I NDEX G UIDELINE
SOLACTIVE DEVELOPED REAL ESTATE ESG CLIMATE
INDEX

Version 1.1
21 April 2023

NTAC:3NS-20

INDEX GUIDELINETABLE OF CONTENTS
Introduction .............................................................................................................................................................................................................................. 3
1.

Index Specifications ................................................................................................................................................................................................... 4
1.1.

Scope of the Index ................................................................................................................................................................................................ 4

1.2.

Identifiers and Publication ................................................................................................................................................................................ 4

1.3.

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

1.4.

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

1.5.

Licensing.................................................................................................................................................................................................................. 52.

Index Selection ............................................................................................................................................................................................................ 6
2.1.

Index Universe Requirements........................................................................................................................................................................... 6

2.2.

Selection of the Index Components ............................................................................................................................................................... 6

2.3.

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

3.

Rebalance ..................................................................................................................................................................................................................... 8
3.1.

Ordinary Rebalance ............................................................................................................................................................................................. 8

3.2.

Extraordinary Rebalance ................................................................................................................................................................................... 94.

Calculation of the Index ......................................................................................................................................................................................... 10
4.1.

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

4.2.

Accuracy ................................................................................................................................................................................................................ 10

4.3. Adjustments ......................................................................................................................................................................................................... 10
4.4. Corporate actions ................................................................................................................................................................................................ 11
4.5. Recalculation ........................................................................................................................................................................................................ 124.6. Market Disruption ................................................................................................................................................................................................ 12
5.

Miscellaneous .............................................................................................................................................................................................................13
5.1.

Discretion ...............................................................................................................................................................................................................13

5.2.

Methodology Review...........................................................................................................................................................................................135.3. Changes in calculation method ......................................................................................................................................................................135.4. Termination ...........................................................................................................................................................................................................14
5.5.

Oversight ................................................................................................................................................................................................................14

6.

Definitions ....................................................................................................................................................................................................................15

7.

History of Index Changes ........................................................................................................................................................................................18

Contact ......................................................................................................................................................................................................................................192

Version 1.1 – 21 April 2023

INDEX GUIDELINEINTRODUCTION
This document (the “GUIDELINE”) is to be used as a guideline with regard to the composition, calculation andmaintenance of the Solactive Developed Real Estate ESG Climate Index (the “INDEX”). Any amendments to
the rules made to the GUIDELINE are approved by the OVERSIGHT COMMITTEE specified in Section 5.5. The 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 the meaning
assigned to them as specified in Section 6 (Definitions).
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 the useof 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 obligationfor 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 not contain any
assurance or opinion of SOLACTIVE regarding a possible investment in a financial instrument basedon this INDEX.

3

Version 1.1 – 21 April 2023

INDEX GUIDELINE

1.

INDEX SPECIFICATIONS

1.1.

SCOPE OF THE INDEX

Category
Asset Class
Strategy
Regional Allocation
Rebalancing Fee
Rebalancing Frequency

Description
EquityRepresentation of securities from the Real Estate industry,
screened for ESG compliance and tracking error optimized
Developed Markets
Semi-Annually

1.2. IDENTIFIERS AND PUBLICATIONThe INDEX is published under the following identifiers:
Name
Solactive Developed Real Estate
ESG Climate Index PR
Solactive Developed Real Estate
ESG Climate Index NTR
Solactive Developed Real Estate
ESG Climate Index TR
Solactive Developed Real Estate
ESG Climate USD Index PR
Solactive Developed Real Estate
ESG Climate USD Index NTR
Solactive Developed Real Estate
ESG Climate USD Index TR
Solactive Developed Real Estate
ESG Climate GBP Index PR
Solactive Developed Real Estate
ESG Climate GBP Index NTR
Solactive Developed Real Estate
ESG Climate GBP Index TR

ISIN

Currency TypeRIC

BBG ticker

DE000SL0E867

EUR

PR*

.SOLNTREPSOLNTREP

DE000SL0E875

EUR

NTR*

.SOLNTREN SOLNTREN

DE000SL0E883

EUR

GTR*

.SOLNTRET

DE000SL0FAN6

USD

PR*

.SOLNTRUP SOLNTRUP

DE000SL0FAP1

USD

NTR*

.SOLNTRUN SOLNTRUN

DE000SL0FAQ9

USD

GTR*

.SOLNTRUT SOLNTRUT

DE000SL0GLA8

GBP

PR*

.SOLNTRGP SOLNTRGP

DE000SL0GLB6

GBP

NTR*

.SOLNTRGN SOLNTRGN

DE000SL0GLC4

GBP

GTR*

.SOLNTRGTSOLNTRET

SOLNTRGT*PR, NTR, GTR means that the Index is calculated as price return, net total return, gross total return Index as described in the Equity Index Methodology, whichis available on the SOLACTIVE website: https://www.solactive.com/documents/equity-index-methodology/

4

Version 1.1 – 21 April 2023

INDEX GUIDELINEThe INDEX is published on the website of the INDEX ADMINISTRATOR (www.solactive.com) and is, in addition,
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 the INDEX (e.g. notices, amendments to the GUIDELINE) will be available at thewebsite of the INDEX ADMINISTRATOR: https://www.solactive.com/news/announcements/.

1.3. INITIAL LEVEL OF THE INDEXThe initial level of the INDEX on the 01/11/2017, the START DATE, is 1000. Historical values from the LIVE DATE,
will be recorded in accordance with Article 8 of the BMR. Levels of the INDEX published for a period prior to
the LIVE DATE have been back-tested.

1.4. PRICES AND CALCULATION FREQUENCY
The level of the INDEX is calculated on each CALCULATION DAY from 01:00 a.m. to 10:50 p.m. CET based on the
TRADING PRICES on the EXCHANGES on which the INDEX COMPONENTS are listed. TRADING PRICES of INDEXCOMPONENTS not listed in the INDEX CURRENCY are converted using the current Intercontinental Exchange(ICE) spot foreign exchange rate. Should there be no current TRADING PRICE for an INDEX COMPONENT, the laterof: (i) the most recent CLOSING PRICE; or (ii) the last available TRADING PRICE for the preceding TRADING DAY isused in the calculation.
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 CLOSING PRICES for the INDEX COMPONENTS on the respective
EXCHANGES on which the INDEX COMPONENTS are listed. The CLOSING PRICES 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 the relevant CALCULATION
DAY, the last available 04:00 p.m. London time WM/ Refinitiv Rate will be used for the closing levelcalculation.

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

5

Version 1.1 – 21 April 2023

INDEX GUIDELINE

2.

INDEX SELECTION

On each SELECTION DAY, the INDEX ADMINISTRATOR will revise the composition of the INDEX.
In a first step, the INDEX ADMINISTRATOR determines the INDEX UNIVERSE in accordance with Section 2.1. The
INDEX UNIVERSE comprises all those financial instruments which fulfill the INDEX UNIVERSE REQUIREMENTS (asspecified in Section 2.1) and will constitute a starting pool from which the components of the INDEX will beselected. Based on this INDEX UNIVERSE, the new composition of the INDEX will be determined by applying therules outlined in Section 2.2.
Each new INDEX COMPONENT will be assigned a weight as described in Section 2.3.

2.1.

INDEX UNIVERSE REQUIREMENTS

The INDEX UNIVERSE is comprised of all financial instruments which fulfill the below requirements(the “INDEX UNIVERSE REQUIREMENTS“):Part/ Component of the GBS INDEX UNIVERSE of the Solactive GBS Developed Markets Investable Universe
Property USD Index PR (ISIN: DE000SL0G102), on a SELECTION DAY.
The determination of the INDEX UNIVERSE is fully rule-based and the INDEX ADMINISTRATOR cannot make any
discretionary decisions.

2.2. SELECTION OF THE INDEX COMPONENTS
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 “INDEXCOMPONENT REQUIREMENTS“):
In a first step, all companies in the respective INDEX UNIVERSE are evaluated based on the criteria outlined in
the table below. The evaluation is based on data provided by DATA PROVIDER 1:
Topic
UN Global Compact/ Norms Screening
TobaccoWeapons

Exclusion criterion
Negative impact of the company operation, according to international norms
and principles; in particular on Environment, Human Rights & Community, Labor
Rights & Supply Chain, Governance and Customers.
0% for production of tobacco products
5% for distribution, supply and retail sale of tobacco products
0% for manufacturing small arms (assault and non-assault) weapons
5% distribution or retail sale of small arms weapons
5% for military contracting
6

Version 1.1 – 21 April 2023

INDEX GUIDELINE

Thermal Coal

5% for conventional weapons
5% for civilian firearms
0% for cluster bombs & landmines, nuclear weapons, biochemical/chemical
weapons and depleted uranium weapons
5% for thermal coal mining
30% coal-fired generators
5% for coal-fired generators with weak management of carbon within their own
operations
5% for oil sands and shale
5% from artic oil with weak management of carbon within their products andservices

Private Prisons

5% for private prison operations

Business
Controversy

Classified as “very severe” with regards to customer controversy issues

Explanation: % figures refer to revenue above which criterion is breached.

All companies violating any of the exclusion criteria above are not eligible INDEX COMPONENTS.
In a second step, the remaining securities are screened by their GRESB ESG SCORE or NTAM ESG VECTORSCORE as provided by DATA PROVIDER 1. Companies with a GRESB Assessment of larger than 1 are eligible
INDEX COMPONENTS. For companies without a GRESB Assessment or a GRESB Assessment of 1 or 0, the NTAM
ESG VECTOR SCORE is evaluated. In case the NTAM ESG VECTOR SCORE is equal to 0.5 or in the bottom decileof INDEX UNIVERSE vector scores, the respective security is removed from the INDEX COMPONENTS.
The selection of the INDEX COMPONENTS is fully rule-based and the INDEX ADMINISTRATOR cannot make any
discretionary decision.

2.3. WEIGHTING OF THE INDEX COMPONENTS
On each SELECTION DAY each INDEX COMPONENT is assigned a weight based on an optimization to minimize thetracking error of the INDEX compared to the INDEX UNIVERSE, subject to the following constraints:
a. Compared to the INDEX UNIVERSE, target a reduction in the CARBON INTENSITY of the INDEX by
at least 50%; capped at a minimum CARBON INTENSITY reduction of 30% compared to the
INDEX UNIVERSE.
b. Compared to the INDEX UNIVERSE, target an increase the CARBON RISK RATING of the INDEX by
at least 10%.
c. Compared to the INDEX UNIVERSE, absolute deviation of the individual weights is capped at
the minimum of 0.5% and 5 times the respective weight in the INDEX UNIVERSE.
7

Version 1.1 – 21 April 2023

INDEX GUIDELINE

d. Absolute individual Weights are capped at 9% and floored at 0.02%.
e. Compared to the INDEX UNIVERSE, absolute deviation of the INDUSTRY weights is capped at 2%.
f.

Compared to the INDEX UNIVERSE, absolute deviation of the COUNTRY weights is capped at 2%.

g. Compared to the INDEX UNIVERSE, absolute deviation of the REGION weights is capped at 1%.
h. Compared to the INDEX UNIVERSE, target an absolute deviation of the VALUE FACTOR of the
INDEX is capped at 0.1; capped at a maximum absolute deviation of 0.2 compared to the INDEXUNIVERSE.
i.

Compared to the INDEX UNIVERSE, target an absolute deviation of the SIZE FACTOR of the INDEX
is capped at 0.1; capped at a maximum absolute deviation of 0.2 compared to the INDEXUNIVERSE .

j.

One-way turnover of the INDEX is capped at 15%.

k. HOLDING LIQUIDITY is capped at the minimum of 6-month and 1-month AVERAGE DAILY VALUETRADED.
If no solution can be found, the constraints a, e, f, g, h, i, j and k are relaxed in an iterative manner until
all constraints are met...
In case the sum of the optimized weights of all INDEX COMPONENTS with a weight greater than or equal to 5%
exceeds 35%, such excess weights are proportionally redistributed among the remaining constituents
after the optimization. This is done, until the sum of the weights of all INDEX COMPONENTS with a weightgreater than or equal to 5% does no longer exceed 35%,

3. REBALANCE
3.1. ORDINARY REBALANCE
In order to reflect the new selection of the INDEX COMPONENTS determined on the SELECTION DAY (inaccordance with Section 2.1 and 2.2) the INDEX is adjusted on the REBALANCE DAY after CLOSE OF BUSINESS.
This is carried out by implementing the shares as determined on the FIXING DAY based on the weights
calculated on the SELECTION DAY.
For more information on the rebalance procedure please refer to the Equity Index Methodology, which isincorporated
byreference
andavailable
onthe
Solactive
website:https://www.solactive.com/documents/equity-index-methodology/.
8

Version 1.1 – 21 April 2023

INDEX GUIDELINE

SOLACTIVE will publish any changes made to the INDEX COMPONENTS with sufficient notice before the
REBALANCE DAY on the SOLACTIVE website under the section “Announcement”, which is available athttps://www.solactive.com/news/announcements/.

3.2. EXTRAORDINARY REBALANCE
The INDEX is not rebalanced extraordinarily.

9Version 1.1 – 21 April 2023

INDEX GUIDELINE4.

CALCULATION OF THE INDEX

4.1. INDEX FORMULA
The INDEX is calculated as a price return, net total return and gross total return Index.
The calculation is performed according to the Equity Index Methodology, which is available on the SOLACTIVE
website: https://www.solactive.com/documents/equity-index-methodology/. The divisor index formula
stipulates that the level of the INDEX changes based on the change of the prices of its INDEX COMPONENTS
taking into account their weight in the INDEX and any currency conversion in case the price of an INDEXCOMPONENT is quoted in a currency other than the INDEX CURRENCY.
Any dividends or other distributions are reinvested across the entire basket of INDEX COMPONENTS by meansof a divisor at the opening of the effective date (the so-called ex-date) of the payment of such dividend orother distribution.
A more detailed description of the mechanics of the index calculation formula can be found in the Equity
Index Methodology under Section 1.2.

4.2. ACCURACY
The level of the INDEX will be rounded to two decimal places. Divisors will be rounded to six decimal places.
TRADING PRICES and foreign exchange rates will be rounded to six decimal places.

4.3. ADJUSTMENTS
Under certain circumstances, an adjustment of the INDEX may be necessary between two regular REBALANCE
DAYS. Such adjustment has to be made if a corporate action (as specified in Section 4.4 below) in relation of
an INDEX COMPONENT occurs. Such adjustment may have to be done in relation to an INDEX COMPONENT and/or
may also affect the number of INDEX COMPONENTS and/or the weighting of certain INDEX COMPONENTS and will
be made in compliance with the Solactive Equity Index Methodology, which is incorporated by reference andavailable on the SOLACTIVE website: https://www.solactive.com/documents/equity-index-methodology/.
SOLACTIVE will announce the INDEX adjustment giving a notice period of at least two TRADING DAYS (withrespect to the affected INDEX COMPONENT) on the SOLACTIVE website under the Section “Announcements”,
which is available at https://www.solactive.com/news/announcements/. The INDEX adjustments will be
implemented on the effective day specified in the respective notice.

10

Version 1.1 – 21 April 2023

INDEX GUIDELINE

4.4. CORPORATE ACTIONS
As part of the INDEX maintenance SOLACTIVE will consider various events – also referred to as corporate
actions – which result in an adjustment to the INDEX between two regular REBALANCE DAYS. Such events havea material impact on the price, weighting or overall integrity of INDEX COMPONENTS. Therefore, they need tobe accounted for in the calculation of the INDEX. Corporate actions will be implemented from the cum-day
to the ex-day of the corporate action, so that the adjustment to the INDEX coincides with the occurrence ofthe price effect of the respective corporate action.
Adjustments to the INDEX to account for corporate actions will be made in compliance with the Equity Index
Methodology, which is available on the SOLACTIVE website: https://www.solactive.com/documents/equityindex-methodology/. This document contains for each corporate action a brief definition and specifies therelevant adjustment to the INDEX variables.
While SOLACTIVE aims at creating and maintaining its methodology for treatment of corporate actions as
generic and transparent as possible and in line with regulatory requirements, it retains the right inaccordance with the Equity Index Methodology to deviate from these standard procedures in case of any
unusual or complex corporate action or if such a deviation is made to preserve the comparability andrepresentativeness of the INDEX over time.
SOLACTIVE considers following, but not conclusive, list of corporate actions as relevant for INDEX
maintenance:
Cash Distributions (e.g. payment of a dividend)
Stock distributions (e.g. payment of a dividend in form of additional shares)
Stock distributions of another company (e.g. payment of a dividend in form of additional shares ofanother company (e.g. of a subsidiary))
Share splits (company's present shares are divided and therefore multiplied by a given factor)
Reverse splits (company's present shares are effectively merged)
Capital increases (such as issuing additional shares)
Share repurchases (a company offer its shareholders the option to sell their shares to a fixed price)
Spin-offs (the company splits its business activities into two or more entities and distributes newequity shares in the created entities to the shareholders of the former entity)
Mergers & Acquisitions (transaction in which the ownership of a company (or other businessorganizations) are transferred or consolidated with other entities, e.g. fusion of two or more
separate companies into one entity)
Delistings (company's shares are no longer publicly traded at a stock exchange)
Nationalization of a company (effective control of a legal entity is taken over by a state)
11

Version 1.1 – 21 April 2023

INDEX GUIDELINE

Insolvency

4.5. 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 “a reasonable 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/.

4.6. 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 andavailable on the SOLACTIVE website: https://www.solactive.com/documents/disruption-policy/. Suchmarket stress can arise due to a variety of reasons, but generally results in inaccurate or delayed prices forone or more INDEX COMPONENTS. The determination of the INDEX may be limited or impaired at times of illiquid
or fragmented markets and market stress.

12

Version 1.1 – 21 April 2023

INDEX GUIDELINE5.

MISCELLANEOUS

5.1. DISCRETION
Any discretion which may need to be exercised in relation to the determination of the INDEX (for example
the determination of the INDEX UNIVERSE (if applicable), the selection of the INDEX COMPONENTS (if applicable)or any other relevant decisions in relation to the INDEX) shall be made in accordance with strict rules
regarding the exercise of discretion or expert judgement.

5.2. METHODOLOGY REVIEWThe methodology of the INDEX is subject to regular review, at least annually. In case a need of a change ofthe 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 is based 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 isincorporated
byreference
andavailable
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.

5.3. CHANGES IN CALCULATION METHOD
The application by the INDEX ADMINISTRATOR of the method described in this document is final and binding.
The INDEX ADMINISTRATOR shall apply the method described above for the composition and calculation 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 INDEX ADMINISTRATOR may also make changes
to the terms and conditions of the INDEX and the method applied to calculate the INDEX that it deems to benecessary 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 willtake the appropriate steps to ensure a calculation method is applied that is consistent with the method
described above.

13

Version 1.1 – 21 April 2023

INDEX GUIDELINE

5.4. TERMINATIONSOLACTIVE makes the greatest possible efforts to ensure the resilience and continued integrity of its indicesover time. Where necessary, SOLACTIVE follows a clearly defined and transparent procedure to adapt Index
methodologies to changing underlying markets (see Section 5.2 “Methodology Review”) in order to maintaincontinued reliability and comparability of the indices. Nevertheless, if no other options are available theorderly 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 and in a way notforeseeable at the time of inception of the index, the index rules, and particularly the selection criteria, canno longer be applied coherently or the index is no longer used as the underlying 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/.

5.5. 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. Any such amendment,
which may result in an amendment of the GUIDELINE, must be submitted to the OVERSIGHT COMMITTEE for priorapproval and will be made in compliance with the Methodology Policy, which is available on the SOLACTIVE
website: https://www.solactive.com/documents/methodology-policy/.

14

Version 1.1 – 21 April 2023

INDEX GUIDELINE

6.

DEFINITIONS“AVERAGE DAILY VALUE TRADED” means, in respect of an INDEX COMPONENT, the sum of DAILY VALUE TRADED
over the specified period divided by the number of TRADING DAYS that fall in the specified period.
“BENCHMARK REGULATION” shall have the meaning as defined in Section “Introduction”.
“BMR” shall have the meaning as defined in Section “Introduction”.
“BUSINESS DAY” is any weekday from Monday through Friday.
“CALCULATION DAY” is every weekday from Monday to Friday.
“CARBON INTENSITY” on the SELECTION DAY is calculated as:
CARBON INTENSITY =

GHG
EVIC

If the CARBON INTENSITY is not computable for a company due to missing data, the company receives themedian CARBON INTENSITY of the INDEX UNIVERSE.
“CARBON RISK RATING” on the SELECTION DAY as provided by DATA PROVIDER 2. If the CARBON RISK RATING is notavailable for a company due to missing data, the company receives the median CARBON RISK RATING of the
INDEX UNIVERSE.
“CLOSE OF BUSINESS” is the calculation time of the closing level of the INDEX as outlined in Section 1.4.
The “CLOSING PRICE” in respect of an INDEX COMPONENT and a TRADING DAY is a security's final regular-hours
TRADING PRICE published by the EXCHANGE and determined in accordance with the EXCHANGE regulations. If
the EXCHANGE has no or has not published a CLOSING PRICE in accordance with the EXCHANGE rules for an INDEXCOMPONENT, the last TRADING PRICE will be used.
“COUNTRY” is defined by the country assignment of the Global Benchmark(https://solactive.com/downloads/Guideline-Solactive-GBS-Benchmark-Series.pdf).

Series“DAILY VALUE TRADED” means, in respect of an INDEX COMPONENT and a TRADING DAY, the product of (i) the
CLOSING PRICE of such INDEX COMPONENT and (ii) the volume traded (measured as a number of shares) of such
INDEX COMPONENT on the EXCHANGE during such TRADING DAY.
“DATA PROVIDER 1” is Northern Trust Corporation. For more information, please visit:https://www.northerntrust.com/.
“DATA PROVIDER 2” is ISS. For more information, please visit: https://www.issgovernance.com/.
“ELIGIBLE REBALANCE DAY” is each day that is a TRADING DAY at the New York Stock Exchange, the London Stock
Exchange, the EUREX Exchange, and the Tokyo Stock Exchange.
“EVIC” is the Enterprise Value including Cash in USD on the respective SELECTION DAY.
“EXCHANGE” is with respect to the INDEX and every INDEX COMPONENT, the respective exchange where the
INDEX COMPONENT has its listing as determined in accordance with the rules in Section 2.
15

Version 1.1 – 21 April 2023

INDEX GUIDELINE“FIXING DAY” is SELECTION DAY.
“GBS INDEX UNIVERSE” is the INDEX UNIVERSE as defined in the guideline of the Solactive Global Benchmark
Series (https://solactive.com/downloads/Guideline-Solactive-GBS-Benchmark-Series.pdf) for the GBS
Index specified in Section 2.1.
“GHG” are the Greenhouse Gas Emissions of a company as of the SELECTION DAY as provided by DATAPROVIDER 2. The GHG metric is calculated as the sum of Scope 1 and Scope 2 emissions. In particular:
Scope 1 emissions: All direct Greenhouse Gas Emissions;
Scope 2 emissions: Indirect Greenhouse Gas Emissions from consumption of purchased electricity,heat or steam;The “GRESB ESG SCORE” is independently produced by GRESB B.V., without involvement of DATA PROVIDER
1. For more information, please visit https://www.gresb.com/.
“GUIDELINE” shall have the meaning as defined in Section “Introduction”.
“HOLDING LIQUIDITY” is calculated assuming a notional of USD 4 billion.
“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” is the currency specified in the column “Currency” in the table in Section 1.2.
“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.
“INDUSTRY” is defined as the “Subindustry” level of the FactSet RBICS Focus classification.
“LIVE DATE” is 28/06/2022 for the EUR and USD currency indices and 22/07/2022 for the GDP currency
indices.
The “NTAM ESG VECTOR SCORE” is provided by DATA PROVIDER 1, based on the respective INDEX UNIVERSE at
SELECTION DAY.
“OVERSIGHT COMMITTEE” shall have the meaning as defined in Section 5.5.
“REBALANCE DAY” is the close of the first Wednesday in May and November. If that day is not an ELIGIBLE
REBALANCING DAY, the REBALANCING DAY will be the following ELIGIBLE REBALANCING DAY.
“REGION” is defined as Asia, EMA or Americas.
“SELECTION DAY” is the BUSINESS DAY 20 BUSINESS DAYS before the scheduled REBALANCE DAY, disregarding any
potential change of the REBALANCE DAY.

16

Version 1.1 – 21 April 2023

INDEX GUIDELINE

The “SHARE CLASS MARKET CAPITALIZATION” is with regard to each of the securities in the INDEX on a
SELECTION DAY the share class-specific market capitalization for any security in the INDEX UNIVERSE. It is
calculated as the multiplication of the shares outstanding with the CLOSING PRICE of the share class as of
the respective SELECTION DAY.
“SIZE FACTOR” is defined by the z-score of winsorized TOTAL MARKET CAPITALIZATION.
“SOLACTIVE” shall have the meaning as defined in Section “Introduction”.
“START DATE” shall have the meaning as defined in Section 1.3.
The “TOTAL MARKET CAPITALIZATION” is with regard to each of the securities in the INDEX on a SELECTION DAY
the sum of all SHARE CLASS MARKET CAPITALIZATIONs of a company.
“TRADING DAY” is with respect to an INDEX COMPONENT included in the INDEX at the REBALANCE DAY and every
INDEX COMPONENT included in the INDEX at the CALCULATION DAY immediately following the REBALANCE DAY (forclarification: this provision is intended to capture the TRADING DAYS for the securities to be included in the
INDEX as new INDEX COMPONENTS with close of trading on the relevant EXCHANGE on the REBALANCE DAY) a dayon which the relevant EXCHANGE is open for trading (or a day that would have been such a day if a market
disruption had not occurred), excluding days on which trading may be ceased prior to the scheduled
EXCHANGE closing time and days on which the EXCHANGE is open for a scheduled shortened period. The INDEXADMINISTRATOR is ultimately responsible as to whether a certain day is a TRADING DAY.
The “TRADING PRICE” in respect of an INDEX COMPONENT and a TRADING DAY is the most recent published priceat which the INDEX COMPONENT was traded on the respective EXCHANGE.
"VALUE FACTOR" IS defined by the z-score of winsorized book to price value.
"WM / REFINITIV RATE" shall have the meaning as defined in Section 1.4.

17

Version 1.1 – 21 April 2023

INDEX GUIDELINE7.

HISTORY OF INDEX CHANGES
VersionDate

Description

1.0

28 June 2022

Index Guideline creation (initial version)

1.1

22 July 2022

Addition of GBP Currency Version

18

Version 1.1 – 21 April 2023

INDEX GUIDELINECONTACT
Solactive AG
German Index Engineering
Platz der Einheit 1
60327 Frankfurt am Main
Germany
Tel.:
Fax:
Email:
Website:+49 (0) 69 719 160 00+49 (0) 69 719 160 25
info@solactive.com
www.solactive.com© Solactive AG
19

Version 1.1 – 21 April 2023