FAQs

• Daily Opening and Closing Index files which contain all constituents, weights, and aggregate index level details as well as
• Pro-Forma files.
• The proprietary Daily Corporate Action File (DCAF) is also sent on a daily basis.

These are the common file offerings  but this remains a non-exhaustive list.

For currency hedged indices, only opening and closing files are provided. DCAF files are not provided as currency hedged indices only consist of a subindex and FX which all do not have any corporate actions. Pro-Forma information is also embedded in the standard closing and opening files and not provided separately.

The Pro-Forma file forecasts the expected index composition, including future rebalancing’s as well as adjustments following a corporate action event in order to facilitate trading and risk management.  For equity indices the files normally reflect share impacting corporate actions which became effective between the selection/fixing day and the day of the generation of the files.

For the equity indices, If there is a multi-day rebalance, the Pro-Forma files (delivered before the 1^st day of the rebalance period) reflects the final target shares/weights of the rebalance. It does not reflect the weight/shares path of each day of the rebalance period.

Further, the Pro-Forma file does not reflect suspension treatment that are to be applied to the index on rebalance date.

For Fixed Income indices, the Pro-Forma files does not reflect the corporate actions between announcement and rebalance day.

Pro-Forma information for currency hedged indices is provided in the general closing and opening files from the selection date onwards. In column “Rebalancing Hedged Weight” you can find the new weights that are effective starting the next rebalancing date and in column “New Rebalancing Spot” the spot used in the calculation of the next rebalancing is displayed. The next rebalancing date can always be found in row 3 of the closing and opening files. The offset to selection day is available in the respective indexes’ guideline.

The Daily Corporate Action File (DCAF) is the primary source of information on upcoming corporate actions within indices. The DCAF, with its improved machine readability and expansion capacity, was designed to facilitate the automated consumption of corporate action information, enabling the timely and efficient integration of the growing volume and complexity of corporate action information. Solactive AG uses the DCAF to supply details on every part of an event and its corresponding treatment, allowing for clear definitions and descriptions of the upcoming events. A technical description of the file can be viewed at  https://www.solactive.com/documents/dcaf-description-file/

The default run for file delivery is the following:

DCAF                                                                                                                           – 19:30 pm CET / 13:30 pm EST Approximately
Opening/Closing Files                                                       – Between 23:15 pm – 00:25 am CET / 17:15 pm -18:25 pm EST
Pro-Forma Files (when applicable)   – Between 23:15 pm – 00:25 am CET / 17:15 pm -18:25 pm EST 

Pro-Forma files are delivered during the period between selection and rebalance days. The new composition and weighting are determined based on input data as of the selection day’s close of business (COB). Depending on the complexity of the selection process and involvement of third parties, it may take several days to perform the selection and subsequently provide the files. Generally, Pro-Forma files can be available starting as early as one day after the selection day and at the latest on the rebalance day. Between that the Pro-Forma delivery start day and rebalance day, the files are delivered on a daily basis.

Usually Solactive AG strives to select the index and provide the Pro-Forma files as early as possible after the selection day.

We have  four choices for file delivery:

1. Via SFTP delivery:
For SFTP delivery, we also have two options.
i.  By  accessing the Solactive FTP
ii. Allowing Solactive access to the clients FTP
2. Via Email delivery
3. We can do both: Deliver both via FTP and Email.
4. Delivery of files to a third party  

For Opening/Closing and Pro-Forma Files the following formats are commonly used:

*Where first date represents the day when the files are  generated, and the second date is the  rebalancing day COB

DCAF:
INDEX RIC_DCAF_YYYY-MM-DD.xls/csv

Intraday Pro-Forma Files
PRO-FORMA-INDEX RIC-SD-YYYY-MM-DD-RD-YYYY-MM-DD.xls (or .csv)

These are commonly used file name conventions, however, it is a non exhaustive list. 

The intraday Pro-Forma file is generated once, as soon as the selection is prepared and is usually included as an attachment in the announcement email. It reflects the future composition post-rebalance but does not incorporate adjustments for future corporate actions and prices. It uses prices as of the selection/fixing day for calculating index shares and only considers corporate actions occurring between the selection day and the file’s generation date.

Daily Pro-Forma files are automatically generated each day before a rebalancing at night CET time (from the day the results are made available until 1 day before the rebalance day COB). These files also reflect the anticipated index composition, considering day-to-day price changes as well as corporate action events effective on the day the files are generated.

The daily Pro-Forma files are created and delivered usually after the global markets close, between 11 pm and 1 am CET.

In case of an unexpected delay in the delivery of files, we inform the clients via their provided E-mail addresses, indicating that files are expected to be delivered later than the specified window to ensure accuracy. Once we have delivered the delayed files, Solactive AG will promptly follow up to inform clients that file distribution has been completed.

Solactive AG has developed a comprehensive Incident Management framework which covers the identification, resolution, communication and subsequent retrospectives and reviews linked to incidents which may occur in performance of day-to-day activities. This applies consistently across all clients and all activities.

The Incident Response Framework considers four main stages :

1. identification of a new incident
2. assessment of the difference between the broken and desired status,
3. correction of the incident
4. appointment of the resolved status

Incident Identification

An Incident may either be identified by Solactive AG, or in some exceptional cases by the user. In all cases, an initial communication will be provided to Index users by e-mail to inform that Solactive AG is aware of a potential incident, that it is being investigated, and that further feedback will be provided as soon as possible. The distribution lists are maintained and updated by the respective Solactive AG operational teams and will be used appropriately, depending on the nature of the incident and specific business activities affected.

Assessment

Once a potential incident has been identified, an Incident owner is appointed and will coordinate the Assessment. This may involve numerous technology and Index Management teams and will result in a clear understanding of the overall scope and impact of the incident. It will lead immediately to the Correction step

Correction

Correction of the incident is governed by an Action and Communication plan defined by the Incident Owner (and other stakeholders) and is coordinated through a dedicated internal communication channel. Corrective actions will be pursued and an escalation to Senior Management initiated if the incident has been classified with a certain severity level. Regular updates will be provided to Index users during the duration of the correction process. The impacted indices will be recalculated and corrected closing levels and files redistributed as required.

Resolution

On completion of corrective actions and return of the operational status to normal, a final “Resolved” communication will be provided to the Index users. Depending on the classification of the Incident, a retrospective review may be scheduled, to assess the root cause of the incident, and to assign further remediation steps to prevent such incidents from re-occurring. An Incident Report could be prepared and submitted to the Index users, providing a summary of the incident itself, detailed description of the Root cause and immediate corrective actions, along with an action plan (with deadlines) for further remedial actions to prevent re-occurrence.

Solactive AG strives to calculate its Indices with the greatest possible efforts to ensure their accuracy. Nevertheless, errors in the Index determination and calculation processes may occur from time to time. Errors that may arise will be handled according to Solactive AG’s Correction Policy (found here:  https://www.solactive.com/documents/correction-policy/ ).  If there is any incorrect information or variable affecting the incorrected calculation of the Index/Indices, Solactive AG will promptly notify all affected clients via their provided E-mail addresses, that firstly, we have identified the error and Solactive AG will rectify this error leading to the regeneration of all affected files received by the client. This will be followed up with a second E-mail to notify clients that the changes have been completed and the revised files will overwrite the previously incorrect files.

Solactive delivers a variety of informative E-Mail notifications including regular ECA (Extraordinary Corporate Action) announcements and advanced notifications for complex CA and ECA events plus notices informing clients of file delivery delays, intra-day ad hoc corporate action adjustments as well as correction of incorrect files. Solactive AG also uploads extraordinary corporate action treatments on the website via announcements. Lastly Solactive AG’s proprietary DCAF also serves to notify clients of relevant corporate action event information and its corresponding treatment.

A Solactive BMR-compliant index adheres to the European Union’s Benchmark Regulation (BMR), ensuring transparency, reliability, and proper governance in benchmark creation and usage. These indices meet stringent requirements, such as having robust methodologies, clear oversight, and documentation to mitigate manipulation risks. Solactive, as a benchmark administrator, ensures compliance with these regulations across its indices. This is essential for financial institutions using benchmarks for pricing or investment decisions in the EU.

The treatment of Corporate Actions is designed to aim at replicability, consistency, continuity and minimized turnover. Implementation is handled according to the:

Equity Index Methodology (Found here:  https://www.solactive.com/documents/equity-index-methodology/ ).
Bond Index Methodology (Found here:  https://www.solactive.com/documents/Bond-Index-Methodology/ ).

Furthermore, given the complexities involved in some cases, additional resources for Extraordinary Corporate Actions (ECAs) have been made available. Details for this framework can be found here:  https://www.solactive.com/documents/guidelines-for-extraordinary-corporate-actions/.

Solactive AG maintains a continuously updated  Withholding Tax Rate table that can be found here:  https://www.solactive.com/documents/withholding-tax-rates/.  Updates to this table will also be reflected in website announcements as they may occur.

The days in which the particular index level is calculated, also known as the calculation days (i.e. excluding any scheduled holidays or days on which trading has been disrupted for other reasons) is known for every index. For Solactive administered Indices, calculation days as well as the relevant exchange holidays followed by the particular index can be found in the dedicated index guideline.

The application of FX rates in closing calculations are handled according to the Equity Index Methodology (Found here:  https://www.solactive.com/documents/equity-index-methodology/ ) and  the Bond Index Methodology (Found here:  https://www.solactive.com/documents/Bond-Index-Methodology/ ) and  is subject to the established specifications of the individual Index Guideline. The closing prices of Index Components may be converted to the index currency using a fixing rate provided by WM/Refinitiv (the “WM/Refinitiv Rate”), either at 16:00 p.m. London time or 16:00 p.m. New York time as specified in the respective Index
Guideline.

The Direct Reinvestment Index Formula (Bond Default Index) reinvests the proceeds from Corporate Actions and coupons into the index on a daily basis. There is no cash component of the index. In contrast, the Periodic Reinvestment Index Formula (Bond Base Market Value Index) holds such proceeds in a Cash Component until the next Rebalance Day, reinvesting them proportionally to the weights of Index Components. This difference impacts how cash is managed and incorporated into the index performance.

A Price Return Bond Index reflects only the price performance of its bond components, excluding any income from coupon payments. It uses the Clean Price of bonds (excluding accrued interest). In contrast, a Total Return Bond Index incorporates both price performance and income from coupon payments. It uses the Dirty Price of bonds (including accrued interest) and tracks the overall return for an investor holding the bonds. A Net Total Return Bond Index, on the other hand, are calculated by applying the withholding tax.

Solactive provides several key analytics to help clients understand the characteristics and risks of the respective bond indices:

• Yield to Maturity (YTM): Represents the average yield investors can expect if all bonds in the index are held to maturity, accounting for coupon payments and price. Calculated as weighted average of each underlying.
• Average Macaulay Duration: It is the weighted average Macaulay Duration of each underlying bond. It reflects the weighted average time (in years) it takes to recover the bond cash flows for a unit yield shock, indicating the index’s interest rate sensitivity.
• Average Modified Duration: It is the weighted average Modified Duration of each underlying bond. It measures how much the index’s price changes in response to a 1% change in interest rates (all else constant), showing price sensitivity.
• Average DV01: It is the weighted average DV01 of each index component. DV01 represents the change in the index’s value for a 1 basis point (0.01%) change in interest rates, serving as a measure of interest rate risk.
• Average Term: The weighted average remaining maturity of bonds in the index, reflecting the time until repayment.
• Average Convexity: It is the weighted average Convexity of each underlying bond. Shows the degree of curvature in the price-yield relationship of the index, capturing how price sensitivity (duration) changes as interest rates move.

These analytics provide comprehensive insights into yield, interest rate sensitivity, maturity, and risk characteristics.

General documentation regarding asset class methodology and operational policies can be found in the following location  https://www.solactive.com/documents/  together with various other resources. For Solactive administered Indices, Index specific resources are also made available on  https://www.solactive.com/  using the search query, here you can find Index level data, identifiers and constituents as well as the finer details of the index itself such as its description, guidelines and factsheet.

In addition to the respective indexes’ guideline, you can find this information in our general currency hedged methodology here:  https://www.solactive.com/documents/currency-hedged-general-methodology/ 

Equity Core
Equity Core is responsible for the daily calculation and dissemination of Equity Indices, including related operational files and consistent constituent pricing. The team is also responsible for the screening, identification, verification, and implementation of all corporate actions, ensuring the application of corporate action adjustments are executed in line with the Equity Index Methodology. Equity Core is a key contact for the resolutions of various client queries ranging from Index level calculations and file delivery to applied treatment of corporate actions. The team’s presence in Hong Kong, Frankfurt, and Toronto ensures an adequate support infrastructure is available to our clients during the operating hours of global markets.

Complex
Complex Index Management is responsible for all none-delta one indices as well as multi-asset and derivative based indices. Within this scope, the team is responsible for all aspects of the index production cycle, including daily operations, rebalances as well as set-up of new products. The team is currently based in Hong Kong, Frankfurt, and Toronto.

Equity Rebalance
The equity rebalance  department  is part of the index management team, responsible for maintaining the rebalances of Solactive-administrated equity indices or indices where Solactive is the responsible selection party. This involves, aside from ensuring a smooth index adjustment, performing selections, calculating weights on a predefined schedule, and making the results publicly available. The team is responsible for the content of the Pro-Forma and T+ files.

Client Index Solutions
Our Client Index Solutions (CIS) team specializes in setting up and the management of   equity indices and custom baskets, allowing for the facilitation and execution of client-driven rebalancing  instructions.

Fixed Income
The Fixed Income Index Management team is responsible for rebalancing and maintaining the Solactive-owned or administrated Fixed Income indices. During the rebalancing period, the team ensures that the indices are adjusted adhering to the respective index’s guidelines and all the necessary files are generated and shared in a timely manner. Once the indices are adjusted, the team administers various price sources and incorporates respective corporate actions. It is the team’s responsibility to initiate index rollbacks and inform clients accordingly if any inconsistency in data is observed. Fixed income index management team also serves as a point of contact for client queries regarding index calculations, file delivery or any general query related to Solactive’s Fixed Income indices. The team is currently based in Frankfurt and Toronto.

For all equity index queries apart from rebalance and selection, initial contact and communication may be sent to Equity Core via an e-mail to the  equity.ops@solactive.com  mailbox,

If escalation is required, the respective telephone numbers below can be used:

• Frankfurt IM Equity Core Team Desk (09:00 CET to 18:00 CET):                         +49 69 719 160 410
• Toronto IM Equity Core Team Desk (18:00 CET to 01:00 CET):                                  +1 647 946 23 80
• Hong Kong IM Equity Core Team Desk (01:00 CET to 09:00 CET):                    +852 39 05 31 01

For all queries  related to  complex indices,  please contact complex.ops@solactive.com.

If escalation is required, the respective telephone numbers below can be used:

• Frankfurt IM Complex Team Desk (09:00 CET to 17:30 CET): +49 69 719 160 480
• Toronto IM Complex Team Desk (17:30 CET to 00:30 CET): +1 647 946 23 80

For all queries involving  rebalancing and selection  of Solactive-administrated  equity indices , you are welcome to reach out to the Equity Rebalance Team via e-mail to the following address:  equity.ops.rebalance@solactive.com

For all queries regarding the setting up and maintenance of custom baskets, please reach out to our Client Index Solutions team  via e-mail to the following address: client.index.solutions@solactive.com

For all queries related to fixed income indices, please contact fixedincome.ops@solactive.com.

If escalation is required, the respective telephone numbers below can be used:

• Frankfurt Fixed Income Operations (09:00 CET to 18:00 CET): +49 (69) 719 160 379
• Toronto Fixed Income Operations (18:00 CET to 01:00 CET): +1 (647) 946 23 80