• The four contracts provide equity exposure to 90%-100% of the listed market capitalization see Exhibit 1.

• For asset managers and asset owners who benchmark to and track these indices via ETFs, mutual funds and other product vehicles – the futures complement the offerings, allowing them to manage the risk and cash equitize.
• The index futures are eligible for Exchange For Related Position (EFRP) trades. This means they can be used in a privately negotiated EFRP that allows the transfer of cash baskets, ETFs, OTC derivatives or other related positions in accordance with Rule 538.

There are a number of ways institutional investors can use total market equity futures. Because portfolios can experience temporary deviations from target equity allocations due to cash inflows, redemption events or changes in market environments, index futures can be used to address such shifts, as in the following examples:

• Maintain and adjust market exposure using Equity Index futures, which allow market participants to equitize cash positions, ensuring that performance impact is limited and the operational burden of trading thousand plus stocks can be reduced.
• Index futures allow for dynamic beta adjustments, which are essential for portfolios with strict tracking error constraints.
• Equity Index futures also provide efficient ways to hedge against market downturns without liquidating underlying holdings. From a risk and return perspective, total equity market based indices offer maximum diversification for market returns.
• Total equity market-based equity indices are designed to track the performance of a significant and representative portion of the stock market.

Equity index futures offer diversification. By tracking thousands of stocks across various sectors, they ensure that a portfolio isn't overly reliant on a single company or industry, making them one of the most effective ways to manage risk.  Additionally, they offer macroeconomic exposure - essentially, a view on the long-term growth of the overall U.S economy rather than a view on a specific sector or a corporation.

Source: Bloomberg, Data as January 4, 2020 to August 31, 2026

• High correlation among total equity market indices: The Morningstar US Total Market, Russell 3000 and S&P Total Market Index tracked each other extremely closely throughout the period. Their annual returns rarely deviated by more than 20 basis points from each other. This suggests that despite minor differences in their inclusion criteria and weighting, these three indices provide nearly identical exposure to the total U.S. equity market.
• S&P 1500 Composite outperformance and underperformance: The S&P 1500 Composite showed more variance compared to the other three indices. It underperformed in 2020: 14.93% vs. ~18% for the others, but outperformed in 2021 – 29.36% vs. ~26.6%. It also saw a slightly softer drop during the 2022 downturn, down 19.62% vs. ~-21% for the others. This variance is likely due to the S&P 1500's stricter profitability requirements for index constituent inclusion, which can make it behave slightly differently than more relaxed, all-inclusive total market indices criteria. This is also illustrated by the higher tracking error of around 80+ basis point compared to the other indices.

Exhibit 3 offers a summary comparing the index methodologies:

Source: Morningstar, SPDJI, FTSE Russell, See “June 2026 Russell US Indexes reconstitution: Summary of preliminary changes” (May 22, 2026)
* Assets were benchmarked to S&P 1500 as of July 2026.

Russell 3000 - All-cap index which combines the Russell 1000 and Russell 2000

Exhibit 4 provides a summary of the contract specifications for E-mini futures on the U.S. total market futures.

• The introduction of these four new index futures – E-mini Morningstar U.S. Total Market, E-mini S&P 1500, E-mini S&P Total Market and E-mini Russell 3000 – significantly expands the toolkit available to market participants.

• By offering total equity market exposure, these contracts enable investors to more effectively express directional views and manage portfolio risk.
• While the underlying indices share common characteristics as float-adjusted, market-capitalization-weighted representations of the U.S. economy, their distinct methodologies, rebalancing schedules and liquidity features provide flexibility for diverse investment strategies.

• Combined with the capital efficiency of margin offsets and the versatility of execution methods such as Basis Trade at Index Close (BTIC) and block trades, these additions strengthen our Equity Index futures complex, offering a powerful solution for efficient total equity market portfolio management.