Methodology Change | Metaurus U.S. Cumulative Dividends Index – Series 2027

Rationale for methodology change

The Affected Index discounts the annual S&P 500 Dividend Future with a matching treasury with regards to the future expiry/treasury maturity. When the Affected Index went live the best fit for the ’27 future was the following security: 6.125% due 11/15/2027 (CUSIP: 912810FB9, ISIN: US912810FB99)

Since the coupon is unlikely high given current market conditions and the treasury itself trades/prices at roughly 140% institutional market makers stopped providing a market. Therefore, Solactive has determined to replace it by a better fit (2.25% due 11/15/2027 CUSIP:9128283F5, ISIN:US9128283F58).

Changes to the Index Guideline

• Change of underlying security in Section 3.3

Defined terms used in this announcement, but not defined herein, have the meaning assigned to them in the respective index guideline of the Affected Indices. The amended version of the index guideline will be available on the effective date.