Methodology Change | RAFI Multi-Factor Climate Transition Developed Index Family | Effective Date 13/08/2021

Today, on the 11/08/2021, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):

Rationale for Methodology Change

Solactive has determined to change the treatment for companies which are missing carbon intensity data.

The treatment of companies with missing carbon intensity data by the data provider ISS currently bears some risk with potential effects on the index rebalance.

Currently, when constructing the Affected Indices, if carbon intensity (CI) is missing for a company in the selection universe, the CI of its respective industry/region maximum is assigned. This essentially acts as a penalty for companies that don’t report emissions data.

Using the 90^th percentile carbon intensity of an industry/region for companies with missing data as this is still high enough to act as a penalty, but low enough to dampen the effect of extreme outliers.

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):

From (old wording):

“If a company’s carbon intensity is missing, that company is assigned the corresponding region/sector maximum value.”

To (new wording):

“If a company’s carbon intensity is missing, that company is assigned a carbon intensity equivalent to the 90th percentile of carbon intensity for that region/sector.”

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.