I NDEX G UIDELINE
SOLACTIVE TRANSATLANTIC ESG RISKIMPROVERS INDEX

Version 1.0
15 July 2024

I NDEX 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 .......................................................................................................................................................4
1.4. Prices and calculation frequency..........................................................................................................................................5
1.5. Licensin g ..................................................................................................................................................................................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...................................................................................................................................93.

Rebalance................................................................................................................................................................................... 10
3.1. Ordinary Rebalance ............................................................................................................................................................. 10
3.2. Extraordinary Rebalance .................................................................................................................................................... 10

4.

Calculation of the Index........................................................................................................................................................... 11
4.1. Index formula ....................................................................................................................................................................... 11
4.2. Accuracy................................................................................................................................................................................ 124.3. Adjustments .......................................................................................................................................................................... 124.4. Corporate actions ................................................................................................................................................................. 124.5. Recalculation ........................................................................................................................................................................ 13
4.6. Market Disruption................................................................................................................................................................ 13

5.

Miscellaneous............................................................................................................................................................................ 14
5.1. Discretion .............................................................................................................................................................................. 14
5.2. Methodology Review .......................................................................................................................................................... 14
5.3. Changes in calculation method.......................................................................................................................................... 14
5.4. Termination........................................................................................................................................................................... 14
5.5. Oversight ............................................................................................................................................................................... 15

6.

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

7.

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

Contact................................................................................................................................................................................................... 19

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I NDEX GUIDELINEINTRODUCTION
This document (the “G UIDELINE”) is to be used as a guideline with regard to the composition,
calculation and maintenance of the Solactive Transatlantic ESR Risk Improvers Index (the “I NDEX”).
Any amendments to the rules made to the GUIDELINE are approved by the O VERSIGHT COMMITTEE
specified in Section 5.5. The I NDEX is owned, calculated, administered and published by Solactive
AG (“SOLACTIVE”) assuming the role as administrator (the “I NDEX ADMINISTRATOR”) under the
Regulation (EU) 2016/1011 (the “BENCHMARK REGULATION” or “BMR”). The name “Solactive” istrademarked.
The text uses defined terms which are formatted with “SMALL CAPS ”. Such Terms shall have themeaning assigned to them as specified in Section 6 (Definitions).
The G UIDELINE and the policies and methodology documents referenced herein contain theunderlying principles and rules regarding the structure and operation of the I NDEX. The I NDEXADMINISTRATOR does not offer any explicit or tacit guarantee or assurance, neither pertaining to theresults from the use of the I NDEX nor the level of the I NDEX at any certain point in time nor in any
other respect. The I NDEX ADMINISTRATOR strives to the best of its ability to ensure the correctness ofthe calculation. There is no obligation for the I NDEX ADMINISTRATOR – irrespective of possible
obligations to issuers – to advise third parties, including investors and/or financial intermediaries, ofany errors in the I NDEX. The publication of the I NDEX by the I NDEX ADMINISTRATOR does notconstitute a recommendation for capital investment and does not contain any assurance or opinion of
the I NDEX ADMINISTRATOR regarding a possible investment in a financial instrument based on thisI NDEX.

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1. INDEX SPECIFICATIONS
1.1. SCOPE OF THE INDEX
Category
Asset Class

Strategy

Regional Allocation
Rebalancing Frequency

Description
EquityThe I NDEX is a rules-based strategy that represents theperformance of certain securities from the Solactive GBS
Developed Markets Large & Mid Cap USD Index PR (ISIN:
DE000SLA41B6) (the “GBS INDEX”) in the Eurozone andUnited States which are selected and weighted periodically by
the I NDEX A DMINISTRATOR by reference to an ESG criteria anddata provided by Sustainalytics and Arabesque (as further set
out in the Guideline).
Eurozone and United States
Semi-annually

1.2. IDENTIFIERS AND PUBLICATION
Each I NDEX is published under the following identifiers:
Name
Solactive Transatlantic ESG
Risk Improvers Index PR
Solactive Transatlantic ESG
Risk Improvers Index NTR
Solactive Transatlantic ESG
Risk Improvers Index TR
Solactive Transatlantic ESG
Risk Improvers Index 5% AR

ISIN

Currency

Type

RIC

DE000SL0L441

EUR

PR*

.SOLTERIP

DE000SL0L458

EUR

NTR*

DE000SL0L466

EUR

GTR*

.SOLTERIT

DE000SL0L474

EUR

AR*

.SOLTERI5

BBG ticker

SOLTERIP
Index
SOLTERIN.SOLTERIN
Index
SOLTERI5
Index*PR, NTR, GTR means that the Index is calculated as price return, net total return, gross total return, adjusted return Index as described in the Equity
Index Methodology, which is available on the INDEX ADMINISTRATOR’S website: https://www.solactive.com/documents/equity-index-methodology/**AR means that the index is calculated as an adjusted return index, following the formula specified in Section 4.

The I NDEX is published on the website of the I NDEX 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 I NDEX via its information systems.
Any publication in relation to the I NDEX (e.g. notices, amendments to the G UIDELINE) will beavailableatthewebsiteofthe
I NDEXA DMINISTRATOR:
https://www.solactive.com/news/announcements/.

1.3. INITIAL LEVEL OF THE INDEXThe initial level of the I NDEX on the 02/01/2017, (the “START DATE”), is 1000. Historical values fromthe 15/07/2024, (the “LIVE DATE”), will be recorded in accordance with Article 8 of the BMR. Levelsof the I NDEX published for a period prior to the LIVE DATE have been back-tested.
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1.4. PRICES AND CALCULAT ION FREQUENCY
The intraday level of the I NDEX is calculated on each CALCULATION D AY from 9:00 a.m. to 10:50
p.m. CET based on the TRADING PRICES for the I NDEX COMPONENTS on the respective EXCHANGES
on which the I NDEX COMPONENTS are listed. TRADING PRICES of I NDEX COMPONENTS which are notlisted in the I NDEX CURRENCY are converted using the current Intercontinental Exchange (ICE) spot
foreign exchange rate. If there is no current TRADING PRICE for an I NDEX COMPONENT in respect of a
CALCULATION DAY, the later of: (i) the most recent CLOSING PRICE; or (ii) the last available TRADING
PRICE for the TRADING DAY preceding such CALCULATION D AY, in each case in respect of such I NDEXCOMPONENT, is used in the calculation of the intraday level of the I NDEX for such CALCULATION DAY.
In addition to the intraday calculation of the level of the I NDEX, a closing level of the I NDEX for each
CALCULATION DAY is also calculated. This closing level is based on the CLOSING PRICES for the
I NDEX COMPONENTS on the respective EXCHANGES on which the I NDEX COMPONENTS are listed. If
there is no CLOSING PRICE for an INDEX COMPONENT in respect of a CALCULATION DAY, the last priceavailable in respect of such I NDEX COMPONENT is used for such closing level calculation. The CLOSING
PRICES of I NDEX COMPONENTS which are not listed in the I NDEX CURRENCY are converted using the
04:00 p.m. London time rates provided by WM/ Refinitiv (the “WM/ REFINITIV RATE”), provided
that 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 of the I NDEX in respect of the relevant CALCULATION DAY.

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

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2. INDEX SELECTION
On each SELECTION DAY, the I NDEX ADMINISTRATOR will revise the composition of the I NDEX.
Firstly, the I NDEX ADMINISTRATOR shall determine the I NDEX U NIVERSE on the relevant SELECTION
DAY in accordance with Section 2.1. The I NDEX UNIVERSE on a SELECTION D AY shall comprise eachsecurity which fulfills the I NDEX UNIVERSE REQUIREMENTS (as specified in Section 2.1) on such
SELECTION DAY and will constitute a starting pool from which the I NDEX COMPONENTS will beselected. The I NDEX ADMINISTRATOR shall then select which securities in such I NDEX UNIVERSE shallbe the I NDEX COMPONENTS that comprise the I NDEX by applying the rules outlined in Section 2.2.
Each I NDEX COMPONENT will be assigned a weight as described in Section 2.3.

2.1. INDEX UNIVERSE REQUIREMENT S
The I NDEX UNIVERSE on a SELECTION DAY is comprised of all securities which fulfill the below
requirements (the “INDEX U NIVERSE R EQUIREMENTS”):•

Is a GBS I NDEX COMPONENT of the GBS I NDEX on such SELECTION DAY.

•I s classified under any of the REGIONS as defined in Section 6.

The determination of the I NDEX UNIVERSE on a SELECTION DAY is fully rule-based and the I NDEXADMINISTRATOR cannot make any discretionary decisions as to the determination of the I NDEXUNIVERSE.

2.2. SELECTION OF THE INDEX COMPONENTS
Based on the relevant I NDEX UNIVERSE, the initial composition of the I NDEX, as well as thecomposition of the I NDEX following any ordinary rebalancing, is determined on the relevant
SELECTION DAY in accordance with the following rules (the “I NDEX COMPONENT REQUIREMENTS”):
Firstly, all the issuers of each security in the I NDEX UNIVERSE on the relevant SELECTION DAY areevaluated by the I NDEX A DMINISTRATOR based on the criteria outlined in the table below. The
evaluation is based on data provided by DATA PROVIDER 1 and, where no data is provided in relation
to the issuer of a security in the I NDEX U NIVERSE on a SELECTION DAY, such security shall be deemed
to be excluded from the I NDEX UNIVERSE for such SELECTION D AY.
ThemeOverallGlobalStandards
Compliance
StatusScreening:

Topic
Environment

SocialGovernanceExclusion Criterion
Non-compliance of the company’s
operations with the TEN UN
GLOBAL COMPACT PRINCIPLES andother related international norms
and standards in respect of ESG
criteria.
Companies rated by DATAPROVIDER 1 as “Non-Compliant”
will be excluded.

Nuclear weapons
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Controversial Anti-personnel weapons
Weapons
Cluster weapons
Biological weaponsChemical weapons
Uranium munition
White phosphorus munition
Thermal Coal
Oil Sands
Oil & Gas
Palm Oil
ActivityBased
Screening
Adult entertainment

Gambling
Tobacco0% involvement in core weapon
systems,orinthecomponents/servicesofcore
weapon systems that are considered
tailor-made and essential for thelethal use of the weapon.
0% for mining; and
10% for power generation.
0% for extraction.
10% for oil and gas exploration,
production, refining, transportation
and/or storage.
0%
forproduction
and/ordistribution of palm oil.
5% for production of adultentertainment
and/orownership/operationof
adult
entertainment establishments; and
5% for production of adultentertainment
and/orowns/operates adult entertainment
establishments.
5% for operation and/or ownershipof a gambling establishment.
0% for production/cultivation; or
10% for distribution.

Explanation: % figures refer to revenue threshold (for degree of involvement) above whichcriterion is breached. For thermal coal power generation and extraction of oil sands, the % figuresrefer to revenue or production capacity (whatever is higher).
Secondly, if no data is provided by DATA PROVIDER 2 in relation to the issuer of a security in the
I NDEX UNIVERSE on a SELECTION DAY, such security shall be deemed to be excluded from the
I NDEX UNIVERSE for such SELECTION D AY.
Thirdly, any security in the I NDEX UNIVERSE on a SELECTION D AY with a 1-month or 6-month
AVERAGE D AILY VALUE TRADED below USD 10 million shall be deemed to be excluded for the
I NDEX UNIVERSE for such SELECTION D AY.
For all remaining securities, the below process is implemented to determine the I NDEX COMPONENTS:
Calculating z-score for each security:
The ESG Score and ESG Momentum Score on SELECTION D AY t are determined as follows:
1. ESG Score is a value computed in respect of each security by DATA PROVIDER 2.
2. ESG Momentum Score is computed as the relative difference between the ESG Score of suchsecurity on SELECTION DAY t and the ESG Score of security 126 TRADING D AYS (6 months)
before SELECTION D AY t, calculated in accordance with the following formula:
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𝐸𝑠𝑔𝑀𝑜𝑚𝑡 =𝐸𝑆𝐺𝑆𝑐𝑜𝑟𝑒𝑡−1
𝐸𝑆𝐺𝑆𝑐𝑜𝑟𝑒𝑡−126

Data for the ESG Score and the ESG Momentum Score in respect of a security is provided by DATAPROVIDER 2.
Each security’s z-score on a SELECTION DAY t is calculated in accordance with the below at the stocklevel using mean and standard deviations based on all I NDEX COMPONENTS which the I NDEXADMINISTRATOR has determined will comprise the I NDEX pursuant to Section 2.2 above on
SELECTION DAY t and their respective REGIONS.
The 𝐸𝑠𝑔𝑀𝑜𝑚𝑧𝑡 for a security at SELECTION D AY t is calculated in accordance with the following
formula:𝐸𝑠𝑔𝑀𝑜𝑚𝑧𝑡 =𝐸𝑠𝑔𝑀𝑜𝑚 𝑡 − 𝑀𝑒𝑎𝑛𝐸𝑠𝑔𝑀𝑜𝑚𝑟𝑡
𝑆𝐷𝐸𝑠𝑔𝑀𝑜𝑚𝑟𝑡

where:
𝐸𝑠𝑔𝑀𝑜𝑚 𝑡 is the ESG Momentum Score of a security at SELECTION DAY t.
𝑀𝑒𝑎𝑛𝐸𝑠𝑔𝑀𝑜𝑚𝑟𝑡 is the mean of the ESG Momentum Score at SELECTION D AY t for all securities of
REGION r.
𝑆𝐷𝐸𝑠𝑔𝑀𝑜𝑚𝑟𝑡 is the standard deviation of the ESG Momentum Score at SELECTION D AY t for all
securities of REGION r.
The 𝐸𝑠𝑔𝑆𝑐𝑜𝑟𝑒𝑡𝑧 score for a security at SELECTION D AY t is calculated in accordance with thefollowing formula:

𝐸𝑠𝑔𝑆𝑐𝑜𝑟𝑒𝑡𝑧 =𝐸𝑠𝑔𝑆𝑐𝑜𝑟𝑒𝑡 − 𝑀𝑒𝑎𝑛𝐸𝑠𝑔𝑆𝑐𝑜𝑟𝑒𝑡𝑟
𝑆𝐷𝐸𝑠𝑔𝑆𝑐𝑜𝑟𝑒𝑡𝑟

where:
𝐸𝑠𝑔𝑆𝑐𝑜𝑟𝑒𝑡 is the ESG Score of a security at SELECTION DAY t.
𝑀𝑒𝑎𝑛𝐸𝑠𝑔𝑆𝑐𝑜𝑟𝑒𝑡𝑟 is the mean of the ESG Score at SELECTION D AY t for all securities of REGION r.
𝑆𝐷𝐸𝑠𝑔𝑆𝑐𝑜𝑟𝑒𝑡𝑟 is the standard deviation of the ESG Score at SELECTION D AY t for all securities of
REGION r.
Calculating the Combined Score for each security:
The Combined Score for a security at SELECTION DAY t is calculated by taking the average of thenormalized variables 𝐸𝑠𝑔𝑀𝑜𝑚𝑧𝑡 and 𝐸𝑠𝑔𝑆𝑐𝑜𝑟𝑒𝑡𝑧 in accordance with the following formula:
𝐶𝑜𝑚𝑏𝑖𝑛𝑒𝑑𝑆𝑐𝑜𝑟𝑒𝑡 = (𝐸𝑠𝑔𝑀𝑜𝑚𝑧𝑡 + 𝐸𝑆𝐺𝑆𝑐𝑜𝑟𝑒𝑡𝑧 )/2
The Combined Score is subsequently normalized.

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Calculating the Final Value Score:
A maximum and minimum [-2.5, 2.5] threshold is then applied to the Combined Score for a security
at SELECTION D AY t before converting it to the Final Value Score for such security at SELECTION DAYt.
The Final Value Score is computed for each security at SELECTION DAY t as:
𝐹𝑖𝑛𝑎𝑙 𝑉𝑎𝑙𝑢𝑒 𝑆𝑐𝑜𝑟𝑒𝑡 = {1 + 𝐶𝑜𝑚𝑏𝑖𝑛𝑒𝑑𝑆𝑐𝑜𝑟𝑒𝑡 ,𝐶𝑜𝑚𝑏𝑖𝑛𝑒𝑑𝑆𝑐𝑜𝑟𝑒𝑡 ≥ 0−1(1 − 𝐶𝑜𝑚𝑏𝑖𝑛𝑒𝑑𝑆𝑐𝑜𝑟𝑒𝑡 ) , 𝐶𝑜𝑚𝑏𝑖𝑛𝑒𝑑𝑆𝑐𝑜𝑟𝑒𝑡 < 0Calculating the Final Adjusted Score:
The final adjusted score of each security at SELECTION DAY t is computed based on its FREE FLOATMARKET CAPITALIZATION at SELECTION DAY t multiplied by its Final Value Score at SELECTION DAYt.
𝐹𝑖𝑛𝑎𝑙 𝐴𝑑𝑗𝑢𝑠𝑡𝑒𝑑 𝑆𝑐𝑜𝑟𝑒 𝑟𝑡 =𝑀𝐶𝐴𝑃𝑡 ∗ 𝐹𝑖𝑛𝑎𝑙 𝑉𝑎𝑙𝑢𝑒 𝑆𝑐𝑜𝑟𝑒𝑡∑ 𝑀𝐶𝐴𝑃𝑡𝑟 ∗ 𝐹𝑖𝑛𝑎𝑙 𝑉𝑎𝑙𝑢𝑒 𝑆𝑐𝑜𝑟𝑒𝑡𝑟

where:
𝑀𝐶𝐴𝑃𝑡 is the FREE FLOAT MARKET CAPITALIZATION of a security at SELECTION DAY t.
∑ is the sum of the values for all securities at SELECTION DAY t.

Final Selection:
On each SELECTION DAY, the top 40 highest ranked securities within the Eurozone region and the
top 60 highest ranked securities within the United States, sorted by descending Final Adjusted
Score are selected.

The selection of the I NDEX COMPONENTS is fully rule-based, and the I NDEX ADMINISTRATOR cannot
make any discretionary decisions as to the selection of the I NDEX COMPONENTS.

2.3. WEIGHTING OF THE INDEX COMPONENTS
On each SELECTION DAY, each I NDEX COMPONENT is assigned an equal weight of 1%.

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3. REBALANCE
3.1. ORDINARY REBALANCE
In order to reflect the new selection of the I NDEX COMPONENTS determined on a SELECTION DAY (inaccordance with Section 2.1 and 2.2 above, the I NDEX is adjusted on the REBALANCE DAY after CLOSE
OF BUSINESS.
This is carried out by implementing the weighting of such I NDEX COMPONENTS as determined by the
I NDEX ADMINISTRATOR on such SELECTION DAY in accordance with Section 2.3.
For more information on the rebalance procedure please refer to the Equity Index Methodology,
which is incorporated by reference and available on the I NDEX ADMINISTRATOR’S website:
https://www.solactive.com/documents/equity-index-methodology/.
The I NDEX ADMINISTRATOR will publish any changes made to the I NDEX COMPONENTS with sufficient
notice before the REBALANCE DAY on the I NDEX ADMINISTRATOR ’S website under the section“Announcement”, which is available at https://www.solactive.com/news/announcements/.

3.2. EXTRAORDINARY REBALANCE
The I NDEX is not rebalanced extraordinarily.

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4. CALCULATION OF THE INDEX
4.1. INDEX FORMULA
The I NDICES are calculated on a price return, net total return or gross total return basis.
The calculation is performed according to the Equity Index Methodology, which is available on the
I NDEXADMINISTRATOR ’S
website:https://www.solactive.com/documents/equity-indexmethodology/ The standard index formula stipulates that the level of the I NDEX will change based on
the change of the prices of its I NDEX COMPONENTS, taking into account their weight in the I NDEX andany currency conversion where the price of an I NDEX COMPONENT is quoted in a currency other thanthe I NDEX CURRENCY.
If so specified in the Equity Index Methodology, any dividends or other distributions are reinvested
back into the I NDEX COMPONENT paying the dividend or other distribution at the opening of theeffective date (the so called ex-date) of the payment of such dividend or other 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.
For the construction of the adjusted return version a decrement of 5 % per annum is deducted on each
CALCULATION DAY from the NTR I NDEX version.
The adjusted return index is calculated according to the following formula:

𝐼𝑛𝑑𝑒𝑥 𝑡 = 𝐼𝑛𝑑𝑒𝑥 𝑡−1 ∗ (𝑈𝐼𝑡
𝐷𝐶− 𝐴𝐹 ∗ 𝑡,𝑡 −1 )
𝑈𝐼𝑡−1
360

Where:
𝐼𝑛𝑑𝑒𝑥 𝑡: The level of the I NDEX as of CALCULATION DAY t
𝐼𝑛𝑑𝑒𝑥 𝑡−1 : The level of the I NDEX as of CALCULATION DAY t-1
𝑈𝐼𝑡: The level of the U NDERLYING I NDEX as of CALCULATION D AY t
𝑈𝐼𝑡−1 : The level of the UNDERLYING I NDEX as of CALCULATION DAY t-1

AF: The Adjustment Factor of 5% per annum
𝐷𝐶 𝑡,𝑡−1 : The number of calendar days between CALCULATION D AY t (including) and CALCULATION
DAY t-1(excluding)In the event the level of the adjusted return I NDEX is calculated as zero or below zero (negative), theI NDEX will be terminated. Solactive will announce such termination on its website under the section“News” which is available at https://www.solactive.com/news/announcements/ as soon as reasonably
possible after the level of the I NDEX is calculated as zero or below zero. For clarification, Solactive
may terminate the I NDEX for other reasons and in accordance with Solactive’s policies.

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4.2. ACCURACY
The level of the I NDEX will be rounded to two 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 I NDEX may be necessary between two regular
REBALANCE D AYS. Such adjustment has to be made if a corporate action (as specified in Section 4.4
below) in relation to an I NDEX COMPONENT occurs. Such adjustment may have to be made in relation
to an I NDEX COMPONENT and/or the number of I NDEX COMPONENTS and/or the weighting of certain
I NDEX COMPONENTS. Adjustments will be made in compliance with the Solactive Equity Index
Methodology , which is incorporated by reference and available on the I NDEX ADMINISTRATOR’S
website: https://www.solactive.com/documents/equity-index-methodology/.
The I NDEX ADMINISTRATOR will announce the I NDEX adjustment, giving a notice period of at least
two TRADING DAYS prior to the adjustment of the affected I NDEX COMPONENT), on the I NDEXADMINISTRATOR’s website under the Section “Announcements”, which is available athttps://www.solactive.com/news/announcements/. I NDEX adjustments will be implemented on theeffective day specified in the respective notice.

4.4. CORPORATE ACTIONS
As part of the I NDEX maintenance the I NDEX A DMINISTRATOR will consider various events – also
referred to as corporate actions – which result in an adjustment to the I NDEX between two regular
REBALANCE D AYS. Such events have a material impact on the price, weighting or overall integrity of
I NDEX COMPONENTS. Therefore, they need to be accounted for in the calculation of the I NDEX.
Corporate actions will be implemented from the cum-day to the ex-day of the corporate action, sothat the adjustment to the I NDEX coincides with the occurrence of the price effect of the respective
corporate action.
Adjustments to the I NDEX to account for corporate actions will be made in compliance with the Equity
Index Methodology , which is available on the I NDEX A DMINISTRATOR ’S website:
https://www.solactive.com/documents/equity-index-methodology/. This document contains for eachcorporate action a brief definition and specifies the relevant adjustment to the I NDEX 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, the I NDEXADMINISTRATOR retains the right in accordance with the Equity Index Methodology to deviate fromthese standard procedures in case of any unusual or complex corporate action, or if such a deviation
is made to preserve the comparability and representativeness of the I NDEX over time.
The I NDEX ADMINISTRATOR considers the following list, which is not exhaustive, of corporate actions
as relevant for I NDEX 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 of another company (e.g. of a subsidiary));
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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 offers its shareholders the option to sell their shares to a fixedprice);
Spin-offs (the company splits its business activities into two or more entities and distributes
new equity 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); andInsolvency.

4.5. RECALCULAT ION
The I NDEX ADMINISTRATOR makes the greatest possible efforts to accurately calculate and maintainthe I NDEX. However, errors in the determination process may occur from time to time for a variety ofreasons (internal or external) and therefore, cannot be completely ruled out. The I NDEXADMINISTRATOR endeavors to correct all errors that have been identified within a reasonable periodof time. The understanding of “a reasonable period of time” as well as the general measures to betaken are generally depending on the underlying and is specified in the Solactive Correction Policy,
which is incorporated by reference and available on the I NDEX A DMINISTRATOR ’s website:
https://www.solactive.com/documents/correction-policy/.

4.6. MARKET DISRUPTION
In periods of market stress the I NDEX ADMINISTRATOR shall calculate the I NDEX following predefinedand exhaustive arrangements as described in the Solactive Disruption Policy, which is incorporated
byreference
andavailableonthe
I NDEXADMINISTRATOR ’s
website:https://www.solactive.com/documents/disruption-policy/. Such market stress can arise due to avariety of reasons, but generally results in inaccurate or delayed prices for one or more I NDEXCOMPONENTS. The determination of the I NDEX may be limited or impaired at times of illiquid orfragmented markets and market stress.

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5. MISCELLANEOUS
5.1. DISCRETION
Any discretion which may need to be exercised in relation to the determination of the I NDEX (forexample the determination of the I NDEX UNIVERSE (if applicable), the selection of the I NDEXCOMPONENTS (if applicable) or any other relevant decisions in relation to the I NDEX) shall be madein accordance with strict rules regarding the exercise of discretion or expert judgement by the I NDEXADMINISTRATOR .

5.2. METHODOLOGY REVIEWThe methodology of the I NDEX is subject to regular review, at least annually. If a change of themethodology has been identified within such review (e.g. if the underlying market or economic
reality has changed since the launch of the I NDEX or 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, whichis incorporated by reference and available on the I NDEX ADMINISTRATOR ’s website:
https://www.solactive.com/documents/methodology-policy/.
Such change in the methodology will be announced on the I NDEX ADMINISTRATOR ’s website underthe
Section“Announcement”,
whichisavailableathttps://www.solactive.com/news/announcements/. The date of the last amendment of this I NDEX iscontained in this GUIDELINE.

5.3. CHANGES IN CALCULAT ION METHOD
The application by the I NDEX ADMINISTRATOR of the method described in this document is final andbinding. The I NDEX ADMINISTRATOR shall apply the method described above for the composition andcalculation of the I NDEX. 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 I NDEXADMINISTRATOR may also make changes to the terms and conditions of the I NDEX and the method
applied to calculate the I NDEX 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 I NDEXADMINISTRATOR is not obliged to provide information on any such modifications or changes. Despite
the modifications and changes, the I NDEX ADMINISTRATOR will take the appropriate steps to ensure a
calculation method is applied that is consistent with the method described above.

5.4. TERMINATIONThe I NDEX ADMINISTRATOR makes the greatest possible efforts to ensure the resilience and continued
integrity of its indices over time. Where necessary, the I NDEX A DMINISTRATOR shall follow a clearly
defined and transparent procedure to adapt Index methodologies to account for changing underlying
markets (see Section 5.2 “Methodology Review”) in order to maintain continued reliability andcomparability of the indices. Nevertheless, if no other options are available the orderly cessation of
the I NDEX may be indicated. This is usually the case when the underlying market or economic reality,
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which an index is set to measure or to reflect, changes substantially and in a way not foreseeable atthe time of inception of the I NDEX, the index rules, and particularly the selection criteria, can no longer
be applied coherently or the index is no longer used as the underlying value for financial instruments,
investment funds and financial contracts.
The I NDEX ADMINISTRATOR 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 andconsulted and the procedures 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 andavailableonthe
I NDEXA DMINISTRATOR ’S
website:https://www.solactive.com/documents/termination-policy/.

5.5. OVERSIGHT
An oversight committee composed of staff from the I NDEX A DMINISTRATOR and its subsidiaries (the“O VERSIGHT COMMITTEE”) is responsible for decisions regarding any amendments to the rules of the
I NDEX. Any such 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 I NDEX A DMINISTRATOR ’S website:
https://www.solactive.com/documents/methodology-policy/.

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6. DEFINITIONS“A VERAGE DAILY VALUE TRADED” means, in respect of an I NDEX COMPONENT, the sum of DAILYVALUE TRADED over the specified period divided by the number of TRADING D AYS that fall in thespecified 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 every weekday from Monday to Friday.
“CALCULATION DAY” is every BUSINESS DAY.
“CLOSE OF BUSINESS” is the calculation time of the closing level of the I NDEX as outlined in Section
1.4.
The “CLOSING PRICE” in respect of an I NDEX 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 accordancewith the EXCHANGE rules for an I NDEX COMPONENT, the last TRADING PRICE will be used.
“D AILY VALUE TRADED” means, in respect of an I NDEX COMPONENT and a TRADING D AY, the productof (i) the CLOSING PRICE of such I NDEX COMPONENT and (ii) the volume traded (measured as anumber of shares) of such I NDEX COMPONENT on the EXCHANGE during such TRADING D AY.
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information,pleasevisit:“D ATA PROVIDER 2” is Arabesque. For more information, please visit: https://www.arabesque.com/.
“ELIGIBLE REBALANCE DAY” is each day that is a TRADING DAY at the New York Stock Exchange
and the EUREX Exchange.
“EXCHANGE” is, with respect to every I NDEX COMPONENT, the respective exchange where the I NDEXCOMPONENT has its listing, as determined by the I NDEX A DMINISTRATOR in accordance with the rulesof the GBS I NDEX.
The “FREE FLOAT” is, with regard to each of the securities in the I NDEX COMPONENT REQUIREMENTS
on a SELECTION DAY, the share class-specific fraction of the total number of shares of such shareclass issued that are available for trading by market participants and not locked -in by long term
holders, as sourced from data vendors.
The “FREE FLOAT MARKET CAPITALIZATION” is, with regard to each of the securities in the I NDEXCOMPONENT REQUIREMENTS on a SELECTION DAY, the share class-specific free float market
capitalization. It is calculated as the multiplication of the shares outstanding in FREE FLOAT (assourced from data vendors) with the CLOSING PRICE of the share class as of the respective SELECTIONDAY.
“GBS I NDEX” shall have the meaning as defined in Section 1.1.
“GBS I NDEX COMPONENT” is each security which comprises the GBS Index.
“G UIDELINE” shall have the meaning as defined in Section “Introduction”.
“I NDEX” shall have the meaning as defined in Section “Introduction”.
“I NDEX ADMINISTRATOR ” shall have the meaning as defined in Section “Introduction”.
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I NDEX GUIDELINE“I NDEX COMPONENT” is each security reflected in the I NDEX.
“I NDEX COMPONENT REQUIREMENTS” shall have the meaning as defined in Section 2.2.
“I NDEX CURRENCY” is the currency specified in the column “Currency” in the table in Section 1.2.
“I NDEX IP OWNER” shall have the meaning as defined in Section “Introduction”.
“I NDEX UNIVERSE REQUIREMENTS” shall have the meaning as defined in Section 2.1.
“I NDEX UNIVERSE” is the sum of all financial instruments which fulfill the I NDEX UNIVERSEREQUIREMENTS.
“LIVE DATE” shall have the meaning as defined in Section 1.3.
“O VERSIGHT COMMITTEE” shall have the meaning as defined in Section 5.5.
“REBALANCE D AY” is the first ELIGIBLE REBALANCE DAY of the months February and August.
“REGIONS” are defined as United States (“US”) and Eurozone (“Eurozone”) as defined by the country
and region classification framework of the GBS I NDEX UNIVERSE and its list of eligible exchanges(https://solactive.com/downloads/Guideline-Solactive-GBS-Benchmark-Series.pdf).
“SELECTION D AY” is ten BUSINESS DAYS before the scheduled REBALANCE DAY, disregarding any
potential change of the REBALANCE DAY.
“SOLACTIVE” shall have the meaning as defined in Section “Introduction”.
“START DATE” shall have the meaning as defined in Section 1.3.
“TEN UN G LOBAL COMPACT PRINCIPLES” means the ten (10) Global Compact Principles publishedby the United Nations available on its website (https://unglobalcompact.org/what-isgc/mission/principles).
“TRADING DAY” is with respect to an I NDEX COMPONENT included in the I NDEX at the REBALANCE
DAY and every I NDEX COMPONENT included in the I NDEX at the CALCULATION D AY immediately
following the REBALANCE DAY (for clarification: this provision is intended to capture the TRADINGDAYS for the securities to be included in the I NDEX as new I NDEX COMPONENTS with close of tradingon the relevant EXCHANGE on the REBALANCE D AY) a day on 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 anddays on which the EXCHANGE is open for a scheduled shortened period. The I NDEX ADMINISTRATOR
is ultimately responsible as to whether a certain day is a TRADING DAY.
The “TRADING PRICE” in respect of an I NDEX COMPONENT and a TRADING DAY is the most recent
published price at which the I NDEX COMPONENT was traded on the respective EXCHANGE.
"WM / REFINITIV RATE" shall have the meaning as defined in Section 1.4.

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7. HISTORY OF INDEX CHANGES
VersionDate

1.0

4 July 2024

Description
Index Guideline creation (initial version)

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I NDEX GUIDELINECONTACT
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

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