Methodology Change | Solactive USS Developed Markets Climate Transition Benchmark | Effective Date 2024-10-09
Today, on 2024-09-24, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):
| ISIN | RIC | Name |
| DE000SL0EV78 | .SOLUCTBP | Solactive USS Developed Markets Climate Transition Benchmark PR |
| DE000SL0EV86 | .SOLUCTBN | Solactive USS Developed Markets Climate Transition Benchmark NTR |
| DE000SL0EV94 | .SOLUCTBT | Solactive USS Developed Markets Climate Transition Benchmark TR |
Summary of the Change
The changes can be summarized as follows:
- Removal of the SDG-based exclusions.
- Removal of the norm-based exclusions.
- Amendment of the controversial weapons exclusion: keep anti-personnel mines, cluster munitions and prohibited white phosphorus weapons only.
- Amendment of the optimization objective to target a closer sector-level alignment with broad market cap.
- Reducing the floor on minimum stock weight from 0.01% to 0.001%.
- Reducing the maximum sector deviation from +/-3% to +/-2%.
- Amendment of the Russian exclusion to include Russia as Country of Risk.
- The name of the index will be adjusted from Solactive USS Developed Markets Climate Transition Benchmark to Solactive USS Developed Markets Climate Tilted Index
Changes to the Index Guideline
Section 2.2. of the OLD Methodology:
|
Theme |
Topic |
Exclusion criterion |
|
Norm-Based Research |
Environment |
Verified failure to respect established norms as well as severe or very severe controversies |
|
Human Rights |
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Corruption |
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Labour Rights |
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|
Controversial Weapons Research |
Chemical weapons |
Verified or alleged ongoing involvement |
|
Biological weapons |
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|
Nuclear weapons |
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|
Depleted Uranium |
||
|
Nuclear weapons outside the NPT |
||
|
Cluster munitions |
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|
Anti-personnel mines |
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|
Activity-Based Screening |
Tobacco Cultivation & Production |
> 0% |
|
Thermal Coal Mining |
> 25% |
|
|
Environmental Objectives |
Sustainable Development Goal 12: Responsible Consumption and Production |
Significant Negative Impact, i.e. single SDG Impact Rating of ≤ -5.1 |
|
Sustainable Development Goal 13: Climate Action |
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|
Sustainable Development Goal 14: Life Below Water |
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|
Sustainable Development Goal 15: Life on Land |
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|
breached |
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Section 2.2. of the NEW Methodology:
|
Theme |
Topic |
Exclusion criterion |
|
Controversial Weapons Research |
White Phosphorus weapons
|
Verified or alleged ongoing involvement |
|
Cluster munitions |
||
|
Anti-personnel mines |
||
|
Activity-Based Screening |
Tobacco Cultivation & Production |
> 0% |
|
Thermal Coal Mining |
> 25% |
|
|
Explanation: % figures refer to revenue threshold (for degree of involvement) above which criterion is breached |
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Section 2.3.2 of the OLD Methodology:
Each Index Component is assigned a weight in line with the requirements for EU Climate Transition Benchmarks. I.e., an optimization is applied that minimizes the cumulative absolute weight deviation from the Parent Index, subject to the following constraints:
…
b. Maximum absolute weight deviation from the weight in the Parent Index of 0.50%. Individual Weights are capped at the maximum of 5% and the weight in the Parent Index and floored at 0.01%.
c. Compared to the Parent Index, absolute deviation of the sector weights is capped at 3%. If the cumulative maximum possible weight, as detailed in step 2.b., of all Index Components in a sector is less than what is required to achieve this sector weight constraint, the cumulative maximum possible weight of all Index Components is set as the minimum sector weight for this sector.
Section 2.3.2 of the NEW Methodology:
Each Index Component is assigned a weight that minimizes the cumulative absolute weight deviation as well as the absolute sector deviation from the Parent Index on each Selection Day, subject to the following constraints:
b. Maximum absolute weight deviation from the weight in the Parent Index of 0.50%. Individual Weights are capped at the maximum of 5% and the weight in the Parent Index and floored at 0.001%.
c. Compared to the Parent Index, absolute deviation of the sector weights is capped at 2%. If the cumulative maximum possible weight, as detailed in step 2.b., of all Index Components in a sector is less than what is required to achieve this sector weight constraint, the cumulative maximum possible weight of all Index Components is set as the minimum sector weight for this sector.
Section 6 of the OLD Methodology:
“Rebalance Day” is the close of the first Wednesday in February and August. If that day is not an Eligible Rebalance Day, the Rebalance Day will be the following Eligible Rebalance Day.
Section 6 of the NEW Methodology:
“Rebalance Day” is the close of the first Wednesday in May and November. If that day is not an Eligible Rebalance Day, the Rebalance Day will be the following Eligible Rebalance Day.