Methodology Change | Solactive LGIM ESG Japan All Cap Index | Effective Date 11/05/2020
Today, on the 06/05/2020, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):
|
NAME |
RIC |
ISIN |
|
Solactive LGIM ESG Japan All Cap Equities Index NTR |
.SOLEJPAN |
DE000SLA9931 |
|
Solactive LGIM ESG Japan All Cap Equities Index PR |
.SOLEJPAP |
DE000SLA9923 |
|
Solactive LGIM ESG Japan All Cap Equities Index TR |
.SOLEJPAT |
DE000SLA9949 |
Rationale for methodology change
The current index methodology does not allow enough trading time for Asian based clients to implement the rebalancing of the portfolios due to an extended period of holiday in Japan in the beginning of May. In order to ensure tradability of the Affected Indices, Solactive has decided to postpone the rebalancing by one week. Additionally, in order to improve the index concept and fulfill the scope of the index in a more efficient manner, an additional screen is being implemented based on the country of listing of the securities in order to ensure that all the securities eligible for the index inclusion are listed in Japan.
Changes to the Index Guideline
Section 2.1 INDEX UNIVERSE REQUIREMENTS
The wording will have an additional filter and change as described below and this will only become effective starting with the Selection Day in October 2020.
From:
The Index Universe is comprised of all financial instruments which fulfill the below requirements (the “Index Universe Requirements“):
- Is a member of the Solactive GBS Japan All Cap Index (ISIN: DE000SLA4NV4), as published on the Solactive website: https://www.solactive.com.
To:
The Index Universe is comprised of all financial instruments which fulfill the below requirements (the “Index Universe Requirements“):
- Is a member of the Solactive GBS Japan All Cap Index (ISIN: DE000SLA4NV4), as published on the Solactive website: https://www.solactive.com.
- Is listed in Japan.
Section 6. Definition
The below changes will become effective on May 11th, 2020 as indicated in the title.
- Rebalancing Day
From:
“The first Wednesday in May and November. If that day is not an ELIGIBLE REBALANCE DAY the REBALANCE DAY will be the immediately following ELIGIBLE REBALANCE DAY.”
To:
“The second Wednesday in May and November. If that day is not an ELIGIBLE REBALANCE DAY the REBALANCE DAY will be the immediately following ELIGIBLE REBALANCE DAY.”
- Selection Day
From:
“20 CALCULATION DAYS before the scheduled REBALANCE DAY.”
To:
“20 CALCULATION DAYS before the GBS REBALANCE DAY.”
- The Definition of the GBS REBALANCE DAY has been added:
“The first Wednesday in May and November. If that day is not an ELIGIBLE REBALANCE DAY the REBALANCE DAY will be the immediately following ELIGIBLE REBALANCE DAY.”
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. The amended version of the index guideline will be available on the effective date.