Announcement Methodology Change | Solactive Kepler Cheuvreux Europe Green Transition Indices | Effective Date 28/01/2021

Today, on the 21/01/2020, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):

Rationale for Methodology Change

Solactive has determined that the current rules for extraordinary rebalances of the Affected Indices, listed in section 3.2 of the Index Guideline, do not capture all relevant occasions for which an extraordinary rebalancing needs to happen. In addition to increasing the cash position in the detailed circumstances in section 3.2 of the Index Guideline, an extraordinary rebalancing to decrease the cash position needs to be possible as well when the detailed circumstances reverse again. The change in the methodology will reflect this necessity.

Changes to the Index Guideline

The wording in section 3.2 of the Index Guideline will be changed.

From (old version):

 “[….]

The Selection Party also reserves the right, under exceptional circumstances, to reduce the equity exposure of the Index with cash (EUR) if it deems that the equity market is facing a risk of dislocation. This judgment will be based on changes in market volatility (level of the one week moving average of the VIX index above 30% and rising). Cash position will range from 0% to a maximum of 50%.”

To (new version):

“[…]

The Selection Party also reserves the right, under exceptional circumstances, to reduce the equity exposure of the Index with cash (EUR) if it deems that the equity market is facing a risk of dislocation. This judgment will be based on changes in market volatility (level of the one week moving average of the VIX index above 30% and rising). In turn, if the Selection Party deems that the risk of dislocation with regard to the equity market has vanished (level of the one week moving average of the VIX decreasing or stabilizing), the Selection Party reserves the right under exceptional circumstances to increase the equity exposure. Cash position will range from 0% to a maximum of 50%.”

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.