Methodology Change | Solactive Euro 50 Index | Solactive US 50 Index | Solactive Germany 30 Equal Weight Index | Solactive Germany 30 Equal Weight NTR 5% AR Index | Solactive Eurozone 75 Equal Weight 5% AR Index | Effective Date 30 May 2019

Today, on 12 April 2019, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):

Rationale for methodology change

The purpose of the Affected Indices below is to track the price movements of a portfolio containing the largest 30/50/75 companies in a respective country or region.

In order to determine the largest companies, all Affected Indices align their Selection Day with the Selection Day of the Solactive Global Benchmark Series (“GBS”) to ensure that the current market environment is reflected and the latest free float market capitalization figures, available through the respective GBS base index, are utilized.

While the current methodology provides for an alignment of the Selection Days for the Affected Indices and the GBS, the current definitions of Adjustment/IPO Adjustment Days of the Affected Indices are not synchronized with the GBS. This may result in the Affected Indices being adjusted before the GBS. However, this contradicts the intention to achieve a synchronization between the Affected Indices and the GBS with regard to the Index Universe, the Selection Days and the Adjustment/IPO Adjustment Days. Specifically, the Affected Indices could rebalance before the GBS because the Selection Day in the GBS is determined as a function of the Adjustment Day and, in the event of a shift in the Adjustment Day due to, for example, stock exchange closures, the Selection Day is also shifted. Since the Selection Day of the Affected Indices is equivalent to that of the GBS, but the Adjustment/IPO Adjustment Day is not, the period between the relevant Selection Day and Adjustment Day could be reduced  to less than 20 days (the number of days prescribed by the GBS) and potentially event to a number of days that could jeopardize an effective implementation by market participants of the newly determined composition on the Selection Day of the Affected Indices (e.g. less than 5 days between selection and rebalance).

The aim of the rules change is to generally synchronize the Selection Day and Adjustment/IPO Adjustment Day of the Affected Indices to the respective days for the GBS.

Additionally, the rule change acknowledges that the Affected Indices are used as underlying for financial instruments, in particular structured products. This requires that any exposure of an issuer of financial instruments linked to the Affected Indices can also be hedged in accordance with market practice. Therefore, the Affected Indices shall only rebalance on a day when each of the existing and new Index Components is trading.

Changes to the Index Guidelines

The amendments to and addition of some definitions in Section 4 of the relevant index guidelines is implemented as follows:

A. With respect to the following indices:

1. The definition “Selection Day” is amended from:

The “Selection Day” is equivalent to the IPO Review Day of the underlying Solactive GBS […] Index to ensure the same market data is used to update both indices. Therefore, the Selection Day is determined as follows:

• If the first Wednesday in August is a Trading Day at the New York Stock Exchange, the London Stock Exchange, the EUREX Exchange and the Tokyo Stock Exchange, the Selection Day is the Business Day 20 Business Days before the first Wednesday in August.
• If the first Wednesday in August is not a Trading Day at the New York Stock Exchange, the London Stock Exchange, the EUREX Exchange and the Tokyo Stock Exchange, the Selection Day is the Business Day 20 Business Days before the next Business Day that is a Trading Day on each of these Exchanges.

to:

The “Selection Day” is the Business Day 20 Business Days before the respective GBS Adjustment Day in August.

2. The definition “IPO Review Day” is amended from:

The “IPO Review Day” is determined as follows to ensure the use of equivalent market data in the underlying Solactive GBS […] Index and the [INDEX NAME]:

• If the first Wednesday in February/May/November is a Trading Day at the New York Stock Exchange, the London Stock Exchange, the EUREX Exchange and the Tokyo Stock Exchange, the Selection Day is the Business Day 20 Business Days before the first Wednesday in February/May/November.
• If the first Wednesday in February/May/November is not a Trading Day at the New York Stock Exchange, the London Stock Exchange, the EUREX Exchange and the Tokyo Stock Exchange, the Selection Day is the Business Day 20 Business Days before the next Business Day that is a Trading Day on each of these Exchanges

to:

The “IPO Review Day” is the Business Day 20 Business Days before the respective GBS Adjustment Day in February, May and November.

3. The definition “Eligible Rebalancing Day” is amended from:

The “Eligible Rebalancing Day” is each day that is a Trading Day on each of the Exchanges of current and new Index Components.

to:

The “Eligible Rebalancing Day” is each day that is an Eligible GBS Rebalancing Day and a Trading Day on each of the Exchanges of current and new Index Components.

4. The following new definitions are added:

The “GBS Adjustment Day” is the first Wednesday in February, May, August, and November. If that day is not an Eligible GBS Rebalancing Day, the GBS Adjustment Day will be the following Eligible GBS Rebalancing Day.

“Eligible GBS Rebalancing Day” is each day that is a Trading Day at the New York Stock Exchange, the London Stock Exchange, the EUREX Exchange, and the Tokyo Stock Exchange.

B. With respect to the following index:

1. The definition “Selection Day” is be amended from:

The “Selection Day” is determined as follows to ensure the use of equivalent market data in the underlying Solactive GBS Developed Markets Eurozone Large & Mid Cap Index and the Solactive Eurozone 75 Equal Weight 5% AR Index:

• If the first Wednesday in February/May/August/November is a Trading Day at the New York Stock Exchange, the London Stock Exchange, the EUREX Exchange and the Tokyo Stock Exchange, the Selection Day is the Business Day 20 Business Days before the first Wednesday in August.
• If the first Wednesday in August is not a Trading Day at the New York Stock Exchange, the London Stock Exchange, the EUREX Exchange and the Tokyo Stock Exchange, the Selection Day is the Business Day 20 Business Days before the next Business Day that is a Trading Day on each of these Exchanges.

to:

The “Selection Day” is the Business Day 20 Business Days before the respective GBS Adjustment Day.

2. The definition “Eligible Rebalancing Day” is amended from:

The “Eligible Rebalancing Day” is each day on which the Exchange of all current as well as all new Index Components, that will enter the Index on the upcoming Adjustment Day, is open for trading

to:

The “Eligible Rebalancing Day” is each day that is an Eligible GBS Rebalancing Day and a Trading Day on each of the Exchanges of current and new Index Components.

3. The following new definitions are added:

The “GBS Adjustment Day” is the first Wednesday in February, May, August, and November. If that day is not an Eligible GBS Rebalancing Day, the GBS Adjustment Day will be the following Eligible GBS Rebalancing Day.

“Eligible GBS Rebalancing Day” is each day that is a Trading Day at the New York Stock Exchange, the London Stock Exchange, the EUREX Exchange, and the Tokyo Stock Exchange.

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.