Announcement Methodology Change| Recovery Index | Effective Date 28/01/2021

Today, on the 27/01/2021, Solactive announces the following clarification to the methodology of the following Index (the ‘Affected Index’):

Rationale for Methodology Change

Solactive has determined that the definition of the “Review Day” listed under section 4 will be updated to streamline the adjustment process and reduce the operational risks. Additionally, the current rules for the eventual Affected Index adjustment, regarding the amount of time between the Review Day and the Adjustment Day under section 4 will increase from 2  to 5 Calculation Day in order to reduce the operational risks.

Changes to the Index Guideline

The following Methodology changes will be implemented in the following points of the Index Guideline.

The wording in section 4 of the Index Guideline will be changed.

From (old version):

 “[…]

In case an Index Component does not fulfil both criteria, the Index Component will be removed from the Index with a notice period of two Calculation Days and with effect to the close of business on the Calculation Day specified in the notice of removal. The Index weighting of the removed Index Component will then be distributed on a pro rata basis across the remaining Index Components (i.e. by way of a divisor adjustment).

[…]

A “Review Date” is the first calculation day of each month. The review takes place based upon data from the last Calculation Day of the previous month.

To (new version):

“[…]

In case an Index Component does not fulfil both criteria, the Index Component will be removed from the Index with a notice period of at least two Calculation Days and with effect to the close of business five (5) Calculation Days after the Review Day. The Index Weighting of the removed Index Component will then be distributed on a pro rata basis across the remaining Index Components (i.e., by way of a divisor adjustment) based on the weights as of the Review Day. Should all Index Components satisfy both criteria, the Index remains unchanged.

[…]

A “Review Day” is the last Calculation Day of each month.

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.