Overview
Announcements

Guideline Change | RAFI Indices | Effective Date 03/03/2020

Today, on the 2nd March 2020, Solactive announces the following changes to the guidelines of the indices listed in the table at the end of this announcement (the ‘Affected Indices’):

Background for guideline change

With regard to an index component of the Affected Indices and the occurrence of an extraordinary corporate action in the form of a spin-off the standard treatment specified in the Solactive Guideline for Extraordinary Corporate Actions will be applied. This treatment leads to addition of the spun-off company to the index.

In order to maintain the reliability and accuracy of the Affected Indices the treatment of a spin-off event has been further developed so that only spun-off companies will be added to the Affected Indices that trade on an exchange in a country that is already represented in the Affected Indices at the effective date of the spin-off event by another index component (not affected by the spin-off). If a spun-off company is not traded on an exchange in a country that is already represented in the Affected Indices at the effective date of the spin-off event by another index component (not affected by the spin-off) the spun-off company will not be added to the Affected Index and the event will be treated as a cash distribution in accordance with the guideline of the Affected Indices.

 

Changes to the Index Guidelines

A new Section 3.5.5 will be added:

“3.5.5 Spin-Off

A spun-off company is eligible for inclusion if its security line is traded on an exchange of any country that is currently in the index, (for example, in a Developed Index, a spin-off of a UK company that is traded on a US exchange would be eligible for the index). The spun-off company is added, the market will adjust the price of the parent company such that the sum of the parent and spun-off company’s weight is approximately equal to the weight of the parent prior to spin-off. Based on the transaction terms on the ex-date, the shares of the spun-off company is calculated as follows:

Shares of Spun-off Company = Shares of Parent Company * Transaction Terms

The parent company and spun-off company will remain in the Index with unchanged calculation parameters.

The spun-off company will be added to the Index file with a price of zero prior to the ex-date. If the spun-off company does not start to trade on the ex-date, a theoretical price for the spun-off company will be implemented as a fixed price until it commences trading, from which time official prices will be used. The price of the spun-off company is calculated as follows:

 

Price of Spun-off Company = [(Close Price Parent Company Prior to Ex-Date) – (Open Price Parent Company on Ex-Date)] * Transaction Terms

If the first trading day of the spun-off company is unknown on the ordinary rebalancing date, the spun-off company will be removed from the Index with a price of zero.

In case the spun-off company is already an index constituent, the additional shares demerged from the parent company will be added to the spun-off company (share increase of the index member) on the ex-date.

If a spun-off company is not eligible (for example, the spun-off company is traded OTC or on an ineligible country’s exchange), that company’s shares are not added to the Index but instead, the weight of the spun-off company is redistributed as a special cash distribution on the ex-date.”

In addition, the following changes will be implemented:

  • Section 2.14:

The sentence

Let ADTV be the maximum of the 30-day and 90-day median daily traded value in USD as of the last business day of January.

is corrected to

Let ADTV be the maximum of the 30-day and 90-day median daily traded value in USD at each quarterly rebalance.” 

In alignment with the rebalance frequency the liquidity rule check is performed quarterly, not annually. The index guidelines were corrected to reflect this treatment.

  • A new Section 3.5.6 will be added. This section outlines the treatment of Mergers and Acquisitions and corresponds in content to the treatment provided for in the Solactive Guideline for Extraordinary Corporate Actions, which applies in accordance with Section 2.9.

 

List of Affected Indices

Name

ISIN

RAFI Diversity & Governance Developed Index GTR

DE000SLA62J5

RAFI Diversity & Governance Developed Index NTR

DE000SLA62H9

RAFI Diversity & Governance Developed Index PR

DE000SLA62G1

RAFI Diversity & Governance Europe Index GTR

DE000SLA62M9

RAFI Diversity & Governance Europe Index NTR

DE000SLA62L1

RAFI Diversity & Governance Europe Index PR

DE000SLA62K3

RAFI Diversity & Governance US Index GTR

DE000SLA62F3

RAFI Diversity & Governance US Index NTR

DE000SLA62E6

RAFI Diversity & Governance US Index PR

DE000SLA62D8

RAFI Dynamic Multi-Factor Developed Index NTR

DE000SLA3G61

RAFI Dynamic Multi-Factor Developed Index NTR (EUR)

DE000SLA71G2

RAFI Dynamic Multi-Factor Developed Index NTR (GBP)

DE000SLA71F4

RAFI Dynamic Multi-Factor Developed Index PR

DE000SLA3GS6

RAFI Dynamic Multi-Factor Developed Index TR

DE000SLA3HM7

RAFI Dynamic Multi-Factor Developed ex-U.S. Index NTR

DE000SLA2Z85

RAFI Dynamic Multi-Factor Developed ex-U.S. Index PR

DE000SLA2ZQ2

RAFI Dynamic Multi-Factor Developed ex-U.S. Index TR

DE000SLA20S4

RAFI Dynamic Multi-Factor Emerging Markets Index NTR

DE000SLA2Z93

RAFI Dynamic Multi-Factor Emerging Markets Index NTR (EUR)

DE000SLA71C1

RAFI Dynamic Multi-Factor Emerging Markets Index NTR (GBP)

DE000SLA71B3

RAFI Dynamic Multi-Factor Emerging Markets Index PR

DE000SLA2ZR0

RAFI Dynamic Multi-Factor Emerging Markets Index TR

DE000SLA20T2

RAFI Dynamic Multi-Factor Europe GTR

DE000SLA5VH3

RAFI Dynamic Multi-Factor Europe Index NTR (USD)

DE000SLA71A5

RAFI Dynamic Multi-Factor Europe NTR

DE000SLA5VG5

RAFI Dynamic Multi-Factor Europe PR

DE000SLA5VE0

RAFI Dynamic Multi-Factor Global Index NTR

DE000SLA3G53

RAFI Dynamic Multi-Factor Global Index PR

DE000SLA3GR8

RAFI Dynamic Multi-Factor Global Index TR

DE000SLA3HL9

RAFI Dynamic Multi-Factor U.S. Index NTR

DE000SLA2Z77

RAFI Dynamic Multi-Factor U.S. Index PR

DE000SLA2ZP4

RAFI Dynamic Multi-Factor U.S. Index TR

DE000SLA20R6

RAFI Dynamic Multi-Factor US Index NTR (EUR)

DE000SLA71E7

RAFI Dynamic Multi-Factor US Index NTR (GBP)

DE000SLA71D9

RAFI ESG Developed Index GTR

DE000SLA5NN8

RAFI ESG Developed Index NTR

DE000SLA5NM0

RAFI ESG Developed Index NTR (EUR)

DE000SLA8J06

RAFI ESG Developed Index NTR EUR Hedged

DE000SLA8U68

RAFI ESG Developed Index PR

DE000SLA5NL2

RAFI ESG Developed PR (EUR)

DE000SL0AK75

RAFI ESG Europe Index GTR

DE000SLA5NV1

RAFI ESG Europe Index NTR

DE000SLA5NU3

RAFI ESG Europe Index PR

DE000SLA5NT5

RAFI ESG US Index GTR

DE000SLA5NS7

RAFI ESG US Index NTR

DE000SLA5NQ1

RAFI ESG US Index PR

DE000SLA5NP3

RAFI Fundamental Australia 200 Index GTR

DE000SLA5VY8

RAFI Fundamental Australia 200 Index NTR

DE000SLA5VZ5

RAFI Fundamental Australia 200 Index PR

DE000SLA5VX0

RAFI Fundamental Australia Small Company Index GTR

DE000SLA5VV4

RAFI Fundamental Australia Small Company Index NTR

DE000SLA5VW2

RAFI Fundamental Australia Small Company Index PR

DE000SLA5VU6

RAFI Fundamental Developed Asia Pacific Index (NTR)

DE000SLA65B5

RAFI Fundamental Developed Asia Pacific Index (PR)

DE000SLA65A7

RAFI Fundamental Developed Asia Pacific Index (TR)

DE000SLA65C3

RAFI Fundamental Developed Index NTR

DE000SLA3H86

RAFI Fundamental Developed Index PR

DE000SLA3H03

RAFI Fundamental Developed Index TR

DE000SLA3JG5

RAFI Fundamental Developed ex-US Index NTR

DE000SLA3H94

RAFI Fundamental Developed ex-US Index PR

DE000SLA3H11

RAFI Fundamental Developed ex-US Index TR

DE000SLA3JH3

RAFI Fundamental Emerging Markets Index NTR

DE000SLA3JB6

RAFI Fundamental Emerging Markets Index PR

DE000SLA3H37

RAFI Fundamental Emerging Markets Index TR

DE000SLA3JK7

RAFI Fundamental Europe Index NTR

DE000SLA3JA8

RAFI Fundamental Europe Index NTR (USD)

DE000SLA7091

RAFI Fundamental Europe Index PR

DE000SLA3H29

RAFI Fundamental Europe Index TR

DE000SLA3JJ9

RAFI Fundamental Global Index NTR

DE000SLA3H78

RAFI Fundamental Global Index PR

DE000SLA3HZ9

RAFI Fundamental Global Index TR

DE000SLA3JF7

RAFI Fundamental U.K. All Company Index PR

DE000SLA3H60

RAFI Fundamental U.K. All Company Index TR

DE000SLA3JN1

RAFI Fundamental U.K. All Company Index NTR

DE000SLA3JE0

RAFI Fundamental U.S. Index NTR

DE000SLA3JC4

RAFI Fundamental U.S. Index PR

DE000SLA3H45

RAFI Fundamental U.S. Index TR

DE000SLA3JL5

RAFI Fundamental U.S. Small Company Index NTR

DE000SLA3JD2

RAFI Fundamental U.S. Small Company Index PR

DE000SLA3H52

RAFI Fundamental U.S. Small Company Index TR

DE000SLA3JM3

RAFI Low Volatility Factor Developed Index NTR

DE000SLA3HG9

RAFI Low Volatility Factor Developed Index PR

DE000SLA3G12

RAFI Low Volatility Factor Developed Index TR

DE000SLA3HV8

RAFI Low Volatility Factor Developed ex-U.S. Index NTR

DE000SLA20G9

RAFI Low Volatility Factor Developed ex-U.S. Index PR

DE000SLA2ZY6

RAFI Low Volatility Factor Developed ex-U.S. Index TR

DE000SLA2001

RAFI Low Volatility Factor Emerging Markets Index NTR

DE000SLA20M7

RAFI Low Volatility Factor Emerging Markets Index PR

DE000SLA2Z44

RAFI Low Volatility Factor Emerging Markets Index TR

DE000SLA2050

RAFI Low Volatility Factor Global Index NTR

DE000SLA3HA2

RAFI Low Volatility Factor Global Index PR

DE000SLA3GX6

RAFI Low Volatility Factor Global Index TR

DE000SLA3HR6

RAFI Low Volatility Factor U.S. Index NTR

DE000SLA20B0

RAFI Low Volatility Factor U.S. Index PR

DE000SLA2ZT6

RAFI Low Volatility Factor U.S. Index TR

DE000SLA20V8

RAFI Multi-Factor Developed EUR Index NTR

DE000SLA98K7

RAFI Multi-Factor Developed EUR Index PR

DE000SL0AK67

RAFI Multi-Factor Developed GBP Hedged Index Net Return

DE000SLA56E8

RAFI Multi-Factor Developed Index NTR

DE000SLA3G87

RAFI Multi-Factor Developed Index PR

DE000SLA3GV0

RAFI Multi-Factor Developed Index TR

DE000SLA3HP0

RAFI Multi-Factor Developed Index NTR (GBP)

DE000SLA5JY3

RAFI Multi-Factor Developed ex Low Volatility GTR

DE000SLA7125

RAFI Multi-Factor Developed ex Low Volatility NTR

DE000SLA7117

RAFI Multi-Factor Developed ex Low Volatility PR

DE000SLA7109

RAFI Multi-Factor Developed ex-U.S Index NTR

DE000SLA21D4

RAFI Multi-Factor Developed ex-U.S Index PR

DE000SLA21C6

RAFI Multi-Factor Developed ex-U.S Index TR

DE000SLA21E2

RAFI Multi-Factor Emerging Markets Index NTR

DE000SLA21G7

RAFI Multi-Factor Emerging Markets Index PR

DE000SLA21F9

RAFI Multi-Factor Emerging Markets Index TR

DE000SLA21H5

RAFI Multi-Factor Global Index NTR

DE000SLA3G79

RAFI Multi-Factor Global Index NTR (AUD)

DE000SLA4387

RAFI Multi-Factor Global Index NTR AUD Hedged

DE000SLA4395

RAFI Multi-Factor Global Index PR

DE000SLA3GU2

RAFI Multi-Factor Global Index TR

DE000SLA3HN5

RAFI Multi-Factor Global ex-Switzerland GTR

DE000SLA4106

RAFI Multi-Factor Global ex-Switzerland NTR

DE000SLA4114

RAFI Multi-Factor Global ex-Switzerland PR

DE000SLA41Z5

RAFI Multi-Factor U.S. Index NTR

DE000SLA21K9

RAFI Multi-Factor U.S. Index PR

DE000SLA21J1

RAFI Multi-Factor U.S. Index TR

DE000SLA21L7

RAFI Multi-Factor ex-Momentum Emerging Markets GTR Index

DE000SLA3VX5

RAFI Quality Factor Developed Index NTR

DE000SLA3HH7

RAFI Quality Factor Developed Index PR

DE000SLA3G20

RAFI Quality Factor Developed Index TR

DE000SLA3HW6

RAFI Quality Factor Developed ex-U.S. Index NTR

DE000SLA20H7

RAFI Quality Factor Developed ex-U.S. Index PR

DE000SLA2ZZ3

RAFI Quality Factor Developed ex-U.S. Index TR

DE000SLA2019

RAFI Quality Factor Emerging Markets Index NTR

DE000SLA20P0

RAFI Quality Factor Emerging Markets Index PR

DE000SLA2Z51

RAFI Quality Factor Emerging Markets Index TR

DE000SLA2068

RAFI Quality Factor Global Index NTR

DE000SLA3HD6

RAFI Quality Factor Global Index PR

DE000SLA3GY4

RAFI Quality Factor Global Index TR

DE000SLA3HS4

RAFI Quality Factor U.S. Index NTR

DE000SLA20C8

RAFI Quality Factor U.S. Index PR

DE000SLA2ZU4

RAFI Quality Factor U.S. Index TR

DE000SLA20W6

RAFI Size Factor Developed Index NTR

DE000SLA3HJ3

RAFI Size Factor Developed Index PR

DE000SLA3G38

RAFI Size Factor Developed Index TR

DE000SLA3HX4

RAFI Size Factor Developed ex-U.S. Index NTR

DE000SLA20J3

RAFI Size Factor Developed ex-U.S. Index PR

DE000SLA2Z10

RAFI Size Factor Developed ex-U.S. Index TR

DE000SLA2027

RAFI Size Factor U.S. Index NTR

DE000SLA20D6

RAFI Size Factor U.S. Index PR

DE000SLA2ZV2

RAFI Size Factor U.S. Index TR

DE000SLA20X4

RAFI Value Factor Developed Eurozone Fossil Fuels Capped GTR

DE000SLA7158

RAFI Value Factor Developed Eurozone Fossil Fuels Capped NTR

DE000SLA7141

RAFI Value Factor Developed Eurozone Fossil Fuels Capped PR

DE000SLA7133

RAFI Value Factor Developed Index NTR

DE000SLA3HF1

RAFI Value Factor Developed Index PR

DE000SLA3G04

RAFI Value Factor Developed Index TR

DE000SLA3HU0

RAFI Value Factor Developed ex-U.S. Index NTR

DE000SLA20F1

RAFI Value Factor Developed ex-U.S. Index PR

DE000SLA2ZX8

RAFI Value Factor Developed ex-U.S. Index TR

DE000SLA20Z9

RAFI Value Factor Emerging Markets Index NTR

DE000SLA20L9

RAFI Value Factor Emerging Markets Index PR

DE000SLA2Z36

RAFI Value Factor Emerging Markets Index TR

DE000SLA2043

RAFI Value Factor Global Index NTR

DE000SLA3G95

RAFI Value Factor Global Index PR

DE000SLA3GW8

RAFI Value Factor Global Index TR

DE000SLA3HQ8

RAFI Value Factor U.S. Index NTR

DE000SLA20A2

RAFI Value Factor U.S. Index PR

DE000SLA2ZS8

RAFI Value Factor U.S. Index TR

DE000SLA20U0