Methodology Change | Several Solactive Indices | Effective Date 02/11/2022

Today, on the 19/10/2022, Solactive announces the following changes to the methodology of the following indices(the ‘Affected Indices’):

Rationale for Methodology Change

Solactive has determined that the introduction of a new “fixing date” for the affected Blockchain indices (v1 and v2) serve to combat ever-increasing market volatility over the past calendar year and will continue to serve to temper the effects of market volatility within the selection process and rebalancing/adjustment periods. Moreover, the relaxation of liquidity constraints for all the aforementioned indices where both Market Capitalization and Average Daily Traded Volume (ADV) will be relaxed to allow for a feasible rebalance to take place. We have determined through simulations that with the current market situation and potential future market disrupting events that Without the relaxation of these liquidity constraints, a rebalance with the minimum required index components will not be feasible during the upcoming November rebalance and possibly more rebalances that follow. The niche industries on which these indices are based on have experienced severe economic contractions since the beginning of the year and as a result many of the companies that operate within these industries would no longer pass the stricter liquidity constraints currently in place in the index. In anticipation of future market downturns and industry-related contraction, the laxed liquidity constraints below will be applied to all index methodologies in relation to the indices above.

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):

Blockchain Indices (v1 and v2)

Section 2.3.1 Weighting of the Index Components

From (old version):

On each SELECTION DAY the weights of the selected INDEX COMPONENTS are determined by applying an effective MARKET CAPITALIZATION weighting scheme that accounts for liquidity in determining final weights.

• The maximum weight of an Index Component is 12%.
• The minimum weight if an Index Component is 0.3%.
• The aggregate weight of the Index Components listed on a Russian stock exchange cannot exceed 15% of the index weight.
• The aggregate weight of the Index Components weighted above 4.5% is capped at 45%. The remaining companies are capped at 4.5%.
• The aggregate weight of Pre-Revenue and Diversified companies cannot exceed 10% of the index weight, and the maximum weight of a Pre-Revenue or Diversified company is 2%.

[…]

To (new version):

On each SELECTION DAY the weights of the selected INDEX COMPONENTS are determined by applying an effective MARKET CAPITALIZATION weighting scheme that accounts for liquidity in determining final weights.

• The weight of a selected INDEX COMPONENT will be determined based on the lesser of:

1. FREE FLOAT MARKET CAPITALIZATION
2. Average daily trading value multiplied by 50.

• The maximum weight of an Index Component is 12%.
• The minimum weight if an Index Component is 0.3%.
• The aggregate weight of the Index Components listed on a Russian stock exchange cannot exceed 15% of the index weight.
• The aggregate weight of the Index Components weighted above 4.5% is capped at 45%. The remaining companies are capped at 4.5%.
• The aggregate weight of Pre-Revenue and Diversified companies cannot exceed 10% of the index weight, and the maximum weight of a Pre-Revenue or Diversified company is 2%.

[…]

Section 6. Definitions

To (new version)

“FIXING DAY” is 10 BUSINESS DAYS before the REBALANCE DAY or ADJUSTMENT DAY, disregarding any potential change of the REBALANCE DAY OR ADJUSTMENT DAY. If that day is not a CALCULATION DAY, the FIXING DAY will be the previous CALCULATION DAY.

All Indices:

2.1 Index Universe Requirements

From (old version):

[…]

2. SHARE CLASS MARKET CAPITALIZATION of at least USD 100,000,000 for companies that are not INDEX COMPONENTS on the respective SELECTION DAY and at least USD 80,000,000 for companies that are index components on the respective SELECTION DAY.
3. AVERAGE DAILY VALUE TRADED in the last six months of at least USD 2,000,000 for companies that are not INDEX COMPONENTS on the respective SELECTION DAY and at least USD 1,400,000 for companies that are index components on the respective SELECTION DAY.

[…]

To (new version):

[…]

2. SHARE CLASS MARKET CAPITALIZATION of at least USD 50,000,000 for companies that are not INDEX COMPONENTS on the respective SELECTION DAY and at least USD 30,000,000 for companies that are index components on the respective SELECTION DAY.
3. AVERAGE DAILY VALUE TRADED in the last three months of at least USD 500,000 for companies that are not INDEX COMPONENTS on the respective SELECTION DAY and at least USD 250,000 for companies that are index components on the respective SELECTION DAY. The Index Provider may use AVERAGE DAILY VALUE TRADED in the last six months in the event that a feasible rebalance cannot be conducted using the AVERAGE DAILY VALUE TRADED in the last three months.

[…]

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.