Methodology Change | Solactive Kepler Cheuvreux Europe Green Transition Index | Effective Date 27 September 2021

Today, on the 17^th September 2021, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):

Rationale for Methodology Change

Solactive has determined that the current selection process for ordinary rebalances did not cover a number of events which could significantly affect the outcome of the selection and the index composition. Hence, an additional filter will be implemented to account for the designated events. These changes intend to mitigate the unintended impacts of the events on the index stability. The events are reflected in the description of the selection process in section 2.2 of the index Guideline of the Affected Indices.

Changes to the Index Guideline

The following Methodology change is proposed in the following point of the Index Guideline:

2.2. Selection Of the Index Components

From (old version):

Based on the INDEX UNIVERSE, the initial composition of the INDEX as well as any selection for an ordinary rebalance is determined on the SELECTION DAY in accordance with the following rules (the “INDEX COMPONENT REQUIREMENTS“):

1. Minimum FREE FLOAT MARKET CAPITALIZATION of USD 300mn.
2. Exclusion of companies whose economic activities are either currently controversial or assessed as contrary to the energy and ecological transition as defined by the European Commission[1]. These activities include:
   1. Nuclear energy
   2. Chlorine and agrochemicals (biocides)
   3. Genetic engineering
   4. Fossil fuels. Exempt are companies that significantly invest in the green transition via green hydrogen or renewable energy (including) biomass and are assessed to increase such activities in the future.
   5. Aviation and automotive industries. Exempt are companies that invest in the green transition via e-mobility and/or hydrogen and are assessed to increase their activities in the future.
   6. Ozone depleting substances
   7. Controversial and harmful environmental behavior
   8. Financiers of environmental harmful projects
   9. Industrial livestock and whaling
   10. Lobbying to reduce environmental standards, Deforestation, Biodiversity
   11. Uranium and asbestos fibre producers
3. Companies must belong to clusters that are suppliers of ecological solutions and/or natives of the ecological transition (e.g. alternative energy and transport, eco-products and services, energy efficiency, renewable energy, waste and water). The clusters are defined by the High Level Expert Group, composed of staff of the Selection Party and may evolve over time.
4. Companies with a “Reduce” rating from the Selection Party are excluded. If the Selection Party does not have a rating for a company, it will determine if the company has a consensus rating. All those companies not rated by the Selection Party and with a consensus rating strictly below 3 (ranked from 1 to 5) are excluded.

The ratings assigned by the SELECTION PARTY are published on the following website: https://research.keplercheuvreux.com/disclosure/stock/. Companies not included in the list published on the website specified above are not rated by the Selection Party. The INDEX ADMINISTRATOR has outsourced the selection of the INDEX COMPONENTS to the SELECTION PARTY. Such outsourcing has been made in accordance with the requirements of the BMR (Article 10 BMR). Any discretionary decision of the SELECTION 1 Defined in: European Commission (2017). Defining “green” in the context of green finance. Final Report. Brussels: Publications Office of the European Union. INDEX GUIDELINE 8 Version 1.2 – 28 January 2021 PARTY will be made in accordance with the specifications regarding the exercise of discretion or expert judgement established by the INDEX ADMINISTRATOR.

To (new version):

[…]

5. Companies which suffered one of the below events can be excluded by the Selection Party:

• corporate profit warnings;
• M&A;
• a drop in the price of the stock of more than 10% within one week

 If the rating from the Selection Party is reiterated after such events, the Companies will stay in the Index.

[…]

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.

[1] Defined in: European Commission (2017). Defining “green” in the context of green finance. Final Report. Brussels: Publications Office of the European Union.