Methodology Change | ISS ESG Screened Paris Aligned Series | Effective Date 17/02/2025
Today, on the 03/02/2025, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):
| Solactive ISS ESG Screened Paris Aligned Developed Markets Index NTR |
.SSPABDMN | DE000SL0JZF1 |
| Solactive ISS ESG Screened Paris Aligned Developed Markets Index PR |
.SSPABDMP | DE000SL0JZE4 |
| Solactive ISS ESG Screened Paris Aligned Developed Markets Index TR |
.SSPABDMT | DE000SL0JZG9 |
| Solactive ISS ESG Screened Paris Aligned Developed Markets Small Cap Index NTR |
.SSPABDSN | DE000SL0C1W3 |
| Solactive ISS ESG Screened Paris Aligned Developed Markets Small Cap Index PR |
.SSPABDSP | DE000SL0C1V5 |
| Solactive ISS ESG Screened Paris Aligned Developed Markets Small Cap Index TR |
.SSPABDST | DE000SL0C1X1 |
| Solactive ISS ESG Screened Paris Aligned Emerging Markets Index NTR |
.SSPABEMN | DE000SL0C1Q5 |
| Solactive ISS ESG Screened Paris Aligned Emerging Markets Index PR |
.SSPABEMP | DE000SL0C1P7 |
| Solactive ISS ESG Screened Paris Aligned Emerging Markets Index TR |
.SSPABEMT | DE000SL0C1R3 |
| Solactive ISS ESG Screened Paris Aligned Europe Index NTR | .SSPABEUN | DE000SL0C1M4 |
| Solactive ISS ESG Screened Paris Aligned Europe Index PR | .SSPABEUP | DE000SL0C1L6 |
| Solactive ISS ESG Screened Paris Aligned Europe Index TR | .SSPABEUT | DE000SL0C1N2 |
| Solactive ISS ESG Screened Paris Aligned Global Markets DM Index NTR |
.SSPABGDM | DE000SL0LJ42 |
| Solactive ISS ESG Screened Paris Aligned Global Markets EM Index NTR |
.SSPABGEM | DE000SL0LJ59 |
| Solactive ISS ESG Screened Paris Aligned Global Markets GM Index NTR |
.SSPABGGM | DE000SL0LJ34 |
| Solactive ISS ESG Screened Paris Aligned Global Markets Index NTR | .SSPABGMN | DE000SL0C1J0 |
| Solactive ISS ESG Screened Paris Aligned Global Markets Index PR | .SSPABGMP | DE000SL0C1H4 |
| Solactive ISS ESG Screened Paris Aligned Global Markets Index TR | .SSPABGMT | DE000SL0C1K8 |
| Solactive ISS ESG Screened Paris Aligned Global Markets NOK Index NTR |
.SSPABGNN | DE000SL0HYW3 |
| Solactive ISS ESG Screened Paris Aligned Global Markets NOK Index PR |
.SSPABGNP | DE000SL0HYV5 |
| Solactive ISS ESG Screened Paris Aligned Global Markets NOK Index TR |
.SSPABGNT | DE000SL0HYX1 |
| Solactive ISS ESG Screened Paris Aligned Global Markets SEK Index NTR |
.SSPABGSN | DE000SL0HYT9 |
| Solactive ISS ESG Screened Paris Aligned Global Markets SEK Index PR |
.SSPABGSP | DE000SL0HYS1 |
| Solactive ISS ESG Screened Paris Aligned Global Markets SEK Index TR |
.SSPABGST | DE000SL0HYU7 |
| Solactive ISS ESG Screened Paris Aligned Global Markets USD Index NTR |
.SSPABGUN | DE000SL0HYQ5 |
| Solactive ISS ESG Screened Paris Aligned Global Markets USD Index PR |
.SSPABGUP | DE000SL0HYP7 |
| Solactive ISS ESG Screened Paris Aligned Global Markets USD Index TR |
.SSPABGUT | DE000SL0HYR3 |
| Solactive ISS ESG Screened Paris Aligned Nordic Index NTR | .SSPABNON | DE000SL0DXX2 |
| Solactive ISS ESG Screened Paris Aligned Nordic Index PR | .SSPABNOP | DE000SL0DXW4 |
| Solactive ISS ESG Screened Paris Aligned Nordic Index TR | .SSPABNOT | DE000SL0DXY0 |
| Solactive ISS ESG Screened Paris Aligned Norway Index NTR | .SSPABNWN | DE000SL0DX02 |
| Solactive ISS ESG Screened Paris Aligned Norway Index PR | .SSPABNWP | DE000SL0DXZ7 |
| Solactive ISS ESG Screened Paris Aligned Norway Index TR | .SSPABNWT | DE000SL0DX10 |
| Solactive ISS ESG Screened Paris Aligned USA Index NTR | .SSPABUSN | DE000SL0C1T9 |
| Solactive ISS ESG Screened Paris Aligned USA Index PR | .SSPABUSP | DE000SL0C1S1 |
| Solactive ISS ESG Screened Paris Aligned USA Index TR | .SSPABUST | DE000SL0C1U7 |
Rationale for the Methodology Change
The following indices are constructed to operate in line with the regulations laid out for the EU Paris-Aligned Benchmarks. Solactive proposes to include a new data point published by the Data Provider of
the indices which goes along with Article 12 (g) of the EU Paris-Aligned Benchmark Regulation.
In addition, Solactive proposes to adjust the threshold for decarbonization trajectory compared to the
Parent Indices from 55% to 50% to bring them closer in line with other EU Paris-Aligned Benchmark
regulated indices as well as the EU Paris-Aligned Benchmark Regulation themselves. For the sake of
clarity, it should be noted that this will have no impact on the threshold of the continuous annual carbon
reduction of 7%.
These changes are used to facilitate a more congruent selection practice to the EU Paris-Aligned
Benchmark Regulation which fits the overall theme of the indices.
Changes to the Index Guideline
The following Methodology changes will be implemented in the following points of the Index Guideline (ordered in accordance with the numbering of the affected sections):
Section 2.2 SELECTION OF THE INDEX COMPONENTS
From:
|
Activity-Based Screening |
Coal |
1% Production & Refining |
|
Fossil Fuel |
Generally: 5% Production, Distribution & Exploration
Exception 1: Max 10% Production, Distribution & Exploration <AND> min 10% Revenues from Renewable Energies Power Generation <AND> max 5% Revenues from Coal Power Generation <AND> Concrete science-based target
Exception 2: 0% Oil Extraction, Oil Refinement & Fossil Fuel Exploration <AND> max 10% Oil distribution <AND> max 50% Gas Extraction, Gas Refinement & Fossil Fuel Distribution <AND> Concrete science-based target <AND> min 10% Revenues from Renewable Energies Power Generation <AND> max 5% Revenues from Coal Power Generation <AND> company sector “Utilities” according to the FactSet sector classification system. |
|
|
Fossil Fuel |
50% Overall |
|
|
Oil Sands |
0% Production & Exploration |
|
|
Military Equipment |
5% Production <OR> 5% Distribution <OR> 50% Services |
|
|
Pornography |
0% Production <OR> 5% overall |
|
|
Tobacco |
0% Production <OR> 5% Distribution <OR> 50% Services |
|
|
Gambling |
5% Production & Distribution <OR> 50% Services |
|
|
Alcohol |
5% Production & Distribution <OR> 50% Services |
|
|
Non-pharmaceutical Cannabis |
5% Production & Distribution <OR> 50% Services |
To:
|
Activity-Based Screening |
Coal |
1% Production & Refining |
|
Fossil Fuel |
Generally: 5% Production, Distribution & Exploration
Exception 1: Max 10% Production, Distribution & Exploration <AND> min 10% Revenues from Renewable Energies Power Generation <AND> max 5% Revenues from Coal Power Generation <AND> Concrete science-based target
Exception 2: 0% Oil Extraction, Oil Refinement & Fossil Fuel Exploration <AND> max 10% Oil distribution <AND> max 50% Gas Extraction, Gas Refinement & Fossil Fuel Distribution <AND> Concrete science-based target <AND> min 10% Revenues from Renewable Energies Power Generation <AND> max 5% Revenues from Coal Power Generation <AND> company sector “Utilities” according to the FactSet sector classification system. |
|
|
Fossil Fuel |
50% Overall |
|
|
Electric power generation from fossil fuel sources and biomass |
≥ 50% |
|
|
Oil Sands |
0% Production & Exploration |
|
|
Military Equipment |
5% Production <OR> 5% Distribution <OR> 50% Services |
|
|
Pornography |
0% Production <OR> 5% overall |
|
|
Tobacco |
0% Production <OR> 5% Distribution <OR> 50% Services |
|
|
Gambling |
5% Production & Distribution <OR> 50% Services |
|
|
Alcohol |
5% Production & Distribution <OR> 50% Services |
|
|
Non-pharmaceutical Cannabis |
5% Production & Distribution <OR> 50% Services |
Section 2.3 WEIGHTING
From: The decarbonization trajectory is defined by an annual minimum Carbon Intensity reduction of 7%
compared to the CARBON INTENSITY of the INDEX on the BASE DAY in a geometric progression. The
CARBON INTENSITY of the INDEX is capped at the minimum of the CARBON INTENSITY of the decarbonization trajectory on the SELECTION DAY and 55% of PARENT INDEX CARBON INTENSITY on the
SELECTION DAY.
To: The decarbonization trajectory is defined by an annual minimum Carbon Intensity reduction of 7%
compared to the CARBON INTENSITY of the INDEX on the BASE DAY in a geometric progression. The
CARBON INTENSITY of the INDEX is capped at the minimum of the CARBON INTENSITY of the
decarbonization trajectory on the SELECTION DAY and 50% of PARENT INDEX CARBON INTENSITY on the
SELECTION DAY.