Methodology Change | Several Solactive Bond Future Indices | Effective Date 28/11/2023
Today, on 28/11/2023, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):
|
NAME |
RIC |
ISIN |
|
Solactive 10Y US Treasury Futures Daily (-2x) Inverse Index |
.SODI2TYF |
DE000SLA8QX4 |
|
Solactive 10Y US Treasury Futures Daily (-1x) Inverse Index |
.SODI1TYF |
DE000SLA8V26 |
|
Solactive 10Y US Treasury Futures Daily (1x) Leveraged Index |
.SODL1TYF |
DE000SLA8V34 |
|
Solactive US Treasury Bond Futures Daily (-1x) Inverse Index |
.SODI1USF |
DE000SLA8V42 |
|
Solactive US Treasury Bond Futures Daily (-2x) Inverse Index |
.SODI2USF |
DE000SLA8V59 |
|
Solactive USD Daily (x7) Steepener 2-10 Index |
.SOUD7STT |
DE000SLA7QQ0 |
|
Solactive Bund Daily (-2x) Inverse Index |
.SODI2BUN |
DE000SLA8QR6 |
|
Solactive Bund Daily (-1x) Inverse Index |
.SODI1BUN |
DE000SLA8QS4 |
|
Solactive Bund Daily (2x) Leveraged Index |
.SODL2BUN |
DE000SLA8QT2 |
|
Solactive BTP Daily (-2x) Inverse Index |
.SODI2BTP |
DE000SLA8QU0 |
|
Solactive BTP Daily (2x) Leveraged Index |
.SODL2BTP |
DE000SLA8QV8 |
|
Solactive Bund Daily (1x) Leveraged Index |
.SODL1BUN |
DE000SLA8U84 |
Rationale for Methodology Change
Solactive has determined that the current method of calculating the cash component of the index is not in line on how the market is calculating these in terms of correspond ETFs.
Changes to the Index Guidelines
The following Methodology changes will be implemented in the following points of the Index Guideline:
2.5(2.4) Cash Calculations
From (old version):
“DCF” =Number of calendar days between the second Trading Day immediately following Trading Day t (inclusive) and the third Trading Day immediately following Trading Day t (exclusive).
To (new version):
“DCF” = Number of calendar days between the first Trading Day immediately following Trading Day t (inclusive) and the second Trading Day immediately following Trading Day t (exclusive).
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.