Methodology Change | UBS Equity Defensive Index Family | Effective Date 02/10/2020

Today, on the 02/10/2020, Solactive announces the following changes to the methodology of the following Indices (the “Affected Indices”):

Rationale for Methodology Change

Solactive has determined that the definition of the Black-Scholes price should be using the Calendar Day day count fraction instead of Scheduled Trading Day day count fraction to follow the general market model.

Changes to the Index Guideline

“2.1. Generic Functions

(…)

From:

• If Reference Option is a ‘Call’ option: BS_{RefOpt} = exp(-R*tau_{T2, T1}^STD)*(F*N(d1)-St*N(d2));
• If Reference Option is a ‘Put’ option: BS_{RefOpt} = exp(-R*tau_{T2, T1}^STD)*(St*N(-d2)-F*N(-d1));

To:

• If Reference Option is a ‘Call’ option: BS_{RefOpt} = exp(-R*tau_{T2, T1}^CD)*(F*N(d1)-St*N(d2));
• If Reference Option is a ‘Put’ option: BS_{RefOpt} = exp(-R*tau_{T2, T1}^CD)*(St*N(-d2)-F*N(-d1));

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.