Announcement Methodology Change | Solactive ESG Big Data Europe High Dividend Low Volatility Index PR/NTR/TR, Solactive Big Data Europe Low Volatility Index PR/NTR/TR, Solactive Big Data Europe Low Volatility AR 5% Index | Effective Date 29/11/2019

Today, on the 15/11/2019, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):

Rationale for methodology change

Solactive has determined that in order to comply with current market standards in the ESG indexing space, the exclusion criteria for companies that derive revenue from extraction of fossil fuels should be strengthened. This includes a 0% exclusion threshold for fossil fuel extraction as well as a dedicated revenue threshold for companies deriving revenues thermal coal extraction. Furthermore, Electric Utilities companies will receive dedicated filters that ensure exclusion of any such company that exhibits any involvement in nuclear or fossil fuel power production.

Moreover, the methodology change will reflect a clarification in relation to the specified revenue thresholds. Instead of being binding for revenue percentages greater than the specified threshold, the correct specification defines them as binding for revenue percentages greater or equal to the specified threshold.

Changes to the Index Guideline

The index specification in section 1 of the guideline for indices 1-3 above will change from: 

The Index intends to track the price movements of a portfolio of 30 European companies with a high dividend yield and low volatility. The index constituents are selected from a pool of stocks that only includes companies that have no involvement in the area of controversial weapons and no significant business involvement in a range of controversial areas such as tobacco, alcohol, extraction of fossil fuels among others. Furthermore,the selection pool is filtered for companies in the top 90% in regards to their United Nations Global Compact compliance Score and in the top 40% in regards to their overall ESG Score.

to:

The Index intends to track the price movements of a portfolio of 30 European companies with a high dividend yield and low volatility. The index constituents are selected from a pool of stocks that only includes companies that have no involvement in the area of controversial weapons and fossil fuel extraction and no significant business involvement in a range of controversial areas such as tobacco, alcohol, gambling among others. Furthermore, the selection pool is filtered for companies in the top 90% in regards to their United Nations Global Compact compliance Score and in the top 40% in regards to their overall ESG Score.

The scope of the index in section 1.1 of the guideline for for indices 4-7 above will change from: 

Representation of a portfolio of 40 European low volatility stocks,
which are selected from a pool of stocks that only includes companies that have no involvement in the area of controversial weapons and no significant business involvement in a range of controversial areas such as tobacco, alcohol, extraction of fossil fuels among others. Furthermore, the selection pool is filtered for companies in the top 90% in regards to their United Nations Global Compact Compliance Score and in the top 40% in regards to their overall ESG Score.

to:

Representation of a portfolio of 40 European low volatility stocks,
which are selected from a pool of stocks that only includes companies that have no involvement in the area of controversial weapons and fossil fuel extraction and no significant business involvement in a range of controversial areas such as tobacco, alcohol, gambling among others. Furthermore, the selection pool is filtered for companies in the top 90% in regards to their United Nations Global Compact Compliance Score and in the top 40% in regards to their overall ESG Score.

The table in section 2.1 (for indices 1-3 above)/section 2.2 (for indices 4-7 above) of the respective index guideline will change from

To:

¹ Companies involved in manufacturing and distributing advanced combat equipment, services and technology targeted at combat, national security, and other defense applications. This includes, but is not limited to, involvements with weaponry and related components thereof, artillery equipment, combat and combat-support vehicles, missile systems, attack submarines, military aircrafts, unmanned aerial vehicles, advanced electronic hardware and support products, propulsion equipment, hybrid circuits dedicated to military and aerospace applications, and IT solutions tailored and marketed for aerospace/defense industries.

² Companies manufacturing either whole strategic parts or platforms for nuclear weapons, nuclear weapon systems, or nuclear weapon components. Companies involved in chemical and biological weapons manufacturing, and suppliers involved in providing relevant products or services related to chemical and biological weapons manufacturing. Companies involved in cluster munitions manufacturing, and suppliers involved in providing relevant products or services related to cluster munitions manufacturing. Companies involved in land-mines manufacturing, and suppliers involved in providing relevant products or services related to land-mines manufacturing (including anti-personnel land-mines).

³ Companies involved in the exploration, extraction, production, refinement, marketing, storage, and distribution of coal, oil, and/or gas (fossil fuels). Companies which provide electricity generated by fossil fuels. Companies which provide support services and equipment for fossil fuel operations. Companies involved in unconventional oil and gas operations (e.g. extraction), including oil/tar sands, shale gas, coalbed or coalseam methane, tight gas, gas hydrates, shale oil, fracking, and Arctic drilling.

⁴ Companies involved in the leasing of coal mines and the mining and processing of thermal (steam) coal.