Methodology Change | Solactive European Inflation-Linked Companies Index | Effective Date 19/04/2023

Today, on 05/04/2023, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):

Rationale for  Methodology  Change

Solactive AG has decided to make data vendor changes for specific data points. Therefore adjustments in the determination of the inflation rate data point in the Solactive European Inflation-Linked Companies Index Family are necessary.

Changes to the Index Guideline

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

2.1 SELECTION OF THE INDEX COMPONENTS

From (old version):

The initial composition of the Index as well as any ongoing adjustment is based on the following rules:

On the Selection Days, Solactive AG defines the Index Universe as defined in Section 4. of this document. The selection of the final Index Constituents is carried out based on the following rules:
[…]

3. For each Industry the correlation between return series as described in 2. and the daily return series of the Euro 5Y5Y Forward Inflation over the same three-year period is calculated.

[…]

To (new version):

The initial composition of the Index as well as any ongoing adjustment is based on the following rules:

On the Selection Days, Solactive AG defines the Index Universe as defined in Section 4. of this document. The selection of the final Index Constituents is carried out based on the following rules:

[…]

3. For each Industry the correlation between return series as described in 2. and the daily return series of the Inflation Swap HICP 10Y over the same three-year period is calculated.
[…]

4 DEFINITIONS

From (old version):

“Euro 5Y5Y Forward Inflation” is the middle rate of the Euro 5 Year By 5 Year Forward Inflation Linked Swap as sourced from Thomson Reuters under the RIC [EUIL5Y5Y=R].

To (new version):

“Inflation Swap HICP 10Y” is the 10 Year Forward Inflation Linked Swap to the HICP Consumer Price Index