Guideline Change for Several Solactive Single Stock Adjusted Return Indices | Effective Date 02/02/2024

Today, on January 2^nd 2024, Solactive announces the following changes to the methodology of the following Indices (the “Affected Indices”):

Rationale for Methodology Change

Solactive has determined that the above list of Single Stock Adjusted Return Indices would benefit from a modification of the return adjustment mechanism, namely a switch from a daily to monthly deduction of the decrement points. Indeed, a great number of Canadian stocks are paying monthly and quarterly dividends. Offering a new deduction frequency will allow for a better representation of the dividend policy of the underlying of these single stock adjusted return indices. The introduction of the monthly deduction frequency will also be beneficial to the Canadian investors, allowing for a greater diversity of indices available to them.

Changes to the Index Guideline

The following Methodology changes will be implemented in the following points of the Index Guideline:

• Appendix 1. is amended to add a column named “Adjustment type” that will define the frequency (i.e. daily or monthly) and the type (i.e. points or percentage) of the deduction.
• Section 4.1 is amended as per the below to incorporate the definition of daily, monthly, points and percentage formulas:

OLD
Each Index is calculated on an adjusted return basis according to the following formula:

Point Decrement:

Percentage Decrement:

Each Index is calculated on an adjusted return basis according to the following formula:

if “Adjustment” = Daily, Points in the table in Appendix I:

if “Adjustment” = Monthly, Points in the table in Appendix I:

If t is not the last Calculation Day of the month

If t is the last Calculation Day of the month