Methodology Change | Aquantum SPCI / Aquantum Scarcity Premium Commodity Index – Expanded Capacity | Effective Date 05/05/2020

Today, on the 04/05/2020, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):

Rationale for methodology change

The Affected Indices are commodity market-neutral indices which aims to track the return of a spread trading strategy. In assessment of the past exposure to WTI, Solactive has determined to refine the strategy to exclude exposure on WTI for Affected Indices going forward. This measure also takes account of ongoing replicability of the Affected Indices. .

Changes to the Index Guideline

Target Weight (section 8, APPENDIX I – SAMPLE INDEX COMMODITIES) and Active Weight (section 11, Appendix V – ACTIVE WEIGHTS) for WTI Crude Oil (identifier CL) will be set to zero.  

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.

Technical Clarification:
In order to technically correct implement the methodology modification, i.e. removal of WTI, the index will no longer open any positions on WTI. All other parameters remain unchanged.