Announcement Methodology Change | Solactive L&G ESG Corporate Bond Indices | Effective Date 26.01.2021

Today, on the 20/01/2021, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):

Rationale for Methodology Change

Solactive has determined that a refinement of the index strategy is necessary to completely fulfill the objective of the Affected Indices. The Affected Indices should provide exposure to a diversified portfolio of corporate bonds while increasing the allocation towards ESG friendly issues. So far Green Bonds have not been specifically accounted for in the weighting mechanism. To further increase the allocation towards ESG friendly bonds, Green Bonds will now receive a higher weight, due to the introduction of the Green Bond Indicator within the existing capping mechanism.

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):

The wording in Section 1.5 of the Index Guidelines will be amended.

From (old wording):

“[…]

The market value weight of each Index Component is tilted using the following formula, which takes into account ESG score assigned to the issuer:

W_i^tilt = (1+ESG Score)^TxW_i^MC

Where:

[…].”

To (new wording):

“[…]

The market value weight of each Index Component is tilted using the following formula, which takes into account ESG score assigned to the issuer as well as an issuer specific Green Bond Indicator:

W_i^tilt = (1+ESG Score)^TxW_i^MCx Green Bond Indicator_i

Where:

[…].”

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.