INDEX METHODOLOGY

NASDAQ-100 VOLATILITY CONTROL 10% PR T M INDEX

NDXV10P T M

INDEX DESCRIPTION
The Nasdaq-100 Volatility Control 10% PR Index (NDXV10P), the “Index”, is designed to provide
exposure to the Nasdaq-100 Index® while targeting a specified level of volatility. The Index uses the
truVol® Risk Control Engine to dynamically adjust exposure on a daily basis to the Component with the
aim of achieving the volatility target.

The truVol® Risk Control Engine is a proprietary risk management tool designed by Salt Financial LLC to
offer higher levels of responsiveness and accuracy in targeting volatility for risk-controlled indices. The
mechanism generally increases exposure to the Component when volatility falls and decreases exposure
when it rises.

The Index is rebalanced daily and calculated incorporating a daily accrual of a reference financing rate
for its cash position.

Although the Index is designed to target a specific level of volatility, there is no guaranty the Index will
achieve these results.

INDEX CALCULATION
The Index value is equal to the Index Base Value on the Index Base Date. Thereafter, for each Index Day,
the value of the Index is calculated in accordance with the following formula:

𝐼𝑡 = 𝐼𝑡−1 + 𝑈𝑡−1 × (𝑈𝐼𝑡 − 𝑈𝐼𝑡−1 ) + 𝐼𝐴𝑡

where:
𝑡 = an Index Day 𝑡.
𝑡 − 1 = the Index Day immediately preceding Index Day 𝑡.
𝐼𝑥 = the value of the Index for Index Day 𝑥.
𝑈𝑥 = the number of Units of the Component for Index Day 𝑥 (see Rebalancing process section
below for more details).
𝑈𝐼𝑥 = the value of the Component for Index Day 𝑥 (rounded to two decimal places).

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 𝐼𝐴𝑡 = the estimated interest accrual for Index Day 𝑡 as calculated in accordance with the
following formula:
𝐷𝑎𝑦𝑠𝑡−1,𝑡
𝐼𝐴𝑡 = (𝐼𝑡−1 − 𝑈𝑡−1 × 𝑈𝐼𝑡−1 ) × 𝑅𝐹𝑅𝑡−1 × 360

where:
𝑅𝐹𝑅𝑡−1 = the Effective Federal Funds Rate published by the Federal Reserve Bank of
New York for Index Day 𝑡 − 1. If such rate is unavailable, then the rate shall
be the most recent rate available on an Index Day preceding Index Day 𝑡 − 1.
𝐷𝑎𝑦𝑠𝑡−1,𝑡 = the number of calendar days from Index Day 𝑡 − 1 (inclusive) and Index Day
𝑡 (exclusive).

If the value for a Component is unavailable on a given Index Day 𝑡, then such value shall be the last
available value for that Component, as determined by the Index Administrator.

INDEX CONSTRUCTION

Index parameters
The table below details parameters specific to the construction and calculation of the Index.

Target Maximum Maximum

Index (ticker) Component (Ticker) Volatility Exposure1 Change2
Nasdaq-100 Volatility Control Nasdaq-100 Index (NDX) 10% 100% 20%
10% PR Index (NDXV10P)

Index components and weighting

The Index may only include the Component as detailed above in Index parameters.

For each Index Day, the truVol® Risk Control Engine is employed to determine the exposure to the
Component. The Index then rebalances each Index Day into Units of the Component (see Rebalancing
process section below).

Rebalancing process
Subject to a Hedge Delay, the Index is rebalanced daily as of the market close. The number of Units of
the Component is determined in accordance with the following formula:
𝐹𝐸𝑡−1 × 𝐼𝑡−1
𝑈𝑡 =
𝑈𝐼𝑡−1

1
The maximum allowable exposure to the Component.
2
The maximum daily change in exposure to the Component.

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 where:
𝑈𝑡 = the number of Units of the Component for Index Day 𝑡.
𝐹𝐸𝑡−1 = the Final Exposure for the Component on Index Day 𝑡 − 1. See Appendix B: Weighting
Determination Process for more details.
𝐼𝑡−1 = the Index value on Index Day 𝑡 − 1.
𝑈𝐼𝑡−1 = the level of the Component for Index Day 𝑡 − 1 (rounded to two decimal places).

For the Index Base Date (𝑡0 ), the initial Units of the Component are determined based on information
from the Index Day prior to the Index Base Date and calculated in accordance with the following
formula:
𝐹𝐸𝑡0 −1 × 1000
𝑈𝑡0 =
𝑈𝐼𝑡0 −1

INDEX CALENDAR

Holiday schedule
The Index is calculated Monday through Friday, except on days when the Nasdaq Stock Exchange is
scheduled to be closed (the “Holiday Schedule”).

Index calculation and dissemination schedule

Index values are made available after the market close on each Index Day via the Nasdaq Global Index
Watch (GIW) website.

ADDITIONAL INFORMATION

Announcements
Nasdaq announces Index-related information via the Nasdaq Global Index Watch (GIW) website.

For more information on the general Index Announcement procedures, please refer to the Nasdaq Index
Methodology Guide.

Recalculation and restatement policy

For information on the Recalculation and Restatement Policy, please refer to the Nasdaq Index
Recalculation Policy.

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 Contact information
For any questions regarding an Index, please contact the Nasdaq Index Client Services team at
indexservices@nasdaq.com.

Index dissemination
Where applicable, Index values and weightings information are available through the Nasdaq Global
Index Watch (GIW) website as well as the Nasdaq Global Index FlexFile Delivery Service (GIFFD) and
Global Index Dissemination Services (GIDS). Similar to the GIDS offerings, Genium Consolidated Feed
(GCF) provides real-time Index values and weightings for the Nordic Indexes.

For more detailed information regarding Index Dissemination, please see the Nasdaq Index
Methodology Guide.

Website
For further information, please refer to the Nasdaq Global Index Watch (GIW) website.

FTP and dissemination service

Where applicable, Index values and weightings are available via FTP on the Nasdaq Global Indexes
FlexFile Delivery Service (GIFFD). Index values are available via Nasdaq’s Global Index Dissemination
Services (GIDS).

GOVERNANCE

Index governance
All Nasdaq Indexes are managed by the governance committee structure and have transparent
governance, oversight, and accountability procedures for the index determination process. For further
details on the Index Methodology and Governance overlay, please refer to the Nasdaq Index
Methodology Guide.

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 APPENDIX A: DEFINITIONS

Term Description
Component The Component as described in the Index parameters section.
Consequences of a If a Market Disruption Event occurs or is occurring on an Index Day that the
Market Disruption Index Administrator determines materially affects the Index, the Index
Event Administrator may:
• Delay the calculation of the Index and halt the dissemination of the value
of the Index and /or other information relating to the Index until such
time, which may be a subsequent Index Day, that the Index Administrator
determines that such Market Disruption Event is no longer occurring.
• Determine a good faith estimate of any affected or missing input data
required to calculate the Index or the value of the Index for such Index
Day or time for such Index Day.
Disrupted Day In respect of a Component, an Index Day on which there is a Market Disruption
Event.
Evaluation Date Each Index Day.
Hedge Delay In respect of a Component, if a Trading Disruption or Exchange Disruption, as
defined in Market Disruption Event below, occurs on a scheduled Rebalance
Day for such Component, then no change of units of that Component shall
occur on that day.
Index Base Date December 31, 2003
Index Base Value 1,000.00
Index Day Starting with the Index Base Date, each weekday that is not a scheduled
holiday according to the Holiday Schedule as defined in the Index Calendar
section.
Market Disruption In respect of a Component, the occurrence of one or more of the following
Event events that affects that Component, or any underlying instrument of that
Component, and that the Index Administrator deems to be material to the
Index:
• Trading Disruption: Any unscheduled closure of the relevant exchange; a
material suspension, limitation or disruption of trading on such exchange;
a failure of such exchange to publish the relevant price, level, value or
other information; a halt in trading, such as a circuit breaker or other
exchange imposed halt, including an exchange imposed daily “limit price”;
or any other event that materially affects the ability of market participants
to trade, effect transactions in, maintain or unwind positions in that
Component or any underlying instrument of that Component.
• Exchange Disruption: Any exchange related event on a relevant exchange
that disrupts or impairs the ability of market participants to effect
transactions or obtain market values or price discovery of a component
used directly or indirectly in the Index.
• Price Failure: Any event that impairs or prevents the ability of the Index
Administrator to obtain a relevant price, level, rate, value or any other
information from an exchange or other source necessary, on a timely
basis and in a manner acceptable to the Index Administrator, in order to
perform the calculation of the Index.

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 • Inaccurate Data: The price or value of a component, or other input data,
used directly or indirectly in the index that, in the determination of the
Index Administrator, is inaccurate, incomplete and/or does not
adequately reflect the true market price or value of such component or
input data.
• Force Majeure: Any event or circumstance (including, without limitation,
a systems failure, natural or man-made disaster, act of God, armed
conflict, act of terrorism, riot or labor disruption or any similar intervening
circumstance, or restrictions due to emergency powers enforced by
federal, state or local government agencies), that is beyond the
reasonable control of the Index Administrator and that the Index
Administrator determines, in its sole discretion, affects the Index, a
Component of the Index, any input data required to calculate the Index, or
that prevents the ability of the Index Administrator to calculate the Index.
• General Moratorium: the Index Administrator observes on any day that
there has been a declaration of a general moratorium in respect of
banking activities in any relevant jurisdiction.
Rebalance Day In respect of an Evaluation Date, the Index Day immediately after that
Evaluation Date that is not a Disrupted Day.

For additional key terms not defined above, please refer to the Nasdaq Index Methodology Guide.

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 APPENDIX B: WEIGHTING DETERMINATION PROCESS
In order to consistently target the desired level of volatility, the Index has the ability to adjust the
notional exposure to the Component up and down each day, subject to a maximum leverage constraint
and a maximum daily change constraint. In other words, when the measured volatility is below the
target level, the Index has the potential to increase exposure. Alternatively, when the measured
volatility is above the target level, the Index may reduce exposure.

This daily exposure determination mechanism consists of the following determination steps:

1. The Daily Exposure Ratio:

𝑉𝑜𝑙𝑇𝑎𝑟𝑔𝑒𝑡
𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒_𝑅𝑎𝑡𝑖𝑜𝑡 = 𝑀𝑖𝑛 𝑀𝑎𝑥𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒,
√252 × 𝑀𝑎𝑥 (𝑦̂𝑡𝜆1 , 𝑦̂𝑡𝜆2 )
( )
where:
𝑀𝑎𝑥𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒 = see Maximum Exposure in the Index parameters section above.
𝑉𝑜𝑙𝑇𝑎𝑟𝑔𝑒𝑡 = see Target Volatility in the Index parameters section above.
𝑦̂𝑡𝜆 = the truVol Variance of the Component for Index Day 𝑡 for a specified λ = 0.93 or
0.97 (see the truVol Calculation Module for more details).

2. The Smoothed Risk Scalars:

The risk scalars (𝑆𝑚𝑜𝑜𝑡ℎ𝑒𝑑_𝑅𝑖𝑠𝑘_𝑆𝑐𝑎𝑙𝑎𝑟𝑠𝑡 ) are proprietary elements of the truVol® Risk
Control Engine that are detailed in the truVol Calculation Module, which is made available to
relevant authorized individuals by Salt Financial LLC.

3. The Volatility Adjustment Factor:

The volatility adjustment factor (VAF) is used to help nudge the realized volatility back to the
target and correct for any temporary over- or under-shoots from the risk scaling mechanism. It
uses a slow decay EWMA on the volatility-controlled Index:

𝑉𝑜𝑙𝑇𝑎𝑟𝑔𝑒𝑡 2
𝑉𝐴𝐹𝑡 = Min (1.5, Max (0, ))
252 × 𝐸𝑊𝑀𝐴_𝑉𝐴𝑅𝑡
2
𝐼𝑡
𝐸𝑊𝑀𝐴_𝑉𝐴𝑅𝑡 = 0.97 ∗ 𝐸𝑊𝑀𝐴_𝑉𝐴𝑅𝑡−1 + 0.03 ∗ ln ( )
𝐼𝑡−1
where:
𝑉𝑜𝑙𝑇𝑎𝑟𝑔𝑒𝑡 = see Target Volatility in the Index parameters section above.
𝐸𝑊𝑀𝐴_𝑉𝐴𝑅𝑡 = the exponential weighted moving average variance of the volatility-
controlled Index for Index Day 𝑡.
𝐼𝑡 = the level of the final risk control Index level on Index Day 𝑡.

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 𝑉𝑜𝑙𝑇𝑎𝑟𝑔𝑒𝑡 2
𝐸𝑊𝑀𝐴_𝑉𝐴𝑅𝑡≤𝐵𝑎𝑠𝑒𝐷𝑎𝑡𝑒 =
252

4. The Exposure:
𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡 = 𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒_𝑅𝑎𝑡𝑖𝑜𝑡 × 𝑆𝑚𝑜𝑜𝑡ℎ𝑒𝑑_𝑅𝑖𝑠𝑘_𝑆𝑐𝑎𝑙𝑎𝑟𝑠𝑡 × 𝑉𝐴𝐹𝑡

5. The Scaled Exposure:

𝑀𝑎𝑥𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒
𝑆𝑐𝑎𝑙𝑒𝑑_𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡 = 𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡 × [1 − 𝑀𝑎𝑥 (0, 1 − )]
𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡

6. The Final Exposure3:

𝐹𝑖𝑛𝑎𝑙_𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡 =
𝑀𝑎𝑥𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒, 𝐹𝑖𝑛𝑎𝑙_𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡−1 + 𝑀𝑎𝑥𝐶ℎ𝑎𝑛𝑔𝑒,
FEt = 𝑀𝑖𝑛 ( )
𝑀𝑎𝑥(𝑆𝑐𝑎𝑙𝑒𝑑_𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡 , 𝐹𝑖𝑛𝑎𝑙_𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡−1 − 𝑀𝑎𝑥𝐶ℎ𝑎𝑛𝑔𝑒)
where:
𝑀𝑎𝑥𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒 = See Maximum Exposure in the Index parameters section above.
𝑀𝑎𝑥𝐶ℎ𝑎𝑛𝑔𝑒 = See Maximum Change in the Index parameters section above.

3
Prior to the Index Base Date, 𝐹𝑖𝑛𝑎𝑙_𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡 = 𝑆𝑐𝑎𝑙𝑒𝑑_𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡 .

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 APPENDIX C: SUPPLEMENTAL TRUVOL DEFINITION
This Methodology document has a companion document, the Nasdaq-100 Volatility Control 10% PR
Index ̶ truVol Calculation Module (“truVol Calculation Module”) that contains proprietary information
designated as trade secrets by Salt Financial LLC. The truVol Calculation Module is made available to a
more limited group of authorized individuals with the banks engaging in hedging activity of the Index.

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 DISCLAIMER
Nasdaq may, from time to time, exercise reasonable discretion as it deems appropriate in order to
ensure Index integrity, including but not limited to, quantitative inclusion criteria. Nasdaq may also, due
to special circumstances, if deemed essential, apply discretionary adjustments to ensure and maintain
the high quality of the index construction and calculation. Nasdaq does not guarantee that any Index
accurately reflects future market performance.

Neither Nasdaq, Inc., its third-party providers, nor any of their respective affiliates (collectively
“Corporations”) make any recommendation to buy or sell any security or any representation about the
financial condition of any company. Investors should undertake their own due diligence and carefully
evaluate companies before investing. The information contained herein is provided for informational
and educational purposes only, and nothing contained herein should be construed as investment advice,
either on behalf of a particular security or an overall investment strategy. ADVICE FROM A SECURITIES
PROFESSIONAL IS STRONGLY ADVISED.

Salt Financial LLC licenses its truVol® Risk Control Engine and other methodologies (collectively, “Salt IP”)
to Nasdaq as a contributor to the Nasdaq-100 Volatility Control 10% PR Index. Salt Financial LLC and its
affiliates, employees, partners, and vendors shall not be liable to any party for any direct, indirect,
incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal
fees, or losses (including, without limitation, lost income or lost profits and opportunity costs) in
connection with any use of the Salt IP even if advised of the possibility of such damages.

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