Methodology Change | Solactive Pharma Breakthrough Value Index | Effective Date 03/09/2020

Today, on the 24/08/2020, Solactive announces the following changes to the methodology of the following index (the ‘Affected Index’):

 Rationale for Methodology Change

Solactive detected possible liquidity constraints of the instruments with a low Average Daily Value Traded, included in the Index, hence Solactive decided to amend the weighting scheme of the Index.
Furthermore, Solactive decided to increase the amount of Business Days between the Selection Day and the Rebalancing Day from 5 Business Days to 10 Business Days , in order to be more transparent and to provide the market participants with the new Index composition as soon as possible.

Changes to the Index Guideline

The following Methodology changes in the following points of the Index Guideline are implemented:

1. Section 2.2 Ordinary Adjustment

From (old version):

“[…] In respect of each Selection Day immediately preceding such Adjustment Day that is a Rebalancing Day, each Index Component is weighted equally such that the total Index Component Weight of all Index Components is equal to 100%. […]”

To (new version):

“[…] In respect of each Selection Day immediately preceding such Adjustment Day that is a Rebalancing Day, each Index Component is weighted equally such that the total Index Component Weight of all Index Components is equal to 100%, subject to the following constraints:

1. if the 3m Average Daily Value Traded is less than USD 2,000,000, then the Index Component Weight of such Index Component shall be capped at 1% provided the initial weight is greater than 1%;
2. if the 3m Average Daily Value Traded is less than USD 3,000,000 but greater than or equal to USD 2,000,000, then the Index Component Weight of such Index Component shall be capped at 2% provided the initial weight is greater than 2%; and

• if the 3m Average Daily Value Traded is less than USD 4,000,000 but greater than or equal to USD 3,000,000, then the Index Component Weight of such Index Component shall be capped at 3% provided the initial weight is greater than 3%.

Any residual weight that arises from capping the Index Component Weights shall be distributed equally to the remaining Index Components, subject to the constraints i-iii above. For the avoidance of doubt, Index Components affected from the aforementioned constraints will be excluded from the weight redistribution if this process increases their weight above the defined weight caps. […]”

2. Section 4. DEFINITIONS

• Change of definition of “Adjustment Day”:

From (old version):

““Adjustment Day” means each day that occurs on the 2nd Friday of each calendar month, and if such day is not a Trading Day, the immediately following Trading Day.”

To (new version):

““Adjustment Day” means each day that occurs on the 3rd Friday of each calendar month, and if such day is not a Trading Day, the immediately following Trading 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.