Solactive Fixed Income Indices | Postponement March 2020 Rebalance

As a result of the coronavirus crisis, extreme market conditions and in particular a drastic decline in liquidity in the bond markets can be observed.

Solactive published a Market Consultation on 20 March 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 due on 31 March 2020 should proceed as scheduled or should be postponed. The Market Consultation concluded on 23 March 2020. The majority of respondents were supportive of a postponement of the March rebalance as a response to the current market environment, or expressed the view that the specific market conditions would make the implementation of a rebalance considerably more difficult and costly. These views were mainly based on the impaired tradability of bonds and the associated higher transaction costs. There were also concerns as to whether the current prices for bonds actually can be considered as “fair”.

In light of the current market conditions and the feedback received on the Market Consultation, Solactive has decided to postpone the 31 March 2020 rebalance of most Solactive Fixed Income Indices. A list of the Solactive indices affected by this decision can be found in the document below.

Solactive Fixed Income Indices that rebalance on a monthly basis will rebalance again on 30 April 2020. Solactive Fixed Income Indices that rebalance on a quarterly basis are planned to rebalance on 30 April 2020 and after that return to the scheduled rebalance cycle. The dates for the next rebalance are based on the assumption that market conditions will have normalised by then. Solactive will monitor the markets closely and implement further measures if necessary.

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