Methodology Change | Solactive Municipal Infrastructure Revenue Bond Index| Effective Date 23/03/2022

Today, on the 10/03/2022, Solactive announces the following changes to the methodology of the following index (the ‘Affected Index’):

Rationale for Methodology Change

Solactive has determined that, in order to appropriately comply with United States regulatory requirements (15 U.S. Code § 80a–5 – Subclassification of Management Companies), an additional capping rule must be implemented at the issuer level. According to the afore-mentioned code, the sum of the weights of any single issuer cannot exceed 5% of the value of total assets of the index

Changes to the Index Guideline

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

2.2 Weighting Of The Index Components

From (old version):

On each SELECTION DAY each INDEX COMPONENT is weighted using the market value based on the LAST EVALUATED MID PRICE and accrued interest as on the SELECTION DAY in order to achieve the aim of the INDEX.

The weighting of the INDEX COMPONENTS will be as follows: The INDEX COMPONENTS are weighted according to their respective Market Value in proportion to the aggregated Market Value of all INDEX COMPONENTS in the INDEX. INDEX COMPONENTS that in aggregate account for at least 80% of the weight of the INDEX each shall have a minimum original principal amount outstanding of 100 million USD or more per ISIN.

To (new version):

On each SELECTION DAY each INDEX COMPONENT is weighted using the market value based on the LAST EVALUATED MID PRICE and accrued interest as on the SELECTION DAY in order to achieve the aim of the INDEX.

The weighting of the INDEX COMPONENTS will be as follows: The INDEX COMPONENTS are weighted according to their respective Market Value in proportion to the aggregated Market Value of all INDEX COMPONENTS in the INDEX. INDEX COMPONENTS that in aggregate account for at least 80% of the weight of the INDEX each shall have a minimum original principal amount outstanding of 100 million USD or more per ISIN. The INDEX uses a modified market cap weighting methodology. Weightings per issuer are capped at 5%. Any capping will be carried out on the business day following each SELECTION DAY, using the market values as of the SELECTION DAY. If a constituent breaches a cap to the upside, its weight will be lowered until its weight meets the capping constraint, increasing the weight of all the other constituents proportional to their market value weights. This procedure is carried out iteratively until all the capping conditions have been met. 

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.