Methodology Change | Solactive Two Bucks Index | Effective Date 04/10/2021

Today, on 21.09.2021, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):

Rationale for Methodology Change

The Affected Indices represent securities within a relatively low price range in terms of absolute trading prices in the United States. The Affected Indices may provide exposure to meme stocks which can be traded up swiftly and significantly by retail investors. Funds of Regulated Investment Companies (RIC) in the United States that track the Affected Indices may not meet quarterly RIC status tests if the outsized positions are not rebalanced before their quarter ends. Therefore, Solactive has decided to align the rebalance dates of the Affected Indices with the quarter ends of RIC-compliant funds as a precautionary measure to reduce the risk of individual securities having excess weights before their quarter ends.

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):

Section 2.2 – SELECTION OF THE INDEX COMPONENTS

Old version:

[…]

For each SELECTION DAY for the August REBALANCING DAY, the following rules will be applied. In a first step, each existing Index Component is reviewed and remains an Index Component if it meets the following requirements:

• A minimum AVERAGE DAILY VALUE TRADED of USD 1 million over 3 months prior to and including the SELECTION DAY.

[…]

For each SELECTION DAY for the REBALANCING DAYS in February, May and November, the following rules will be applied. In a first step, each existing Index Component is reviewed and remains an Index Component if it meets the following requirements:

• A minimum AVERAGE DAILY VALUE TRADED of USD 1 million over 3 months prior to and including the SELECTION DAY.

[…]

New Version:

[…]

For each SELECTION DAY for the July REBALANCING DAY, the following rules will be applied. In a first step, each existing Index Component is reviewed and remains an Index Component if it meets the following requirements:

• A minimum AVERAGE DAILY VALUE TRADED of USD 1 million over 3 months prior to and including the SELECTION DAY.

[…]

For each SELECTION DAY for the REBALANCING DAYS January, April and October, the following rules will be applied. In a first step, each existing INDEX COMPONENT is reviewed and remains an INDEX COMPONENT if it meets the following requirements:

• A minimum AVERAGE DAILY VALUE TRADED of USD 1 million over 3 months prior to and including the SELECTION DAY.

[…]

Section 6 – DEFINITIONS

Old version:

“REBALANCE DAY” is the first Wednesday in February, May, August and November. If that day is not an ELIGIBLE REBALANCE DAY the REBALANCE DAY will be the immediately following ELIGIBLE REBALANCE DAY.

New version:

“REBALANCE DAY” is the last Business Day in January, April, July and October. If that day is not an ELIGIBLE REBALANCE DAY the REBALANCE DAY will be the immediately preceding 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.