Methodology Change | ISS ESG Screened Paris Aligned Nordic and Norway | Effective Date 27/03/2024

Today, on the 13/03/2024, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):

 Rationale for the Methodology Change

In order to follow standard market practice for diversification and mitigate the risk associated with overexposure, Solactive plans to add a single weight capping of 20% to the constituents of the above mentioned indices. The capping will align the indices with the principles of risk investment management and reduces the potential for excessive influence from individual stocks.

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 2.3.2.i  WEIGHTING OF THE INDEX COMPONENTS

“[…]

On each following SELECTION DAY each INDEX COMPONENT is assigned a weight subject to the following steps:

1. The CARBON INTENSITY of the PARENT INDEX is calculated by weighting the CARBON INTENSITY of the components of the BENCHMARK INDEX UNIVERSE of the PARENT INDEX by the weight of the respective components of the BENCHMARK INDEX UNIVERSE of the PARENT INDEX.
2. Each INDEX COMPONENT is assigned a weight in line with the requirements for EU Paris-aligned Benchmarks. I.e., an optimization is applied that minimizes the cumulative squared weight deviation from the PARENT INDEX on each SELECTION DAY, subject to the following constraints:

[…]

        i. Individual Weights are capped at 20.00%.

[…]”

Defined terms 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.