Solactive Canadian Fixed Income Indices | Partial non-application of selection criteria in the April 2020 Rebalance

Solactive published a Market Consultation on 20 April 2020 to invite stakeholders, index users and interested third parties to give feedback and share their view on the question of whether the rebalancing of Solactive Fixed Income Indices focusing on the Canadian bond market due on 30 April 2020 should proceed as regular or with a partial non-application of the selection criteria ‘Effective time to maturity of not less than 12 months’. The Market Consultation concluded on 21 April 2020. The Market Consultation was triggered by the observation of a continued effect of the coronavirus crisis on the current market conditions in the Canadian bond market and in particular constraints on liquidity. The majority of respondents were supportive of a partial non-application of the selection criteria of the April 2020 rebalance as a response to the current market environment. These views were mainly based on lowering the turnover due to the impaired tradability of bonds and the associated higher transaction costs.

In light of the current Canadian market conditions and the feedback received on the Market Consultation, Solactive has decided not to apply the selection criteria ‘Effective time to maturity of not less than 12 months’ for existing index components in the selection process for the April 2020 rebalance of the Solactive indices listed in the table below (the ‘Affected Indices’):

For the avoidance of doubt: Bonds that are selected for inclusion in the Affected Indices have to meet the selection criteria as specified in the respective index guideline of the Affected Indices.

Solactive would like to point out that the partial non-application of the selection criteria is a one-off and extraordinary measure to react to the current unexpected and extreme market conditions. No precautionary effect for measures to be taken in future comparable situations can be derived from this