Methodology Change | IQ Candriam ESG US Equity Index | Effective Date 13/07/2022

Today, on the 29/06/2022, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):

Rationale for Methodology Change

The Affected Indices intend to represent the US equities filtered for several ESG criteria. In order to prevent future potential breakdown in case of extreme market conditions, the accumulated weight for all companies with a market capitalization above $10 billion has to be greater than 80%. Solactive has determined to implement the following change to the index guideline :

Change to the Index Guideline

The following Methodology change will be implemented in the following point of the Index Guideline (ordered in accordance with the numbering of the affected section):

• Section: 2.3. WEIGHTING OF THE INDEX COMPONENTS

From (old version):

[…]

–                  The above steps are run iteratively until all the caps are satisfied

To (new version):

[…]

–                  The aggregate weight of all securities that are considered Large Cap must be greater than 80%.  For testing purposes, Large Cap is defined as companies having a market capitalization above $10 billion.  This means that the aggregate weight of all non-Large Cap components must be below 20%.  If the aggregate weight of the non-Large Cap components is above 20%, the non-Large Cap components will be reduced pro-rata until their aggregate weight is 20%.  The excess weight will be added to the Large Cap components on a pro-rata basis subject to the individual, country and sector constraints detailed above.

–                  The above steps are run iteratively until all the caps are satisfied

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.