Methodology change | SOLACTIVE 10-YEAR U.S. TREASURY FUTURE INDEX | Effective Date 28 June 2023

Today, on the 14th of June 2023, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):

Rationale for methodology change

The  Index performs its quarterly bond futures roll on 1st notice date each quarter, rather than prior to that date.

Any holder of a futures contract is eligible to be assigned physical delivery of the underlying bond if they still hold that contract on 1st notice date, and as a bi-product of that, liquidity thins from that date onwards to expiry.

In order to avoid a physical delivery for the index replicating parties, Solactive is considering to move the rebalancing date, on which the underlying contract is rolled, to the third business day immediately preceding the first notice day.

Changes to the Index Guideline

The wording in Section 2.1 of the index guideline is replaced by the following wording:

“At any given time, the index consist of a single 10-Year US Treasury futures with the nearest Expiry date, except for the period between rebalancing day and nearest expiry, where the Current Future Contract is replaced by the Future Contract with the 2nd nearest Expiry Date.”

The definition of “Rebalancing Day” in Section 4.0 of the index guideline is replaced by the following wording:

““Rebalancing day” – TRB(t) is the third business day immediately preceding the first notice day. For more information pertaining to the product calendar, please refer to the CME Group Website at www.cmegroup.com/trading/calendar.

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.