S&P Dow Jones Indices’ Consultation on Sanctions and Russia Market Accessibility for Fixed Income Indices

1. • As outlined above, which option should S&P DJI use for ongoing maintenance and rebalancing of its standard fixed income indices?
   • Option 1: Remove all bonds from issuers subject to the prohibitions of the Directive and General License under the Executive Orders from S&P DJI’s standard fixed income indices

     Option 2: Continue to exclude new issuances from entities subject to sanctions as previously announced and assess continued index eligibility for existing issuances in S&P DJI fixed income indices as per the relevant index methodology

     Option 3: Remove all bonds from issuers whose Country of Risk is Russia from S&P DJI’s standard fixed income indices

     Option 4: Other actions (please specify in question 5)
2. • If you chose Option 1 or Option 3 in Question 1 above, when should the bonds be removed?
   • As soon as possible with at least two business days’ notice

     In conjunction with the upcoming April 2022 rebalancing

     A different removal date (please specify in question 5)
3. • At what price should Russian bonds be valued in S&P DJI fixed income indices?
   • Priced at zero due to market accessibility

     Continue to be priced as per the valuation from the designated pricing vendor

     Carried at the last available evaluated price if evaluation is no longer available from the designated pricing vendor
4. • If possible, please specify the indices to which your feedback is applicable.
5. • Do you have any other comments or feedback regarding the potential changes outlined above?

Please be advised that all comments from this consultation will be reviewed and considered before a final decision is made; however, S&P DJI makes no guarantee nor is under any obligation to comply with any of the responses. The survey may result in no changes or outcome of any kind. If S&P DJI decides to change the index methodology, an announcement will be posted on our website.

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