Methodology Change | Solactive U.S. Bank Yield Index | Effective Date 30/01/2023

Today, on 16/01/2023, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):




Solactive U.S. Bank Yield Index .SOLUBYPR DE000SLA5DV2
Solactive U.S. Bank Yield NTR Index .SOLUBYNR DE000SL0AUB0
Solactive U.S. Bank Yield TR Index .SOLUBYTR DE000SLA5DW0


Rationale for Methodology Change

Solactive has determined that the current period of three Business Days between the Selection Day and the Rebalancing Day (Adjustment Day) of the affected indices is inadequate for investment managers to prepare trades for the tracking funds to reflect the Rebalance. Hence, the Rebalancing Day is being set ten Business Days after the Selection Day. The extended period should allow investment managers enough time to prepare trades to better reflect the rebalance. The change is reflected in the definition of the Adjustment Day in Section 4 of the index Guideline of the Affected Indices.

Changes to the Index Guideline

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

4. Definitions

From (old version):

“Adjustment Day” is three Business Days after the Selection Day.

To (new version):

“Adjustment Day” is ten Business Days after the Selection 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.