the sector changes; the timing depends on the cause of the change:
Changes due to corporate actions: announced immediately, implemented two trading days later and effective the next
trading day after implementation.
Changes in the primary revenue source: announced on the quarterly component announcement dates, implemented on
the quarterly implementation dates and effective the next trading day after implementation.
www.stoxx.com 74
8 ONGOING REVIEW
8.9 Spin-offs
Each spin-off stock is immediately added to all affected indices including the Fixed Component indices for one trading day.
If the spin-off company does not qualify based on the rules set out below, it will be deleted after the first trading day.
STOXX Global 1800 indices: if a spin-off stock would have qualified for the latest STOXX Global 1800 Index selection list,
then it is added to the appropriate one of the three regional indices and replaces the smallest current stock in that index.
STOXX TMI indices: the spin-off stock is added if it qualifies for the STOXX TMI Indices.
STOXX Style indices: if a spin-off stock qualifies for the STOXX Europe TMI Index, it will be added to the same cluster as
its parent company.
STOXX Size indices: if a spin-off stock would have qualified for the latest STOXX Europe 600 or STOXX Eastern Europe
300 Index selection list, then it is added to the appropriate one of the three Size indices and replaces the smallest
current stock in that index.
STOXX Blue-chip indices:
1. If the original company was a Blue-chip stock, then each spin-off stock qualifies for addition if it is ranked at 60 or
above on the Blue-chip selection list [STOXX Nordic 30 and STOXX Sub Balkan 30 Index: ranked at 40 or above;
STOXX EU Enlarged 15 Index: ranked at 20 or above; STOXX Balkan 50 Equal Weighted Index: ranked 15 or above
for Greece and Turkey, seven or above for Bulgaria, Croatia, Macedonia (FYROM), Romania, Serbia and Slovenia].
2. The qualifying spin-off stocks are added in sequence:

The largest qualifying spin-off stock replaces the original stock in the index.
The next largest qualifying spin-off stock replaces the smallest current stock in the index, if the spin-off stock is the larger.
Likewise for the other qualifying spin-off stocks.
STOXX Select Dividend indices: spin-off stocks are not considered for immediate addition in the STOXX Select
Dividend indices; if the original company has a significantly lower dividend after the spin-off, then its status will be
reviewed according to chapter 8.3.
STOXX Strong Style indices: spin-off stocks are not added to the STOXX Strong Style indices.
STOXX IPO indices: spin-off stocks are not added to the STOXX IPO indices.
STOXX Global Grand Prix Index: if the original company was a constituent of the STOXX Global Grand Prix Index, each
spin-off stock is reviewed for addition; the spin-off stock which carries on the business, as a supplier or sponsor of a
Formula 1 team, will replace the original stock at the original stock’s weight; if the spin-off stock is no longer eligible for
the STOXX Global Grand Prix Index, the weighting factor for the original stock will be adjusted so that the weight of the
original stock in the index does not change.
STOXX Europe Christian Index: spin-off stocks are not added to the STOXX Europe Christian Index.
Changes are announced immediately, implemented two trading days later and become effective on the next trading day
www.stoxx.com 75
SECTION B
STOXX Strategy Indices
www.stoxx.com 76
1 EURO STOXX 50 BUYWRITE
1.1 Overview
The EURO STOXX 50 BuyWrite Index reflects the so-called ‘buy-write’ option strategy. With this strategy – which is also
referred to as ‘covered-call’ – an investor buys the EURO STOXX 50 Index (Price or Total Return index as the case may be) as
an underlying instrument and simultaneously sells a EURO STOXX 50 call option.
The index is based on the EURO STOXX 50 Price Index or on the EURO STOXX 50 Total Return Index and a EURO STOXX 50
call option traded at Eurex.
1.1.1 Basic Data

Two versions of the EURO STOXX 50 BuyWrite Index are available:
1. The EURO STOXX 50 BuyWrite Index combines the EURO STOXX 50 (Total Return) Index and a
EURO STOXX 50 call option.
2. The EURO STOXX 50 BuyWrite (Price Index) combines the EURO STOXX 50 (Price) Index and a
EURO STOXX 50 call option.
The base date of the EURO STOXX 50 BuyWrite Index is 31 December 1999, with a base level of 100.
The index composition is adjusted on a monthly basis. On each third Friday of the month, a new one-month EURO STOXX 50
call option is determined, which will be used to calculate the index until its last trading day, at noon (12:00 CET).
On regular trading days, the EURO STOXX 50 BuyWrite Index is calculated every 60 seconds, between 09:00 and 18:00 CET;
on option expiry dates, i.e. every third Friday in a month, only from 09:00 to 12:00 CET. The calculation is based on Eurex
price data.
1.1.2 Historical Data

Historical index data is available on a daily basis back to the base date 31 December 1999.
www.stoxx.com 77
1.2 Calculation
1.2.1 The EURO STOXX 50 BuyWrite Index Formula
On regular trading days the EURO STOXX 50 BuyWrite Index is calculated as follows:
冤冥
ESTX50(TR)t
∙ ESTX50(P)EXP – Ct
ESTX50(TR)EXP
ESTX50(BW)t = · ESTX50(BW)EXP
ESTX50(P)EXP – Co
The rolling is carried out monthly on every third Friday, i.e. on the expiry day (EXP).
冤冥
ESTX50(TR)EXP
∙ ESTX50(P)EXP–1 – C’EXP
ESTX50(TR)EXP–1
ESTX50(BW)EXP = · ESTX50(BW)EXP–1
ESTX50(P)EXP–1 – C’o
Where:
ESTX50(BW)t = EURO STOXX 50 BuyWrite Index at time t

ESTX50(BW)EXP = Settlement value of EURO STOXX 50 BuyWrite Index at the previous expiry day (EXP)
ESTX50(BW)EXP–1 = Settlement value of EURO STOXX 50 BuyWrite Index at the last expiry day before the previous
expiry date
ESTX50(TR)t = Last price of EURO STOXX 50 (Total Return) Index at time t
ESTX50(TR)EXP = Settlement price of EURO STOXX 50 (Total Return) Index at the previous expiry day (EXP)
ESTX50(TR)EXP–1 = Settlement price of EURO STOXX 50 (Total Return) Index at the last expiry day before the previous
expiry date
ESTX50(P)EXP = Settlement price of EURO STOXX 50 (Price) Index at the previous expiry day (EXP)
ESTX50(P)EXP–1 = Settlement price of EURO STOXX 50 (Price) Index at the last expiry day before the previous expiry date
Ct = Last price of the EURO STOXX 50 call option at time t
Co = Inclusion price of the EURO STOXX 50 call option; i.e. averages of all best bids quoted on Eurex
between 12:15 – 12:45 CET at the last expiry day (EXP)
C’EXP = Settlement price of old EURO STOXX 50 call option at the last expiry day (EXP)
C’o = Inclusion price of the old EURO STOXX 50 call option; i.e. averages of all best bids quoted on Eurex
between 12:15 – 12:45 CET at the last expiry day (EXP-1), before the previous expiry day (EXP)
www.stoxx.com 78
1.2.2 The EURO STOXX 50 BuyWrite Index Formula (Price Index)

On regular trading days the EURO STOXX 50 BuyWrite (Price) Index is calculated as follows:
ESTX50(P)t – Ct
ESTX50(BWPrice)t = · ESTX50(BWPrice)EXP
ESTX50(P)EXP – Co
The rolling is carried out monthly on every third Friday, i.e. on the expiry day (EXP).
ESTX50(P)EXP – C’EXP
ESTX50(BWPrice)EXP = · ESTX50(BWPrice)EXP–1
ESTX50(P)EXP–1 – C’o
Where:
ESTXTX50(BWPrice)t = EURO STOXX 50 BuyWrite (Price) Index at time t

ESTX50(BWPrice)EXP = Settlement value of EURO STOXX 50 BuyWrite (Price) Index at the previous expiry day (EXP)
ESTX50(BWPrice)EXP–1 = Settlement value of EURO STOXX 50 BuyWrite (Price) Index at the last expiry day before the
previous expiry date
ESTX50(P)EXP = Settlement price of EURO STOXX 50 (Price) Index at the previous expiry day (EXP)
ESTX50(P)EXP–1 = Settlement price of EURO STOXX 50 (Price) Index at the last expiry day before the previous
expiry date
Ct = Last price of the EURO STOXX 50 call option at time t
Co = Inclusion price of the EURO STOXX 50 call option; i.e. averages of all best bids quoted on
Eurex between 12:15 – 12:45 CET at the last expiry day (EXP)
C’EXP = Settlement price of old EURO STOXX 50 call option at the last expiry day (EXP)
C’o = Inclusion price of the old EURO STOXX 50 call option; i.e. averages of all best bids quoted on
Eurex between 12:15 – 12:45 CET at the last expiry day (EXP-1), before the previous expiry day (EXP)
www.stoxx.com 79
1.2.3 Computational Accuracy

The EURO STOXX 50 Index (Price and Total Return), the EURO STOXX 50 call option and the EURO STOXX 50 BuyWrite Index
are published as figures rounded to two decimal places.
1.2.4 Rolling
The EURO STOXX 50 BuyWrite Index requires a monthly rollover procedure, whereby the old EURO STOXX 50 call option
ceases trading at noon (12:00 CET) on the pre-determined expiry date, i.e. the third Friday of a month, and is replaced by a
new EURO STOXX 50 call option whose last trading day falls on the next expiry date. The new one-month
EURO STOXX 50 call option must have a remaining lifetime of one month, and must be fi ve percent out-of-the-money
(i.e. the highest strike price below or equal to the EURO STOXX 50 settlement price plus fi ve percent).
1.2.5 Trading Suspension

If there is suspension of the EURO STOXX 50 Index (Price or Total Return) or the EURO STOXX 50 call option which
is included in the EURO STOXX 50 BuyWrite Index, then the index will be calculated using the latest prices which were
available.
If a suspension occurs on an expiry day during the averaging process, i.e. 12:15 – 12:45 CET, only bids made before the
suspension will be considered.
In cases where the averaging procedure does not start at all (i.e. the suspension starts before 12:15 CET) then the averaging
will be delayed until the end of the suspension on the same index business day. The averaging process will start 30 minutes
after the end of the suspension and it will then take 30 minutes.
If the suspension continues until the end of trading then the averaging will be delayed until the next index business day at
12:15 CET.
www.stoxx.com 80
2 EURO STOXX 50 PUTWRITE
2.1 Overview
The EURO STOXX 50 PutWrite Index replicates the performance of a collateralised put option strategy. The index is based
on a quarterly scheme with monthly put option tranches i.e.
The investment notional is invested into the three month Euribor market.
Monthly put options are written in three tranches.
Intra quarter put options are cash settled by borrowing in the one month Euribor market if necessary.
The index is based on the EURO STOXX 50 put option traded at Eurex and Euribor.
2.1.1 Basic Data

One version of the EURO STOXX 50 PutWrite Index is available:
The EURO STOXX 50 PutWrite Index combines the EURO STOXX 50 put option and Euribor.
The base date of the EURO STOXX 50 PutWrite Index is 31 December 1999, with a base level of 100.
The index composition is adjusted on a monthly basis. On each third Friday of the month or option expiry date, a new
one-month EURO STOXX 50 put option is determined, which will be used to calculate the index until its last trading day, at
noon (12:00 CET).
On regular days, the EURO STOXX 50 PutWrite Index is calculated every 60 seconds, between 09:00 and 18:00 CET;
on option expiry dates, i.e every third Friday in a month, only from 09:00 to 12:00 CET. The calculation is based on Eurex
price data.

Historical index data is available on a daily basis back to the base date 31 December 1999.
www.stoxx.com 81
2.2 Calculation
2.2.1 At time t
Write a number
Nt of puts with price pt and strike Kt
Invest It + pt Nt at the three-month EURIBOR rate r3t
The number of puts Nt is given by the condition of total cash collateralisation at t+1:
冉 ∙ r3t
t,t+1
冊
冉冊
It 1+
t,t+1 3 360
冉冊
(It+ptNt) 1+ ∙ rt = N t Kt Nt =
360
Kt–pt 1+ t,t+1 ∙ r t
3
360
Where:
It = EURO STOXX 50 PutWrite Index at time t

t,t+1 = actual number of calendar days of the first option tranche
The strike Kt is chosen 5% out-of-the-money, i.e. it represents the lowest strike of available EUREX put options
which is above 95% of the EURO STOXX 50 settlement price.
2.2.2 At time t+1

Write a number Nt+1 of puts with price pt+1 and strike Kt+1
Borrow / lend the cash balance
Ct+1 = (Nt+1pt+1 –Ntpst )
(can be positive or negative) from settling the Nt put options at price pst (which is zero if the option matures out-of-the-
money) of the previous tranche and writing the new tranche at the one-month Euribor market at rate r t+11.
The number of put options Nt+1 is given by the condition of total cash collateralisation at t+2:
冉
Ct+1 1+
t+1,t+2
360 冊
∙ r t1+1 + (It+ptNt) 1+ 冉 t,t+2
360
∙ r3t 冊
= (Nt+1pt+1–Ntpst ) ∙ 1+ 冉 t+1,t+2
360 冊
∙ r t1+1 + (It+ptNt) ∙ 1+ 冉 t,t+2
360
冊
∙ r3t = Nt+1Kt+1
–Ntpst 1+ 冉 t+1,t+2
360 冊
∙ r t1+1 + (It+ptNt) ∙ 1+ 冉 t,t+2
360
∙ r3t冊
冉冊
Nt+1 =
t+1,t+2
Kt+1–pt+1 1+ ∙ r t1+1
360
Where:
t+1, t+2 = actual number of calendar days of the second option tranche
t, t+2 = actual number of calendar days of the first and second option tranche
The strike Kt+1 is chosen 5% out-of-the-money, i.e. it represents the lowest strike of available EUREX put options
At t+1 the index level reads:
冉
It+1 = (It+ptNt) 1+
t,t+1
360
∙ r3t 冊 – Ntpst
www.stoxx.com 82
2.2.3 At time t+2

Write a number Nt+2 of puts with price pt+2 and strike Kt+2
Borrow / lend the cash balance
Ct+2 = (Nt+2pt+2 –Nt+1pst +1) + Ct+1 1+ 冉 t+1,t+2

360
冊
∙ r 1t +1
(can be positive or negative) from settling the Nt+1 put options at price pt+1s (which is zero if the option matures out-of-the-
money) of the previous tranche and writing the new tranche at the one-month EURIBOR market at rate r t+21.
The number of option Nt+2 is given by the condition of total cash collateralisation at t+3:
冉
Ct+2 1+
t+2,t+3
360 冊
∙ r t1+2 + (lt+ptNt) 1+ 冉 t,t+3
360
冊
∙ r3t = Nt+2Kt+2
冉 (Nt+2pt+2–Nt+1pst +1) + Ct+1 1+ 冉 t+1,t+2

360
∙ r t1+1冊冊冉 1+
t+2,t+3
360
冊冉
∙ r 1t +2 + (It+ptNt) ∙ 1+
t,t+3
360
冊
∙ r3t = Nt+2Kt+2
冉–Nt+1pst +1+Ct+1 1+ 冉 t+1,t+2

360 冊冊冉
∙ r t1+1 ∙ 1+
t+2,t+3
360
冊冉
∙ r1t+2 + (It+ptNt) ∙ 1+
t,t+3
360
冊
∙ r3t
冉冊
Nt+2 =
t+2,t+3
Kt+2–pt+2 1+ ∙ r t1+2
360
Where:
t+2, t+3 = actual number of calendar days of the second option tranche
t, t+3 = actual number of calendar days of the first, second and third option tranche
The strike Kt+2 is chosen 5% out-of-the-money, i.e. it represents the lowest strike of available EUREX put options
At t+2 the index level reads:
冉
It+2 = (It+ptNt) · 1+
t,t+2
360
冊冉
∙ r 3t + Ct+1 1+
t+1,t+2
360
冊
∙ r 1t +1 – Nt+1pst +1
2.2.4 At time t+3

The new index level reads (with pt+2s denoting the settlement price of the third option tranche Nt+2):
冉
It+3 = (It+ptNt) · 1+
t,t+3
360
冊冉
∙ r 3t + Ct+2 1+
t+2,t+3
360
冊
∙ r 1t +2 – Nt+2pst +2
Afterwards, the scheme is applied iteratively.
www.stoxx.com 83

The EURO STOXX 50 settlement price, the EURO STOXX 50 put option and the EURO STOXX 50 PutWrite Index is published
as figures rounded to two decimal places.
2.2.6 Rolling
The EURO STOXX 50 PutWrite Index requires a monthly rollover procedure, whereby the old EURO STOXX 50 put option
ceases trading at noon (12:00 CET) on the pre-determined expiry date, i.e. the third Friday of a month, and is replaced by a
new EURO STOXX 50 put option whose last trading falls on the next expiry date. The new one-month EURO STOXX 50 put
option must have a remaining lifetime of one month, and must be fi ve percent out-of-the-money (i.e. the lowest strike price
above or equal to the EURO STOXX 50 settlement price minus fi ve percent)
2.2.7 Trading Suspension / Non-trading days

If there is a suspension of the EURO STOXX 50 put option which is included in the EURO STOXX 50 PutWrite Index, the index
will be calculated using the latest prices which were available.
If a suspension occurs on an expiry day during the averaging process, i.e. 12:15 – 12:45 CET. only bids made before the
suspension will be considered.
In cases where the averaging procedure does not start at all (i.e. the suspension starts before 12:15 CET) then the averaging
will be delayed until the end of the suspension on the same index business day. The averaging process will start 30 minutes
after the end of the suspension and it will then take 30 minutes.
If the suspension continues until the end of the trading then the averaging will be delayed until the next index business day
at 12:15 CET.
Interest is accrued on all calculation dates of the EURO STOXX 50 PutWrite Index.
www.stoxx.com 84
3 STOXX LEVERAGE AND SHORT
3.1 Overview
3.1.1 Coverage
Indices Daily Leverage Monthly Leverage Daily Short Daily Double Short Monthly Double Short
EURO STOXX 50 1 1 1 1 1
STOXX Europe 600 Supersectors – – 19 19 –
STOXX Europe 600 – – 1 1 –
3.2 Definitions
3.2.1 Base Dates & Base Values

The base dates and base values for the STOXX indices are:
Indices Region Base Dates Base Value

Daily & Monthly Leverage indices
EURO STOXX 50 Eurozone 31 December 1991 1,000
Daily Short indices

STOXX Europe 600 Europe 31 December 1991 10,000
STOXX Europe 600 Supersector Europe 31 December 1991 10,000
Daily & Monthly Double Short indices

STOXX Europe 600 Europe 31 December 1991 10,000
STOXX Europe 600 Supersector Europe 31 December 1991 10,000
3.2.1.1 STOXX Leverage Indices

The Daily index (Monthly index) replicates the performance of an investor attaining the daily (monthly) performance of the
index.
The financing term is taken into account in the index calculation of the Leverage indices.
3.2.1.2 STOXX Short Indices

The Daily index (Monthly index) replicates the performance of an investor attaining the negative daily (monthly) performance
of the index, or, in other words, short selling the index with a daily (monthly) rebalance.
The cost of dividends, cost of borrowing and the benefit of earning interest are taken into account in the index calculation
of the Short indices.
www.stoxx.com 85
3.3 Calculation
3.3.1 The STOXX Index Formula

Leveraged and Short indices are calculated as follows:
冤冢冣冥
SP t d
Index t = IndexT ∙ 1 + L ∙ ∙ – 1 + 冸(1 – L) ∙ IRT + L ∙ cM 冹 ∙
SP T 360
LEVERAGE TERM FINANCE/INTEREST TERM

Where:
L = Leverage factor
SP t = STOXX underlying index (Gross Return index for Short indices/Price index for Leverage indices)
IR = Interest rate: EONIA or EURIBOR (1M)*
cM = Cost of borrowing (short indices)
t = Time of calculation
T = Time of last rebalancing (last trading day resp. third Friday)
d = Number of calendar days between t and T
The leverage term describes the effect of index movements on Leveraged and Short indices. The “finance term” indicates
the costs caused by raising capital and reinvesting into the index portfolio. The “interest term” represents the additional
interest generated by selling the index portfolio and the risk-free investment of the proceeds.
*Euro Overnight Index Average (EONIA) is the effective reference rate computed daily as a weighted average of all overnight unsecured lending transactions
undertaken in the interbank market by the European Central Bank since 1 January 1999. Up to this date the daily interest provided by Deutsche Bundesbank
has been used for calculation. The Euro Interbank Offered Rate (EURIBOR) is a daily reference rate based on the averaged interest rates at which banks offer
to lend unsecured funds to other banks in the euro wholesale money market (or interbank market). Prior to its introduction on 1 January 1999 Frankfurt
Interbank Offered Rate (FIBOR) has been used.
3.3.2 Cost of Borrowing

The STOXX Short indices are designed to ensure a high degree of tradability and replicability.
Calculation:
n
CM =
兺 w (M) ∙ c (M)
i=1
i i
Where:
M = Month on which the cost of borrowing is calculated
CM = Cost of borrowing the index at time M
ci(M) = Cost of borrowing of company (i) at time M
wi(M) = Indicative weight of the share i in the index, i.e. the free float market capitalisation of a component in a
particular index divided by the sum of free float market capitalisation of all the components in the index
The cost of borrowing will be included on a monthly basis.
Data Source:
The data is provided to STOXX by Data Explorers, the aggregator of stock lending information.
www.stoxx.com 86

The STOXX Short and the Leverage indices are published as figures rounded to two decimal places.
All relevant parameters for calculation of the Price and Gross Return indices are as described above.
3.3.4 Adjustments due to Extreme Market Movements
3.3.4.1 Exceptional Handler for the STOXX Indices

The individual exceptional handler is used at the following percentages
Indices Exceptional Handler

Daily Leverage index 25 percent of the Leverage index
Monthly Leverage index 40 percent of the underlying STOXX index
Daily Short index 25 percent of the Short index
Daily Double Short index 25 percent of the Short index
Monthly Double Short index 40 percent of the underlying STOXX index
Examples:
1. Daily Leverage: if the Leverage index drops by 25 percent at the time of calculation t compared to the closing price on the
last trading day T, the leverage will be adjusted intraday. During the adjustment, the latest prices received before time t are
considered. No additional refinancing costs (‘financing term’) are calculated.
The adjustment will be carried out by simulating a new day, by setting:
t =T (i.e. SP T = SP t and IndexT = Index t)

d =0
2. Monthly Short: if the STOXX Gross Return index (closing value) rises or falls by more than 40 percent in the course of the
month, the Monthly Short indices will be subject to an extraordinary adjustment. The leverage factor will be adjusted
based on the STOXX closing value.
With this adjustment the risk of a total loss is substantially limited.
3.3.5 Trading Suspension

The STOXX Leverage and the Short indices are calculated on the same days and during the same time as the underlying
STOXX indices are calculated.
If there is suspension of the STOXX Price or Gross Return index, the STOXX Leverage or Short indices will be calculated with
the latest prices available.
www.stoxx.com 87
4 EURO STOXX 50 VOLATILITY (VSTOXX)
4.1 Overview
4.1.1 Concept
Volatility is a measure of the level of uncertainty prevailing in certain markets. In principle, there are two different
approaches to estimating volatility. Historical volatility involves measuring the standard deviation of historical closing
prices for any particular security over a given period of time. Implied volatility is derived from option prices; this kind
of volatility represents the estimates and assumptions of market participants involved in a trade, on the basis of a given
option price.
The EURO STOXX 50 Volatility Index (VSTOXX) does not measure implied volatilities of at-the-money EURO STOXX 50
options but the implied variance across all options of a given time to expiry 1. This model has been jointly developed by
Goldman Sachs and Deutsche Börse. It offers great advantages in terms of trading, hedging and introducing derivative
products on this index. The main index VSTOXX is designed as a rolling index at a fi xed 30 days to expiry through linear
interpolation of the two nearest of the eight available subindices. The VSTOXX and its eight subindices are updated every
five seconds.
4.1.1.1 Underlying Index and Index Options

The EURO STOXX 50 measures the performance of the Eurozone equity market. It covers the 50 largest supersector leaders in
the Eurozone based on free float market capitalisation. The index is calculated every 15 seconds and provides a
comprehensive and up-to-date image of the Eurozone stock market.
The options contract on this index is one of the products of Eurex with the highest trading volume2. The VSTOXX is calculated
on the basis of eight expiry months with a maximum time to expiry of two years.
4.1.1.2 Subindices
Apart from the main index VSTOXX (which is irrespective of a specific time to expiry), subindices for each time to expiry of
the EURO STOXX 50 options, ranging from one month to two years, are calculated and distributed. For options with longer
time to expire, no such subindices are currently available.
The various VSTOXX subindices are calculated on the basis of all options available. The calculations are based on the best
bid and best ask available for these options in the Eurex system.
4.1.1.3 VSTOXX
The VSTOXX is calculated by way of linear interpolation using the two subindices which include the remaining time to expiry
of 30 days for VSTOXX. The VSTOXX is therefore independent of a specific time to expiry, i.e. it does not expire. This helps
to eliminate effects that typically result in strong volatility fluctuations close to expiry.
1 STOXX®, EURO STOXX 50® and VSTOXX® are registered trademarks of STOXX Ltd.
2 Eurex® and REX® are registered trademarks of Deutsche Börse AG
www.stoxx.com 88
4.1.2 Input Data

During the calculation hours for the VSTOXX and the respective eight subindices (08:50 to 17:30 CET), the following data is
used via snapshots every five seconds:
EURO STOXX 50 - EURO STOXX 50 Index

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

EONIA 1 day EU1D EU0009659945
EURIBOR 1 month 1 month EU1M EU0009659937
EURIBOR 2 months 2 months EU2M EU0009652841
EURIBOR 10 months 10 months EU10 EU0009652908
REX 2-year (Price index) 2 years REX2 DE0008469149
4.1.3 Dissemination
The VSTOXX and its eight subindices are calculated on every Eurex exchange trading day, from 08:50 to 17:30 CET.
The realtime calculation of a subindex is triggered as soon as all required input data for this subindex is available.
The dissemination of the VSTOXX commences as soon as the two subindices, which include the 30-day time to expiry,
become available and thus allow for an interpolation.
In line with the expiration structure of EURO STOXX 50 options, each of the eight subindices is assigned to a specific
expiry, which can be directly identified from the respective code. There is a system of 120 codes and ISINs, only eight of
each of which are in simultaneous use at any time.
www.stoxx.com 89
Index Code ISIN Daily closing price since

VSTOXX V2TX DE000A0C3QF1 4 January 1999
VSTOXX 1M V6I1 DE000A0G87B2 4 January 1999
VSTOXX 2M V6I2 DE000A0G87C0 4 January 1999
VSTOXX 3M V6I3 DE000A0G87D8 4 January 1999
VSTOXX 6M V6I4 DE000A0G87E6 4 January 1999
VSTOXX 9M V6I5 DE000A0G87F3 4 January 1999
VSTOXX 12M V6I6 DE000A0G87G1 4 January 1999
VSTOXX 18M V6I7 DE000A0G87H9 4 January 1999
VSTOXX 24M V6I8 DE000A0G87J5 4 January 1999
The VSTOXX and its eight subindices have been calculated on a realtime basis starting April 2005. Historical time series for
the main index and the subindices, based on daily settlement prices, date back to 4 January 1999.
www.stoxx.com 90
4.2 Data and Calculation
4.2.1 Index Calculation

The model for VSTOXX aims at making pure volatility tradable – i.e. the index should be trackable by a portfolio which does
not react to price fluctuations, but only to changes in volatility. This is not directly achieved through volatility, but rather
through variance or squared volatility. A portfolio of EURO STOXX 50 options with different exercise prices with a given
weighting, as described below, meets this requirement. So the implied volatilities of all options of a given time to expiry
are considered.
The subindices are calculated according to the formula shown below:
(1) VSTOXXi = 100 ∙ i2
2
冢冣
2 Ki,j 1 Fi
(2) i2 =
Ti 兺j K i,j
2
∙ Ri ∙ M(Ki,j ) –
Ti Ki,o
–1 , i = 1,2,…8
and:
T i = Time to expiry of the ith OESX
F i = Forward price derived from the prices of the ith OESX, for which the absolute difference between call and put prices
(C and P) is smallest. Therefore:
(3) F = K
i min | C–P | + Ri ∙ (C – P)
(Note: if a clear minimum does not exist, the average value of the relevant forward prices will be used instead.)
Ki,j = Exercise price of the jth out-of-the-money option of the ith OESX expiry month in ascending order
Ki,j = Interval between the relevant exercise prices or half the interval between the one higher and one lower exercise
price. On the boundaries, the simple interval between the highest and second highest exercise price (or lowest
and second lowest exercise price) is used:
Ki,j+1 – Ki,j–1
(4) Ki,j =
2
Ki,0 = Highest exercise price below forward price F i

Ri = Refinancing factor of the ith OESX
(5) Ri = er i ∙Ti
ri = Risk-free interest rate to expiry of the ith OESX

M(Ki,j ) = Price of the option Ki,j, whereby Ki,j ⬆ Ki,0
M(Ki,0) = Average of the put and call prices at exercise price K i,0
The subindices are calculated up until two days prior to expiry. Each new subindex is disseminated for the first time on
the second trading day of the relevant EURO STOXX 50 options.
www.stoxx.com 91
4.2.2 Input Data

During the calculation hours from 08:50 to 17:30 CET, the respective best bid and best ask of all EURO STOXX 50 options
contracts listed on Eurex are extracted and a snapshot is taken at fi ve second intervals.
The various interest rates mentioned under 3.1.2 are recorded simultaneously.
4.2.3 Price Screens

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

0 – 13.3 1.4
13.4 – 133.3 10%
>133.3 13.4
Example: Bid = 45.32 and Ask = 54.30: therefore the spread is 8.98.
The maximum spread for a bid price of 45.32 is: 45.32 · 0.10 = 4.532.
Therefore both prices (bid and ask) are rejected.
If Eurex activates Fast Market status, permitting market-makers to increase their quotation spreads under very turbulent
trading conditions, maximum spreads are set higher accordingly. This is also taken into account for the calculation of the
VSTOXX, with the applicable filter criteria being adjusted accordingly.
www.stoxx.com 92
4.2.4 Preparing Data

a) Determining the prices, which are used for the calculation.
The mid price is calculated for all eligible option prices, using the respective best bid and best ask.
The most recent of each of the following pieces of information is used subsequently:
Settlement price (previous day).
Mid price.
Last traded price.
Example:
Underlying Settlement Bid (time) Ask (time) Mid (time) Last-traded (time) Price
4050 76.70 – – – 76.70
4100 53.71 – – – 54.01 (09:05) 54.01
4150 37.51 33.70 (09:04) 34.40 (09:05) 34.05 (09:05) 34.05
4200 22.54 17.29 (09:04) 19.53 (09:05) 18.41 (09:05) 20.21 (09:01) 18.41
b) ‘Cutting the wings’ – exclusion of options prices.

This filter ensures that the various prices used (settlement, mid and last traded price) do not fall short of a minimum
value of 0.5 index points. If there are two or more options with different exercise prices with a mid price of 0.5, then only
the one nearest to the at-the-money point is used for the calculation. Options that are too far out-of-the-money and
therefore do not have much influence on the result of the calculation, are filtered out and not used for the calculation.
c) Determining the time to expiry T i

Ti = TSettlement-Calculation/T Year
TSettlement-Calculation = Seconds between index calculation and settlement
T Year = Seconds per annum
Example: Index calculation: 25.11.2004 at 11:00 CET

Expiry (i = 1): 17.12.2004 at 13:00 CET
T1 = 1.908.000 / (365 · 60 · 60 · 24) = 0.0605022831
d) Determining risk-free interest rates.

Linear interpolation is used to determine the interest rates, which match the time to expiry of the OESX.
T k+1 – T i Ti – Tk
ri = r(T i ) = r(T k) + r(T k+1); T k T i T k+1
T k+1 – T k T k+1 – T k
e) The refinancing factor Ri is determined according to equation.
www.stoxx.com 93
4.2.5 Calculation Example

Determining the Forward Price F i and the Exercise Price K i,0
The forward price of the ith expiry month is derived from OESX prices, for which the difference (in absolute terms) between
call and put prices is smallest. Accordingly, the forward price F 1 of the 1st expiry month and the exercise price K i,0, which is
the closest exercise price below the forward price F i, are subject to the following:
Fi = Ki,o + Ri ∙ (Calli – Puti )
Example:
R1 = 1.001298
K1,0 = 4150
F1 = 4151.401817
If there are several pairs of calls and puts with identical differences, a forward price will be calculated for each of the
corresponding exercise prices. Ki,0 is accordingly defined as the closest exercise price below the simple average of these
forward prices.
Determining the Option Price M(K i,j)

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

Put + Call
M(Ki,j ) = : Ki,j Ki,o
2
Call : Ki,j Ki,o
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4.2.5 Calculation Example (cont.)

Calculation of the Subindices
VSTOXXi = 100 ∙ i2
2
冢冣
2 Ki,j 1 Fi
i2 =
Ti 兺
j
Ki,j2
∙ Ri ∙ M(Ki,j ) –
Ti Ki,o
–1
Ki,j
R M(Ki,j)
Exercise price Ki,j Ki,j Call Put Call-Put M(KI.J) Ki,j2 i
2350 50 472.00 0.60 471.40 0.60 0.0000054370
2400 50 422.30 1.00 421.30 1.00 0.0000086880
2450 50 372.80 1.50 371.30 1.50 0.0000125055
2500 50 322.40 2.30 320.10 2.30 0.0000184157
2550 50 273.50 3.30 270.20 3.30 0.0000253966
2600 50 225.15 4.60 220.55 4.60 0.0000340528
2650 50 177.85 6.70 171.15 6.70 0.0000477446
2700 50 132.40 12.00 120.40 12.00 0.0000823749
2750 50 90.90 21.00 69.90 21.00 0.0001389617
2800 50 57.90 35.40 22.50 46.65 0.0002977672
2850 50 29.50 58.25 28.75 29.50 0.0001817497
2900 50 13.10 92.00 78.90 13.10 0.0000779501
2950 50 5.00 134.10 129.10 5.00 0.0000287520
3000 50 1.50 180.90 179.40 1.50 0.0000083405
3050 50 0.70 229.55 228.85 0.70 0.0000037656
3100 50 0.60 230.00 229.40 0.60 0.0000031244
0.0009750263
i2 = 0.047701564 – 0.001582260 = 0.046119304

VSTOXX1 = 100 ∙ 0.046119304 = 21.4754055
www.stoxx.com 95
4.2.6 Calculation of VSTOXX

Apart from the eight subindices for the various option series, the VSTOXX is defined as the main index with a constant
remaining time to expiry of 30 days (this index is therefore not linked to a specific time to expiry). The VSTOXX is determined
by linear interpolation of the subindices which are nearest to the remaining time to expiry of 30 days. If there are no such
surrounding subindices, the VSTOXX is calculated using extrapolation. In this case, the two nearest available indices are
used, which are as close to the time to expiry of 30 calendar days as possible.
NT – NT NT – NT N365
i+1 i
VSTOXX = 100 ∙ T i ∙ i2 ∙ + T i+1 ∙ i+1
2
∙ ∙
NT – NT NT – NT NT
i+1 i i+1 i
NT – NT NT – NT N365
i+1 i
= T i ∙ VSTOXX2i ∙ + T i+1 ∙ VSTOXX2i+1 ∙ ∙
NT – NT NT – NT NT
i+1 i i+1 i
Where:
NT = Time to expiry of the ith OESX
i
NT = Time to expiry of the i + 1th OESX
i+1
NT = Time for next days
N365 = Time for a standard year
www.stoxx.com 96
5 EURO STOXX 50 DVP FUTURES
5.1 Overview
5.1.1 Concept
Dividends offer new opportunities to investors, either asset managers or retail, as dividends:
Are considered on a long dated horizon as one of the main source of performance of a portfolio.
Are considered as a good hedge against inflation.
Offer on a long dated horizon some diversification versus a pure equity exposure.
Offer an attractive upside due to a structural imbalance in flows: the longer-end of the curve tends to be under the net
selling pressure coming from the issuance of structured products.
Tend to exhibit a lower volatility than equities.
With the EURO STOXX 50 DVP Futures Index, STOXX Ltd. provides investors with a synthetic exposure to the Gross Return
(including income from interest) of the EURO STOXX 50 DVP futures listed for trading on Eurex.
The EURO STOXX 50 DVP Futures Index is calculated and disseminated by STOXX Ltd.
5.1.2 Input Data

During the calculation hours of the EURO STOXX 50 DVP Futures Index, the following data is used via snapshots every 15
seconds:
Eurex futures prices (first five year contracts) on the EURO STOXX 50 DVP
EONIA - Overnight interest rate - money market investment

Historical data are available on a daily basis back to 26 June 2008.
5.1.4 Identifiers
Name ISIN Symbol

EURO STOXX 50 DVP Futures Index CH0109185402 SX5EDFT
www.stoxx.com 97
5.2 Calculation
5.2.1 Main characteristics
The EURO STOXX 50 DVP Futures Index is designed to benefit from the characteristics of the dividends cycle and the
dividends market.
From the December expiry of year (n–1) to the December expiry of year n, the index notional would be invested in equal
numbers of EURO STOXX 50 DVP futures corresponding to the years n, n+1, n+2, n+3, n+4, (Fn, Fn+1 , Fn+2, Fn+3 , Fn+4).
The cash position is invested at EONIA.
In December of year n, when the future Fn expires, the index notional would be invested in the contract Fn+5 , such that
the adjusted numbers of contracts of Fn+1 , Fn+2, Fn+3 , Fn+4 , Fn+5 would be the same. For instance, in December 2010, all
2010 would have been paid, and the index will get a new exposure to 2015 dividends.

From the December expiry of year (n-1) to the December expiry of year n:
冤冥
Fn(t)–Fn(t–1)+Fn+1(t)–Fn+1(t–1)+Fn+2(t)–Fn+2(t–1)+
Index t = Index t–1 [1+EONIA (t–1)/360 ∤ d] + Nt
Fn+3(t)–Fn+3(t–1)+Fn+4(t)–Fn+4(t–1)
Where:
t = Time of calculation
d = Number of calendar days between t and t–1
n = Maturity tranche
F = Trade price of the futures contracts
EONIA = Overnight interest rate*
Nt = Index t–1/[Fn(t–1)+Fn+1(t–1)+Fn+2(t–1)+Fn+3(t–1)+Fn+4(t–1)] is the numbers of contracts
* Euro Overnight Index Average (EONIA) is the effective reference rate computed daily as a weighted average of all overnight unsecured lending transactions
undertaken in the interbank market by the European Central Bank.
www.stoxx.com 98
5.2.3 Rolling Period

On December expiry of year n, the number of contracts has to be adjusted of a rolling factor RF N–N+1 so that the index
notional is invested in a new number of contracts in the next fi ve EURO STOXX 50 DVP futures after the roll. The rolling
factor RF N–N+1 is calculated as follow:
Fn(t)+Fn+1(t)+Fn+2(t)+Fn+3(t)+Fn+4(t)
RF N–N+1 =
Fn+1(t)+Fn+2(t)+Fn+3(t)+Fn+4(t)+Fn+5(t)
Consequently, on the roll date on December, the switch of contract does not impact the value of the index:
Index t = EONIA + Nt ∙ [Fn(t)+Fn+1(t)+Fn+2(t)+Fn+3 (t)+Fn+4(t)] with EONIA = Index t–1 ∤ EONIA(t–1) / 360 ∤ d
= EONIA + RF N–N+1 ∙ Nt ∙ [Fn+1(t)+Fn+2(t)+Fn+3 (t)+Fn+4(t)+Fn+5(t)]
On the following day, the index is computed normally, invested on year n+1 to n+5: we have entered a new period until the
next expiry.
For instance, let’s consider that the final close of the index on December expiry of year n is 500, EONIA is null and that
each of the DVP futures corresponding to the years n, n+1, n+2, n+3, n+4 is equal to 100:
Fn(t) = Fn+1(t) = Fn+2(t) = Fn+3 (t) = Fn+4(t) = 100 i.e. this means Nt = 1
On this particular date, the index switches its indexation from the DVP futures corresponding to the year n to the one of
year n+5. If we assume that Fn+5(t) = 50, we then have a rolling factor equal to
500
RF N–N+1 =
450

EURO STOXX 50 DVP Futures Index is published as figures rounded to two decimal places.
5.2.5 Dissemination
The EURO STOXX 50 DVP Futures Index is calculated in realtime (15 seconds) and disseminated on every Eurex exchange
trading day, from 09:00 to 17:50 CET. In line with the expiration structure of the EURO STOXX 50 DVP futures, each of the
five future contracts is assigned to a specific expiry. There is a system of ten futures contracts exist at any given time, only
five of each of which are in simultaneous use at any time.
www.stoxx.com 99
5.3 Dissemination and Policies

5.3.1 Dissemination
The EURO STOXX 50 DVP Futures Index is calculated in realtime (15 seconds) and disseminated on every Eurex exchange
trading day, from 09:00 to 17:50 CET.
In line with the expiration structure of the EURO STOXX 50 DVP Futures, each of the fi ve future contracts is assigned to a
specific expiry. Ten maturities are available for dividend futures. The index only considers the fi ve nearest maturities
simultaneously.
5.3.2 Delisting of Eurex DVP Futures

If one or more Eurex DVP futures included in the index is no longer listed, STOXX Ltd. in consultation with the STOXX
Supervisory Board may decide on the appropriate measures and notify at that time.
5.3.3 Consequences of an Index Disruption Event

If an index disruption event in relation to the Eurex futures contract exists on index dissemination days, then STOXX Ltd.
will calculate the value of the index based on the most recent prior futures prices published by the Eurex.
If an exchange fails to open due to unforeseen circumstances, STOXX Ltd. may determine not to publish the index for that day.
In situations where an exchange introduces a holiday during the month of the index calculation, the index will not be
published on such a holiday.
www.stoxx.com 100
6 EURO STOXX 50 VOLATILITY SHORT-TERM FUTURES
6.1 Overview
6.1.1 Concept
The EURO STOXX 50 Volatility Short-Term Futures Index (the “VSTOXX Short-Term Futures Index”) measures the return
from a rolling long position in the first and second month Eurex VSTOXX futures contracts. The index rolls from the front
month Eurex VSTOXX futures contract into the second month Eurex VSTOXX Futures contract on a daily basis.
VSTOXX Short-Term Futures Index intends to provide a return of a long position in constant-maturity one-month forward
one-month implied volatilities on the underlying EURO STOXX 50 Index
The excess and Total Return versions of VSTOXX Short-Term Futures Index are calculated and disseminated by STOXX Ltd.
6.1.2 Input Data

During the calculation hours of VSTOXX Short-Term Futures Index, the following data is used via snapshots every 15
seconds:
Mid prices of the first and second Eurex VSTOXX futures contracts, where VSTOXX is the EURO STOXX 50 Volatility Index
EONIA – Euro Overnight Index Average rate.

Historical data is available on a daily basis dating back to 18 October 2005 and starting with the base value of 100,000.
6.1.4 Identifiers
Name Type ISIN Symbol

EURO STOXX 50 Volatility Short-Term Futures Index Excess Return CH0110459747 VST1ME
EURO STOXX 50 Volatility Short-Term Futures Index Total Return CH0109515863 VST1MT
www.stoxx.com 101
6.2 Calculation
6.2.1 Main Characteristics
VSTOXX Short-Term Futures Index is comprised of the following:
VSTOXX Short-Term Futures Excess Return Index (the “VSTOXX Short-Term Futures Index ER”):
VSTOXX Short-Term Futures Index ER returns are calculated from a long Eurex VSTOXX futures position that is rolled
continuously throughout the period between the first and second month Eurex VSTOXX Futures contracts.
VSTOXX Short-Term Futures Total Return Index (the “VSTOXX Short-Term Futures Index TR”):
VSTOXX Short-Term Futures Index TR returns are calculated from a long Eurex VSTOXX futures position that is rolled
continuously throughout the period between the first and second month Eurex VSTOXX futures contracts. VSTOXX Short-
Term Futures Index TR also incorporates interest accrual on the notional value and reinvestment into the index.

6.2.2.1 Excess Return Calculation
兺W
i=1
i,t–1 ∙ F i,t
IndexER t = IndexER t–1 2
兺W
i–1
i,t–1 ∙ F i,t–1
Where:
IndexER t = VSTOXX Short-Term Futures Excess Return Index value on index business day t
t = Index business day on which the index is computed
W i,t = Weight of the ith futures contract on index business day t
F i,t = Mid price of ith futures contract on index business day t
Index Business Day = A Eurex VSTOXX futures business day
6.2.2.2 Total Return Calculation
兺W
i=1
i,t–1 ∙ F i,t
d ∙ EONIAt–1
IndexTR t = IndexTR t–1 2 +
兺W
360
i,t–1 ∙ F i,t–1
i–1
Where:
IndexTR t = VSTOXX Short-Term Futures Total Return Index value on index business day t
d = number of calendar days between index business day t and preceding index business day t-1
EONIAt-1 = Euro Overnight Index Average (EONIA) is the effective reference rate (expressed as a percentage)
computed daily as a weighted average of all overnight unsecured lending transactions under
taken in the interbank market by the European Central Bank on preceding index business day t-1
www.stoxx.com 102
6.2.2.3 Roll Period

VSTOXX Short-Term Futures Index rolls futures positions on a daily basis. The roll period starts from and includes the
monthly EUREX VSTOXX futures settlement date and runs through to but excludes the subsequent monthly Eurex VSTOXX
Futures settlement date.
Rolling between the first month future (F1) to second month future (F2) takes place over n index business days in the roll
period. The weights allocated to each F1 and F2 on any given index business day t are determined as follows:
pt
W1,t = 100 ∙
n
n–pt
W2,t = 100 ∙
n
Where:
Roll Period = The period from and including the most recent Eurex VSTOXX futures settlement date up to but
excluding the subsequent Eurex VSTOXX futures settlement date
n = The total number of index business days in the current roll period
pt = The number of index business days remaining in the current roll period, starting with the following
index business date up to and including the last index business day in the current roll period. For
the avoidance of doubt, on the last index business date of the period, pt = 0
At the close of the last index business day of any roll period (the index business day immediately preceding a Eurex VSTOXX
futures settlement date) all of the weight is allocated to the second month Eurex VSTOXX futures contract. On Eurex VSTOXX
futures settlement date, the second month contract position becomes the first month contract at settlement. On Eurex
VSTOXX futures settlement date and on each subsequent index business day of the new roll period, a fraction of the first
month contract is sold and an equal notional amount of the second month Eurex VSTOXX futures contract is bought. In this
way the allocation to the first month contract is progressively rolled into the following month contract over the roll period.

VSTOXX Short-Term Futures Index is published as figures rounded to two decimal places.
www.stoxx.com 103
6.3 Dissemination and Policies

6.3.1 Dissemination
VSTOXX Short-Term Futures Index is calculated in realtime (15 seconds) and disseminated on every Eurex exchange trading
day, from 09:00 to 17:35 CET.
6.3.2 Delisting of Eurex VSTOXX Futures

If one or more Eurex VSTOXX futures included in the index is no longer listed, STOXX Ltd. in consultation with the STOXX
Supervisory Board may decide on the appropriate measures and notify at that time.
6.3.3 Consequences of an Index Disruption Event

If an index disruption event in relation to the Eurex futures contract exists on index dissemination days, then:
STOXX Ltd. will calculate the value of the index based on the most recent prior mid futures prices published by Eurex and
the roll for that day will be carried to the next index business day as described in the roll period section.
If an exchange fails to open due to unforeseen circumstances, STOXX Ltd. may determine not to publish the index for that day.
In situations where an exchange introduces a holiday during the month of the index calculation, the index will not be
published on such a holiday and the roll for that day will be carried to the next index business day as described in the roll
period section.
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SECTION C
Industry Classification Benchmark
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1 ICB – INDUSTRY CLASSIFICATION BENCHMARK
1.1 Hierarchy
10 Industries 19 Supersectors 41 Sectors 114 Subsectors

Oil & Gas [0001] Oil & Gas [0500] Oil & Gas Producers Exploration & Production [0533]
[0530] Integrated Oil & Gas [0537]
Oil Equipment, Services Oil Equipment & Services [0573]
& Distribution [0570] Pipelines [0577]
Alternative Energy [0580] Renewable Energy Equipment [0583]
Alternative Fuels [0587]
Basic Materials Chemicals [1300] Chemicals [1350] Commodity Chemicals [1353]
[1000] Specialty Chemicals [1357]
Basic Resources Forestry & Paper [1730] Forestry [1733]
[1700] Paper [1737]
Industrial Metals Aluminum [1753]
& Mining [1750] Nonferrous Metals [1755]
Iron & Steel [1757]
Mining [1770] Coal [1771]
Diamonds & Gemstones [1773]
General Mining [1775]
Gold Mining [1777]
Platinum & Precious Metals [1779]
Industrials [2000] Construction & Construction & Building Materials & Fixtures [2353]
Materials [2300] Materials [2350] Heavy Construction [2357]
Industrial Goods & Aerospace & Aerospace [2713]
Services [2700] Defense [2710] Defense [2717]
General Industrials Containers & Packaging [2723]
[2720] Diversified Industrials [2727]
Electronic & Electrical Electrical Components & Equipment
Equipment [2730] [2733]
Electronic Equipment [2737]
Industrial Engineering Commercial Vehicles & Trucks [2753]
[2750] Industrial Machinery [2757]
Industrial Delivery Services [2771]
Transportation [2770] Marine Transportation [2773]
Railroads [2775]
Transportation Services [2777]
Trucking [2779]
Support Services Business Support Services [2791]
[2790] Business Training & Employment
Agencies [2793]
Financial Administration [2795]
Industrial Suppliers [2797]
Waste & Disposal Services [2799]
www.stoxx.com 106

Consumer Goods Automobiles & Parts Automobiles & Parts Automobiles [3353]
[3000] [3300] [3350] Auto Parts [3355]
Tires [3357]
Food & Beverage Beverages [3530] Brewers [3533]
[3500] Distillers & Vintners [3535]
Soft Drinks [3537]
Food Producers [3570] Farming & Fishing [3573]
Food Products [3577]
Personal & House- Household Goods & Durable Household Products [3722]
hold Goods [3700] Home Construction [3720] Nondurable Household Products [3724]
Furnishings [3726]
Home Construction [3728]
Leisure Goods [3740] Consumer Electronics [3743]
Recreational Products [3745]
Toys [3747]
Personal Goods [3760] Clothing & Accessories [3763]
Footwear [3765]
Personal Products [3767]
Tobacco [3780] Tobacco [3785]
Health Care [4000] Health Care [4500] Health Care Equipment Health Care Providers [4533]
& Services [4530] Medical Equipment [4535]
Medical Supplies [4537]
Pharmaceuticals & Biotechnology [4573]
Biotechnology [4570] Pharmaceuticals [4577]
Consumer Services Retail [5300] Food & Drug Retailers Drug Retailers [5333]
[5000] [5330] Food Retailers & Wholesalers [5337]
General Retailers Apparel Retailers [5371]
[5370] Broadline Retailers [5373]
Home Improvement Retailers [5375]
Specialized Consumer Services [5377]
Specialty Retailers [5379]
Media [5500] Media [5550] Broadcasting & Entertainment [5553]
Media Agencies [5555]
Publishing [5557]
Travel & Leisure Travel & Leisure Airlines [5751]
[5700] [5750] Gambling [5752]
Hotels [5753]
Recreational Services [5755]
Restaurants & Bars [5757]
Travel & Tourism [5759]
www.stoxx.com 107

Telecommuni- Telecommunications Fixed Line Telecommu- Fixed Line Telecommunications [6535]
cations [6000] [6500] nications [6530]
Mobile Telecommu- Mobile Telecommunications [6575]
nications [6570]
Utilities [7000] Utilities [7500] Electricity [7530] Conventional Electricity [7535]
Alternative Electricity [7537]
Gas, Water & Gas Distribution [7573]
Multiutilities [7570] Multiutilities [7575]
Water [7577]
Financials [8000] Banks [8300] Banks [8350] Banks [8355]
Insurance [8500] Nonlife Insurance Full Line Insurance [8532]
[8530] Insurance Brokers [8534]
Property & Casualty Insurance [8536]
Reinsurance [8538]
Life Insurance [8570] Life Insurance [8575]
Real Estate [8600] Real Estate Investment & Real Estate Holding & Development [8633]
Services [8630] Real Estate Services [8637]
Real Estate Investment Industrial & Office REITs [8671]
Trusts [8670] Retail REITs [8672]
Residential REITs [8673]
Diversified REITs [8674]
Specialty REITs [8675]
Mortgage REITs [8676]
Hotel & Lodging REITs [8677]
Financial Services Financial Services Asset Managers [8771]
[8700] [8770] Consumer Finance [8773]
Specialty Finance [8775]
Investment Services [8777]
Mortgage Finance [8779]
Equity Investment Equity Investment Instruments
Instruments [8980] [8985]
Nonequity Investment Nonequity Investment
Instruments [8990] Instruments [8995]
Technology [9000] Technology [9500] Software & Computer Computer Services [9533]
Services [9530] Internet [9535]
Software [9537]
Technology Hardware Computer Hardware [9572]
& Equipment [9570] Electronic Office Equipment [9574]
Semiconductors [9576]
Telecommunications Equipment
[9578]
www.stoxx.com 108
1.2 Subsector Definitions
Subsector Definition
0533 Exploration & Production Companies engaged in the exploration for and drilling, production, refining and
supply of oil and gas products.
0537 Integrated Oil & Gas Integrated oil and gas companies engaged in the exploration for and drilling,
production, refining, distribution and retail sales of oil and gas products.
0573 Oil Equipment & Services Suppliers of equipment and services to oil fields and offshore platforms, such as
drilling, exploration, seismic-information services and platform construction.
0577 Pipelines Operators of pipelines carrying oil, gas or other forms of fuel. Excludes pipeline
operators that derive the majority of their revenues from direct sales to end users,
which are classified under Gas Distribution.
0583 Renewable Energy Equipment Companies that develop or manufacture renewable energy equipment utilizing
sources such as solar, wind, tidal, geothermal, hydro and waves.
0587 Alternative Fuels Companies that produce alternative fuels such as ethanol, methanol, hydrogen and
bio-fuels that are mainly used to power vehicles, and companies that are involved
in the production of vehicle fuel cells and/or the development of alternative fuelling
infrastructure.
1353 Commodity Chemicals Producers and distributors of simple chemical products that are primarily used to
formulate more complex chemicals or products, including plastics and rubber in
their raw form, fiberglass and synthetic fibers.
1357 Specialty Chemicals Producers and distributors of finished chemicals for industries or end users,
including dyes, cellular polymers, coatings, special plastics and other chemicals
for specialized applications. Includes makers of colorings, flavors and fragrances,
fertilizers, pesticides, chemicals used to make drugs, paint in its pigment form and
glass in its unfinished form. Excludes producers of paint and glass products used
for construction, which are classified under Building Materials & Fixtures.
1733 Forestry Owners and operators of timber tracts, forest tree nurseries and sawmills. Excludes
providers of finished wood products such as wooden beams, which are classified
under Building Materials & Fixtures.
1737 Paper Producers, converters, merchants and distributors of all grades of paper. Excludes
makers of printed forms, which are classified under Business Support Services,
and manufacturers of paper items such as cups and napkins, which are classified
under Nondurable Household Products.
1753 Aluminum Companies that mine or process bauxite or manufacture and distribute aluminum
bars, rods and other products for use by other industries. Excludes manufacturers
of finished aluminum products, such as siding, which are categorized according to
the type of end product.
1755 Nonferrous Metals Producers and traders of metals and primary metal products other than iron,
aluminum and steel. Excludes companies that make finished products, which are
categorized according to the type of end product.
1757 Iron & Steel Manufacturers and stockholders of primary iron and steel products such as pipes,
wires, sheets and bars, encompassing all processes from smelting in blast furnaces
to rolling mills and foundries. Includes companies that primarily mine iron ores.
1771 Coal Companies engaged in the exploration for or mining of coal.
1773 Diamonds & Gemstones Companies engaged in the exploration for and production of diamonds and other
gemstones.
1775 General Mining Companies engaged in the exploration, extraction or refining of minerals not
defined elsewhere within the Mining sector.
1777 Gold Mining Prospectors for and extractors or refiners of gold-bearing ores.
www.stoxx.com 109
1779 Platinum & Precious Metals Companies engaged in the exploration for and production of platinum, silver and
other precious metals not defined elsewhere.
2353 Building Materials & Fixtures Producers of materials used in the construction and refurbishment of buildings and
structures, including cement and other aggregates, wooden beams and frames,
paint, glass, roofing and flooring materials other than carpets. Includes producers of
bathroom and kitchen fixtures, plumbing supplies and central air-conditioning and
heating equipment. Excludes producers of raw lumber, which are classified under
Forestry.
2357 Heavy Construction Companies engaged in the construction of commercial buildings, infrastructure
such as roads and bridges, residential apartment buildings, and providers of
services to construction companies, such as architects, masons, plumbers and
electrical contractors.
2713 Aerospace Manufacturers, assemblers and distributors of aircraft and aircraft parts primarily
used in commercial or private air transport. Excludes manufacturers of communica-
tions satellites, which are classified under Telecommunications Equipment.
2717 Defense Producers of components and equipment for the defense industry, including
military aircraft, radar equipment and weapons.
2723 Containers & Packaging Makers and distributors of cardboard, bags, boxes, cans, drums, bottles and jars
and glass used for packaging.
2727 Diversified Industrials Industrial companies engaged in three or more classes of business within the
Industrial industry that differ substantially from each other.
2733 Electrical Components & Equipment Makers and distributors of electrical parts for finished products, such as printed
circuit boards for radios, televisions and other consumer electronics. Includes
makers of cables, wires, ceramics, transistors, electric adapters, fuel cells and
security cameras.
2737 Electronic Equipment Manufacturers and distributors of electronic products used in different industries.
Includes makers of lasers, smart cards, bar scanners, fingerprinting equipment and
other electronic factory equipment.
2753 Commercial Vehicles & Trucks Manufacturers and distributors of commercial vehicles and heavy agricultural and
construction machinery, including rail cars, tractors, bulldozers, cranes, buses and
industrial lawn mowers. Includes non-military shipbuilders, such as builders of
cruise ships and ferries.
2757 Industrial Machinery Designers, manufacturers, distributors and installers of industrial machinery and
factory equipment, such as machine tools, lathes, presses and assembly line
equipment. Includes makers of pollution control equipment, castings, pressings,
welded shapes, structural steelwork, compressors, pumps, bearings, elevators and
escalators.
2771 Delivery Services Operators of mail and package delivery services for commercial and consumer use.
Includes courier and logistic services primarily involving air transportation.
2773 Marine Transportation Providers of on-water transportation for commercial markets, such as container
shipping. Excludes ports, which are classified under Transportation Services, and
shipbuilders, which are classified under Commercial Vehicles & Trucks.
2775 Railroads Providers of industrial railway transportation and railway lines. Excludes passenger
railway companies, which are classified under Travel & Tourism, and manufacturers
of rail cars, which are classified under Commercial Vehicles & Trucks.
2777 Transportation Services Companies providing services to the Industrial Transportation sector, including
companies that manage airports, train depots, roads, bridges, tunnels, ports, and
providers of logistic services to shippers of goods. Includes companies that provide
aircraft and vehicle maintenance services.
2779 Trucking Companies that provide commercial trucking services. Excludes road and tunnel
operators, which are classified under Transportation Services, and vehicle rental
and taxi companies, which are classified under Travel & Tourism.
www.stoxx.com 110
2791 Business Support Services Providers of nonfinancial services to a wide range of industrial enterprises and
governments. Includes providers of printing services, management consultants,
office cleaning services, and companies that install, service and monitor alarm and
security systems.
2793 Business Training & Employment Providers of business or management training courses and employment services.
Agencies
2795 Financial Administration Providers of computerized transaction processing, data communication and infor-
mation services, including payroll, bill payment and employee benefit services.
2797 Industrial Suppliers Distributors and wholesalers of diversified products and equipment primarily used
in the commercial and industrial sectors. Includes builders merchants.
2799 Waste & Disposal Services Providers of pollution control and environmental services for the management,
recovery and disposal of solid and hazardous waste materials, such as landfills and
recycling centers. Excludes manufacturers of industrial air and water filtration
equipment, which are classified under Industrial Machinery.
3353 Automobiles Makers of motorcycles and passenger vehicles, including cars, sport utility vehicles
(SUVs) and light trucks. Excludes makers of heavy trucks, which are classified
under Commercial Vehicles & Trucks, and makers of recreational vehicles (RVs and
ATVs), which are classified under Recreational Products.
3355 Auto Parts Manufacturers and distributors of new and replacement parts for motorcycles and
automobiles, such as engines, carburetors and batteries. Excludes producers of
tires, which are classified under Tires.
3357 Tires Manufacturers, distributors and retreaders of automobile, truck and motorcycle tires.
3533 Brewers Manufacturers and shippers of cider or malt products such as beer, ale and stout.
3535 Distillers & Vintners Producers, distillers, vintners, blenders and shippers of wine and spirits such as
whisky, brandy, rum, gin or liqueurs.
3537 Soft Drinks Manufacturers, bottlers and distributors of nonalcoholic beverages, such as soda,
fruit juices, tea, coffee and bottled water.
3573 Farming & Fishing Companies that grow crops or raise livestock, operate fisheries or own nontobacco
plantations. Includes manufacturers of livestock feeds and seeds and other agri-
cultural products but excludes manufacturers of fertilizers or pesticides, which are
classified under Specialty Chemicals.
3577 Food Products Food producers, including meatpacking, snacks, fruits, vegetables, dairy products
and frozen seafood. Includes producers of pet food and manufacturers of dietary
supplements, vitamins and related items. Excludes producers of fruit juices, tea,
coffee, bottled water and other nonalcoholic beverages, which are classified under
Soft Drinks.
3722 Durable Household Products Manufacturers and distributors of domestic appliances, lighting, hand tools and power
tools, hardware, cutlery, tableware, garden equipment, luggage, towels and linens.
3724 Nondurable Household Products Producers and distributors of pens, paper goods, batteries, light bulbs, tissues,
toilet paper and cleaning products such as soaps and polishes.
3726 Furnishings Manufacturers and distributors of furniture, including chairs, tables, desks,
carpeting, wallpaper and office furniture.
3728 Home Construction Constructors of residential homes, including manufacturers of mobile and pre-
fabricated homes intended for use in one place.
3743 Consumer Electronics Manufacturers and distributors of consumer electronics, such as TVs, VCRs, DVD
players, audio equipment, cable boxes, calculators and camcorders.
3745 Recreational Products Manufacturers and distributors of recreational equipment. Includes musical
instruments, photographic equipment and supplies, RVs, ATVs and marine
recreational vehicles such as yachts, dinghies and speedboats.
3747 Toys Manufacturers and distributors of toys and video/computer games, including such
toys and games as playing cards, board games, stuffed animals and dolls.
www.stoxx.com 111
3763 Clothing & Accessories Manufacturers and distributors of all types of clothing, jewelry, watches or textiles.
Includes sportswear, sunglasses, eyeglass frames, leather clothing and goods, and
processors of hides and skins.
3765 Footwear Manufacturers and distributors of shoes, boots, sandals, sneakers and other types
of footwear.
3767 Personal Products Makers and distributors of cosmetics, toiletries and personal-care and hygiene
products, including deodorants, soaps, toothpaste, perfumes, diapers, shampoos,
razors and feminine-hygiene products. Includes makers of contraceptives other
than oral contraceptives, which are classified under Pharmaceuticals.
3785 Tobacco Manufacturers and distributors of cigarettes, cigars and other tobacco products.
Includes tobacco plantations.
4533 Health Care Providers Owners and operators of health maintenance organizations, hospitals, clinics,
dentists, opticians, nursing homes, rehabilitation and retirement centers. Excludes
veterinary services, which are classified under Specialized Consumer Services.
4535 Medical Equipment Manufacturers and distributors of medical devices such as MRI scanners, prosthe-
tics, pacemakers, X-ray machines and other nondisposable medical devices.
4537 Medical Supplies Manufacturers and distributors of medical supplies used by health care providers
and the general public. Includes makers of contact lenses, eyeglass lenses,
bandages and other disposable medical supplies.
4573 Biotechnology Companies engaged in research into and development of biological substances for
the purposes of drug discovery and diagnostic development, and which derive the
majority of their revenue from either the sale or licensing of these drugs and
diagnostic tools.
4577 Pharmaceuticals Manufacturers of prescription or over-the-counter drugs, such as aspirin, cold
remedies and birth control pills. Includes vaccine producers but excludes vitamin
producers, which are classified under Food Products.
5333 Drug Retailers Operators of pharmacies, including wholesalers and distributors catering to these
businesses.
5337 Food Retailers & Wholesalers Supermarkets, food-oriented convenience stores and other food retailers and
distributors. Includes retailers of dietary supplements and vitamins.
5371 Apparel Retailers Retailers and wholesalers specializing mainly in clothing, shoes, jewelry, sunglasses
and other accessories.
5373 Broadline Retailers Retail outlets and wholesalers offering a wide variety of products including both
hard goods and soft goods.
5375 Home Improvement Retailers Retailers and wholesalers concentrating on the sale of home improvement products,
including garden equipment, carpets, wallpaper, paint, home furniture, blinds and
curtains, and building materials.
5377 Specialized Consumer Services Providers of consumer services such as auction houses, day-care centers, dry
cleaners, schools, consumer rental companies, veterinary clinics, hair salons and
providers of funeral, lawn-maintenance, consumer-storage, heating and cooling
installation and plumbing services.
5379 Specialty Retailers Retailers and wholesalers concentrating on a single class of goods, such as
electronics, books, automotive parts or closeouts. Includes automobile dealer-
ships, video rental stores, dollar stores, duty-free shops and automotive fuel
stations not owned by oil companies.
5553 Broadcasting & Entertainment Producers, operators and broadcasters of radio, television, music and filmed
entertainment. Excludes movie theaters, which are classified under Recreational
Services.
5555 Media Agencies Companies providing advertising, public relations and marketing services. Includes
billboard providers and telemarketers.
www.stoxx.com 112
5557 Publishing Publishers of information via printed or electronic media.
5751 Airlines Companies providing primarily passenger air transport. Excludes airports, which
are classified under Transportation Services.
5752 Gambling Providers of gambling and casino facilities. Includes online casinos, racetracks and
the manufacturers of pachinko machines and casino and lottery equipment.
5753 Hotels Operators and managers of hotels, motels, lodges, resorts, spas and campgrounds.
5755 Recreational Services Providers of leisure facilities and services, including fitness centers, cruise lines,
movie theaters and sports teams.
5757 Restaurants & Bars Operators of restaurants, fast-food facilities, coffee shops and bars. Includes
integrated brewery companies and catering companies.
5759 Travel & Tourism Companies providing travel and tourism related services, including travel agents,
online travel reservation services, automobile rental firms and companies that
primarily provide passenger transportation, such as buses, taxis, passenger rail
and ferry companies.
6535 Fixed Line Telecommunications Providers of fixed-line telephone services, including regional and long-distance. Includes
companies that primarily provides telephone services through the internet. Excludes
companies whose primary business is Internet access, which are classified under Internet.
6575 Mobile Telecommunications Providers of mobile telephone services, including cellular, satellite and paging
services. Includes wireless tower companies that own, operate and lease mobile
site towers to multiple wireless service providers.
7535 Conventional Electricity Companies generating and distributing electricity through the burning of fossil
fuels such as coal, petroleum and natural gas, and through nuclear energy.
7537 Alternative Electricity Companies generating and distributing electricity from a renewable source.
Includes companies that produce solar, water, wind and geothermal electricity.
7573 Gas Distribution Distributors of gas to end users. Excludes providers of natural gas as a commodity,
which are classified under the Oil & Gas industry.
7575 Multiutilities Utility companies with significant presence in more than one utility.
7577 Water Companies providing water to end users, including water treatment plants.
8355 Banks Banks providing a broad range of financial services, including retail banking, loans
and money transmissions.
8532 Full Line Insurance Insurance companies with life, health, property & casualty and reinsurance
interests, no one of which predominates.
8534 Insurance Brokers Insurance brokers and agencies.
8536 Property & Casualty Insurance Companies engaged principally in accident, fire, automotive, marine, malpractice
and other classes of nonlife insurance.
8538 Reinsurance Companies engaged principally in reinsurance.
8575 Life Insurance Companies engaged principally in life and health insurance.
8633 Real Estate Holding & Development Companies that invest directly or indirectly in real estate through development,
investment or ownership. Excludes real estate investment trusts and similar entities,
which are classified as Real Estate Investment Trusts.
8637 Real Estate Services Companies that provide services to real estate companies but do not own the
properties themselves. Includes agencies, brokers, leasing companies, management
companies and advisory services. Excludes real estate investment trusts and similar
entities, which are classified as Real Estate Investment Trusts.
8671 Industrial & Office REITs Real estate investment trusts or corporations (REITs) or listed property trusts
(LPTs) that primarily invest in office, industrial and flex properties.
8672 Retail REITs Real estate investment trusts or corporations (REITs) or listed property trusts
(LPTs) that primarily invest in retail properties. Includes malls, shopping centers,
strip centers and factory outlets.
www.stoxx.com 113
8673 Residential REITs Real estate investment trusts or corporations (REITs) or listed property trusts
(LPTs) that primarily invest in residential home properties. Includes apartment
buildings and residential communities.
8674 Diversified REITs Real estate investment trusts or corporations (REITs) or listed property trusts (LPTs)
that invest in a variety of property types without a concentration on any single type.
8675 Specialty REITs Real estate investment trusts or corporations (REITs) or listed property trusts
(LPTs) that invest in self storage properties, properties in the health care indus-
try such as hospitals, assisted living facilities and health care laboratories, and
other specialized properties such as auto dealership facilities, timber properties
and net lease properties.
8676 Mortgage REITs Real estate investment trusts or corporations (REITs) or listed property trusts (LPTs)
that are directly involved in lending money to real estate owners and operators or
indirectly through the purchase of mortgages or mortgage backed securities.
8677 Hotel & Lodging REITs Real estate investment trusts or corporations (REITs) or listed property trusts
(LPTs) that primarily invest in hotels or lodging properties.
8771 Asset Managers Companies that provide custodial, trustee and other related fiduciary services.
Includes mutual fund management companies.
8773 Consumer Finance Credit card companies and providers of personal finance services such as personal
loans and check cashing companies.
8775 Specialty Finance Companies engaged in financial activities not specified elsewhere. Includes com-
panies not classified under Equity Investment Instruments or Nonequity Investment
Instruments engaged primarily in owning stakes in a diversified range of companies.
8777 Investment Services Companies providing a range of specialized financial services, including securities
brokers and dealers, online brokers and security or commodity exchanges.
8779 Mortgage Finance Companies that provide mortgages, mortgage insurance and other related services.
8985 Equity Investment Instruments Corporate closed-ended investment entities identified under distinguishing
egislation, such as investment trusts and venture capital trusts.
8995 Nonequity Investment Instruments Noncorporate, open-ended investment instruments such as open-ended investment
companies and funds, unit trusts, ETFs, currency funds and split capital trusts.
9533 Computer Services Companies that provide consulting services to other businesses relating to
information technology. Includes providers of computer-system design, systems
integration, network and systems operations, data management and storage,
repair services and technical support.
9535 Internet Companies providing Internet-related services, such as Internet access providers
and search engines and providers of Web site design, Web hosting, domain-name
registration and e-mail services.
9537 Software Publishers and distributors of computer software for home or corporate use.
Excludes computer game producers, which are classified under Toys.
9572 Computer Hardware Manufacturers and distributors of computers, servers, mainframes, workstations
and other computer hardware and subsystems, such as mass-storage drives, mice,
keyboards and printers.
9574 Electronic Office Equipment Manufacturers and distributors of electronic office equipment, including photo-
copiers and fax machines.
9576 Semiconductors Producers and distributors of semiconductors and other integrated chips, including
other products related to the semiconductor industry, such as semiconductor
capital equipment and motherboards. Excludes makers of printed circuit boards,
which are classified under Electrical Components & Equipment.
9578 Telecommunications Equipment Makers and distributors of high-technology communication products, including
satellites, mobile telephones, fiber optics, switching devices, local and wide-area
networks, teleconferencing equipment and connectivity devices for computers,
including hubs and routers.
www.stoxx.com 114
1.3 Subsector assignment for STOXX Optimised Market Quartiles
Description ICB ICB Name

Consumer Discretionary 3353 Automobiles
3355 Auto Parts
3357 Tires
3722 Durable Household Products
3726 Furnishings
3728 Home Construction
3745 Recreational Products
3747 Toys
3763 Clothing & Accessories
3765 Footwear
5371 Apparel Retailers
5373 Broadline Retailers
5375 Home Improvement Retailers
5377 Specialized Consumer Services
5379 Specialty Retailers
5553 Broadcasting & Entertainment
5555 Media Agencies
5557 Publishing
5752 Gambling
5753 Hotels
5755 Recreational Services
5757 Restaurants & Bars
5759 Travel & Tourism
Consumer Staples 3533 Brewers
3535 Distillers & Vintners
3537 Soft Drinks
3573 Farming & Fishing
3577 Food Products
3724 Nondurable Household Products
3767 Personal Products
3785 Tobacco
5337 Food Retailers & Wholesalers
Defensive 0537 Integrated Oil & Gas
4533 Health Care Providers
4535 Medical Equipment
4537 Medical Supplies
4573 Biotechnology
4577 Pharmaceuticals
5333 Drug Retailers
6535 Fixed Line Telecommunications
www.stoxx.com 115

Defensive (cont.) 6575 Mobile Telecommunications
7535 Conventional Electricity
7537 Alternative Electricity
7573 Gas Distribution
7575 Multiutilities
7577 Water
8534 Insurance Brokers
8536 Property & Casualty Insurance
8538 Reinsurance
Cyclical 0533 Exploration & Production
0573 Oil Equipment & Services
0577 Pipelines
0583 Renewable Energy Equipment
0587 Alternative Fuels
1353 Commodity Chemicals
1357 Specialty Chemicals
1733 Forestry
1737 Paper
1753 Aluminum
1755 Nonferrous Metals
1757 Iron & Steel
1771 Coal
1773 Diamonds & Gemstones
1775 General Mining
1777 Gold Mining
1779 Platinum & Precious Metals
2353 Building Materials & Fixtures
2357 Heavy Construction
2713 Aerospace
2717 Defense
2723 Containers & Packaging
2727 Diversified Industrials
2733 Electrical Components & Equipment
2737 Electronic Equipment
2753 Commercial Vehicles & Trucks
2757 Industrial Machinery
2771 Delivery Services
2773 Marine Transportation
2775 Railroads
2777 Transportation Services
2779 Trucking
2791 Business Support Services
www.stoxx.com 116

Cyclical (cont.) 2793 Business Training & Employment Agencies
2795 Financial Administration
2797 Industrial Suppliers
2799 Waste & Disposal Services
3743 Consumer Electronics
5751 Airlines
8355 Banks
8532 Full Line Insurance
8575 Life Insurance
8633 Real Estate Holding & Development
8637 Real Estate Services
8671 Industrial & Office REITs
8672 Retail REITs
8673 Residential REITs
8674 Diversified REITs
8675 Specialty REITs
8676 Mortgage REITs
8677 Hotel & Lodging REITs
8771 Asset Managers
8773 Consumer Finance
8775 Specialty Finance
8777 Investment Services
8779 Mortgage Finance
8985 Equity Investment Instruments
8995 Nonequity Investment Instruments
9533 Computer Services
9535 Internet
9537 Software
9572 Computer Hardware
9574 Electronic Office Equipment
9576 Semiconductors
9578 Telecommunications Equipment
www.stoxx.com 117
STOXX Limited · Selnaustrasse 30 · CH-8021 Zurich
Phone +41 (0) 58 854 5400 · stoxx@stoxx.com · www.stoxx.com

Stoxx Indexguide

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STOXX® Index Guide

Version 13.8 · April 2010

Section A: STOXX Equity Indices 7

Section B: STOXX Strategy Indices 76

Section C: Industry Classification Benchmark 105

STOXX Ltd. is owned by Deutsche Börse AG and SIX Group AG

6 CALCULATION 42 8 ONGOING REVIEW 70

3 STOXX LEVERAGE AND SHORT 85 5.2 Calculation 98

History of methodology changes to the STOXX Index Guide

Section A: STOXX Equity Indices

Change of review dates for STOXX Select Dividend indices

Addition of STOXX Eastern European index family

Rule change – cash dividend treatment for Price indices

Clariﬁcation of treatment of stock dividends paid from treasury shares

Addition of European STOXX Optimised indices

Addition of STOXX Optimised Market Quartiles indices

Addition of STOXX Europe Christian Index

Section B: STOXX Strategy Indices

Addition of STOXX Double Short indices

Addition of STOXX EURO STOXX 50 PutWrite Index

Methodology change for Leverage and Short indices

Addition of EURO STOXX 50 DVP Futures Index

Please also refer to the updated version at www.stoxx.com/indices/rulebooks.html

STOXX Equity Indices

Select Dividend indices:

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

Select Dividend indices:

Indices Europe Eurozone Europe ex UK Europe ex Eurozone Nordic

Style & Strong Style indices:

Select Dividend indices:

1.1.3 Eastern Europe

Indices Eastern Europe Balkan Balkan Sub Balkan EU Enlarged

Select Dividend indices:

2.1 Investable Stock Universe

2.2 Stock Exchanges and Trading Systems

2.2.1 Global (cont.)

EU Enlarged Eastern Europe

2.2.3 Eastern Europe

Eastern Europe Eastern Europe

2.3 Classification – Country and Regional

The regional classiﬁcations cover the global universe in complementary ways:

Region Country Global Americas Asia/Pacific Europe Euro Nordic

Region Country Eastern Europe EU Enlarged Balkan Sub Balkan

2.4 Classification – Size (Large/Mid/Small)

2.5 Classification – Style (Growth/Value)

Strong Growth (SG).

Weak Growth (WG).

Strong Value (SV).

Weak Value (WV).

2.6 Classification – Sectors

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

3.1 STOXX Global 1800 Indices

3.1.1 Regional Indices

Region Index Name

3.1.2 Sector Indices

Region Index Name

3.2 STOXX Total Market Indices (TMI)

3.2.1 Regional Indices

Region Index Name

Region Index Name

3.2.2 Sector Indices

Region Index Name