Methodology Change | Solactive Single Stocks Leverage Index Family | Effective Date 14/07/2020

Today, on the 13/07/2020, Solactive announces the following changes to the methodology of the following Indices (the “Affected Indices”):

Rationale for Methodology Change

Solactive has determined that the definition of the Borrow Rate was not clearly defined and not in a methodological consistency with the closely related Solactive Thematic-Pure Sector Leverage Index Family. Due to this Solactive has decided to change the definition regarding the quarterly point of time in which the Borrow Rate is to be reviewed and adjusted. Therefore, starting from the Effective Date, the Borrow Rate will be reviewed on a quarterly basis following the GBS Rebalance Schedule defined in the GBS Rulebook. The next date on which the Borrow Rate is to be reviewed, following the new schedule, is the 06/08/2020. There is no material impact determined by this change.

Changes to the Index Guideline

“6. DEFINITIONS

(…)

From (old version):

“Borrow Rate” is a rate which a market participant needs to pay for lending an Underlying Stock, as provided by Data Provider and adjusted every quarter on the third Friday of such quarter (or, if such day is not a Business Day, the immediately [preceding] Business Day). The Committee may adjust the Borrow Rate intra-quarter to the extent it deems necessary, acting in good faith and a commercially reasonable manner, to reflect actual rates a market participant may need to pay. 

To (new version):

“Borrow Rate” is a rate which a market participant needs to pay for lending an Underlying Stock, as provided by Data Provider and which is adjusted every quarter on the following Business Day after the GBS Rebalance Day. If due to any reason, there is no GBS Rebalance taking place for a given quarter, the Borrow Rate is to be adjusted on the following Business Day after the GBS Rebalance Day as defined within the scope of this Guideline. The Oversight Committee may adjust the Borrow Rate intra-quarter to the extent it deems necessary, acting in good faith and a commercially reasonable manner, to reflect actual rates a market participant may need to pay. 

Additional Definitions added:

“Eligible GBS Rebalance Day” is each day that is a Trading Day at the New York Stock Exchange, the London Stock Exchange, the EUREX Exchange, and the Tokyo Stock Exchange.

“GBS Rebalance Day” is the first Wednesday in February, May, August and November. If that day is not an Eligible GBS Rebalance Day, the GBS Rebalance Day will be the following Eligible GBS 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.