Overview
Announcements

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%)