Methodology Change and Index Name Change| Goldman Sachs ActiveBeta Paris-Aligned Family | Effective Date 20/01/2023

Today, on the 10/01/2023, Solactive announces the following changes to the methodology and index names of the following Indices (the ‘Affected Indices’):

Rationale for Methodology Change

Solactive has determined that there is some potential for enhancement for the easy of maintenance of the above indices and that they could benefit from further addition of a constraint on the minimum holding and trading step for the individual securities. Lastly, due to the ongoing development of the ESG landscape, Solactive will include a standard good governance filter into those indices in order to make them Article 8 compliant. The announced modifications will not have any impact on the composition of the indices and only a very marginal one on the weighting.  

Lastly, Solactive announces the name change of the affected indices with the same effective date.

The index ticker as well as the ISIN will remain unchanged.

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):

1. The index names will include the word “Climate” in the future. The new names will thus be:

2. Switch of the Parent Index to Solactive indices of the Global Benchmark Series

From:

To:

3. Change of the Selection Date and rebalancing months for the Europe and Emerging Markets index to align with the new Parent Indices

From:

[…]

The Selection Date is eight US trading days prior to the effective Rebalance Date for the ActiveBeta^® Paris-Aligned Equity Europe Index and the ActiveBeta^® Paris-Aligned Equity Emerging Markets Index.  The Selection Date is seven US trading days prior to the effective Rebalance Date for the ActiveBeta^® Paris-Aligned Equity US Large Cap Index and the ActiveBeta^® Paris-Aligned International Equity US Large Cap Index

[…]

To:

[…]

The Selection Date is seven US trading days prior to the Rebalance Date for each ActiveBeta^® Paris-Aligned Equity Index.

[…]

From:

[…]

The ActiveBeta® Paris-Aligned Europe Equity Index and the ActiveBeta® Emerging Market Paris-Aligned Equity Index are rebalanced quarterly according to the published rebalancing schedule of their Parent Indexes, typically on the close of the last business day of February, May, August, and November.

[…]

To:

[…]

The ActiveBeta® Paris-Aligned International Equity Index, the ActiveBeta® Paris-Aligned Europe Equity Index and the ActiveBeta® Paris-Aligned Emerging Markets Equity Index  are rebalanced quarterly according to the published rebalancing schedule of their Parent Indexes, typically on the close of the first Wednesday of February, May, August, and November or, if that day is a holiday on either the New York Stock Exchange, the London Stock Exchange, EUREX Exchange or Tokyo Stock Exchange, the next trading day.

[…]

4. Addition of a good governance filter to align the indices with Article 8 compliance requirements

Inclusion of text:

[…]

As part of this step, an assessment is made of each company’s adherence to good governance criteria, including but not limited to sound management structures, employee relations, remuneration of staff and tax compliance at the company level. As part of this assessment, the Post Exclusion Parent Index excludes issuers with very severe governance controversies, labor rights or tax compliance controversies, or overall controversies.

[…]

5. Addition of a constraint on the minimum holding or minimum trading position of a security.

Inclusion of text:

[…]

Finally, each ActiveBeta® Paris-Aligned Equity Index must satisfy constraints on each stock’s weight and change in weight.  The weight of each stock selected for inclusion in the index must be greater than or equal to a specified minimum weight (“Minimum Hold Weight”), and the absolute value of the difference between the pre-rebalance and post-rebalance weights, if the difference is nonzero, must be greater than or equal to a specified minimum weight change (“Minimum Trade Weight”).  If imposing the constraints on the Minimum Hold Weight and the Minimum Trade Weight results in a violation of any other constraints, these two weight constraints are iteratively relaxed by 10 percent of their starting values until the other constraints are satisfied. 

Except for the Emerging Markets Index, the Minimum Hold Weight is 1 bp for stocks held by the index immediately prior to the rebalance, and 2 bps for stocks added to the index.  For each stock held by the index, the Minimum Trade Weight is 1 bp. For the Emerging Markets Index, the Minimum Hold Weight is 2 bps bp for stocks held by the index immediately prior to the rebalance, and 4 bps for stocks added to the index.  For each stock held by the Emerging Markets Index, the Minimum Trade Weight is 2 bp.

[…]

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.