Methodology change | Solactive Green ESG Bond EUR USD IG TR Index | Effective Date 16th December 2019

Today, on the 13^th December 2019, Solactive announces the following changes to the Bond Guideline for the Solactive Green ESG Bond EUR USD IG TR Index. The change will become effective on 16th December 2019.

Rationale for the Bond Guideline change

The description of the total return calculation logic mentions the monthly reinvestment of the coupons and other cash payments. However, the standard formula. described below, implies the daily reinvestment of the paid cash and coupons. Using the word “monthly” instead of “daily” is an obvious mistake and does not have any impact on the index calculation, since it is clarified that the index type is standard (which means that reinvestment is daily).

Changes to the Bond Guideline

The word “monthly” will be replaced with “daily” in the last sentence of the first paragraph of the section 4.1. INDEX FORMULA.

Old version:

A total return index seeks to replicate the overall return from holding an index portfolio, thus considering both coupon payments and Corporate Action proceeds in addition to the price changes adjusted for any accrued interest. Coupon and other cash payments will be reinvested on a monthly basis.

New version:

A total return index seeks to replicate the overall return from holding an index portfolio, thus considering both coupon payments and Corporate Action proceeds in addition to the price changes adjusted for any accrued interest. Coupon and other cash payments will be reinvested on a daily basis.