Methodology Change | RAFI Multi-Factor Climate Transition Developed | Effective Date 11/02/2022

Today, on the 07/02/2022, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):

Rationale for Methodology Change

The Affected Indices aims to provide diversified exposures through allocations to value, low volatility, quality, and momentum while simultaneously incorporating specific objectives related to greenhouse gas (GHG) emission reductions and the transition to a low-carbon economy. The Affected Indices are designed to meet the requirements for Climate Transition Benchmarks (CTB) as specified by the Regulation (EU) 2016/1011 and the Commission Delegated Regulation (EU) 2020/1818.

The Affected Indices uses climate and baseline exclusion data provided by ISS, a third-party ESG data and ratings provider (https://www.issgovernance.com/). ISS has updated the Scope 3 emission methodology starting with 2020 data that was released in January 2022. The improvements in methodology of ISS encompass usage of reported Scope 3 data and enhanced Scope 3 model. Previously, all Scope 3 emission data were modelled.

Due to a significant change in the calculation methodology in Scope 3 emissions provided by ISS, the Base Date for the Affected Indices shall be changed. As the Affected Indices are designed to meet the requirements for Climate Transition Benchmarks (CTB) as specified by the Regulation (EU) 2016/1011 and the Commission Delegated Regulation (EU) 2020/1818, the proposed changes follow the methodology as described in Article 8 (2) of this regulation. Hence, a new Base Date shall be set in order to account for the change in underlying data during the first regular selection of the Affected Indices in 2022.

Change to the Index Guideline

The following Methodology change will be implemented in the Index Guideline:

To ensure alignment of the Base Date of the decarbonization trajectory with the updated emissions methodology, section 3.2. would be amended and a footnote will be added:

Note: In January of 2022, ISS, the emissions data provider for the RAFI Multi-Factor Developed Climate Transition Index made significant changes to their estimation models for Scope 3 data. Per Article 8 of the Commission Delegated Regulation (EU) 2020/1818, the carbon intensity reduction trajectory was reset with a new base year of 2022. At the March 2022 rebalance, carbon intensity reduction was reset to a 30% reduction relative to the investable universe weighted by float-adjusted market capitalization.

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.