Methodology Change & Clarification | Solactive US Benchmark Index Series | Effective Date   21/02/2023

Today, on 16/02/2023, Solactive announces the following changes and clarifications to the methodology of the following indices (the ‘Affected Indices’). The changes and clarifications to the methodology will become effective on 21/02/2023.

Rationale for Methodology Change

Abnormally high-priced securities are difficult to be traded by ETF managers and institutional investors
due to round lot and liquidity concerns. In recent years, fractional shares trading has inflated the liquidity
of a high-priced security, making such a security eligible for inclusion in the affected indices based on the
current liquidity criteria of the Indices. While accessible to retail investors, the liquidity from fractional
shares trading may be inaccessible to institutional investors who must track the index turnover of such a
high-priced security in whole share units. To make the Affected Indices more investable, the methodology change introduces a price threshold as an index rule to exclude very high-priced securities as outliers to the universe of the Indices.

Rationale for Methodology Clarification

Solactive has determined that some sections of the methodology of the Affected Indices need to be clarified to ensure consistency in the selection process of the different market capitalization baskets of the index series. The rationale is provided below with each clarification to the guideline.

Finally, the clarification will also unify the individual guidelines of the Affected Indices from the series into one single guideline.

Changes to the Index Guideline

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

1. In Section 4, an additional criterion is added to form the index universe:
   “9. The security must have a closing price of less than 20,000 USD on the Selection Day.”  

Clarifications to the Index Guideline

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

1. In Section 2.1.1, an additional sentence will be added as follows to ensure exclusivity among certain market capitalization baskets of the index series:
   “For clarification, existing Index Components, which are selected to remain in the Solactive US Large & Mid Cap index due to its corresponding buffer rules at any Selection Day, are not eligible for inclusion in the Solactive US Small Cap Index.”
     
2. In Section 2.1.1, the following clarification will be made to the sub-section “Solactive US Small Cap Index” to clarify that a security, when ranked 950th in terms of Float Market Capitalization and not a current index member, is selected into the Small Cap basket.
   From (old version):
   “a company currently not included in the index is only included if the Float Market Capitalization of the company is higher than the Float Market Capitalization of the company ranked 2950 and lower than the Float Market Capitalization of the company ranked 950 at any Selection Day (every share line is reviewed separately).”
   
   To (new version):
   “a company currently not included in the index is only included if the Float Market Capitalization of the company is higher than the Float Market Capitalization of the company ranked 2950 and lower than the Float Market Capitalization of the company ranked 949 at any Selection Day (every share line is reviewed separately).”
     
3. In Section 2.1.1, the following sentence will be added to the Solactive US Broad Market Index and Solactive US Small & Mid Cap Index to clarify eligibility of multiple share lines of a company.
   “In case more than one share line of a company fulfill all criteria outlined in chapter 4, both are included.”
     
   
   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.