I NDEX G UIDELINEETHICAL EUROPE EQUTIY INDEX

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04 June 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.

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 ........................................................................................................................................................................................19

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

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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 the Ethical Europe Equity 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 as administrator (the “INDEXADMINISTRATOR”) under the Regulation (EU) 2016/1011 (the “BENCHMARK REGULATION” 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 Class
Strategy
Regional Allocation
Rebalancing Frequency

Description
EquityThe Index tracks the price movements in shares of companies thathave a high dividend, relatively low historical volatility and passseveral corporate social responsibility screens applied by the ESG
Research Provider.
EuropeQuarterly

1.2. IDENTIFIERS AND PUBLICATIONThe INDEX is published under the following identifiers:
Name
Ethical Europe Equity Index

Ethical Europe Equity NTR Index

Ethical Europe Equity GTR Index

ISIN

Currency

DE000SLA5EE6

EURDE000SLA0T44

EURDE000SLA0M09

EUR

Type
PR

NTR

GR

RIC

BBG ticker.SOLEEE

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

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 Price Return version of the INDEX on the 31/12/1999, the START DATE, is 100. The Gross
Return and Net Return versions are based on 231.14 as at the close of trading on 27/04/2015. Historicalvalues from the 16/04/2013, the LIVE DATE, 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 based on the stock universe
provided by the ESG RESEARCH PROVIDER as at March 2013.

1.4. PRICES AND CALCULATION FREQUENCY
The level of the UNDERLYING INDEX is calculated on each CALCULATION DAY from 9:00 a.m. to 10:30 p.m. CET
based on the TRADING PRICES on the EXCHANGES on which the INDEX COMPONENTS are listed. TRADING PRICES of
INDEX COMPONENTS not listed in the INDEX CURRENCY are converted using the current Intercontinental
Exchange (ICE) spot foreign exchange rate. 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 UNDERLYING 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

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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 “):
The Universe is determined on a quarterly basis on the SELECTION DAY in March, June, September andDecember, it consists of companies that fulfill the SELECTION POOL conditions defined in Section 6.
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 ESG RESEARCH PROVIDER and SOLACTIVE provide the SELECTION POOL
Step 1:
The companies of the SELECTION POOL are ranked according to their VOLATILITY. The 30 highest ranked
companies that receive FORUM ETHIBEL CERTIFICATION are then chosen as INDEX COMPONENTS and the newindex composition determined this way is valid starting the immediately following REBALANCE DAY. For
clarification, rank number 1 is higher than rank number 2.
Step 2:On the SELECTION DAY the percentage weightings of INDEX COMPONENTS will be determined andimplemented at the close of trading on the REBALANCE DAY. The percentage weighting of each INDEXCOMPONENT will be determined according to the following formula (“Weighting Scheme”):

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𝑊𝑒𝑖𝑔ℎ𝑡(𝑖) =1/𝐻𝑖𝑠𝑡𝑜_𝑉𝑜𝑙(𝑖)∑30
𝑗=1 1 /𝐻𝑖𝑠𝑡𝑜_𝑉𝑜𝑙(𝑗)The new final number of shares will be calculated according to the following formula:𝑥𝑖,𝑡+1 =𝐼𝑛𝑑𝑒𝑥𝑡 ∗ 𝑊𝑒𝑖𝑔ℎ𝑡𝑖
𝑃𝑖,𝑡

With:
𝑥𝑖,𝑡+1= Number of Shares of INDEX COMPONENT i on the BUSINESS DAY immediately following
an REBALANCE DAY

𝐼𝑛𝑑𝑒𝑥𝑡= Index Level on REBALANCE DAY

𝑊𝑒𝑖𝑔ℎ𝑡𝑖= Percentage Weighting of INDEX COMPONENT i as defined by the Weighting Scheme

𝑃𝑖,𝑡= Price of INDEX COMPONENT on the REBALANCE DAY converted into INDEX CURRENCY

In case the entire selection process including certification results in less than 30 index members, the20 highest ranked members will be chosen as INDEX COMPONENTS.
If there are less than 20 companies passing the entire selection process, all of these companies will
be added to the index.
If there are less than 10 companies passing the entire selection process or the resulting number ofcompanies would be lower than 20 for the second rebalancing in a row, the index will be discontinued.

2.3. WEIGHTING OF THE INDEX COMPONENTS
On each REBALANCE DAY the Underlying INDEX COMPONENTS with the lowest historical volatilities are selected(under certain constraints). The single steps are described in detail in section 2.1 and section 2.2

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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 each REBALANCE DAY after CLOSE OF BUSINESS.
This is carried out by implementing the weights as determined 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/.
The INDEX is rebalanced over the REBALANCE PERIOD to downsize rebalance transactions in accordance with
the Equity Index Methodology, which is incorporated by reference and available on the SOLACTIVE website:
https://www.solactive.com/documents/equity-index-methodology/.
The Index is rebalanced yearly over a ten day period to ensure that rebalance transactions stay below
the AVERAGE DAILY VALUE TRADED. Beginning on the TRADING DAY immediately following the REBALANCE
DAY, and continuing over the next nine TRADING DAYS, defined as the REBALANCE PERIOD, the target
weights of the constituents of the Index on the 𝑚𝑡ℎ day are set as follows:

𝑡𝑎𝑟𝑔𝑒𝑡𝑡𝑎𝑟𝑔𝑒𝑡(𝑡0 + 𝑚) = 𝑤𝑖 (𝑡0 ) +𝑤𝑖𝑚 ∗ (𝑤𝑖− 𝑤𝑖 (𝑡0 ))𝑀, 0 < 𝑚 ≤ 10

Where
𝑡0

= First REBALANCE DAY

𝑤𝑖 (𝑡0 )= Percentage Weight of security i at the REBALANCE DAY. For the avoidance of doubt, if
a security i is not an Underlying Index Component on the REBALANCE DAY, 𝑤𝑖 (𝑡0 )is
zero.

𝑡𝑎𝑟𝑔𝑒𝑡= TARGET WEIGHT of security i after the completion of REBALANCE PERIOD.

𝑡𝑎𝑟𝑔𝑒𝑡= TARGET WEIGHT of security i after the completion of CALCULATION DAY 𝑡 .

𝑤𝑖
𝑤𝑖

(𝑡)

𝑚

= 𝑚𝑡ℎ day of the REBALANCE PERIOD

𝑀= Total number of INDEX BUSINESS DAYS in the REBALANCE PERIOD i.e. 10.

The first adjustment will be made in June 2013 based on the Trading Prices of the Underlying Index
Components on the First REBALANCE DAY.
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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
If an INDEX COMPONENT is removed between two REBALANCE DAYS due to an Extraordinary Event, the weight of
the respective company will be split equally amongst the remaining companies. The INDEX is adjusted on
the same day. This is announced by Solactive AG after the close of business on the day on which the newcomposition of the Index was determined by the OVERSIGHT COMMITTEE.

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INDEX GUIDELINE4.

CALCULATION OF THE INDEX

4.1. INDEX FORMULA
The INDEX is calculated as a net 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 standard 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 back into the INDEX COMPONENT paying the dividend orother distribution at the opening of the effective 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.

4.2. ACCURACY
The level of the INDEX will be rounded to 4 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.

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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)
Insolvency
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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.

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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 and FORUM ETHIBEL(the“OVERSIGHT COMMITTEE”) is responsible for decisions regarding any amendments to the rules of the INDEX. Anysuch amendment, which may result in an amendment of the GUIDELINE, must be submitted to the OVERSIGHT
COMMITTEE for prior approval and will be made in compliance with the Methodology Policy, which is available
on the SOLACTIVE website: https://www.solactive.com/documents/methodology-policy/.

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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”.
“CALCULATION DAY” is every weekday from Monday to Friday“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.
“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.
“DIVIDEND YIELD” is the 12-months forward mean estimation as provided by by FactSet (or any reference
source taking the place of FactSet and providing comparable data items, acceptable to and as determinedby the Index Calculator) converted into the index currency divided by the current price of the stock
converted into the index currency or similar data sources.
“ELIGIBLE REBALANCE DAY” is each day that is a TRADING DAY.
“ESG RESEARCH PROVIDER” is VIGEO and FORUM ETHIBEL“EXCHANGE” is with respect to the INDEX and every INDEX COMPONENT, the respective exchange where the
INDEX COMPONENT has its primary listing as determined in accordance with the rules in Section 2. OVERSIGHT
COMMITTEE may decide to declare a different stock exchange the “Exchange” for trading reasons, even if thecompany is only listed there via a STOCK SUBSTITUTE.
“FACTSET SECTOR” means the sector classification as provided by FactSet Research Systems(Mnemonic=FG_FACTSET_ECONOMY).
“FORUM ETHIBEL” pioneers standards in the sustainable finance industry and (social) economy. For more
information, please visit: https://www.forumethibel.org/en/about-us/vision-mission“FORUM ETHIBEL CERTIFICATION” relies on three screens:1) ILO Conventions
2) Human Rights
3) Environmental controversies/allegations/convictions
This screens might be amended over time by FORUM ETHIBEL
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The “FREE FLOAT” is with regard to each of the securities fulfilling the INDEX COMPONENT REQUIREMENTS on a
SELECTION DAY the share class-specific fraction of the total number of shares of such share class issued thatare available for trading by market participants and not locked-in by long term holders, as sourced fromdata vendors.
The “FREE FLOAT MARKET CAPITALIZATION” is with regard to each of the securities fulfilling the INDEXCOMPONENT 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 (as sourced from data vendors)with the CLOSING PRICE of the share class as of the respective SELECTION DAY.
“GEOGRAPHICAL REGION” is one of the following three classifications: Europe, Asia, and America.
“GUIDELINE” shall have the meaning as defined in Section “Introduction”.
“HISTORIC VOLATILITY” is the 130 days historical volatility in local currency.
“INDEX” shall have the meaning as defined in Section “Introduction”.
“INDEX ADMINISTRATOR” shall have the meaning as defined in Section “Introduction”.
“INDEX BUSINESS DAY” is a day on which all securities which are components of the UNDERLYING INDEX are
tradable, i.e. all relevant exchanges are open for trading.
“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.
“LIVE DATE” shall have the meaning as defined in Section 1.3.
“MARKET CAPITALIZATION” is with regard to each of the shares in the SELECTION POOL on a SELECTION DAY or
REBALANCE DAY the value published by Reuters (or a successor) as the Market Capitalization for this day.
“OVERSIGHT COMMITTEE” shall have the meaning as defined in Section 5.5.
“REBALANCE DAY” is second -last CALCULATION DAY in March, June, September and December. If this is not a
TRADING DAY, the REBALANCE DAY is moved to next TRADING DAY.
“REBALANCE PERIOD” is the period starting from (and including) the REBALANCE DAY until and (including) the
immediately following 9 TRADING DAYS. The entire REBALANCE PERIOD lasts for 10 TRADING DAYS.
“SECTOR” is one of the following ten classifications: Consumer Goods, Industrials, Basic Materials, Oil &Gas, Health Care, Utilities, Consumer Services, Financials, Technology, and Telecommunications“SELECTION DAY” is the CALCULATION DAY which is thirteen CALCULATION DAYS prior to the scheduled
REBALANCE DAY

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INDEX GUIDELINE“SELECTION POOL” is provided quarterly by the ESG Research Provider VIGEO. It consists of European
companies, screened for a number of ESG constraints. The companies in the selection universe need tofulfill the following requirements:(a) VIGEO ESG score of at least 40/100(b) VIGEO ESG score greater than their sector peers(c) No major involvement in Weapons, Gambling Tobacco and Nuclear (major means more than 5% of sales
from Nuclear)
Additionally, the companies need to fulfil the following:(d) Incorporation and stock market listing in Developed Europe. Developed Europe is defined as: France,
Germany, Austria, Belgium, Luxembourg, Netherlands, Switzerland, Italy, Spain, Portugal, UK, Ireland,
Denmark, Sweden, Finland, Norway, Greece.
(e) Primary Listing on a regulated stock exchange in the form of shares tradable for foreign investors
without restrictions.
(f) Average daily trading volume in the 20 trading days of at least 10,000,000 Euro.
(g) For each rebalancing of the index, companies which are part of the most carbon intensive group(companies with a carbon footprint in “D”) will receive an engagement letter from the Index Administrator.
“SOLACTIVE” shall have the meaning as defined in Section “Introduction”.
“START DATE” shall have the meaning as defined in Section 1.3.
“STOCK SUBSTITUTE” includes in particular American Depository Receipts (ADR) and Global Depository
Receipts (GDR).
“TARGET WEIGHT” is defined as the weight that will be implemented for an INDEX COMPONENT at the endof the REBALANCE PERIOD.
“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.
“VIGEO” is a global provider of environmental, social and governance research to investors and corporates.
Vigeo provides research and solutions for sustainable value creation. For more information, please visit:
http://www.vigeo.com/csr-rating-agency/fr/3-1-investisseurs-et-gestionnaires-d-actifs
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INDEX GUIDELINE"WM / REFINITIV RATE" shall have the meaning as defined in Section 1.4.

7.

HISTORY OF INDEX CHANGES
VersionDate

Description

1.0

13 July 2017

Index Guideline creation (initial version)

2.0

04 June 2024

Change to Solactive Standard calculation from “Guru” Logic

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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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