Methodology Change | Solactive US AI Semiconductor Chip Makers Index | Effective Date 02/01/2025

Today, on the 19/12/2024, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):

Rationale for  Methodology  Change

Solactive has determined that increasing the rebalance frequency to four times a year enhances the index’s responsiveness to market dynamics. This allows for quicker incorporation of recent market developments, improving alignment with current market conditions. Additionally, it reduces the lag in reflecting changes in company fundamentals, ensuring the index remains relevant and competitive. Moreover, the involvement of net income as additional selection criterion improves the quality of the index constituents. Companies with sustained negative cumulative net income may indicate underlying financial distress or operational inefficiencies. Excluding such firms enhances the index’s attractiveness to investors by focusing on companies with a proven track record of profitability. At the same time, such companies could recover from a negative period and excluding them might cause underperformance in the future, that is why also the estimated net income is considered. Finally, as the index has highly liquid large cap companies, Total Market Cap weighting provides a more comprehensive representation of the market.

Changes to the Index Guideline

The following Methodology changes will be implemented in the following points of the Index Guideline (ordered in accordance with the numbering of the affected sections):

Section 1.1

From:

Rebalancing Frequency: Semi-annually

To:

Rebalancing Frequency: Quarterly

Section 2.1

From:

The Index Universe is comprised of all financial instruments which fulfill the below requirements (the “Index Universe Requirements“):

1. Part/ Component of the Gbs Index Universe of the Solactive GBS United States Investable Universe Index PR (ISIN: DE000SLA8D10), on a Selection Day and listed on the NASDAQ Stock Exchange or the New York Stock Exchange (NYSE).
2. Only one share class of each company is eligible for inclusion in the Index Universe. The eligible share class is the share class with the higher minimum Average Daily Value Traded over 1 month and over 6 months prior to and including the Selection Day.
3. Companies must be classified under the FactSet Industries ‘Semiconductors’

The determination of the Index Universe is fully rule-based and the Index Administrator cannot make any discretionary decisions.

To:

The Index Universe is comprised of all financial instruments which fulfill the below requirements (the “Index Universe Requirements“):

1. Part/ Component of the Gbs Index Universe of the Solactive GBS United States Investable Universe Index PR (ISIN: DE000SLA8D10), on a Selection Day and listed on the NASDAQ Stock Exchange or the New York Stock Exchange (NYSE).
2. Only one share class of each company is eligible for inclusion in the Index Universe. The eligible share class is the share class with the higher minimum Average Daily Value Traded over 1 month and over 6 months prior to and including the Selection Day.
3. Companies must be classified under the FactSet Industries ‘Semiconductors’
4. Companies with negative cumulative net income for the last 4 quarters and negative estimated net income for the following quarter are excluded.

The determination of the Index Universe is fully rule-based and the Index Administrator cannot make any discretionary decisions.

Section 2.2

From:

The Index Components are then selected based on the following process:

1. The eligible securities are sorted by their score in descending order. Each security is assigned a rank based on the position in the sorted list, e.g., the security with the highest score is assigned rank 1. Securities ranked in the top 20 remain eligible for inclusion.
2. The remaining eligible securities are re-ranked based on their Free Float Market Capitalization in descending order. Each security is assigned a rank based on the position in the sorted list, e.g., the security with the highest Free Float Market Capitalization is assigned rank 1. Securities ranked in the top 10 are selected as Index Components.

The selection of the Index Components is fully rule-based and the Index Administrator cannot make any discretionary decision.

To:

The Index Components are then selected based on the following process:

1. The eligible securities are sorted by their score in descending order. Each security is assigned a rank based on the position in the sorted list, e.g., the security with the highest score is assigned rank 1. Securities ranked in the top 20 remain eligible for inclusion.
2. The remaining eligible securities are re-ranked based on their Total Market Capitalization in descending order. Each security is assigned a rank based on the position in the sorted list, e.g., the security with the highest Total Market Capitalization is assigned rank 1. Securities ranked in the top 10 are selected as Index Components.

The selection of the Index Components is fully rule-based and the Index Administrator cannot make any discretionary decision.

Section 2.3

From:

On each Selection Day each Index Component is assigned a weight based on the following process:

1. Index Components are sorted by their score in descending order. Each Index Component is assigned a rank based on the position in the sorted list, e.g., the Index Component with the highest score is assigned rank 1.
2. Index Components that were ranked in the top 3 on the previous Selection Day and rank in the top 5 on the current Selection Day receive a weight of 20%
3. If the number of Index components that receive a weight of 20% is below 3 after the previous steps, the highest ranking Index Components receive a weight of 20% until 3 Index Components receive a weight of 20%
4. The remaining Index Components are assigned a weight based on Free Float Market Capitalization, subject to a maximum individual weight of 15%. The excess weight will be distributed to the other remaining Index Components pro-rata in an iterative process.

To:

On each Selection Day each Index Component is assigned a weight based on the following process:

1. The Index Components are assigned a weight based on Total Market Capitalization, subject to a maximum individual weight of 20%. The excess weight will be distributed to the other remaining Index Components pro-rata in an iterative process.

Section 3.1

From:

In order to reflect the new selection of the Index Components determined on the Selection Day (in accordance with Section 2.1 and 2.2) the Index is adjusted on the Rebalance Day after Close of Business.

In addition, the Index is reweighted on the Adjustment Day after Close of Business that occurs immediately after such Review Day according to section 2.3.

This is carried out by implementing the shares as determined on the Fixing Day based on the weights calculated on the Selection Day or Review Day.

To:

In order to reflect the new selection of the Index Components determined on the Selection Day (in accordance with Section 2.1 and 2.2) the Index is adjusted on the Rebalance Day after Close of Business.

This is carried out by implementing the shares as determined on the Fixing Day based on the weights calculated on the Selection Day or Review Day.

Section 6

From:

“Adjustment Day” is the first Wednesday in February and August. If that day is not an Eligible Rebalance Day or a Trading Day, the Adjustment Day will be the immediately following day which is an Eligible Rebalance Day and a Trading Day.

“Rebalance Day” is the first Wednesday in May and November. If that day is not an Eligible Rebalance Day or a Trading Day, the Rebalance Day will be the immediately following day which is an Eligible Rebalance Day and a Trading Day.

“Review Day” is 20 Business Days before the scheduled Adjustment Day, disregarding any potential change of the Adjustment Day.

To:

“Rebalance Day” is the first Wednesday in February, May, August and November. If that day is not an Eligible Rebalance Day or a Trading Day, the Rebalance Day will be the immediately following day which is an Eligible Rebalance Day and a Trading Day.