SEPTEMBER 2023

DAX Strategy Index Guide

EFFECTIVE AS OF 18th MARCH 2024

STOXX.com
DAX STRATEGY INDEX GUIDE 2/55

CONTENTS

6.1. DAX RISK CONTROL INDICES 21

6.1.1. OVERVIEW 21
1. INTRODUCTION 4
6.1.2. CALCULATION 21

1.1. INTRODUCTION TO THE DAX INDEX GUIDES 4

6.2. AKTIENINDEX DEUTSCHLAND RC-10% 24
6.2.1. OVERVIEW 24
1.1. GENERAL INFORMATION 4
6.2.2. CALCULATION 24

2. GENERAL PRINCIPLES 6
7. CURRENCY-HEDGED INDICES 26

2.1. PRINCIPLES FOR INDEX CALCULATION 6

7.1. OVERVIEW 26

2.2. ADVISORY BODY 6

7.2. CALCULATION 26

2.3. INDEX TERMINATION POLICY 6

8. DAX DECREMENT INDICES 29

3. DAXPLUS OPTIONS INDICES 7
8.1. DAXPLUS 30 DECREMENT 40 INDEX 29

3.1. DAXPLUS COVERED CALL 7 8.1.1. OVERVIEW 29

3.1.1. OVERVIEW 7 8.1.2. CALCULATION 29

3.1.2. CALCULATION 7
8.2. IDDAX 50 EQUAL WEIGHT DECREMENT 4.00% INDEX 29

3.2. DAXPLUS PROTECTIVE PUT 8 8.2.1. OVERVIEW 29

3.2.1. OVERVIEW 8 8.2.2. CALCULATION 29

3.2.2. CALCULATION 9
8.3. IDDAX 50 ESG NR DECREMENT 4.00% 31
8.3.1. OVERVIEW 31
4. LEVERAGED AND SHORT INDICES 11 8.3.2. CALCULATION 31

4.1. DAX, MDAX, TECDAX LEVERAGED AND SHORT INDICES 11

9. DAX FUTURES SWITCH INDEX 32
4.1.1. OVERVIEW 11
4.1.2. CALCULATION 11
9.1. OVERVIEW 32

4.2. DAX FUTURES LEVERAGE INDEX 15

9.2. CALCULATION 32
4.2.1. OVERVIEW 15
4.2.2. CALCULATION 16
10. X-INDICES 33
4.3. DAXGLOBAL SHORT INDICES 17
4.3.1. OVERVIEW 17 10.1. OVERVIEW 33
4.3.2. BASIC DATA 18
4.3.3. CALCULATION 18 10.2. CALCULATION 33

5. DAXPLUS RISK TRIGGER GERMANY 20 11. DAX DIVIDEND POINTS AND DIVDAX DIVIDEND POINTS
35
5.1. OVERVIEW 20
11.1. OVERVIEW 35
5.2. CALCULATION 20
11.2. CALCULATION 35

6. DAX RISK CONTROL INDICES 21

12. VDAX 37
DAX STRATEGY INDEX GUIDE 3/55

CONTENTS

12.1. OVERVIEW 37

12.2. BASIC DATA 37

12.3. CALCULATION 38

13. METHODOLOGY REVIEW 45

13.1. FREQUENCY OF REVIEW 45

13.2. REVIEW PROCEDURE 45

13.2.1. INITIATION OF METHODOLOGY REVIEW 45
13.2.2. DECISION AND ESCALATION 45

13.3. MATERIAL CHANGES WITH CONSULTATION 45

13.4. NON-MATERIAL CHANGES WITHOUT CONSULTATION 47

13.5. PUBLICATION OF THE METHODOLOGY CHANGE 48

14. HISTORY OF CHANGE 49

14.1. HISTORY OF CHANGES AS PER THE FORMER GUIDE TO THE DAX

STRATEGY INDICES 49

14.2. HISTORY OF CHANGES AS PER THE FORMER DAX INTERNATIONAL

STRATEGY INDICES 54

14.3. HISTORY OF CHANGES AS PER THE FORMER GUIDE AKTIENINDEX

DEUTSCHLAND RC-10% 54
DAX STRATEGY INDEX GUIDE

1. INTRODUCTION
4/55

1.1. INTRODUCTION TO THE DAX INDEX GUIDES

» The DAX Equity Index Methodology Guide contains the equity index specific rules regarding
the construction and derivation of the portfolio based indices, the individual component selection
process and weighting schemes
» The DAX Equity Index Calculation Guide describes the calculation and dissemination
processes of the DAX equity indices, including index formulas and adjustments due to corporate
actions
» The DAX Strategy Index Guide contains the formulas and description of all DAX strategy
indices
» The Guide to the iNAV Calculation contains details on the calculation of indicative net asset
values (iNAV)
» The Guide to Industry Classifications used by STOXX Ltd. contains general information
pertaining to industry classifications used in DAX indices
» The Guide to Reference Calculations used by STOXX Ltd. provides a detailed view of
definitions and formulas of the calculations as utilized in the reports, factsheets, indices and
presentations produced by STOXX

1.1. GENERAL INFORMATION

With effect to August 2019 Deutsche Börse AG has transferred the administration of the DAX
Equity Indices formerly known as the Equity Indices of Deutsche Börse AG to its affiliate STOXX
Ltd.

STOXX Ltd. develops, creates and publishes Indices for certain uses, e.g., the issuance of
Financial Instruments. In general, an Index is any figure published or made available to the
public that is regularly determined by the application of a formula (or any other method of
calculation, or by an assessment) on the basis of the value of one or more underlying assets or
prices, including estimated prices, actual or estimated interest rates, quotes and committed
quotes, or other values or survey.

All DAX Strategy Indices are governed by the respective index methodology applicable to the
respective index or index family. Purpose of this DAX Strategy Index Guide (“Guide”) is to
provide for a comprehensible index methodology in continuity of the former Guide to the DAX
Strategy Indices as last amended with effect from August 2023 (version 3.48).

In order to ensure the highest quality of each of its indices, STOXX Ltd. exercises the greatest
care when compiling and calculating equity indices on the basis of the rules set out in this Guide.

However, STOXX Ltd. cannot guarantee that the various indices, or the various ratios that are
required for index compilation and computation purposes, as set out in this Guide, are always
calculated free of errors. STOXX Ltd. accepts no liability for any direct or indirect losses arising
from any incorrect calculation of such indices or ratios.

The DAX Strategy Indices in no way represent a recommendation for investment. In particular,
the compilation and calculation of the various indices shall not be construed as a
DAX STRATEGY INDEX GUIDE 5/55

1. INTRODUCTION

recommendation of STOXX Ltd. to buy or sell individual securities, or the basket of securities
underlying a given index.
DAX STRATEGY INDEX GUIDE 6/55

2. GENERAL PRINCIPLES

2.1. PRINCIPLES FOR INDEX CALCULATION

The DAX Strategy Indices are calculated based on the following principles whenever possible:
» Representative: The indices aim to best represent the performance of the target market
» Tradeable: Index components are tradeable in relation to the size of the companies and
the target market
» Replicable: Performance of indices can be tracked by an actual portfolio
» Stable: High degree of index continuity
» Rules-based: Index calculation and changes to the index composition follow transparent
rules
» Predictable: Changes to index rules are publicly announced with a reasonable notice
period (generally at least 2 trading days), and are never implemented retroactively
» Transparent: Decisions are based on public information

2.2. ADVISORY BODY

The Advisory Board for Equity Indices (“Arbeitskreis Aktienindizes”) provides advice on topics
related to indices administered by STOXX and referenced in this guide. It acts as an advisory
body based on the basic principles mentioned and the rules of these guidelines. The Advisory
Board does not take binding decisions on behalf of STOXX.

The Advisory Board for Equity Indices consists of employees appointed by STOXX and
representatives of leading national and international financial institutions. The Advisory Board's
meetings usually take place not later than the sixth trading day in March and September.
Extraordinary meetings may also be convened.

2.3. INDEX TERMINATION POLICY

For termination of an index or an index family that underlie financial products available for
trading on the market, to the knowledge of STOXX, a market consultation will be conducted by
STOXX in advance of the index termination in line with STOXX Transition Policy and STOXX
Consultation Policy (publicly available on STOXX website).The length of the consultation period
will be defined in advance based on the specific issues of each proposed termination subject to
STOXX Benchmark Transition Policy (Discretionary Rule, see section 2.3 Discretion in the DAX
Equity Index Calculation Guide). During the consultation period, clients and third parties will have
the chance to share their concerns regarding the termination of the index or index family. Based
on the collected feedback, STOXX may review its decision to terminate an index or an index
family (Discretionary Rule, see section 2.3 Discretion in the DAX Equity Index Calculation
Guide). At the end of the consultation period, STOXX will publicly announce its final decision
about the termination. A transition period will be granted in the event of termination
(Discretionary Rule, see section 2.3 Discretion in the DAX Equity Index Calculation Guide).

For termination of an index or an index family that do not underlie financial products available for
trading on the market, no market consultation will be conducted.
DAX STRATEGY INDEX GUIDE 7/55

3. DAXPLUS OPTIONS INDICES

3.1. DAXPLUS COVERED CALL

3.1.1. OVERVIEW
The DAXplus Covered Call index reflects the so-called “covered call” option strategy. This
strategy – which is also referred to as “buy-write” – involves the purchase of an underlying
instrument and the simultaneous sale of a call option on that instrument.
The index is based on the DAX index and a short position in a DAX call option traded at Eurex.

Base value and dates: 100 on December 31, 1992.

3.1.2. CALCULATION
DAXplus Covered Call index combines the DAX index and a DAX call option. The index
composition is adjusted on a monthly basis. On each third Friday of the month, a new front-
month call option is determined, which will be used to calculate the index until their last trading
day, at 13:00 CET.

The calculation times and frequencies can be found in the Vendor Code Sheet which is available
under https://www.stoxx.com/data-vendor-codes. On option rollover dates, the index is only
calculated until 13:00 CET.

The calculation is based on the last available Xetra (stocks) and Eurex (options) price data
(Section 3.2.4). DAXplus Covered Call index uses the values of the constituent elements
(applying currency conversion, if necessary) in calculation its index value and is expressed in
Index points, reflecting the index-specific currency. The intraday currency conversion is based
on the spot rates provided by Refinitiv previously Financial and Risk business of Thomson
Reuters. The WM/Refinitiv currency fixing rates from 17:00 CET are used to calculate the index’s
closing values. DAXplus Covered Call index is available in the currencies set forth in the Vendor
Code Sheet which is available under https://www.stoxx.com/data-vendor-codes.

On Xetra trading days DAXplus Covered Call is calculated as follows:

𝐷𝐴𝑋𝑡 − 𝐶𝑡
CC𝑡 = ⋅ CC𝑠
𝐷𝐴𝑋𝑠 − 𝐶0

The rolling is carried out monthly on every third Friday.

𝐷𝐴𝑋𝑠 − 𝐶′𝑠
CC𝑠 = ⋅ CC𝑠−𝑚
𝐷𝐴𝑋𝑠−𝑚 − 𝐶′0

whereby:

CC𝑡 = covered call index at time t

CC𝑠 = settlement value of covered call index at last rolling day
CC𝑠−𝑚 = settlement value of covered call index at previous rolling day
𝐷𝐴𝑋𝑡 = last price of DAX at time t
𝐷𝐴𝑋𝑠 = settlement price of DAX at last rolling day
𝐷𝐴𝑋𝑠−𝑚 = settlement price of DAX at previous rolling day
DAX STRATEGY INDEX GUIDE 8/55

3. DAXPLUS OPTIONS INDICES

𝐶𝑡 = last price of call option at time t

𝐶0 = inclusion price of new call option at last rolling day
𝐶′𝑠 = settlement price of old call option at last rolling day
𝐶′0 = inclusion price of old call option at previous rolling day

DAXplus Covered Call index is published as figures rounded to two decimal places.

Rolling

DAXplus Covered Call requires a monthly rollover operation, whereby the old call option ceases
trading at 13:00 CET on the pre-determined rollover date, and is replaced by a new option
whose last trading day falls on the next rollover date. The new call option must have a remaining
lifetime of one month, and must be 5 percent out of the money (i.e. the highest strike price below
or equal to the DAX settlement price plus 5 percent).

The prices at which the call options are included in the DAXplus Covered Call index are based
on the weighted averages of all best bids for call options quoted on Eurex between 13:15 and
13:45 CET.

Trading Interruption/Suspension

If there is any interruption/suspension of the DAX index or the DAX call option which is included
in DAXplus Covered Call at any time then the index will be calculated with the latest prices which
will be available.

If suspension occurs on a rolling day during the averaging process, only bids before the
interruption/suspension will be considered.

In case averaging does not start at all (i.e. interruption/suspension starts before 13:15 CET) then
the averaging will be delayed until the end of the interruption/suspension on the same index
business day. 30 minutes after the end of the interruption/suspension the averaging will start and
will then take 30 minutes.

If the interruption/suspension will continue until the end of trading then the averaging will be
delayed until the next index business day at 13:15 CET.

3.2. DAXPLUS PROTECTIVE PUT

3.2.1. OVERVIEW
The DAXplus Protective Put index reflects the Protective Put investment strategy, which is
designed to provide protection from losses. This strategy combines an index investment with an
options position. It involves buying a put option while simultaneously purchasing the option's
underlying.
The index is based on the DAX-index and a long position in a DAX put option traded at Eurex.

Base value and dates: 100 on December 31, 1992.

DAX STRATEGY INDEX GUIDE 9/55

3. DAXPLUS OPTIONS INDICES

3.2.2. CALCULATION
The DAXplus Protective Put index combines the DAX index and a DAX put option.

The index composition is adjusted on a quarterly basis. On third Friday in March, June,
September and December, a new put option is determined, which will be used to calculate the
index until the last trading day, at 13:00 CET for the following three months.

The calculation times and frequencies can be found in the Vendor Code Sheet which is available
under https://www.stoxx.com/data-vendor-codes. On option rollover dates, the index is only
calculated until 13:00 CET.

The calculation is based on the last available Xetra (stocks) and Eurex (options) price data
(Section 3.2.4). DAXplus Protective Put index uses the values of the constituent elements
(applying currency conversion, if necessary) in calculation its index value and is expressed in
Index points, reflecting the index-specific currency. The intraday currency conversion is based
on the spot rates provided by Refinitiv previously Financial and Risk business of Thomson
Reuters. The WM/Reuters currency fixing rates from 17:00 CET are used to calculate the
indices’ closing values. DAXplus Protective Put index is available in the currencies set forth in
the Vendor Code Sheet which is available under https://www.stoxx.com/data-vendor-codes.

On Xetra trading days DAXplus Protective Put is calculated as follows:

𝐷𝐴𝑋𝑡 + 𝑃𝑡
PP𝑡 = ⋅ PP𝑠
𝐷𝐴𝑋𝑠 + 𝑃0

The rolling is carried out monthly on every third Friday.

𝐷𝐴𝑋𝑠 + 𝑃′𝑠
PP𝑠 = ⋅ PP𝑠−𝑚
𝐷𝐴𝑋𝑠−𝑚 + 𝑃′0

whereby:

𝑃𝑃𝑡 = protective put index at time t

𝑃𝑃𝑠 = settlement value of protective put index at last rolling day
PP𝑠−𝑚 = settlement value of protective put index one rolling before
𝐷𝐴𝑋𝑡 = last price of DAX at time t
𝐷𝐴𝑋𝑠 = settlement price of DAX at last rolling day
𝐷𝐴𝑋𝑠−𝑚 = settlement price of DAX at previous rolling day
𝑃𝑡 = last price of put option at time t
𝑃0 = inclusion price of new put option at last rolling day
𝑃′𝑠 = settlement price of old put option at expiry day
𝑃′0 = inclusion price of old put option one rolling before

DAXplus Protective Put index is published as figures rounded to two decimal places.

Rolling
DAX STRATEGY INDEX GUIDE 10/55

3. DAXPLUS OPTIONS INDICES

The DAXplus Protective Put requires a quarterly rollover operation, whereby the old put option
ceases trading at 13:00 CET on the pre-determined rollover date, and is replaced by a new put
option whose last trading day falls on the next rollover date. The new option must have a
remaining lifetime of three months, and must be 5 percent out of the money (i.e. the lowest strike
price above or equal to the DAX settlement price minus 5 percent).

The prices at which the put options are included in the DAXplus Protective Put index are based
on the weighted averages of all best asks for put options quoted on Eurex between 13:15 and
13:45 CET.

Trading Interruption/Suspension

If there is any interruption/suspension of the DAX index or the DAX put option which is included
in the DAXplus Protective Put at any time then the index will be calculated with the latest prices
which will be available.

If suspension occurs on a rolling day during the averaging process, only bids before the
interruption/suspension will be considered.

In case averaging does not start at all (i.e. interruption/suspension starts before 13:15 CET) then
the averaging will be delayed until the end of the interruption/suspension on the same index
business day. 30 minutes after the end of the interruption/suspension the averaging will start and
will then take 30 minutes.

If the interruption/suspension will continue until the end of trading then the averaging will be
delayed until the next index business day at 13:15 CET.
 DAX STRATEGY INDEX GUIDE 11/55

4. LEVERAGED AND SHORT INDICES

4.1. DAX, MDAX, TECDAX LEVERAGED AND SHORT INDICES

4.1.1. OVERVIEW
With leveraged indices STOXX Ltd. calculates indices linked proportionally to the movements of
its underlying index. A positive change in its underlying index will result in the corresponding
leveraged performance of leveraged indices and vice versa.
With short indices STOXX Ltd. calculates indices linked inversely to the movements of its
underlying index. A positive change in its underlying index will result in a negative change in
short indices and vice versa.

Leveraged indices are linked to the changes of blue-chip index DAX, applying a positive
leverage factor to DAX movements. Therefore, investing in leveraged indices yields x-fold the
performance of DAX, compared to the closing level from the last day of calculation. Short Indices
are linked to the inverse movement of blue-chip index DAX (TecDAX) (Section 3.3.1).

Base value and dates: 1000 on December 30, 1987 (Leveraged); 6596.92 on December 29,
2006 (ShortDAX); 748.32 on December 29, 2006 (ShortTecDAX).

4.1.2. CALCULATION
The adjustment of leverage takes place daily or (in case of monthly adjustment) on each third
Friday of a month.

The calculation times and frequencies can be found in the Vendor Code Sheet which is available
under https://www.stoxx.com/data-vendor-codes.

STOXX sources €STR and EURIBOR rates from Refinitiv previously Financial and Risk
business of Thomson Reuters.

Leveraged and short Indices are calculated as follows:

IDX 𝑡 𝑑
LevIDX𝑡 = LevIDX 𝑇 ⋅ [1 + 𝐿 ⋅ (⋅ − 1) + ((1 − 𝐿) ⋅ IR 𝑇 + 𝐿 ⋅ 𝑐𝑀 ) ⋅ ]
IDX 𝑇 360

LEVERAGE TERM FINANCE/INTEREST

TERM
Where:

L = leverage factor
IDX = reference index
IR = interest rate:
Daily Leverage Indices: €STR1 + (EURIBOR (12M) - 1Y €STR Swap Rate)
Daily Short Indices: €STR
Monthly Leverage / Short Indices: EURIBOR (1M)
cM = cost of borrowing (short indices)

1 The index will be calculated using €STR that is published on day T in respect of day T-1.
DAX STRATEGY INDEX GUIDE 12/55

4. LEVERAGED AND SHORT INDICES

t = time of calculation
T = time of last rebalancing (last trading day resp. third Friday)
d = number of calendar days between t and T

The leverage term describes the effect of index movements on leveraged and short Indices. The
“finance term” indicates the costs caused by raising capital and reinvesting into the reference
index portfolio. The “interest term” represents the additional interest generated by selling the
reference index portfolio and the risk-free investment of the proceeds.

The euro short-term rate (€STR) reflects the wholesale euro unsecured overnight borrowing
costs of banks located in the euro area, by European Central Bank. €STR is calculated as a
volume-weighted trimmed mean on the basis of all eligible transactions that have passed quality
and plausibility controls. On 2 October 2019 €STR was published for the first time. Before that,
the EONIA (from 1 January 1999 until 30 September 2019) and daily interest provided by
Deutsche Bundesbank (prior to 1 January 1999) was used for calculation.

The Euro Interbank Offered Rate (EURIBOR) is a daily reference rate based on the averaged
interest rates at which banks offer to lend unsecured funds to other banks in the euro wholesale
money market (or interbank market). Prior to its introduction on 1 January 1999 Frankfurt
Interbank Offered Rate (FIBOR) has been used.

The liquidity Spread (EURIBOR (12M) – 1Y €STR Swap Rate) is updated on a monthly basis. It
is determined using the average over the liquidity spreads of five index calculation days ranging
from 5th last to the last calculation day prior to each monthly rebalancing date (3rd Friday). To
calculate the liquidity spread, the closing values of the 1Y €STR (swap rates) are taken.

The cost of borrowing will be updated on a monthly basis as described below:

𝑐𝑀 = ∑ 𝑤i,M ⋅ 𝑐i,M
𝑖

Where:

cM = Cost of borrowing the Index at time M

ci,M = Cost of borrowing the share i at time M
wi,M = Index weight of share i at time M

The data is provided by Data Explorers, the aggregator of stock lending information.

The following leveraged and short Indices are calculated:

Index Leverage factor L
LevDAX x2 2
LevDAX x2 Monthly 2
LevDAX x3 3
LevDAX x4 4
LevDAX x5 5
LevDAX x6 6
 DAX STRATEGY INDEX GUIDE 13/55

4. LEVERAGED AND SHORT INDICES

LevDAX x7 7
LevDAX x8 8
LevDAX x9 9
LevDAX x10 10
ShortDAX -1
ShortDAX x2 -2
ShortDAX x2 Monthly -2
ShortDAX x3 -3
ShortDAX x4 -4
ShortDAX x5 -5
ShortDAX x6 -6
ShortDAX x7 -7
ShortDAX x8 -8
ShortDAX x9 -9
ShortDAX x10 -10
ShortMDAX x1 -1
ShortTecDAX -1
LevDAX Optimal L*

Calculation of the optimal leverage factor

The optimal leverage factor L* is determined every month based on the risk-return profile of the
underlying index. Relevant factors are the growth rate of the underlying index and the volatility
reflected by the VDAX-NEW index.

1 1 𝜇−𝑟
𝐿∗ = 𝐿∗𝑇 = 𝑚𝑖𝑛 (4; 𝑚𝑎𝑥 ( ; + 2 ))
2 2 𝜎

Where:

r = IRT
365
𝐼𝐷𝑋𝑇 𝑇−30.12.1987
𝜇 = growth rate of the underlying index, 𝜇 = ( ) −1
𝐼𝐷𝑋0
VDAX-NEW
𝜎 = volatility of the underlying index, 𝜎 =
100

Adjustments due to extreme market movements

Daily Leverage and Short Indices: If daily leveraged or short indices drop by more than 50
percent at the time of calculation t in comparison to the closing prices on the last adjustment day
T then the leverage will be adjusted. During the adjustment those prices are considered which
are received at time t. No additional refinancing costs (“Financing Term”) are calculated and no
additional interests are credited (“Interest Term”).

The rebalancing will be carried out by simulating a new day:

t := T (i.e. IDXT = IDXt and LevIDXT = LevIDXt)

d := 0
DAX STRATEGY INDEX GUIDE 14/55

4. LEVERAGED AND SHORT INDICES

Daily Leverage and Daily Short AR Indices: The rebalancing is based on the average overall
index values that occur in a time window of 10 minutes. The time window to calculate the
average starts 5 minutes after and ends 15 minutes after the trigger event occurs. The
rebalancing is triggered when the underlying index loses more than x% (leverage indices) or
appreciates by more than x% (short indices) compared to its previous day’s close.

The respective trigger values (x) are given in the following table:

Leverage Trigger value (x)

(L2) x = -25,00%
(L3) x = -16,66%
(L4) x = -12,50%
(L5) x = -10,00%
(L6) x = -10,00%
(L7) x = -10,00%
(L8) x = -10.00%

(S1) x = 50,00%
(S2) x = 25,00%
(S3) x = 16,66%
(S4) x = 12,50%
(S5) x = 10,00%
(S6) x = 10,00%
(S7) x = 10,00%
(S8) x = 10.00%

Over the course of the 10 minute period in which the average is determined, the index is not
disseminated. The index dissemination ends 5 minutes after the trigger event and is resumed
with an index level equal to the determined average 15 minutes after the trigger event.

Should the intraday rebalancing be triggered less than 15 minutes prior to the end of the index
calculation day, the regular overnight rebalancing is carried out.

If the strategy index reaches a value of 0 or below over the course of the 15, the index is set to a
value of 0 and its calculation / dissemination is discontinued.

Monthly Leveraged Indices: If the reference index (closing value) rises or falls by more than 40%
in the course of the month, the monthly leveraged and short indices will be subject to an
extraordinary adjustment. The leverage factor will be adjusted based on the closing value of the
reference index. Herewith the risk of a potential total loss is minimized. The monthly leveraged
and short indices have a floor value of zero.

Reverse Split
If the closing value of a daily leverage or short index drops below 100 index points, a reverse
split is carried out. The leverage index is multiplied with a factor of 1000 whereas the Short index
is multiplied with a factor of 1000.
DAX STRATEGY INDEX GUIDE 15/55

4. LEVERAGED AND SHORT INDICES

The reverse split is carried out based on the index close ten trading days after the index initially
dropped below a closing value of 100 points, notwithstanding whether the index rises above a
level of 100 points in the meantime.

For optimal leverage indices as well as for monthly adjusted leverage and short indices, no
reverse split is carried out.

Leverage Effect
The leverage effect causes an over proportional change of capital, employed during positive and
negative market movements. This effect can be achieved by raising additional capital and
reinvesting into the reference index and by investing capital from purchases and additional
interests respectively. Therewith, investors can make use of this opportunity to employ a
profitable investment strategy with low initial capital in order to multiply the chances of profit
considerably. On the other hand this leverage effect inherits the risk of an over proportional
capital loss (“downside risk”).

Computational Accuracy
Leveraged and short Indices are published rounded to two decimal places.

All adjustment factors of the reference index are described in the “DAX Equity Calculation
Guide”.

4.2. DAX FUTURES LEVERAGE INDEX

4.2.1. OVERVIEW
The DAX Futures Leverage Long and Short Indices replicate a leveraged investment strategy
based on the DAX Futures Switch ER Indices. Leveraged long indices apply a leverage factor to
movements in the underlying index. Therefore, a positive change of the underlying index will
result in the corresponding leveraged performance in this index. Short indices are linked
inversely to the changes in the underlying index, applying a negative leverage factor to
movements in the underlying index. Therefore, investing in short indices yields the reverse
performance of the underlying index.

Base value and dates: Base dates and base values of the DAX Future Leverage indices can be
found in the table below.

ISIN Index Name Leverage Base Base Date

Factor Value
DE000A3DZD04 DAX Futures Leverage Long 7X 7 1000 02/11/2022
Excess Return EUR
DE000A3DZD20 DAX Futures Leverage Short 7X 7 1000 22/08/2022
Excess Return EUR
DE000A3DZD38 DAX Futures Leverage Long 5X 5 1000 12/09/2022
Excess Return EUR
DE000A3DZD46 DAX Futures Leverage Short 5X 5 1000 12/09/2022
Excess Return EUR
DAX STRATEGY INDEX GUIDE 16/55

4. LEVERAGED AND SHORT INDICES

4.2.2. CALCULATION
The index is calculated as follows:

𝐼𝐷𝑋𝑡 𝑑
𝐿𝑒𝑣𝐼𝐷𝑋𝑡 = 𝐿𝑒𝑣𝐼𝐷𝑋𝑇 ∙ [1 + 𝐿 ∙ ( − 1) + (𝐼𝑅 + 𝐿 ∙ 𝑐𝑀 ∙ 𝑎) ∙ ]
𝐼𝐷𝑋𝑇 360

Where:

LevIDX = Leverage Index (Rounded previous value used for calculation).

IDX = Underlying Index.
IR = Interest Rate (€STR(t-2) is used).
𝑐𝑀 = Cost of Borrow (Fixed at 0.6%).
t = Time of calculation.
T = Time of last rebalancing prior to t (Usually last trading day).
d = Number of calendar days between t and T.
L = Leverage Factor.
𝑎 = -1 for Long Indices, 1 for Short Indices.

The calculation times and frequencies can be found in the Vendor Code Sheet which is available
under https://www.stoxx.com/data-vendor-codes.

Adjustments Due to Extreme Market Movements

The intraday rebalancing is based on the minimum/maximum overall index values that occur in a
time window of 10 minutes [𝜃,𝜃+]. The time window to calculate the minimum/maximum starts
immediately after the trigger event occurs [𝜃]. The intraday rebalancing is triggered when the
underlying index decreases more than x% (long indices) or increases by more than x% (short
indices) compared to its previous day’s close.

The respective trigger values (x) are given in the following table:

Long Short
Leverage Trigger Value Leverage Trigger Value
5 -14% -5 14%
7 -11% -7 11%

Within the intraday rebalancing process, the base value when the minimum/maximum occurs in
time t* is calculated as:

If L > 0: IDX t∗ = min [θ, θ+ ] IDXt

If L < 0: IDX t∗ = max[θ, θ+ ] IDXt

On that day after the intraday rebalancing i at time t the indices are calculated by:

IDXt
LevIDX t = LevIDX t∗i ∙ [1 + L ∙ ( − 1)]
IDX t∗i
 DAX STRATEGY INDEX GUIDE 17/55

4. LEVERAGED AND SHORT INDICES

IDXt
ShortIDX t = ShortIDX t∗i ∙ [1 + L ∙ ( − 1)]
IDX t∗i

With:

IDX t∗1 d
LevIDX t∗1 = LevIDX t−1 ∙ [1 + L ∙ ( − 1) + (IR + L ∙ cM ∙ 𝑎) ∙ ]
IDXt−1 360

IDX t∗1 d
ShortIDX t∗1 = ShortIDX t−1 ∙ [1 + L ∙ ( − 1) + (IR + L ∙ cM ∙ 𝑎) ∙ ]
IDXt−1 360

And for i>1 we simulate a new day by setting d=0, thus giving:

IDX t∗i
LevIDX t∗i = LevIDX t∗i−1 ∙ [1 + L ∙ ( − 1)]
IDX t∗i−1

IDX t∗i
ShortIDX t∗i = ShortIDX t∗i−1 ∙ [1 + L ∙ ( − 1)]
IDX t∗i−1

Over the course of the 10 minute period in which the minimum/maximum is determined, the
index is not disseminated. The index dissemination ends immediately after the trigger event and
is resumed after the 10 minute period has passed. In the case where the intraday rebalancing is
triggered after 17:18:45 CET the intraday rebalancing will not be carried out. Any index value
that triggers the intraday rebalancing before or equal to 17:18:45 will lead to the intraday
rebalancing described above. The regular overnight rebalancing is always carried out, given that
the leveraged/short index is not suspended.

Index Floor
If the leverage/short indices reach a value of 0.010 or below, the index is set to a value of 0.010
and its calculation/dissemination is discontinued. When historically back-casting the indices,
prior to rebasing, if the indices hit the floor of 0.010 they were reset to an index level of 1000 on
that calculation date.

Computational Accuracy
The index is rounded to three decimal places and published accordingly.

4.3. DAXGLOBAL SHORT INDICES

4.3.1. OVERVIEW
With DAXglobal Short indices Qontigo calculates strategy indices which are linked inversely to
the movements of their underlying DAXglobal indices 2. A positive change of underlying indices
will result in a negative change of the same amplitude in DAXglobal Short indices.

2 For detailed Information concerning the index composition of the underlying DAXglobal indices cf. “DAX
Equity Index Methodology Guide”.
DAX STRATEGY INDEX GUIDE 18/55

4. LEVERAGED AND SHORT INDICES

4.3.2. BASIC DATA

The following DAXglobal Short indices are calculated:

Index name Underlying index Currency Base Base Date

DBIX Deutsche Börse DBIX Deutsche
€, US$, £ 100 21 Sep. 2001
India Index Short Börse India Index
DAXglobal China Short DAXglobal China €, US$, £ 100 21 Sep. 2001

4.3.3. CALCULATION
DAXglobal Short indices are calculated as follows:

𝐼𝑛𝑑𝑒𝑥𝑡 €STR 𝑇
𝑆ℎ𝑜𝑟𝑡𝐼𝐷𝑋𝑡 = 𝑆ℎ𝑜𝑟𝑡𝐼𝐷𝑋𝑇 [1 − ( − 1) + 2 ∗ 𝑑 ∗ ]
𝐼𝑛𝑑𝑒𝑥𝑇 360

LEVERAGE TERM INTEREST TERM

Where:

Index = underlying index portfolio (cf. chapter 1.1)

€STRT = Overnight interest rate published on day T in respect of day T-1
t = Time of calculation
d = Number of calendar days between t and T

The “Leverage Term” describes the inverse effect of the underlying DAXglobal index movements
on the respective DAXglobal Short index.

The “Interest Term” represents the additional interest generated by selling the portfolio of the
underlying index and the risk-free investment of the proceeds.

€STR reflects the wholesale euro unsecured overnight borrowing costs of banks located in the
euro area, by European Central Bank. €STR is calculated as a volume-weighted trimmed mean
on the basis of all eligible transactions that have passed quality and plausibility controls. On 2
October 2019 €STR was published for the first time. Before that, the EONIA (from 1 January
1999 until 30 September 2019) and daily interest provided by Deutsche Bundesbank (prior to 1
January 1999) has been used for calculation.

The calculation times and frequencies can be found in the Vendor Code Sheet which is available
under https://www.stoxx.com/data-vendor-codes.

Adjustments due to extreme market movements

The rebalancing is based on the average over all index values that occur in a time window of 10
minutes. The time window to calculate the average starts 5 minutes after and ends 15 minutes
after the trigger event occurs. The rebalancing is triggered when the underlying index
appreciates by more than 50% compared to its previous day’s close.
DAX STRATEGY INDEX GUIDE 19/55

4. LEVERAGED AND SHORT INDICES

Over the course of the 10-minute period in which the average is determined, the index is not
disseminated. The index dissemination ends 5 minutes after the trigger event and is resumed
with an index level equal to the determined average 15 minutes after the trigger event.

Should the intraday rebalancing be triggered less than 15 minutes prior to the end of the index
calculation day, the regular overnight rebalancing is carried out.

If the strategy index reaches a value of 0 or below over the course of the 15, the index is set to a
value of 0 and its calculation / dissemination is discontinued.

Reverse Split

If the closing value of a daily leverage or short index drops below 10 index points, a reverse split
is carried out. The leverage index is multiplied with a factor of 100 whereas the Short index is
multiplied with a factor of 1000.

The reverse split is carried out based on the index close ten trading days after the index initially
dropped below a closing value of 10 points, notwithstanding whether the index rises above a
level of 10 points in the meantime.

Computational Accuracy

DAXglobal Short indices are published rounded to two decimal places.

All adjustment factors for underlying DAXglobal indices are described in the “DAX Equity Index
Calculation Guide”.
DAX STRATEGY INDEX GUIDE 20/55

5. DAXPLUS RISK TRIGGER GERMANY

5.1. OVERVIEW
DAXplus Risk Trigger Germany measures the performance of the DAX index, but limits the
losses in bear markets by shifting the equity investment into a money market investment in times
of extreme volatilities. The investment is shifted back into equities once the volatility level is
lower.

The index concept of DAXplus Risk Trigger Germany is based on the premise that share price
increases generally happen slowly and steadily, i.e. with low volatility, whereas decreases mostly
happen very quickly, displaying a much higher volatility. High volatility is equated to a high level
of risk.

Base value and dates: 1000 on December 30, 1987.

5.2. CALCULATION
If the 10-day volatility of the equity indices underlying the DAXplus Risk Trigger Indices exceeds
a certain threshold, the investment is reallocated in its entirety to the money market (eb.rexx
Money Market Index). Reinvestment in the equity portfolio will not take place until the volatility
level has fallen below a defined lower limit.

The index is calculated as follows:

Index𝑡
RTI𝑡 = RTI𝑡−1 ⋅
Index𝑡−1

Whereby:

t = calculation time of the index

Indext = DAX / eb.rexx Money Market, depending on the currently selected asset class

Calculational Accuracy
DAXplus Risk Trigger Germany is published rounded to two decimal places.

All adjustment factors are described in the “DAX Equity Index Calculation Guide”.
DAX STRATEGY INDEX GUIDE 21/55

6. DAX RISK CONTROL INDICES

6.1. DAX RISK CONTROL INDICES

6.1.1. OVERVIEW
A target volatility concept is applied to the DAX (TR) Index. Whereas the risk profile of the DAX
Index is the uncontrolled outcome of the existing market-cap weighted index concept, the Risk
Control Indices control for risk by aiming at target volatilities of 5%, 10%, 15%, 20%. In order to
control for risk, the index shifts between a risk-free money market investment (measured via
€STR) and an Equity investment (represented by the DAX Index).

Base value and dates: 100 on May 18, 1999.

6.1.2. CALCULATION
In order to control for risk, the index shifts between a risk free money market investment
(measured via €STR and provided to STOXX Ltd. by Refinitiv (previously Financial and Risk
business of Thomson Reuters.)) and a risky part (measured by the DAX Index, cf. regarding the
DAX Index “Guide to the DAX Equity Indices”). The asset allocation is reviewed on a daily basis.

If on a daily basis the risk of the current DAX Risk Control Index composition is below the
targeted risk of 5% (10%, 15%, 20%), the allocation will be adjusted towards the risky asset, in
case the current risk profile is above the targeted 5% (10%, 15%, 20%), the allocation will be
adjusted towards the risk free component (€STR).

To avoid extreme leveraged positions, a maximum exposure of 150% towards the risky asset is
introduced. Furthermore, a tolerance level of 5% around the target weight is implemented to
avoid high allocation turnover due to minimal deviations from the targeted risk.

The indices are calculated as follows:

𝐷𝐴𝑋𝑡 𝐷𝑖𝑓𝑓(𝑡 − 1, 𝑡)
𝐼𝑛𝑑𝑒𝑥𝑇𝑅𝑡 = 𝐼𝑛𝑑𝑒𝑥𝑇𝑅𝑡−1 × [1 + 𝑤𝑡−1 × ( − 1) + (1 − 𝑤𝑡−1 ) × ((€𝑆𝑇𝑅𝑡−1 ) )]
𝐷𝐴𝑋𝑡−1 360

𝐷𝑖𝑓𝑓(𝑡 − 1, 𝑡)
𝐼𝑛𝑑𝑒𝑥𝐸𝑅𝑡 = 𝐼𝑛𝑑𝑒𝑥𝐸𝑅𝑡−1 × (1 − €𝑆𝑇𝑅𝑡−1 )
360
𝐷𝐴𝑋𝑡 𝐷𝑖𝑓𝑓(𝑡 − 1, 𝑡)
× [1 + 𝑤𝑡−1 ( − 1) + (1 − 𝑤𝑡−1 ) ((€𝑆𝑇𝑅𝑡−1 ) )]
𝐷𝐴𝑋𝑡−1 360

Where

𝐼𝑛𝑑𝑒𝑥𝐸𝑅𝑡 = Excess Return Index Level on Index Level Determination Date t

𝐼𝑛𝑑𝑒𝑥𝐸𝑅𝑡−1 = Excess Return on Index Level Determination Date t -1
𝐼𝑛𝑑𝑒𝑥𝑇𝑅𝑡 = Total Return on Index Level Determination Date t
𝐼𝑛𝑑𝑒𝑥𝑇𝑅𝑡−1 = Total Return on Index Level Determination Date t -1
𝑤𝑡−1 = Equity Weight on Index Level Determination Date t - 1
𝐷𝐴𝑋𝑡 = Level of the DAX (TR) Index on Index Level Determination Date t
𝐷𝐴𝑋𝑡−1 = Level of the DAX (TR) on Index Level Determination Date t -1
 DAX STRATEGY INDEX GUIDE 22/55

6. DAX RISK CONTROL INDICES

€𝑆𝑇𝑅𝑡−1 = The €STR rate on the Index Level Determination Date t-1 in respect of
day t-2.
𝐷𝑖𝑓𝑓(𝑡 − 1, 𝑡) = Difference between t-1 and t measured in calendar days

Determination of the Target Weight (Tgtw)

On any Index Level Determination Date t, the Target Weight shall be determined as follows:

𝑇𝑔𝑡𝑉𝑜𝑙
𝑇𝑔𝑡𝑤𝑡 =
𝑀𝑎𝑥 𝑅𝑒 𝑎 𝑙𝑖𝑧𝑒𝑑𝑉𝑜𝑙𝑡,(20,60)

Where:

𝑇𝑔𝑡𝑉𝑜𝑙 = 5% (10%, 15%, 20%)

𝑀𝑎𝑥 𝑅𝑒 𝑎 𝑙𝑖𝑧𝑒𝑑𝑉𝑜𝑙𝑡,(20,60) = maximum of the realized volatilities measured over 20
days and 60 days

252 𝐷𝐴𝑋𝑠 2
𝑅𝑒 𝑎 𝑙𝑖𝑧𝑒𝑑𝑉𝑜𝑙𝑡,𝑛 = √ ∗ ∑ [𝑙𝑜𝑔 ( )]
𝑛 𝐷𝐴𝑋𝑠−1
𝑠

Where:

n = 19 (59)
s = ranging from t-18 to t (t-58 to t)

Determination of the Equity Weight and Index Rebalancing Days

The Equity Weight on the Index Start Date shall be equal to the Target Weight at the Index Start
Date:

𝑤0 = 𝑀𝑖𝑛(𝐶𝑎𝑝, 𝑇𝑔𝑡𝑤0 )

On any Index Level Determination Date t subsequent to the Index Start Date, the Equity Weight
shall be determined as follows:

𝑤𝑡−1
(i) If 𝑎𝑏𝑠 {1 − } > 𝑇𝑜𝑙𝑒𝑟𝑎𝑛𝑐𝑒
𝑇𝑔𝑡𝑤𝑡−1

then the Index Level Determination Date t will be an Index Rebalancing Day and

𝑤𝑡 = 𝑀𝑖𝑛(𝐶𝑎𝑝, 𝑇𝑔𝑡𝑤𝑡−1 )

(ii) Otherwise, Index Level Determination Date t will not be an Index Rebalancing Day and

𝑤𝑡 = 𝑤𝑡−1

Where:
DAX STRATEGY INDEX GUIDE 23/55

6. DAX RISK CONTROL INDICES

𝑇𝑜𝑙𝑒𝑟𝑎𝑛𝑐𝑒 = 5%
𝑤𝑡/𝑡−1 = Equity Weight on Index Level Determination Date t / t - 1
𝑇𝑔𝑡𝑤𝑡−1 = Target Weight on Index Level Determination Date t-1
𝐶𝑎𝑝 = 150%
DAX STRATEGY INDEX GUIDE 24/55

6. DAX RISK CONTROL INDICES

6.2. AKTIENINDEX DEUTSCHLAND RC-10%

6.2.1. OVERVIEW
A target volatility concept is applied to the DAX (TR) Index. Whereas the risk profile of the DAX
Index is the uncontrolled outcome of the existing market-cap weighted index concept, the Risk
Control Index controls for risk by aiming for a target volatility of 10%. In order to control for risk,
the index shifts between a risk-free money market investment (measured via €STR) and a risky
part (measured by the DAX Index).

Base value and dates: 100 on May 18, 1999.

6.2.2. CALCULATION
The Calculation of Aktienindex Deutschland RC-10% is based on the latest available index level
and on the €STR rate available at the beginning of the calculation day. For further information
regarding the DAX Index cf. the “Guide to the Equity Indices”.

The indices are calculated as follows:

𝐷𝑖𝑓𝑓(𝑡 − 1, 𝑡)
𝐴𝐼𝐷10%𝑡 = 𝐴𝐼𝐷10%𝑡−1 × (1 − €𝑆𝑇𝑅𝑡−1 )
360
𝐷𝐴𝑋𝑡 𝐷𝑖𝑓𝑓(𝑡 − 1, 𝑡)
× [1 + 𝑤𝑡−1 ( − 1) + (1 − 𝑤𝑡−1 ) ((€𝑆𝑇𝑅𝑡−1 ) )]
𝐷𝐴𝑋𝑡−1 360

Where

𝐴𝐼𝐷10%𝑡 = Level of Aktienindex Deutschland RC-10% on Index Level

Determination Date t
𝐴𝐼𝐷10%𝑡−1 = Level of Aktienindex Deutschland RC-10% on Index Level
Determination Date t-1
𝑤𝑡−1 = Equity Weight on Index Level Determination Date t - 1
𝐷𝐴𝑋𝑡 = Level of the DAX (TR) Index on Index Level Determination Date t
𝐷𝐴𝑋𝑡−1 = Level of the DAX (TR) on Index Level Determination Date t -1
€𝑆𝑇𝑅𝑡−1 = The €STR rate on the Index Level Determination Date t-1 in respect of
day t-2.
𝐷𝑖𝑓𝑓(𝑡 − 1, 𝑡) = Difference between t-1 and t measured in calendar days

Determination of the Target Weight (Tgtw)

On any Index Level Determination Date t, the Target Weight shall be determined as follows:

𝑇𝑔𝑡𝑉𝑜𝑙
𝑇𝑔𝑡𝑤𝑡 =
𝑀𝑎𝑥 𝑅𝑒 𝑎 𝑙𝑖𝑧𝑒𝑑𝑉𝑜𝑙𝑡,(20,60)

Where:

𝑇𝑔𝑡𝑉𝑜𝑙 = 10%
 DAX STRATEGY INDEX GUIDE 25/55

6. DAX RISK CONTROL INDICES

𝑀𝑎𝑥 𝑅𝑒 𝑎 𝑙𝑖𝑧𝑒𝑑𝑉𝑜𝑙𝑡,(20,60) = maximum of the realized volatilities measured over 20

days and 60 days

252 𝐷𝐴𝑋𝑠 2
𝑅𝑒 𝑎 𝑙𝑖𝑧𝑒𝑑𝑉𝑜𝑙𝑡,𝑛 = √ ∗ ∑ [𝑙𝑜𝑔 ( )]
𝑛 𝐷𝐴𝑋𝑠−1
𝑠

Where:

n = 19 (59)
s = ranging from t-18 to t (t-58 to t)

Determination of the Equity Weight and Index Rebalancing Days

The Equity Weight on the Index Start Date shall be equal to the Target Weight at the Index Start
Date:

𝑤0 = 𝑀𝑖𝑛(𝐶𝑎𝑝, 𝑇𝑔𝑡𝑤0 )

On any Index Level Determination Date t subsequent to the Index Start Date, the Equity Weight
shall be determined as follows:

𝑤𝑡−1
(i) If 𝑎𝑏𝑠 {1 − } > 𝑇𝑜𝑙𝑒𝑟𝑎𝑛𝑐𝑒
𝑇𝑔𝑡𝑤𝑡−1

then the Index Level Determination Date t will be an Index Rebalancing Day and

𝑤𝑡 = 𝑀𝑖𝑛(𝐶𝑎𝑝, 𝑇𝑔𝑡𝑤𝑡−1 )

(ii) Otherwise, Index Level Determination Date t will not be an Index Rebalancing Day and

𝑤𝑡 = 𝑤𝑡−1

Where:

𝑇𝑜𝑙𝑒𝑟𝑎𝑛𝑐𝑒 = 2%
𝑤𝑡/𝑡−1 = Equity Weight on Index Level Determination Date t / t - 1
𝑇𝑔𝑡𝑤𝑡−1 = Target Weight on Index Level Determination Date t-1
𝐶𝑎𝑝 = 150%
DAX STRATEGY INDEX GUIDE 26/55

7. CURRENCY-HEDGED INDICES

7.1. OVERVIEW
The Hedged Indices are an innovative investment tool that measures the performance of the
underlying index while at the same time eliminating foreign currency fluctuations. The currency-
hedged indices eliminate the risk of the currency fluctuations at the cost of potential currency
gains. STOXX Ltd. offers two versions of currency-hedged indices: one that resets the hedge
notional and the currency exposure on a daily basis and one that resets both on a monthly basis.

Base value and dates: For the base values and dates of the specific indices, refer to the DAX
Vendor Codes Sheet.

7.2. CALCULATION
The Currency-Hedged Indices combine an investment in the underlying, unhedged index with a
short position in currency forwards: profits (losses) deriving from the appreciation (depreciation)
of the foreign denomination currency of the constituents are offset by losses (profits) from the
currency forward hedge.

The spot and forwards rates are taken from WM Fixings. The intraday currency conversion is
based on the spot and forward rates provided by Refinitiv previously Financial and Risk business
of Thomson Reuters. The WM/Refinitiv spot and forward currency fixing rates from 17:00 CET
are used to calculate the indices’ closing values. The Currency Hedged Indices are available in
the currencies set forth in the Vendor Code Sheet which is available under
https://www.stoxx.com/data-vendor-codes.

The DAX Monthly Hedged JPY TTM Index uses the TTM (Telegraphic Transfer Middle rate) spot
and forward rates from Refinitiv. The TTM JPY currency fixing used to calculate the index’ close
value is published end of day Japan time, hence it is available in the morning CET time.
For monthly hedged indices, the total hedge amount and the allocation to the individual
underlying currencies (where applicable) is reset at the end of the month; for daily hedged
indices, the adjustments occur every day.

The following definitions will be used throughout the chapter:

H_IDXt = hedged index for day t

UH_IDXt = unhedged reference index (in hedged currency) for day t
t=0 = last calculation day of preceding month (reset date)
t = day of index calculation / number of calendar days since t=0
T = number of calendar days in current month
AFt = notional adjustment factor for day t
HRc,t = hedge ratio of currency c for day t
FXc,t = Spot currency rate for day t
FFc,t = 1-month forward currency rate for day t
IFFc,t = interpolated forward currency rate for day t
Rt = return from hedging for day t
DAX STRATEGY INDEX GUIDE 27/55

7. CURRENCY-HEDGED INDICES

All currency rates are expressed as units of foreign currency c per one unit of domestic (hedged)
currency.

The adjustment factor AFt reflects the changes in the notional value to be hedged between the
t=0 and t:

UH_IDXt
AFt =
UH_IDX0

The hedge ratio HRc,t can be varied to arrive at index portfolios that are over- or under-hedged to
varying degrees. Furthermore it can be used to hedge multi-currency portfolios.

To fully hedge a multi-currency portfolio, the hedge ratio of each currency is calculated as the
sum of weights of the securities quoted in that currency:

HRc,t = ∑ wi,t
i:ccyi =c

The interpolated forward currency rate IFFc,t corrects the 1-month forward rate – traded with a
fixed 1-month maturity – to reflect the progressively closer expiry (t=T) of the hedge. In other
words, the interpolated 1-month forward rate linearly converges to the spot rate as t=T
approaches:

t
IFFc,t =FXc,t + (1- ) ∙(FFc,t -FXc,t )
T

From the above definition, it follows that IFFc,0 =FFc,0 and IFFc,T =FXc,T .
For each currency c, the contribution of hedging to the index return is defined as the product of
the relevant hedge ratio by the return on the forward currency trade.

For instance, an investor knows in t=0 that she will receive a payment of 1 unit of foreign
currency in t=T. She could wait and convert it at the then prevailing spot rate FXc,t and obtain
1/FXc,t units of domestic currency. Alternatively, she could enter a forward trade in t=0 to sell the
foreign currency in t=T at FFc,0 , thus obtaining 1/FFc,0 units of domestic currency.

1 1
The P&L from the forward trade, as compared to a spot conversion, is thus P&Lc, [0,T] = - .
FFc,0 FXc,T

By expressing the forward trade P&L as percentage of the payment value in domestic currency
FX FX
in t=0 and rearranging the terms, the returns on the forward trade can be expressed as c,0 - c,0 .
FFc,0 FXc,T

The expression for forward trade returns can then be generalized as:

C
FXc,0 FXc,0
Rt = ∑ HRc,t-1 ∙ ( - )
IFFc,t-1 IFFc,t
c=1
DAX STRATEGY INDEX GUIDE 28/55

7. CURRENCY-HEDGED INDICES

Daily Hedged Indices

With daily hedged indices, the hedging trade is entered at the end of each calendar month. From
that day onwards, the returns of the underlying, unhedged index are integrated by the returns
from hedging. Moreover, the notional amount being hedged and the weight of the individual
underlying currencies are adjusted on a daily basis.

At the cost of an increased trading activity, the daily hedging aims to timely and precisely offset
the currency exposures of the index and is thus particularly suited to volatile markets.

The daily currency hedged indices are thus calculated as:

𝑐
UH_IDX𝑡
H_IDX𝑡 = H_IDX0 ⋅ + ∑ 𝐴𝐹𝑑−1 ⋅ 𝑅𝑑
UH_IDX0
⏟
𝑑=1
Performance of
(unhedged index )

Monthly Hedged Indices

In the monthly hedged version, the forward hedge is set up once a month and remains
unchanged until the next reset: the currency weights are fixed at each reset, as well as the
notional hedge amount.

The monthly currency hedged indices are thus calculated as:

𝑐
UH_IDX𝑡 FX𝑐,0 FX 𝑐,0
H_IDX𝑡 = H_IDX0 ⋅ + ∑ 𝐻𝑅𝑐,0 ⋅ −
UH_IDX0
⏟ FF
⏟ 𝑐,0 IFF𝑐,𝑡
⏟
𝑐=1
Performance of Cost to hedge on the Estimated gain or loss
(unhedged index ( forward contract ))

The expression can be directly derived from the formula for daily currency hedged indices, by
setting AFt= AF0 and HRc,t= HRc,0 ∀ t.
DAX STRATEGY INDEX GUIDE 29/55

8. DAX DECREMENT INDICES

8.1. DAXPLUS 30 DECREMENT 40 INDEX

8.1.1. OVERVIEW
The DAXplus 30 Decrement 40 index replicates the returns of an investment into the underlying
index with a constant markdown expressed in index points, accruing on a daily basis.
While the DAXplus 30 Decrement 40 has lower returns than the underlying DAX (TR) by
construction, it may perform better than the DAX (PR) index, provided that the dividend points
not reinvested in the DAX (PR) exceed, on an equivalent annual basis, the decrement amount.
For information regarding the underlying DAX index cf. “Guide to the DAX Equity Indices”.

Base value and dates: 1000 on September 1, 2015.

8.1.2. CALCULATION
The index is calculated as follows:

Ut ACT(t-1,t)
IVt =IVt-1 ∙ -D∙
Ut-1 365

Whereby :

IVt = index value on day t

IV0 = 708.68 on 04 January 2005
Ut = index value of underlying DAX EUR (TR) index on day t
D = fixed index points decrement (40)
ACT(t-1,t) = number of actual calendar days between t-1 and t

The calculation is based on the latest available index level. The Index has a floor value of zero.

8.2. IDDAX 50 EQUAL WEIGHT DECREMENT 4.00% INDEX

8.2.1. OVERVIEW
The idDAX 50 Equal Weight Decrement 4.00% index replicates the performance of the idDAX 50
Equal Weight EUR index assuming a constant 4.00% performance deduction per annum. The
performance deduction accrues constantly on a daily basis.
Consequently, due to the percentage of performance being subtracted, the decrement index is
underperforming the standard net return index. The decrement index may perform better than
the standard price index that does not consider dividend investments as long as the overall net
dividend yield of the base index is greater than the value being subtracted.
The base index is the idDAX 50 Equal Weight Net Return EUR Index (Sections 1.16 and 2.15).

Base value and dates: 100 on March 21, 2005.

8.2.2. CALCULATION
The index is calculated as follows:
DAX STRATEGY INDEX GUIDE 30/55

8. DAX DECREMENT INDICES

Ut ACT(t − 1, t)
IVt = IVt−1 ∙ ( −D∙ )
Ut−1 365

Whereby:

IVt = index value on day t

IV0 = 100 on 21 March 2005
Ut = index value of underlying idDAX 50 Equal Weight EUR (NR) index on
day t
D = constant number of percentage subtracted (4%)
ACT(t-1,t) = number of actual calendar days between t-1 and t

The calculation is based on the latest available index level. The Index has a floor value of zero.
DAX STRATEGY INDEX GUIDE 31/55

8. DAX DECREMENT INDICES

8.3. IDDAX 50 ESG NR DECREMENT 4.00%

8.3.1. OVERVIEW
The idDAX 50 ESG NR Decrement 4.00% index replicates the performance of the DAX 50 ESG
index assuming a constant 4.00% performance deduction per annum. The performance
deduction accrues constantly on a daily basis.
Consequently, due to the percentage of performance being subtracted, the decrement index is
underperforming the standard net return index. The decrement index may perform better than
the standard price index that does not consider dividend investments as long as the overall net
dividend yield of the base index is greater than the value being subtracted.
The base index is the DAX 50 ESG Net Return Index.

Base value and dates: 1000 on September 24, 2012.

8.3.2. CALCULATION
The index is calculated as follows:

Ut ACT(t − 1, t)
IVt = IVt−1 × ( −D )
Ut−1 365

Whereby:

IVt = index value on day t

IV0 = 1000 on 24 September 2012
Ut = index value of underlying DAX 50 ESG (Net Return) index on day t
D = constant number of percentage subtracted (4%)
ACT(t-1,t) = number of actual calendar days between t-1 and t
 DAX STRATEGY INDEX GUIDE 32/55

9. DAX FUTURES SWITCH INDEX

9.1. OVERVIEW
The DAX Futures Switch index replicates a hypothetical portfolio of a series of long position DAX
futures contracts traded on Eurex. The portfolio is invested into the first nearby futures contract
and then switched to the next nearby contract on the 4th day preceding the expiry date of the
futures contract series the 3rd Friday in March, June, September and December.

The Dax Futures Switch Index is calculated as a total return and an excess return index. The
excess return index replicates the financial outcome of a portfolio switching the 1st nearby DAX
index futures contract into the 2nd nearby contract; the total return index, in addition, replicates
the remuneration of the cash component at risk-free rate. The futures contracts series is not
amended between switch dates.

The index is disseminated following the STOXX Eurex Calendar.

9.2. CALCULATION
The excess return index is calculated as follows:

𝐹k,t
𝐼𝑡ER = 𝐼𝑡−1
ER
⋅
𝐹k,t−1

The total return index is calculated as follows:

𝐹k,t 𝑑
𝐼𝑡TR = 𝐼𝑡−1
TR
⋅( + ⋅𝑅 )
𝐹k,t−1 360 f, t−1

Where:

𝐼𝑡ER = Excess return index value on day (t) - Unrounded t-1 value used for
calculation.
𝐼𝑡TR = Total return index value on day (t) - Unrounded t-1 value used for calculation.
𝐹k,t = Settlement value of futures contract k on day (t).
𝑑 = Number of actual days between day (t) and day (t-1).
𝑅f, t−1 = Fixing of risk-free rate on day (t) (€STR (t-1) used).

Computational Accuracy
The index is rounded to three decimal places and published accordingly.
DAX STRATEGY INDEX GUIDE 33/55

10. X-INDICES

10.1. OVERVIEW
The calculation of the X-DAX Index is based on the daily comparison of the DAX index values
with the respective future. The calculation of the X-TecDAX is based on “cost of carry”-adjusted
TecDAX futures prices. The X-indices act as indicators for market development outside Xetra
trading hours. The calculation times and frequencies can be found in the Vendor Code Sheet
which is available under https://www.stoxx.com/data-vendor-codes.

The longer computation time of X-indices covers the entire trading time of US stock exchanges.

XDAXDAX is calculated and distributed as a combination of X-DAX and DAX. This serves the
need of market participants to monitor the price change of DAX during the trading day including
pre and post DAX indicators in one time series. With XDAXDAX DAX and X-DAX are merged
and distributed using one ISIN.

Base value and dates: 1000 on December 30, 1987.

10.2. CALCULATION

Calculation of X-DAX
The factor applied to discount the DAX future (FDAX) will be deducted from the daily deviation of
the index future from its underlying index (DAX).

The X-DAX is calculated as follows:

1
Indext = FDAXt
Dt

Where:

FDAXi
∑N
i=1 DAXi
Dt =
N
FDAXi
Here, ∑N
i=1 is the sum of all ratios i=1 to N of the future and index values measured on a
DAXi
given index calculation date t between the start of the DAX and 17:15 CET.

FDAXi
To prevent distortions due to outliers, the lower and upper deciles of the ratios are not
DAXi
considered in the following calculations and N is reduced accordingly.

Dt is then used to calculate the X-DAX between 17:30 and 22:15 CET on date t.

To calculate the X-DAX between 08:00 CET and the start of the DAX on the next calculation
date (t+1), the discount factor (Dt) is adjusted downwards to take account of the decrease in the
time to maturity.
 DAX STRATEGY INDEX GUIDE 34/55

10. X-INDICES

With Tt being the time to maturity on date t and rt an implicit interest rate, the X-DAX calculation
between 08:00 CET and the start of the DAX on date t+1 is carried out as follows:
T 360
Dt+1 = 1 + rt t+1, with rt = (Dt − 1)
360 Tt

1
Indext = FDAXt
Dt+1

Calculation X-TecDAX
X-TecDAX is calculated based on FTDX future prices as follows:

1
𝐼𝑛𝑑𝑒𝑥𝑡 = ⋅ FTDX𝑡
𝑇𝑡
1 + 𝑟𝑡 ⋅
360

Where:

FTDX𝑡 = Last price of FTDX with the shortest time to maturity

Tt = Number of days to maturity of FTDX at time t
rt = Risk-free interest rate at time t
t = Time of calculation

The risk-free interest rate is derived by interpolation from the rates for unsecured money market
transactions (€STR3, Euribor) as described below:

𝑇𝑘+1 − 𝑇𝐹,𝑡 𝑇𝐹,𝑡 − 𝑇𝑘

𝑟𝑡 = 𝑟𝑘 + 𝑟𝑘+1 , where T𝑘 ≤ 𝑇F,t ≤ 𝑇𝑘+1
𝑇𝑘+1 − 𝑇𝑘 𝑇𝑘+1 − 𝑇𝑘

Where:

𝑇𝑘 , 𝑇𝑘+1 = Number of days in the respective class

Tt = Number of days to maturity of FTDX at time t
k = Classes (€STR, 1-, 3-, 6-months Euribor)
t = Time of calculation

The number of days to the maturity of FTDX (Tt) is determined daily after close of calculation of
X-TecDAX. It is calculated as the difference between the maturity date and the current date. It is
constant for the entire trading day.

3 Interpolation uses the latest available €STR value as provided by Refinitiv

DAX STRATEGY INDEX GUIDE 35/55

11. DAX DIVIDEND POINTS AND DIVDAX

DIVIDEND
DIVIDEND POINTS
POINTS
11.1. OVERVIEW
The indices DAX Dividend Points and DivDAX Dividend Points measure the dividend component
of the underlying indices DAX and DivDAX. The Dividend Points indices reflect the absolute
income of the portfolio and not the performance of the portfolio itself as indices usually do. With
these indices, it is possible to separate the dividend component and the inherited risk, such that
the dividend effect can be hedged with short equity positions in DAX or DivDAX.

The following factors are included in the index calculation:

» the ordinary un-adjusted gross cash dividends (as determined by DAX methodology) of the
individual constituents of the respective DAX index and;
» withholding taxes of special cash dividends and capital returns as applied to the individual
constituents of the respective DAX index.

11.2. CALCULATION

The Dividend Amount is calculated as follows:

𝑛

DA𝑡 = ∑ 𝑑𝑖𝑡 ∙ 𝑠𝑖𝑡 ∙ 𝑓𝑓𝑖𝑡 ∙ 𝑐𝑓𝑖𝑡

𝑖=1

Where:

t = Time the amount is computed

N = Number of companies in the index
i = Individual company being a constituent of the index
𝑑𝑖𝑡 = Includes ordinary un-adjusted gross cash dividends and withholding tax amounts
applied to special cash dividends and capital returns (d) in respect of each share of
company (i) which is a constituent of the index at day (t) being an ex-dividend date as
appropriate, or zero if no amount is applicable
𝑠𝑖𝑡 = Number of shares eligible for dividends in company (i) at time (t)
𝑓𝑓𝑖𝑡 = Free float factor of company (i) at time (t)
𝑐𝑓𝑖𝑡 = Weighting cap factor of company (i) at time (t)

The Dividend Points indices are calculated as follows:

𝐷𝐴𝑡
DP𝑡 =
𝐷𝑡

Where:

t = Time the value is computed

𝐷𝐴𝑡 = Dividend amount at time t
𝐷𝑡 = Divisor of the price Index at time t
DAX STRATEGY INDEX GUIDE 36/55

11. DAX DIVIDEND POINTS AND DIVDAX

DIVIDEND POINTS
Calculation on an Ongoing Basis
The Dividend Points indices are reset to zero on the review effective date of the underlying
indices in December.

Accordingly, for the calculation of the Dividend Points indices the ongoing value is the sum of the
Dividend Points at time (t), (DPt) excluding the third Friday in December and including the third
Friday in December of the settlement year, i.e.: DVPt = DVPt–1 + DPt

Computational Accuracy
Figures of the published Dividend Points indices are rounded to two decimal places. All relevant
parameters for the calculation of the DAX indices are described in the “DAX Equity Calculation
Guide”.

Dissemination Days and Time

The index value is disseminated via the data feed at least twice a day considering the corporate
events that went ex on that day:

» At 9:00 CET with an open flag

» At 18:00 CET with an end of day flag

The historical index values are made available in reports on stoxx.com during the regular end of
day process.
DAX STRATEGY INDEX GUIDE 37/55

12. VDAX

12.1. OVERVIEW
Volatility is a measure of the level of uncertainty prevailing in certain markets, or with respect to
individual underlying instruments. In principle, there are two different approaches for the
estimation of volatility: on the one hand, it is possible to determine historical volatility by
measuring the standard deviation of prices for any particular security over a given period of time.
On the other hand, volatility can be derived implicitly from option prices (‘implied volatility’); this
kind of volatility represents the expectations of market participants involved in a trade, on the
basis of a given option price.

STOXX Ltd. calculates volatility indices that measure implied volatility using a model that has
been jointly developed by Goldman Sachs and Deutsche Börse AG. The VDAX-NEW indices are
expressed in volatility percentage points.

The VDAX-NEW computes the square root of implied variance across at- & out-of-the-money
DAX options of a given time to expiration. The main index (which is not linked to a specific
maturity) has a fixed remaining time to expiration of 30 days. The VDAX-NEW and its various
sub-indices are updated every minute.

12.2. BASIC DATA

The VDAX-NEW indices measure the volatility implied by the options on the DAX index traded
on Eurex.
The twelve VDAX-NEW main indices are calculated for rolling 30, 60, 90, 120, 150, 180, 210,
240, 270, 300, 330 and 360 days to expiry via linear interpolation of the suiting sub-indices. The
VSTOXX main indices are therefore independent of a specific time to expiry, i.e. they do not
expire.

Apart from the VDAX-NEW main indices, 8 sub-indices are calculated and distributed, covering
the DAX option expiries ranging from one month to two years. For options with longer time to
expiry, no such sub-indices are currently available.
The VDAX-NEW sub-indices are calculated on the basis of all options available in the Eurex
system.
DAX STRATEGY INDEX GUIDE 38/55

12. VDAX

Index Code ISIN

VDAX-NEW V1X DE000A0DMX99
VDAX-NEW 60 WDOY DE000A1A4LH7
VDAX-NEW 90 WDOZ DE000A1A4LJ3
VDAX-NEW 120 WDQ0 DE000A1A4LK1
Main Indices

VDAX-NEW 150 WDQ1 DE000A1A4LL9

VDAX-NEW 180 WDQ2 DE000A1A4LM7
VDAX-NEW 210 WDQ3 DE000A1A4LN5
VDAX-NEW 240 WDQ4 DE000A1A4LP0
VDAX-NEW 270 WDQ5 DE000A1A4LQ8
VDAX-NEW 300 WDQ6 DE000A1A4LR6
VDAX-NEW 330 WDQ7 DE000A1A4LS4
VDAX-NEW 360 WDQ8 DE000A1A4LT2
VDAX-NEW 1M EUR V4F1 DE000A0G83V9
VDAX-NEW 2M EUR V4F2 DE000A0G83W7
Sub-indices

VDAX-NEW 3M EUR V4F3 DE000A0G83X5

VDAX-NEW 6M EUR V4F4 DE000A0G83Y3
VDAX-NEW 9M EUR V4F5 DE000A0G83Z0
VDAX-NEW 12M EUR V4F6 DE000A0G8300
VDAX-NEW 18M EUR V4F7 DE000A0G8318
VDAX-NEW 24M EUR V4F8 DE000A0G8326

12.3. CALCULATION

The calculation times and frequencies can be found in the Vendor Code Sheet which is available
under https://www.stoxx.com/data-vendor-codes.

The calculation of a sub-index only commence when all required input data are available. The
data required for the index calculation is described in the chapter for calculation (VDAX-NEW, cf.
section 2).

The dissemination of the main indices begins as soon as two sub-indices are available for an
interpolation.

The VDAX-NEW utilize data from the previous trading day (settlement prices) as long as no data
from the current day is available.

Input Data

During the calculation hours for the VDAX-NEW and the sub-indices, the following data is
recorded every minute:
DAX STRATEGY INDEX GUIDE 39/55

12. VDAX

» DAX: DAX Index, calculated on the basis of Xetra prices. For information regarding DAX
please refer to the “DAX Equity Index Methodology Guide”.

» ODAX: Best bid, best ask, last trade and settlement price of all DAX options as traded
on EUREX. STOXX Ltd. will exclude from their indices all options as soon as their
delisting becomes known (e.g. direct notification from the market, or unavailability of a
settlement price).

» €STR: The euro short-term rate (€STR) reflects the wholesale euro unsecured overnight
borrowing costs of banks located in the euro area (calculated once a day, 08:00 CET, by
the European Central Bank) as provided by Refinitiv.

» EURIBOR: Euro Interbank Offered Rates – money market reference rates

» (calculated once a day, 11:00 CET, by the European Banking Federation) as provided
by Refinitiv.

» REX: Yield of the 2-year REX (calculated from exchange-traded prices) as the longer-
term interest rate. For information regarding REX cf. the “Guide to the REX Bond
Indices”.

The model for VDAX-NEW aims at making pure volatility tradable - i.e. it should be possible to
replicate the indices with an options portfolio which does not react to price fluctuations, but to
changes in volatility only. This is not achieved through direct replication of volatility, but rather of
variance. A portfolio of DAX options with different strike levels and weighting meets this goal: the
implied volatilities of all eligible options with a given time to expiry are considered.

Preparation of option inclusion prices

First, the trade price, the mid quote and settlement prices of each option and corresponding
timestamps are identified. A price filter is applied in that any trade price, mid quote or settlement
price below 0.5 points is ignored.

The mid quote is only calculated if the following requirements are fulfilled:

1) both the bid and ask quotes are available and

2) both the bid and ask quotes are equal to or greater than 0.1 points and
3) the bid-ask spread does not exceed the following thresholds:
a. normal market: 8% of bid quote, with a minimum of 2 points and a maximum of
24 points and
b. stressed market: 16%, with a minimum value of 4 points and a maximum of 48
points.

If there are two or more options with different strikes and mid quotes that exactly equal the
minimum value of 0.5, only the one closer to the at-the-money point is taken into consideration.

For each option used in the calculation of a sub-index, the Inclusion Price is then defined as the
most recent among:

1) trade price, or
DAX STRATEGY INDEX GUIDE 40/55

12. VDAX

2) mid quote, or
3) settlement price.

If both a trade price and a mid quote exist with identical timestamp, preference is given to the
trade price.

Underlying Settlement Bid (time) Ask (time) Mid (time) Last-traded (time) Price
4,000 383.30 -- -- -- 383.5 383.30
4,050 333.40 -- -- 239.70 383.5 (09:05) 383.50
4,100 283.50 287.1 (09:04) 290.0 (09:05) 288.55 (09:05) -- 288.55
4,150 233.70 237.2 (09:03) 240.2 (09:05) 239.70 (09:05) 237.2 (09:01) 239.70

Discount Rates

Discount rate Period ISIN

€STR 1 day EU000A2X2A25
EURIBOR 1 month 1 month EU0009659937
EURIBOR 3 months 3 months EU0009652783
EURIBOR 6 months 6 months EU0009652791
EURIBOR 12 months 12 months EU0009652809
REX 2-YEAR (PRICE INDEX) 2 years DE0008469149

Calculation of VDAX-NEW Main Indices

Twelve VDAX-NEW main indices are calculated with fixed time to expiry.

The main indices are calculated by linear interpolation of the sub-indices whose times to maturity
better represent the targeted fixed time to expiry.

If two sub-indices exist whose time to maturity bracket the time to maturity targeted by the main
index, then the main index is calculated as interpolation of the two sub-indices.

When the maturity of two sub-indices used in the calculation of a main index approaches, the
respective time to maturities may not bracket the fixed time to maturity of the main index: in this
case, the algorithm extrapolates between the two sub-indices.

However, as time passes by, as soon as an interpolation between two other sub-indices
becomes possible, the algorithm switches to the new sub-index pair.

Each VDAX-NEW main index is calculated as a time-weighted average of two VDAX-NEW sub-
indices, as shown in the following formula:

2 2
Tst SubIndexst Tlt -Ttm Tlt SubIndexlt Ttm -Tst T365
MainIndextm = 100 ∙√[ ∙( ) ∙ + ∙( ) ∙ ]∙
T365 100 Tlt -Tst T365 100 Tlt -Tst Ttm

Where:
DAX STRATEGY INDEX GUIDE 41/55

12. VDAX

tm = Fixed time to maturity, expressed as number of days, targeted by the

main index.
MainIndextm = VDAX-NEW main index with fixed time to maturity of tm days.
SubIndexst = VDAX-NEW sub-index with shorter maturity used in the
inter(extra)polation.
SubIndexlt = VDAX-NEW sub-index with longer maturity used in the
inter(extra)polation.
Tst = Seconds to expiry of SubIndexst.
Tlt = Seconds to expiry of SubIndexlt.
Ttm = Seconds in tm (1 day = 86,400 sec.).
T365 = Seconds in a standard year of 365 days (31,536,000 sec.).

If one of or both the sub-indices required for the calculation of a main index are not available, the
main index is not calculated.

Calculation of VDAX-NEW sub-indices

Each of the eight VDAX sub-indices is calculated according to the formula shown below:

SubIndex = 100∙√σ2i
Where:

i = ith sub-index (i = 1, …, 8).

σ2i = Implied variance for the the ith ODAX expiry date:

2
2 ∆Ki,j 1 Fi
σ2i = ∙ ∑ 2 ∙Ri ∙MKi,j - ∙( -1)
Ti ⁄T365 Ki,j Ti ⁄T365 Ki,0
j

Ti = Seconds to the ith ODAX expiry date.

Fi = Forward at-the-money price for the ith ODAX expiry date, derived from exercise
price for which the absolute difference between call and put prices is smallest. If
multiple pairs of calls and puts exist with identical price differences, a forward
price will be calculated as the simple average of the corresponding implied
forward prices:

Fi =Kmin|C-P| +Ri ∙(C-P)

Ki,0 = Highest exercise price not exceeding Fi.

Ki,j = Exercise price of the jth out-of-the-money option, after sorting the options by their
exercise prices in ascending order (i.e. call options for exercise prices above K i,0,
put options otherwise).
DAX STRATEGY INDEX GUIDE 42/55

12. VDAX

∆Ki,j = Average distance between the exercise prices of the two options struck
respectively immediately above and immediately below Ki,j. On the boundaries,
the simple distance between the highest (lowest) and second-highest (lowest)
exercise price for call (put) options is used:

1
∆Ki,j = ∙(Ki,j+1 -Ki,j-1 )
2

MKi,j = Inclusion price of the out-of-the-money option with exercise price Ki,j .

MKi,0 = Simple arithmetic average of put and call prices of the option with exercise price
Ki,0 .

Ri = Refinancing factor for the ith ODAX expiry date:

Ri =eri ∙Ti⁄T365

ri = Interpolated risk-free interest rate valid for the ith ODAX expiry date:

Tlt -Ttm Ttm -Tst

ri = ∙rst + ∙r
Tlt -Tst Tlt -Tst lt

If less than five options can be used for the calculation of a sub-index, that sub-index is not
calculated.

The sub-indices are calculated up to two days prior to expiry. Each new sub-index, i.e. an index
calculated with newly issued options, is disseminated for the first time on the second trading day
of the relevant DAX options.

Example:

Index calculation: 25 November 2004 at 11:00 CET

Expiration (i = 1): 17 December 2004 at 13:00 CET

1,908,000
𝑇1 = = 0.0605022831
365 ⋅ 60 ⋅ 60 ⋅ 24

r(Tk) = 2.05% (EONIA)

r(Tk+1) = 2.18% (EURIBOR, 1 month)

r(Ti) = 2,14%

R1 = er∙t =1.001298

Kmin|C-P| = 4,150
DAX STRATEGY INDEX GUIDE 43/55

12. VDAX

F1 = 4,151.401817

Exercise Ki,j Call Put |Call – Put| M(Ki.j) Ki, j

Ri M(K i, j )
Price Ki,j Ki, j 2

3,350 50 793.90 0.30 793.60 0.30

3,400 50 734.70 0.60 734.10 0.60 0.0000025985
3,450 50 684.80 0.80 684.00 0.80 0.0000033649
3,500 50 635.00 0.90 634.10 0.90 0.0000036782
3,550 50 585.30 1.10 584.20 1.10 0.0000043698
3,600 50 535.60 1.20 534.40 1.20 0.0000046355
3,650 50 486.00 1.70 484.30 1.70 0.0000063883
3,700 50 436.60 1.80 434.80 1.80 0.0000065825
3,750 50 387.40 2.90 384.50 2.90 0.0000103242
3,800 50 355.00 2.90 352.10 2.90 0.0000100543
3,850 50 290.10 5.50 284.60 5.50 0.0000185765
3,900 50 249.00 6.40 242.60 6.40 0.0000210656
3,950 50 202.90 10.50 192.40 10.50 0,0000336913
4,000 50 165.70 15.20 150.50 15.20 0.0000475605
4,050 50 120.50 24.80 95.70 24.80 0.0000756946
4,100 50 90.00 38.70 51.30 38.70 0.0001152567
4,150 50 59.00 57.60 1.40 58.30 0.0001694710
4,200 50 36.20 85.00 48.80 36.20 0.0001027385
4,250 50 20.30 130.00 109.70 20.30 0.0000562654
4,300 50 11.10 174.80 163.70 11.10 0.0000300545
4,350 50 6.00 212.75 206.75 6.00 0.0000158743
4,400 75 3.00 267.50 264.50 3.00 0.0000116367
4,500 100 1.20 365.60 364.40 1.20 0.0000059335
4,600 100 0.40 497.70 497.30 0.40
 0.0007558154

𝜎𝑖2 = 0.024984689 − 0.000001886 = 0.024986576

VDAX-NEW1 = 100 ⋅ √0.024986576 = 15.8071

Calculation of Index Settlement Index

A Settlement Day is defined, for each main index, as the 30th calendar day preceding the expiry
of the DAX options.

The Settlement Level of each main index is calculated on the Settlement Day as the average of
all valid ticks that index produced during an expanding time window starting at 12:30:00 CET up
to the current calculation time and not later than 13:00:00 CET:
DAX STRATEGY INDEX GUIDE 44/55

12. VDAX

nt
1
Settleindex = ∑ tickindex,i
nt
i=1

where tickindex,i indicates the ith tick for the relevant main index up to calculation time t.

Interim settlement values, i.e. values calculated on the expanding window before 13:00:00 CET,
are disseminated with an “V” flag. The final settlement value is marked as “F”.

Verification of index ticks

With reference to both sub- and main indices, each index tick is verified before being published.
The process will result in the addition of a flag to the individual index tick, showing its status.

Status flags are updated at every index tick, i.e. they reflect the status of the tick they are
associated to.

A tick can be flagged as either “A” (for “Approved” tick) or “U” (for “Unapproved” tick).

Any tick exceeding a certain deviation tolerance limit from the previous tick is flagged as “U”.

The maximum deviation allowed is set respectively to ±20% for sub- and ±8% for main indices.

A sub-index tick flagged as “U” will still be used in the calculation of any derived main index. Any
main index derived from an “Unapproved” sub-index will inherit the “U” status flag.

Index ticks flagged as “U” are displayed for information purpose only and are not meant to be
considered as valid values.

However, main index ticks marked as “U” are used in the calculation of the respective index
settlement level.
DAX STRATEGY INDEX GUIDE 45/55

13. METHODOLOGY REVIEW

The purpose of the methodology review is to maintain integrity of the index, i.e., that the index
methodology remains executable and results in an accurate and reliable representation of the
market / economic realities the index seeks to measure.

13.1. FREQUENCY OF REVIEW

In order to ensure the index integrity is maintained, the methodology is reviewed annually and ad
hoc if a Limitation has occurred. If a Limitation cannot be addressed with by a methodology
review, this may give rise to an index cessation or index transition. STOXX Ltd. shall not be
liable for any losses arising from any decisions taken as part of a methodology review.

13.2. REVIEW PROCEDURE

13.2.1. INITIATION OF METHODOLOGY REVIEW

The IMC proposes an annual methodology review schedule for approval by the IGC
(Discretionary Rule, see section 2.3 Discretion in the DAX Equity Index Calculation Guide).

The IMC is in charge of initiating ad hoc methodology reviews in case of a Limitation or based on
recommendations to initiate a Methodology Review by other STOXX. Committee (Discretionary
Rule, see section 2.3 Discretion in the DAX Equity Index Calculation Guide).

13.2.2. DECISION AND ESCALATION

The following STOXX. Committees are responsible for making the decisions on amendments to
an index methodology:

The IMC decides on changes to the index methodology, unless

a) a material change to the index methodology is proposed (see Section 10.3 below),
b) the change is triggered by an Unclear Rule or Insufficient Rule (as part of a Limitation,
Section 9), or
c) it relates to a request for a market consultation
d) financial products relating to the index have a notional value/notional amount of more
than EUR 100 mn.

If any of the conditions a) to d) above is met, the decision is taken by IGC.

13.3. MATERIAL CHANGES WITH CONSULTATION

As described in the STOXX Changes to Methodology Policy and in STOXX Consultation Policy
(publicly available on STOXX website), prior to proposed material changes to the index
methodology, a consultation will be performed.

A change to an index methodology shall be considered material in the event of:

a) a substantial change in the index objective or market/economic reality the index aims to
represent (e.g. market leader components vs. mid cap companies), or
DAX STRATEGY INDEX GUIDE 46/55

13. METHODOLOGY REVIEW

b) a substantial change of the index methodology in aspects such as, but not limited to, the
ones listed below and that would result in altering the overall concept or the nature of the
index:
i. calculation methods or formulas with a substantial impact on the index
performance, or
ii. rules regarding the determination of index constituents by application of the
index methodology, or
iii. rules regarding the determination of the weights of index constituents by
application of the index methodology,
iv. rules regarding the treatment of corporate actions.

On the contrary, index methodology updates resulting from the application of existing
methodology principles or minor clarifications of existing rules or corrections without altering the
overall concept or the nature of the index are generally considered non-material.

The IMC determines whether an amendment is material as defined above. In case such
determination is not possible, the proposed amendment shall be treated as material.
(Discretionary Rule, see section 2.3 Discretion in the DAX Equity Index Calculation Guide).

In case of Changes to Methodology as described in STOXX Changes to Methodology Policy a

STOXX consults with reasonably affected stakeholders (“Stakeholders”) prior to take decision.

Stakeholders mean (a) persons or entities who have an index license with STOXX regarding a
benchmark administered by STOXX (Subscriber) and/or as far as STOXX is reasonable aware
(b) persons or entities and/or third parties who own contracts or financial instruments that
reference a benchmark administered by STOXX (Investors).

Considering the Principle of Proportionality, STOXX informs affected Stakeholders as follows:

» either via public consultation open to the entire market and performed via STOXX
website;
» or, when the relevant Stakeholders are known, on a restricted basis directly on the
Stakeholders e-mail address.

STOXX shall inform in writing the Stakeholders on:

» the key elements of the proposed relevant changes

» the rationale for any proposed relevant changes
» the specific questions to be answered
» the deadline for receiving feedback
» the timeline of implementation of the Relevant Changes
» contact details where to provide feedback
» relevant definitions

The consultation shall enable Stakeholders to submit comments.

The standard consultation period shall be 1 month with the option to shorten or extend this
period.

The IGC may decide to shorten the 1-month period in the following cases:
DAX STRATEGY INDEX GUIDE 47/55

13. METHODOLOGY REVIEW

» in extreme or exceptional market conditions or analogous extraordinary situations

» in urgent cases, such as a situation in which the Index cannot be replicated anymore;
» in situations where there is no known Stakeholders impact or only a limited number of
Stakeholders;
» in order to align the Effective date of a proposed changed with Index Maintenance; e.g.
an Equity/Bond Index Rebalancing, Index Review, and Corporate Action Adjustment, or
» any other similar cases applying the principle of proportionality.

The IGC will consider the feedback received and decide whether the relevant changes shall
become Effective.

The IGC is not bound by any feedback received. Moreover, if the received feedback is
ambiguous, or if no Stakeholders participated, the IGC may decide to conduct another
consultation, which again will not be binding.

If the IGC decides that relevant changes shall become Effective, STOXX will communicate a
timeline on the implementation of the relevant changes, if not already communicated in the
consultation material.

STOXX will after the consultation make available the Stakeholders feedback received in the
consultation and STOXX’s summary response to those comments, except where confidentiality
has been requested by the respective Stakeholders.

The decision will be communicated as soon as possible in the form of an Announcement or

Press Release.

STOXX Ltd. will refrain from issuance of a notification if it reaches the view that the issuance of a
notification is not in line with applicable laws and may decide to issue such notification at a later
point in time when such reasons have lapsed.

By reason of force majeure or other events beyond the control of STOXX Ltd. it might become
impossible for STOXX Ltd. to issue a notification in due time or by the means set out herein. In
such cases STOXX Ltd. may exceptionally issue the notification either subsequently immediately
following such event or in any case by other means.

At the end of each consultation STOXX Ltd. will make available the feedback received from
Stakeholders in the consultation together with a summary of its response to that feedback,
except where confidentiality has been requested by the respective Stakeholders (Discretionary
Rule, see section 2.3 Discretion in the DAX Equity Index Calculation Guide).

13.4. NON-MATERIAL CHANGES WITHOUT

CONSULTATION
Non-material changes of the index methodology, including a description of the impact and the
rationale, will be announced via Announcement or Press Release, Effective immediately
following publication, unless otherwise specified in the notification (Discretionary Rule, see
section 2.3 Discretion in the DAX Equity Index Calculation Guide) STOXX Ltd. will refrain from
the issuance of a notification if it reaches the view that the issuance of a notification is not in line
DAX STRATEGY INDEX GUIDE 48/55

13. METHODOLOGY REVIEW

with applicable laws and may decide to issue such notification at a later point in time when such
reasons have lapsed (Discretionary Rule, see section 2.3 Discretion in the DAX Equity Index
Calculation Guide). By reason of force majeure or other events beyond the control of STOXX
Ltd. it might become impossible for STOXX Ltd. to issue a notification in due time or by the
means set out herein. In such cases STOXX Ltd. may exceptionally issue the notification either
subsequently immediately following such event or in any case by other means.

13.5. PUBLICATION OF THE METHODOLOGY CHANGE

The Effective date for benchmark methodology changes is aligned, where feasible, with the
periodic benchmark reviews dates when the benchmark composition is changed, and a
rebalancing is triggered to avoid extra ordinary impact for clients. Material methodology changes
should generally be publicly announced 3 months prior to implementation. IGC may decide to
shorten the notice period:

a) In exceptional or urgent cases such as extreme or exceptional market conditions or

analogous extraordinary situations
b) in situations where there is no Stakeholder impact and where it has been agreed that the
notice period has to be shortened but immediate communication is not possible. A case
that requires urgent action is for example a situation in which the investor’s ability to
replicate the index benchmark performance with his or her portfolio is no longer ensured.
In such cases, changes or amendments to the published index methodology must be
made on the same day the new rule or change is implemented.
c) to align with the period benchmark review dates and the rebalancing of the benchmarks.
d) In case of any proposed material change in its methodology, STOXX shall share its view
on the key elements of the methodology that will be impacted by a proposed material
change. Furthermore, STOXX Ltd. shall include an assessment as to whether the
representativeness of the benchmark and its appropriateness for its intended use are
put at risk in case the proposed material change is not put in place. In case of any
changes or amendments to the present Index Guide, Operations and Product will work
together to ensure both the public and subscribers are provided with detailed information
about the nature and rationale of the change as well as the implications and terms for
the new methodology to enter into force.
DAX STRATEGY INDEX GUIDE 49/55

14. HISTORY OF CHANGE

Published - Initial creation of the document.

29/09/2023
Effective
18/03/2024

All amendments listed with effect prior to August 2019 are amendments to the Rules and
Regulations of the former Strategy Indices of Deutsche Börse AG.

Amendments listed as of August 2019 are amendments to the Rules and Regulations of DAX
Strategy Indices in continuation of the Rules and Regulations of the former Strategy Indices of
Deutsche Börse AG.

CDAX, Classic All Share, DAX, FDAX, HDAX, MDAX, ODAX, SDAX, TecDAX, X-DAX, X-MDAX,
X-TecDAX are registered trademarks of Qontigo Index GmbH.

Eurex, FWB Frankfurter Wertpapierbörse, Xetra and XTF Exchange Traded Funds are
registered trademarks of Deutsche Börse AG.

14.1. HISTORY OF CHANGES AS PER THE FORMER

GUIDE TO THE DAX STRATEGY INDICES
Effective Creation of Version 3.48
22/08/2023 − Clarification of the currency used to calculate the Carbon Intensity for DAX ESG Target
(chapter 3.18.1)
Effective Creation of Version 3.47
02/06/2023 − Termination of idDAX Leveraged/Short NC indices
Effective Creation of Version 3.46
28/02/2023 − Clarification of the data source in section 2.5
Effective Creation of Version 3.45
19/12/2022 − Clarification of the extraordinary review rule for DivDAX/ DivMSDAX (section 2.1) and
DAXplus Maximum Dividend (section 2.9)
Effective Creation of Version 3.44
21/11/2022 − Launch of the DAX Futures Switch and DAX Futures Leverage indices

Effective Creation of Version 3.43

11/11/2022 − Change to the DAX ESG Target Index methodology addition of Controversy Ratings

Effective Creation of Version 3.42

05/10/2022 − Renaming of DAX ESG+ Index to DAX 50 ESG+ Index

Effective Creation of Version 3.41

02/09/2022 − Launch of DAX ESG+ Index
− Change to the selection rule for the DAXplus Maximum Dividend Index (section 2.9)
DAX STRATEGY INDEX GUIDE 50/55

14. HISTORY OF CHANGE

Effective Creation of Version 3.4

03/08/2022 − Methodology Change of quarterly Review Process by introduction of the quarterly
underlying data announcement and preponement of review schedule to 2 nd Friday (t-5)
for DivDAX, DivMSDAX, DAXplus Seasonal Strategy, DAXplus Export Strategy,
DAXplus Family, DAXplus Minimum Variance, DAXplus Maximum Sharpe Ratio, idDAX
50 Equal Weight, DAX Equal Weight, DAX ESG Target, DAX ESG Screened, MDAX
ESG Screened and MDAX ESG+. Changes are reflected in section 3 for each Index
individually.
Effective Creation of Version 3.30
30/05/2022 − Launch of MDAX ESG+ Index
Effective Creation of Version 3.29
20/05/2022 − Addition of Product Involvement Screening for Thermal Coal Power Generation to DAX/
MDAX ESG screened Indices in section 2.18

Effective Creation of Version 3.28

06/05/2022 − Change to DAXplus Maximum Dividend Index; Implementation of additional measure to
the selection process of the Index
Effective Creation of Version 3.27
14/04/2022 − Launch of DAX Monthly Hedged JPY TTM Indices based on currency conversion DAX
JPY TTM
Effective Creation of Version 3.26
01/04/2022 − Correction of Wording in sections 2.18, 3.19 for ESG screened Indices

Effective Creation of Version 3.25

28/02/2022 − Launch of DAX ESG Screened and MDAX ESG Screened indices
Published Creation of Version 3.24
17/11/2021 − Launch of idDAX 50 ESG NR Decrement 4.00%
Effective
19/11/2021
Published Creation of Version 3.23
08/11/2021 − Transition from EONIA to the euro short-term rate (€STR) in the methodology of
Effective − DAX Risk Control Indices as the risk-free money market investment – Sections 1.13,
08/11/2021 2.13, 3.9
− Leverage and Short Indices as the interest term in the calculation formula – Sections
2.16, 3.3
− idDAX Leveraged/Short NC Indices as the interest term in the calculation formula –
Section 3.14
Effective Creation of Version 3.22
15/09/2021 − Reflection of changes to the no. of constituents in DAX in calculation formulas of
DAXplus Minimum Variance Germany and DAXplus Maximum Sharpe Ratio Germany,
in section 3.4
Published Creation of Version 3.2
08/07/2021 − Alignment of idDAX 50 Index Methodology with changes to the DAX Selection Indices
Effective Methodology along with the DAX Reform
30/08/2021
Effective Creation of Version 3.12
16/07/2021 − Clarification that Decrement indices have a floor value of zero.
Effective Creation of Version 3.11
01/04/2021 − Launch of DAX ESG Target Index
DAX STRATEGY INDEX GUIDE 51/55

14. HISTORY OF CHANGE

Effective Creation Version 3.10

25/02/2021 − Rule Change: removal of requirement of Prime Standard listing from idDAX 50 Equal
Weight, section 1.16
Effective Creation Version 3.9
18/01/2021 − Changes to the index calculation times due to the introduction of Xetra Trade-at-Close
trading phase
Effective Creation of Version 3.8
05/11/2020 − Change to the fast exit rule of DivDAX and DivMSDAX
Effective Creation of Version 3.7
26/06/2020 − Launch of DAX Daily Hedged CZK index
Effective Creation of Version 3.6
15/06/2020 − Governance Update, Clarification of Section: 3.16.1, 3.17.2, 5.3, 5.4, 5.7.2, 5.9
Effective Creation of Version 3.5
02/04/2020 − Clarification of wording in chapter 2.9
Effective Creation of Version 3.4
16/03/2020 − Clarification of wording in chapter 2.9

Effective Creation of Version 3.3

10/03/2020 − Deletion of the idDAX 12x Leveraged NC (TR) (EUR), idDAX 14x Leveraged NC (TR)
(EUR) and idDAX 15x Leveraged NC (TR) (EUR) indices
Effective Creation of Version 3.2
02/10/2019 Clarifications relating to changes in the EONIA rate determination
Effective Creation of Version 3.1
16/10/2019 − Clarification relating to EU Benchmark Regulation and changes relating to the transfer
of index administration to STOXX Ltd.
Effective Creation of Version 2.30
30/04/2019 Change to the selection and capping rules of DAXplus Maximum Dividend
Effective Creation of Version 2.29
16/11/2018 Launch of DAX Equal Weight Index
Effective Creation of Version 2.28
16/05/2018 − Launch of DAXplus Maximum Dividend Net Return Index
Effective Creation of Version 2.27
11/09/2017 − Launch of idDAX Leveraged/Short NC Indices
Effective Creation of Version 2.26
03/08/2017 Launch of idDAX 50 Equal Weight and idDAX 50 Equal Weight Decrement 4.00%

Effective Creation of Version 2.25

20/03/2017 Change of data provider for shareholder structures of DAXplus Family Indices
Effective Creation of Version 2.24
25/04/2016 − Edit of wording for the index-specific deviation threshold from one index tick to another
− Correction of date when calculation of DAX was starting to use Xetra prices
Effective Creation of Version 2.23
08/09/2015 − Launch of DAXplus 30 Decrement 40
Effective Creation of Version 2.21
02/06/2015 − Change of Trigger Level for Reverse Split for Leverage and Short Indices
Effective Creation of Version 2.21
08/05/2015 − Launch of monthly currency hedged indices
DAX STRATEGY INDEX GUIDE 52/55

14. HISTORY OF CHANGE

Effective Creation of Version 2.20

09/04/2015 − Launch of LevDAX x9, LevDAX x10, ShortDAX x9 and ShortDAX x10
Effective Creation of Version 2.19
23/03/2015 − Change of review frequency for DAXplus Family Indices
Effective Creation of Version 2.18
17/02/2015 − Change to selection and capping rules of DAXplus Maximum Dividend
Effective Creation of Version 2.17
22/12/2014 − Clarification of the rulebook according to IOSCO principles
Effective Creation of Version 2.16
28/08/2014 − Launch of ShortMDAX
Effective Creation of Version 2.15
20/08/2014 − Launch of HDAX Hedged
Effective Creation of Version 2.14
27/01/2014 − Adjustment of 3.3.3– daily leverage and short indices
Effective Creation of Version 2.13
25/10/2013 − Adjustment of extraordinary Replacement rule in DAXplus Maximum Dividend
Index
Effective Creation of Version 2.12
16/08/2013 − Update of contact details (appendix)
Effective Creation of Version 2.11
25/07/2013 − Adjustments due to extreme market movements
Effective Creation of Version 2.9
25/02/2013 − Rule adjustments Daily Leverage and Daily Short Indices
− Description of price-relevant capital changes in chapter 4
Effective Creation of Version 2.9
26/11/2012 − Rule adjustments LevDAX x3 and ShortDAX x3 Indices
Effective Creation of Version 2.7
23/07/2012 − Launch of additional LevDAX and ShortDAX Indices

Effective Creation of Version 2.6

07//2012 − Launch of DAXplus Minimum Variance / Maximum Sharpe Ratio Net Return
Indices
Effective Creation of Version 2.6
16/05/2011 − Launch of DivMSDAX
Effective Creation of Version 2.5
04/04/2011 − Launch of DAX Risk Control Indices

Effective Creation of Version 2.4

09/03/2011 − Launch of LevDAX Optimal
Effective Creation of Version 2.3
17/01/2011 − Launch of ShortTecDAX
Effective Creation of Version 2.2
17/12/2010 − Consideration of cost of borrow in Short Indices

Effective Creation of Version 2.1

27/09/2010 − Launch of LevDAX x2 Monthly, ShortDAX x2 Monthly
Effective Creation of Version 2.0
04/01/2010 − Introduction DAXplus Familiy Index
DAX STRATEGY INDEX GUIDE 53/55

14. HISTORY OF CHANGE

Effective Creation of Version 1.19

28/08/2009 − Changed chaining date of DAXplus Maximum Dividend
Effective Creation of Version 1.18
04/05/2009 − Launch of DAX Dividend Points, DivDAX Dividend Points
Effective Creation of Version 1.17
27/04/2009 − Launch of DAXplus Risk Trigger Germany

Effective Creation of Version 1.16

30/03/2009 − Launch of LevDAX x4, ShortDAX x2, ShortDAX x4
Effective Creation of Version 1.15
09/03/2009 − Launch of DAXplus Maximum Dividend
Effective Creation of Version 1.14
05/02/2009 − Concretion of exception handling in DivDAX
Effective Creation of Version 1.13
16/12/2008 − Launch of DAXplus Directors Dealings Germany
Effective Creation of Version 1.12
31/03/2008 − International indices moved to “Guide to the international Strategy Indices of
Deutsche Börse”
Effective Creation of Version 1.11
03/09/2007 − Launch of DAXplus Maximum Sharpe Ratio Japan (JPY), DAXplus Minimum
Variance Japan (JPY)
Effective Creation of Version 1.10
09/07/2007 − Launch of DAXplus Maximum Sharpe Ratio France, DAXplus Maximum Sharpe
Ratio Japan, DAXplus Maximum Sharpe Ratio Switzerland, DAXplus Maximum
Sharpe Ratio US
Effective Creation of Version 1.10
09/07/2007 − Launch of DAXplus Minimum Variance France, DAXplus Minimum Variance Japan,
DAXplus Minimum Variance Switzerland, DAXplus Minimum Variance US
Effective Creation of Version 1.9
12/06/2007 − Launch of DAXplus Maximum Sharpe Ratio Germany
Effective Creation of Version 1.8
29/05/2007 − Launch of DAXplus Minimum Variance Germany
Effective Creation of Version 1.7
27/03/2007 − Launch of ShortDAX
Effective Creation of Version 1.6
07/08/2006 − Launch of DAXplus Protective Put
Effective Creation of Version 1.5
28/06/2006 − aunch of LevDAX
Effective Creation of Version 1.4
06/06/2006 − New Cap Limit for DAXplus Seasonal Strategy
Effective Creation of Version 1.3
23/01/2006 − Launch of DAXplus Covered Call
Effective Creation of Version 1.2
24/10/2005 − Launch of DAXplus Export Strategy
Effective Creation of Version 1.1
13/05/2005 − Launch of DAXplus Seasonal Strategy
DAX STRATEGY INDEX GUIDE 54/55

14. HISTORY OF CHANGE

14.2. HISTORY OF CHANGES AS PER THE FORMER DAX

INTERNATIONAL STRATEGY INDICES
Effective Creation of Version 3.1
11/2021 − Transition from EONIA to the euro short-term rate (€STR) for DAXglobal Short Indices
in Section: 3.1.1 Index Formula
Effective Creation of Version 3.0
08/2021 − Discontinuation of the DAXplus Maximum Sharpe Ratio Family, DAXplus Minimum
Variance Family, DAXplus Risk Trigger Family and select DAXGlobal Short indices.
Effective Creation of Version 2.3
06/2020 − Governance Update/ Clarification of Sections: 4.2, 6.3, 6.4, 6.5.3, 6.6.1
Effective Creation of Version 2.2
10/2019 − Clarifications relating to changes in the EONIA rate determination
Effective Creation of Version 2.1
08/2019 − Clarifications relating to EU Benchmark Regulation
− Changes relating to the transfer of index administration to STOXX Ltd

Effective Creation of Version 1.7

04/2016 − Edit of wording for the index-specific deviation threshold from one index tick to another
Effective Creation of Version 1.6
12/2014 − Clarification of the rulebook according to IOSCO principles
Effective Creation of Version 1.4
02/2013 − Description of price-relevant capital changes in chapter 4
− Adjustments – DAXglobal Short Indices
Effective Creation of Version 1.3
07/2011 − Launch of DAXplus Mininum Variance / DAXplus Maximum Sharpe Ratio Net-
Return Indices
Effective Creation of Version 1.4
09/2010 − Decommissioning of DAXplus Directors Dealings
Effective Creation of Version 1.2
04/2009 − Launch of DAXplus Risk Trigger Indices
Effective Creation of Version 1.1
12/2008 − Launch of DAXplus Directors Dealings
Effective Creation of Version 1.0
03/2008 − Launch of DAXglobal Short Indices

14.3. HISTORY OF CHANGES AS PER THE FORMER

GUIDE AKTIENINDEX DEUTSCHLAND RC-10%
Effective Creation of Version 1.2:
11/2021 − Transition from EONIA to the euro short-term rate (€STR)
Effective Creation of Version 1.1:
10/2019 − Clarification relating to EU Benchmark Regulation and changes relating to the transfer
of index administration to STOXX Ltd.
− Clarifications relating to changes in the EONIA rate determination
DAX STRATEGY INDEX GUIDE 55/55

14. HISTORY OF CHANGE

Effective Creation of Version 1.0:

01/2011 − Introduction of Aktienindex Deutschland RC-10%