Methodology Change | Solactive Eurozone Sustainability Index | Effective Date 31/05/2022

Today, on the 30/05/2022, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):

Rationale for Methodology Change

The Affected Indices tracks the price movements in shares of companies that pass several corporate social responsibility screens. In order to accommodate evolving ESG requirements Solactive has determined to apply stricter exclusion criterion for ESG screening.

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 1.1 Short name and ISIN

The wording in Section 1.1 Short name and ISIN of the Index guideline is replaced by the following wording

From (old version):
“[…]

The Solactive Eurozone Sustainability Index is distributed under ISIN DE000SLA00T4; the WKN is SLA00T. The Index is published in Reuters under the code .SOLESG and in Bloomberg under the code SOLESG Index.

[…]”

To (new version):

“[…]

The Solactive Eurozone Sustainability Index as well as Solactive Eurozone Sustainability Index NTR is distributed under ISIN DE000SLA00T4 and DE000SLA70L4; the WKN is SLA00T and SLA70L. The Index is published in Reuters under the code .SOLESG and .SOLESGN and in Bloomberg under the code SOLESG Index as well as SOLESGN Index.

[…]”

• Section 4. Definitions

The wording in Section 4. Definitions of the Index guideline is replaced by the following wording:

From (old version):
“[…]

“Selection Pool” in respect of a Selection Day are those companies that fulfill the following conditions:

The Index Adviser on a quarterly basis sends a selection universe consisting of European companies, screened for a number of constraints. All companies in the selection universe have been certified with the Oekom “Prime” Status. The companies in the selection universe are further screened for Controversial Business Areas and Controversial Business Practices and removed from the pool if they violate either of the exclusion criteria below.

Business Areas

1) Abortion

1. a) Drugs: Net Sales >0%
2. b) Clinics: Net Sales >5%

2) Alcohol

1. a) Producers
2. i) Beer/wine: Net Sales >5%
3. ii) High-proof beverages/foodstuffs >5%

3) Producers Oil: Net sales >0%

4) Producers Coal: Net Sales >0%

5) Embryonic Research

1. a) Companies which have specialized in this field
2. b) Companies which are involved in this field but do not generate significant proportion of their Net Sales from it

6) Furs

1. a) Producers: Net Sales >0
2. b) Traders/Retailers: Net Sales >10%

7) Gambling

1. a) Particularly controversial forms of gambling: Net Sales >0%
2. b) Other forms of gambling: Net Sales >20%

8) GMOs

1. a) Producers: Net Sales >0%

9) Military

1. a) Producers
2. i) Weapons (systems) : Net Sales >0%
3. ii) Outlawed weapons: Net Sales >0%

iii) Other armaments: Net Sales >5%

10) Nuclear Power

1. a) Producers
2. i) Nuclear Power: Net Sales >0%
3. ii) Uranium: Net Sales >0%

iii) Key components for nuclear power stations: Net Sales >5%

11) Pornography

1. a) Producers: Net Sales >0%
2. b) Traders/Retailers: Net Sales >10%

12) Tobacco

1. a) Producers
2. i) End products: Net Sales >5%
3. ii) Components/accessories: Net Sales >5%

Business Practices

1) Animal Testing

                    Tests within and/or beyond legal requirements

2) Business Malpractice

1. a) Corruption
2. b) Falsification of accounts

3) Controversial Environmental Practices

1. a) Companies immediately causing the impact
2. b) Suppliers/subcontractors

4) Human Rights

1. a) Company
2. b) Suppliers/subcontractors

5) Labour Rights

1. a) Company
2. i) Freedom of association
3. ii) Forced labour

iii) Child labour

1. iv) Discrimination
2. v) Other areas
3. b) Suppliers/subcontractors
4. i) Freedom of association
5. ii) Forced labour

iii) Child labour

1. iv) Discrimination
2. v) Other areas

Additionally, the companies need to fulfil the following:

1. Incorporation and stock market listing in the Eurozone.
2. Primary Listing on a regulated stock exchange in the form of shares tradable for foreign investors without restrictions.
3. Average Daily Trading Volume over the last 20 business days of at least 10,000,000 Euro.

[…]”

To (new version):

“[…]

 “Selection Pool” in respect of a Selection Day are those companies that fulfill the following conditions:

The Index Adviser on a quarterly basis sends a selection universe consisting of European companies, screened for a number of constraints as mentioned below:

All companies in the selection universe have been certified with the ISS ESG “PrimeStatus”. The companies in the selection universe are further screened for Controversial Business Areas and Controversial Business Practices and removed from the pool if they violate either of the exclusion criteria below.

Companies with a Norms Based Research Overall Flag in Red category are excluded. 

Additionally, the companies need to fulfil the following:

1. Incorporation and stock market listing in the Eurozone.
2. Primary Listing on a regulated stock exchange in the form of shares tradable for foreign investors without restrictions.
3. Average Daily Trading Volume over the last 20 business days of at least 10,000,000 Euro.
4. Climate total Emissions Intensity above 1500
5. Energy Consumption Intensity above 300 GWh/mEUR.

Companies missing data according to the Energy Consumption Intensity field are still eligible for the Index selection.

[…].”

From (old version):
“[…]

The “Index Adviser” is Oekom Research AG.

[…]”

To (new version):

“[…]

The “Index Adviser” is ISS ESG.

[…].”

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.