I NDEX G UIDELINE
SOLACTIVE GBS UNITED STATES 500 HEDGED TO CAD INDEX

Version 1.2

03 May 2024

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.

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

2.2.

Weighting of the Index Currency Components ........................................................................................................................................... 6

3.

Rebalance ..................................................................................................................................................................................................................... 7
3.1.

Ordinary Rebalance ............................................................................................................................................................................................. 7

3.2.

Extraordinary Rebalance ................................................................................................................................................................................... 7

4.

Calculation of the Index ........................................................................................................................................................................................... 8
4.1.

Index formula ......................................................................................................................................................................................................... 8

4.2.

Accuracy .................................................................................................................................................................................................................. 94.3. Recalculation ......................................................................................................................................................................................................... 95.

Miscellaneous ............................................................................................................................................................................................................ 10
5.1.

Discretion .............................................................................................................................................................................................................. 10

5.2.

Methodology Review.......................................................................................................................................................................................... 10

5.3. Changes in calculation method ..................................................................................................................................................................... 10
5.4. Termination ........................................................................................................................................................................................................... 11
5.5.

Oversight ................................................................................................................................................................................................................ 11

6.

Definitions .................................................................................................................................................................................................................... 12

7.

History of Index Changes ........................................................................................................................................................................................14

Contact ......................................................................................................................................................................................................................................15

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INDEX GUIDELINEINTRODUCTION
This document (the “GUIDELINE”) is to be used as a guideline with regard to the composition, calculation andmaintenance of SOLACTIVE GBS UNITED STATES 500 HEDGED TO CAD 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.

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1.

INDEX SPECIFICATIONS

1.1.

SCOPE OF THE INDEX

Category
Asset ClassUNDERLYING INDEX

Description
EquitySolactive GBS United States 500 CAD Index

Strategy

The INDEX tracks the performance of the UNDERLYING INDEX andhedges the currency exposure to a local currency on a one month
basis via FX forward contracts.

Local Currency
Currency Hedge type
Rebalancing Frequency
Forward contract maturity

CAD
Standard
Monthly
1M**1M means that the reference contract maturity is One Month.

1.2. IDENTIFIERS AND PUBLICATIONThe INDEX is published under the following identifiers:
Name
SOLACTIVE GBS UNITED STATES 500
HEDGED TO CAD INDEX TR
SOLACTIVE GBS UNITED STATES 500
HEDGED TO CAD INDEX PR
SOLACTIVE GBS UNITED STATES 500
HEDGED TO CAD INDEX (CA NTR)

ISIN

Currency

Type

RIC

BBG
tickerLive Date

Underlying
Index

DE000SL0KLV6

CAD

CH*

.US500CE

US500CE

14/09/2023.US500CT

DE000SL0KLX2

CAD

CH*

.US500CD

US500CD

20/09/2023.US500C

DE000SL0MDG0

CAD

CH*

.US500CCH

US500CCH

03/05/2024.US500CC*CH means that the Index is calculated as Currency Hedge Index, as described in the Solactive Currency Hedge Master Methodology, which is available on the
SOLACTIVE website: https://www.solactive.com/wp-content/uploads/2018/01/Currency-Hedge-Methodology-2019.pdf

The 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/.

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1.3. INITIAL LEVEL OF THE INDEXThe initial level of the CURRENCY HEDGE INDEX on the 31/05/2006, the START DATE, is 1,000. Historical values
from the LIVE DATE, as shown in Section 1.2., will be recorded in accordance with Article 8 of the BMR. Levelsof 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 9:30 a.m. to 04:55 p.m. EST based on thecurrent values of the UNDERLYING INDEX. TRADING PRICES of the UNDERLYING INDEX COMPONENTS 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 later of: (i) the most recent CLOSING
PRICE; or (ii) the last available TRADING PRICE for the preceding TRADING DAY is used 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 UNDERLYING INDEX and 4:00 p.m. London
time WM Spot and Forward Fixings quoted by Refinitiv. If there is no 4:00 p.m. London time WM/REFINITIVRATE for the relevant CALCULATION DAY, the last available 4:00 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 and financial
contracts may be issued to stock exchanges, banks, financial services providers and investment houses by
SOLACTIVE.

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2.

INDEX SELECTION

In a first step, the INDEX ADMINISTRATOR determines the SELECTION DAY in accordance with Section 2.1. The
INDEX CURRENCY UNIVERSE comprises all those currencies, on which the UNDERLYING INDEX COMPONENTS arelisted in.
Each new INDEX CURRENCY COMPONENT will be assigned a weight as described in Section 2.2.

2.1. SELECTION OF THE INDEX CURRENCY COMPONENTS
Based on the INDEX CURRENCY 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 “INDEXCURRENCY COMPONENT REQUIREMENTS“):•

All of the currencies from the INDEX CURRENCY UNIVERSE.

The selection of the INDEX CURRENCY COMPONENTS is fully rule-based and the INDEX ADMINISTRATOR cannot
make any discretionary decision.

2.2. WEIGHTING OF THE INDEX CURRENCY COMPONENTS
On each SELECTION DAY, the weight of each INDEX CURRENCY COMPONENT is assigned according to theaggregated weights of all the UNDERLYING INDEX COMPONENTS quoted in the respective Currency.

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3. REBALANCE
3.1. ORDINARY REBALANCE
In order to reflect the new selection of the INDEX CURRENCY 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.

3.2. EXTRAORDINARY REBALANCE
The INDEX is not rebalanced extraordinarily.

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INDEX GUIDELINE4.

CALCULATION OF THE INDEX

4.1. INDEX FORMULA
The INDEX is calculated as a currency hedge standard index.
The index value on a TRADING DAY at the relevant time is calculated in accordance with the following
formula:
𝑈𝐼𝑡
𝐻𝐼𝑡 = 𝐻𝐼𝑅𝑇 ⋅ (1 + (− 1) + 𝐻𝐼𝑀𝑡 )
𝑈𝐼𝑅𝑇
with:
𝐻𝐼𝑡

Hedged index on TRADING DAY 𝑡

𝐻𝐼𝑅𝑇Hedged index on REBALANCE DAY 𝑅𝑇 immediately preceding TRADING DAY 𝑡

𝑈𝐼𝑡

UNDERLYING INDEX on TRADING DAY 𝑡𝑈𝐼𝑅𝑇UNDERLYING INDEX on REBALANCE DAY 𝑅𝑇 immediately preceding TRADING DAY 𝑡

𝐻𝐼𝑀𝑡

Hedge impact on TRADING DAY 𝑡, calculated according to the following formula:𝑛11
𝑚
𝐻𝐼𝑀𝑡 = 𝐴𝐹𝑅𝑇 ⋅ ∑ 𝑤𝑖,𝑆𝑇 ⋅ 𝑆𝑖,𝑆𝑇⋅ ( 𝑚 − 𝑚)
𝐹𝑖,𝑅𝑇 𝐼𝐹𝑖,𝑡
𝑖=1

with:
𝐴𝐹𝑅𝑇

Adjustment factor on TRADING DAY 𝑡, calculated according to the following formula:𝐻𝐼

𝐴𝐹𝑅𝑇 = 𝐻𝐼 𝑆𝑇

𝑅𝑇

with:
𝐻𝐼𝑆𝑇

Hedged index on the SELECTION DAY 𝑆𝑇 immediately preceding TRADING DAY 𝑡𝑛

Number of different currencies in the unhedged Index (without considering thecurrency in which the index is calculated)

𝑤𝑖,𝑆𝑇

Weight of currency 𝑖 on SELECTION DAY 𝑆𝑇

𝑚
𝑆𝑖,𝑆𝑇

Mid spot of currency 𝑖 on SELECTION DAY 𝑆𝑇

𝑚
𝐹𝑖,𝑅𝑇

MID FORWARD RATE of currency 𝑖 on REBALANCE DAY 𝑅𝑇
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𝑚
𝐼𝐹𝑖,𝑡

Interpolated forward on TRADING DAY 𝑡 which is calculated as follows:

𝑚
𝑚
𝑚
𝑚
𝐼𝐹𝑖,𝑡
= 𝑆𝑖,𝑡+ (𝐹𝑖,𝑡− 𝑆𝑖,𝑡
)⋅

𝐷−𝑑
𝐷

with:
𝑚
𝑆𝑖,𝑡

Mid spot of currency 𝑖 on Trading Day 𝑡𝑚
𝐹𝑖,𝑡

MID FORWARD RATE of currency 𝑖 on Trading Day 𝑡

𝐷

Number of calendar days between the last and the next REBALANCE DAY 𝑅𝑇

𝑑Number of calendar days between the last REBALANCE DAY 𝑅𝑇 and TRADING DAY 𝑡

As the INDEX seeks to hedge the U.S. dollar currency exposure of the UNDERLYING INDEX by using a monthly
rebalancing, some currency exposure resulting from changes in the level of the UNDERLYING INDEX may not
be fully hedged. As such, the performance of the INDEX may deviate from the performance of the Solactive
GBS United States 500 Index TR (ISIN: DE000SL0AE81). Furthermore, any difference between the Canadiandollar and the U.S. dollar interest rates will impact the currency hedging effectiveness.

4.2. ACCURACY
The level of the INDEX will be rounded to two decimal places.

4.3. 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 “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/.

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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.

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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/.

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6.

DEFINITIONS“BENCHMARK REGULATION” shall have the meaning as defined in Section “Introduction”.
“BMR” shall have the meaning as defined in Section “Introduction”.
“BUSINESS DAY” a day on which the UNDERLYING INDEX quote. For clarity, a day on which the UNDERLYING INDEX
does not quote is not considered as a BUSINESS DAY.
“CALCULATION DAY” is any day which is a BUSINESS DAY.
“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.
“CURRENCY HEDGE INDEX” represent the return resulting from the sum of an underlying index performanceand the performance of the hedge of this index using currency forward contracts.
“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.
“GUIDELINE” shall have the meaning as defined in Section “Introduction”.
“INDEX” shall have the meaning as defined in Section “Introduction”.
“INDEX ADMINISTRATOR” shall have the meaning as defined in Section “Introduction”.
“INDEX CURRENCY COMPONENTS” is each currency on which UNDERLYING INDEX COMPONENT trades in themarket.
“INDEX CURRENCY UNIVERSE” comprises all those currencies, on which the UNDERLYING INDEX COMPONENTS arelisted in.
“INDEX CURRENCY” is the currency specified in the column “Currency” in the table in Section 1.2.
“INDEX CURRENCY COMPONENT WEIGHT” is value resultant from the sum of all the UNDERLYING INDEXCOMPONENT’S weights quoted in the respective Currency.
“INDEX CURRENCY UNIVERSE” is the sum of all currencies which fulfill the INDEX CURRENCY UNIVERSEREQUIREMENTS.
“INDEX CURRENCY UNIVERSE REQUIREMENTS” shall have the meaning as defined in Section 2.1.
“LIVE DATE” shall have the meaning as defined in Section 1.2.
“MID FORWARD RATE” is the average of the bid forward rate and ask forward rate as provided by the official
data provider as describe in section 1.4.
“OVERSIGHT COMMITTEE” shall have the meaning as defined in Section 5.5.
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INDEX GUIDELINE“REBALANCE DAY” is the last Business Day of each month.
“SELECTION DAY” is the business day immediately preceding the next Rebalance Day.
“SOLACTIVE” shall have the meaning as defined in Section “Introduction”.
“START DATE” shall have the meaning as defined in Section 1.3.
“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.
“UNDERLYING INDEX” shall have the meaning as defined in Section 1.2.
“UNDERLYING INDEX COMPONENT” is each security reflected in the composition of the UNDERLYING INDEX.
"WM/REFINITIV RATE" shall have the meaning as defined in Section 1.4.

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INDEX GUIDELINE7.

HISTORY OF INDEX CHANGES
VersionDate

Description

1.0

2023-09-14

Index Guideline creation (initial version)

1.1

2023-09-20

Addition of the SOLACTIVE GBS UNITED STATES 500 HEDGED TO
CAD INDEX PR

1.2

2024-05-03

Addition of the SOLACTIVE GBS UNITED STATES 500 HEDGED TO
CAD INDEX (CA NTR)

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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
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