Methodology Change | Solactive L&G ESG Index Families | Effective Date 2024-10-09
Today, on 2024-09-24, Solactive announces the following changes to the methodology of the following indices (the ‘Affected Indices’):
ISIN | RIC | NAME |
DE000SL0BP79 | .SOEESGBN | Solactive L&G Enhanced ESG United Kingdom Index NTR |
DE000SL0BP61 | .SOEESGBP | Solactive L&G Enhanced ESG United Kingdom Index PR |
DE000SL0BP87 | .SOEESGBT | Solactive L&G Enhanced ESG United Kingdom Index TR |
DE000SL0EA32 | .SOEESGEN | Solactive L&G Enhanced ESG Europe ex UK Index NTR |
DE000SL0EA24 | .SOEESGEP | Solactive L&G Enhanced ESG Europe ex UK Index PR |
DE000SL0EA40 | .SOEESGET | Solactive L&G Enhanced ESG Europe ex UK Index TR |
DE000SL0DUU4 | .SOEESGNN | Solactive L&G Enhanced ESG North America Index NTR |
DE000SL0DUT6 | .SOEESGNP | Solactive L&G Enhanced ESG North America Index PR |
DE000SL0DUV2 | .SOEESGNT | Solactive L&G Enhanced ESG North America Index TR |
DE000SL0EA99 | .SOEESGJN | Solactive L&G Enhanced ESG Japan Index NTR |
DE000SL0EA81 | .SOEESGJP | Solactive L&G Enhanced ESG Japan Index PR |
DE000SL0EBA4 | .SOEESGJT | Solactive L&G Enhanced ESG Japan Index TR |
DE000SL0EA65 | .SOEESGPN | Solactive L&G Enhanced ESG APAC ex JP Index NTR |
DE000SL0EA57 | .SOEESGPP | Solactive L&G Enhanced ESG APAC ex JP Index PR |
DE000SL0EA73 | .SOEESGPT | Solactive L&G Enhanced ESG APAC ex JP Index TR |
DE000SL0EBC0 | .SOEESGMN | Solactive L&G Enhanced ESG Emerging Markets Index NTR |
DE000SL0EBB2 | .SOEESGMP | Solactive L&G Enhanced ESG Emerging Markets Index PR |
DE000SL0EBD8 | .SOEESGMT | Solactive L&G Enhanced ESG Emerging Markets Index TR |
DE000SL0AF31 | .SOEESGDN | Solactive L&G Enhanced ESG Developed Markets Index NTR |
DE000SL0AF23 | .SOEESGDP | Solactive L&G Enhanced ESG Developed Markets Index PR |
DE000SL0AF49 | .SOEESGDT | Solactive L&G Enhanced ESG Developed Markets Index TR |
DE000SLA5HM2 | .SOESGUKG | Solactive L&G ESG UK GTR Index |
DE000SLA5HL4 | .SOESGUKN | Solactive L&G ESG UK NTR Index |
DE000SLA5HK6 | .SOESGUKP | Solactive L&G ESG UK PR Index |
DE000SLA5HJ8 | .SOESGEUG | Solactive L&G ESG Europe ex UK GTR Index |
DE000SLA5HH2 | .SOESGEUN | Solactive L&G ESG Europe ex UK NTR Index |
DE000SLA5HG4 | .SOESGEUP | Solactive L&G ESG Europe ex UK PR Index |
DE000SLA5HF6 | .SOESGNAG | Solactive L&G ESG North America GTR Index |
DE000SLA5HE9 | .SOESGNAN | Solactive L&G ESG North America NTR Index |
DE000SLA5HD1 | .SOESGNAP | Solactive L&G ESG North America PR Index |
DE000SLA5HU5 | .SOESGJPG | Solactive L&G ESG Japan GTR Index |
DE000SLA5HS9 | .SOESGJPN | Solactive L&G ESG Japan NTR Index |
DE000SLA5HR1 | .SOESGJPP | Solactive L&G ESG Japan PR Index |
DE000SLA5HQ3 | .SOESGAPG | Solactive L&G ESG APAC ex Japan GTR Index |
DE000SLA5HP5 | .SOESGAPN | Solactive L&G ESG APAC ex Japan NTR Index |
DE000SLA5HN0 | .SOESGAPP | Solactive L&G ESG APAC ex Japan PR Index |
DE000SLA7Z72 | .SOESGEMT | Solactive L&G Emerging Markets GTR Index |
DE000SLA7Z64 | .SOESGEMN | Solactive L&G Emerging Markets NTR Index |
DE000SLA7Z56 | .SOESGEMP | Solactive L&G Emerging Markets PR Index |
DE000SLA6W92 | .SOESGDMG | Solactive L&G Developed Markets GTR Index |
DE000SLA6W84 | .SOESGDMN | Solactive L&G Developed Markets NTR Index |
DE000SLA6W76 | .SOESGDMP | Solactive L&G Developed Markets PR Index |
DE000SLA6X75 | .SOESGDBG | Solactive L&G ESG Developed Markets ex UK GTR Index |
DE000SLA6X67 | .SOESGDBN | Solactive L&G ESG Developed Markets ex UK NTR Index |
DE000SLA6X59 | .SOESGDBP | Solactive L&G ESG Developed Markets ex UK PR Index |
DE000SLA9LU9 | .SOESGGMT | Solactive L&G ESG Global Markets GTR Index |
DE000SLA9LS3 | .SOESGGMN | Solactive L&G ESG Global Markets NTR Index |
DE000SLA9LR5 | .SOESGGMP | Solactive L&G ESG Global Markets PR Index |
2E000SLA9QA0 | .SOESDBPN2 | Solactive L&G ESG Developed Markets ex UK GBP NTR Index 2 |
DE000SL0HU27 | .SOESDEUN | Solactive L&G ESG Developed Markets ex UK EUR Index NTR |
DE000SL0J700 | .SOESDEUP | Solactive L&G ESG Developed Markets ex UK EUR Index PR |
DE000SL0J718 | .SOESDEUT | Solactive L&G ESG Developed Markets ex UK EUR Index TR |
DE000SL0JB28 | .SOESGDEP | Solactive L&G ESG Developed Markets PR Index EUR |
DE000SL0JB36 | .SOESGDEN | Solactive L&G ESG Developed Markets NTR Index EUR |
DE000SL0JB44 | .SOESGDET | Solactive L&G ESG Developed Markets GTR Index EUR |
Summary of the Change
Solactive proposes a change of the sector deviation constraint in section 2.3.2 of the Guidelines.
The aim is to introduce a smoother transition into the lower sector deviation bound, starting from 40% carbon intensity contribution, rather than the previous fixed shift between -3% and -4%.
The change will make the indices more adaptable to current market conditions while maintaining control over sector deviations.
Changes to the Index Guideline
Old Methodology:
Compared to the INVESTABLE UNIVERSE, the deviation of the sector weights is capped at 2% and floored at 3%.
a. An exception is applied for sectors which have a CARBON INTENSITY greater than 50% of the PARENT INDEX CARBON INTENSITY. Their weight deviation is capped at 3% and floored at 4.
New Methodology:
Compared to the INVESTABLE UNIVERSE, the deviation of the sector weights is capped at 2% and floored at 3%.
a. An exception is applied for sectors which have a CARBON INTENSITY greater than 40% of the PARENT INDEX CARBON INTENSITY. Their weight deviation is calculated as:
Sector Floor = max(-3% – max(Carbon Intensity Contribution – 40%, 0 )*0.1, -5%)