Methodology Change | Solactive J.P. Morgan Asset Management China Carbon Transition Index | Effective Date 08/01/2024

Today, on the 04/01/2024, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):

Rationale for Methodology Change

Solactive has determined that due to an large number of mid cap additions to the indices it is necessary to adjust the inflation factor for the target WACI calculations. Without this adjustment the target WACI of the indices will increase by roughly 18% compared to the historical WACI figures. With the adjustment of the inflation factor the target WACI figure is stricter again and in line with historical values. The adjustment factor for the inflation factor is calculated in a way that we eliminate the one time effect introduced by the large number of mid cap additions to the index.

Changes to the Index Guideline

The following Methodology changes will be implemented in the following points of the Index Guideline (ordered in accordance with the numbering of the affected sections):

6. Definitions

Target WACI=min⁡(1-30%* WACI_(Index Universe), WACI_(B, launch)*((1-7%)^(q/4)/Inf)+buffer

𝑤ℎ𝑒𝑟𝑒:

WACI_(B, launch)= WACI_(Investable Universe, Inception )∗ (1 − 30%)
𝑞 = 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑞𝑢𝑎𝑟𝑡𝑒𝑟𝑙𝑦 𝑟𝑒𝑏𝑎𝑙𝑎𝑛𝑐𝑒𝑠 𝑠𝑖𝑛𝑐𝑒 𝑡ℎ𝑒 𝐼𝑛𝑑𝑒𝑥 𝑖𝑛𝑐𝑒𝑝𝑡𝑖𝑜𝑛 𝑑𝑎𝑡𝑒
𝐼𝑛𝑓 = 𝑖𝑠 𝑡ℎ𝑒 𝑏𝑒𝑛𝑐ℎ𝑚𝑎𝑟𝑘 𝑖𝑛𝑓𝑙𝑎𝑡𝑖𝑜𝑛 𝑜𝑓 𝑎𝑣𝑒𝑟𝑎𝑔𝑒 𝐸𝑉𝐼𝐶 𝑠𝑖𝑛𝑐𝑒 𝑡ℎ𝑒 𝑖𝑛𝑑𝑒𝑥 𝑖𝑛𝑐𝑒𝑝𝑡𝑖𝑜𝑛. 𝑇ℎ𝑖𝑠 𝑎𝑐𝑐𝑜𝑢𝑛𝑡𝑠 𝑓𝑜𝑟 𝑐ℎ𝑎𝑛𝑔𝑒𝑠 𝑖𝑛 𝐸𝑉𝐼𝐶 𝑜𝑓 𝑡ℎ𝑒 𝑒𝑛𝑡𝑖𝑟𝑒 𝐼𝑛𝑑𝑒𝑥 𝑈𝑛𝑖𝑣𝑒𝑟𝑠𝑒
Inf=is the benchmark inflation of average EVIC since the index inception.
This accounts for changes in EVIC of the entire Index Universe
Inf=EVIC_(Index Universe, t)/EVIC_(Index Universe, inception)
EVIC_(Index Universe, t)=(∑EVIC_(i, t) )/n_t
EVIC_(Index Universe, inception)=(∑EVIC_(i, index inception) )/n_(index inception)

To:

Target WACI=min⁡(1-30%*WACI_(Index Universe),WACI_(B, launch)*((1-7%)^(q/4)/Inf)+buffer

𝑤ℎ𝑒𝑟𝑒:

WACI_(B, launch)= WACI_(Investable Universe, inception)∗ (1 − 30%)

 𝑞 = 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑞𝑢𝑎𝑟𝑡𝑒𝑟𝑙𝑦 𝑟𝑒𝑏𝑎𝑙𝑎𝑛𝑐𝑒𝑠 𝑠𝑖𝑛𝑐𝑒 𝑡ℎ𝑒 𝐼𝑛𝑑𝑒𝑥 𝑖𝑛𝑐𝑒𝑝𝑡𝑖𝑜𝑛 𝑑𝑎𝑡𝑒

𝐼𝑛𝑓 = 𝑖𝑠 𝑡ℎ𝑒 𝑏𝑒𝑛𝑐ℎ𝑚𝑎𝑟𝑘 𝑖𝑛𝑓𝑙𝑎𝑡𝑖𝑜𝑛 𝑜𝑓 𝑎𝑣𝑒𝑟𝑎𝑔𝑒 𝐸𝑉𝐼𝐶 𝑠𝑖𝑛𝑐𝑒 𝑡ℎ𝑒 𝑖𝑛𝑑𝑒𝑥 𝑖𝑛𝑐𝑒𝑝𝑡𝑖𝑜𝑛. 𝑇ℎ𝑖𝑠 𝑎𝑐𝑐𝑜𝑢𝑛𝑡𝑠 𝑓𝑜𝑟 𝑐ℎ𝑎𝑛𝑔𝑒𝑠 𝑖𝑛 𝐸𝑉𝐼𝐶 𝑜𝑓 𝑡ℎ𝑒 𝑒𝑛𝑡𝑖𝑟𝑒 𝐼𝑛𝑑𝑒𝑥 𝑈𝑛𝑖𝑣𝑒𝑟𝑠𝑒

Inf=EVIC_(Index Universe, t)/(Adjusted EVIC_(Index Universe, inception) )

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. The amended version of the index guideline will be available on the effective date.