Methodology Change | SOLACTIVE CHINA FUTURE CONSUMERS ESG SCREENED INDEX | Effective Date 18/06/2020
Today, on the 03/06/2020, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):
Solactive China Future Consumers ESG Screened Index PR
Solactive China Future Consumers ESG Screened Index NTR
Solactive China Future Consumers ESG Screened Index TR
Rationale for methodology change
Solactive has determined that the amount of Index Components in the Indices shall be capped at 30. This change would be implemented to keep future turnover and trading costs within a reasonable range, in case an unexpected large increase of U.S. listed securities of Chinese companies occurs.
Changes to the Index Guideline
The following sentence is added to the Methodology (Section 2.2) of the Index Guideline:
2.2 Selection of the Index Components
Based on the Index Universe, the initial composition of the Index as well as any selection for an ordinary rebalance is determined on the Selection Day in accordance with the following rules (the “Index Component Requirements“):
- Exclude all securities with an Average Daily Value Traded (ADV) of less than or equal to USD 5 million. Where ADV is defined as the minimum of 6-months and 1-month ADV.
- Exclude all securities with a Free Float of Total Market Capitalization of less than or equal to USD 500 million.
The selection of the Index Components is fully rule-based and the Index Administrator cannot make any discretionary decisions.
If there are more than 30 securities are eligible after applying the rules, the 30 securities with the highest Free Float of Total Market Capitalization are selected for the final Index.
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.