I NDEX G UIDELINE
SOLACTIVE FUTURE ROLL INDEX SERIES

Version 1.1
13 June 2024

INDEX GUIDELINECONTENTS
Contents ..................................................................................................................................................................... 2
Introduction ................................................................................................................................................................ 4
1.

2.

3.

Index Specifications............................................................................................................................................ 5
1.1

Scope of the Index ......................................................................................................................................... 5

1.2

Identifiers and Publication ............................................................................................................................. 5

1.3

Initial Level of the Index ................................................................................................................................. 5

1.4

Prices and calculation frequency .................................................................................................................... 5

1.5

Licensing........................................................................................................................................................ 6

Index Selection................................................................................................................................................... 7
2.1

Index Universe Requirements ........................................................................................................................ 7

2.2

Selection of the Index Components................................................................................................................ 7

2.3

Weighting of the Index Components .............................................................................................................. 7

Calculation of the Index.....................................................................................................................................10
3.1

4.

Index formula ...............................................................................................................................................10

3.1.1

Future Return ......................................................................................................................................10

3.1.2

Adjustment .........................................................................................................................................11

3.1.3

Funding ...............................................................................................................................................11

3.1.4

Future Level ........................................................................................................................................12

3.1.5

FX Conversion......................................................................................................................................13

3.2

Accuracy .......................................................................................................................................................13

3.3

Recalculation ................................................................................................................................................13

3.4

Market Disruption ........................................................................................................................................13

Miscellaneous ...................................................................................................................................................14
4.1

Discretion .....................................................................................................................................................14

4.2

Methodology Review ....................................................................................................................................14

4.3

Changes in calculation method .....................................................................................................................14

4.4

Termination..................................................................................................................................................14

4.5

Oversight ......................................................................................................................................................15

5.

Definitions ........................................................................................................................................................16

6.

History of Index Changes ...................................................................................................................................19

7.

Appendix: Description of the Index Specific Parameters ....................................................................................20
7.1

Generic Parameters ......................................................................................................................................20

7.2

Contract Months...........................................................................................................................................21

7.3

Optional Intraday Tick Definition...................................................................................................................22

Contact ......................................................................................................................................................................23
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INDEX GUIDELINEINTRODUCTION
This document (the “GUIDELINE”) is to be used as a guideline with regard to the composition,
calculation and maintenance of the Solactive Future Roll Index Series (the “SERIES”). For each single
Index of the Series (the “INDEX”) it refers to a parameter document (the “INDEX SPECIFIC PARAMETERS”)
which details the parameter set. Any amendments to the rules made to the GUIDELINE or INDEX SPECIFIC
PARAMETERS are approved by the OVERSIGHT COMMITTEE specified in Section 4.5. Each INDEX is owned,
calculated, administered, and published by Solactive AG (“SOLACTIVE”) assuming the role asadministrator (the “INDEX ADMINISTRATOR”) under the Regulation (EU) 2016/1011 (the “BENCHMARKREGULATION” or “BMR”). The name “Solactive” is trademarked.
The text uses defined terms which are formatted with “SMALL CAPS”. Such Terms shall have themeaning assigned to them as specified in Section 5.
The GUIDELINE and the policies and methodology documents referenced herein contain theunderlying principles and rules regarding the structure and operation of the INDEX. SOLACTIVE does
not offer any explicit or tacit guarantee or assurance, neither pertaining to the results from theuse of the INDEX nor the level of the INDEX at any certain point in time nor in any other respect.
SOLACTIVE strives to the best of its ability to ensure the correctness of the calculation. There is no
obligation for SOLACTIVE – irrespective of possible obligations to issuers – to advise third parties,
including investors and/or financial intermediaries, of any errors in the INDEX. The publication of
the INDEX by SOLACTIVE does not constitute a recommendation for capital investment and does notcontain any assurance or opinion of SOLACTIVE regarding a possible investment in a financial
instrument based on this INDEX.

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1.

INDEX SPECIFICATIONS

1.1 SCOPE OF THE INDEX
Each INDEX provides exposure to a specific equity, commodity, fixed income, or FX future. On a
regular basis, it reduces its exposure to the future contract it currently holds and increases its
exposure to a future contract with a later expiration date.

1.2 IDENTIFIERS AND PUBLICATIONThe INDEX is published under the following identifiers:•

INDEX NAME

•

ISIN

•

RIC

•

BLOOMBERG TICKER

Each INDEX is published on the website of the INDEX ADMINISTRATOR (www.solactive.com) and is, inaddition, available via the price marketing services of Boerse Stuttgart GmbH and may be distributed
to all of its affiliated vendors. Each vendor decides on an individual basis as to whether it will
distribute or display the INDEX via its information systems.
Any publication in relation to each INDEX (e.g. notices, amendments to the GUIDELINE) will be available
at the website of the INDEX ADMINISTRATOR: https://www.solactive.com/news/announcements/.

1.3 INITIAL LEVEL OF THE INDEXThe initial level of the INDEX on its respective START DATE is START LEVEL. Historical values from the LIVE
DATE, will be recorded in accordance with Article 8 of the BMR. Levels of the INDEX published for aperiod prior to the LIVE DATE have been back-tested.

1.4 PRICES AND CALCULATION FREQUENCY
The level of each INDEX is calculated on each CALCULATION DAY during the CALCULATION WINDOW basedon the TRADING PRICES on the EXCHANGES on which the INDEX COMPONENTS are listed. TRADING PRICES of
INDEX COMPONENTS not listed in the INDEX CURRENCY are converted using the current Intercontinental
Exchange (ICE) spot foreign exchange rate.
In addition to the intraday calculation a closing level of the INDEX for each CALCULATION DAY is also
calculated. This closing level is based on the FUTURE LEVEL for the INDEX COMPONENTS on the respective
EXCHANGES on which the INDEX COMPONENTS are listed. The FUTURE LEVELS of INDEX COMPONENTS not listed
in the INDEX CURRENCY are converted using the 04:00 p.m. London time rates provided by WM/
Refinitiv (the “WM/ Refinitiv Rate”). If there is no 04:00 p.m. London time WM/Refinitiv Rate for

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the relevant CALCULATION DAY, the last available 04:00 p.m. London time WM/Refinitiv Rate will be
used for the closing level calculation.

1.5 LICENSING
Licenses to use the INDEX as the underlying value for financial instruments, investment funds andfinancial contracts may be issued to stock exchanges, banks, financial services providers andinvestment houses by SOLACTIVE.

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2.

INDEX SELECTION

2.1 INDEX UNIVERSE REQUIREMENTS
Each INDEX comprises of FUTURE CONTRACTS belonging to a FUTURE CHAIN.
The determination of the INDEX UNIVERSE is fully rule-based and the INDEX ADMINISTRATOR cannot makeany discretionary decisions.

2.2 SELECTION OF THE INDEX COMPONENTS
The SPECIFIC INDEX PARAMETERS, section CONTRACT MONTHS, defines the ACTIVE CONTRACT and NEXT ACTIVECONTRACT per calendar month of CALCULATION DAY 𝑡 in relation to the latest to occur ROLL ANCHOR which
lays in or before the corresponding calendar month. It means that during the roll period related to
ROLL ANCHOR (i.e., between the ROLL START and the ROLL END) the index switches the exposure from the
ACTIVE CONTRACT to the NEXT ACTIVE CONTRACT.
One plus signs “+” (if applicable) mean that respective contract months falls into the next calendar
year. Two plus signs “++” (if applicable) mean that respective contract months falls into the calendar
year after next year and so on. E.g: Mar+ in December 2023 would mean the contract expiring on March2024.
For instance, consider the rolling schedule of .SOF5GCS0:
Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Feb

Apr

Apr

Jun

Jun

Aug

Aug

Dec

Dec

Dec

Dec

Feb+

Next Active
Apr
Contract Month

Apr

Jun

Jun

Aug

Aug

Dec

Dec

Dec

Dec

Feb+

Feb+

Active ContractMonth

For all CALCULATION DAYS in November the ACTIVE CONTRACT would be the one expiring in December
the same year, and the NEXT ACTIVE CONTRACT would expire in February the following year.

2.3 WEIGHTING OF THE INDEX COMPONENTS
In relation to CALCULATION DAY 𝑡 the 𝑎𝑛𝑐ℎ𝑜𝑟𝑡 is defined as follows:-In case ROLL ANCHOR is set to “First Business Day”, 𝑎𝑛𝑐ℎ𝑜𝑟𝑡 is set to the first business day ofthe calendar month where, in SPECIFIC INDEX PARAMETERS, section CONTRACT MONTHS, NEXT ACTIVECONTRACT is different from ACTIVE CONTRACT for such calendar month-

In case ROLL ANCHOR is set to “First Notice” 𝑎𝑛𝑐ℎ𝑜𝑟𝑡 is set to the FIRST NOTICE DAY of the ACTIVECONTRACT.

-In case ROLL ANCHOR is set to “Expiry” 𝑎𝑛𝑐ℎ𝑜𝑟𝑡 is set to the EXPIRATION DAY of the ACTIVECONTRACT.

Once 𝑎𝑛𝑐ℎ𝑜𝑟𝑡 as of CALCULATION DAY 𝑡 is determined, in relation to CALCULATION DAY 𝑡, 𝑅𝑜𝑙𝑙𝑆𝑡𝑎𝑟𝑡𝑡 isdefined to be the CALCULATION DAY which is –(ROLL OFFSET plus one CALCULATION DAY) CALCULATION DAYS
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before 𝑎𝑛𝑐ℎ𝑜𝑟𝑡 , if ROLL OFFSET is a non-positive number. In case ROLL OFFSET is a positive number,the 𝑅𝑜𝑙𝑙𝑆𝑡𝑎𝑟𝑡𝑡 as of CALCULATION DAY 𝑡 is defined to be the CALCULATION DAY which is (ROLL OFFSET
minus one CALCULATION DAY) CALCULATION DAY S after 𝑎𝑛𝑐ℎ𝑜𝑟𝑡 .
Lastly, 𝑅𝑜𝑙𝑙𝐸𝑛𝑑𝑡 as of CALCULATION DAY 𝑡 is set to be exactly ROLL DAYS many CALCULATION DAYS after
𝑅𝑜𝑙𝑙𝑆𝑡𝑎𝑟𝑡𝑡 .
In relation to CALCULATION DAY 𝑡 the WEIGHT of the ACTIVE CONTRACT is calculated as follows:
1.0#𝐶𝐷𝑎𝑦𝑠𝑡,𝑅𝑜𝑙𝑙𝐸𝑛𝑑𝑡
𝑤𝑡𝐴𝑐𝑡𝑖𝑣𝑒 =𝑅𝑜𝑙𝑙𝐷𝑎𝑦𝑠{0.0

if𝑡 ≤ 𝑅𝑜𝑙𝑙𝑆𝑡𝑎𝑟𝑡𝑡

if 𝑅𝑜𝑙𝑙𝑆𝑡𝑎𝑟𝑡𝑡 < 𝑡 < 𝑅𝑜𝑙𝑙𝐸𝑛𝑑𝑡
if

𝑅𝑜𝑙𝑙𝐸𝑛𝑑𝑡 ≤ 𝑡Where:
𝑅𝑜𝑙𝑙𝐷𝑎𝑦𝑠: mean ROLL DAYS.
#𝐶𝐷𝑎𝑦𝑠𝑡,𝑅𝑜𝑙𝑙𝐸𝑛𝑑𝑡 : is the number of CALCULATION DAYS between CALCULATION DAY 𝑡 (excluding) and
𝑅𝑜𝑙𝑙𝐸𝑛𝑑𝑡 (including).
In relation to CALCULATION DAY 𝑡 the WEIGHT of the NEXT ACTIVE CONTRACT is calculated as follows:
𝑤𝑡𝑁𝑒𝑥𝑡 = 1 − 𝑤𝑡𝐴𝑐𝑡𝑖𝑣𝑒
To illustrate the above, consider the rolling schedule of .SOF5ESS0 and .SOF5GCS0:
RIC

Roll Anchor

Roll Offset

Roll Days.SOF5ESS0

Expiry-6

5.SOF5GCS0

First Business Day

55

In the .SOF5ESS0 case, ROLL ANCHOR would be set to the ACTIVE CONTRACT’S expiration date. Therefore,
Roll Start would be the seventh last day before expiration.
WeekdayMon

TueNamed Day

Wed

Thu

Fri

Mon

Roll Start

Tue

Wed

Thu

Fri
Roll
AnchorRoll EndWEIGHT of the ACTIVECONTRACT

100%

100%

100%

80%

60%

40%

20%

0%

0%

0%

WEIGHT of the NEXTACTIVE CONTRACT

0%

0%

0%

20%

40%

60%

80%

100%

100%

100%

In the .SOF5GCS0 case, ROLL ANCHOR in December would be set to the first Calculation Day inDecember.
Calculation Day of
Month

1

2

3

4

5

6

7

8

9

10

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Named Day

Roll
Anchor

WEIGHT of the ACTIVECONTRACT

100%

100%

100%

100%

100%

80%

60%

40%

20%

0%

WEIGHT of the NEXTACTIVE CONTRACT

0%

0%

0%

0%

0%

20%

40%

60%

80%

100%

Roll Start

Roll End

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INDEX GUIDELINE3.

CALCULATION OF THE INDEX

3.1 INDEX FORMULA
On START DATE 𝑡0 each INDEX is defined as:
𝐼𝑛𝑑𝑒𝑥𝑡0 = 𝑆𝑡𝑎𝑟𝑡𝐿𝑒𝑣𝑒𝑙
Where:𝑆𝑡𝑎𝑟𝑡𝐿𝑒𝑣𝑒𝑙: means START LEVEL.
On any CALCULATION DAY 𝑡 after START DATE the INDEX is calculated as follows:
𝐼𝑛𝑑𝑒𝑥𝑡 = 𝐼𝑛𝑑𝑒𝑥𝑡−1 × (1 + 𝐹𝑢𝑡𝑢𝑟𝑒𝑅𝑒𝑡𝑢𝑟𝑛𝑡 − 𝐴𝑑𝑗𝑢𝑠𝑡𝑚𝑒𝑛𝑡𝑡 + 𝐹𝑢𝑛𝑑𝑖𝑛𝑔𝑡 )Where:
𝐼𝑛𝑑𝑒𝑥𝑡−1 : is the INDEX on the CALCULATION DAY immediately preceding CALCULATION DAY 𝑡.
𝐹𝑢𝑡𝑢𝑟𝑒𝑅𝑒𝑡𝑢𝑟𝑛𝑡 : is the FUTURE RETURN as of CALCULATION DAY 𝑡 as defined in section 3.1.1.
𝐴𝑑𝑗𝑢𝑠𝑡𝑚𝑒𝑛𝑡𝑡 : is the ADJUSTMENT as of CALCULATION DAY 𝑡 as defined in section 3.1.2.
𝐹𝑢𝑛𝑑𝑖𝑛𝑔𝑡 : is the FUNDING as of CALCULATION DAY 𝑡 as defined in section 3.1.3.

3.1.1 Future Return
If PORTFOLIO is set to TRUE, the FUTURE RETURN as of CALCULATION DAY 𝑡 is calculated as follows:
𝐹𝑢𝑡𝑢𝑟𝑒𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = (𝑤𝑡𝐴𝑐𝑡𝑖𝑣𝑒 × 𝑃𝑥𝑡𝐴𝑐𝑡𝑖𝑣𝑒 + 𝑤𝑡𝑁𝑒𝑥𝑡 × 𝑃𝑥𝑡𝑁𝑒𝑥𝑡
𝐴𝑐𝑡𝑖𝑣𝑒𝑁𝑒𝑥𝑡 ) × 𝐹𝑋𝐶𝑜𝑛𝑣𝑒𝑟𝑠𝑖𝑜𝑛𝑡
𝑤𝑡𝐴𝑐𝑡𝑖𝑣𝑒 × 𝑃𝑥𝑡−1+ 𝑤𝑡𝑁𝑒𝑥𝑡 × 𝑃𝑥𝑡−1

If PORTFOLIO is set to FALSE, the FUTURE RETURN as of CALCULATION DAY 𝑡 is calculated as follows:
𝐹𝑢𝑡𝑢𝑟𝑒𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = (𝑤𝑡𝐴𝑐𝑡𝑖𝑣𝑒 × (𝑃𝑥𝑡𝐴𝑐𝑡𝑖𝑣𝑒
𝑃𝑥𝑡𝑁𝑒𝑥𝑡
𝑁𝑒𝑥𝑡
× ( 𝑁𝑒𝑥𝑡 − 1)) × 𝐹𝑋𝐶𝑜𝑛𝑣𝑒𝑟𝑠𝑖𝑜𝑛𝑡
𝐴𝑐𝑡𝑖𝑣𝑒 − 1) + 𝑤𝑡
𝑃𝑥𝑡−1
𝑃𝑥𝑡−1

Where:
𝑤𝑡𝐴𝑐𝑡𝑖𝑣𝑒 : is the WEIGHT of the ACTIVE CONTRACT as of CALCULATION DAY 𝑡 as defined in section 2.3.
𝑤𝑡𝑁𝑒𝑥𝑡 : is the WEIGHT of the NEXT ACTIVE CONTRACT as of CALCULATION DAY 𝑡 as defined in section 2.3.
𝑃𝑥𝑡𝐴𝑐𝑡𝑖𝑣𝑒 : is the FUTURE LEVEL of the ACTIVE CONTRACT as of CALCULATION DAY 𝑡 as defined in section 3.1.4.
𝑃𝑥𝑡𝑁𝑒𝑥𝑡 : is the FUTURE LEVEL of the NEXT ACTIVE CONTRACT as of CALCULATION DAY 𝑡 as defined in section
3.1.4.
𝐴𝑐𝑡𝑖𝑣𝑒𝑃𝑥𝑡−1: is the FUTURE LEVEL of the ACTIVE CONTRACT as of CALCULATION DAY immediately preceding
CALCULATION DAY 𝑡 as defined in section 3.1.4.
𝑁𝑒𝑥𝑡
𝑃𝑥𝑡−1
: is the FUTURE LEVEL of the NEXT ACTIVE CONTRACT as of CALCULATION DAY immediately preceding
CALCULATION DAY 𝑡 as defined in section 3.1.4.

𝐹𝑋𝐶𝑜𝑛𝑣𝑒𝑟𝑠𝑖𝑜𝑛𝑡 : is the FX CONVERSION as of CALCULATION DAY 𝑡 as defined in section 3.1.5.

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3.1.2 Adjustment
If INDEX TYPE is set to “Excess Return/Adjustment” the ADJUSTMENT as of CALCULATION DAY 𝑡 is calculated
as follows:#𝐷𝑎𝑦𝑠𝑡−1,𝑡) × 𝐹𝑋𝐶𝑜𝑛𝑣𝑒𝑟𝑠𝑖𝑜𝑛𝑡
𝐴𝐷𝐶
If INDEX TYPE is set to “Total Return/Adjustment” the ADJUSTMENT as of CALCULATION DAY 𝑡 is calculated
as follows:
𝐴𝑑𝑗𝑢𝑠𝑡𝑚𝑒𝑛𝑡𝑡 = (𝐴𝐹 ×#𝐷𝑎𝑦𝑠𝑡−1,𝑡𝐴𝐷𝐶
If INDEX TYPE is set to “Excess Return” or “Total Return”, the ADJUSTMENT as of CALCULATION DAY 𝑡 is set
as follows:
𝐴𝑑𝑗𝑢𝑠𝑡𝑚𝑒𝑛𝑡𝑡 = 𝐴𝐹 ×

𝐴𝑑𝑗𝑢𝑠𝑡𝑚𝑒𝑛𝑡𝑡 = 0
Where:
𝐴𝐹: means ADJUSTMENT FACTOR.
𝐴𝐷𝐶: means ADJUSTMENT DAY COUNT.
#𝐷𝑎𝑦𝑠𝑡−1,𝑡 : is the number of calendar days from the CALCULATION DAY immediately preceding
CALCULATION DAY 𝑡 (excluding) until preceding CALCULATION DAY 𝑡 (including).
𝐹𝑋𝐶𝑜𝑛𝑣𝑒𝑟𝑠𝑖𝑜𝑛𝑡 : is the FX CONVERSION as of CALCULATION DAY 𝑡 as defined in section 3.1.5.

3.1.3 Funding
If INDEX TYPE is set to “TR” or “TR/AR” and the FUNDING as of CALCULATION DAY 𝑡 is calculated as follows:
𝑟𝑡−𝑂𝑓𝑓𝑠𝑒𝑡 ×
𝐹𝑢𝑛𝑑𝑖𝑛𝑔𝑡 =#𝐷𝑎𝑦𝑠𝑡−1,𝑡𝐷𝐶#𝐷𝑎𝑦𝑠𝑡−1,𝑡
91

−
91
(1 −
× 𝑟𝑡−𝑂𝑓𝑓𝑠𝑒𝑡 )
𝐷𝐶
{

if
−1

𝑀𝑒𝑡ℎ𝑜𝑑 = "𝑂/𝑁"

if 𝑀𝑒𝑡ℎ𝑜𝑑 = "𝑇 − 𝐵𝑖𝑙𝑙"

If INDEX TYPE is set to “ER” or “ER/AR” the FUNDING as of CALCULATION DAY 𝑡 is set to:
𝐹𝑢𝑛𝑑𝑖𝑛𝑔𝑡 = 0
Where:
𝑟𝑡−𝑂𝑓𝑓𝑠𝑒𝑡 : is the CLOSING LEVEL of the INTEREST RATE INSTRUMENT as of the CALCULATION DAY which is
𝑂𝑓𝑓𝑠𝑒𝑡 CALCULATION DAYS preceding CALCULATION DAY 𝑡,#𝐷𝑎𝑦𝑠𝑡−1,𝑡 : is the number of calendar days from the CALCULATION DAY immediately preceding
CALCULATION DAY 𝑡 (excluding) to CALCULATION DAY 𝑡 (including).
𝑂𝑓𝑓𝑠𝑒𝑡: means INTEREST RATE OFFSET.
𝐷𝐶: means INTEREST RATE DAY COUNT.
𝑀𝑒𝑡ℎ𝑜𝑑: means INTEREST RATE COMPOUNDING METHOD.

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3.1.4 Future Level
If PRICE DEFINITION is set to “Settlement”, the FUTURE LEVEL of the FUTURE CONTRACT c as of CALCULATION
DAY 𝑡 is set to its SETTLEMENT LEVEL provided by the EXCHANGE:
𝑃𝑥𝑡𝑐 = 𝑆𝑒𝑡𝑡𝑙𝑒𝑚𝑒𝑛𝑡𝑡𝑐
If PRICE DEFINITION is set to “Close-Mid”, the FUTURE LEVEL of the FUTURE CONTRACT as of CALCULATION DAY
𝑡 is set to the average of CLOSING BID LEVEL and CLOSING ASK LEVEL provided by the EXCHANGE:
𝐵𝑖𝑑𝑡𝑐 + 𝐴𝑠𝑘𝑡𝑐
2
If PRICE DEFINITION is set to “Intraday”, and SPECIFIC INDEX PARAMETERS, section “Optional Intraday
Aggregation Definition”, field “Aggregation Method” is set to “TWAP”, then the FUTURE LEVEL of the
FUTURE CONTRACT as of CALCULATION DAY 𝑡 is set to the average of all relevant ticks as per SPECIFIC INDEXPARAMETERS, section “Optional Intraday Aggregation Definition”, field “Relevant Ticks” in the relevant
window. If CALCULATION DAY 𝑡 is a full trading day, the relevant window is specified by SPECIFIC INDEXPARAMETERS, section “Optional Intraday Aggregation Definition”, field “Time Zone” and “Full Trading
Day Window”. If CALCULATION DAY 𝑡 is a half trading day, the relevant window is specified by SPECIFICINDEX PARAMETERS, section “Optional Intraday Aggregation Definition”, field “Time Zone” and “HalfTrading Day Window”:
𝑃𝑥𝑡𝑐 =𝑁

𝑃𝑥𝑡𝑐 =

1𝑐× ∑ 𝑃𝑥𝑛,𝑡𝑁
𝑛=1

If PRICE DEFINITION is set to “Intraday”, and SPECIFIC INDEX PARAMETERS, section “Optional Intraday
Aggregation Definition”, field “Aggregation Method” is set to “VWAP”, then the FUTURE LEVEL of the
FUTURE CONTRACT as of CALCULATION DAY 𝑡 is set to the average of all relevant ticks as per SPECIFIC INDEXPARAMETERS, section “Optional Intraday Aggregation Definition”, field “Relevant Ticks” in the relevant
window. If CALCULATION DAY 𝑡 is a full trading day, the relevant window is specified by SPECIFIC INDEXPARAMETERS, section “Optional Intraday Aggregation Definition”, field “Time Zone” and “Full Trading
Day Window”. If CALCULATION DAY 𝑡 is a half trading day, the relevant window is specified by SPECIFICINDEX PARAMETERS, section “Optional Intraday Aggregation Definition”, field “Time Zone” and “HalfTrading Day Window”:
𝑃𝑥𝑡𝑐 =𝑐𝑐∑𝑁
𝑛=1 𝑃𝑥𝑛,𝑡 × 𝑉𝑛,𝑡𝑐∑𝑁
𝑛=1 𝑉𝑛,𝑡

Where:
𝑆𝑒𝑡𝑡𝑙𝑒𝑚𝑒𝑛𝑡𝑡𝑐 : SETTLEMENT LEVEL provided by the EXCHANGE of FUTURE CONTRACT c on CALCULATION DAY 𝑡.
𝐵𝑖𝑑𝑡𝑐 : CLOSING BID LEVEL provided by the EXCHANGE of FUTURE CONTRACT c on CALCULATION DAY 𝑡.
𝐴𝑠𝑘𝑡𝑐 : CLOSING ASK LEVEL provided by the EXCHANGE of FUTURE CONTRACT c on CALCULATION DAY 𝑡.
𝑐𝑃𝑥𝑛,𝑡: is the TRADING PRICE of the n-th RELEVANT TICK of FUTURE CONTRACT c on CALCULATION DAY 𝑡.
𝑐𝑉𝑛,𝑡: is the TRADED VOLUME of the n-th RELEVANT TICK of FUTURE CONTRACT c on CALCULATION DAY 𝑡.

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3.1.5 FX Conversion
In case INDEX CURRENCY equals FUTURE CURRENCY, the FX CONVERSION as of CALCULATION DAY 𝑡 is set:
𝐹𝑋𝐶𝑜𝑛𝑣𝑒𝑟𝑠𝑖𝑜𝑛𝑡 = 1
In case INDEX CURRENCY does not equal FUTURE CURRENCY , the FX CONVERSION as of CALCULATION DAY 𝑡 iscalculated as follows:
𝐹𝑋𝐶𝑜𝑛𝑣𝑒𝑟𝑠𝑖𝑜𝑛𝑡 =

𝐹𝑋𝑡
𝐹𝑋𝑡−1

Where:𝐹𝑋𝑡 : is the exchange rate to convert the FUTURE CURRENCY to the INDEX CURRENCY on CALCULATION DAY 𝑡.
𝐹𝑋𝑡−1 : is the exchange rate to convert the FUTURE CURRENCY to the INDEX CURRENCY on CALCULATION DAY
immediately preceding CALCULATION DAY 𝑡.

3.2 ACCURACY
For publication, the level of each INDEX will be rounded to the number of decimal places as specified
in PUBLICATION PRECISION.

3.3 RECALCULATIONSOLACTIVE makes the greatest possible efforts to accurately calculate and maintain its indices.
However, errors in the determination process may occur from time to time for variety reasons(internal or external) and therefore, cannot be completely ruled out. SOLACTIVE endeavors to correct
all errors that have been identified within a reasonable period of time. The understanding of “areasonable period of time” as well as the general measures to be taken are generally depending on
the underlying and is specified in the Solactive Correction Policy, which is incorporated by reference
and available on the SOLACTIVE website: https://www.solactive.com/documents/correction-policy/.

3.4 MARKET DISRUPTION
In periods of market stress SOLACTIVE calculates its indices following predefined and exhaustive
arrangements as described in the Solactive Disruption Policy, which is incorporated by reference
and available on the SOLACTIVE website: https://www.solactive.com/documents/disruption-policy/.
Such market stress can arise due to a variety of reasons, but generally results in inaccurate ordelayed prices for one or more INDEX COMPONENTS. The determination of each INDEX may be limited
or impaired at times of illiquid or fragmented markets and market stress.

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MISCELLANEOUS

4.1 DISCRETION
Any discretion which may need to be exercised in relation to the determination of each INDEX (forexample the determination of the INDEX UNIVERSE (if applicable), the selection of the INDEXCOMPONENTS (if applicable) or any other relevant decisions in relation to the INDEX) shall be made inaccordance with strict rules regarding the exercise of discretion or expert judgement.

4.2 METHODOLOGY REVIEWThe methodology of each INDEX is subject to regular review, at least annually. In case a need of achange of the methodology has been identified within such review (e.g. if the underlying market
or economic reality has changed since the launch of the INDEX, i.e. if the present methodology isbased on obsolete assumptions and factors and no longer reflects the reality as accurately, reliably
and appropriately as before), such change will be made in accordance with the Solactive
Methodology Policy, which is incorporated by reference and available on the SOLACTIVE website:
https://www.solactive.com/documents/methodology-policy/.
Such change in the methodology will be announced on the SOLACTIVE website under the Section“Announcement”, which is available at https://www.solactive.com/news/announcements/. The
date of the last amendment of this INDEX is contained in this GUIDELINE.

4.3 CHANGES IN CALCULATION METHOD
The application by the INDEX ADMINISTRATOR of the method described in this document is final andbinding. The INDEX ADMINISTRATOR shall apply the method described above for the composition andcalculation of the INDEX. However, it cannot be excluded that the market environment, supervisory,legal and financial or tax reasons may require changes to be made to this method. The INDEXADMINISTRATOR may also make changes to the terms and conditions of the INDEX and the method
applied to calculate each INDEX that it deems to be necessary and desirable in order to prevent
obvious or demonstrable error or to remedy, correct or supplement incorrect terms and conditions.
The INDEX ADMINISTRATOR is not obliged to provide information on any such modifications or changes.
Despite the modifications and changes, the INDEX ADMINISTRATOR will take the appropriate steps toensure a calculation method is applied that is consistent with the method described above.

4.4 TERMINATIONSOLACTIVE makes the greatest possible efforts to ensure the resilience and continued integrity of its
indices over time. Where necessary, SOLACTIVE follows a clearly defined and transparent procedure
to adapt Index methodologies to changing underlying markets (see Section 4.2) in order to maintaincontinued reliability and comparability of the indices. Nevertheless, if no other options are available
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the orderly cessation of the INDEX may be indicated. This is usually the case when the underlying
market or economic reality, which an index is set to measure or to reflect, changes substantially andin a way not foreseeable at the time of inception of the index, the index rules, and particularly theselection criteria, can no longer be applied coherently or the index is no longer used as theunderlying value for financial instruments, investment funds and financial contracts.
SOLACTIVE has established and maintains clear guidelines on how to identify situations in which the
cessation of an index is unavoidable, how stakeholders are to be informed and consulted and theprocedures to be followed for a termination or the transition to an alternative index. Details are
specified in the Solactive Termination Policy, which is incorporated by reference and available on
the SOLACTIVE website: https://www.solactive.com/documents/termination-policy/.

4.5 OVERSIGHT
An oversight committee composed of staff from SOLACTIVE and its subsidiaries (the “OVERSIGHT
COMMITTEE”) is responsible for decisions regarding any amendments to the rules of the INDEX. Anysuch amendment, which may result in an amendment of the GUIDELINE, must be submitted to the
OVERSIGHT COMMITTEE for prior approval and will be made in compliance with the Methodology Policy,
which is available on the SOLACTIVE website: https://www.solactive.com/documents/methodologypolicy/.

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5.

DEFINITIONS“ACTIVE CONTRACT” shall have the meaning as defined in Section 2.2.
“ADJUSTMENT” shall have the meaning as defined in Section 3.1.2.
“ADJUSTMENT FACTOR” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field“Adjustment Factor”.
“ADJUSTMENT DAY COUNT” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field“Adjustment Day Count”.
The “ASK PRICE” in respect of an INDEX COMPONENT and a CALCULATION DAY is the most recently EXCHANGE
published amount of money a seller is willing to sell the INDEX COMPONENT for.
“BENCHMARK REGULATION” shall have the meaning as defined in Section “”.
The “BID PRICE” in respect of an INDEX COMPONENT and a CALCULATION DAY is the most recently EXCHANGE
published amount of money a buyer is willing to pay for the INDEX COMPONENT.
“Bloomberg Ticker” has the meaning given to it in the SPECIFIC INDEX PARAMETERS, field “Bloomberg
Ticker”.
“BMR” shall have the meaning as defined in Section “Introduction”.
“CALCULATION DAY” is every weekday from Monday to Friday. A day on which the EXCHANGE is notopen for general business is not a CALCULATION DAY.
“CALCULATION TIME ZONE” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field“Calculation Time Zone”.
“CALCULATION WINDOW” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field“Calculation Window” at the respective CALCULATION TIME ZONE.
“CLOSE OF BUSINESS” is the calculation time of the closing level of the INDEX as outlined in Section 1.4.
The “CLOSING BID LEVEL” in respect of a FUTURE CONTRACT and a CALCULATION DAY is a security's final
regular-hours BID PRICE published by the EXCHANGE and determined in accordance with the EXCHANGE
regulations.
The “CLOSING ASK LEVEL” in respect of a FUTURE CONTRACT and a CALCULATION DAY is a security's final
regular-hours ASK PRICE published by the EXCHANGE and determined in accordance with the EXCHANGE
regulations.
“EXCHANGE” is with respect to the INDEX, the respective exchange where all INDEX COMPONENTS havetheir listing as determined in accordance with the rules in Section 2. The EXCHANGE, as identified byits MIC, is identified by the SPECIFIC INDEX PARAMETERS, field “Exchange MIC”.
“GUIDELINE” shall have the meaning as defined in Section “Introduction”.
“FUNDING” shall have the meaning as defined in Section 3.1.3.
“FUTURE CHAIN” is the set of FUTURE CONTRACTS that are related to a specific EXCHANGE and specificunderlying asset. A FUTURE CHAIN is identified by the SPECIFIC INDEX PARAMETERS, field “Future Chain”.
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INDEX GUIDELINE“FUTURE CONTRACT” means a contract that confers an obligation to trade the underlying asset at a
pre-defined price on a pre-defined date in the future.
“FUTURE CURRENCY” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Future
Currency”.
“FUTURE LEVEL” shall have the meaning as defined in Section 3.1.4.
“FUTURE RETURN” shall have the meaning as defined in Section 3.1.1.
“FX CONVERSION” shall have the meaning as defined in Section 3.1.5.
“INDEX” shall have the meaning as defined in Section “Introduction”.
“INDEX ADMINISTRATOR” shall have the meaning as defined in Section “Introduction”.
“INDEX COMPONENT” is each security reflected in the INDEX.
“INDEX COMPONENT REQUIREMENTS” shall have the meaning as defined in Section 2.2.
“INDEX CURRENCY” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Index
Currency”.
“INDEX NAME” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Index Name”.
“Index Type” has the meaning given to it in the SPECIFIC INDEX PARAMETERS, field “Index Type”.
“INDEX UNIVERSE REQUIREMENTS” shall have the meaning as defined in Section 2.1.
“INDEX UNIVERSE” is the sum of all financial instruments which fulfill the INDEX UNIVERSE REQUIREMENTS.
“INTEREST RATE DAY COUNT” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field“Interest Rate Day Count”.
“INTEREST RATE OFFSET” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Interest
Rate Offset”.
“INTEREST RATE COMPOUND METHOD” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS,
field “Interest Rate Compound Method”.
“INTEREST RATE RIC” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Interest Rate
Ric”.
“INTEREST RATE INSTRUMENT” is the instrument that is identified by its INTEREST RATE RIC.
“ISIN” has the meaning given to it in the SPECIFIC INDEX PARAMETERS, field “ISIN”.
“LIVE DATE” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Live Date”.
“MIC” means Market Identifier Code.
“NEXT ACTIVE CONTRACT” shall have the meaning as defined in Section 2.2.
“OVERSIGHT COMMITTEE” shall have the meaning as defined in Section 4.5.
“PORTFOLIO” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Portfolio”.
“PRICE DEFINITION” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Price
Definition”.
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INDEX GUIDELINE“PUBLICATION PRECISION” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field“Publication Precision”.
“RELEVANT TICK” shall have the meaning as defined in Error! Reference source not found..
“RIC” has the meaning given to it in the SPECIFIC INDEX PARAMETERS, field “RIC”.
“ROLL ANCHOR” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Roll Anchor”.
“ROLL DAYS” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Roll Days”.
“ROLL OFFSET” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Roll Offset”.
“ROLL END” shall have the meaning as defined in Section 2.3.
“ROLL START” shall have the meaning as defined in Section 2.3.
The “SETTLEMENT LEVEL” in respect of a FUTURE CONTRACT and a CALCULATION DAY is a security's final
regular-hours price at which the FUTURE CONTRACT will reference at the end of each CALCULATION DAY
and upon its expiration published by the EXCHANGE and determined in accordance with the EXCHANGE
regulations.
“SOLACTIVE” shall have the meaning as defined in Section “Introduction”.
“START DATE” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Start Date”.
“START LEVEL” shall have the meaning given to it in SPECIFIC INDEX PARAMETERS, field “Start Level”.
The “TRADING PRICE” in respect of a FUTURE CONTRACT and a CALCULATION DAY is the most recent
published price at which the FUTURE CONTRACT was traded on the respective EXCHANGE.
The “TRADED VOLUME” in respect of a FUTURE CONTRACT and a CALCULATION DAY is the number of contract
traded corresponding to the respective TRADING PRICE.
"WEIGHT" in relation to the ACTIVE CONTRACT or NEXT ACTIVE CONTRACT and a CALCULATION DAY shall havethe meaning as defined in Section 2.3.
"WM / REFINITIV RATE" shall have the meaning as defined in Section 1.4.

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HISTORY OF INDEX CHANGES
VersionDate

Description

1.0

01 May 2024

Index Guideline creation (initial version)

1.1

13 June 2024

Correction of typo for index formula of portfolio variant

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7.

APPENDIX: DESCRIPTION OF THE INDEX SPECIFIC
PARAMETERS

This section details the set up and layout of INDEX SPECIFIC PARAMETERS:

7.1 GENERIC PARAMETERS
Field
Adjustment Day Count
Adjustment Factor
BBG ticker

Definition
Being Empty or a day count like 360 or 365
Being 0 or a base point number
Needs to start with SOL, SO, at least S – maxeight characters
Calculation Timezone A time zone in ISO-Definition denoting the timezone of real-time calculation
Calculation Window The start and end time of the real-time
calculation
Exchange MIC
Future Chain RIC
Future Currency The currency of the Future, like USD or EUR
Index Currency The currency of the index, like USD or EUR
Index Name Solactive Future Roll … Index
Index Type Being one of••••

Excess Return
Excess Return / Adjustment
Total Return
Total Return / Adjustment

Interest Rate Compound Method Being Empty or one of••

O/N
T-Bills

Interest Rate Day Count Being Empty or a day count like 360 or 365
Interest Rate Instrument Being Empty or the instrument rate instrumentused, like “Euro Short Term Rate” or “USD
Secured Overnight Fund Rate”
Interest Rate Offset Being Empty or the number of Calculation Days
the Interest Rate is published after it being
effective
ISIN Provided by Solactive
Live Date A Date
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Field Definition
Portfolio Being True or False
Price Definition Being one of•••

Settlement
Close-Mid
Intraday Aggregation

Publication Precision An Integer number greater than zero
RIC Matches the Bloomberg ticker with leading
period “.”Roll Anchor Being Empty or one of•••

ExpiryFirst NoticeFirst Business Day of Month

Roll Days An integer number greater than zeroRoll Offset An integer number referencing the start of rollfrom the Roll Anchor
Start Date A Date
Start Level A Level

7.2 CONTRACT MONTHS
Below table specifies the contract month of the ACTIVE and NEXT ACTIVE CONTRACT per calendar month,a “+” or indicates a contract in a subsequent year.
Calendar
Month

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

ActiveContract
Next Active
Contract

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7.3 OPTIONAL INTRADAY AGGREGATION DEFINITION
Optionally, if the index does not roll over end of day levels but intraday aggregation, the following
needs to be defined:
Field Definition
Aggregation Method Being either:
•
•

TWAP
VWAP

Time Zone A time zone in ISO-Definition denoting the timezone of aggregation calculation.
Half Trading Day Window The start and end time of the aggregation
calculation for half trading days.
Full Trading Day Window The start and end time of the aggregation
calculation for full trading days
Relevant Ticks A natural language description of the relevantticks, e.g.:•••

The trade every 15 seconds
Every trade except block trades
Average of bid/ask quotes every second

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CONTACT
Solactive AG
German Index Engineering
Platz der Einheit 1
60327 Frankfurt am Main
GermanyTel.:+49 (0) 69 719 160 00
Fax:+49 (0) 69 719 160 25
Email:
info@solactive.com
Website: www.solactive.com© Solactive AG