Methodology change | Solactive Canadian Bank Mean Reversion Index| Effective Date 22 October 2021

Today, on the 20th of October 2021, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):

Rationale for methodology change

The introduction of a 4 day rebalance averaging will help manage the trade for rebalance over longer horizon in turn reducing slippage. Furthermore, the index will move away from monthly rebalancing to quarterly rebalancing which will help in reducing turn over for the products linked to the affected Indices. With the switch to quarterly rebalancing there is concurrent change in moving average parameter which determines underweight/overweight allocation for securities to 200 day moving average (instead of 50 day moving average). The Rebalance Day has been moved to 4th last eligible rebalance day of the month to accommodate the multi day rebalance and comply with reporting requirements of ETFs linked to the affected Indices to ensure that effective open of the new composition aligns with start of the new month.

Changes to the Index Guideline

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

Section 2.3: WEIGHTING OF THE INDEX COMPONENTS

From (old version):

On each Selection Day each Index Component is assigned a moving average approach as described below:

1. Calculate the percentage difference between the Index Component’s Closing Price and its 50-trading-day average Closing Price on a Selection Day.
2. The three Index Components with the lowest percentage difference between their Closing Price on a Selection Day and their 50-trading-day average Closing Price will be weighted at 80% divided by 3 each.
3. The three Index Components with the highest percentage difference between the Closing Price on a Selection Day and their 50-trading-day average Closing Price will be weighted at 20% divided by 3 each.

To (new version):

On each Selection Day each Index Component is assigned a moving average approach as described below:

1. Calculate the percentage difference between the Index Component’s Closing Price and its 200-trading-day average Closing Price on a Selection Day.
2. The three Index Components with the lowest percentage difference between their Closing Price on a Selection Day and their 200-trading-day average Closing Price will be weighted at 80% divided by 3 each.
3. The three Index Components with the highest percentage difference between the Closing Price on a Selection Day and their 200-trading-day average Closing Price will be weighted at 20% divided by 3 each.

Section 6: DEFINITIONS

Rebalance Day

From (old version):

“Rebalance Day” is the last Eligible Rebalancing Day of each month.

To (new version):

“Rebalance Day” is the 4^th  last Eligible Rebalancing Day of the months of January/April/July/October and lasts for 4 eligible Rebalancing Days

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.