Overview
Announcements

Methodology Change | Solactive Global Benchmark Series | Effective Date 01/07/2024

Today, on the 03/06/2024, Solactive announces the following changes to the methodology of the Global Benchmark Series. The changes will become effective on July 1st, 2024.

Rationale for methodology change

The Global Benchmark Series was designed to cover all companies in the developed and emerging market countries that fulfil the liquidity criteria outlined in the guideline document and to provide a broad representation of the global equity market. Consequently, Solactive is continuously monitoring its methodology for potential enhancements.

Solactive has determined to make the following changes to its methodology:

  • Adjustment of the rebalance frequency from semi-annual full reconstitution with a quarterly IPO-Review to a quarterly full reconstitution.
  • Adjustment of the foreign ownership limitations for securities with 100% foreign ownership limitations and within the Thai equity market respectively.
  • Introduction of a regional listing within the choice of listing determination.
  • Replacement of the Volume-Tradability Requirement with a relative liquidity measure.

 

Changes to the Index Guideline

The Methodology changes are implemented in the following points of the Index Guideline (ordered in accordance with the numbering of the affected sections):

  • The adjustment day stated under Section 4 of the index guideline will be changed from:

[…]

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

“IPO Adjustment Day” is the close of the first Wednesday in February and August. If that day is not an Eligible Rebalancing Day, the Adjustment Day will be the following Eligible Rebalancing Day.

[…]

to

[…]

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

 […]

  • The foreign investment limitations stated under Section 4.4 of the index guideline will be changed from:

[…]

  • If the Foreign Ownership Room of an Index Component drops below 7.5% but the company has a depositary receipt which fulfills the Tradability Requirements, the company is kept in the Index and its weight is reduced by 50%.

[…]

to

[…]

  • If the Foreign Ownership Room of an Index Component drops below 7.5% but the company has a depositary receipt which fulfills the Tradability Requirements, the company is kept in the Index and its weight is reduced by 50%.
  • If an Index Component has a Foreign Ownership Limit of 100%, no foreign investment limitations are considered for the security.

 […]

and the limitations within the Thai equity market stated under Section 4.4 of the index guideline will be changed from:

[…]

  • Thailand:
    If a company has a foreign share which fulfills the Tradability Requirements and its common stock drops below 15% in Foreign Ownership Room, the foreign share will be included in the index instead.

NVDRs are included in the Index if they fulfill the Tradability Requirements. If either the foreign share or the common stock of the company is part of the Index, the Free Float percentage requirement is not considered. If a NVDR is eligible for Index inclusion, its shares outstanding are taken into account when calculating the Foreign Ownership Room of the underlying local stock.

[…]

to

[…]

  • Thailand:
    Thai Index Components are included in the index with their domestic share line and the Final Weighting Factor is solely based on the Free Float Percentage of the respective Index Component.
    If the NVDR of an Index Component faces an issuance limit, the issuance limit is used as the Foreign Ownership Limit in the calculation of the Final Weighting Factor and the Foreign Ownership Room for the Index Component is calculated based on the ownership of the NVDR.

 […]

  • The choice of listing stated under Section 2.1.2 of the index guideline will be changed from:

[…]

Where securities are listed on multiple exchanges, only one listing is eligible for inclusion. If there is at least one domestic listing of a security in the Index Universe then the most liquid domestic listing (as determined by the minimum of the 1-month and 6-month Average Daily Value Traded) will be selected. If no domestic listing is available in the Index Universe, then the most liquid foreign listing will be selected.

[…]

to

[…]

Where securities are listed on multiple exchanges, only one listing is eligible for inclusion. If there is at least one domestic listing of a security in the Index Universe, then the most liquid domestic listing (as determined by the minimum of the 1-month and 6-month Average Daily Value Traded) will be selected. If a domestic listing becomes eligible after a regional or global listing has been selected, the domestic listing needs to fulfill the tradability requirements for four consecutive selections before the switch to the domestic listing will be made.

If no domestic listing is available in the Index Universe, the most liquid regional listing is selected. If a regional listing becomes eligible after a global listing has been selected, the regional listing needs to fulfill the tradability requirements for four consecutive selections before the switch to the regional listing will be made.

If there is no eligible domestic (regional) listing or if the most liquid foreign listing is at least twice as liquid as the regional listing, the most liquid foreign listing is selected. Once the foreign listing is selected, it is kept in the index if it is at least as liquid as the regional listing.

[…]

  • The volume-tradability requirement stated under Section 4.3 of the index guideline will be changed from:

[…]

  • New (Current) Index Components require a volume traded of at least 100,000 (75,000) shares over the preceding 1-month period and 600,000 (450,000) shares over the preceding 6- month period.
  • New Index Components require a volume traded of at least 100,000 shares over the preceding 1-month period.

[…]

to

[…]

  • New Index Components with a Trading Price of (not) greater than USD 15,000 require a Liquidity Ratio of at least 0.3% (0.03%). Current Index Components with a Trading Price (not) greater than USD 30,000 require a Liquidity Ratio of at least 0.15% (0.015%).
  • New Index Components with a Trading Price of (not) greater than USD 15,000 require a Liquidity Ratio of at least 0.3% (0.03%).

[…]

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.