Announcement | Solactive Equity Index Methodology Update | Effective Date: 5 June 2024

Solactive AG has reviewed the Equity Index Methodology Guideline and enhanced the treatment defined in section 2.1 Corporate Actions. The updated Solactive Equity Index Methodology becomes effective with its publication on the Solactive website on 5 June 2024.

Currently, for an Acquisition, on removal date –1, the index calculation will use the last exchange traded price of the target instrument to calculate the component weight, even if the target company of the acquisition event is delisted or is no longer active; with the updated treatment, the valuation of the non-active Instrument could be switched to represent the DEAL TERMS of the acquisition, allowing for better valuation of the index and improved replicability. If at the time of the announcement by Solactive of the Index treatment, it is known that the target will not be tradable one trading day before the implementation date, the index closing calculations will be updated to represent the value of the event deal terms and not the previous close price. The minimum two-day notice period would be retained.  

Changes to the Methodology.  

2.1.7.2 Timing of Adjustment 

The Index adjustment will be announced with a notice period of at least two Business Days, i.e., the Index adjustment will become effective on the opening of the third Business Day following the announcement (= the effective date) at the earliest. The instrument will reflect the last traded price until the stated effective date even if the market event has already occurred unless it is known at the time of the announcement that the target company will cease trading before the effective date, and there has been no active trading on the calculation day, the closing calculation and reinvestment amounts will reflect the value of the Deal Terms of the transaction.  

2.1.11 Notice Period for Corporate Action Adjustments 

In the case of ad-hoc situations, the Index adjustment will also be applied with a notice period of at least two Business Days, i.e. the Index adjustment will become effective on the opening of the third Business Day following the announcement (= the effective date). The instrument’s closing value will reflect the value of the transaction’s Deal Terms. 

3. TERMS AND DEFINITIONS

Definition of Deal Terms: ‘Deal Terms’ mean the value of the explicitly defined Cash Terms, Stock Terms (Number of new shares of the Acquiring Company * Closing Price of the Acquiring company), or ‘Cash and Stock Terms, to be received per share of the target company converted to the currency of the target instrument.

The equivalent wording will also be updated for the GUIDELINE FOR EXTRAORDINARY CORPORATE ACTIONS document; sections 3.2 and 8. 

https://www.solactive.com/wp-content/uploads/2024/06/Equity-Index-Methodology-_v.1.16_05June24.pdf