Methodology Change | Solactive ISS ESG Screened Paris Aligned Nordic Index Series | Effective Date 2023-09-04

Today, on the 18/08/2023, Solactive announces the following changes to the methodology of the following index (the ‘Affected Index’):

Rationale for Methodology Change

The last few years saw an extensive emphasis being put on climate change mitigation and multiple countries and entities setting targets to get to net-zero emissions by 2050. This objective is at the heart of the European Green Deal and in line with the EU’s commitment to global climate action under the Paris Agreement. Given the success of the product(s) linked to the Affected Indices, Solactive enhanced the methodology of the Affected Indices in order to account for the tradability constraints faces by stakeholder in replicating the Affected Indices. In order to avoid unnecessary price impact in several instruments, Solactive is suggesting applying a specific weight capping mechanism for instrument with limited trading volume relative to their weights within the Affected Indices.

Changes to the Index Guideline

Section 2.3.2. WEIGHTING OF THE INDEX COMPONENTS

From:

[…]

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:
   1. Reduce the Carbon Intensity of the Index compared to the Carbon Intensity of the Parent Index by at least 55%.
   2. Maximum absolute weight deviation from the weight in the Parent Index is capped at the minimum of 2% and 10 times the weight in the Parent Index. Individual Weights are floored at 0.0001%.

To:

[…]

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:
   1. Reduce the Carbon Intensity of the Index compared to the Carbon Intensity of the Parent Index by at least 55%.
   2. Maximum absolute weight deviation from the weight in the Parent Index is capped at the minimum of 2% and 10 times the weight in the Parent Index. Individual Weights are floored at 0.0001%. Moreover, Individual weights are capped based on the securities’ Median Daily Value Traded according to below formula: max 𝑤𝑒𝑖𝑔ℎ𝑡𝑖 = 𝑀𝐷𝑉𝑇𝑖/1.000.000.000

                  Where:

                  Security i’s minimum Median Daily Value Traded over the preceding 1-month and 6-month period in SEK.

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