Methodology Change | Solactive J.P. Morgan Asset Management China Carbon Transition Index | Effective Date Today 9th April 2025

Today on 2025-04-09 Solactive announces the following changes to the methodology of the following Indices (the ‘Affected 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):

2.3. WEIGHTING OF THE INDEX COMPONENTS

Adding sub section Re-allocate to High Carbon Transition Score Equities

Section 6 defines the Carbon Transition Score target for the Rebalance period 𝐶𝑇𝑆𝑡, which is the minimum target CTS of the index

If the current Carbon Transition Score 𝐶𝑇𝑆𝑝 is <𝐶𝑇𝑆𝑡, then the Index re-allocates away from Equities with low Carbon Transition Score to Equities with higher Carbon Transition Score until the Index CTS matches the target 𝐶𝑇𝑆𝑡.

To achieve this goal, the Index attempts to minimize the number of transactions by finding the pair trade that will yield the largest impact on Index Carbon Transition Score given all trading constraints from previous steps and no negative impact on Index WACI. In addition to isolating the trades to a particular Bucket so previously implemented constraints are not breached; the Index also ensures the allocation to high impact sub-sectors is always higher than or equal to the Investable Universe throughout the iteration.

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Section 6 Definitions

Adding Carbon Transition Score Target definition 

“Carbon Transition Score Target” A Carbon Transition score is calculated at the benchmark level to be used in the calculation of the Carbon Transition Score target of the index.

The Carbon Transition Score target is calculated to ensure there is a minimum increase in CT score in the portfolio versus the benchmark

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 is available on our website.