S&P BSE Indices

Methodology

September 2023
Asia Index Private Limited: Index Methodology
Table of Contents
Introduction 3
Partnership 3
Index Objectives, Highlights, and Index Family 3
Supporting Documents 5
Eligibility Criteria and Index Construction 7
Approaches 7
Multiple Share Classes 7
Data Sources 8
Calculation of Data Points 8
S&P BSE SENSEX 9
S&P BSE SENSEX Futures Index 10
S&P BSE Arbitrage Rate Index 12
S&P BSE 500 and Arbitrage Rate 50/50 Blend Index 13
S&P BSE SENSEX 2X Leverage Daily Index 14
S&P BSE SENSEX Inverse Daily Indices 15
S&P BSE 100 16
S&P BSE SENSEX 50 17
S&P BSE SENSEX Next 50 18
S&P BSE 100 LargeCap TMC 19
S&P BSE SENSEX 50 TMC 20
S&P BSE SENSEX Next 50 TMC 21
S&P BSE 200 22
S&P BSE 500 23
S&P BSE 150 MidCap 24
S&P BSE 250 SmallCap 25
S&P BSE 250 LargeMidCap 26
S&P BSE 400 MidSmallCap 27
S&P BSE 250 LargeMidCap, 65:35 28
S&P BSE PSU 29
S&P BSE CPSE 30
S&P BSE Bharat 22 Index 31
S&P BSE REITs and InvITs Index 32

Asia Index Private Limited: S&P BSE Indices Methodology 1

 S&P BSE IPO 33
S&P BSE SME IPO 34
S&P BSE DOLLEX Indices 35
S&P BSE Sector Indices 36
S&P BSE Realized Volatility Indices 37
Index Maintenance 38
Rebalancing 38
Ongoing Maintenance 40
Additions 40
Deletions 41
Graded Surveillance Measure (GSM) 41
Regulatory Review 41
Corporate Actions 41
Currency of Calculation and Additional Index Return Series 43
Base Dates and History Availability 44
Index Data 45
Calculation Return Types – Equity Indices 45
Index Governance 46
Index Committee 46
Index Policy 47
Announcements 47
Pro-forma Files 47
Holiday Schedule 47
Rebalancing 47
Unexpected Exchange Closures 47
Recalculation Policy 48
Real-Time Calculation 48
End-of-Day Calculation 48
Contact Information 48
Index Dissemination 49
Tickers 49
Index Data 51
Web site 51
Appendix 52
Methodology Changes 52
Disclaimer 59

Asia Index Private Limited: S&P BSE Indices Methodology 2

Introduction
Partnership

On February 19, 2013, S&P Dow Jones Indices and the BSE Ltd. (formerly Bombay Stock Exchange
[BSE]) announced their strategic partnership to calculate, disseminate, and license the widely followed
BSE suite of indices.

Index Objectives, Highlights, and Index Family

The S&P BSE family of indices measures the performance of BSE listed companies across various sizes,
industries, themes, and strategies. Each index is designed to represent a certain segment of the Indian
equities market.

Broad-based. The Broad-based indices act as market indicators for the Indian stock market, covering
large-cap, mid-cap, and small-cap companies. Broad-based indices include the following:
• S&P BSE SENSEX. The index serves as both a benchmark and an investable index and is
comprised of 30 large, well-established, and financially sound companies across key sectors. It is
the oldest index in the country.
• S&P BSE 100. The index measures the performance of 100 of the largest and most liquid Indian
companies within the S&P BSE LargeMidCap.1
• S&P BSE SENSEX 50. The index measures the performance of 50 of the largest and most liquid
companies within S&P BSE 100.
• S&P BSE SENSEX Next 50. The index measures the performance of the 50 companies within
S&P BSE 100 that are not members of the S&P BSE SENSEX 50.
• S&P BSE SENSEX 50 TMC. The index measures the performance of 50 of the largest and most
liquid companies within the S&P BSE 100 LargeCap TMC.
• S&P BSE SENSEX Next 50 TMC. The index measures the performance of the 50 companies
within the S&P BSE 100 LargeCap TMC that are not members of the S&P BSE SENSEX 50
TMC.
• S&P BSE 200. The index measures the performance of 200 of the largest and most liquid
companies within the S&P BSE 500.
• S&P BSE 500. The index is designed to be a broad representation of the Indian capital market.

The following indices are intended to represent market capitalization size segments within the Indian
market while considering the requirements outlined by the Securities and Exchange Board of India
(SEBI).2
• S&P BSE 100 LargeCap TMC. The index measures the performance of 100 of the largest and
most liquid companies within the S&P BSE 500, as selected by total market capitalization

1
For more information on the eligibility, construction and maintenance of the S&P BSE LargeMidCap, please refer to the S&P BSE
AllCap Methodology document, available at www.spglobal.com/spdji.
2
Based on SEBI Circular “Categorization and Rationalization of Mutual Fund Schemes” dated October 6, 2017
(http://www.sebi.gov.in/legal/circulars/oct-2017/categorization-and-rationalization-of-mutual-fund-schemes_36199.html).

Asia Index Private Limited: S&P BSE Indices Methodology 3

 • S&P BSE 150 MidCap. The index measures the performance of 150 MidCap companies, by
total market capitalization, subject to buffers, in the S&P BSE 500 but not in the S&P BSE 100
LargeCap TMC.
• S&P BSE 250 SmallCap. The index measures the performance of 250 SmallCap companies, by
total market capitalization, in the S&P BSE 500 that are not part of the S&P BSE 100 LargeCap
TMC and S&P BSE 150 MidCap.
• S&P BSE 250 LargeMidCap. The index measures the performance of 250 companies, by total
market capitalization, in the S&P BSE 100 LargeCap TMC and S&P BSE 150 MidCap.
• S&P BSE 400 MidSmallCap. The index measures the performance of 400 companies, by total
market capitalization in the S&P BSE 500 that are not part of the S&P BSE 100 LargeCap TMC.
• S&P BSE 250 LargeMidCap, 65:35. The index is an index of indices that measures the
performance of a composite index composed of the S&P BSE 100 LargeCap TMC and S&P BSE
150 MidCap, with weights assigned to the two underlying indices of 65% and 35%, respectively.

S&P BSE 100 LargeCap TMC

(B)
S&P BSE 250 (LargeMidCap)
S&P BSE LargeMid Cap
(E) = (B+C)
S&P BSE 500 S&P BSE 150 (MidCap)
(A) (C) = Top 150 of (A - B)
S&P BSE MidSmallCap (400)
S&P BSE MidSmallCap
(F) = (C+D)

S&P BSE 250 (SmallCap)

(D) = (A - B - C)

Thematic Indices. Thematic indices include the following:

• S&P BSE PSU. The index measures the performance of India’s Public Sector Undertakings
(PSUs) in the S&P BSE 500.
• S&P BSE CPSE. The index measures the performance of India’s Central Public Sector
Enterprises (CPSEs) listed on the BSE Ltd.
• S&P BSE Bharat 22 Index. The index measures the performance of select companies
disinvested by the Central Government of India according to the disinvestment program. Index
constituents are weighted by their float-adjusted market capitalization, subject to an individual
stock weight cap of 15% and a common India Industry Classification Structure macro-economic
indicator weight cap of 20%.
• S&P BSE REITs & InvITs Index. The index measures the performance of Real Estate
Investment Trusts (REITs) and Infrastructure Investment Trusts (InvITs) which are domiciled in
India and listed on the BSE Ltd. Index constituents are weighted by their float-adjusted market
capitalization, subject to an individual stock weight cap of 33% and aggregate weight of the top
three stocks capped at 63%.

Strategy. Strategy indices include the following:

• S&P BSE IPO. The index tracks the performance of stocks listed via initial public offerings
(IPOs), over a one-year period from their listing date. The index is weighted by float-adjusted
market capitalization, subject to an individual stock weight cap of 20%.
• S&P BSE SME IPO. The index tracks the performance of Small and Medium Enterprises (SMEs)
listed via IPOs on BSE’s SME Platform, over a one-year period from their respective listing date.

Asia Index Private Limited: S&P BSE Indices Methodology 4

 • S&P BSE DOLLEX Indices.
o The S&P BSE DOLLEX 30 is a U.S. dollar linked version of S&P BSE SENSEX.
o The S&P BSE DOLLEX 100 is a U.S. dollar linked version of the S&P BSE 100.
o The S&P BSE DOLLEX 200 is a U.S. dollar linked version of the S&P BSE 200.
• S&P BSE SENSEX Futures Index. The index models the returns realized through an
investment in the near-month futures contract on the S&P BSE SENSEX.
• S&P BSE Arbitrage Rate Index. The index is a weighted return index that consists of a position
with a 100% long index weight in the S&P BSE SENSEX Total Return Index and a 100% short
index weight in the S&P BSE SENSEX Futures Excess Return Index.
• S&P BSE 500 and Arbitrage Rate 50/50 Blend Index. The index is a weighted return index that
consists of a 50% weight in the S&P BSE 500 Price Return Index and a 50% weight in the S&P
BSE Arbitrage Rate (INR) Price Return Index.
• S&P BSE SENSEX 2X Leverage Daily Index. The index generates a multiple of the underlying
index return, minus the cost of borrowing capital to generate excess index exposure. The S&P
BSE SENSEX 2X Leverage Daily Index reflects 200% of the return of the S&P BSE SENSEX,
including dividends and price movements.
• S&P BSE SENSEX Inverse Daily Indices.
o The S&P BSE SENSEX 1X Inverse Daily Index provides inverse returns of the S&P BSE
SENSEX.
o The S&P BSE SENSEX 2X Inverse Daily Index provides two times the inverse
performance of the S&P BSE SENSEX.

Sectors. The Sector indices are equity benchmarks for BSE traded securities in several broadly defined
economic sectors. The indices include companies in the S&P BSE 500 that represent nine sectors of the
economy and contain a minimum of 10 companies per index. Sector indices include the following:
• S&P BSE AUTO • S&P BSE CAPITAL GOODS
• S&P BSE OIL & GAS • S&P BSE CONSUMER DURABLES
• S&P BSE METAL • S&P BSE REALTY
• S&P BSE BANKEX • S&P BSE TECK
• S&P BSE POWER

Constituents of S&P BSE BANKEX and S&P BSE OIL & GAS are weighted based on their float-adjusted
market capitalization, subject to a 22% and 20% weight cap, respectively.

Realized Volatility. Realized Volatility indices measure the historic volatility of the S&P BSE SENSEX
over fixed 1-, 2-, and 3-month time horizons, which are synchronized with BSE’s 1-, 2-, and 3-month
futures and options expiration cycles.
• S&P BSE REALVOL-1MTH • S&P BSE REALVOL-3MTH
• S&P BSE REALVOL-2MTH

Supporting Documents

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

Asia Index Private Limited: S&P BSE Indices Methodology 5

 Supporting Document URL
S&P Dow Jones Indices’ Equity Indices Policies &
Equity Indices Policies & Practices
Practices Methodology
S&P Dow Jones Indices’ Index Mathematics
Index Mathematics Methodology
Methodology
S&P Dow Jones Indices’ Float Adjustment
Float Adjustment Methodology
Methodology

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

Asia Index Private Limited: S&P BSE Indices Methodology 6

Eligibility Criteria and Index Construction
Approaches
Most of the indices in this series employ a float-adjusted market capitalization-weighting scheme, using
the divisor methodology used in S&P Dow Jones Indices’ equity indices. The following indices employ a
non-market capitalization weighting scheme:
• S&P BSE BANKEX • S&P BSE Bharat 22 Index
• S&P BSE OIL & GAS

The S&P BSE 250 LargeMidCap 65:35 Index, S&P BSE Arbitrage Rate Index and S&P BSE 500 and
Arbitrage Rate 50/50 Blend Index employ a weighted return scheme.

Except for the indices listed below, weighting scheme treatment is listed in the Market Capitalization
Weighted Indices section of S&P Dow Jones Indices’ Index Mathematics Methodology:
• S&P BSE BANKEX • S&P BSE Bharat 22 Index
• S&P BSE OIL & GAS • S&P BSE IPO

For weighting schemes in the indices mentioned above, please refer to the Capped-Market Capitalization
Weighted Indices section of &P Dow Jones Indices’ Index Mathematics Methodology.

Asia Index Private Limited believes turnover in index membership should be avoided when possible. At
times, a company may appear to temporarily violate one or more of the addition criteria. However, the
addition criteria are for addition to an index, not for continued membership. As a result, an index
constituent that appears to violate criteria for addition to that index will not be deleted unless ongoing
conditions warrant an index change.

Multiple Share Classes

Differential Voting Rights Shares (DVRs) are eligible for inclusion in the following indices provided that the
ordinary share class is either part of the index or is being added simultaneously and the DVR shares
outstanding are greater than 10% of the ordinary shares outstanding. 3 In addition, the DVRs must
individually satisfy all other index eligibility criteria as detailed in the following pages.
• S&P BSE SENSEX • S&P BSE 500
• S&P BSE 200 • S&P BSE 150 MidCap
• S&P BSE 250 SmallCap • S&P BSE 250 LargeMidCap
• S&P BSE 400 MidSmallCap • S&P BSE 250 LargeMidCap, 65:35

DVRs are eligible for inclusion in the following indices provided that the ordinary share class is part of the
respective Index Universe for each of the indices and the DVRs individually pass the liquidity criteria as
detailed in the following pages:
• S&P BSE 100 • S&P BSE 100 LargeCap TMC
• S&P BSE SENSEX 50 • S&P BSE SENSEX 50 TMC
• S&P BSE SENSEX Next 50 • S&P BSE SENSEX Next 50 TMC

3
Effective with the June 2015 rebalancing.

Asia Index Private Limited: S&P BSE Indices Methodology 7

Only common stocks are eligible for inclusion in the following indices:
• S&P BSE PSU • S&P BSE SME IPO
• S&P BSE CPSE • S&P BSE Sector Indices
• S&P BSE IPO • S&P BSE Bharat 22 Index

Data Sources

1. Market Capitalization. Market capitalization is calculated using the BSE Ltd. prices.
2. Value Traded. Traded value is calculated using composite volumes of Indian exchanges.
3. Impact Cost. Impact cost is sourced from the BSE Ltd.4
4. Trading Frequency. This data is assessed based on trading information on BSE Ltd.

Calculation of Data Points

For all indices the rebalance portfolio of the universe is considered for the respective indices rebalancing,
if the universe is rebalancing in the same month.

Stocks that have undergone a scheme of arrangement for corporate events such as spin-offs, capital
restructurings, etc. are eligible for index inclusion if, as of the rebalancing reference date, the company
has completed at least one month of trading after the scheme’s effective date and all other eligibility and
selection criteria are met. For such stocks, data from the scheme’s effective date up to the reference date
is considered for average free float market capitalization, average total market capitalization, and
annualized traded value, wherever applicable.

4
See https://www.bseindia.com/markets/equity/EQReports/varmargin.aspx?flag=0.

Asia Index Private Limited: S&P BSE Indices Methodology 8

S&P BSE SENSEX

Eligible Universe. The index is derived from the constituents of the S&P BSE 100. The inclusion of
DVRs in the index will result in more than 30 stocks in the index. However, the number of companies in
the index remains fixed at 30. Stocks in the eligible universe must satisfy the following eligibility factors in
order to be considered for index inclusion:
• Listing History. Stocks must have a listing history of at least six months at BSE.
• Trading Days. The stock must have traded on every trading day at BSE during the six-month
reference period.
• Derivative Linkage. Stock must have a derivative contract.
• Multiple Share Classes. DVRs satisfying the above eligibility criteria are aggregated with the
company’s common stock and index construction is done based on the aggregated company
data as detailed below.

Index Construction.
1. All companies meeting the eligibility factors are ranked based on their average six-month float-
adjusted market capitalization. The top 75 are identified.
2. All companies meeting the eligibility factors are ranked again based on their average six-month
total market capitalization. The top 75 are identified.
3. All companies identified based on steps 1 and 2 are then combined and sorted based on their
annualized traded value. Companies with a cumulative annualized traded value greater than 98%
are excluded.
4. The remaining companies are then sorted by average six-month float-adjusted market
capitalization. Companies with a weight of less than 0.5% are excluded.
5. The remaining companies from step 4 are then ranked based on their average six-month float-
adjusted market capitalization, and are selected for index inclusion according to the following
rules:
a. The top 21 companies (whether a current index constituent or not) are selected for index
inclusion with no sector consideration.
b. Existing constituents ranked 22 – 39 are selected in order of highest rank until the target
constituent count of 30 is reached.
c. If after this step the target constituent count is not achieved, then non-constituents ranked
22 – 30 are selected by giving preference to those companies whose common India
Industry Classification Structure macro-economic indicator is underrepresented in the
index as compared to the macro-economic indicator representation in the S&P BSE
AllCap.
d. If after this step, the target constituent count is still not achieved, non-constituents are
selected in order of highest rank until the target constituent count is reached.

Annualized traded value is calculated by taking the median of the monthly medians of the daily traded
values over the six-month period. The annualization is calculated using 250 trading days in a year.

All additions and deletions are made at the discretion of index committee.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

Asia Index Private Limited: S&P BSE Indices Methodology 9

S&P BSE SENSEX Futures Index

Underlying Index. The underlying index for the futures contract is the S&P BSE SENSEX. The futures
contract is traded on BSE Ltd. under the symbol ‘BSX’.

Futures Roll. The index includes a provision for the replacement of the index futures contract as it
approaches maturity (also referred to as “rolling” or “the roll”). This replacement occurs over a one-day
rolling period every month, which is one business day prior to the expiration of the futures contract.

The near-month futures contract expires on the last Friday of each month. In case the last Friday is a
holiday, it expires on the immediately preceding business day.

Calculation of the Excess Return Index. The excess return is calculated from the price change of the
underlying futures contract. On any trading date, t, the level is calculated as follows:

𝐸𝑅𝐼𝑡 = 𝐸𝑅𝐼𝑡−1 × (1 + 𝐼𝐸𝑅𝑡 )

where:
ERIt = Excess return index level on business day t.
ERIt-1 = Excess return index level on business day t-1.
IERt = Index excess return on business day t, defined as follows:

𝐷𝐶𝑅𝑃𝑡
𝐼𝐸𝑅𝑡 = −1
𝐷𝐶𝑅𝑃𝑡−1

where:
DCRPt = Daily contract reference price of the futures contract on business day t.
DCRPt-1 = Daily contract reference price of the futures contract on business day t-1.

The daily contract reference price is the official close, as designated by the BSE Ltd.

Calculation of the Total Return Index. For a funded investment, the total return between business days
t-1 and t includes the risk free return for the initial cash outlay.

𝑇𝑅𝐼𝑡 = 𝑇𝑅𝐼𝑡−1 × (1 + 𝑇𝑅𝑡 )

where:
TRIt = Total return index level on business day t.
TRIt-1 = Total return index level on business day t-1.
TRt = Total return on business day t, defined as follows:

𝑇𝑅𝑡 = 𝐼𝐸𝑅𝑡 + 𝑅𝐹𝑅𝑡

where:
IERt = Index excess return on business day t.
RFRt = Risk free rate on business day t.

Asia Index Private Limited: S&P BSE Indices Methodology 10

The risk-free rate is calculated using the one-month MIBOR as follows:

∆𝑡
𝑅𝐹𝑅𝑡 = 𝑀𝐼𝐵𝑂𝑅𝑡−1 ×
365
where:
MIBORt-1 = One month MIBOR on business day t-1.
∆t = Number of calendar days between business day t and business day t-1.

Note: Effective after the close on April 15, 2015, the risk-free rate calculation is based on a 365-day year
convention. Prior to this, it was based on a 360-day year convention.

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S&P BSE Arbitrage Rate Index

Underlying Indices. S&P BSE SENSEX Total Return Index and S&P BSE SENSEX Futures Excess
Return Index.

Underlying Index Index Code Index Weight

S&P BSE SENSEX Total Return Index SPBSESST 100%
S&P BSE SENSEX Futures Excess Return Index SPBSSFIE -100%

Index Calculation. On the trading date, t, the index is calculated as follows using the component indices
as detailed above.

Indext = IndexPB * (1 + IndexReturnt)

IndexReturnt = ∑𝑛𝑖=1 𝑊i𝑅i

where:
IndexPB = Index value on the previous rebalancing date.
wi = Weight of an asset class i.
Ri = Cumulative return of the representative asset class i at t from the previous rebalancing
date.

Rebalancing. The index is rebalanced monthly, effective after the close one business day prior to the
expiration of the futures contract. The near-month futures contract expires on the last Friday of each
month. If the last Friday is a holiday, the contract expires on the immediately preceding business day. At
each rebalancing, the weights of the underlying indices are reset to the weights above.

Index Maintenance. All index adjustments and corporate action treatments follow the rules of the S&P
BSE SENSEX.

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S&P BSE 500 and Arbitrage Rate 50/50 Blend Index

Underlying Indices. S&P BSE 500 Price Return Index and S&P BSE Arbitrage Rate (INR) Price Return
Index.

Underlying Index Index Code Index Weight

S&P BSE 500 Price Return Index SPBSE5 50%
S&P BSE Arbitrage Rate (INR) Price Return Index SPBSARB 50%

Index Calculation. On the trading date, t, the index is calculated as follows using the component indices
as detailed above.

Indext = IndexPB * (1 + IndexReturnt)

IndexReturnt = ∑𝑛𝑖=1 𝑊i𝑅i

where:
IndexPB = Index value on the previous rebalancing date.
wi = Weight of an asset class i.
Ri = Cumulative return of the representative asset class i at t from the previous rebalancing
date.

Rebalancing. The index is rebalanced monthly, effective after the close one business day prior to the
expiration of the futures contract. The near-month futures contract expires on the last Friday of each
month5. If the last Friday is a holiday, the contract expires on the immediately preceding business day. At
each rebalancing, the weights of the underlying indices are reset to the weights above.

Index Maintenance. All index adjustments and corporate action treatments follow the rules of the S&P
BSE 500.

5
For history prior to May 23, 2023, the expiry date of the futures contract changed from the last Thursday of the month to the last
Friday of the month.

Asia Index Private Limited: S&P BSE Indices Methodology 13

S&P BSE SENSEX 2X Leverage Daily Index

Daily Index Returns. The daily return for the S&P BSE SENSEX 2X Leverage Daily Index consists of
the return on the total position in the underlying index, the S&P BSE SENSEX, less the borrowing costs
for leverage.

The formula for calculating the leveraged index return is as follows:

𝑈𝐼𝑇𝑅𝑡 𝐵𝑅𝑡−1
𝐿𝐼𝑅𝑡 = 𝐾 × ( − 1) − (𝐾 − 1) × ( ) × 𝐷𝑡,𝑡−1
𝑈𝐼𝑇𝑅𝑡−1 365

where:
LIRt = Leveraged index return at time t.
K (K ≥ 1) = Leverage ratio.
• K = 2, Exposure = 200%.
UITRt = Underlying index total return value at time t.
UITRt-1 = Underlying index total return value at time t-1.
BRt-1 = Borrowing rate (overnight MIBOR) at time t-1.
Dt,t-1 = Number of calendar days between date t and t-1.

In the equation above, the borrowing rate is applied to the leveraged index return to account for the cost
of capital of the funds borrowed to generate leverage.

Daily Index Values. Leveraged index values are calculated each day by applying the current day’s
leveraged index return to the previous day’s leveraged index value, as follows:

𝐿𝐼𝑉𝑡 = 𝐿𝐼𝑉𝑡−1 × (1 + 𝐿𝐼𝑅𝑡 )

where:
LIVt = Leveraged index value at time t.
LIVt-1 = Leveraged index value at time t-1.
LIRt = Leveraged index return at time t.

The leveraged position is rebalanced daily. This is consistent with the payoff from futures-based
replication.

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S&P BSE SENSEX Inverse Daily Indices

Daily Index Returns. The calculation follows the same general approach as the S&P BSE SENSEX 2X
Leverage Daily Index with certain adjustments as follows:
1. The return on the underlying index, the S&P BSE SENSEX, is reversed and is based on the total
return of the underlying index so that dividends and price movements are included.
2. While the costs of borrowing the securities are not included, there is an adjustment to reflect the
interest earned on both the initial investment and the proceeds from selling short the securities in
the underlying index. These assumptions reflect normal industry practice.

The formula for calculating the inverse index return is as follows:

𝑈𝐼𝑇𝑅𝑡 𝐿𝑅𝑡−1
𝐼𝐼𝑅𝑡 = −𝐾 × ( − 1) + (𝐾 + 1) × ( ) × 𝐷𝑡,𝑡−1
𝑈𝐼𝑇𝑅𝑡−1 365

where:
IIRt = Inverse index return at time t.
K (K ≥ 1) = Leverage ratio.
• K = 1, Exposure = -100%.
• K = 2, Exposure = -200%.
UITRt = Underlying index total return value at time t.
UITRt-1 = Underlying index total return value at time t-1.
LRt-1 = Lending rate (overnight MIBOR) at time t-1.
Dt,t-1 = Number of calendar days between date t and t-1.

In the equation above, the first right hand side term represents the total return on the underlying index
and the second right hand side term represents the interest earned on the initial investment and the
shorting proceeds.

Daily Index Values. Inverse index values are calculated each day by applying the current day’s inverse
index return to the previous day’s inverse index value, as follows:

𝐼𝐼𝑉𝑡 = 𝐼𝐼𝑉𝑡−1 × (1 + 𝐼𝐼𝑅𝑡 )

where:
IIVt = Inverse index value at time t.
IIVt-1 = Inverse index value at time t-1.
IIRt = Inverse index return at time t.

The inverse position is rebalanced daily. This is consistent with the payoff from futures-based replication.

Asia Index Private Limited: S&P BSE Indices Methodology 15

S&P BSE 100

Eligible Universe. The index is derived from the constituents of the S&P BSE LargeMidCap. The
inclusion of DVRs in the index will result in more than 100 stocks in the index. However, the number of
companies in the index remains fixed at 100.

Index Construction. The following company data points are calculated for each eligible company:
1. Average daily float-adjusted market capitalization
2. Annualized traded value
3. Number of non-trading days

These are calculated based on an observation period defined as the prior six-month period, as of the
rebalancing reference date. If a stock’s listing history is less than six months, as of the rebalancing
reference date, all data used in the eligible universe screening and index construction process are from
the listing date.

Where a company has multiple share classes, the eligible share classes are combined to measure the
company’s data point 1. Data points 2-3 are measured independently for each of the eligible share
classes.

Annualized traded value is calculated by taking the median of the monthly medians of the daily traded
values over the observation period. The annualization is calculated using 250 trading days in a year.

Constituents are selected for index inclusion as follows:

1. At each semi-annual rebalancing, eligible companies must satisfy all of the following in order to
be considered for index inclusion.
a. Have an annualized traded value greater than or equal to INR 10 billion. Current index
constituents with an annualized traded value of at least INR 8 billion remain eligible for
index inclusion provided they meet the other eligibility criteria.
b. Have no more than five non-trading days in the past six months, as of the rebalancing
reference date.
2. Companies satisfying the criteria in step 1 are then ranked based on average daily float-adjusted
market capitalization. The top 80 companies are selected for index inclusion. Existing
constituents ranked 81 – 120 are selected in order of highest rank until the target constituent
count of 100 is reached. If after this step the target constituent count is not achieved, then non-
constituents are selected in order of highest rank until the target constituent count is reached.
3. The following derivative market linkage constraints are also taken into account:
a. The individual float weight of any share class of a company not linked to derivatives
trading cannot exceed 5% of the index.
b. The aggregate float weight of the index constituents not linked to derivatives trading
cannot exceed 10%.

If any of the above derivative market linkage constraints are violated, the next eligible stock is selected for
index inclusion based on the rank derived in Step 2 giving preference to those linked to the derivatives
market.

In addition, the constituent selection process of the S&P BSE 100 also takes into account the derivative
market linkage constraints of the S&P BSE SENSEX 50 and S&P BSE SENSEX Next 50 as detailed in
the following pages. The selection process based on derivative market linkage is repeated until the
criteria for all three indices are met.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

Asia Index Private Limited: S&P BSE Indices Methodology 16

S&P BSE SENSEX 50

Eligible Universe. The index is derived from the constituents of the S&P BSE 100. In order to be eligible
for index inclusion, the constituent must be linked to derivative trading (i.e., have a derivative contract).

Index Construction. All eligible companies are ranked based on average daily float-adjusted market
capitalization. The top 40 companies (whether a current constituent or not) are selected for index
inclusion. Existing constituents ranked 41 – 60 are selected in order of highest rank until the target
constituent count of 50 is reached. If after this step the target constituent count is not achieved, then non-
constituents are selected in order of highest rank until the target constituent count is reached.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

Asia Index Private Limited: S&P BSE Indices Methodology 17

S&P BSE SENSEX Next 50

Eligible Universe. The index is derived from the constituents of the S&P BSE 100 that are not members
of the S&P BSE SENSEX 50.

Index Construction. All companies part of the S&P BSE 100 that are not part of the S&P BSE SENSEX
50 are selected and form the index, subject to the following derivative market linkage constraints:
• The individual float-adjusted weight of any share class of a company not linked to derivatives
trading cannot exceed 5% of the index.
• The aggregate float-adjusted weight of the index constituents not linked to derivatives trading
cannot exceed 20%.

If either of the above constraints are violated, the following relaxation steps are applied:
1. If the individual float-adjusted weight of any share class of a company not linked to derivatives
trading exceeds 5%, the stock is not considered for selection and the next best eligible stock,
based on six-month average daily float-adjusted market capitalization, is selected in the S&P BSE
SENSEX Next 50 and consequentially in the S&P BSE 100.
2. If after step 1 the aggregate float-adjusted weight of constituents not linked to derivatives trading
exceeds 20%, the lowest-ranked company not linked to derivatives trading is removed and
replaced with the highest-ranked eligible company linked to derivatives trading in the S&P BSE
SENSEX Next 50 and consequentially in the S&P BSE 100. This process repeats until the
aggregate weight of the constituents not linked to derivatives trading does not violate the above
constraints.
3. Steps 1 and 2 repeat iteratively to ensure both constraints are met.

Any stock excluded due to the derivative market linkage and relaxation rules is only considered for
selection at the rebalancing if the stock has derivative contracts.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

Asia Index Private Limited: S&P BSE Indices Methodology 18

S&P BSE 100 LargeCap TMC

Eligible Universe. The index is derived from constituents of the S&P BSE 500.6 The inclusion of DVRs
in the index will result in more than 100 stocks in the index. However, the number of companies in the
index remains fixed at 100.

Index Construction.
1. Eligible companies must satisfy the following criteria for inclusion into the index.
a. Have no more than five non-trading days5 in the past six months, as of the rebalancing
reference date. When a company has multiple share classes non-trading days are
measured independently for each of the eligible share classes.
b. Have an annualized traded value7 greater than or equal to INR 10 billion (INR 8 billion for
current constituents). Annualized traded value is calculated by taking the median of the
monthly medians of the daily traded values over the six-month observation period. The
annualization is calculated using 250 trading days in a year. When a company has
multiple share classes annualized traded value is measured independently for each of
the eligible share classes.
2. Companies satisfying the criteria in step 1 are ranked based on average daily total market
capitalization over the prior six-month period. When a company has multiple share classes, total
market capitalization is assessed at company level. The top 80 companies are included in the
index. Existing constituents ranked 81–120 are selected, by order of highest rank, until the target
constituent count of 100 is reached. If after this step the target count is not achieved, non-
constituents are selected in order of highest rank until the target count is reached.
3. The following derivative market linkage constraints are also taken into account.5
a. The individual float weight of any share class of a company not linked to derivatives
trading cannot exceed 5% of the index.
b. The aggregate float weight of the stocks in the index not linked to derivatives trading
cannot exceed 10% of the index
If any of the above derivative market linkage rules are violated, the lowest-ranked stock
not linked to derivatives is replaced by the next eligible stock linked to derivatives, based
on the rank derived in step 2.

If a stock’s listing history is less than six months, as of the rebalancing reference date, all data used in the
index construction process is assessed from the listing date. In addition, stocks that have undergone a
scheme of arrangement for corporate events such as spin-offs or capital restructurings, use the available
data from the scheme’s effective date until the reference date.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

6
Prior to the June 2018 rebalancing, only companies with a listing history of at least six months were eligible for constituent
selection.
7
These rules only became applicable starting from the December 2011 rebalancing forward.

Asia Index Private Limited: S&P BSE Indices Methodology 19

S&P BSE SENSEX 50 TMC

Eligible Universe. The index is derived from constituents of the S&P BSE 100 LargeCap TMC. In order
to be eligible for index inclusion, the constituent must be linked to derivative trading (i.e., have a derivative
contract).

The inclusion of DVRs may result in more than 50 stocks in the S&P BSE SENSEX 50 TMC. However,
the number of companies in the index, remains fixed at 50.

Index Construction. All eligible companies are ranked based on average daily total market
capitalization. The top 40 companies (whether a current constituent or not) are selected for index
inclusion. Existing constituents, ranked 41–60, are selected in order of highest rank until the target
constituent count of 50 is reached. If, after this step, the target constituent count is not achieved, then
non-constituents are selected in order of highest rank until the target constituent count is reached.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

Asia Index Private Limited: S&P BSE Indices Methodology 20

S&P BSE SENSEX Next 50 TMC

Eligible Universe. The index is derived from the constituents of the S&P BSE 100 LargeCap TMC that
are not members of the S&P BSE SENSEX 50 TMC.

Index Construction. All companies part of the S&P BSE 100 LargeCap TMC that are not part of the
S&P BSE SENSEX 50 TMC are selected and form the index.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

Asia Index Private Limited: S&P BSE Indices Methodology 21

S&P BSE 200

Eligible Universe. The index is derived from the constituents of the S&P BSE 500. The inclusion of
DVRs in the index will result in more than 200 stocks in the index. However, the number of companies in
the index remains fixed at 200.

Index Construction. The following company data points are calculated for each eligible company:
1. Average daily total market capitalization
2. Annualized traded value
3. Trading frequency

These are calculated based on an observation period defined as the prior six-month period, as of the
rebalancing reference date. If a stock’s listing history is less than six months, as of the rebalancing
reference date, all data used in the eligible universe screening and index construction process are from
the listing date.

Where a company has multiple share classes, the eligible share classes are combined to measure the
company’s data point 1. Data points 2-3 are measured independently for each of the eligible share
classes.

Annualized traded value is calculated by taking the median of the monthly medians of the daily traded
values over the observation period. The annualization is calculated using 250 trading days in a year.

Constituents are selected for index inclusion as follows:

1. At each semi-annual rebalancing, eligible companies must satisfy all of the following in order to
be considered for index inclusion.
a. Have an annualized traded value greater than or equal to INR 5 billion. Current index
constituents with an annualized traded value of at least INR 4 billion remain eligible for
index inclusion provided they meet the other eligibility criteria.
b. Stocks must have traded for at least 90% of the trading days at BSE during the six-month
reference period.
2. Companies satisfying the criteria in step 1 are then ranked based on average daily total market
capitalization. The top 160 companies are selected for index inclusion. Existing constituents
ranked 161 – 240 are selected in order of highest rank until the target constituent count of 200
companies is reached. If after this step the target constituent count is not achieved, then non-
constituents are added in order of highest rank until the target constituent count is reached.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

Asia Index Private Limited: S&P BSE Indices Methodology 22

S&P BSE 500

Eligible Universe. The index is derived from the constituents of the S&P BSE AllCap. 8 The inclusion of
DVRs in the index will result in more than 500 stocks in the index. However, the number of companies in
the index remains fixed at 500.

Index Construction. The following company data points are calculated for each eligible company:
1. Average daily total market capitalization
2. Annualized traded value
3. Trading frequency

These are calculated based on an observation period defined as the prior six-month period, as of the
rebalancing reference date. If a stock’s listing history is less than six months, as of the rebalancing
reference date, all data used in the eligible universe screening and index construction process are from
the listing date.

Where a company has multiple share classes, the eligible share classes are combined to measure the
company’s data point 1. Data points 2-3 are measured independently for each of the eligible share
classes.

Annualized traded value is calculated by taking the median of the monthly medians of the daily traded
values over the observation period. The annualization is calculated using 250 trading days in a year.

Constituents are selected for index inclusion as follows:

1. At each semi-annual rebalancing, eligible companies must satisfy all of the following in order to
be considered for index inclusion.
a. Have an annualized traded value greater than or equal to INR 1 billion. Current index
constituents with an annualized traded value of at least INR 800 million remain eligible for
index inclusion provided they meet the other eligibility criteria.
b. Stocks must have traded for at least 80% of the trading days at BSE during the six-month
reference period.
2. Companies satisfying the criteria in step 1 are then ranked based on average daily total market
capitalization. The top 400 companies are selected for index inclusion. Existing constituents
ranked 401-600 are selected in order of highest rank until the target constituent count of 500
companies is reached. If after this step the target constituent count is not achieved, then non-
constituents are added in order of highest rank until the target constituent count is reached.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

8
For information on the S&P BSE AllCap, please refer to the S&P BSE AllCap Methodology available at www.spglobal.com/spdji.

Asia Index Private Limited: S&P BSE Indices Methodology 23

S&P BSE 150 MidCap

Eligible Universe. The index is derived from the constituents of the S&P BSE 500. The inclusion of
DVRs in the index may result in more than 150 stocks in the index. However, the number of companies in
the index remains fixed at 150. Where a company has multiple share classes, the eligible share classes
are combined to measure the company’s market capitalization

Index Construction. All the companies in the S&P BSE 500 that are not part of the S&P BSE 100
LargeCap TMC are ranked based on average six-month daily total market capitalization.9 From the
remaining universe of 400 stocks, the top 120 companies (whether a current constituent or not) are
selected for index inclusion. Existing constituents ranked 121 – 180 are selected in order of highest rank
until the target constituent count of 150 is reached. If after this step the target constituent count is not
achieved, then non-constituents are selected in order of highest rank until the target constituent count is
reached.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

9
For history prior to May 29, 2017, full rebalancings were conducted at both the scheduled rebalancing and ad-hoc rebalancing,
driven by additions/deletions due to corporate actions. The companies were selected based on total market capitalization as of the
open of the rebalancing effective date. In addition, no buffers were applied during that period.

Asia Index Private Limited: S&P BSE Indices Methodology 24

S&P BSE 250 SmallCap

Eligible Universe. The index is derived from the constituents of the S&P BSE 500. The inclusion of
DVRs in the index may result in more than 250 stocks in the index. However, the number of companies in
the index remains fixed at 250.

Index Construction. All constituents of the S&P BSE 500 that are not members of the S&P BSE 100
LargeCap TMC and S&P BSE 150 MidCap are selected and form the index.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.10

10
For history prior to May 29, 2017, full rebalancings were conducted at both the scheduled rebalancing and ad-hoc rebalancing,
driven by additions/deletions due to corporate actions. The companies were selected based on total market capitalization as of the
open of the rebalancing effective date. In addition, no buffers were applied during that period.

Asia Index Private Limited: S&P BSE Indices Methodology 25

S&P BSE 250 LargeMidCap

Eligible Universe. The index is derived from the constituents of the S&P BSE 500. The inclusion of
DVRs in the index may result in more than 250 stocks in the index. However, the number of companies in
the index remains fixed at 250.

Index Construction. All constituents of the S&P BSE 100 LargeCap TMC and S&P BSE 150 MidCap
together form the index.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

Asia Index Private Limited: S&P BSE Indices Methodology 26

S&P BSE 400 MidSmallCap

Eligible Universe. The index is derived from the constituents of the S&P BSE 500. The inclusion of
DVRs in the index may result in more than 400 stocks in the index. However, the number of companies in
the index remains fixed at 400.

Index Construction. All constituents of the S&P BSE 500 that are not members of the S&P BSE 100
LargeCap TMC form the index.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

Asia Index Private Limited: S&P BSE Indices Methodology 27

S&P BSE 250 LargeMidCap, 65:35

Underlying Indices. S&P BSE 100 LargeCap TMC and S&P BSE 150 MidCap.

Underlying Index Index Code Index Weight

S&P BSE 100 LargeCap TMC SPB1LTIP 65%
S&P BSE 150 MidCap SPB15MIP 35%

Index Eligibility. All constituents of the underlying indices are eligible for index inclusion.

Index Calculation. The index uses the following formula:

On any trading date, t, the index is calculated as follows using the component indices as detailed on the
prior pages:

Indext = IndexPB * (1 + IndexReturnt)

IndexReturnt = ∑𝑛𝑖=1 𝑊i𝑅i

where:
IndexPB = Index value on the previous rebalancing date.
wi = Weight of an asset class i.
Ri = Cumulative return of the representative asset class i at t from the previous rebalancing
date.

Rebalancing. The index is rebalanced quarterly, effective after the close of the third Friday of March,
June, September, and December. At each rebalancing, the weights of the underlying indices are reset to
65% and 35% of the total index weight.

Index Maintenance. All index adjustments and corporate action treatments follow the underlying index.

Asia Index Private Limited: S&P BSE Indices Methodology 28

S&P BSE PSU

Eligible Universe. S&P BSE 500 companies classified as a PSU by BSE are eligible for the index.

Index Construction. Companies classified under the category “PSU” and are part of S&P BSE 500 after
the review form the index.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

Additions. No additions are made to the index between rebalancings.

Asia Index Private Limited: S&P BSE Indices Methodology 29

S&P BSE CPSE

Eligible Universe. All the companies classified as CPSE by the Ministry of Public Sector Enterprises are
eligible for the index. CPSE refers to any public sector undertaking where the Central Government or any
other CPSE holding is equal to or greater than 51%. Public Sector Banks are not classified as CPSE.
CPSE companies with the following characteristics are not eligible for index inclusion:
1. Companies classified in Z group by BSE.
2. Companies traded under a permitted category at BSE.
3. Companies objected by the Surveillance Department of BSE.
4. Companies identified on the Graded Surveillance Measure (GSM) list.11 In addition, a company
dropped due to inclusion on the GSM list must remain off the list for six consecutive months prior
to the rebalancing reference date to be reconsidered for index inclusion.
5. Companies traded on the BSE’s SME platform.
6. Companies suspended, as of the rebalancing reference date.

Index Construction. Companies classified as “CPSE” by the Ministry of Public Sector Enterprise and
listed on BSE Ltd. form the index.

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

Additions. No additions are made to the index between rebalancings.

Deletions. Any company added to the GSM list will be dropped from the index effective at the open of
Tuesday, following the first Monday of every month. The reference date for the list is the third Friday of
every month.

11
For more details, please refer to
https://www.bseindia.com/markets/equity/EQReports/graded_surveil_measure.aspx?expandable=6.

Asia Index Private Limited: S&P BSE Indices Methodology 30

S&P BSE Bharat 22 Index

Eligible Universe. The following companies listed on the BSE Ltd. are eligible for index inclusion:
1. All companies classified as Central Public Sector Enterprises (CPSE) by the Government of
India.
2. All companies classified as Specific Undertaking of the Unit Trust of India (SUUTI).
3. All Public Sector Undertaking (PSU) Banks.
4. All other companies disinvested by the Government of India.

Index Construction. The Government of India publishes a list 12 of certain stocks from the eligible
universe, all of which are under the disinvestment program. These stocks are selected and form the
index.

Constituent Weightings. Index constituents are weighted by their float-adjusted market capitalization,
subject to an individual stock weight cap of 15% and a common India Industry Classification Structure
macro-economic indicator weight cap of 20%. Individual stock and sector weight caps are applied during
the annual March rebalancing.

Additions and Deletions. Additions and deletions to the index occur only where the Government of
India notifies the public of a change under its disinvestment program on their website.11 Changes to the
index will be made within a reasonable time frame, subject to five business days advance notice. In
addition to the annual March rebalancing, any addition to or deletion from the index will trigger an ad-hoc
rebalancing to reweight all individual stock and sector caps. For any ad-hoc rebalancing, constituents’
index shares are calculated using closing prices seven business days prior to the rebalancing date.

Please refer to the Corporate Action table in Index Maintenance for details on how spin-off additions are
treated.

12
For the publicly available list of constituent stocks at launch, please refer to
http://pib.nic.in/newsite/PrintRelease.aspx?relid=169636. For notice of changes to the Government of India’s disinvestment
program, please refer to http://pib.nic.in/newsite/erelease.aspx.

Asia Index Private Limited: S&P BSE Indices Methodology 31

S&P BSE REITs and InvITs Index

Eligible Universe. All stocks listed on BSE Ltd. that are domiciled in India and classified as Real Estate
Investment Trusts (REITs) or Infrastructure Investment Trusts (InvITs) are eligible for the index. Stocks
with the following characteristics as of the reference date are not eligible for index inclusion:
1. Stocks with a trading frequency of less than 80% during the previous six months.
2. Stocks with a listing history of less than one month.
3. Stocks with a float-adjusted market capitalization less than INR 1 billion.
In addition to the above stock-level rules, companies with the following characteristics as of the reference
date are not eligible for index inclusion:
1. Companies classified in Z group by BSE.
2. Companies traded under a permitted category at BSE.
3. Companies objected to by the Surveillance Department of BSE.
4. Companies identified on the Graded Surveillance Measure (GSM) list.13 In addition, a company
dropped due to inclusion on the GSM list must remain off the list for six consecutive months prior
to the rebalancing reference date to be reconsidered for index inclusion.
5. Companies traded on the BSE’s SME/Startup platform.
6. Companies that are suspended.

Index Construction. Select all eligible stocks to form the index.

Constituent Weightings. Index constituents are float-adjusted market capitalization weighted, with the
following capping rules at each quarter effective at the open of Monday following the third Friday of
March, June, September and December. Constituents’ index shares are calculated using closing prices
on the Wednesday prior to the second Friday of the rebalancing month as the reference price
1. If the number of stocks within the index is less than or equal to three, the securities in the index
are equal weighted.
2. If the number of stocks within the index is four, cap the weight of the securities in the index at
33%.
3. If the number of stocks within the index is greater than or equal to five, then cap the weight of
each security in the index at 33% and cap the aggregate weight of the top three securities at
63%.

13
For more details, please refer to
https://www.bseindia.com/markets/equity/EQReports/graded_surveil_measure.aspx?expandable=6.

Asia Index Private Limited: S&P BSE Indices Methodology 32

S&P BSE IPO

Eligible Universe. Companies listed on BSE after the completion of their IPO are considered eligible for
inclusion in the index. Follow-on public issues are not eligible for inclusion.

Index Construction. A company must have minimum float-adjusted market capitalization of INR 1 billion
based on the issue price.

A company is included in the index on the third day of listing subject to the fulfillment of the minimum
float-adjusted market capitalization criteria.

A company is excluded from the index at the open of the Monday following the third Friday of the month
after the completion of one year of listing.

A minimum of 10 companies are maintained in the index.

If there are less than 10 companies due to a possible exclusion after one year, the exclusion of the
company is delayed until a new inclusion is made to the index

Constituent Weightings. The index is weighted by float-adjusted market capitalization, subject to an

individual stock weight cap of 20%. Weights are updated at each monthly rebalancing.

Asia Index Private Limited: S&P BSE Indices Methodology 33

S&P BSE SME IPO

Eligible Universe. Companies listed on the BSE SME Platform after the completion of their IPO are
considered eligible for inclusion in the index. Follow-on public issues are considered ineligible for
inclusion.

Index Construction. At each rebalancing, the constituents of the eligible universe are selected and form
the index, subject to the following:
• A company is included in the index on the second day of its listing.
• A company is excluded from the index at the open of the Monday following the third Friday of the
month after completion of one year of listing on the BSE SME Platform.
• A company that migrates from the BSE SME Platform to the BSE Mainboard Platform is removed
from the index on the effective date of the migration, even if the migration occurs before the
completion of one year of listing.
• A minimum of 10 companies is maintained in the index at all times.

If the removal of a company due to violation of the one-year listing rule would result in fewer than the
minimum 10 companies, the exclusion is delayed until a new company is included in the index. 14

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

14
The index calculation started with five constituents for its base composition in back testing.

Asia Index Private Limited: S&P BSE Indices Methodology 34

S&P BSE DOLLEX Indices

Index Construction. The S&P BSE SENSEX represents the universe for the S&P BSE DOLLEX 30.
The S&P BSE 100 is the universe for the S&P BSE DOLLEX 100, and the S&P BSE 200 is the universe
for the S&P BSE DOLLEX 200.

The formula for calculating the indices is:

𝐼𝑛𝑑𝑒𝑥 𝑉𝑎𝑙𝑢𝑒 (𝑙𝑜𝑐𝑎𝑙 𝑐𝑢𝑟𝑟𝑒𝑛𝑐𝑦) ∗ 𝐵𝑎𝑠𝑒 𝑈𝑆𝐷 − 𝐼𝑁𝑅 𝑟𝑎𝑡𝑒

𝐷𝑜𝑙𝑙𝑒𝑥 =
𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝑈𝑆𝐷 − 𝐼𝑁𝑅 𝑟𝑎𝑡𝑒
Base Exchange Rates. Based exchange rates are shown in the table below.

Index Base Rate (INR/USD)

S&P BSE DOLLEX 30 8.21
S&P BSE DOLLEX 100 10.345
S&P BSE DOLLEX 200 16.649

Constituent Weightings. Index constituents are weighted based on their float-adjusted market
capitalization.

Asia Index Private Limited: S&P BSE Indices Methodology 35

S&P BSE Sector Indices

Index Sector
S&P BSE AUTO Transportation Equipment
S&P BSE OIL & GAS Oil & Gas
S&P BSE METAL Metal, Metal Products, & Mining
S&P BSE BANKEX15 Banks
Heavy Electrical Equipment, Power Generation, Integrated Power
S&P BSE POWER14
Utilities and Power – Transmission
S&P BSE CAPITAL GOODS Capital Goods
S&P BSE CONSUMER DURABLES Consumer Durables
S&P BSE REALTY14 Realty
S&P BSE TECK16 Media & Publishing, Information Technology & Telecommunications

Market Coverage. Eligible stocks are selected based on their average float-adjusted market
capitalization rank, until a minimum market coverage of 90% of the average float-adjusted market
capitalization per sector is achieved.

Liquidity. Companies must have a minimum trading frequency of 90% in the preceding six months.

Buffers. A buffer of 2% both for inclusion and exclusion in the index is considered to minimize the
turnover. For example, a non-constituent is included in the index only if it falls within 88% coverage and
an existing index constituent is not excluded unless it falls above 92% coverage. However, the buffer
criterion is applied only after the minimum 90% float-adjusted market capitalization coverage is satisfied.
To maintain a minimum count of 10 in the index, constituents are retained, and non-constituents are
included based on their average float-adjusted market capitalization rank.

Constituent Weightings. With the exception of the S&P BSE BANKEX and S&P BSE OIL & GAS, the
constituents of each of the S&P BSE Sector Indices are weighted by float-adjusted market capitalization.

The S&P BSE BANKEX and S&P BSE OIL & GAS employ a non-market capitalization weighting scheme
for corporate action.17 At each quarterly share update, index constituents are weighted based on float-
adjusted market capitalization, subject to a 22% and 20% weight cap, respectively. Any excess weight is
distributed proportionally across the remaining stocks in the index.

Except for the indices listed below, weighting scheme treatment is listed in the Market Capitalization
Weighted Indices section of S&P Dow Jones Indices’ Index Mathematics Methodology:
• S&P BSE BANKEX
• S&P BSE OIL & GAS

For weighting schemes in the indices mentioned above, please refer to the Capped-Market Capitalization
Weighted Indices section of &P Dow Jones Indices’ Index Mathematics Methodology.

15
The index follows the common India Industry Classification Structure.
16
For the S&P BSE TECK, the index aims for each sector to have a minimum constituent count of 10, with 90% coverage. In cases
where there are fewer than 10 eligible constituents, the 90% coverage ratio is still maintained.
17
The S&P BSE BANKEX and S&P BSE OIL & GAS employ a non-market capitalization weighting scheme effective after the close
on January 23, 2015, and April 1, 2015, respectively. Prior to the effective date, the indices employed a float-adjusted market
capitalization weighting scheme.

Asia Index Private Limited: S&P BSE Indices Methodology 36

S&P BSE Realized Volatility Indices

Index Calculations. The formula for realized volatility uses continuously compounded daily returns
assuming a mean daily price return of zero. The summation of the squared daily returns is annualized,
assuming 252 business days per year.

The following formula is used to calculate the value of the index on the nth day of the underlying option
expiration cycle. At BSE, the options expire on the last Friday of the month.

∑𝑛𝑡=1 𝑅𝑡2
𝑅𝐸𝐴𝐿𝑉𝑂𝐿𝑛 = √252 ∗ ( )
𝑛

where:
n = nth day of the underlying option expiration cycle; resets to 1 at the start of a new cycle.
𝑃𝑡
Rt = ln = One-day log return of the S&P BSE SENSEX.
𝑃𝑡−1

Pt = Closing value of the S&P BSE SENSEX on the tth day of the option expiration cycle.

Asia Index Private Limited: S&P BSE Indices Methodology 37

Index Maintenance
Rebalancing

Index rebalancings occur as detailed in the table below. The table is arranged in chronological order.

Note: The Effective dates are at the market open and Reference dates are after the market close.

Reference
Category Index Frequency Effective Date Date
S&P BSE SENSEX
S&P BSE 100
S&P BSE SENSEX 50
S&P BSE SENSEX Next 50
S&P BSE 100 LargeCap TMC
S&P BSE SENSEX 50 TMC Monday following the third Last trading
S&P BSE SENSEX Next 50 TMC Semi-annual Friday of June and day of April
S&P BSE 200 December and October
Broad
S&P BSE 500
S&P BSE 150 MidCap
S&P BSE 250 SmallCap
S&P BSE 250 LargeMidCap
S&P BSE 400 MidSmallCap
Monday following the third
S&P BSE 250 LargeMidCap, 65:35 Quarterly Friday of March, June, --
September and December
S&P BSE PSU Monday following the third Last trading
Semi-annual Friday of June and day of April
S&P BSE CPSE December and October
Monday following the third
Thematic S&P BSE Bharat 22 Index18 Annual --
Friday of March
Monday following the third Third Friday of
S&P BSE REITs and InvITs Index Semi-annual Friday of March and February and
September August
S&P BSE DOLLEX 30 Monday following the third Last trading
S&P BSE DOLLEX 100 Semi-annual Friday of June and day of April
S&P BSE DOLLEX 200 December and October
S&P BSE IPO Monday following the third
--
S&P BSE SME IPO Friday of the month
Investment S&P BSE SENSEX Futures Index
Monthly
Strategy S&P BSE Arbitrage Rate Index One day before the futures
--
S&P BSE 500 and Arbitrage Rate 50/50 Blend contract expiration date
Index
S&P BSE SENSEX 2X Leverage Daily Index
S&P BSE SENSEX 1X Inverse Daily Index Daily -- --
S&P BSE SENSEX 2X Inverse Daily Index
S&P BSE AUTO
S&P BSE BANKEX
S&P BSE CAPITAL GOODS
S&P BSE CONSUMER DURABLES Monday following the third Last trading
Sector S&P BSE METAL Semi-annual Friday of June and day of April
S&P BSE OIL & GAS December and October
S&P BSE POWER
S&P BSE REALTY
S&P BSE TECK

For non-market capitalization weighted indices, constituents’ index shares are calculated using closing
prices on the Wednesday prior to the second Friday of the rebalancing month as the reference price.
Index share amounts are calculated and assigned to each stock to arrive at the weights determined on

18
If an ad-hoc rebalancing occurs within the three months prior to the annual March rebalancing, then the annual March rebalancing
for that year is not conducted.

Asia Index Private Limited: S&P BSE Indices Methodology 38

the reference date. Since index shares are assigned based on the reference prices, the actual weight of
each stock at the rebalancing differs from these weights due to market movements.

Asia Index Private Limited: S&P BSE Indices Methodology 39

Share Updates. Changes in shares outstanding of less than 5% are accumulated and made quarterly at
the open of the Monday following the third Friday of March, June, September, and December. Changes in
shares outstanding of 5% or more are made as soon as reasonably possible after the data has been
verified.

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

Float Adjustment. Investable Weight Factors (IWFs), which define the available float for a company, are
reviewed on an annual basis and are implemented at the open of the Monday following the third Friday of
September. Changes to a company’s IWF of five percentage points or more (for example from 0.80 to
0.85) are made as soon as reasonably possible after the data has been verified.

Foreign investment limits are not applied while calculating the IWF for S&P BSE index constituents.

For details on float adjustment and Investable Weight Factors, please refer to S&P Dow Jones Indices’
Float Adjustment Methodology.

Ongoing Maintenance

The indices are also reviewed on an ongoing basis to account for events such as mergers, takeovers,
delistings, group changes, suspensions, surveillance objections, graded surveillance measure objections,
spin-offs/demergers, or bankruptcies. Changes to index composition and related weight adjustments are
made as soon as they are effective. These changes are typically announced one to five business days
prior to the implementation date.

Additions

Broad-based Indices. Between rebalancings, if a company’s ordinary share class is added to a Broad-
based index, its DVR share class is also eligible for index inclusion provided it meets all of the criteria as
specified in Eligibility Criteria and Index Construction. If a company is dropped from an index due to a
corporate action, the most eligible non-constituent company as of the last business day of the previous
month based on the specific index’s eligibility and construction criteria is added to the index as a
replacement in order to maintain the target count.19

Any addition of a new company into the S&P BSE 500 (which is not added to the S&P BSE 100
LargeCap TMC) is added to either the S&P BSE 150 MidCap or S&P BSE 250 SmallCap based on its
daily six-month average total market capitalization as of the last business day of the previous month.20

Fast-Tracked IPOs. To allow for the immediate inclusion or “fast track” of significantly sized IPOs in the
BSE indices, the IPO must be among the top 10 companies, based on a respective index’s construction
ranking criteria. In addition, IPO stocks that include DVR stocks must satisfy all other criteria mentioned
under the “Eligibility and Index Construction” section of each index. In such cases, the minimum listing
history required is one month. For S&P BSE SENSEX Index, stocks must also have a derivative contract.
Companies meeting these criteria are added to the broad-based indices with five days’ notice to clients. If
a fast-tracked IPO is added to an index, then the smallest company, by the respective construction
ranking criteria, is removed. The data reference period is one month from the IPO listing date.

Such IPOs must also satisfy the derivatives market linkage rule to be included in the S&P BSE 100, S&P
BSE SENSEX 50, S&P BSE SENSEX Next 50, S&P BSE 100 LargeCap TMC, and S&P BSE SENSEX
50 TMC. If a fast-tracked IPO is added to the S&P BSE SENSEX 50, then the smallest company by rank
in the index is dropped and added to the S&P BSE SENSEX Next 50. In such a case, the smallest

19
For back-tested data for the S&P BSE SENSEX 50, the largest eligible company by float-adjusted market capitalization that was
not selected for index inclusion at the last rebalancing was added to the index as a replacement.
20
For history prior to May 29, 2017, full rebalancings were conducted at both the scheduled rebalancing and ad-hoc rebalancing,
driven by additions/deletions due to corporate actions. The companies were selected based on total market capitalization as of
the open of the rebalancing effective date. In addition, no buffers were applied during that period.

Asia Index Private Limited: S&P BSE Indices Methodology 40

company by rank in the S&P BSE SENSEX Next 50 is dropped so that the index maintains its target
count of 50 companies. Similarly, if a fast-tracked IPO is added to the S&P BSE SENSEX 50 TMC21, then
the smallest company by rank in the index is dropped and added to the S&P BSE SENSEX Next 50 TMC.
In such a case, the smallest company by rank in the S&P BSE SENSEX Next 50 TMC is dropped so that
the index maintains the target count of 50 companies.

S&P BSE Sector Indices. If the sector classification of a company changes between rebalancings, the
change is accounted for at the quarterly share update. Companies that change to an ineligible sector are
dropped from the respective index on a quarterly basis. During the March and September quarterly share
updates, deletions are made without replacements, even if the company count falls below 10.
Replacements are only made to the indices during the June and December semi-annual rebalancings.
Changes take effect at the open of the Monday following the third Friday of March, June, September, and
December.

Deletions

Between rebalancings, a company can be deleted from an index due to events such as mergers,
takeovers, delistings, group changes, suspensions, surveillance objections, graded surveillance measure
objections, spin-offs/demergers, or bankruptcies. In addition, index constituents removed from an index’s
underlying universe are also deleted from the index on the same effective date.
• Whenever possible, changes in the index’s components are announced at least one to five
business days prior to their implementation date.
• Whenever practicable, Asia Index Private Limited uses the closing price for all deletions.

Graded Surveillance Measure (GSM)

On a monthly basis, companies added to the GSM list are dropped from the indices. The effective date of
the drop is at the open of the Tuesday following the first Monday of each month. The reference date for
the GSM list data is the third Friday of the previous month.

Any company dropped due to inclusion on the GSM list must remain off the list for six consecutive months
prior to the rebalancing reference date to be reconsidered for index inclusion.

Regulatory Review

In addition to the index construction and constituent weighting rules employed by each index, the S&P
BSE SENSEX, S&P BSE SENSEX Next 50, S&P BSE Bharat 22 Index, S&P BSE 500, and S&P BSE
100 are checked for consistency with the four Securities and Exchange Board of India (SEBI) norms on a
quarterly basis.22 If the norms are found not to have been adhered to during the period under review, the
index committee, at its discretion and on a case-by-case basis, will take appropriate measures to ensure
compliance with the SEBI norms. Any changes resulting from the regulatory review will take effect at the
open of the Monday following the third Friday of March, June, September, and December.

Corporate Actions
Except for the indices listed below, corporate action treatment is detailed in the Market Capitalization
Weighted Indices section of S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology:
• S&P BSE BANKEX
• S&P BSE OIL & GAS

21
The Fast-track IPO rule applies from the launch date for the S&P BSE SENSEX 50 TMC and S&P BSE SENSEX Next 50 TMC.
22
For details on the four SEBI norms, please refer to SEBI circular no: SEBI/HO/IMD/DF3/CIR/P/2019/011, available at
www.sebi.gov.in/legal/circulars/jan-2019/portfolio-concentration-norms-for-equity-exchange-traded-funds-etfs-and-index-
funds_41588.html.

Asia Index Private Limited: S&P BSE Indices Methodology 41

For corporate action treatment in the indices above, please refer to the Non-Market Capitalization
Weighted Indices section of S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology.

Float-Adjusted Market Capitalization Weighted Indices. The following table details the most common
corporate actions and index treatment for the S&P BSE Indices employing a float-adjusted market
capitalization weighting scheme.

Divisor
Corporate Action Adjustment to Index Adjustment?
Spin-Off In general, the parent company is dropped from the index. Yes
However, if information regarding price adjustment is available,
the parent company may remain in the index with an adjusted
price, at the discretion of the Index Committee.
Rights Offering Rights price is adjusted, and index shares will be increased as Yes
per the Rights Ratio.
Stock Dividend (Bonus), Index shares are multiplied by, and price is divided by, the split No
Stock split, Reverse Stock factor.
Split
Change in Shares (new Index shares and weights will change as per the corporate Yes
issue, repurchase, warrant action.
conversion etc.)
Special Dividend Price of stock making special dividend is reduced by the per Yes
share special dividend amount after the close of trading on the
day before the dividend ex-date.
Constituent Change No intraday rebalancing. No
Deletions due to delisting, acquisition or any other corporate Yes
event resulting in the deletion of the stock from the index
causes the weights of the rest of the stocks in the index to
change.
Stocks that are reclassified into Z group between rebalancings Yes
are removed from the index as soon as practicable.
Rebalancing changes including additions, deletions and weight Yes
changes.

Non-Market Capitalization Weighted Indices. The following table details the most common corporate
actions and index treatment for the S&P BSE Indices employing a non-market capitalization weighting
scheme, except for the S&P BSE Bharat 22 Index whose specific corporate actions and index treatment
are detailed in the next table.

Divisor
Corporate Action Adjustment to Index Adjustment?
Spin-Off In general, the parent company is dropped from the index. Yes
However, if information regarding price adjustment is available,
the parent company may remain in the index with an adjusted
price, at the discretion of the Index Committee.
Rights Offering The price is adjusted to the Price of the Parent Company minus No
the Price of the Rights Offering/Rights Ratio. Index shares
change so that the company’s weight remains the same as its
weight before the rights offering.
Stock Dividend (Bonus), Index shares are multiplied by, and price is divided by, the split No
Stock split, Reverse Stock factor.
Split
Change in Shares (new None. No
issue, repurchase, warrant
conversion etc.)
Special Dividend Price of stock making special dividend is reduced by the per Yes
share special dividend amount after the close of trading on the
day before the dividend ex-date.
Constituent Change No intraday rebalancing. No
Deletions due to delisting, acquisition or any other corporate Yes
event resulting in the deletion of the stock from the index

Asia Index Private Limited: S&P BSE Indices Methodology 42

 Divisor
Corporate Action Adjustment to Index Adjustment?
causes the weights of the rest of the stocks in the index to
change.
Stocks that are reclassified into Z group between rebalancings Yes
are removed from the index as soon as practicable.
Rebalancing changes including additions, deletions and weight Yes
changes

S&P BSE Bharat 22 Index. The following table details the most common corporate actions and index
treatment for the index.

Divisor
Corporate Action Adjustment to Index Adjustment?
Rights Offering The price is adjusted to the Price of the Parent Company minus No
the Price of the Rights Offering/Rights Ratio. Index shares
change so that the company’s weight remains the same as its
weight before the rights offering.
Stock Dividend (Bonus), Index shares are multiplied by, and price is divided by, the split No
Stock split, Reverse Stock factor.
Split
Change in Shares (new None. No
issue, repurchase, warrant
conversion etc.)
Special Dividend Price of stock making special dividend is reduced by the per Yes
share special dividend amount after the close of trading on the
day before the dividend ex-date.
Constituent Change Addition and deletion, as notified by Government of India, will Yes
result in ad-hoc rebalancing. Stocks will be reweighted based
on the weighing scheme.
Spin-Off Spin-offs are generally added to the index per the treatment described in S&P
Dow Jones Indices’ Equity Indices Policies & Practices Methodology. Any such
addition will be announced to clients in advance.

For information on spin-off treatment, please refer to S&P Dow Jones Indices’
Equity Indices Policies & Practices Methodology

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

Currency of Calculation and Additional Index Return Series

All S&P BSE Indices calculate in Indian rupees and U.S. dollars, except the S&P BSE DOLLEX series,
and the S&P BSE 200. The S&P BSE DOLLEX series is only calculated in U.S. dollars, while the S&P
BSE 200 is calculated in both Indian rupees and Australian dollars.

Spot foreign exchange rates provided by Refinitiv are taken daily at 3:00 PM India Time and used in the
end-of-day calculation to calculate the indices in U.S. dollars and Australian dollars.

The S&P BSE SENSEX is also calculated in U.S. dollars using WM/Refinitiv foreign exchange rates taken
daily at 4:00 PM London Time. These mid-market fixings are calculated by The WM Company based on
Refinitiv data and appear on Refinitiv pages WMRA.

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

For information on the calculation of S&P BSE BANKEX and S&P BSE OIL & GAS, please refer to the Non-
Market Capitalization Weighted Indices section of S&P Dow Jones Indices’ Index Mathematics Methodology.

Asia Index Private Limited: S&P BSE Indices Methodology 43

For all other indices, index calculation schemes are detailed in the Market Capitalization Indices section of S&P
Dow Jones Indices’ Index Mathematics Methodology.
For the inputs necessary to calculate certain types of indices, including decrement, dynamic hedged, fair
value, and risk control indices, please refer to the Parameters documents available at
www.spglobal.com/spdji.

Base Dates and History Availability

Index history availability, base dates, and base values are shown in the table below.

Launch First Value Base

Index Date Date Base Date Value
S&P BSE SENSEX 01-Jan-86 03-Apr-79 1978-79 100
S&P BSE SENSEX Futures Index 29-Sep-14 31-Jan-12 31-Jan-12 1000
S&P BSE Arbitrage Rate Index (INR) 20-Mar-18 31-Jan-12 31-Jan-12 1000
S&P BSE 500 and Arbitrage Rate 50/50 Blend Index 24-Jul-23 31-Jan-12 31-Jan-12 1000
S&P BSE SENSEX 2X Leverage Daily Index 24-Mar-15 15-Jun-98 01-Jan-13 1000
S&P BSE SENSEX 1X Inverse Daily Index 24-Mar-15 15-Jun-98 01-Jan-13 1000
S&P BSE SENSEX 2X Inverse Daily Index 24-Mar-15 15-Jun-98 01-Jan-13 1000
S&P BSE 100 03-Jan-89 03-Apr-84 1983-84 58
S&P BSE SENSEX 50 06-Dec-16 16-Dec-05 16-Dec -05 2900
S&P BSE SENSEX Next 50 27-Feb-17 16-Dec-05 16-Dec-05 7000
S&P BSE 100 LargeCap TMC 09-Jul-18 16-Dec-05 16-Dec-05 1000
S&P BSE SENSEX 50 TMC 18-Apr-18 16-Dec-05 16-Dec-05 1000
S&P BSE SENSEX Next 50 TMC 18-Apr-18 16-Dec-05 16-Dec-05 1000
S&P BSE 200 27-May-94 02-Jan-91 1989-90 100
S&P BSE 500 09-Aug-99 01-Feb-99 01-Feb-99 1000
S&P BSE 150 MidCap 30-Nov-17 16-Sep-05 16-Sep-05 1000
S&P BSE 250 SmallCap 30-Nov-17 16-Sep-05 16-Sep-05 1000
S&P BSE 250 LargeMidCap 30-Nov-17 16-Sep-05 16-Sep-05 1000
S&P BSE 400 MidSmallCap 30-Nov-17 16-Sep-05 16-Sep-05 1000
S&P BSE 250 LargeMidCap, 65:35 30-Nov-17 16-Sep-05 16-Sep-05 1000
S&P BSE CAPITAL GOODS 09-Aug-99 01-Feb-99 01-Feb-99 1000
S&P BSE CONSUMER DURABLES 09-Aug-99 01-Feb-99 01-Feb-99 1000
S&P BSE PSU 04-Jun-01 01-Feb-99 01-Feb-99 1000
S&P BSE CPSE 29-Sep-14 08-July-08 08-July-08 1000
S&P BSE Bharat 22 Index23 10-Aug-17 17-Mar-06 17-Mar-06 1000
S&P BSE TECK 11-Jul-01 31-Jan-00 02-Apr-01 1000
S&P BSE BANKEX 23-Jun-03 01-Jan-02 01-Jan-02 1000
S&P BSE AUTO 23-Aug-04 01-Feb-99 01-Feb-99 1000
S&P BSE METAL 23-Aug-04 01-Feb-99 01-Feb-99 1000
S&P BSE OIL & GAS 23-Aug-04 01-Feb-99 01-Feb-99 1000
S&P BSE DOLLEX 30 25-Jul-01 03-Apr-79 1978-79 125.22
S&P BSE DOLLEX 100 22-May-06 02-Jan-91 1983-84 167.62
S&P BSE DOLLEX 200 27-May-94 02-Jan-91 1989-90 120.32
S&P BSE REALTY 09-Jul-07 02-Jan-06 2005 1000
S&P BSE POWER 09-Nov-07 03-Jan-05 03-Jan-05 1000
S&P BSE IPO 24-Aug-09 03-May-04 03-May-04 1000
S&P BSE SME IPO 14-Dec-12 16-Aug-12 16-Aug-12 100
S&P BSE REALVOL-1MTH 12-Nov-10 12-Nov-10 - -
S&P BSE REALVOL-2MTH 12-Nov-10 12-Nov-10 - -
S&P BSE REALVOL-3MTH 12-Nov-10 12-Nov-10 - -
S&P BSE REITs and InvITs Index 09-Oct-23 18-Sep-20 18-Sep-20 100

23
The index’s historical composition is the same as the composition at launch. Stocks were added to the index at each subsequent
rebalancing in March following their IPO.

Asia Index Private Limited: S&P BSE Indices Methodology 44

Index Data
Calculation Return Types – Equity Indices

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

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

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

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

Asia Index Private Limited: S&P BSE Indices Methodology 45

Index Governance
Index Committee

The S&P BSE Indices Index Committee oversees the S&P BSE Indices. The Index Committee is
composed of full-time employees of S&P Dow Jones Indices and the BSE. The Index Committee meets
quarterly. At each meeting, the Index Committee may review pending corporate actions that may affect
index constituents, statistics comparing the composition of the indices to the market, companies that are
being considered as candidates for addition to an index, and any significant market events. In addition,
the Index Committee may revise index policy covering rules for selecting companies, treatment of
dividends, share counts or other matters.

Asia Index Private Limited considers information about changes to its indices and related matters to be
potentially market moving and material. Therefore, all Index Committee discussions are confidential.

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

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

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

Asia Index Private Limited: S&P BSE Indices Methodology 46

Index Policy
Announcements

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

To comply with SEBI regulations for indices with derivative contracts, index composition changes due to
scheduled rebalancings are announced four weeks in advance of the rebalancing effective date for the
following indices:
• S&P BSE SENSEX • S&P BSE SENSEX Next 50
• S&P BSE 100 • S&P BSE BANKEX
• S&P BSE SENSEX 50

Pro-forma Files

In addition to the corporate events file (.SDE), Asia Index Private Limited provides constituent pro-forma
files each time the indices rebalance. The pro-forma file is typically provided daily in advance of the
rebalancing date and contains all constituents as well as their corresponding weights and index shares
effective for the upcoming rebalancing.

Please visit www.spglobal.com/spdji for a complete schedule of rebalancing timelines and pro-forma
delivery times.

Holiday Schedule

The S&P BSE Indices are calculated on all business days when the BSE is open.

A complete holiday schedule for the year is available on the BSE Ltd. Web site at www.bseindia.com.

Special Trading Sessions. The S&P BSE Indices will be calculated on special trading sessions as
declared by the Bombay Stock Exchange. Some examples include, but are not limited to, special trading
sessions on Saturday and Mahurat trading. Asia Index Private Limited will issue a notice to inform market
participants regarding such special trading sessions.

If the special trading session falls on the Saturday following the third Friday of any rebalancing month, the
new portfolio will be effective at the discretion of the Index Committee. Asia Index Private Limited will
issue a notice to inform market participants detailing when the new portfolio will become effective.

Rebalancing

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

Unexpected Exchange Closures

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

Asia Index Private Limited: S&P BSE Indices Methodology 47

Recalculation Policy

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

Real-Time Calculation

Real-time, intra-day index calculations are executed for certain S&P BSE Indices on the BSE real-time
platform, “EPIC”. Real-time indices are not restated.

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

End-of-Day Calculation
End of day index calculations are executed on an S&P proprietary platform.

Contact Information

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

Asia Index Private Limited: S&P BSE Indices Methodology 48

Index Dissemination
Index levels are available through S&P Dow Jones Indices’ Web site at www.spglobal.com/spdji, Asia
Index Private Limited’s Web site at www.asiaindex.co.in, major quote vendors (see codes below),
numerous investment-oriented Web sites, and various print and electronic media.

Tickers

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

Index Bloomberg RIC

S&P BSE 500 BSE500 .BSE500
S&P BSE 500 (TR) BSE500TR --
S&P BSE 500 (USD) SPBSE5UP --
S&P BSE 500 (USD) TR SPBSE5UT --
S&P BSE 100 BSE100 .BSE100
S&P BSE 100 (TR) BSE100TR --
S&P BSE SENSEX 50 SPBSS5IP .SPBSESN50
S&P BSE SENSEX 50 TR SPBSS5IT --
S&P BSE SENSEX 50 (USD) SPBSS5UP --
S&P BSE SENSEX 50 TR (USD) SPBSS5UT --
S&P BSE SENSEX Next 50 SPBSN5IP .SPBSESNXT50
S&P BSE SENSEX Next 50 TR SPBSN5IT --
S&P BSE SENSEX Next 50 (USD) SPBSN5UP --
S&P BSE SENSEX Next 50 TR (USD) SPBSN5UT --
S&P BSE 100 LargeCap TMC SPB1LTIP --
S&P BSE 100 LargeCap TMC (TR) SPB1LTIT --
S&P BSE SENSEX Next 50 TMC SPBN5TIP --
S&P BSE SENSEX Next 50 TMC TR SPBN5TIT --
S&P BSE 200 BSE200 .BSE200
S&P BSE 200 (AUD) SPBSE2AP --
S&P BSE 200 (AUD) TR SPBSE2AT --
S&P BSE SENSEX SENSEX .BSESN
S&P BSE SENSEX (TR) SENSEXTR .BSESNTR
S&P BSE SENSEX (USD WM) SPBSSWUP --
S&P BSE SENSEX (USD WM) TR SPBSSWUT --
S&P BSE SENSEX Futures Index (ER) SPBSSFIE --
S&P BSE SENSEX Futures Index (TR) SPBSSFIT --
S&P BSE SENSEX Futures Index ER (USD) SPBSSFUE --
S&P BSE SENSEX Futures Index TR (USD) SPBSSFUT --
S&P BSE Arbitrage Rate Index (INR) SPBSARB --
S&P BSE 500 and Arbitrage Rate 50/50 Blend Index (INR) SPBARBIP .SPBARBIP
S&P BSE SENSEX 2X Leverage Daily Index SENSEX2L --
S&P BSE SENSEX 1X Inverse Daily Index SENSEX1I --
S&P BSE SENSEX 2X Inverse Daily Index SENSEX2I --
S&P BSE CAPITAL GOODS BSETCG .BSECG
S&P BSE CAPITAL GOODS (TR) BSETCGIT --
S&P BSE CAPITAL GOODS (USD) BSETCGUP --
S&P BSE CAPITAL GOODS (USD) TR BSETCGUT --
S&P BSE CONSUMER DURABLES BSETCD .BSECD
S&P BSE CONSUMER DURABLES (TR) BSETCDIT --
S&P BSE CONSUMER DURABLES (USD) BSETCDUP --
S&P BSE CONSUMER DURABLES (USD) TR BSETCDUT --

Asia Index Private Limited: S&P BSE Indices Methodology 49

 Index Bloomberg RIC
S&P BSE METAL BSEMETL .BSEMET
S&P BSE METAL (TR) BSEMETLT --
S&P BSE METAL (USD) SPBSEMUP --
S&P BSE METAL (USD) TR SPBSEMUT --
S&P BSE OIL & GAS BSEOIL .BSEOIL
S&P BSE OIL & GAS (TR) BSEOILT --
S&P BSE OIL & GAS (USD) BSEOILUP --
S&P BSE OIL & GAS (USD) TR BSEOILUT --
S&P BSE AUTO BSEAUTO .BSEAUTO
S&P BSE AUTO (TR) BSEAUTOT --
S&P BSE AUTO (USD) SPBSEAUP --
S&P BSE AUTO (USD) TR SPBSEAUT --
S&P BSE BANKEX BANKEX .BSEBANK
S&P BSE BANKEX (TR) BANKEXT --
S&P BSE BANKEX (USD) BANKEXUP --
S&P BSE BANKEX (USD) TR BANKEXUT --
S&P BSE PSU BSETPSU .BSEPSU
S&P BSE PSU (TR) BSETPSUT --
S&P BSE PSU (USD) SPBSEPUP --
S&P BSE PSU (USD) TR SPBSEPUT --
S&P BSE CPSE SPBSECP --
S&P BSE CPSE (TR) SPBSECPT --
S&P BSE CPSE (USD) SPBSECUP --
S&P BSE CPSE (USD) TR SPBSECUT --
S&P BSE TECK BSETECK .BSETECK
S&P BSE Bharat 22 Index SPBSB2IP .SPBSEBH
S&P BSE Bharat 22 Index TR SPBSB2IT --
S&P BSE Bharat 22 Index (USD) SPBSB2UP --
S&P BSE Bharat 22 Index (USD) TR SPBSB2UT --
S&P BSE 150 MidCap Index BSEMC150 .SPBS150M
S&P BSE 150 MidCap Index (INR) TR SPB15MIT --
S&P BSE 150 MidCap Index (USD) SPB15MUP --
S&P BSE 150 MidCap Index (USD) TR SPB15MUT --
S&P BSE 250 SmallCap Index SPB25SIP .SPBS250S
S&P BSE 250 SmallCap Index (USD) SPB25SUP --
S&P BSE 250 SmallCap Index (USD) TR SPB25SUT --
S&P BSE 250 LargeMidCap Index BSELM250 .SPBS250L
S&P BSE 250 LargeMidCap Index (INR) TR SPB25XIT --
S&P BSE 250 LargeMidCap Index (USD) SPB25XUP --
S&P BSE 250 LargeMidCap Index (USD) TR SPB25XUT --
S&P BSE 250 LargeMidCap 65:35 Index (INR) SPB2MXIP --
S&P BSE 250 LargeMidCap 65:35 Index (INR) TR SPB2MXIT --
S&P BSE 250 LargeMidCap 65:35 Index (USD) SPB2MXUP --
S&P BSE 250 LargeMidCap 65:35 Index (USD) TR SPB2MXUT --
S&P BSE 400 MidSmallCap Index BSEMS400 .SPBS400M
S&P BSE 400 MidSmallCap Index (INR) TR SPB40YIT --
S&P BSE 400 MidSmallCap Index (USD) SPB40YUP --
S&P BSE 400 MidSmallCap Index (USD) TR SPB40YUT --
S&P BSE POWER BSEPOWR .BSEPOWER
S&P BSE POWER (TR) BSEPOWRT --
S&P BSE POWER (USD) SPBSEWUP --
S&P BSE POWER (USD) TR SPBSEWUT --
S&P BSE REALTY BSEREAL .BSEREAL
S&P BSE REALTY (TR) BSEREALT --
S&P BSE REALTY (USD) SPBSERUP --
S&P BSE REALTY (USD) TR SPBSERUT --
S&P BSE DOLLEX 200 DOLLEX .BSEDX200
S&P BSE DOLLEX 200 TR DOLLEXT --
S&P BSE DOLLEX 100 DOLL100 .BSEDX100
S&P BSE DOLLEX 100 TR DOLL100T --

Asia Index Private Limited: S&P BSE Indices Methodology 50

 Index Bloomberg RIC
S&P BSE DOLLEX 30 DOLL30 .BSEDX30
S&P BSE DOLLEX 30 (TR) DOLL30T --
S&P BSE IPO BSEIPO .BSEIPO
S&P BSE IPO (TR) BSEIPOT --
S&P BSE IPO (USD) BSEIPOUP --
S&P BSE IPO (USD) TR BSEIPOUT --
S&P BSE SME IPO BSESMIPO .BSESMEIPO
S&P BSE SME IPO (TR) SPBSSIIT --
S&P BSE SME IPO (USD) SPBSSIUP --
S&P BSE SME IPO (USD) TR SPBSSIUT --
S&P BSE REITs and InvITs Index SPBRIIP .SPBRIIP
S&P BSE REITs and InvITs Index TR SPBRIIT .SPBRIIT

Index Data

Daily constituent and index level data are available via subscription.

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

Web site

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

Asia Index Private Limited: S&P BSE Indices Methodology 51

Appendix
Methodology Changes

Methodology changes since January 1, 2015, are as follows:

Effective Date Methodology
Change (After Close) Previous Updated
S&P BSE SENSEX 05/23/2023 The near-month futures contract expires The near-month futures contract expires
Futures Index- Future on the last Thursday of each month. In on the last Friday of each month. In case
Roll case the last Thursday is a holiday, it the last Friday is a holiday, it expires on
expires on the immediately preceding the immediately preceding business day.
business day.
S&P BSE Arbitrage Rate 05/24/2023 The index is rebalanced monthly, The index is rebalanced monthly,
Index- Rebalancing effective after the close one business day effective after the close one business day
prior to the expiration of the futures prior to the expiration of the futures
contract. The near-month futures contract contract. The near-month futures contract
expires on the last Thursday of each expires on the last Friday of each month.
month. If the last Thursday is a holiday, If the last Friday is a holiday, the contract
the contract expires on the immediately expires on the immediately preceding
preceding business day. business day.
S&P BSE Realized 05/26/2023 The formula for realized volatility uses The formula for realized volatility uses
Volatility Indices- Index continuously compounded daily returns continuously compounded daily returns
calculation assuming a mean daily price return of assuming a mean daily price return of
zero. The summation of the squared daily zero. The summation of the squared daily
returns is annualized, assuming 252 returns is annualized, assuming 252
business days per year. business days per year.

The formula is used to calculate the The formula is used to calculate the
value of the index on the nth day of the value of the index on the nth day of the
underlying option expiration cycle. At underlying option expiration cycle. At
BSE, the options expire on the last BSE, the options expire on the last Friday
Thursday of the month of the month
S&P BSE Power 03/17/2023 Stocks classified as Heavy Electrical Stocks classified as Heavy Electrical
Equipment, Electric Utilities, and Power – Equipment, Power Generation,
Transmission under the India Industry Integrated Power Utilities and Power -
Classification Structure Basic Industries Transmission under the India Industry
form the eligible universe. Classification Structure Basic Industries
form the eligible universe.
S&P BSE SENSEX: 12/16/2022 -- All stocks must have a derivative contract

Eligible Universe
S&P BSE SENSEX Next 12/16/2022 All companies part of the S&P BSE 100 All companies part of the S&P BSE 100
50: that are not part of the S&P BSE that are not part of the S&P BSE
SENSEX 50 are selected and form the SENSEX 50 are selected and form the
Constituent Selection index, subject to the following derivative index, subject to the following derivative
market linkage constraints: market linkage constraints:

• The individual float-adjusted weight • The individual float-adjusted weight

of any share class of a company not of any share class of a company not
linked to derivatives trading cannot linked to derivatives trading cannot
exceed 5% of the index. exceed 5% of the index.

• The aggregate float-adjusted weight • The aggregate float-adjusted weight

of the index constituents not linked of the index constituents not linked to
to derivatives trading cannot exceed derivatives trading cannot exceed
20%. 20%.

If any of the above derivative market If either of the above

linkage constraints are violated, the constraints are violated, the
lowest-ranked company not linked to following relaxation steps are
derivatives trading is removed and applied:
replaced with the highest-ranked eligible
company linked to derivatives trading. This 1. If the individual float-
process is repeated until the aggregate adjusted weight of any share
weight of the index constituents not linked class of a company not
to derivatives trading no longer violates linked to derivatives trading
the constraints outlined above. exceeds 5%, the stock is not

Asia Index Private Limited: S&P BSE Indices Methodology 52

 Effective Date Methodology
Change (After Close) Previous Updated
considered for selection and
the next best eligible stock,
based on six-month average
daily float-adjusted market
capitalization, is selected in
the S&P BSE SENSEX Next
50 and consequentially in
the S&P BSE 100.
2. If after step 1 the aggregate
float-adjusted weight of
constituents not linked to
derivatives trading exceeds
20%, the lowest-ranked
company not linked to
derivatives trading is
removed and replaced with
the highest-ranked eligible
company linked to
derivatives trading in the
S&P BSE SENSEX Next 50
and consequentially in the
S&P BSE 100. This process
repeats until the aggregate
weight of the constituents
not linked to derivatives
trading does not violate the
above constraints.
3. Steps 1 and 2 repeat
iteratively to ensure both
constraints are met.

Any stock excluded due to the

derivative market linkage and relaxation
rules is only considered for selection at
the rebalancing if the stock has
derivative contracts.
S&P BSE Bharat 22: 03/17/2023 Index constituents are weighted by their Index constituents are weighted by their
float-adjusted market capitalization, float-adjusted market capitalization,
Constituent Weightings subject to an individual stock weight cap of subject to an individual stock weight cap of
15% and an individual BSE sector weight 15% and a common India Industry
cap of 20%. Classification Structure macro-economic
indicator weight capped of 20%.
S&P BSE SENSEX: 12/16/2022 If after this step the target constituent count is c. If after this step the target constituent
not achieved, then non-constituents ranked 22 count is not achieved, then non-
Index Construction – 30 are selected by giving preference to those constituents ranked 22 – 30 are selected
(Step 5.c) companies whose BSE sector is by giving preference to those companies
underrepresented in the index as compared to whose common India Industry
the sector representation in the S&P BSE Classification Structure macro-economic
AllCap. indicator is underrepresented in the
index as compared to the macro-
economic indicator representation in the
S&P BSE AllCap.
S&P BSE BANKEX 06/17/2022 Stocks classified as Banks under the BSE Stocks classified as Banks industry under
Industry Sub-Group form the eligible the common India Industry Classification
universe. Structure form the eligible universe.
S&P BSE REALTY 06/17/2022 Stocks classified as Realty under the BSE Stocks classified as Realty industry under
Industry Sub-Group form the eligible the common India Industry Classification
universe. Structure form the eligible universe.
S&P BSE POWER 06/17/2022 Stocks classified as Heavy Electrical Stocks classified as Heavy Electrical
Equipment and Electric Utilities under the Equipment, Electric Utilities, and Power -
BSE Industry Sub-Group form the eligible Transmission basic industries under the
universe. common India Industry Classification
Structure form the eligible universe.
S&P BSE SENSEX, 06/21/2019 -- In addition to the index construction and
S&P BSE SENSEX Next constituent weighting rules employed by
50, S&P BSE Bharat 22 each index, the indices are checked for
Index, S&P BSE 500, consistency with the four SEBI norms on a
and S&P BSE 100: quarterly basis. If the norms are found not
to have been adhered to during the period
Regulatory Review under review, the index committee, at its
discretion and on a case-by-case basis,
will take appropriate measures to ensure

Asia Index Private Limited: S&P BSE Indices Methodology 53

 Effective Date Methodology
Change (After Close) Previous Updated
compliance with the SEBI norms. Any
changes resulting from the regulatory
review will take effect at the open of the
Monday following the third Friday of
March, June, September, and December.
S&P BSE SENSEX 50 12/21/2018 The indices are derived from constituents The indices are derived from constituents
TMC and S&P BSE of the S&P BSE 500. of the S&P BSE 100 LargeCap TMC.
SENSEX Next 50 TMC:
Eligible Universe
S&P BSE 150 MidCap: 12/21/2018 All the companies in the S&P BSE 500 All the companies in the S&P BSE 500
that are not part of the S&P BSE 100 are that are not part of the S&P BSE 100
Index Construction ranked based on average six month daily LargeCap TMC are ranked based on
total market capitalization. average six month daily total market
capitalization.
S&P BSE 250 SmallCap: 12/21/2018 All constituents of the S&P BSE 500 that All constituents of the S&P BSE 500 that
are not members of the S&P BSE 100 and are not members of the S&P BSE 100
Index Construction S&P BSE 150 Midcap are selected and LargeCap TMC and S&P BSE 150 Midcap
form the index. are selected and form the index.
S&P BSE 250 12/21/2018 All constituents of the S&P BSE 100 and All constituents of the S&P BSE 100
LargeMidCap and S&P S&P BSE 150 Midcap together form the LargeCap TMC and S&P BSE 150 Midcap
BSE 250 LargeMidCap index. together form the index.
65:35:
Index Construction
S&P BSE 400 12/21/2018 All constituents of the S&P BSE 500 that All constituents of the S&P BSE 500 that
MidSmallCap: are not members of the S&P BSE 100 are not members of the S&P BSE 100
form the index. LargeCap TMC form the index.
Index Construction
S&P BSE CPSE: 12/21/2018 -- Companies that are part of the GSM list
on the rebalancing reference date are not
Eligible Universe eligible for index inclusion.
S&P BSE SENSEX: 12/21/2018 Eligible companies must have reported --
revenue in the last four quarters.
Index Eligibility
S&P BSE SENSEX: 12/21/2018 1. All companies meeting the eligibility 1. All companies meeting the eligibility
factors are ranked based on their factors are ranked based on their
Index Construction and average six-month float-adjusted average six-month float-adjusted
Industry/Sector market capitalization. The top 75 are market capitalization. The top 75 are
Representation identified. identified.
2. All companies meeting the eligibility 2. All companies meeting the eligibility
factors are ranked again based on factors are ranked again based on
their average six-month total market their average six-month total market
capitalization. The top 75 are capitalization. The top 75 are
identified. identified.
3. All companies identified based on 3. All companies identified based on
steps 1 and 2 are then combined and steps 1 and 2 are then combined and
sorted based on their average six- sorted based on their annualized
month value traded. Companies with traded value. Companies with a
a cumulative value traded greater cumulative annualized traded value
than 98% are excluded. greater than 98% are excluded.
4. The remaining companies are then 4. The remaining companies are then
sorted by average six-month float- sorted by average six-month float-
adjusted market capitalization. adjusted market capitalization.
Companies with a weight of less than Companies with a weight of less than
0.5% are excluded. 0.5% are excluded.
5. All remaining companies are classified 5. The remaining companies from step 4
by sector and then sorted in are then ranked based on their
descending order of rank by average average six-month float-adjusted
six-month float-adjusted market market capitalization, and are
capitalization. These companies make selected for index inclusion according
up the replacement pool, to be to the following rules:
included in the index if an existing a. The top 21 companies (whether a
constituent is removed. current index constituent or not)
6. An index addition generally is made are selected for index inclusion
only if a vacancy is created by an with no sector consideration.
index deletion. Index additions are b. Existing constituents ranked 22 –
made according to size and liquidity, 39 are selected in order of
while generally attempting to maintain highest rank until the target
index sector weights that are broadly constituent count of 30 is
in-line with the overall market. reached.
All additions and deletions are made at the c. If after this step the target
discretion of index committee. constituent count is not achieved,

Asia Index Private Limited: S&P BSE Indices Methodology 54

 Effective Date Methodology
Change (After Close) Previous Updated
then non-constituents ranked 22
– 30 are selected by giving
preference to those companies
whose sector is underrepresented
in the index as compared to the
sector representation in the S&P
BSE AllCap.
d. If after this step, the target
constituent count is still not
achieved, non-constituents are
selected in order of highest rank
until the target constituent count
is reached.
All additions and deletions are made at the
discretion of index committee.
All Indices: 09/21/2018 -- On a monthly basis, companies added to
the GSM list are dropped. The effective
Deletion date of the drop is at the open of the
Tuesday following the first Monday of each
month. The reference date for the GSM list
data is the third Friday of the previous
month.
Any company dropped due to its inclusion
on the GSM list must remain off the GSM
list for six consecutive months prior to the
rebalancing reference date in order to be
reconsidered for index inclusion.
S&P BSE 500: 06/15/2018 • Companies meeting the eligibility • At each semi-annual rebalancing,
factors are ranked based on their eligible companies must have an
Index Construction average six-month total market annualized traded value greater than
capitalization, average six-month float- or equal to INR 1 billion. Current index
adjusted market capitalization, and constituents with an annualized traded
average six-month value traded. value of at least INR 800 million
• Rank Full is determined by assigning remain eligible for index inclusion
a 75% weight to the average six- provided they meet the other eligibility
month total market capitalization rank criteria.
and a 25% weight to the average six- • Companies satisfying the above
month value traded rank. criteria are then ranked by their
• Rank Free is determined by assigning average six-month total market
a 75% weight to the average six- capitalization.
month float-adjusted market • The top 400 companies are added to
capitalization rank and a 25% weight the index.
to the average six-month value traded • Current constituents ranked 401-600
rank. are added to the index in order of
• For all companies, Rank Full and highest rank until the constituent count
Rank Free are added and a Combined reaches 500 companies.
Final Rank is determined based on • If the target constituent count of 500
this number. companies is still not met, non-
• If an existing constituent has Rank constituents are added to the index in
Full and Rank Free greater than 550, order of highest rank until the target
it is excluded from the index. constituent count is met.
• Non-constituents with a Rank Full and
Rank Free less than 500 are identified
and sorted based on Combined Final
Rank. These are included in the index
based on the best Combined Final
Rank.
• In order to then achieve the target
constituent count, stocks are
assessed based on their ranks and
selected accordingly.
S&P BSE Sector 06/15/2018 • Eligible stocks are selected based on • Eligible stocks are selected based on
Indices: their Rank Free order, as determined their average float-adjusted market
according to the S&P BSE 500 capitalization rank, until a minimum
Index Construction methodology, until a minimum market market coverage of 90% of the
coverage of 90% of the average float- average float-adjusted market
adjusted market capitalization per capitalization per sector is achieved.
sector is achieved. • To maintain a minimum count of 10 in
• To maintain a minimum count of 10 in the index, constituents are retained,
the index, constituents are retained, and non-constituents are included

Asia Index Private Limited: S&P BSE Indices Methodology 55

 Effective Date Methodology
Change (After Close) Previous Updated
and non-constituents are included based on their average float-adjusted
based on their Rank Free order with a market capitalization rank with a 2%
2% buffer, as determined according to buffer.
the S&P BSE 500 methodology.
S&P BSE 100: 06/15/2018 Stocks must have a listing history of six --
months at BSE in order to be eligible for
Listing History the index.
S&P BSE 500 and S&P 06/15/2018 Differential Voting Rights Shares (DVRs) Differential Voting Rights Shares (DVRs)
BSE 200: are eligible for inclusion in the index are eligible for inclusion in the index
provided that the ordinary share class is provided that the ordinary share class is
Multiple Share Classes part of the index, and the DVR shares part of the index, and the DVR shares
outstanding are greater than 10% of the outstanding are greater than 10% of the
ordinary shares outstanding. In addition, ordinary shares outstanding. In addition,
the DVRs must individually satisfy all other the DVRs must individually pass the
index eligibility criteria. DVRs satisfying the liquidity criteria to be eligible for the index.
index eligibility criteria are aggregated with
the company’s common stock and index
construction is done based on the
aggregated company data.
S&P BSE 200: 06/15/2018 • Companies meeting the eligibility • At each semi-annual rebalancing,
factors are ranked based on their eligible companies must have an
Index Construction average six-month total market annualized traded value of at least
capitalization, average six-month float- INR 5 billion. Current index
adjusted market capitalization, and constituents with an annualized traded
average six-month value traded. value of at least INR 4 billion remain
• Rank Full is determined by assigning eligible for index inclusion provided
a 75% weight to the average six- they meet the other eligibility criteria.
month total market capitalization rank • Companies satisfying the above
and a 25% weight to the average six- criteria are then ranked by their
month value traded rank. average six-month total market
• Rank Free is determined by assigning capitalization.
a 75% weight to the average six- • The top 160 companies are added to
month float-adjusted market the index.
capitalization rank and a 25% weight • Current constituents ranked 161-240
to the average six-month value traded are added to the index in order of
rank. highest rank until the constituent count
• For all companies, Rank Full and reaches 200 companies.
Rank Free are added and a Combined • If the target constituent count of 200
Final Rank is determined based on companies is still not met, non-
this number. constituents are added to the index in
• If an existing constituent has Rank order of highest rank until the target
Full and Rank Free greater than 220, constituent count is met.
it is excluded from the index.
• Non-constituents with Rank Full and
Rank Free less than 200 are identified
and sorted on Combined Final Rank.
These are included in the index based
on the best Combined Final Rank.
• In order to achieve the target
constituent count, stocks are
assessed based on their ranks and
selected accordingly.
S&P BSE 500: 12/15/2017 All common equities listed at BSE Ltd., The constituents of the S&P BSE AllCap.
(excluding companies classified in Z
Eligible Universe group, suspended companies, companies
objected by the Surveillance Department
of BSE Ltd., and those that are traded
under a permitted category and on the
SME platform) are considered eligible.
S&P BSE SENSEX, 06/16/2017 DVRs are eligible for index inclusion DVRs are eligible for index inclusion
S&P BSE 200, and S&P provided that the ordinary share class is provided that the ordinary share class is
BSE 500: part of the index, and the DVR shares part of the index, and the DVR shares
outstanding are greater than 10% of the outstanding are greater than 10% of the
Differential Voting Right ordinary shares outstanding. In addition, ordinary shares outstanding. In addition,
Shares (DVRs) inclusion the DVRs must individually satisfy all other the DVRs must individually satisfy all other
index eligibility and construction criteria. index eligibility criteria.
DVRs satisfying the index eligibility criteria
are aggregated with the company’s
common stock and index construction is
done based on the aggregated company
data.

Asia Index Private Limited: S&P BSE Indices Methodology 56

 Effective Date Methodology
Change (After Close) Previous Updated
S&P BSE BANKEX and 06/16/2017 At each semi-annual rebalancing, index At each quarterly share update, index
S&P BSE OIL & GAS: constituents are weighted based on float- constituents are weighted based on float-
adjusted market capitalization, subject to a adjusted market capitalization, subject to a
Constituent Weightings 22% and 20% weight cap, respectively. 22% and 20% weight cap, respectively.
Any excess weight is distributed Any excess weight is distributed
proportionally across the remaining stocks proportionally across the remaining stocks
in the index. in the index.
S&P BSE SENSEX 50: 06/16/2017 As part of the constituent selection All constituents must have a derivative
process, the following constraints are contract to be eligible for index inclusion.
Derivative Market taken into account:
Linkage
1. The individual float-adjusted weight of
any share class of a company not
linked to derivatives trading cannot
exceed 5% of the index.
2. The aggregate float-adjusted weight of
the index constituents not linked to
derivatives trading cannot exceed
10%.
S&P BSE 100: 06/16/2017 All common equities listed at BSE Ltd. The constituents of the S&P BSE
(excluding companies classified in Z LargeMidCap.
Eligible Universe group, listed mutual funds, companies
suspended on the last day of the month
prior to review date, companies objected
by the Surveillance department of BSE
Ltd. and those that are traded under a
permitted category and SME category) are
considered eligible.
S&P BSE 100: 06/16/2017 1. All eligible stocks must have traded for 1. At each semi-annual rebalancing,
at least 95% of the trading days at eligible stocks must satisfy all of the
Index Construction/ BSE during the six-month reference following in order to be considered for
Constituent Selection period. index inclusion:
2. All stocks meeting the eligibility factors a. Have an annualized traded value
are ranked based on their average greater than or equal to INR 10
six-month float-adjusted market billion. Current index constituents
capitalization, average six-month with an annualized traded value of
value traded and average six-month at least INR 8 billion remain
impact cost. eligible for index inclusion
3. The liquidity rank is computed by provided they meet the other
assigning a 75% weight to the eligibility criteria.
average value traded rank and a 25% b. Have no more than five non-
weight to the average impact cost trading days in the past six
rank. months as of the rebalancing
4. The final rank is determined by reference date.
assigning a 75% weight to the 2. The remaining companies after Step 1
average float-adjusted market are then ranked based on average
capitalization rank and a 25% weight daily float-adjusted market
to the liquidity rank. capitalization. The Top 80 companies
5. These stocks are then sorted based on are selected for index inclusion.
the final rank. Any existing constituent Existing constituents ranked 81-120
ranking beyond 200, based on final are selected in order of highest rank
rank, is excluded. until the target constituent of 100 is
reached. If after this step the target
constituent count is not achieved, non-
constituents are selected in order of
highest rank until the target
constituent count if reached.
S&P BSE 100: 06/16/2017 Stocks must have a listing history of at Companies must have a listing history of
least three months at BSE, with the at least six months at BSE. Large sized
Listing History following exceptions: IPOs are an exception and only require a
• Large sized initial public offerings listing history of one month.
(IPOs) are only required to have a
listing history of one month.
• Listings due to mergers, demergers or
amalgamations do not have a
minimum listing history requirement.
S&P BSE 100: 06/16/2017 DVRs are eligible provided that the DVRs are eligible provided that the
ordinary share class is part of the index, ordinary share class is part of the index. In
Differential Voting Rights and the DVR shares outstanding are addition, the DVR must meet the index’s
(DVRs) greater than 10% of the ordinary shares liquidity criteria as detailed in the index
outstanding. Additionally, the DVR must construction process.
meet the index’s eligibility and index
construction rules.

Asia Index Private Limited: S&P BSE Indices Methodology 57

 Effective Date Methodology
Change (After Close) Previous Updated
S&P BSE SENSEX, 12/19/2016 Data collected and used in the rebalancing Data collected and used in the rebalancing
S&P BSE 100, S&P BSE is based on a three-month reference is based on a six-month reference period.
200, S&P BSE 500 and period.
S&P BSE Sector
Indices:
Reference Period
S&P BSE Sector 12/19/2016 If the sector classification of a company If the sector classification of a company
Indices: changes between rebalancings, the changes between rebalancings, the
change is accounted for at the semi- change is accounted for at the quarterly
Sector Changes annual rebalancing. Changes take effect at share update. Changes take effect at the
the open of the Monday following the third open of the Monday following the third
Friday of June and December. Friday of March, June, September, and
December.
S&P BSE 200: 12/19/2016 All common equities listed at BSE Ltd. The index is derived from the constituents
(excluding companies classified in Z of the S&P BSE 500.
Eligible Universe group, listed mutual funds, companies
suspended on the last day of the month
prior to review date, companies objected
by the Surveillance Department of BSE
Ltd. and those that are traded under a
permitted category and SME category) are
considered eligible.
S&P BSE 500: 12/19/2016 Companies must have a listing history of Companies must have a listing history of
at least three months at BSE. at least three months at BSE. IPOs are
Listing History eligible if they have a listing history of at
least one month.
S&P BSE 500: 12/19/2016 The company must have traded for at least The company must have traded for at least
75% of the trading days at BSE during the 80% of the trading days at BSE during the
Trading Days three-month reference period. six-month reference period.
S&P BSE PSU: 12/19/2016 Every company is weighted within the Every company is weighted within the
index based on its total market index based on its float-adjusted market
Weighing Scheme capitalization. capitalization.
S&P BSE IPO: 12/19/2016 A company is excluded from the index at A company is excluded from the index at
the open of the Monday following the third the open of the Monday following the third
Index Construction Friday of the month after the completion of Friday of the month after the completion of
two years of listing. one year of listing.
S&P BSE SME IPO: 12/19/2016 A company is excluded from the index at A company is excluded from the index at
the open of the Monday following the third the open of the Monday following the third
Index Construction Friday of the month after completion of Friday of the month after completion of
three years of listing on the BSE SME one year of listing on the BSE SME
Platform. Platform.
S&P BSE SENSEX: 06/17/2016 All common equities listed at BSE Ltd. The index is derived from the constituents
(excluding companies classified in Z of the S&P BSE 100.
Eligible Universe group, listed mutual funds, companies
suspended on the last day of the month
prior to review date, companies objected
by the Surveillance Department of BSE
Ltd. and those that are traded under a
permitted category and SME category) are
considered eligible.
S&P BSE SENSEX, 06/19/2015 Differential Voting Right Shares (DVRs) Differential Voting Right Shares (DVRs)
S&P BSE 100, S&P BSE are not eligible for index inclusion. are eligible provided that the ordinary
200, and S&P BSE 500: share class is part of the index, and the
DVR shares outstanding are greater than
Eligibility of Differential 10% of the ordinary shares outstanding.
Voting Right Shares
(DVRs)
S&P BSE SENSEX 04/15/2015 The risk-free rate calculation is based on a The risk-free rate calculation is based on a
Futures Index: 360-day year convention. 365-day year convention.
Day Count Convention
S&P BSE OIL & GAS: 04/01/2015 The index employs a float-adjusted market The index employs a non-market
capitalization weighting scheme. capitalization weighting scheme.
Weighting Scheme
S&P BSE BANKEX: 01/23/2015 The index employs a float-adjusted market The index employs a non-market
capitalization weighting scheme. capitalization weighting scheme.
Weighting Scheme

Asia Index Private Limited: S&P BSE Indices Methodology 58

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