Methodology Change | Solactive ISS Emerging Markets Carbon Reduction & Climate Improvers Index | Effective Date 03/01/2022

Today, on the 16/12/2021, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):

Rationale for Methodology Change

The Affected Indices aim to track the performance of Emerging Markets Large & Mid Cap securities, including only companies operating in accordance with market standards on ESG controversy screens. Those standards are based on established norms such as the United Nations Global Compact and the exclusion of significant involvement in defined sectors. The Indices aim to cover current and future regulation on ESG investments and also include a focus on issues related to climate change. The underlying assets are selected and weighted in such a manner that the resulting benchmark portfolio’s GHG emissions are aligned with the long-term global warming target of the Paris Climate Agreement.

The Data Provider, ISS (https://www.issgovernance.com/), will update the Scope 3 emission methodology starting with 2020 data that will be released in January 2022. The improvements in methodology of the Data Provider encompass usage of reported data and enhanced Scope 3 model.

Solactive has determined that due to a significant change in the calculation methodology in Scope 3 emissions provided by the Data Provider, the Base Day for the Indices shall be changed. As the index methodology is inspired by the Commission Delegated Regulation (EU) 2020/1818, the proposed changes follow the same methodology as described in Article 8 (2) of this regulation. Hence, a new Base Day will be set in order to account for the changes in the underlying data. For the sake of clarity, there will neither be index level Restatement nor change in historical values. 

Change to the Index Guideline

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

To ensure alignment of the Base Day of the decarbonization trajectory with the updated emissions methodology, section 1.3. would be amended:

Section 1.3. Initial Level of the Index

From:

The initial level of the Index on the 06/02/2019, the Start Date, is 1000. Historical values from the 17/06/2021, the Live Date, will be recorded in accordance with Article 8 of the BMR. Levels of the Index published for a period prior to the Live Date have been back-tested. The Index follows a decarbonization trajectory that is based on the 06/01/2021, the Base Day.

To.

The initial level of the Index on the 06/02/2019, the Start Date, is 1000. Historical values from the 17/06/2021, the Live Date, will be recorded in accordance with Article 8 of the BMR. Levels of the Index published for a period prior to the Live Date have been back-tested. The Index follows a decarbonization trajectory that was initially, as of the Live Date, based on the 06/01/2021. Due to substantial changes in the methodology of the input data provided by the Data Provider, the decarbonization is re-based to 05/01/2022, the Base Day.

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.