Methodology change | Solactive Equileap Global Gender Equality 100 Leaders Index | Effective Date 5 September 2022

Today, on the 23rd of August 2022, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):

Rationale for the Market Consultation

The Index provides exposure to companies which have demonstrated a commitment to gender diversity as part of their corporate responsibility strategy. Given the gender equality theme is part of the Governance pillar of the ESG score, which is already strong in this Index, a stricter controversial activity screening will strengthen its sustainability profile. This makes this Index a better alternative for clients targeting comprehensive ESG products.

Additionally, in order to ensure that transaction costs remain manageable and to reduce the operational pressure on both the index provider performing the selection as well as clients having to act on the selection results, Solactive will apply the following technical changes as well:

• Limiting the direct index one-way turnover on each annual rebalancing to 20%
• Preponement of the Selection and Review Day to 15 Calculation Days before the Rebalance Day.
• The Fixing Day will remain 10 Calculation Days before the Rebalance Day

Changes to the Index Guideline

The following Methodology changes are proposed in the following points of the Index Guideline: (ordered in accordance with the numbering of the affected sections):

Section 2.2 Selection of the Index Components

From the old version:

[…]

1. All securities are then screened for involvement in the certain controversial activities as provided by the ESG Data Provider:
   1. Coal extraction and power generation: exclude companies which derive more than 50% of their revenue.
   2. Controversial Businesses: exclude companies which have more than 50% revenue exposure to Gambling, Tobacco Products or Weapon Industry (both Military and Controversial Weapons).
      1. Controversial Weapons includes companies with any exposure to Anti-personnel mines, Biological and Chemical Weapons, Cluster Munitions, Depleted Uranium as well as Nuclear Weapons.
   3. Norms Based Research: exclude companies with verified infringement of established international initiatives and guidelines (such as UN Principles and OECD Guidelines).

[…]

First, the top 30 US listed shares are included in the index, regardless of Gender Score. Then the next highest scoring US stocks will be added, but only if they have a score of at least 14, up to maximum 50 US stocks in total. Lastly the highest scoring companies from the rest of the world will be added to total 100 stocks in the composition, ensuring that no country is represented by more than 10 securities.

[…]

To the new version:

[…]

1. All securities are then screened for involvement in the certain controversial activities as provided by the ESG Data Provider:
   1. Fossil Fuel Involvement: exclude companies which derive more than 5% of their revenue from Coal Mining and Power Generation, Hydraulic Fracturing, Oil & Sands as well as any involvement in Deep Water Drilling.
   2. Nuclear Energy: exclude companies which derive more than 10% of their revenues from production, distribution or supports of products related to Nuclear Energy
   3. Controversial Businesses: exclude companies which have more than 5% revenue exposure to Adult Entertainment, Alcoholic Beverages, Gamblingand Tobacco Products.
   4. Military Equipment: exclude companies with more than 10% revenue exposure to Military Equipment (incl. weapons, significant ownership in weapons, weapon related products and/or services, significant ownership in weapon related products and/or services, non-weapon related products and/or services and significant ownership in non-weapon related products and/or services (sum of all these activities should be <10% / significant ownership <10%).
   5. Controversial Weapons: exclude companies with any exposure to Anti-personnel mines, Biological and Chemical Weapons, Cluster Munitions, Depleted Uranium as well as Nuclear Weapons.
   6. Norms Based Research: exclude companies with verified infringement of established international initiatives and guidelines (such as UN Principles and OECD Guidelines).

[…]

First, the top 30 US listed shares are included in the index, regardless of Gender Score. Then the next highest scoring US stocks will be added, but only if they have a score of at least 14, up to maximum 50 US stocks in total. Lastly the highest scoring companies from the rest of the world will be added to total 100 stocks in the composition, ensuring that no country is represented by more than 10 securities.

At the same time, a turnover cap of 20% is applied separately to the US and non US section of the index.

[…]

Section 6. Definitions

From the old version:

“Review Day” is 10 Calculation Days before the Rebalance Day in March, June and December.

“Selection Day” is 10 Calculation Days before the Rebalance Day in September.

To the new version:

“Fixing Day” is the 10 Calculation days before the Rebalance Day.

“Review Day” is 15 Calculation Days before the Rebalance Day in March, June and December.

“Selection Day” is 15 Calculation Days before the Rebalance Day in September.

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.