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Methodology Change | Solactive Global SuperDividend™ Index | Effective Date 11th February 2019

Today, on 14th of January, 2019, Solactive announces the following changes to the methodology of the Solactive Global SuperDividend™ Index (DE000SLA0SD9, DE000SLA8DP8).

The Solactive Oversight Committee had decided, inter alia, to amend the index methodology and therefore, due to the fact that certain amendments are deemed to be material changes, to initiate a market consultation. The oversight committee has discussed the feedback of the market and has decided to change the methodology of the Solactive Global SuperDividend™ Index.

Taking this into account, the Solactive Oversight Committee has decided to amend chapter 2.1 “Selection of the Index Components”, chapter 2.2 “Ordinary adjustment” as well as chapter 4 “Definitions” of the methodology as follows:

 

Section 2.1 Selection of the Index Components:

The following sections in chapter 2.1 (Selection of the Index Components)

“Once a quarter (five business days before the last trading day in May, August and November), the index components are screened for dividend cuts or an overall negative outlook concerning the companies’ dividend policy”

shall be deleted and replaced as follows:

Once a quarter (ten Business Days before the last Business Day in May, August and November), the index components are screened for dividend cuts  or an overall negative outlook concerning the companies’ dividend policy (“Dividend Cut Review Date”).

 

Section 2.2 Ordinary adjustment:

Changing the adaption type from share fixing to a five-day-rolling weight implementation (multi-day-rebalance).

The Index is rebalanced / reviewed quarterly over a five-day period (“Rebalancing Period”). Beginning on the Adjustment Day, and continuing until the fourth Trading Day following the Adjustment Day, the weights of the constituents of the index on the nth day are set as follows:

w_i (t_0 + n -1) = w_i (t_0 – 1) + [n*(w_i^target – w_i (t_0 – 1))]/D,

0 < n ≤ 5

Where

t_0 = First rebalancing day

w_i(t) = Weight of company i at time t

w_i^target = Target weight of company i after the rebalance

n =  day of the rebalancing period

D = Total number of Trading Days in the rebalancing period (5)

 

In chapter 4 (Definitions) the following Definitions will be amended:

  • A “Business Day” is a day on which Stuttgart Stock Exchange is open for trading.

shall be deleted and replaced as follows:

  • A “Business Day” is every day from Monday to Friday.

 

  • “Adjustment Day” is the last Business Day in February.

shall be deleted and replaced as follows:

  • “Adjustment Day” is the last Business Day in February, If the last Business Day in February is not a Trading Day, the rebalance is postponed to the next Trading Day.

 

  • “Selection Day” is the Business Day 5 Business Days before the Adjustment Day.

shall be deleted and replaced as follows:

  • “Selection Day” is 10 Business Days before the Adjustment Day.

For clarification the definition for “Dividend Cut Review Day” is included into the methodology.  “Dividend Cut Review Day” is 10 Business Days before the last Business Day in May, August and November. If the last Business Day in May, August and November is not a Trading Day, then the rebalance is postponed to the following Trading Day.

For clarification the total return version for Solactive Global SuperDividend™ Index (DE000SLA0SD9) will be explicitly included into the guideline.

The guideline is brought into alliance with common practice in the following points:

  • 1.4 “Prices and calculation frequency”: Correction of the publishing time by changing the sentence from “The Solactive Global SuperDividend™ is published every Business Day from 9:00am to 10:30pm, CET” to “The Solactive Global SuperDividend™ is calculated every Business Day from 9:00am to 11:00pm, CET”.
  • 1.4. “Prices and calculation frequency”: Deletion of the following sentence: “Any incorrect calculation is adjusted on a retrospective basis” to avoid any confusion regarding intra-day calculations.
  • 3.2 “Accuracy”: Updating the guideline in regard of the rounding of the Index Value by changing the sentence from “The value of the Index will be rounded to two decimal places.” to “The value of the Index will be rounded to four decimal places.”

The rationale behind the changes are the following:

Rebalancing over a five-day period (“Rebalancing Period”) helps to downsize the rebalance transactions per day and any potential market impact resulting from the rebalancing. A longer time frame between selection/review and rebalance ensures more time and flexibility to prepare the selection as well as the rebalance and gives all parties more reliability on when the selection will take place.

Solactive AG’s oversight committee is of the opinion that the suggested methodology changes do not compromise the index’ integrity and comparability. The changes were deemed material by Solactive’s oversight committee.

The index guideline will be modified accordingly and the changes will be effective on 11th of February, 2019. The new index guideline will be available on this date.