I NDEX G UIDELINE
SOLACTIVE LOW CARBON EQUITY INCOME INDEX

Version 1.2
10 September 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 .............................................................................................................................................................14

3.

Rebalance ....................................................................................................................................................................................................................16
3.1.

Ordinary Rebalance ............................................................................................................................................................................................16

3.2.

Extraordinary Rebalance ..................................................................................................................................................................................16

4.

Calculation of the Index .......................................................................................................................................................................................... 17
4.1.

Index formula ........................................................................................................................................................................................................ 17

4.2.

Accuracy ................................................................................................................................................................................................................. 174.3. Adjustments.......................................................................................................................................................................................................... 174.4. Corporate actions ................................................................................................................................................................................................18
4.5. Recalculation ........................................................................................................................................................................................................19
4.6. Market Disruption ................................................................................................................................................................................................19
5.

Miscellaneous ............................................................................................................................................................................................................ 20
5.1.

Discretion .............................................................................................................................................................................................................. 20

5.2.

Methodology Review.......................................................................................................................................................................................... 20

5.3. Changes in calculation method ..................................................................................................................................................................... 20
5.4. Termination ........................................................................................................................................................................................................... 21
5.5.

Oversight ................................................................................................................................................................................................................ 21

6.

Definitions ................................................................................................................................................................................................................... 22

7.

History of Index Changes ....................................................................................................................................................................................... 24

Contact ..................................................................................................................................................................................................................................... 25

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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 Solactive Low Carbon Equity Income 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 “INDEX ADMINISTRATOR”) 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 Fee
Rebalancing Frequency

Description
EquityThe Index aims to track a portfolio of Developed Market securities
which have been filtered based on certain controversial andclimate related activities as well as dividend paying behaviour.
Eligible securities are weighted based on their exposure to several
Climate Factors and a Dividend Yield Score.
Developed Markets
Semi-Annually

1.2. IDENTIFIERS AND PUBLICATIONThe INDEX is published under the following identifiers:
Name
Solactive Low Carbon Equity
Income Index PR
Solactive Low Carbon Equity
Income Index NTR
Solactive Low Carbon Equity
Income Index GTR

ISIN

Currency Type RIC

BBG ticker

DE000SL0FPW5 EUR

PR*.SOILLCIP-

DE000SL0FPX3EUR

NTR* .SOILLCIN-

DE000SL0FPY1EUR

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

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 INDEX on the 19/11/2021, the START DATE, is 100. Historical values from the 25/05/2022,
the LIVE DATE, will be recorded in accordance with Article 8 of the BMR. Levels of the INDEX published for aperiod prior to the LIVE DATE have been back-tested.

1.4. PRICES AND CALCULATION FREQUENCY
The level of the INDEX is calculated on each CALCULATION DAY from 9:00 a.m. to 10:50 p.m. CET based on the
TRADING PRICES on the EXCHANGES on which the INDEX COMPONENTS are listed. TRADING PRICES of INDEXCOMPONENTS not listed in the INDEX CURRENCY are converted using the current Intercontinental Exchange(ICE) spot foreign exchange rate. Should there be no current TRADING PRICE for an INDEX COMPONENT, the laterof: (i) the most recent CLOSING PRICE; or (ii) the last available TRADING PRICE for the preceding TRADING DAY isused in the calculation.
In addition to the intraday calculation a closing level of the INDEX for each CALCULATION DAY is also
calculated. This closing level is based on the CLOSING PRICES for the INDEX COMPONENTS on the respective
EXCHANGES on which the INDEX COMPONENTS are listed. The CLOSING PRICES of INDEX COMPONENTS not listed in
the INDEX CURRENCY are converted using the 04:00 p.m. London time WM Fixing quoted by Reuters. If there
is no 04:00 p.m. London time WM Fixing for the relevant CALCULATION DAY, the last available 04:00 p.m.
London time WM Fixing 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

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“):
Is a GBS INDEX COMPONENT (in case the SELECTION DAY is after the GBS REBALANCING DAY) or part/componentof the GBS INDEX UNIVERSE (in case the SELECTION DAY is before the GBS REBALANCING DAY) of the Solactive
GBS Developed Markets Large & Mid Cap USD Index PR (ISIN: DE000SLA41B6) on a SELECTION DAY.
The determination of the INDEX UNIVERSE is fully rule-based and the INDEX ADMINISTRATOR cannot make any
discretionary decisions.

2.2. SELECTION OF THE INDEX COMPONENTS
Based on the INDEX UNIVERSE, the initial composition of the INDEX as well as any selection for an ordinary
rebalance is determined on the SELECTION DAY in accordance with the following rules (the “INDEXCOMPONENT REQUIREMENTS“):
1.

The INDEX UNIVERSE is filtered based on Controversial Activity Criteria, as outlined below in the
Exclusion List section.

2.

Carbon Tilt Scores are calculated for all securities at the INDEX level.

3.

Free-Float Market Capitalization based weights of the securities that remain after theapplication of the Exclusion List are multiplied by the Carbon Tilt Scores.

4.

The resulting weights are rescaled to ensure certain deviations in comparison to the INDEXUNIVERSE are not exceeded.

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Below the above steps are explained in more detail.
I.

Exclusion List

Securities which are involved in any of the below controversial activities are excluded from the index
composition. The Exclusion List is determined based on information supplied by the DATA PROVIDER.

FilterDetailCommentary

UN GC
violators
Controversy

Remove any UNGC Violators
Existing controversies in issues such as
operations and employee incidents, humanrights, business ethics and water use

Remove companies in the Severe Controversy Category

Anti-Personnel Mines
Biological and Chemical Weapons
Controversial
Weapons

Cluster Weapons
Depleted Uranium
Nuclear WeaponsRemove companies with any detectable involvement in
the core weapon system, or components/services of thecore weapon system that are considered tailor-made andessential for the lethal use of the weapon

White Phosphorus

TobaccoTobacco Products Production

Remove any company which manufactures tobacco
products

Tobacco Products Related Products/Services

Remove any company which derives more than 10% of its
revenues from supplying tobacco-related
products/services

Tobacco Products Retail

Remove any company which derives more than 10% of its
revenues from the distribution and/or retail sale oftobacco products

Thermal Coal Extraction

Remove companies deriving any revenues from thermal
coal extraction

Ownership: Thermal Coal Extraction

Remove companies with any ownership in thermal coal
extraction companies

Thermal Coal Power Generation

Remove companies deriving any revenues based on
generating electricity from thermal coal

Ownership: Thermal Coal Power Generation

Remove companies with any ownership in companies
generating electricity from thermal coal

Thermal Coal Supporting Products andServices

Remove any company which derives any revenues from
Thermal Coal Supporting Products and Services

Ownership: Thermal Coal Supporting
Products and Services

Remove companies with any ownership in Thermal Coal
Supporting Products and Services companies

Oil & Gas Production

Remove companies deriving any revenues from Oil & Gas
Production

Thermal Coal

Oil & Gas

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Ownership: Oil & Gas Production

Remove companies with any ownership in Oil & Gas
Production companies

Oil & Gas Generation

Remove companies deriving any revenues from Oil & Gas
Generation

Ownership: Oil & Gas Generation

Remove companies with any ownership in Oil & Gas
Generation companies

Oil & Gas Supporting Products and Services

Remove any company which derives more than 2.5% of its
revenues from Oil & Gas Supporting Products andServices

Ownership: Oil & Gas Supporting Products
and Services

Remove companies with any ownership in Oil & Gas
Supporting Products and Services companies

Arctic Oil & Gas Exploration Extraction

Remove companies deriving any revenues from Arctic Oil& Gas

Oil Sands Extraction

Remove companies deriving any revenues from oil sands
extraction
Remove companies which derive any revenue from or are
involved in small arms (including production anddistribution), or have significant ownership in suchcompanies
Remove companies which derive more than 2.5% of theirrevenues from weapon and non-weapon related productand services through military contracting, or havesignificant ownership in such companies
Remove companies which are involved in riot control
weapons or protection equipment, or have significant
ownership in such companies

Small Arms

Weapons

Military Contracting

Riot Control
Willingness to
Pay Dividends

Trailing 5 Year DPS Growth & Trailing 1 YearDPS GrowthRemove companies that have both negative trailing 5
Year DPS Growth and negative trailing 1 Year DPS Growth.

Ability to Pay
Dividends

Total Debt to Total Assets (%), Return on
Equity & Dividend Payout Ratio (FY1 DPS / FY1
EPS)

Remove the bottom 15% of companies with respect to an
average ranking of (sector-adjusted) Total Debt to Total
Assets, (sector-adjusted) Return on Equity and Dividend
Payout Ratio.

II.

Carbon Tilt Score

1. The determination of the Carbon Tilt Scores for each security within its INDEX UNIVERSE starts by
taking the Carbon Intensity values as well as Carbon Risk Scores as determined by the DATAPROVIDER.

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a. The Carbon Risk Score is first filled, where missing, with an adjusted Carbon Intensity value
to mitigate any sparsity in its availability. The adjusted Carbon Intensity value isdetermined as:
𝐴𝑑𝑗 𝐶𝐼 = log(𝐶𝑎𝑟𝑏𝑜𝑛 𝐼𝑛𝑡𝑒𝑠𝑖𝑡𝑦)2
2. Next, each of the two data points are adjusted by removing their sector average Carbon Intensity
and sector average Carbon Risk Score respectively.
These are the Adjusted Carbon Intensity (CI) values and Adjusted Carbon Risk (CR) Scores.
3. The values are then normalized based on the following z-scoring formula:
𝐶𝐼 𝑍 − 𝑠𝑐𝑜𝑟𝑒 =𝐴𝑑𝑗 𝐶𝐼 𝑆𝑐𝑜𝑟𝑒 − 𝐴𝑣𝑒𝑟𝑎𝑔𝑒 𝐴𝑑𝑗 𝐶𝐼 𝑆𝑐𝑜𝑟𝑒
𝑆𝑇𝐷(𝐴𝑑𝑗 𝐶𝐼 𝑆𝑐𝑜𝑟𝑒)

𝐶𝑅 𝑍 − 𝑠𝑐𝑜𝑟𝑒 =𝐴𝑑𝑗 𝐶𝑅 𝑆𝑐𝑜𝑟𝑒 − 𝐴𝑣𝑒𝑟𝑎𝑔𝑒 𝐴𝑑𝑗 𝐶𝑅 𝑆𝑐𝑜𝑟𝑒
𝑆𝑇𝐷(𝐴𝑑𝑗 𝐶𝑅 𝑆𝑐𝑜𝑟𝑒)And

4. Next these are capped at +-3 and inversed, to change their direction.
a. Securities missing data are assigned a Z-score of 0.
5. Each of the above Z-scores are then transformed again based on the following formula:
𝑇𝑟𝑎𝑛𝑠𝑓𝑜𝑟𝑚𝑒𝑑 𝑍 − 𝑠𝑐𝑜𝑟𝑒 = 0.5 + 𝑍 − 𝑠𝑐𝑜𝑟𝑒𝑠/3
6. The transformed Z-scores are capped at 1.
7. In a following step Green Revenue Scores and Brown Revenues scores are calculated as:a. If data on Green Taxonomy is available:
𝐺𝑟𝑒𝑒𝑛 𝑅𝑒𝑣𝑒𝑛𝑢𝑒 𝑆𝑐𝑜𝑟𝑒 = 1 + (𝐺𝑟𝑒𝑒𝑛 𝑇𝑎𝑥𝑜𝑛𝑜𝑚𝑦 ∗ 2)
b. If no data on Green Taxonomy is available:
𝐺𝑟𝑒𝑒𝑛 𝑅𝑒𝑣𝑒𝑛𝑢𝑒 𝑆𝑐𝑜𝑟𝑒 = 1 + 𝐺𝑟𝑒𝑒𝑛 𝑅𝑒𝑣𝑒𝑛𝑢𝑒

𝐵𝑟𝑜𝑤𝑛 𝑅𝑒𝑣𝑒𝑛𝑢𝑒 𝑆𝑐𝑜𝑟𝑒 = 1/(𝐵𝑟𝑜𝑤𝑛 𝑅𝑒𝑣𝑒𝑛𝑢𝑒 ∗ 2 + 1)
The scores are based on the Sustainable Products Research from the DATA PROVIDER. Specifically,
these entail:9

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INDEX GUIDELINETechnologies Energy Efficiency Distribution
Technologies Energy Efficiency Materials
Technologies Energy Efficiency Industrials
Transmission Energy Efficiency Distribution
Consumer Electonics_Energy Efficiency
Technologies Green Buildings
Equipment Green Buildings
Professional Services_Green Buildings
Acquisition Green Buildings
Development Green Buildings
Construction Green Buildings

Green Revenues

Renovation Green Buildings
Technologies Maintenance_Green Buildings
Devices Green Buildings
Technologies Green Transportation
Batteries Green Transportation
Urban Green Transportation
Interurban Passengers_Green Transportation
Rail Infrastructure_Green Transportation
Low Carbon Infrastructure_Green Transportation
Technologies Green Vehicles
Technologies Renewable Energy
Solar PV Renewable Energy Generation
Solar PV Renewable Energy Support
CSP Renewable Energy Generation
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INDEX GUIDELINECSP Renewable Energy Support
Wind Renewable Energy Generation
Wind Renewable Energy Support
Ocean Renewable Energy Generation
Ocean Renewable Energy Support
Hydropower Renewable Energy Generation
Hydropower Renewable Energy Support
Bioenergy Renewable Energy Generation
Bioenergy Renewable Energy Support
Geothermal Renewable Energy Generation
Geothermal Renewable Energy Support
Technologies Maintenance Renewable Energy
Construction Water Supply Services
Construction Water Supply Infrastructure
Renewal Water Supply Infrastructure
Construction Wastewater Services
Construction Wastewater Infrastructure
Renewal Wasterwater Infrastructure
Technologies Water
Water Adaptation
Wetlands Adaptation
Hazardous Waste Management
Technologies Pollution Prevention
Non-Hazardous Waste Recycling Services
Non-Hazardous Waste Recycling Sales
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Machinery Recycling
Aquaculture Sustainable Agriculture
Dairy Sustainable Food
Food Distribution Sustainable Food
Grocery Stores Sustainable FoodLivestock Sustainable Agriculture
Machinery Sustainable Agriculture
Management Sustainable Forestry
Manufacturing Sustainable Agriculture
Non Perennials Sustainable Agriculture
Packaged Food Sustainable Food
Perennials Sustainable Agriculture
Pesticides and Fertilizers Sustainable Fertilizers
Wooden Goods Sustainable Forestry

Green Taxonomy

The revenue percentage in activities that are Aligned with the EU Taxonomy Climate
Change Mitigation objective

Brown Revenues

Thermal Coal Extraction-Revenue Percentage
Thermal Coal Power Generation-Revenue Percentage
Oil & Gas Production-Revenue Percentage
Oil & Gas Generation-Revenue Percentage
Oil & Gas Supporting Products/Services-Revenue Percentage

The new overall percentage is obtained by summing all the new fields to get the aggregatedinformation that was provided by 1 legacy field ID.
8. The Carbon Tilt Score is determined by multiplying each of the four indicators

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𝐶𝑎𝑟𝑏𝑜𝑛 𝑇𝑖𝑙𝑡 𝑆𝑐𝑜𝑟𝑒= 𝑇𝑟𝑎𝑛𝑠𝑓𝑜𝑟𝑚𝑒𝑑 𝐶𝐼 𝑍 − 𝑠𝑐𝑜𝑟𝑒 ∗ 𝑇𝑟𝑎𝑛𝑠𝑓𝑜𝑟𝑚𝑒𝑑 𝐶𝑅 𝑍 − 𝑠𝑐𝑜𝑟𝑒∗ 𝐺𝑟𝑒𝑒𝑛 𝑅𝑒𝑣𝑒𝑛𝑢𝑒 𝑆𝑐𝑜𝑟𝑒 ∗ 𝐵𝑟𝑜𝑤𝑛 𝑅𝑒𝑣𝑒𝑛𝑢𝑒 𝑆𝑐𝑜𝑟𝑒
9. The score is then sorted from low to high and the companies with the lowest Carbon Tilt Score
satisfying the following criteria are removed from the universe as ‘Worst in Class’ exclusions.
o A minimum of 5% up to a maximum of 10% of securities are intended to be removed.
o This number is cross referenced with the FREE-FLOAT MARKET CAPITALIZATION weights
ensuring to remove a minimum of 3% of the FREE-FLOAT MARKET CAPITALIZATION weights andup to a maximum of 7% of them.
o This way it is ensured the Worst in Class exclusion step is impactful from both number ofnames and weight removed.
10. The last transformation is then performed by taking all remaining securities and their final Carbon
Tilt Score and subtracting the Carbon Tilt Score of the security with the highest value from thepool of stocks removed in step 9 above. These will represent the final Carbon Tilt Score, which will
be used in the tilting process.
III.

Dividend Yield Tilt Score

1. The determination of the Dividend Yield Tilt Scores for each security within its INDEX UNIVERSE starts
by calculating the FY1 Dividend Yield estimate by dividing the FY1 DPS estimates by the Closing
Price, both expressed in USD as determined by the DATA PROVIDER.
a. The FY1 Dividend Yield is first multiplied by 100 to be expressed as a percentage. Next, FY1
Dividend Yield values that are greater than 10 are set to 0. This is the Adjusted Dividend
Yield (DY).
2. The values are then normalized based on the following z-scoring formula:
𝐷𝑌 𝑍 − 𝑠𝑐𝑜𝑟𝑒 =𝐴𝑑𝑗 𝐷𝑌 −𝐴𝑣𝑒𝑟𝑎𝑔𝑒 𝐴𝑑𝑗 𝐷𝑌
𝑆𝑇𝐷(𝐴𝑑𝑗 𝐷𝑌).

3. These values are capped at +-3.
4. Each of the above Z-scores are rescaled to between 0.01 and √3 based on the following formula:

𝑅𝑒𝑠𝑐𝑎𝑙𝑒𝑑 𝐷𝑌 𝑍 − 𝑠𝑐𝑜𝑟𝑒 = 0.01 + (√3 − 0.01) ∗ (𝐷𝑌 𝑍 − 𝑠𝑐𝑜𝑟𝑒 − min (𝐷𝑌 𝑍 − 𝑠𝑐𝑜𝑟𝑒))max(𝐷𝑌 𝑍 − 𝑠𝑐𝑜𝑟𝑒 ) − min(𝐷𝑌 𝑍 − 𝑠𝑐𝑜𝑟𝑒 )13

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5. The following transformation is then applied to each of the rescaled DY Z-scores:
𝐹𝑖𝑛𝑎𝑙 𝐷𝑌 𝑇𝑖𝑙𝑡 𝑆𝑐𝑜𝑟𝑒 = (𝑅𝑒𝑠𝑐𝑎𝑙𝑒𝑑 𝐷𝑌 𝑍 − 𝑆𝑐𝑜𝑟𝑒)2
6. Any missing DY Tilt Score is given a score of NaN.
7. These will represent the final DY Tilt Score, which will be used in the tilting process.
The selection of the INDEX COMPONENTS is fully rule-based and the INDEX ADMINISTRATOR cannot make any
discretionary decision.

2.3. WEIGHTING OF THE INDEX COMPONENTS
On each SELECTION DAY each INDEX COMPONENT is assigned a weight based on the mechanism below:
1.

For each security from the INDEX UNIVERSE a FREE-FLOAT MARKET CAPITALIZATION weight is calculated(“Universe Weights”).

2. The Universe Weights are then multiplied with the Carbon Tilt Score and the resulting weights arerescaled again to 100%.
3. The Carbon Tilted Weights are then multiplied with the DY Tilt Score and the resulting weights arerescaled again to 100%. These are the Final Tilted Weights.
4. Further an iterative process is applied in order to ensure the following deviation limits are met:
a. Sector weight difference between the Final Tilted Weights and the Universe Weights
should not exceed 10% (1000bp). Any weights exceeding this value will be redistributed
proportionally across the remaining sectors.
b. Country weight differences between the Final Tilted Weights and the Universe Weights
should also not exceed 5%. Any weights exceeding this value will be redistributed
proportionally across the remaining countries.
c. Individual weight deviation between the Final Tilted Weights and the Universe Weights
should not exceed 2%. Any weight exceeding this value are to be redistributed
proportionally across the remaining securities.
d. Additionally, the positive or negative tilt a security has received when comparing the Final
Tilted Weights (Step 2 & Step 3) and the Universe Weights (Step 1) should not get inversed.
If a security has increased in weight after the two tilts (Step 2 & Step 3) vs the original
weight in the Index Universe (Step 1), then its weight is floored at the Index Universe Weight.
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Also, if a security has decreased in weight after the two tilts (Step 2 & Step 3) vs the original
weight in the Index Universe (Step 1), then its weight will be capped at the weight it has in
the Index Universe.
The above process is repeated subsequently until all floors and caps are met. If after 100
iterations no solution could be found to fulfill all the criteria, the problem causing deviation
parameter (sector or country) is being increased in steps of 0.05% until a viable solution
can be attained.

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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 the REBALANCE DAY after CLOSE OF BUSINESS.
This is carried out by implementing the shares as determined on the FIXING DAY based on the weights
calculated on the SELECTION DAY.
For more information on the rebalance procedure please refer to the Equity Index Methodology, which isincorporated
byreference
andavailable
onthe
Solactive
website:https://www.solactive.com/documents/equity-index-methodology/.
SOLACTIVE will publish any changes made to the INDEX COMPONENTS with sufficient notice before the
REBALANCE DAY on the SOLACTIVE website under the section “Announcement”, which is available athttps://www.solactive.com/news/announcements/

3.2. EXTRAORDINARY REBALANCE
The INDEX is not rebalanced extraordinarily.

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INDEX GUIDELINE4.

CALCULATION OF THE INDEX

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

4.2. ACCURACY
The level of the INDEX will be rounded to 2 decimal places. Divisors will be rounded to six decimal places.
TRADING PRICES and foreign exchange rates will be rounded to six decimal places.

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

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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)
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Insolvency

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

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

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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 (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”.
“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.
“DATA PROVIDER” is Sustainalytics. For more information, please visit: https://www.sustainalytics.com/.
The ESG-related information, methodologies, data and opinions contained or reflected herein are notdirected to or intended for use or distribution to India-based clients or users and their distribution to Indian
resident individuals or entities is not permitted, and Morningstar Sustainalytics accepts no responsibility
or liability whatsoever for the actions of third parties in this respect.
“ELIGIBLE REBALANCING DAY” is each day that is a TRADING DAY at the New York Stock Exchange, the London
Stock Exchange, the EUREX Exchange, and the Tokyo Stock Exchange.
“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.
“FIXING DAY” is equal to the SELECTION DAY.
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.
“GBS INDEX UNIVERSE” is the INDEX UNIVERSE as defined in the guideline of the Solactive Global Benchmark
Series (https://solactive.com/downloads/Guideline-Solactive-GBS-Benchmark-Series.pdf) for the GBS
Index specified in Section 2.1.
“GBS INDEX COMPONENT” is each security reflected in the GBS Index specified in Section 2.1.
“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”.
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INDEX GUIDELINE“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.
“OVERSIGHT COMMITTEE” shall have the meaning as defined in Section 5.5.
“REBALANCE DAY” is 10 CALCULATION DAYS after the SELECTION DAY. If that day is not an ELIGIBLE REBALANCING
DAY, the REBALANCE DAY will be the following ELIGIBLE REBALANCING DAY.
“SELECTION DAY” is the Friday after the first Wednesday in May and November.
“SOLACTIVE” shall have the meaning as defined in Section “Introduction”.
“START DATE” shall have the meaning as defined in Section 1.3.
The “TOTAL MARKET CAPITALIZATION” is with regard to each of the securities in the INDEX on a SELECTION DAY
the sum of all SHARE CLASS MARKET CAPITALIZATIONs of a company.
“TRADING DAY” is with respect to an INDEX COMPONENT included in the INDEX at the REBALANCE DAY and every
INDEX COMPONENT included in the INDEX at the CALCULATION DAY immediately following the REBALANCE DAY (forclarification: this provision is intended to capture the TRADING DAYS for the securities to be included in the
INDEX as new INDEX COMPONENTS with close of trading on the relevant EXCHANGE on the REBALANCE DAY) a dayon which the relevant EXCHANGE is open for trading (or a day that would have been such a day if a market
disruption had not occurred), excluding days on which trading may be ceased prior to the scheduled
EXCHANGE closing time and days on which the EXCHANGE is open for a scheduled shortened period. The INDEXADMINISTRATOR is ultimately responsible as to whether a certain day is a TRADING DAY.
The “TRADING PRICE” in respect of an INDEX COMPONENT and a TRADING DAY is the most recent published priceat which the INDEX COMPONENT was traded on the respective EXCHANGE.

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HISTORY OF INDEX CHANGES
VersionDate

Description

1.0

25 May 2022

Index Guideline creation (initial version)

1.1

02 November 2023

Update of Green Revenues datapoints

1.2

10 September 2024

Index Name Changes

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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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