Methodology Change | Solactive XP Índice de Commodities VT 15% | Effective Date 9th May 2022

Today, on the 25/04/2022, Solactive announces the following changes to the methodology of the following index (the ‘Affected Index’):

Rationale for methodology change

The Affected Index is a Volatility Target index with one index component (INVESCO OPTIMUM YIELD DIVERSIFIED COMMODITY STRATEGY ETF with BBG Ticker PDBC UQ Equity and RIC PDBC.OQ).

The index component distributes any price gains which occur during the year as distributions, which makes it difficult for the client to fully replicate the Index. Solactive has therefore decided to consult the market in order get feedback on the plan to replace the price return version of the index component by its net total return version.

Changes to the Index Guideline

Section 3.1 (Index Formula)

From (old version):

“[…]

 The Index Level for any Calculation Day t, denoted , is determined in accordance with the following formula, where Index(t0) = 100:

 Index(t) = Index(t-1) * (1 + W(t-1)*(UC1(t)/UC1(t-1) – 1) + (1 + W(t-1)) * rate(t-1) * DCF(t, t-1)/360

With:

  DCF(t, t-1)             Number of Calendar Days from (and excluding) Calculation Day t-1 to (and including) Calculation Day t

W(t-1)               Exposure as of Calculation Day t-1

UC1(t)              The closing level of Underlying Component 1 for Calculation Day t

rate(t-1)             Level of the Federal Funds Rate for Calculation Day t-1

 […] .“

To (new version):

“[…]The Index Level for any Calculation Day t, denoted , is determined in accordance with the following formula, where :

 Index(t) = Index(t-1) * (1 + W(t-1)*(NTR1(t)/NTR1(t-1) – 1) + (1 + W(t-1)) * rate(t-1) * DCF(t, t-1)/360

With:

DCF(t, t-1)                Number of Calendar Days from (and excluding) Calculation Day t-1 to (and including) Calculation Day t

W(t-1)                     Exposure as of Calculation Day t-1

NTR1(t)               The Net Total Return level of Underlying Component 1 for Calculation Day t

rate(t-1)              Level of the Federal Funds Rate for Calculation Day t-1

The Net Total Return level of Underlying Component 1 for Calculation Day t is calculated according to:

NTR1(t) = NTR1(t-1) * ((CP1(t) + (1- wht) * div(t))/CP1(t-1)

Where:

CP1(t): The unadjusted Closing Price of Underlying Component as of Calculation Day t

wht: The withholding tax rate of 30%

div(t): The dividend amount with ex-date equal to Calculation Day t

The NTR1 level is incepted as of 7^th November 2014 with a level of 100.

[…] .“