Overview
Announcements

Methodology change | Solactive Global SuperDividend™ REIT Index | Effective Date 22 July 2022

Today, on the 11th of July 2022, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):

NAME

RIC

ISIN

Solactive Global SuperDividend™ REIT (Net) Index .SRETN DE000SL0ALS3
SOLACTIVE GLOBAL SUPERDIVIDEND™ REIT INDEX .SRET DE000SLA0VW3
SOLACTIVE GLOBAL SUPERDIVIDEND™ REIT INDEX (PRICE) .SRETP DE000SLA0VY9

Rationale for Methodology Change

The Indices are weighted equally on the annual rebalance in January. Except for new stocks added to the index during the quarterly dividend cut review, there will be no reweighting for existing index member until the next annual rebalance.

To avoid a significant deviation from the weighting concept Solactive decided to add a weight review on a quarterly basis, parallel to the already existing dividend cut review.

 

Changes to the Index Guideline

The following Methodology changes will be implemented in the following points of the Index Guideline

Section 2.3 – DIVIDEND CUT REVIEW

From (old version):

Once a quarter (5 Business Days before the last Business Day in April, July and October), the Index Components are screened for dividend cuts or an overall negative outlook concerning the companies’ dividend policy (“Dividend Cut Review Day”). Quarterly reductions of the dividend payment from a value of 20% or higher will be taken into account and reviewed. If any changes need to be implemented, the index will be adjusted at the close of the last Business Day of the respective month (“Dividend Cut Adjustment Day”).

  1. All Index Components with quarterly reductions of their dividend payment of 20% or higher as well as all companies from the Top 60 of the Index Universe that are not current Index Components will be ranked by their Indicated Dividend Yield.
  2. The top ranked companies will be added to the remaining Index Components, which have no dividend cut or negative outlook (which group shall include companies with an anticipated dividend reduction of less than 20%) up to a total of 30 Index Components.
  3. All companies from the Index Universe, that are not current Index Components, have to meet criteria (1) to (4) outlined in section 2.1 as of the Dividend Cut Review Day to be eligible for inclusion.

Companies that have been removed from the Index Composition will remain in the Top 60 of the Index Universe and will be reviewed again on the next Dividend Cut Review Day.

The selection of the Index Components is fully rule-based and the Index Administrator cannot make any discretionary decision.

 

To (new version):

Once a quarter (5 Business Days before the last Business Day in April, July and October), the Index Components are screened for dividend cuts or an overall negative outlook concerning the companies’ dividend policy (“Dividend Cut Review Day”). Quarterly reductions of the dividend payment from a value of 20% or higher will be taken into account and reviewed. In addition, the index composition will also be reviewed for a breach of the weight criteria defined in section 2.4.  If any changes need to be implemented, the index will be adjusted at the close of the last Business Day of the respective month (“Dividend Cut Adjustment Day”).

  1. All Index Components with quarterly reductions of their dividend payment of 20% or higher as well as all companies from the Top 60 of the Index Universe that are not current Index Components will be ranked by their Indicated Dividend Yield.
  2. The top ranked companies will be added to the remaining Index Components, which have no dividend cut or negative outlook (which group shall include companies with an anticipated dividend reduction of less than 20%) up to a total of 30 Index Components.
  3. All companies from the Index Universe, that are not current Index Components, have to meet criteria (1) to (4) outlined in section 2.1 as of the Dividend Cut Review Day to be eligible for inclusion.

Companies that have been removed from the Index Composition will remain in the Top 60 of the Index Universe and will be reviewed again on the next Dividend Cut Review Day.

The selection of the Index Components is fully rule-based and the Index Administrator cannot make any discretionary decision.

 

Section 2.4 – WEIGHTING OF THE INDEX COMPONENTS

From (old version):

On each Adjustment Day each Index Component of the Solactive Global SuperDividend™ REIT Index is weighted equally after a five-day Rebalance Period as described in section 3.1.

On each Dividend Cut Adjustment Day, the company that is added to the Index at the quarterly reviews will be given the same target weight as the member that will be deleted, calculated based on the Dividend Cut Review Day. In case more than one company is deleted, the cumulative weight of these companies is calculated and equally distributed among the replacements. Companies that remain in the Index will receive a target weight based on the weight as of the Dividend Cut Review Day.

The target weights will be implemented after a five-day Rebalance Period as described in section 3.1.

 

To (new version):

On each Adjustment Day each Index Component of the Solactive Global SuperDividend™ REIT Index is weighted equally after a five-day Rebalance Period as described in section 3.1.

On each Dividend Cut Adjustment Day, the company that is added to the Index at the quarterly reviews will be given the same target weight as the member that will be deleted, calculated based on the Dividend Cut Review Day. In case more than one company is deleted, the cumulative weight of these companies is calculated and equally distributed among the replacements. Companies that remain in the Index will receive a target weight based on the weight as of the Dividend Cut Review Day.

In addition, on each DIVIDEND CUT ADJUSTMENT DAY, the maximum aggregate weight of constituents with individual weight equal or greater than 4.8% must not exceed 20%. If this criterion is breached, all constituents with weights above 4.5% will be capped at 4.5% and the excess weight is redistributed equally to other non-capped stocks. The excess weight will not be redistributed to member which will be deleted on the quarterly review.”

The target weights will be implemented after a five-day Rebalance Period as described in section 3.1.

 

 

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.