Methodology Change | Solactive OFI Energy Strategic Metals Index| Effective Date 29/09/2022

Today, on the 14/09/2022, Solactive announces the following changes to the methodology of the following index (the ‘Affected Index’):

Rationale for Methodology Change

Recent developments in the commodity markets have had a significant impact on the continued replicability and tradability of the Affected Index, in Solactive’s view. In particular, the significant increase in volatility has had a negative impact. Against this background and in order to maintain the replicability and tradability of the Affected Index, Solactive has decided to adjust the index methodology.

Changes to the Index Guideline

The methodology changes are summarized below and concern the following:

• The Affected Index shall rebalance over a period of 10 Calculation Day days instead of (currently) one Calculation D
• The Index Components are represented by commodity futures. The Lead Future will be rolled into the Next future over a period of 10 Calculation Days instead of (currently) a period of 5 Calculation Days,
• An “unscheduled rebalancing” is introduced and is conducted if the effective weight of any Index Component exceeds 20%.
• The Contract Units for an Index Component on a Calculation Day _t shall be based on the Closing Price of the respective Index Component on the Calculation Day _t-1 instead of (currently) where the calculation is based on the Closing Price of the respective Index Component on the Calculation Day _t.
• If a market disruption event occurs with respect to one or more Index Components during a rebalancing, all Index Components not affected by such market disruption event will rebalance as specified in the Index Guideline.

In order to implement the methodology changes outlined above the Index Guideline will be amended as follows (ordered in accordance with the numbering of the affected sections):

1. Section 2.3 is supplemented (addition in bold letters):

“On each Selection Day, the Selection Party communicates to the Index Administrator the weighting for each Index Component. The Index is then adjusted over the Rebalance Period.

Solactive will publish any changes made to the Index Components with sufficient notice before the Rebalance Date on the Solactive webpage under the section “Announcement”, which is available at https://www.solactive.com/news/announcements/ .

An Unscheduled Rebalancing is triggered if the Daily Tracking Weight of any Index Component is larger than the Daily Tracking Weight Threshold.

If Unscheduled Rebalancing an has been triggered less than 10 Calculation Days before a scheduled Rebalancing, the scheduled Rebalancing will not be performed.”

2. In Section 3.2, the formula for the calculation of the USD Index Level is replaced by:

3. In Section 3.3, the calculation of the index units is replaced by:

“New index units are determined for each Calculation Day within the Rebalancing Period  (where i = 1, … ,10).

These units are derived from the respective weights as defined in Section 3.4

If Calculation Day t falls within a Rebalancing Period:

where:

: The weight of Index Component as of the i-th Calculation Day in the Rebalancing Period”

4. Section 3.4 is replaced by:

“The Weight Allocation on Calculation Day t for an Index Component i is calculated in accordance with the following formula:

 corresponds to the weight Allocation of Index Component i as of the latest Selection Day preceding the Rebalance Date as defined by the Advisory Committee as per Section 2. The initial Weight Allocations are outlined in Section 6.1.

On the first Calculation Day of the Rebalancing Period, the weight Allocation of Index Component i and the Daily tracking Weight of each Index component are used to determine the weighting path.

On each Calculation Day within the Rebalancing Period, one tenth of the difference between the weight Allocation of Index Component i and the Daily tracking Weight is rebalanced:

Therefore, on the last Calculation Day within the Rebalancing Period, each Index Component will be assigned its weight as defined by the Advisory Committee”

5. A new Section 3.5 (Determination of tracking weights) is added and the following sub-sections in section 3 are renumbered accordingly:

“On each Calculation Day t, the Daily Tracking Weight of each Index Component is calculated according to the following formula:

If the Daily Tracking Weight of any Index Component exceeds the Daily Tracking Weight Threshold, an Unscheduled Rebalancing is triggered. The Rebalance Period associated with the Unscheduled Rebalancing will start on the Calculation Day immediately following the Calculation Day where the Daily Tracking Weight of any Index Component exceeded the Daily Tracking Weight Threshold

An Unscheduled Rebalancing will not occur if Calculation Day t is within a pre-existing Rebalancing Period”

6. Section 3.10 (former 3.9) is amended:

“A Market Disruption Event is deemed to have occurred on a Calculation Day t related to an Index Component i if:

• no settlement price for the respective Index Component is published by the Exchange for such Calculation Day _t , or
• a limit event (as defined by the respective Exchange) has been imposed by the respective Exchange by reason of movements exceeding limit up or limit down levels permitted by such Exchange for such Calculation Day _t.”

7. A new section 3.11 is added to specify the treatment in case of the occurrence of a market disruption event during a rebalancing:

“If a Market Disruption Event is deemed to have occurred during the Rebalancing Period, the Index will rebalance all Index Components for which no Market Disruption Event is deemed to have occurred and delay the rebalance for any Index Components for which a Market Disruption Event is deemed to have occurred until the first day after the Index Components Disruption Period.

The units for each Index Component will use the non-tradeable level of the Index and will not be recalculated.

On each Calculation Day where a Market Disruption Event is deemed to have occurred, a non-tradeable level of the Index will be published.

On the first Calculation Day after the Disruption Period (i.e., the first Calculation Day where no Market Disruption Event is deemed to have occurred), an adjusted USD Index Level (with USD Index Level as defined in Section 3.2) and consequently an adjusted Index Level (with Index Level as defined in Section 3.1) will be calculated for each Calculation Day within the Disruption Period.

This adjusted USD Index Level will be using the level of  (as defined in Section 3.3, with i being the disrupted Index Component) as of the first Calculation Day after the Disruption Period.”

8. In Section 5, the following definitions are added:

“Daily Tracking Weight Threshold” is 20%.

“Disruption Period” is the period of consecutive Calculation Days where a Market Disruption Event is deemed to have occurred.

“Market Disruption Event” shall have the meaning as defined in Section 3.10

A “Rebalance Period” is the period of 10 Calculation Days starting on the last Calculation Day of each quarter

A “Roll End Date” is the fourteenth Calculation Day of any month.

“Unscheduled Rebalancing” is a rebalancing which is trigged if the Daily Tracking Weight of any Index Component is exceeding the Daily Tracking Weight Threshold

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.