Summary

This proposal seeks approval to reduce the rebalancing thresholds for the CORE and BLUE bundles to optimize arbitrage opportunities in the current market conditions.

Motivation

The current market environment demonstrates relatively low volatility. The reduced thresholds will enable more frequent rebalancing triggers in the low-volatility environment, creating additional rebalancing opportunities.

CORE Index:

• Current threshold: 10%
• Proposed threshold: 5%

BLUE Index:

• Current threshold: 16.6%
• Proposed threshold: 10%

Actions

Update the rebalancing threshold parameters for the CORE and BLUE index bundles as specified above.