Methodology Change | Solactive Energy Transition Commodity ER Index | Effective Date 31/07/2024
Today, on the 19/07/2024, Solactive announces the following changes to the methodology of the following index (the ‘Affected Index’):
|
NAME |
RIC |
ISIN |
|
Solactive Energy Transition Commodity ER Index |
. SOLENTCE |
DE000SL0LG11 |
Rationale for Methodology Change
The Solactive Energy Transition Commodity Index aims to provide an exposure to a diversified basket of commodities relevant to energy transition with a high level of overall liquidity. Solactive has determined that the proposed changes will enable to capture more accurately the market capacity of each futures contract and will help smoothen the mono indices weight from a rebalancing to another.
Changes to the Index Guideline
The following Methodology changes will be implemented in the following points of the Index Guideline (ordered in accordance with the numbering of the affected sections):
- Section 2.1.: Replacing the mono index for Cobalt from MLCI2CVE to MLCIQCVE effective from selection day 31 July 2024. As Cobalt is traded in block trades across its futures contracts, measuring the liquidity of the 3 Cobalt futures contracts with the nearest expirations can support a more accurate measure of its liquidity. As such we proposed to replace MLCI2CVE (a mono index comprising only the futures contract with the nearest expirations) with MLCIQCVE (a mono index comprising of the 3 futures contracts with the nearest expirations).
- Section 3.3.: The formula to calculate the market capacity changed to first capture the Daily Volume over 126 business days instead of 21 business days which will support more smoothness in the final weights calculation and second to handle the case of Lithium and Cobalt which are invested in 3 futures contracts instead of one and thus capturing more accurately the liquidity of these commodities.
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.