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Methodology change | Solactive USD China Corporate High Yield Bond Index

Today, on the 3rd May 2019, Solactive announces the following changes to the methodology of Solactive USD China Corporate High Yield Bond Index (ISIN: DE000SLA4AU3).

Rationale for methodology change

Solactive has determined that the current setup of the Solactive USD China Corporate High Yield Bond Index may lead to unnecessary turnover of the index components due to constant changes of the bond with the highest yield to maturity per issuer. Hence, the 10% buffer that restricts the replacement of the current index components by the other eligible bonds has been introduced. Furthermore, the rebalancing frequency has been changed from the quarterly rebalancing to the semi-annual rebalancing. The change is reflected in the definition of the Adjustment Day.

Changes to the Index Guideline

  1. The word “quarterly” has been replaced by “semi-annual” in the section 1 and in the section 2.
  2. The subsection l of the section 4.1 is amended from:

 

  1. Per issuer, from the pool of eligible instruments, the instrument with the highest Yield to Maturity (YTM) is selected. Should two or more instruments of the same issuer have the same YTM, the one with the highest amount outstanding is selected.

to:

“l. Per issuer, from the pool of eligible instruments, the instrument with the highest Yield to Maturity (YTM) is selected, given that its YTM is higher than 110% of the YTM of the current index component. Otherwise the current index component is selected. Should two or more instruments of the same issuer have the same YTM, the one with the highest amount outstanding is selected.”

 

  1. The definition “Adjustment Day” in section 4.2 is amended from:

“Adjustment Day” is the last Business Day of March, June, September, and December.

to:

“Adjustment Day” is the last Business Day of June and December.