Methodology Change | Several Solactive Indices | Effective Date 13/02/2023

Today, on 02/02/2023, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):

Rationale for Methodology Change

Solactive has determined that to ensure UCITS 20/35 compliance and maintain replicability, the liquidity cap weight constraint will be eased based on the estimated AUM provided 2.3.2 of the index guideline. The estimated AUM is a notional value of USD 10,000,000 which will be eased step by step by increments of USD 1,000,000 until all constraints are met.

Changes to the Index Guideline

The following Methodology changes will be implemented in the following points of the Index Guideline:

2.3          WEIGHTING OF THE INDEX COMPONENTS

From (old version):

On each SELECTION DAY each INDEX COMPONENT is assigned a weight according to their SHARE CLASS MARKET CAPITALIZATION, subject to the following constraints:

1. The weight of each INDEX COMPONENT is capped at 15%.
2. A liquidity cap is calculated for each INDEX COMPONENT as 25% of the minimum AVERAGE DAILY VALUE TRADED in USD over 1 month and over 6 months prior to and including the SELECTION DAY divided by USD 10,000,000 such that a hypothetical USD 10,000,000 change in notional of Index units would correspond to a maximum of 25% of the AVERAGE DAILY VALUE TRADED of each INDEX COMPONENT.

If the constraints above cannot be satisfied, the weight cap described in 2.3.1 will be eased in 1% steps until all constraints are met.

To (new version):

On each Selection Day each Index Component is assigned a weight according to their Share Class Market Capitalization, to fulfill the UCITS 20/35 rule requirements the weights are subject to the following constraints:

1. The weight of each Index Component is capped at 15%.
2. A liquidity cap is calculated for each Index Component as 25% of the minimum Average Daily Value Traded in USD over 1 month and over 6 months prior to and including the Selection Day divided by USD 10,000,000 (the “AUM Estimate”) such that a hypothetical USD 10,000,000 change in notional of Index units would correspond to a maximum of 25% of the Average Daily Value Traded of each Index Component.

If the constraints above cannot be satisfied, the weight cap described in 2.3.2 will be eased step by step by lowering the AUM Estimate by USD 1 million (minimum AUM Estimate of USD 0) until all constraints are met.

6. DEFINITIONS

Addition (new version):

“AUM Estimate” shall have the meaning as defined in Section 2.3.

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.