Methodology change | Solactive Optimal Consumer Staples Consumer Discretion Index | Effective Date 26/08/2019
Today, on the 22/08/2019, Solactive announces the following changes to the methodology of the following index (the ‘Affected Index):
|Solactive Optimal Consumer Staples Consumer Discretion Index||.SOCSCD8||DE000SLA8WC6|
Rationale for methodology change
Solactive has realized that the current methodology does not provide sufficient time for financial products (referencing to the Index) to replicate the amendments in the Index between the selection and rebalance day. For example, the Tokyo Stock Exchange is already closed at the time the selection has been made and therefore no securities could be traded.
Changes to the Index Guideline
The following changes are made in the Index Methodology with respect to the two following points:
- Section 5 the definition of the “Rebalancing Period”
“Rebalancing Period” means the period of two consecutive Index Business Days commencing on, but excluding, each Selection Date after the ER Portfolio Start Date.
“Rebalancing Period” means the period of two consecutive Index Business Days commencing on, but excluding, the Index Business Day which falls one Index Business Day after each Selection Date after the ER Portfolio Start Date”.
The lag between selection date and effective rebalancing date in the basket is therefore increased by one index business day to two index business days by delaying the rebalancing effective date by one index business day. The selection date will remain unchanged.
- Section 2.2 Index Level Calculation
The lag between exposure determination date and exposure effective date is increased from one index business day to two index business days, by delaying the exposure effective date by one index business day. This is reflected in the updated index level formula and the updated formula defining the exposure in Section 2.2.
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.