Methodology Change | NYLI CANDRIAM U.S. LARGE CAP/U.S MID CAP/INTERNATIONAL EQUITY INDICES | Effective Date 03/11/2025
Today, on the 20/10/2025, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):
| Name | RIC | ISIN |
| NYLI Candriam U.S. Large Cap Equity Index-Price Change | .IQESGUS | DE000SLA99K5 |
| NYLI Candriam U.S. Large Cap Equity Index-Total Return | .IQESGUST | DE000SLA99L3 |
| NYLI Candriam U.S. Mid Cap Equity Index-Price Change | .IQESGUM | DE000SL0GM02 |
| NYLI Candriam U.S. Mid Cap Equity Index-Net Total Return | .IQESGUMN | DE000SL0GM10 |
| NYLI Candriam U.S. Mid Cap Equity Index-Total Return | .IQESGUMT | DE000SL0GM28 |
| NYLI Candriam International Equity Index-Price Change | .IQESGIN | DE000SLA99G3 |
| NYLI Candriam International Equity Index-NTR | .IQESGINN | DE000SLA99H1 |
| NYLI Candriam International Equity Index-Total Return | .IQESGINT | DE000SLA99J7 |
Rationale for Methodology Change
NYLI Candriam indices represent specific segment of equities (US Large Cap, US Mid Cap, International) filtered for several ESG criteria like Controversial Activities criteria and the United Nations Global Compact. Existing rule effectively eliminated the bottom 30% of ESG performers, it created instability when company rankings fluctuated around the 70% cutoff—potentially triggering deletions for companies without meaningful ESG score changes. The changes addresses this by gradually adjusting weights for companies in the 70–80th percentile range, minimizing disruption from minor ranking shifts while maintaining adherence to the strategies’ core ESG principles.
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 2.1 Index Universe Requirements
Addition:
- Companies ranked between the 70th and 80th percentiles based on their ESG score are also included in the INDEX UNIVERSE provided that all of the following conditions are met:
- As described above, they do not violate the Controversial Activities criteria or the United Nations Global Compact principles
- Note: Any security ranked in the 70–80th percentile that fails the Controversial Activities or UNGC screening is excluded, regardless of historical rankings.
- They were ranked within the top 70% (per sector) at least once over the two previous Rebalancing Dates
- Their ESG ranking score was not above the 80th percentile on either of those two Rebalancing dates.
- As described above, they do not violate the Controversial Activities criteria or the United Nations Global Compact principles
Section 2.3. WEIGHTING OF THE INDEX COMPONENTS
Addition:
- Securities ranked within the 70th–80th percentile range at the current rebalancing, which meet the criteria defined under the “INDEX UNIVERSE REQUIREMENTS,” are subject to the following progressive weight reduction mechanism:
- First occurrence: The security’s weight is reduced to 50% of its free-float market capitalization weight.
- Second consecutive occurrence: If the security remains within the 70th–80th percentile range at the next Selection Day, its weight is further reduced to 25%.
- Third consecutive occurrence: If the security continues to fall within this, the security is fully removed from the index.
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.