I NDEX G UIDELINE
SOLACTIVE L&G ESG INDEX FAMILY

Version 1.4
09 October 2024

INDEX GUIDELINETABLE OF CONTENTS
Introduction .............................................................................................................................................................................................................................. 3
1.

Index Specifications ................................................................................................................................................................................................... 4
1.1.

Scope of the Index ................................................................................................................................................................................................ 4

1.2.

Identifiers and Publication ................................................................................................................................................................................ 5

1.3.

Initial Level of the Index ..................................................................................................................................................................................... 7

1.4.

Prices and calculation frequency ................................................................................................................................................................... 7

1.5.

Licensing.................................................................................................................................................................................................................. 82.

Index Selection ............................................................................................................................................................................................................ 9
2.1.

Index Universe Requirements........................................................................................................................................................................... 9

2.2.

Selection of the Index Components ............................................................................................................................................................... 9

2.3.

Weighting of the Index Components ............................................................................................................................................................. 122.3.1. Tilted Weights....................................................................................................................................................................................................... 122.3.2. Carbon ReducTion ...............................................................................................................................................................................................14
3.

Rebalance .................................................................................................................................................................................................................... 17
3.1.

Ordinary Rebalance ............................................................................................................................................................................................ 17

3.2.

Extraordinary Rebalance .................................................................................................................................................................................. 17

4.

Calculation of the Index ..........................................................................................................................................................................................18
4.1.

Index formula ........................................................................................................................................................................................................18

4.2.

Accuracy .................................................................................................................................................................................................................18

4.3. Adjustments ..........................................................................................................................................................................................................18
4.4. Corporate actions ................................................................................................................................................................................................19
4.5. Recalculation ....................................................................................................................................................................................................... 20
4.6. Market Disruption ............................................................................................................................................................................................... 20
5.

Miscellaneous ............................................................................................................................................................................................................. 21
5.1.

Discretion ............................................................................................................................................................................................................... 21

5.2.

Methodology Review........................................................................................................................................................................................... 21

5.3. Changes in calculation method ...................................................................................................................................................................... 21
5.4. Termination .......................................................................................................................................................................................................... 22
5.5.
6.

Oversight ............................................................................................................................................................................................................... 22

Definitions ................................................................................................................................................................................................................... 23

Contact ..................................................................................................................................................................................................................................... 28

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INDEX GUIDELINEINTRODUCTION
This document (the “GUIDELINE”) is to be used as a guideline with regard to the composition, calculation andmaintenance of the Solactive L&G ESG Index Family (the “INDEX”). Any amendments to the rules made to
the GUIDELINE are approved by the OVERSIGHT COMMITTEE specified in Section 5.5. The INDEX is owned,
calculated, administered and published by Solactive AG (“SOLACTIVE”) assuming the role as administrator(the “INDEX ADMINISTRATOR”) under the Regulation (EU) 2016/1011 (the “BENCHMARK REGULATION” or “BMR”). The
name “Solactive” is trademarked.

The text uses defined terms which are formatted with “SMALL CAPS”. Such Terms shall have the meaning
assigned to them as specified in Section 6 (Definitions).
The GUIDELINE and the policies and methodology documents referenced herein contain the underlying
principles and rules regarding the structure and operation of the INDEX. SOLACTIVE does not offer any explicit
or tacit guarantee or assurance, neither pertaining to the results from the use of the INDEX nor the level ofthe INDEX at any certain point in time nor in any other respect. SOLACTIVE strives to the best of its ability toensure the correctness of the calculation. There is no obligation for SOLACTIVE – irrespective of possible
obligations to issuers – to advise third parties, including investors and/or financial intermediaries, of any
errors in the INDEX. The publication of the INDEX by SOLACTIVE does not constitute a recommendation for
capital investment and does not contain any assurance or opinion of SOLACTIVE regarding a possible
investment in a financial instrument based on this INDEX.

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1.

INDEX SPECIFICATIONS

1.1.

SCOPE OF THE INDEX

Category
Asset Class

Description
EquityThe Solactive L&G ESG Index Family (the “Index Family”) is an index
family provided by Solactive and is calculated and distributed by
Solactive. The indices are designed by Solactive and Legal &General Investment Management (“L&G”) to tilt the parent universe
using the process described below in order to increase the exposure
to companies with higher L&G ESG scores. The L&G ESG scores are
created by L&G using a number of metrics including:

Strategy

1.

Environmental

2.

Social3.

Corporate Governance

4.

Transparency

These metrics are reviewed semi-annually by L&G in order toincorporate the most reliable and relevant inputs when calculating
the aggregate L&G ESG Score. Additionally, there is an annual
review of the scoring methodology.
In addition, the components are weighted based on an optimized
algorithm such as to ensure that the portfolio is in line with theclimate-neutrality by 2050 objective.
Regional Allocation
Rebalancing Fee
Rebalancing Frequency

Developed and Emerging Markets1
NA
Semiannually

1

Based on the definition of Developed and Emerging Markets as per Solactive Country Classification Framework, publishedunder: www.solactive.com
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1.2. IDENTIFIERS AND PUBLICATIONThe INDEX is published under the following identifiers:
Name

ISIN

Currency Type RIC

BBG ticker

Solactive L&G ESG North America
PR Index
Solactive L&G ESG North America
NTR Index
Solactive L&G ESG North America
GTR Index
Solactive L&G ESG Europe ex UK PR
Index
Solactive L&G ESG Europe ex UK
NTR Index
Solactive L&G ESG Europe ex UK
GTR Index
Solactive L&G ESG UK PR Index

DE000SLA5HD1

GBP

PR

.SOESGNAP

NA

DE000SLA5HE9

GBP

NTR

.SOESGNAN NA

DE000SLA5HF6

GBP

GTR

.SOESGNAG

NA

DE000SLA5HG4

GBP

PR

.SOESGEUP

NA

DE000SLA5HH2

GBP

NTR

.SOESGEUN

NA

DE000SLA5HJ8

GBP

GTR

.SOESGEUG

NA

DE000SLA5HK6

GBP

PR

.SOESGUKPNA

Solactive L&G ESG UK NTR Index

DE000SLA5HL4

GBP

NTR

.SOESGUKN

NA

Solactive L&G ESG UK GTR Index

DE000SLA5HM2

GBP

GTR

.SOESGUKG

NA

Solactive L&G ESG APAC ex Japan
PR Index
Solactive L&G ESG APAC ex JapanNTR Index
Solactive L&G ESG APAC ex JapanGTR Index
Solactive L&G ESG Japan PR Index

DE000SLA5HN0

GBP

PR

.SOESGAPP

NA

DE000SLA5HP5

GBP

NTR

.SOESGAPN

NA

DE000SLA5HQ3

GBP

GTR

.SOESGAPG

NA

DE000SLA5HR1

GBP

PR

.SOESGJPP

NA

Solactive L&G ESG Japan NTR Index

DE000SLA5HS9

GBP

NTR

.SOESGJPN

NA

Solactive L&G ESG Japan GTR Index

DE000SLA5HU5

GBP

GTR

.SOESGJPGNA

Solactive L&G Developed Markets
PR Index
Solactive L&G Developed Markets
NTR Index
Solactive L&G Developed Markets
GTR Index
Solactive L&G Developed Markets
PR Index GBP

DE000SLA6W76

USD

PR

.SOESGDMP NA

DE000SLA6W84

USD

NTR

.SOESGDMN NA

DE000SLA6W92

USD

GTR

.SOESGDMG NA

DE000SLA6ZD1

GBP

PR

.SOESGDGP

NA

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Solactive L&G Developed Markets
NTR Index GBP
Solactive L&G Developed Markets
GTR Index GBP
Solactive L&G Developed Markets ex
UK PR Index
Solactive L&G Developed Markets ex
UK NTR Index
Solactive L&G Developed Markets ex
UK GTR Index
Solactive L&G ESG Developed
Markets ex UK GBP PR Index
Solactive L&G ESG Developed
Markets ex UK GBP NTR Index
Solactive L&G ESG Developed
Markets ex UK GBP GTR Index
Solactive L&G ESG Emerging
Markets PR Index
Solactive L&G ESG Emerging
Markets NTR Index
Solactive L&G ESG Emerging
Markets GTR Index
Solactive L&G ESG Global Markets
PR Index
Solactive L&G ESG Global Markets
NTR Index
Solactive L&G ESG Global Markets
GTR Index
Solactive L&G ESG Developed
Markets PR Index EUR
Solactive L&G ESG Developed
Markets NTR Index EUR
Solactive L&G ESG Developed
Markets GTR Index EUR
Solactive L&G ESG Developed
Markets ex UK EUR Index NTR
Solactive L&G ESG Developed
Markets ex UK EUR Index PR

DE000SLA6ZE9

GBP

NTR

.SOESGDGN

NA

DE000SLA6ZF6

GBP

GTR

.SOESGDGG

NA

DE000SLA6X59

USD

PR

.SOESGDBP

NA

DE000SLA6X67

USD

NTR

.SOESGDBN

NA

DE000SLA6X75

USD

GTR

.SOESGDBG

NA

DE000SLA9P80

GBP

PR

.SOESDBPP

NA

DE000SLA9QA0

GBP

NTR

.SOESDBPN

NA

DE000SLA9P98

GBP

GTR

.SOESDBPG

NA

DE000SLA7Z56

GBP

PR

.SOESGEMP

NA

DE000SLA7Z64

GBP

NTR

.SOESGEMN NA

DE000SLA7Z72

GBP

GTR

.SOESGEMG

DE000SLA9LR5

GBP

PR

.SOESGGMP NA

DE000SLA9LS3

GBP

NTR

.SOESGGMN NA

DE000SLA9LU9

GBP

GTR

.SOESGGMT NA

DE000SL0JB28

EUR

PR

.SOESGDEP

NA

DE000SL0JB36

EUR

NTR

.SOESGDEN

NA

DE000SL0JB44

EUR

GTR

.SOESGDET

NA

DE000SL0HU27

EUR

NTR

.SOESDEUN

NA

DE000SL0J700

EUR

PR

.SOESDEUP

NA

NA

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Solactive L&G ESG Developed
Markets ex UK EUR Index TR

DE000SL0J718

EUR

GTR

.SOESDEUT

NA*[PR][NTR][GTR] means that the Index is calculated as price return, net total return and gross total return Index as described in the Equity Index Methodology,
which is available on the SOLACTIVE website: https://www.solactive.com/documents/equity-index-methodology/

The INDEX is published on the website of the INDEX ADMINISTRATOR (http://www.solactive.com) and is, inaddition, available via the price marketing services of Boerse Stuttgart GmbH and may be distributed to allof its affiliated vendors. Each vendor decides on an individual basis as to whether it will distribute or display
the INDEX via its information systems.
Any publication in relation to the INDEX (e.g. notices, amendments to the GUIDELINE) will be available at thewebsite of the INDEX ADMINISTRATOR: https://www.solactive.com/news/announcements/.

1.3. INITIAL LEVEL OF THE INDEXThe initial level of the INDEX on the 02/05/2012, the START DATE, is 100. Historical values from the 23/05/2018
the LIVE DATE, will be recorded in accordance with Article 8 of the BMR. Levels of the INDEX published for aperiod prior to the LIVE DATE have been back-tested.
The Solactive L&G ESG Emerging Markets Index has its LIVE DATE of 23/05/2019 and START DATE of
08/05/2017.
The Solactive L&G ESG Global Markets Index has its LIVE DATE of 17/10/2019 and START DATE of 08/05/2017.
The Solactive L&G ESG Developed Markets Index has its LIVE DATE of 22/10/2018 and START DATE of
02/05/2012.

1.4. PRICES AND CALCULATION FREQUENCY
The level of the INDEX is calculated on each CALCULATION DAY from 9:00 a.m. to 10:50 p.m. CET based on the
TRADING PRICES on the EXCHANGES on which the INDEX COMPONENTS are listed. TRADING PRICES of INDEXCOMPONENTS not listed in the INDEX CURRENCY are converted using the current Intercontinental Exchange(the “ICE”) spot foreign exchange rate. Should there be no current TRADING PRICE for an INDEX COMPONENT, thelater of: (i) the most recent CLOSING PRICE; or (ii) the last available TRADING PRICE for the preceding TRADING
DAY is used in the calculation.
In addition to the intraday calculation a closing level of the INDEX for each CALCULATION DAY is also
calculated. This closing level is based on the CLOSING PRICES for the INDEX COMPONENTS on the respective
EXCHANGES on which the INDEX COMPONENTS are listed. The CLOSING PRICES of INDEX COMPONENTS not listed in
the INDEX CURRENCY are converted using the 4pm London time WM Fixing quoted by Reuters. If there is no
4pm London time WM Fixing for the relevant CALCULATION DAY, the last available 4pm London time WM
Fixing will be used for the closing level calculation.

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1.5. LICENSING
Licenses to use the INDEX as the underlying value for financial instruments, investment funds and financial
contracts may be issued to stock exchanges, banks, financial services providers and investment houses by
SOLACTIVE.

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2.

INDEX SELECTION

On each SELECTION DAY, the INDEX ADMINISTRATOR will revise the composition of the INDEX.
In a first step, the INDEX ADMINISTRATOR determines the INDEX UNIVERSE in accordance with Section 2.1. The
INDEX UNIVERSE comprises all those financial instruments which fulfill the INDEX UNIVERSE REQUIREMENTS (asspecified in Section 2.1) and will constitute a starting pool from which the components of the INDEX will beselected. Based on this INDEX UNIVERSE, the new composition of the INDEX will be determined by applying therules outlined in Section 2.2.
Each new INDEX COMPONENT will be assigned a weight as described in Section 2.3.

2.1.

INDEX UNIVERSE REQUIREMENTS

The INDEX UNIVERSE is comprised of all financial instruments which fulfill the below requirements (the “INDEXUNIVERSE REQUIREMENTS“):•

Is a component of the GBS INDEX UNIVERSE of the Solactive GBS Global Markets Large & Mid Cap
Index (ISIN: DE000SLA7729) (the “REFERENCE INDEX”), as published on the Solactive website:
https://www.solactive.com or•

Is a component of the GBS INDEX UNIVERSE of the Solactive GBS United Kingdom All Cap Index (ISIN:
DE000SLA4X28) (the “REFERENCE INDEX”), as published on the Solactive website:
https://www.solactive.com in case of the Solactive L&G ESG UK Index.

The determination of the INDEX UNIVERSE is fully rule-based and the INDEX ADMINISTRATOR cannot make any
discretionary decisions.

2.2. SELECTION OF THE INDEX COMPONENTS
Based on the INDEX UNIVERSE, the initial composition of the INDEX as well as any selection for an ordinary
rebalance is determined on the SELECTION DAY in accordance with the following rules (the “INDEX COMPONENTREQUIREMENTS“):
1. The securities of the Solactive GBS Global Markets Large & Mid Cap Index are divided into different
regional baskets which are then used to determine the regional and supra-regional INDICES. The
respective regional indices are also to be considered as PARENT INDICES for the purpose of theweighting in Section 2.3. The regional basket construction is done based on the country allocation
which in turn relies on Solactive’s country assignment procedure as performed during the selectionof the Solactive GBS family. This is described in the guideline for the Solactive GBS family
published under: Solactive Global Benchmark Series Guideline.
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The regions considered and their construction is detailed below in the two tables below.
Developed Markets segment
Country

Regional Basket

Regional/Country Index

Canada, United States

North America

Solactive L&G ESG North
America Index

Austria, Belgium, Switzerland, Germany,
Denmark, Spain, Finland, France, Ireland,
Italy, Netherlands, Norway, Portugal,
SwedenEurope ex United
Kingdom

Solactive L&G ESG Europe
ex UK Index

United Kingdom

United Kingdom

Solactive L&G ESG UK
Index

Australia, Hong Kong, New Zealand,
Singapore

DM APAC ex Japan

Solactive L&G ESG APAC
ex Japan Index

Japan

Japan

Solactive L&G ESG Japan
Index

Country

Regional Basket

Regional/Country Index

Argentina, Brazil, Chile, Colombia,
Mexico, Peru

Americas

The United Arab Emirates, Czech
Republic, Egypt, Greece, Hungary,
Kuwait, Poland, Qatar, Russia, Saudi
Arabia, Turkey, South Africa

EMEA

China, Indonesia, India, South Korea,
Malaysia, Philippines, Pakistan, Thailand,
TaiwanEM APAC

Emerging Markets segment

Solactive L&G ESG
Emerging Markets Index

For clarification, the remaining securities from the Solactive GBS United Kingdom All Cap Index are theones considered for the construction of the Solactive L&G ESG UK Index and the remaining securities of

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Solactive GBS Global Markets Large & Mid Cap Index assigned to UK are only considered for theconstruction of the Solactive L&G ESG Developed Markets Index.

The PARENT INDEX for the Solactive L&G ESG Developed Markets Index consists of the combination of theDeveloped Markets segment Regional Baskets (i.e. North America, Europe ex United Kingdom, United
Kingdom, DM APAC ex Japan and Japan).
The PARENT INDEX for the Solactive L&G ESG Developed Markets ex UK Index consists of the combination of
the Developed Markets segment Regional Baskets (i.e. North America, Europe ex United Kingdom, DM APAC
ex Japan and Japan).
The PARENT INDEX for the Solactive L&G ESG Global Markets Index consists of the combination of the Global
Markets segment Regional Baskets (i.e. North America, Europe ex United Kingdom, United Kingdom, DM
APAC ex Japan, Japan, and Emerging Markets).
The PARENT INDEX for the Solactive L&G ESG Emerging Markets Index consists of the combination of theEmerging Markets segment Regional Baskets (i.e. Americas, EMEA, EM APAC).
2. Any security included on the Exclusion List as determined by Solactive, based on selection data andresearch provided by Legal & General Investment Management (the “DATA PROVIDER”) is further
removed.
The Exclusion List is constructed by capturing those securities which exhibit a significant
involvement in the following ESG Theme:

Item

Theme

Methodology

Data Provider

1

FWPL

Companies are included on the FWPL

Legal and General
Investment Management

The FWPL comprises companies which are (1) involved in the manufacture of controversial weapons (2)persistent violators of the UN Global Compact and/or (3) thermal coal producers, including coal mining,
power generation, oil sands and companies with new coal projects exposure.It is reconstituted by LGIM on
a semi-annual basis in March and September. The methodology by reference to which the FWPL is

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constructed is available here: https://www.lgim.com/landg-assets/lgim/_documentlibrary/capabilities/future-world-protection-list-public-methodology.pdf
The respective regional baskets after the exclusion will represent the INVESTABLE UNIVERSE for each INDEX
to the purpose of Weighting of the Index Components as described in Section 2.3
3. For each remaining security an adjusted Market Capitalization is calculated by tilting the FREEFLOAT MARKET CAPITALIZATION of each security as described below:
𝑀𝐶𝐴𝑃𝑎𝑑𝑗,𝑖 = 𝑀𝐶𝐴𝑃𝑖 ∙ (1 + 𝐸𝑆𝐺 𝑆𝑐𝑜𝑟𝑒𝑖 )2
where:
𝑀𝐶𝐴𝑃𝑎𝑑𝑗,𝑖 is the tilted FREE FLOAT MARKET CAPITALIZATION of security i
𝑀𝐶𝐴𝑃𝑖 is the FREE FLOAT MARKET CAPITALIZATION of security i
𝐸𝑆𝐺 𝑆𝑐𝑜𝑟𝑒𝑖 is the L&G ESG Score

The L&G ESG scores are created by L&G using a number of metrics including:
1.
2.
3.
4.

Environmental
SocialCorporate GovernanceTransparency

The metric is reviewed semi-annually by L&G in order to incorporate the most reliable and relevant inputs
when calculating the aggregate L&G ESG Score. Additionally, there is an annual review of the scoring
methodology.
The selection of the INDEX COMPONENTS is fully rule-based and the INDEX ADMINISTRATOR cannot make any
discretionary decision.

2.3. WEIGHTING OF THE INDEX COMPONENTS
2.3.1. TILTED WEIGHTS
On each SELECTION DAY each INDEX COMPONENT is assigned a weight as described below.
1. Based on the tilted FREE FLOAT MARKET CAPITALIZATION calculated above, each security is assigned aweight within its corresponding Regional Basket based on the formula below:
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𝑤𝑎𝑑𝑗,𝑖 =𝑀𝐶𝐴𝑃𝑎𝑑𝑗,𝑖𝑁∑𝑖=1 𝑀𝐶𝐴𝑃𝑎𝑑𝑗

where:
𝑀𝐶𝐴𝑃𝑎𝑑𝑗,𝑖 is the tilted FREE FLOAT MARKET CAPITALIZATION of security i𝑤𝑎𝑑𝑗,𝑖 is the tilted weight of security i within its regional basket
𝑁 is the number of securities in the respective regional basket
2. The obtained weights are then modified in such a way as to fulfil the requirements below:
a. The weight of any sector should be not higher than +2% and not lower than -3% from theweight of the same sector within the INDEX UNIVERSE on the SELECTION DAY. In case a breachhappens, the weight of the sector will be decreased or increased to fulfil the requirement
by increasing or decreasing the weight of each security within the respective sector.
b. The individual weight of any security should not differ more than 3% from and not exceed
20 times the weight as determined on free float market capitalization (except for the
securities which are removed from the index, these will always receive a weight of zero in
the final Index). In case such breaches exist, the excess weight will be redistributed
proportionally within the sector of the relevant security.

The Emerging Markets regional baskets are then combined to create a supra-regional Emerging Markets
INDEX based on the formula below:

𝑤𝑆𝑅,𝑖 = 𝑤𝑎𝑑𝑗,𝑖 ∗ 𝑤𝑟𝑒𝑔,𝑗where:
𝑤𝑆𝑅,𝑖 is the weight of security i within the relevant supra-regional basket
𝑤𝑎𝑑𝑗,𝑖 is the adjusted weight of security i within its regional basket
𝑤𝑟𝑒𝑔,𝑗 is the aggregated weight of all securities corresponding to the respective regional basket calculated
based on FREE FLOAT MARKET CAPITALIZATIONThe set of securities and their weights will consist the INTERMEDIATE UNIVERSE, and their weights will bereferenced as 𝑤𝑖𝑛𝑡,𝑖 .

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2.3.2. CARBON REDUCTION
The final weight of each INDEX COMPONENT within its regional (or supra-regional in case of Emerging Markets)
INDEX is further determined based on an optimization approach that minimizes the cumulative absoluteweight deviation from the INTERMEDIATE UNIVERSE weights on each SELECTION DAY.
On the BASE DAY, it is subject to the following constraints:
a. Reduce the average weighted CARBON INTENSITY of the INDEX compared to the average weighted
CARBON INTENSITY of the PARENT INDEX by at least 50%.
b. Maximum absolute weight deviation from the weight in the INDEX UNIVERSE of 3%. Individual
weights are capped at the minimum between 8% and INDEX UNIVERSE weight * 20 as well as
floored at 0.01%.
c. The sum of weights which exceed 5% is capped at 35%.
d. Compared to the INVESTABLE UNIVERSE, the deviation of the sector weights is capped at 2% andfloored at 3%.
e. Compared to the INVESTABLE UNIVERSE, the absolute deviation of the regional weights is capped
at 0.5%. (This condition is only applied to the Emerging Markets Index.)
If no solution can be found, the constraints are relaxed in the following order:
a. Sector constraint: Compared to the INVESTABLE UNIVERSE, the deviation of the sector weights isincreased by 0.5% in each direction.
b. Regional weight constraint: Compared to the INVESTABLE UNIVERSE, absolute deviation of theregion weights is capped at 1%. (This condition is only applied to the Emerging Markets Index.)c. Single weight constraint: Maximum absolute deviation from the weight in the INDEX UNIVERSE is
iteratively increased by 0.25% until a solution is found.
The CARBON INTENSITY of the INDEX UNIVERSE is calculated by weighting the CARBON INTENSITY of thecomponents of the INDEX UNIVERSE by the weight of the respective components within the INDEX UNIVERSE.
On each following SELECTION DAY each INDEX COMPONENT is assigned a weight based on the same objectivefunction, but the algorithm is subject to the following constraints:a.

A Decarbonization Trajectory is defined by an annual minimum CARBON INTENSITY reduction of
7% compared to the CARBON INTENSITY of the INDEX on the BASE DAY in a geometric progression
applied semi-annually. The CARBON INTENSITY of the INDEX is then capped at the minimum of the
CARBON INTENSITY of the Decarbonization Trajectory on the SELECTION DAY and 50% of the PARENTINDEX CARBON INTENSITY on the SELECTION DAY.

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Maximum absolute weight deviation from the weight in the INDEX UNIVERSE of 3%. Individual
Weights are capped at the minimum between 8% and INDEX UNIVERSE weight * 20 as well as
floored at 0.01%.
a. An exception is applied for securities with at a CARBON INTENSITY CONTRIBUTION of
20% or more of the of the PARENT INDEX CARBON INTENSITY. Their weight is floored at
the maximum of the RELATIVE CARBON INTENSITY TARGET * PARENT INDEX weight and
0.01%, i.e. the 3% negative deviation to the INDEX UNIVERSE doesn’t apply. The weightcap however remains unchanged.

c.

The sum of weights which exceed 5% is capped at 35%.

d.

Compared to the INVESTABLE UNIVERSE, the deviation of the sector weights is capped at 2% andfloored 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%)e.

Compared to the INVESTABLE UNIVERSE, the absolute deviation of the regional weights is capped
at 0.5%. (This condition is only applied to the Emerging Markets Index.)

If no solution can be found, the constraints are relaxed mutually and iteratively until a solution isdetermined:
a. Sector constraint: Compared to the INVESTABLE UNIVERSE, the deviation of the sector weights isincreased by 0.25% in each direction.
b. Regional weight constraint: Compared to the INVESTABLE UNIVERSE, absolute deviation of theregion weights is capped at 1%. (This condition is only applied to INDICES which consist ofmultiple regions.)c. Single weight constraint: Maximum absolute deviation from the weight in the INDEX UNIVERSE is
iteratively increased by 0.5% until a solution is found.

2.3.3. SUPRA-REGIONAL AGGREGATIONAt this step certain further regional baskets are combined to create the Developed Markets, Developed
Markets ex United Kingdom and Global Markets supra-regional INDEX based on the formula below:

𝑤𝑆𝑅,𝑖 = 𝑤𝑎𝑑𝑗,𝑖 ∗ 𝑤𝑟𝑒𝑔,𝑗15Version 1.4 – 09 October 2024

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where:
𝑤𝑆𝑅,𝑖 is the weight of security i within the relevant supra-regional basket
𝑤𝑎𝑑𝑗,𝑖 is the adjusted weight of security i within its regional basket
𝑤𝑟𝑒𝑔,𝑗 is the aggregated weight of all securities corresponding to the respective regional basket calculated
based on FREE FLOAT MARKET CAPITALIZATION

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3. REBALANCE
3.1. ORDINARY REBALANCE
In order to reflect the new selection of the INDEX COMPONENTS determined on the SELECTION DAY (inaccordance with Section 2.1 and 2.2) the INDEX is adjusted on the REBALANCE DAY after CLOSE OF BUSINESS.
This is carried out by implementing the shares as determined on the FIXING DAY based on the weights
calculated on the SELECTION DAY.
For more information on the rebalance procedure please refer to the Equity Index Methodology, which isincorporated
byreference
andavailable
onthe
Solactive
website:https://www.solactive.com/documents/equity-index-methodology/
SOLACTIVE will publish any changes made to the INDEX COMPONENTS with sufficient notice before the
REBALANCE DAY on the SOLACTIVE webpage under the section “Announcement”, which is available athttps://www.solactive.com/news/announcements/

3.2. EXTRAORDINARY REBALANCE
The INDEX is not rebalanced extraordinarily.

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CALCULATION OF THE INDEX

4.1. INDEX FORMULA
The INDEX is calculated as a price return, net total return and gross total return Index.
The calculation is performed according to the Equity Index Methodology, which is available on the SOLACTIVE
website: https://www.solactive.com/documents/equity-index-methodology/. The divisor index formula
stipulates that the level of the INDEX changes based on the change of the prices of its INDEX COMPONENTS
taking into account their weight in the INDEX and any currency conversion in case the price of an INDEXCOMPONENT is quoted in a currency other than the INDEX CURRENCY.
Any dividends or other distributions are reinvested across the entire basket of INDEX COMPONENTS by meansof a divisor at the opening of the effective date (the so-called ex-date) of the payment of such dividend orother distribution.
A more detailed description of the mechanics of the index calculation formula can be found in the Equity
Index Methodology under Section 1.2.

4.2. ACCURACY
The level of the INDEX will be rounded to 2 decimal places. Divisors will be rounded to six decimal places.
TRADING PRICES and foreign exchange rates will be rounded to six decimal places.

4.3. ADJUSTMENTS
Under certain circumstances, an adjustment of the INDEX may be necessary between two regular REBALANCE
DAYS. Such adjustment has to be made if a corporate action (as specified in Section 4.4 below) in relation of
an INDEX COMPONENT occurs. Such adjustment may have to be done in relation to an INDEX COMPONENT and/or
may also affect the number of INDEX COMPONENTS and/or the weighting of certain INDEX COMPONENTS and will
be made in compliance with the Solactive Equity Index Methodology, which is incorporated by reference andavailable on the SOLACTIVE website: https://www.solactive.com/documents/equity-index-methodology/.
SOLACTIVE will announce the INDEX adjustment giving a notice period of at least two TRADING DAYS (withrespect to the affected INDEX COMPONENT) on the SOLACTIVE website under the Section “Announcements”,
which is available at https://www.solactive.com/news/announcements/. The INDEX adjustments will be
implemented on the effective day specified in the respective notice.

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4.4. CORPORATE ACTIONS
As part of the INDEX maintenance SOLACTIVE will consider various events – also referred to as corporate
actions – which result in an adjustment to the INDEX between two regular REBALANCE DAYS. Such events havea material impact on the price, weighting or overall integrity of INDEX COMPONENTS. Therefore, they need tobe accounted for in the calculation of the INDEX. Corporate actions will be implemented from the cum-day
to the ex-day of the corporate action, so that the adjustment to the INDEX coincides with the occurrence ofthe price effect of the respective corporate action.
Adjustments to the INDEX to account for corporate actions will be made in compliance with the Equity Index
Methodology, which is available on the SOLACTIVE website: https://www.solactive.com/documents/equityindex-methodology/. This document contains for each corporate action a brief definition and specifies therelevant adjustment to the INDEX variables.
While SOLACTIVE aims at creating and maintaining its methodology for the treatment of corporate actions
as generic and transparent as possible and in line with regulatory requirements, it retains the right inaccordance with the Equity Index Methodology to deviate from these standard procedures in case of any
unusual or complex corporate action or if such a deviation is made to preserve the comparability andrepresentativeness of the INDEX over time.
SOLACTIVE considers the following, but not conclusive, list of corporate actions as relevant for the INDEX
maintenance:
Cash Distributions (e.g. payment of a dividend)
Stock distributions (e.g. payment of a dividend in form of additional shares)
Stock distributions of another company (e.g. payment of a dividend in form of additional shares ofanother company (e.g. of a subsidiary))
Share splits (company´s present shares are divided and therefore multiplied by a given factor)
Reverse splits (company´s present shares are effectively merged)
Capital increases (such as issuing additional shares)
Share repurchases (a company offer its shareholders the option to sell their shares to a fixed price)
Spin-offs (the company splits its business activities into two or more entities and distributes newequity shares in the created entities to the shareholders of the former entity)
Mergers & Acquisitions (transaction in which the ownership of a company (or other businessorganizations) are transferred or consolidated with other entities, e.g. fusion of two or more
separate companies into one entity)
Delistings (company´s shares are no longer publicly traded at a stock exchange)
Nationalization of a company (effective control of a legal entity is taken over by a state)
Insolvency
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4.5. RECALCULATIONSOLACTIVE makes the greatest possible efforts to accurately calculate and maintain its indices. However,errors in the determination process may occur from time to time for variety reasons (internal or external)
and therefore, cannot be completely ruled out. SOLACTIVE endeavors to correct all errors that have been
identified within a reasonable period of time. The understanding of “a reasonable period of time” as well as
the general measures to be taken are generally depending on the underlying and is specified in the
Solactive Correction Policy, which is incorporated by reference and available on the SOLACTIVE website:
https://www.solactive.com/documents/correction-policy/.

4.6. MARKET DISRUPTION
In periods of market stress SOLACTIVE calculates its indices following predefined and exhaustive
arrangements as described in the Solactive Disruption Policy, which is incorporated by reference andavailable on the SOLACTIVE website: https://www.solactive.com/documents/disruption-policy/. Suchmarket stress can arise due to a variety of reasons, but generally results in inaccurate or delayed prices forone or more INDEX COMPONENTS. The determination of the INDEX may be limited or impaired at times of illiquid
or fragmented markets and market stress.

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MISCELLANEOUS

5.1. DISCRETION
Any discretion which may need to be exercised in relation to the determination of the INDEX (for example
the determination of the INDEX UNIVERSE (if applicable), the selection of the INDEX COMPONENTS (if applicable)or any other relevant decisions in relation to the INDEX) shall be made in accordance with strict rules
regarding the exercise of discretion or expert judgement.

5.2. METHODOLOGY REVIEWThe methodology of the INDEX is subject to regular review, at least annually. In case a need of a change ofthe methodology has been identified within such review (e.g. if the underlying market or economic reality
has changed since the launch of the INDEX, i.e. if the present methodology is based on obsolete
assumptions and factors and no longer reflects the reality as accurately, reliably and appropriately as
before), such change will be made in accordance with the Solactive Methodology Policy, which isincorporated
byreference
andavailable
on
the
SOLACTIVE
website:https://www.solactive.com/documents/methodology-policy/.
Such change in the methodology will be announced on the SOLACTIVE website under the Section“Announcement”, which is available at https://www.solactive.com/news/announcements/. The date of
the last amendment of this INDEX is contained in this GUIDELINE.

5.3. CHANGES IN CALCULATION METHOD
The application by the INDEX ADMINISTRATOR of the method described in this document is final and binding.
The INDEX ADMINISTRATOR shall apply the method described above for the composition and calculation of the
INDEX. However, it cannot be excluded that the market environment, supervisory, legal and financial or tax
reasons may require changes to be made to this method. The INDEX ADMINISTRATOR may also make changes
to the terms and conditions of the INDEX and the method applied to calculate the INDEX that it deems to benecessary and desirable in order to prevent obvious or demonstrable error or to remedy, correct or
supplement incorrect terms and conditions. The INDEX ADMINISTRATOR is not obliged to provide information
on any such modifications or changes. Despite the modifications and changes, the INDEX ADMINISTRATOR willtake the appropriate steps to ensure a calculation method is applied that is consistent with the method
described above.

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5.4. TERMINATIONSOLACTIVE makes the greatest possible efforts to ensure the resilience and continued integrity of its indicesover time. Where necessary, SOLACTIVE follows a clearly defined and transparent procedure to adapt Index
methodologies to changing underlying markets (see Section 5.2 “Methodology Review”) in order to maintaincontinued reliability and comparability of the indices. Nevertheless, if no other options are available theorderly cessation of the INDEX may be indicated. This is usually the case when the underlying market or
economic reality, which an index is set to measure or to reflect, changes substantially and in a way notforeseeable at the time of inception of the index, the index rules, and particularly the selection criteria, canno longer be applied coherently or the index is no longer used as the underlying value for financial
instruments, investment funds and financial contracts.
SOLACTIVE has established and maintains clear guidelines on how to identify situations in which the
cessation of an index is unavoidable, how stakeholders are to be informed and consulted and theprocedures to be followed for a termination or the transition to an alternative index. Details are specified
in the Solactive Termination Policy, which is incorporated by reference and available on the SOLACTIVE
website: https://www.solactive.com/documents/termination-policy/.

5.5. OVERSIGHT
An oversight committee composed of staff from SOLACTIVE and its subsidiaries (the “OVERSIGHT COMMITTEE”)
is responsible for decisions regarding any amendments to the rules of the INDEX. Any such amendment,
which may result in an amendment of the GUIDELINE, must be submitted to the OVERSIGHT COMMITTEE for priorapproval and will be made in compliance with the Methodology Policy, which is available on the SOLACTIVE
website: https://www.solactive.com/documents/methodology-policy/.

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6.

DEFINITIONS“Base Day” is defined as the 8th of April 2021.
“BENCHMARK REGULATION” shall have the meaning as defined in Section “Introduction”.
“BMR” shall have the meaning as defined in Section “Introduction”.
“CALCULATION DAY” is every weekday from Monday to Friday.
“CARBON INTENSITY” on the SELECTION DAY is calculated as:
CARBON INTENSITY =

GHG
EVIC

If the CARBON INTENSITY is not computable for a company due to missing data, the company receives themedian CARBON INTENSITY of all the securities in the same industry. If the company is not classified in anindustry, the company receives the median CARBON INTENSITY of all companies classified in an industry.
If the simple average EVIC of the PARENT INDEX has increased or decreased during the last calendar year, theEVIC of an INDEX COMPONENT shall be adjusted by an adjustment factor. The factor is calculated as theaverage EVIC of the PARENT INDEX at the end of the latest calendar year, divided by the average EVIC of the
PARENT INDEX at the end of the previous calendar year.
“CARBON INTENSITY CONTRIBUTION” in respect of a given security, on the SELECTION DAY is calculated as:
CARBON INTENSITY ∗ PARENT INDEX weight“CLOSE OF BUSINESS” is the calculation time of the closing level of the INDEX as outlined in Section 1.4.
The “CLOSING PRICE” in respect of an INDEX COMPONENT and a TRADING DAY is a security's final regular-hours
TRADING PRICE published by the EXCHANGE and determined in accordance with the EXCHANGE regulations. If
the EXCHANGE has no or has not published a CLOSING PRICE in accordance with the EXCHANGE rules for an INDEXCOMPONENT, the last TRADING PRICE will be used.
”DATA PROVIDER” is ISS and Legal & General Investment Management. For more information, please visit:https://www.issgovernance.com/, and https://www.lgim.com/.
“ELIGIBLE REBALANCE DAY” is each day that is a TRADING DAY at the New York Stock Exchange, the London Stock
Exchange, the EUREX Exchange, and the Tokyo Stock Exchange.
“EVIC” is the Enterprise Value including Cash in USD on the respective SELECTION DAY.
“EXCHANGE” is with respect to the INDEX and every INDEX COMPONENT, the respective exchange where the INDEXCOMPONENT has its listing as determined in accordance with the rules in Section “Index Selection”.
“EXCLUSION LIST” shall have the meaning as defined in Section “Index Selection”.
“FIXING DAY” is the SELECTION DAY.
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The “FREE FLOAT” is with regard to each of the securities fulfilling the Index Component Requirements on a
SELECTION DAY the share class-specific fraction of the total number of shares of such share class issued thatare available for trading by market participants and not locked-in by long term holders, as sourced fromdata vendors.
The “FREE FLOAT MARKET CAPITALIZATION” is with regard to each of the securities fulfilling the Index
Component Requirements on a SELECTION DAY the share class-specific free float market capitalization. It is
calculated as the multiplication of the shares outstanding in FREE FLOAT (as sourced from data vendors)with the CLOSING PRICE of the share class as of the respective SELECTION DAY.
“GBS INDEX UNIVERSE” is the index composition of the REFERENCE INDEX after the application of the selection
criteria specified in Section 2.1 in the guideline of the SOLACTIVE Global Benchmark Series(https://solactive.com/downloads/Guideline-Solactive-GBS-Benchmark-Series.pdf).
“GHG” are the Greenhouse Gas Emissions of a company as of the SELECTION DAY. According to the GHG
Protocol2, the GHG metric is calculated as the sum of Scope 1 and Scope 2 emissions. In particular:
Scope 1 emissions: All direct Greenhouse Gas Emissions;
Scope 2 emissions: Indirect Greenhouse Gas Emissions from consumption of purchased electricity,heat or steam;“GUIDELINE” shall have the meaning as defined in Section “Introduction”.
“HIGH CLIMATE IMPACT SECTORS” are sectors that are key to the low-carbon transition. HIGH CLIMATE IMPACT
SECTORS are the following:

2

NACE Section Code

NACE Section NameA

AGRICULTURE, FORESTRY AND FISHINGB

MINING AND QUARRYINGCMANUFACTURING

D

ELECTRICITY;GAS;CONDITIONING SUPPLY

E

WATER
SUPPLY;SEWERAGE;
WASTE
MANAGEMENT AND REMEDIATION ACTIVITIESFCONSTRUCTION

STEAM

AND

AIR

See Greenhouse Gas Protocol at https://ghgprotocol.org/.
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WHOLESALE AND RETAIL TRADE; REPAIR OF
MOTOR VEHICLES AND MOTORCYCLES

H

TRANSPORTATION AND STORAGEL

REAL ESTATE ACTIVITIES“INDEX” shall have the meaning as defined in Section “Introduction”.
“INDEX ADMINISTRATOR” shall have the meaning as defined in Section “Introduction”.
“INDEX COMPONENT” is each security reflected in the INDEX.
“INDEX COMPONENT REQUIREMENTS” shall have the meaning as defined in Section 2.2.
“INDEX CURRENCY” is the currency specified in the column “Currency” in the table in Section 1.2.
“INDEX UNIVERSE REQUIREMENTS” shall have the meaning as defined in Section 2.1.
“INDEX UNIVERSE” is the sum of all financial instruments which fulfill the INDEX UNIVERSE REQUIREMENTS.
“INVESTABLE UNIVERSE” shall have the meaning as defined in Section 2.2.
“INTERMEDIATE UNIVERSE” is the INVESTABLE UNIVERSE with the corresponding tilted weights that are calculated
in Section 2.3.1.
“LIVE DATE” shall have the meaning as defined in Section 1.3.
“OVERSIGHT COMMITTEE” shall have the meaning as defined in Section 5.5.
“REBALANCE DAY” is the first Wednesday in May and November. If that day is not an ELIGIBLE REBALANCE DAY
the REBALANCE DAY will be the immediately following ELIGIBLE REBALANCE DAY.
“RELATIVE CARBON INTENSITY TARGET” is defined as
RELATIVE CARBON INTENSITY TARGET =Index Carbon Intensity Target
Parent Carbon Intensity

Where
Index Carbon Intensity Target is the minimum of the CARBON INTENSITY of the Decarbonization Trajectory on
the SELECTION DAY and 50% of the Parent Index Carbon Intensity on the SELECTION DAY.
Parent Carbon Intensity is the CARBON INTENSITY of the Parent Index on the SELECTION DAY.
“SELECTION DAy” is 20 CALCULATION DAYS before the scheduled REBALANCE DAY.
“SOLACTIVE” shall have the meaning as defined in Section “Introduction”.
“START DATE” shall have the meaning as defined in Section 1.3.
“TRADING DAY” is with respect to an INDEX COMPONENT included in the INDEX at the REBALANCE DAY and every
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clarification: this provision is intended to capture the TRADING DAYS for the securities to be included in the
INDEX as new INDEX COMPONENTS with close of trading on the relevant EXCHANGE on the REBALANCE DAY) a dayon which the relevant EXCHANGE is open for trading (or a day that would have been such a day if a market
disruption had not occurred), excluding days on which trading may be ceased prior to the scheduled
EXCHANGE closing time and days on which the EXCHANGE is open for a scheduled shortened period. The INDEXADMINISTRATOR is ultimately responsible as to whether a certain day is a TRADING DAY.
The “TRADING PRICE” in respect of an INDEX COMPONENT and a TRADING DAY is the most recent published priceat which the INDEX COMPONENT was traded on the respective EXCHANGE.

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HISTORY OF INDEX CHANGES
VersionDate

Description

1.0

23 May 2018

Index Guideline creation (initial version)

1.1

April 10th 2023

Updated constraints for security and sector for high CI
names and sectors. Customized the relaxation steps.

1.2

April 19th 2023

Added the following Indices to the Guideline:
Index RIC

Index NAME

.SOESDEUN Solactive L&G ESG Developed Markets ex
UK EUR Index NTR.SOESGDEP Solactive L&G ESG Developed Markets PR
Index EUR
.SOESGDEN Solactive L&G ESG Developed Markets NTR
Index EUR
.SOESGDET
1.3

August 3rd 2023

Solactive L&G ESG Developed Markets GTR
Index EUR

Added the following Indices to the Guideline:
Index RIC

Index NAME

.SOESDEUP Solactive L&G ESG Developed Markets ex
UK EUR Index PR.SOESDEUT Solactive L&G ESG Developed Markets ex
UK EUR Index TR
1.4

October 9th 2024

sector deviation constraint adjustment

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INDEX GUIDELINECONTACT
Solactive AG
German Index Engineering
Platz der Einheit 1
60327 Frankfurt am Main
Germany
Tel.:
Fax:
Email:
Website:+49 (0) 69 719 160 00+49 (0) 69 719 160 25
info@solactive.com
www.solactive.com© Solactive AG
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