Methodology Change | Solactive US Treasury Yield Curve Steepener 2-5 vs 10-30 Index | Effective Date 15/11/2023

Today, on 06/11/2023, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):

Rationale for Methodology Change

Solactive has determined that the rebalancing on the First Notice Day of the underlying futures was not up to market standard and also due to much lower volume on the exchange made replication of the index much harder then needed. Solactive determined that moving the rebalancing day to three business days before the first notice day would be more in line with market standards.

Changes to the Index Guideline

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

3            DEFINITIONS

From (old version):

 “Rebalancing Day” is the last Business Day in the month February, May, August and November.

 […]

“Current k year US Treasury Bond Future Contract” means the future contract with the earliest First Notice Day equal or greater than the current Business Day.

“Next k year US Treasury Bond Future Contract” means the future contract with the earliest First Notice Day equal or greater than the First Notice Day of the Current future contract.

To (new version):

“Rebalancing Day” is the fourth last Business Day in the month February, May, August and November given that day is not a half-trading day for the futures on the exchange, otherwise the first Business Day immediately preceding the fourth last Business Day which is not a half-trading day.

[…]

“Current k year US Treasury Bond Future Contract” means the future contract with the earliest First Notice Day equal or greater than the current Business Day except for the period of Business Days between the Rebalancing Day and the end of the corresponding month where the definition references the future contract with the earliest first notice day greater than the current month .

“Next k year US Treasury Bond Future Contract” means the future contract with the earliest First Notice Day greater than the First Notice Day of the Current future contract.

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.