Announcement – Methodology Change | Solactive ISS Paris Aligned Select Euro Corporate IG Index | Effective Date 25/01/2023
Today, on 18/01/2023, Solactive announces the following changes to the methodology of the following index:
|
NAME |
RIC |
ISIN |
|
Solactive ISS Paris Aligned Select Euro Corporate IG Index |
.SOLESPAB |
DE000SL0AY79 |
Rationale for Methodology Change
The Index aims to mirror the performance of liquid, ESG screened, euro denominated, investment grade corporate bonds. In addition, the Index is in line with a 1.5°C scenario through 2050. This change intends to mirror the latest market developments with regards to the interdependency between PAB benchmarks and the requirements for sustainable investments in general and the adverse impact considerations in particular while keeping the same risk/return profile. In that sense the objective of the Index remains unchanged.
Changes to the Index Guideline
The following Methodology changes will be implemented in the following points of the Index Guideline.
Section 2.1 “Selection of the Index Components” will be changed as follows:
From (old version):
Section 2.1 Selection of the Index Components
The initial composition of each Index, as well as any selection for a rebalance (as specified in Section 3) is determined using the following rules:
- A price from the PRICING PROVIDER must be available for each Index Components on each Selection Day
- All Index Components must be a member of the Benchmark Index.
All bonds and their issuers are evaluated based on the criteria outlined in the table below. Bonds which do not comply with the screens or do not disclose relevant information are excluded from the Index The evaluation is based on data provided by the ESG Data Provider:
|
Theme |
Topic |
Exclusion criterion |
|
Norm-Based Research |
Environment |
Verified failure to respect established norms such as the United Nations Global Compact (UNGC) principles, the Organisation for Economic Co-operation and Development (OECD) Guidelines for Multinational Enterprises, or UN Guiding Principles for Business and Human Rights.
|
|
Human Rights |
||
|
Corruption |
||
|
Labour Rights |
||
|
Controversial Weapons Research |
Chemical weapons |
Verified or alleged ongoing involvement |
|
Biological weapons |
||
|
Nuclear weapons |
||
|
Depleted Uranium |
||
|
Nuclear weapons outside the NPT |
||
|
Cluster munitions |
||
|
Anti-personnel mines |
||
|
Activity-Based Screening |
Coal mining and power generation |
>=1% |
|
Fossil fuel production, exploration, distribution, and services. |
>=10% |
|
|
Electric power generation from fossil fuel sources |
>=50% |
|
|
Tobacco Cultivation & Production |
>0% |
|
|
Environmental Objectives |
Sustainable Development Goal 12: Responsible Consumption and Production |
Significant Negative Impact, i.e. single SDG Impact Rating of < -5.0. All companies are scored on each SDG on scale form -10 to +10. |
|
Sustainable Development Goal 13: Climate Action |
||
|
Sustainable Development Goal 14: Life Below Water |
||
|
Sustainable Development Goal 15: Life on Land |
Explanation: % figures refer to revenue threshold (for degree of involvement)
To (new version):
Section 2.1 Selection of the Index Components
The initial composition of each Index, as well as any selection for a rebalance (as specified in Section 3) is determined using the following rules:
- A price from the PRICING PROVIDER must be available for each Index Components on each Selection Day
- All Index Components must be a member of the Benchmark Index.
All bonds and their issuers are evaluated based on the criteria outlined in the table below. Bonds which do not comply with the screens or do not disclose relevant information are excluded from the Index. The evaluation is based on data provided by the ESG Data Provider:
|
Theme |
Topic |
Exclusion criterion |
|
Norm-Based Research |
Environment |
Verified failure to respect established norms such as the United Nations Global Compact (UNGC) principles, the Organisation for Economic Co-operation and Development (OECD) Guidelines for Multinational Enterprises, or UN Guiding Principles for Business and Human Rights. |
|
Human Rights |
||
|
Corruption |
||
|
Labour Rights |
||
|
Controversial Weapons Research |
Chemical weapons |
Verified or alleged ongoing involvement |
|
Biological weapons |
||
|
Nuclear weapons |
||
|
Depleted Uranium |
||
|
Nuclear weapons outside the NPT |
||
|
Cluster munitions |
||
|
Anti-personnel mines |
||
|
Activity-Based Screening |
Coal mining and power generation |
>=1% |
|
Fossil fuel production, exploration, distribution, and services. |
>=10% |
|
|
Electric power generation from fossil fuel sources |
>=50% |
|
|
Adult Entertainment – Maximum Percentage of Revenue |
>15% |
|
|
Adult Entertainment Producer – Maximum Percentage of Revenue |
>5% |
|
|
Alcohol – Maximum Percentage of Revenue |
>15% |
|
|
Alcohol Producer – Maximum Percentage of Revenue |
>5% |
|
|
Gambling – Maximum Percentage of Revenue |
>15% |
|
|
Gambling Ownership or Operations |
>5% |
|
|
Cannabis Recreational |
>0% |
|
|
Civilian Firearms – Maximum Percentage of Revenue |
>5% |
|
|
Civilian Firearms Producer |
>0% |
|
|
Weapons Producer – Maximum Percentage of Revenue |
>5% |
|
|
Weapons – Maximum Percentage of Revenue |
>15% |
|
|
Genetic Engineering – Maximum Percentage of Revenue |
>5% |
|
|
Any tie to thermal coal |
>0% |
|
|
Tobacco Cultivation & Production |
>0% |
|
|
Environmental Objectives |
Sustainable Development Goal 12: Responsible Consumption and Production |
Significant Negative Impact, i.e. single SDG Impact Rating of < -5.0. All companies are scored on each SDG on scale from -10 to +10. |
|
Sustainable Development Goal 13: Climate Action |
||
|
Sustainable Development Goal 14: Life Below Water |
||
|
Sustainable Development Goal 15: Life on Land |
||
|
Explanation: % figures refer to revenue threshold (for degree of involvement) |
||
Terms that are used in this announcement, but not defined herein, have the meaning assigned to them in the respective index guideline of the Affected Indices. The amended version of the index guideline will be available on the effective date.