S&P ESG Index Series
Methodology

May 2024
S&P Dow Jones Indices: Index Methodology

Table of Contents
Introduction

3
Index Objective

3

Highlights

3

Supporting Documents

3

Eligibility Criteria

5

Index Universe

5

Multiple Classes of Stock6

Exclusions Based on Business Activities

7

Exclusions Based on the United Nations Global Compact (UNGC)

8Controversies: Media and Stakeholder Analysis Overlay

8

Exclusions Based on S&P Global ESG Score

9

Index Construction

10

Constituent Selection

10

Constituent Weighting

10

Index Calculations

11

Index Maintenance

12

Rebalancing

12

Quarterly Eligibility Reviews

12

Ongoing Maintenance

12

Quarterly Updates

12

Additions and Deletions

13

Corporate Actions

13

Currency of Calculation and Additional Index Return Series

13

Base Dates and History Availability

13

Index Data

15
Calculation Return Types

Index GovernanceIndex Committee

Index Policy

15

16
16

17
Announcements

17

Pro-forma Files

17

Holiday Schedule17

S&P Dow Jones Indices: S&P ESG Index Series Methodology

1Rebalancing

17

Unexpected Exchange Closures

17

Recalculation Policy

17

Contact Information

17

Index Dissemination

18

Tickers

18

Index Data

19

Website19

Appendix I

20
Indices in this Methodology Employing Backward Data Assumption

20

Backward Data Assumption

20

Designated Datasets Subject to Backward Data Assumption

20

Exclusions Based on Missing Coverage

21

Historical Coverage Assessment per Designated Dataset

21

Appendix II

24
Methodology Changes

Disclaimer

24

26
Performance Disclosure/Back-Tested Data

26

Intellectual Property Notices/Disclaimer

27

ESG Indices Disclaimer

29

S&P Dow Jones Indices: S&P ESG Index Series Methodology

2Introduction
Index Objective
The S&P ESG Index Series is designed to be a broad-based index series where each index measures
the performance of securities from an underlying index that meet the sustainability criteria defined in
Eligibility Criteria, while maintaining similar overall industry group weights as the underlying index, using
an S&P Global ESG1 score as the defining constituent selection characteristic.
Except for the indices listed below, the indices are float-adjusted market capitalization (FMC) weighted.
The indices apply exclusions based on companies’ involvement in specific business activities,
performance against the principles of United Nations’ Global Compact, and involvement in relevant ESG
controversies.
S&P 500 Growth ESG Index, S&P 500 Value ESG Index, and S&P South Africa Domestic
Shareholder Weighted (DSW) Capped ESG Index. The indices cap individual companies at 10% of thetotal index weight.
For more information on S&P Global ESG Scores, please refer here.
Highlights
Each S&P ESG Index targets 75% of the FMC of each Global Industry Classification Standard (GICS)
Industry Group in the respective underlying index, so the S&P ESG Index may, depending on the level towhich each index attains that target, exhibit similar industry or sector risk characteristics as the respective
underlying index.
The indices use S&P Global ESG Scores to select constituents. S&P Global Sustainable1 calculates
these scores and derives them from their ‘Corporate Sustainability Assessment’ (CSA). A company’s CSA
score is derived using either company-provided data, publicly available information, or a combination
thereof.
For the purposes of CSA assessment, companies are assigned to one of the industries defined by S&P
Global Sustainable1 and their assessment is conducted using that industry’s CSA questionnaire, which islargely specific to each industry. S&P Global Sustainable1 uses GICS as its starting point for determining
industry classification. At the industry group and sector levels, the S&P Global Sustainable1 Industries
match the standard GICS classifications, but some non-standard aggregations are done at the industry
level.
For information on S&P Global CSA Industry-GICS Sub-Industry Mapping, please see here.
For more information on the CSA, please refer to https://www.spglobal.com/esg/csa/.
Supporting Documents
This methodology is meant to be read in conjunction with supporting documents providing greater detailwith respect to the policies, procedures and calculations described herein. References throughout themethodology direct the reader to the relevant supporting document for further information on a specifictopic. The list of the main supplemental documents for this methodology and the hyperlinks to those
documents is as follows:1

ESG stands for Environmental, Social, and Governance & Economic

S&P Dow Jones Indices: S&P ESG Index Series Methodology

3Supporting Document
S&P Dow Jones Indices’ Equity Indices
Policies & Practices Methodology
S&P Dow Jones Indices’ Index Mathematics
Methodology
S&P Dow Jones Indices’ Float Adjustment
Methodology
S&P Dow Jones Indices’ Global Industry
Classification Standard (GICS) Methodology

URL
Equity Indices Policies & Practices
Index Mathematics Methodology
Float Adjustment Methodology
GICS Methodology

The methodology is created by S&P Dow Jones Indices (S&P DJI) to achieve the aforementioned
objective of measuring the underlying interest of each index governed by this methodology document.
Any changes to or deviations from this methodology are made in the sole judgment and discretion of S&P
Dow Jones Indices so that the index continues to achieve its objective.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

4Eligibility Criteria
Index Universe
At each annual rebalancing, the index universe for each index is all constituents of an underlying index,
as defined below:
S&P ESG Index
S&P 500 ESG Index
S&P MidCap 400 ESG Index
S&P SmallCap 600 ESG Index
S&P Europe 350 ESG Index
S&P/ASX 200 ESG Index
S&P Japan 500 ESG Index
S&P Global 1200 ESG Index2
S&P United States LargeMidCap ESG Index
S&P Canada LargeMidCap ESG Index
S&P Europe Developed LargeMidCap ESG Index
S&P Mid-East and Africa Developed LargeMidCap
ESG Index
S&P Asia Pacific Developed LargeMidCap ESG
Index
S&P Europe Emerging LargeMidCap ESG Index
S&P Latin America Emerging LargeMidCap ESG
Index
S&P Mid-East and Africa Emerging LargeMidCap
ESG Index
S&P Asia Pacific Emerging LargeMidCap ESG
Index
S&P Asia Pacific Developed ex Korea
LargeMidCap ESG Index
S&P Asia Pacific Emerging Plus LargeMidCap
ESG Index
S&P Korea LargeMidCap ESG Index
S&P South Africa Domestic Shareholder Weighted(DSW) Capped ESG Index
S&P Asia Pacific ex-Australia & New ZealandLargeMidCap ESG Index
S&P 500 Growth ESG Index
S&P 500 Value ESG Index

Underlying Index
S&P 500
S&P MidCap 400
S&P SmallCap 600
S&P Europe 350
S&P/ASX 200
S&P Japan 500
S&P Global 1200
S&P United States LargeMidCap
S&P Canada LargeMidCap
S&P Europe LargeMidCap
S&P Mid-East and Africa Developed
LargeMidCap
S&P Asia Pacific LargeMidCap
S&P European Emerging LargeMidCap
S&P Latin America LargeMidCap
S&P Mid-East and Africa Emerging
LargeMidCap
S&P Asia Pacific Emerging LargeMidCap
S&P Asia Pacific ex Korea LargeMidCap
S&P Asia Pacific Emerging Plus LargeMidCap
S&P Korea LargeMidCap
S&P South Africa Domestic Shareholder
Weighted (DSW) Capped
S&P Asia Pacific Developed ex-Australia & New
Zealand LargeMidCap Index
S&P 500 Growth
S&P 500 Value

For information on an underlying index, please refer to the respective index methodology, available atwww.spglobal.com/spdji/.

2

The S&P Global 1200 ESG Index is composed of an aggregation of seven regional component indices that constitute the S&P
Global 1200.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

5At each annual rebalancing, the index universe for each index is all constituents of the respective
component ESG indices, as defined below:
S&P ESG Index
S&P Composite 1500 ESG Index
S&P North America LargeMidCap ESG
Index
S&P Developed LargeMidCap ESG
Index

S&P Emerging LargeMidCap ESG
Index

S&P Global LargeMidCap ESG Index

S&P World ESG Index

S&P Emerging Plus LargeMidCap ESG
Index

S&P Global ex-Australia & New
Zealand LargeMidCap ESG Index

S&P Developed ex-North America &Korea LargeMidCap ESG Index

Component IndicesS&P 500 ESG Index
S&P MidCap 400 ESG Index
S&P SmallCap 600 ESG Index
S&P United States LargeMidCap ESG Index
S&P Canada LargeMidCap ESG Index
S&P Europe Developed LargeMidCap ESG Index
S&P North America LargeMidCap ESG Index
S&P Mid-East and Africa Developed LargeMidCap ESG Index
S&P Asia Pacific Developed LargeMidCap ESG Index
S&P Europe Emerging LargeMidCap ESG Index
S&P Latin America Emerging LargeMidCap ESG Index
S&P Mid-East and Africa Emerging LargeMidCap ESG Index
S&P Asia Pacific Emerging LargeMidCap ESG Index
S&P Europe Developed LargeMidCap ESG Index
S&P Mid-East and Africa Developed LargeMidCap ESG Index
S&P North America LargeMidCap ESG Index
S&P Asia Pacific Developed LargeMidCap ESG Index
S&P Europe Emerging LargeMidCap ESG Index
S&P Latin America Emerging LargeMidCap ESG Index
S&P Mid-East and Africa Emerging LargeMidCap ESG Index
S&P Asia Pacific Emerging LargeMidCap ESG Index
S&P Europe Developed LargeMidCap ESG Index
S&P North America LargeMidCap ESG Index
S&P Mid-East and Africa Developed LargeMidCap ESG Index
S&P Asia Pacific Developed ex Korea LargeMidCap ESG Index
S&P Europe Emerging LargeMidCap ESG Index
S&P Latin America Emerging LargeMidCap ESG Index
S&P Mid-East and Africa Emerging LargeMidCap ESG Index
S&P Asia Pacific Emerging Plus LargeMidCap ESG Index
S&P Europe Developed LargeMidCap ESG Index
S&P Mid-East and Africa Developed LargeMidCap ESG Index
S&P North America LargeMidCap ESG Index
S&P Asia Pacific Developed ex-Australia & New ZealandLargeMidCap ESG Index
S&P Europe Emerging LargeMidCap ESG Index
S&P Latin America Emerging LargeMidCap ESG Index
S&P Mid-East and Africa Emerging LargeMidCap ESG Index
S&P Asia Pacific Emerging LargeMidCap ESG Index
S&P Europe Developed LargeMidCap ESG Index
S&P Mid-East and Africa Developed LargeMidCap ESG Index
S&P Asia Pacific Developed ex Korea LargeMidCap ESG Index

For information on component indices, please refer to the respective index methodology, available atwww.spglobal.com/spdji/.
Multiple Classes of Stock
All publicly listed multiple share class lines are eligible for index inclusion, subject to meeting the eligibility
criteria. For more information regarding the treatment of multiple share classes, please refer to Approach
A within the Multiple Share Classes section of the S&P Dow Jones Indices’ Equity Indices Policies &Practices Methodology. All publicly listed multiple share class lines of a company are assigned andassessed using the same S&P Global ESG score.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

6

Exclusions Based on Business Activities3
As of each rebalancing reference date, exclude the following:•companies without coverage•companies involved in the following specific business activities, at the relevant level ofinvolvement. Revenue is used as a proxy for all categories.

S&P Global
Business
Involvement

Controversial
Weapons

Small Arms

Military
Contracting

Coal
Thermal Coal
Oil Sands

S&P Global Category of Involvement and Description
Customized Weapons: This screen covers companies
involved in the manufacturing of the components of aweapon. These components are intended solely for use in
the production and are essential for the functioning of AntiPersonnel Mines, Biological and Chemical Weapons,
Blinding Laser Weapons, Cluster Munitions, Depleted
Uranium, Incendiary Weapons and Nuclear Weapons.
Related Products and Services: This screen covers
companies that supply products and/or services such as
stockpiling and transferring, and sales for Anti-Personnel
Mines, Biological and Chemical Weapons, Blinding Laser
Weapons, Cluster Munitions, Depleted Uranium andIncendiary Weapons and Nuclear Weapons.
Production of Small Arms Weapons for Civilian Use: This
screen covers companies that are involved in the
manufacturing of small arms weapon for civilian use.
Production of Small Arms Weapons for Non-Civilian Use:
This screen covers companies which are involved in the
manufacturing of small arms weapon for non-civilian use.
Production of Key components: This screen covers
companies that are involved in the manufacturing of key
components for assault weapons.
Retail and Distribution of Small Arms Weapons: This
screen covers companies which are involved in the retail or
distribution of small arms weapons for civilian customers.
Integral Military Weapons: This screen covers companies
which are involved in the manufacturing, assembling, saleand transportation of integral military weapons.
Weapon-related: This screen covers companies which are
involved in the manufacturing and sales of weapon-related
products.
Thermal Coal Mining: This screen covers companies that
own/and or operate coal mines that engage in thermal coalmining.
Generation: This screen covers companies that are involvedin electricity generation using coal power plants.
Extraction and/or Production: This screen covers
companies that are involved in the extraction and/or
production of fossil fuels from oil sands/tar sands.

S&P DJI
Level of
Involvement
ThresholdS&P DJI
Significant
Ownership
Threshold

>0%

≥25%4

>0%

≥25%

>0%

≥25%

>0%

≥25%

>0%

≥25%

≥5%

N/A

≥10%

N/A

≥10%

N/A

≥5%

N/A

≥5%

N/A

≥5%

N/A

3

Prior to March 2013 EIRIS data was used for exclusions based on business activities for all indices except the S&P MidCap 400
ESG Index and S&P SmallCap 600 ESG Index.
4
Prior to January 2019 Sustainalytics did not collect data on the corporate ownership indicator, so index history before that datedoes not reflect the impact of the indicator. The indicator, along with the other categories of involvement indicators, is applied ateach rebalancing from January 2019 onwards.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

7

S&P Global
Business
Involvement

TobaccoS&P Global Category of Involvement and Description
Production: The screen covers companies that are involvedin the manufacturing of tobacco.
Related Products and Services: The screen covers
companies that supply essential products/services for the
tobacco industry.
Retail and Distribution: The screen covers companies
involved in the retail and/or distribution of tobacco as part oftheir offerings.

S&P DJI
Level of
Involvement
ThresholdS&P DJI
Significant
Ownership
Threshold

>0%

≥25%

≥5%

N/A

≥5%

N/A

S&P DJI Level of Involvement refers to the company’s direct exposure to such products, while Significant
Ownership indicates where the company has indirect involvement via some specified level of ownershipof a subsidiary company with involvement.
For more information on the S&P Global Business Involvement Screens data set, please refer here.
Exclusions Based on the United Nations Global Compact (UNGC)
Sustainalytics’ Global Standards Screening (GSS) provides an assessment of a company’s impact on
stakeholders and the extent to which a company causes, contributes, or is linked to violations ofinternational norms and standards. The basis of the GSS assessments is the United Nations (UN) Global
Compact Principles. Information regarding related standards is also provided in the screening, including
the Organization for Economic Co-operation and Development (OECD) Guidelines for Multinational
Enterprises and the UN Guiding Principles on Business and Human Rights, as well as their underlying
conventions. Sustainalytics classifies companies into the following three statuses:•

Non-Compliant: classification given to companies that do not act in accordance with the UNGC
principles and their associated standards, conventions, and treaties.

•

Watchlist: classification given to companies that are at risk of violating one or more principles, forwhich all dimensions for Non-Compliant status could not be established or confirmed.

•

Compliant: classification given to companies that act in accordance with the UNGC principles
and their associated standards, conventions, and treaties.

As of each rebalancing reference date, exclude the following:•companies without coverage•companies classified as Non-Compliant

Except for the S&P MidCap 400 ESG and S&P SmallCap 600 ESG indices, exclusions due to lack ofcoverage by Arabesque, EIRIS, or Sustainalytics were not applied to any index prior to the index launchdate.
Please refer to http://www.sustainalytics.com/ for more information.
Controversies: Media and Stakeholder Analysis Overlay
In addition to the above, S&P Global uses RepRisk for daily filtering, screening, and analysis of ESG risk
incidents and controversial activities related to companies within the indices.5

5RepRisk, an ESG data science company, leverages the combination of AI and machine learning with human intelligence tosystematically analyze public information in 23 languages and identify material ESG risks. With daily data updates across 100+
ESG risk factors, RepRisk provides consistent, timely, and actionable data for risk management and ESG integration across acompany’s operations, business relationships, and investments.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

8In cases where risks are presented, S&P Global releases a Media and Stakeholder Analysis (MSA) which
includes a range of issues such as economic crime and corruption, fraud, illegal commercial practices,human rights issues, labor disputes, workplace safety, catastrophic accidents, and environmental
disasters.
The Index Committee reviews constituents flagged by S&P Global’s MSA to evaluate the potential impact
of controversial company activities on the composition of the indices. If the Index Committee decides toremove a company in question, the company is ineligible for re-entry for at least one full calendar year,
beginning with the subsequent rebalancing.
For more information on RepRisk, please refer to www.reprisk.com. This service is not considered a
direct contribution to the index construction process.
Exclusions Based on S&P Global ESG Score
As of each rebalancing reference date, exclude companies without scores.
Except for the S&P MidCap 400 ESG and S&P SmallCap 600 ESG indices, exclude companies with an
S&P Global ESG score ranking within the worst 25% of ESG scores from each global GICS Industry
Group from the indices. The global universe for this categorization is defined as the combined
constituents of the S&P Global LargeMidCap6 and S&P Global 1200 as of the rebalancing reference date.
S&P MidCap 400 ESG Index and S&P SmallCap 600 ESG Index. A company is excluded, based on
S&P Global ESG score, if either of the following is satisfied:
1. S&P Global ESG Score falls within the worst 25% of scores from the company’s GICS industry
group in the underlying index.
2. S&P Global ESG Score falls within the worst 10% of scores in the company's underlying index.
3. If after Steps 1 and 2 less than 75% of the weight of the underlying index remain eligible after all
exclusions have been applied, the above steps are relaxed in the following order:
a. S&P Global ESG score falls within the worst 20% of scores from the company’s GICS
industry group in the underlying index.
If after this relaxation the 75% target is still not met, then Step 1 is further relaxed as follows:
b. S&P Global ESG Score falls within the worst 15% of scores from the company’s GICS
industry group in the underlying index.
If at this point the target is still not met, no further relaxation is performed, even if the 75%
target is not satisfied.
S&P Composite 1500 ESG Index. The index combines the exclusions criteria for the S&P 500 ESG,
S&P MidCap 400 ESG, and S&P SmallCap 600 ESG indices, applied as outlined above at the respective
component index level.

6

Excluding China A-Shares.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

9Index Construction
Constituent Selection
At each rebalancing, select constituents from the eligible companies in the index universe as follows:
1. For each GICS Industry Group, select companies in decreasing order of S&P Global ESG Score
until 65% of the underlying index universe’s cumulative FMC is reached.
2. For each GICS Industry Group, select current constituents ranked between 65% and 85% of a
GICS industry group’s cumulative FMC to get as close as possible to the target 75% of FMC.
3. If the combined FMC of the selected companies is still not above the 75% FMC target, selecteligible companies not already selected, in decreasing order by S&P Global ESG Score, to get as
close as possible to the 75% FMC target. This process ends when the addition of the next eligible
company results in the total FMC of the relevant GICS Industry Group moving further away fromthe 75% FMC target.
Constituent Weighting
Except for the below indices, at each rebalancing index constituents are FMC weighted.
S&P South Africa Domestic Shareholder Weighted (DSW) Capped ESG Index. At each rebalancing,
constituents are FMC weighted, subject to a single stock weight cap of 10%.
S&P 500 Growth ESG Index and the S&P 500 Value ESG Index. At each reweighting reference date,constituents are first FMC weighted, then capped according to the below:
1. The reweighting reference date is seven business days prior to the rebalancing effective date.
2. With prices reflected on the rebalancing reference date, adjusted for any applicable corporate
actions, and membership, shares outstanding and IWFs as of the rebalancing effective date,each company is FMC weighted, subject to the below:
3. If any company has an FMC weight greater than 10%, the company’s weight is capped at 9%,
which allows for a 1% buffer. This buffer is meant to mitigate against any company exceeding
10% as of the reweighting effective date.
4. All excess weight is proportionally redistributed to all uncapped companies within the index.
5. After this redistribution, if any other company breaches the 9% cap the process repeats iteratively
until no company breaches the 9% weight cap.
6. The sum of the companies with weights greater than 4.8% cannot exceed 50% of the total index
weight. These caps are set to allow for a buffer below the 5% limit.
7. If the rule in step 6 is breached, all companies are ranked in descending order by FMC. The firstcompany that causes the 50% limit to be breached is capped at 4.5%.
8. The excess weight is proportionally redistributed to all companies with weights below 4.5%.
repeating iteratively until step 6 is satisfied.
For more information on the capping thresholds, please refer to the Regulatory Capping Requirements
section of S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

10Index Calculations
The indices calculate by means of the divisor methodology used in all S&P Dow Jones Indices’ equity
indices.
For more information on the index calculation methodology, please refer to the Market Capitalization
Weighted Indices and Capped Market Capitalization Weighted Indices sections, respectively, of S&P Dow
Jones Indices’ Index Mathematics Methodology.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

11Index MaintenanceRebalancing
The indices rebalance annually, effective after the close of the last business day of April. The rebalancing
reference date is the last trading day of March. The reference universe for the indices is the compositionof the underlying index, or component indices, at the open of the upcoming rebalancing effective date.
S&P South Africa Domestic Shareholder Weighted (DSW) Capped ESG Index. At each rebalancing.,
constituent weights calculate using the closing prices seven business days prior to the rebalancing
effective date as the reference price.
S&P 500 Growth ESG Index and the S&P 500 Value ESG Index. The indices reweight quarterly after
the close of business on the last working day of April, July, October, and January, with a reweighting
reference date seven business days prior to the rebalancing effective date. Index share amounts are
assigned to each constituent to arrive at the weights calculated above.
For the capped indices, since index shares are assigned based on prices prior to rebalancing, the actual
weight of each constituent at the rebalancing differs somewhat from these weights due to market
movements.
Quarterly Eligibility Reviews
Business Activities. The indices review constituents for ongoing eligibility under the Business Activities
criteria and remove, without replacement, all ineligible companies effective after the close of the lastbusiness day of July, October, and January using a reference date as of after the close of the lastbusiness day of the previous month. The review does not consider or include coverage changes.
UNGC. The indices review constituents for ongoing eligibility under the UNGC exclusion criteria andremove, without replacement, all ineligible companies effective after the close of the third Friday of March,June, September, December using a reference date for as of after the close of the last business day ofthe previous month. The review does not consider or include coverage changes.
Ongoing MaintenanceIndex constituents are drawn from the underlying index or component indices. Specific changes to index
constituents, such as share changes, Investable Weight Factor (IWF) changes, dividend distributions, andprice adjustments, follow the policies of the underlying index.
The indices are reviewed on an ongoing basis to account for corporate events such as mergers,
takeovers, delistings, suspensions, spin-offs/demergers, or bankruptcies. Changes to index composition
and related weight adjustments are made as soon as they are effective. These changes are typicallyannounced prior to the implementation date.
For more information on Share Updates, Float Adjustment, and IWFs, please refer to S&P Dow Jones
Indices’ Equity Indices Policies & Practices Methodology and S&P Dow Jones Indices’ Float Adjustment
Methodology.
Quarterly Updates
Changes to a constituent’s shares and IWF as a result of the quarterly updates are effective after theclose on the third Friday in March, June, September, and December.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

12Additions and Deletions
Additions. Except for spin-offs, no stocks are added to the indices between rebalancings.
Spin-offs. Spinoffs are added to all indices where the parent security is a constituent at a zero price at
the market close of the day before the ex-date (with no divisor adjustment) and are removed after at least
one day of regular way trading (with a divisor adjustment).
Deletions. If a stock is dropped from an underlying index, it is also removed from the respective index
simultaneously. Between rebalancings, a stock can be deleted from an index due to corporate events
such as mergers, takeovers, delistings, suspensions, spin-offs/demergers, or bankruptcies, or as part of
the quarterly eligibility review process.
In addition, at the discretion of the Index Committee, a deletion may occur if an MSA is raised.
Corporate Actions
For more information on Corporate Actions, please refer to the Market Capitalization Indices section
within S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology.
Currency of Calculation and Additional Index Return Series
The indices calculate in U.S. dollars and the respective currency for the regional indices.
WMR foreign exchange rates are taken daily at 4:00 PM London Time and used in the end-of-day
calculation of all indices except for the S&P/ASX 200 ESG Index (AUD) and S&P Korea LargeMidCap
ESG Index (KRW). These mid-market fixings are calculated by WMR based on LSEG data and appear on
LSEG pages.
For the S&P/ASX 200 ESG Index (AUD) and S&P Korea LargeMidCap ESG Index (KRW), index closing
values are calculated using spot exchange rates taken daily at 4:17 PM Sydney time as supplied by
LSEG.
In addition to the indices detailed in this methodology, additional return series versions of the indices may
be available, including, but not limited to the following: currency, currency hedged, decrement, fair value,
inverse, leveraged, and risk control versions. For a list of available indices, please refer to the S&P DJI
Methodology & Regulatory Status Database.
For information on various index calculations, please refer to S&P Dow Jones Indices’ Index Mathematics
Methodology.
For the inputs necessary to calculate certain types of indices, including decrement, dynamic hedged, fairvalue, and risk control indices, please refer to the Parameters documents available atwww.spglobal.com/spdji/.
Base Dates and History Availability
Index history availability, base dates, and base values are shown in the table below.
Index
S&P 500 ESG Index
S&P Europe 350 ESG Index
S&P/ASX 200 ESG Index
S&P/ASX 200 ESG Index (AUD)
S&P Japan 500 ESG Index
S&P Global 1200 ESG Index
S&P United States LargeMidCap ESG Index

S&P Dow Jones Indices: S&P ESG Index Series Methodology

LaunchDate
01/28/2019
05/06/2019
05/06/2019
07/06/2020
05/06/2019
05/06/2019
05/06/2019

First Value
Date
04/29/2005
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010

Base
Date
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010

Base
Value
100
100
100
100
100
100
100

13

IndexS&P Canada LargeMidCap ESG Index
S&P North America LargeMidCap ESG Index
S&P Europe Developed LargeMidCap ESG Index
S&P Mid-East and Africa Developed LargeMidCap ESG
Index
S&P Asia Pacific Developed Large Mid ESG Index
S&P Developed LargeMidCap ESG Index
S&P Europe Emerging LargeMidCap ESG Index
S&P Latin America Emerging LargeMidCap ESG Index
S&P Mid-East and Africa Emerging LargeMidCap ESG Index
S&P Asia Pacific Emerging LargeMidCap ESG Index
S&P Emerging LargeMidCap ESG Index
S&P Global LargeMidCap ESG Index
S&P Asia Pacific Developed ex Korea ESG Index
S&P Asia Pacific Emerging Plus LargeMidCap ESG Index
S&P World ESG Index
S&P Emerging Plus LargeMidCap ESG Index
S&P Korea LargeMidCap ESG Index
S&P Korea LargeMidCap ESG Index (KRW)S&P South Africa Domestic Shareholder Weighted (DSW)
Capped ESG Index
S&P Developed ex-North America & Korea LargeMidCap
ESG Index
S&P Global ex-Australia & New Zealand LargeMidCap ESG
Index
S&P Asia Pacific Developed ex-Australia & New ZealandLargeMidCap ESG Index
S&P MidCap 400 ESG Index
S&P SmallCap 600 ESG Index
S&P Composite 1500 ESG Index
S&P 500 Growth ESG Index
S&P 500 Value ESG Index

S&P Dow Jones Indices: S&P ESG Index Series Methodology

LaunchDate
05/06/2019
05/06/2019
05/06/2019

First Value
Date
04/30/2010
04/30/2010
04/30/2010

Base
Date
04/30/2010
04/30/2010
04/30/2010

Base
Value
100
100
100

05/06/2019

04/30/2010

04/30/2010

100

05/06/2019
05/06/2019
05/06/2019
05/06/2019
05/06/2019
05/06/2019
05/06/2019
05/06/2019
05/06/2019
05/06/2019
05/06/2019
05/06/2019
05/06/2019
05/11/2021

04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010

04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010

100
100
100
100
100
100
100
100
100
100
100
100
100
100

05/06/2019

04/30/2010

04/30/2010

100

06/24/2019

04/30/2010

04/30/2010

100

09/30/2019

04/30/2010

04/30/2010

100

09/30/2019

04/30/2010

04/30/2010

100

01/11/2021
01/11/2021
01/11/2021
08/29/2022
08/29/2022

04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010

04/30/2010
04/30/2010
04/30/2010
04/30/2010
04/30/2010

100
100
100
100
100

14

Index Data
Calculation Return Types
S&P Dow Jones Indices calculates multiple return types which vary based on the treatment of regularcash dividends. The classification of regular cash dividends is determined by S&P Dow Jones Indices.
•

Price Return (PR) versions are calculated without adjustments for regular cash dividends.

•

Gross Total Return (TR) versions reinvest regular cash dividends at the close on the ex-datewithout consideration for withholding taxes.

•

Net Total Return (NTR) versions, if available, reinvest regular cash dividends at the close on the
ex-date after the deduction of applicable withholding taxes.

In the event there are no regular cash dividends on the ex-date, the daily performance of all three indiceswill be identical.
For a complete list of indices available, please refer to the daily index levels file (“.SDL”).
For more information on the classification of regular versus special cash dividends as well as the tax rates
used in the calculation of net return, please refer to S&P Dow Jones Indices’ Equity Indices Policies &Practices Methodology.
For more information on the calculation of return types, please refer to S&P Dow Jones Indices’ Index
Mathematics Methodology.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

15

Index GovernanceIndex Committee
An Index Committee maintains the indices. The Index Committee meets regularly. At each meeting, theIndex Committee reviews pending corporate actions that may affect index constituents, statistics
comparing the composition of the index to the market, companies that are being considered as
candidates for addition to the index, and any significant market events. In addition, the Index Committee
may revise index policy covering rules for selecting companies, treatment of dividends, share counts orother matters.
S&P Dow Jones Indices considers information about changes to its indices and related matters to bepotentially market moving and material. Therefore, all Index Committee discussions are confidential.
S&P Dow Jones Indices’ Index Committees reserve the right to make exceptions when applying themethodology if the need arises. In any scenario where the treatment differs from the general rules statedin this document or supplemental documents, clients will receive sufficient notice, whenever possible.
In addition to the daily governance of indices and maintenance of index methodologies, at least once
within any 12-month period, the Index Committee reviews the methodology to ensure the indices continue
to achieve the stated objectives, and that the data and methodology remain effective. In certain instances,
S&P Dow Jones Indices may publish a consultation inviting comments from external parties.
For information on Quality Assurance and Internal Reviews of Methodology, please refer to S&P Dow
Jones Indices’ Equity Indices Policies & Practices Methodology.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

16Index Policy
Announcements
All index constituents are evaluated daily for data needed to calculate index levels and returns. All eventsaffecting the daily index calculation are typically announced in advance via the Index Corporate Events
report (.SDE), delivered daily to all clients. Any unusual treatment of a corporate action or short notice ofan event may be communicated via email to clients.
Press releases are posted on our Web site, www.spglobal.com/spdji/, and are released to major news
services.
Pro-forma Files
In addition to the corporate events file (.SDE), S&P Dow Jones Indices provides constituent pro-forma
files each time the indices rebalance. The pro-forma file is typically provided daily in advance of therebalancing date and contains all constituents as well as their corresponding weights and index shareseffective for the upcoming rebalancing.
Please visit www.spglobal.com/spdji/ for a complete schedule of rebalancing timelines and pro-forma
delivery times.
Holiday Schedule
The S&P ESG Indices are calculated daily, throughout the calendar year. The only days an index is not
calculated are on days when all exchanges where an index’s constituents are listed are officially closed or
if WMR exchange rates services are not published.
A complete holiday schedule for the year is available at www.spglobal.com/spdji/.
Rebalancing
The Index Committee may change the date of a given rebalancing for reasons including market holidays
occurring on or around the scheduled rebalancing date. Any such change will be announced with proper
advance notice where possible.
Unexpected Exchange Closures
For information on Unexpected Exchange Closures, please refer to S&P Dow Jones Indices’ Equity
Indices Policies & Practices Methodology.
Recalculation Policy
For information on the recalculation policy, please refer to S&P Dow Jones Indices’ Equity Indices
Policies & Practices Methodology.
For information on Calculations and Pricing Disruptions, Expert Judgment and Data Hierarchy, pleaserefer to S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology.
Contact Information
For any questions regarding an index, please contact: index_services@spglobal.com.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

17Index Dissemination
Index levels are available through S&P Dow Jones Indices’ Web site at www.spglobal.com/spdji/, major
quote vendors (see codes below), numerous investment-oriented Web sites, and various print andelectronic media.
Tickers
The table below lists headline indices covered by this document. All versions of the below indices that
may exist are also covered by this document. Please refer to the S&P DJI Methodology & Regulatory
Status Database for a complete list of indices covered by this document.
Index
S&P 500 ESG Index (USD)

S&P MidCap 400 ESG Index (USD)

S&P SmallCap 600 ESG Index (USD)

S&P Composite 1500 ESG Index (USD)

S&P Europe 350 ESG Index (USD)

S&P/ASX 200 ESG Index (USD)S&P ASX 200 ESG Index (AUD)

S&P Japan 500 ESG Index (USD)

S&P Global 1200 ESG Index (USD)
S&P United States LargeMidCap ESG Index (USD)
S&P Canada LargeMidCap ESG Index (USD)
S&P North America LargeMidCap ESG Index (USD)
S&P Europe Developed LargeMidCap ESG Index (USD)
S&P Mid-East and Africa Developed LargeMidCap ESG Index (USD)S&P Asia Pacific Developed Large Mid ESG Index (USD)
S&P Developed LargeMidCap ESG Index (USD)
S&P Europe Emerging LargeMidCap ESG Index (USD)
S&P Latin America Emerging LargeMidCap ESG Index (USD)
S&P Mid-East and Africa Emerging LargeMidCap ESG Index (USD)S&P Asia Pacific Emerging LargeMidCap ESG Index (USD)
S&P Emerging LargeMidCap ESG Index (USD)
S&P Global LargeMidCap ESG Index (USD)S&P Asia Pacific Developed ex Korea ESG Index (USD)

S&P Dow Jones Indices: S&P ESG Index Series Methodology

Return TypePrice Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Total Return
Total Return
Total Return
Total Return
Total Return
Total Return
Total Return
Total Return
Total Return
Total Return
Total Return
Total Return
Total Return
Total Return

BBG
SPXESUPSPXESUTSPXESUNSPMESUPSPMESUTSPMESUNSPSESUPSPSESUTSPSESUNSPRESUPSPRESUTSPRESUN
SPEESUP
SPEESUTSPEESUNSPAESGUPSPAESGUTSPAESGUNSPAESAAPSPAESAATSPAESAAN
SPJESGUPSPJESGUTSPJESGUNSPGESUPSPGESUTSPGESUN
SPUSLMUT
SPCALMUTSPNALMUT
SPEDLMUT
SPMADLUT
SPAPDLUT
SPDLMUTSPEELMUT
SPLAELUT
SPMAELUT
SPAPELUT
SPELMUTSPLESGUTSPADXKUT

18

IndexS&P Asia Pacific Emerging Plus LargeMidCap Index (USD)
S&P World ESG Index (USD)
S&P Emerging Plus LargeMidCap ESG Index (USD)
S&P Korea LargeMidCap ESG Index (USD)
S&P Korea LargeMidCap ESG Index (KRW)S&P South Africa Domestic Shareholder Weighted (DSW) Capped ESG
Index (ZAR)
S&P Developed ex-North America & Korea LargeMidCap ESG Index(USD)
S&P Global ex-Australia & New Zealand LargeMidCap ESG Index (USD)S&P Asia Pacific Developed ex-Australia & New Zealand LargeMidCap
ESG Index (USD)
S&P 500 Growth ESG Index (USD)

S&P 500 Value ESG Index (USD)

Return Type
Total Return
Total Return
Total Return
Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return
Price Return
Total Return
Net Total Return

BBG
SPAEPLUT
SPDXKLUT
SPEMPLUT
SPKLEUTSPKLEWKPSPKLEWKTSPKLEWKNSPSAECZPSPSAECZTSPSAECZNSPDNKLUPSPDNKLUTSPDNKLUNSPGEAEUPSPGEAEUTSPGEAEANSPAEXEAPSPAEXEATSPAEXEANSPGESUPSPGESUTSPGESUNSPVESUPSPVESUTSPVESUN

Index Data
Daily constituent and index level data are available via subscription.
For product information, please contact S&P Dow Jones Indices, www.spglobal.com/spdji/en/contact-us.
.
WebsiteFor further information, please refer to S&P Dow Jones Indices’ Web site at www.spglobal.com/spdji/.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

19Appendix I
Indices in this Methodology Employing Backward Data Assumption
S&P 500 ESG Index
S&P MidCap 400 ESG Index
S&P SmallCap 600 ESG Index
S&P 500 Growth ESG Index
S&P 500 Value ESG Index
Backward Data Assumption
The index employs a “Backward Data Assumption” method for some datapoints used in the derivation ofhistorical index membership prior to the Live Data Effective Date (defined below). The “Backward Data
Assumption” method involves applying the earliest available actual live data point for an index constituent
to all prior, historical instances of that constituent in the index universe.
Backward Data Assumption affects only the historical, hypothetical constituents of any index back-test.
Only actual live data is ever used in live index rebalancings and in the historical rebalancing calculation of
an index after its Live Data Effective Date.
For more information on S&P DJI’s principles and processes for using Backward Data Assumption,please refer to the FAQ.
Designated Datasets Subject to Backward Data Assumption
The Backward Data Assumption within the historical back-test, with respect to the indices identified
above, applies only to designated datasets and associated time horizons as defined below. For each
designated dataset, all historical rebalancing events prior to the Live Data Reference Date listed below
are subject to use of the Backward Data Assumption.
Data
ProviderDesignated Dataset

Live Data
Reference Date

Live Data
Effective Date

S&P DJIS&P DJI ESG Score

03/31/2020

05/01/2020

S&P DJIS&P DJI ESG Score

03/31/2010

05/03/2010

Sustainalytics

Business Activity Exclusions

03/31/2020

05/01/2020

ArabesqueGC Score

03/31/2020

05/01/2020

EIRIS
ArabesqueBusiness Activity Exclusions
GC Score

03/31/2010
03/31/2010

05/03/2010
05/03/2010

Relevant Indices
S&P MidCap 400 ESG andS&P SmallCap 600 ESG
S&P 500 ESG
S&P MidCap 400 ESG, S&P
SmallCap 600 ESG, S&P
500 Growth ESG, and S&P
500 Value ESG
S&P MidCap 400 ESG andS&P SmallCap 600 ESG
S&P 500 ESG
S&P 500 ESG

The Live Data Reference Date refers to the first rebalancing reference date from which only actual live
data is used.
The Live Data Effective Date refers to the first date from which index constituents are determined solely
on actual live data for each respective dataset.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

20

Exclusions Based on Missing Coverage
This index excludes companies based on missing coverage with respect to the designated datasets
above. However, for rebalancing dates prior to each respective Live Data Reference Date, the eligibility ofcompanies is determined based on the coverage after applying the Backward Data Assumption, and is
not dictated by actual live data coverage.
Historical Coverage Assessment per Designated Dataset
S&P DJI ESG Score Coverage (with respect to underlying index universe):
S&P 500 ESG
Rebalancing
Date
2005
2006
2007
2008
2009

Underlying Index
Stock Count
500
500
500
500
500

Point-in-Time Data
Stock Count
Index Weight
0
0%
0
0%
0
0%
0
0%
0
0%

After Using the Data Assumption
Stock Count
Index Weight
358
85.9%
371
87.1%
399
90.7%
422
95.0%
458
98.3%

Underlying Index
Stock Count
400
400
400
400
400
400
400
400
400
400
400

Point-in-Time Data
Stock Count
Index Weight
141
47.6%
95
34.2%
117
38.6%
151
49.3%
149
45.0%
108
37.1%
156
47.7%
129
42.2%
193
59.3%
183
53.5%
399
99.9%

After Using the Data Assumption
Stock Count
Index Weight
319
85.2%
329
87.2%
335
88.7%
339
90.0%
346
90.2%
355
91.7%
366
93.9%
365
93.1%
380
95.9%
394
98.9%
n/a
n/a

Underlying Index
Stock Count
600
600
600
600
600
600
601
601
601
601
601

Point-in-Time Data
Stock Count
Index Weight
16
5.7%
5
1.5%
16
5.0%
37
11.3%
46
11.7%
7
1.4%
41
11.4%
41
9.8%
130
26.1%
96
24.7%
598
99.8%

After Using the Data Assumption
Stock Count
Index Weight
381
72.1%
394
72.6%
415
76.8%
431
79.5%
448
80.7%
462
83.7%
490
86.8%
526
92.0%
559
95.6%
586
97.6%
n/a
n/a

S&P 400 ESG
Rebalancing
Date
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020

S&P 600 ESG
Rebalancing
Date
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020

Arabesque UNGC Coverage (with respect to underlying index universe):
S&P 400 ESG
Rebalancing
Date
2010
2011
2012
2013
2014
2015
2016

Underlying Index
Stock Count
400
400
400
400
400
400
400

Point-in-Time Data
Stock Count
Index Weight
289
83.7%
309
87.7%
308
85.4%
306
83.9%
296
79.8%
278
73.9%
378
95.5%

S&P Dow Jones Indices: S&P ESG Index Series Methodology

After Using the Data Assumption
Stock Count
Index Weight
362
93.8%
376
96.9%
382
97.3%
385
97.2%
386
96.9%
388
96.8%
396
99.2%

21

Rebalancing
Date
2017
2018
2019
2020

Underlying Index
Stock Count
400
400
400
400

Point-in-Time Data
Stock Count
Index Weight
388
96.6%
395
98.9%
392
98.3%
391
98.2%

After Using the Data Assumption
Stock Count
Index Weight
398
99.3%
399
99.8%
395
98.9%
n/a
n/a

Underlying Index
Stock Count
600
600
600
600
600
600
601
601
601
601
601

Point-in-Time Data
Stock Count
Index Weight
21
7.8%
20
7.5%
16
4.2%
15
3.6%
20
3.3%
26
4.2%
258
62.1%
344
77.9%
575
97.4%
575
97.7%
579
97.4%

After Using the Data Assumption
Stock Count
Index Weight
393
73.7%
411
74.5%
431
76.6%
455
82.0%
483
86.7%
507
91.4%
536
94.4%
563
97.5%
582
97.9%
583
98.5%
n/a
n/a

S&P 600 ESG
Rebalancing
Date
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020

Sustainalytics Business Activity Exclusions Coverage (with respect to underlying index universe):
S&P 400 ESG
Rebalancing
Date
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020

Underlying Index
Stock Count
400
400
400
400
400
400
400
400
400
400
400

Point-in-Time Data
Stock Count
Index Weight
0
0%
0
0%
0
0%
298
82.0%
290
78.2%
390
97.6%
399
99.5%
400
100%
400
100%
400
100%
400
100%

After Using the Data Assumption
Stock Count
Index Weight
369
94.9%
379
96.7%
382
96.7%
387
97.5%
391
97.8%
394
98.5%
399
99.5%
400
100%
400
100%
400
100%
n/a
n/a

Underlying Index
Stock Count
600
600
600
600
600
600
601
601
601
601
601

Point-in-Time Data
Stock Count
Index Weight
0
0%
0
0%
0
0%
26
5.9%
34
6.8%
569
96.1%
598
100%
601
100%
601
100%
601
100%
601
100%

After Using the Data Assumption
Stock Count
Index Weight
459
80.6%
481
82.4%
509
86.3%
528
90.0%
552
93.4%
578
97.1%
601
100%
601
100%
601
100%
601
100%
n/a
n/a

Point-in-Time Data
Stock Count
Index Weight
0
0.0%
0
0.0%
0
0.0%
291
99.9%
334
99.0%
323
99.6%

After Using the Data Assumption
Stock Count
Index Weight
305
99.8%
326
99.9%
279
100%
292
100%
340
100%
325
100%

S&P 600 ESG
Rebalancing
Date
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020

S&P 500 Growth ESG
Rebalancing
Date
2010
2011
2012
2013
2014
2015

Underlying Index
Stock Count
307
327
279
292
340
325

S&P Dow Jones Indices: S&P ESG Index Series Methodology

22Rebalancing
Date
2016
2017
2018
2019
2020

Underlying Index
Stock Count
317
323
294
295
273

Point-in-Time Data
Stock Count
Index Weight
317
100%
323
100%
294
100%
293
99.9%
271
99.8%

After Using the Data Assumption
Stock Count
Index Weight
317
100%
323
100%
294
100%
295
100%
n/a
n/a

Point-in-Time Data
Stock Count
Index Weight
0
0.0%
0
0.0%
0
0.0%
352
98.9%
335
99.7%
357
99.1%
362
99.7%
351
99.9%
387
99.9%
379
99.5%
393
99.8%

After Using the Data Assumption
Stock Count
Index Weight
348
100%
339
100%
368
100%
357
100%
339
100%
361
100%
364
100%
352
100%
389
100%
383
100%
n/a
n/a

S&P 500 Value ESG
Rebalancing
Date
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020

Underlying Index
Stock Count
348
339
368
357
339
361
364
352
389
383
395

Coverage for each Sustainalytics Category of Involvement may differ due to the initiation of coverage foreach sub-dataset. Actual live data coverage for each sub-dataset is therefore zero before its respective
Coverage Initiation Date provided below:
Sustainalytics Category of Involvement
Controversial Weapons: Tailor-made and Essential
Controversial Weapons: Significant ownership (Tailor-made and Essential)
Controversial Weapons: Non Tailor-made or Non-Essential
Controversial Weapons: Significant ownership(Non Tailor-made and Non Essential)
Thermal Coal: Extraction
Thermal Coal: Power Generation
Tobacco: Production
Tobacco: Related Products/Services
Tobacco: RetailTobacco: Significant ownership (production)
Tobacco: Significant ownership (related products/services)
Tobacco: Significant ownership (retail)Oil Sands: Extraction
Small Arms: Civilian customers (Assault weapons)
Small Arms: Significant ownership (Civilian customers (Assault weapons))
Small Arms: Civilian customers (Non-assault weapons)
Small Arms: Significant ownership (Civilian customers (Non-assault weapons))
Small Arms: Military/law enforcement customers
Small Arms: Significant ownership (Military/law enforcement customers)
Small Arms: Key components
Small Arms: Significant ownership (Key components)
Small Arms: Retail/distribution (Assault weapons)
Small Arms: Retail/distribution (Non-assault weapons)
Military Contracting: Weapons
Military Contracting: Weapon-related products and/or services

S&P Dow Jones Indices: S&P ESG Index Series Methodology

Coverage Initiation Date
12/31/2012
12/31/2018
12/31/2012
12/31/2018
12/31/2015
12/31/2015
12/31/2012
12/31/2012
12/31/2012
12/31/2018
12/31/2018
12/31/2018
12/31/2016
12/31/2012
12/31/2018
12/31/2018
12/31/2018
12/31/2015
12/31/2018
12/31/2015
12/31/2018
12/31/2013
12/31/2018
12/31/2012
12/31/201223

Appendix II
Methodology Changes
Methodology changes since January 28, 2019, are as follows:
ChangeEffective Date
(After Close)

Methodology
Previous

Updated04/30/2024

Sustainalytics provides the data for
exclusions based on business activities.

S&P Global provides the data for
exclusions based on business activities.

04/30/2024

The index uses S&P DJI ESG Scores aspart of the constituent selection process.

Quarterly UNGC
Eligibility
Review:04/30/2024

Index constituents are reviewed on aquarterly basis for ongoing eligibility under
UNGC exclusion criteria. Companies
determined to be ineligible are removed
from the index, effective after the close of
the last business day of July, October, andJanuary. The reference date for thisreview is the last business day of theprevious month.

The index uses S&P Global ESG Scoresas part of the constituent selection
process.
The indices review constituents forongoing eligibility under the UNGC
exclusion criteria and remove, without
replacement, all ineligible companies
effective after the close of the third Friday
of March, June, September, December
using a reference date for as of after theclose of the last business day of theprevious month. The review does notconsider or include coverage changes.

Index Name:

02/26/2024

The index name is S&P Developed Ex-Korea
LargeMidCap ESG Index.

The index name is S&P World ESG Index.

04/29/2022

Companies at or below the bottom 5% of the
global Arabesque S-RayTM universe by GC
Score rank, as at the reference date of thelast business day of March, are ineligible.

Companies that are classified as NonCompliant, according to Sustainalytics Global
Standards Screening are ineligible for index
inclusion.

04/29/2022• No exclusion was applied for
involvement in any Oil Sands, Small
Arms or Military Contracting activity.

• Exclusions are applied for involvement in
Oil Sands Extraction with a level ofinvolvement threshold of ≥5%, Small
Arms: Civilian Customers (Assault
Weapons), Small Arms: Civilian
Customers (Non-Assault Weapons),
Small Arms: Military/Law Enforcement
Customers and Small Arms: Key
Components at a Level of Involvement
Threshold of >0% and a Significant
Ownership Threshold of ≥25%, Small
Arms: Retail/Distribution (Assault
Weapons) and Small Arms:
Retail/Distribution (Non-Assault
Weapons) at a Level of Involvement
Threshold of ≥5%, and Military
Contracting: Weapons and Military
Contracting: Weapon-related products
and services at a Level of Involvement
Threshold of ≥10%.

Exclusions
Based onBusiness
Activities:
Data Provider
ESG Score Data

S&P World Index
Exclusions basedon the United
Nations Global
Compact(UNGC):
Data Provider
ChangeExclusions Basedon Business
Activities:
New and Revised
Exclusions• No exclusion was applied for
involvement in Controversial Weapons:
Non-Tailor Made or Non-Essential.
• Exclusions were applied for involvementin Tobacco Products: Related
Products/Services and Tobacco
Products: Retail with a Level of
Involvement Threshold of ≥10% and a
Significant Ownership Threshold of≥25%.

• Exclusions are applied for Controversial
Weapons: Non-Tailor Made or NonEssential at a Level of Involvement
Threshold of >0% and a Significant
Ownership Threshold of ≥25%.
• Exclusions are applied for Tobacco
Products: Related Products/Services andS&P Dow Jones Indices: S&P ESG Index Series Methodology

24Effective Date
(After Close)

Previous

Quarterly
Eligibility Review

04/29/2022--

Index Eligibility for
Companies in
Relation to
Thermal Coal

09/18/20207--

Change7

Methodology
UpdatedTobacco Products: Retail at a Level of
Involvement Threshold of ≥5% and no
Significant Ownership Threshold.
Index constituents are reviewed on aquarterly basis for ongoing eligibility underthe Business Activities and UNGC exclusion
criteria. Companies determined to beineligible are removed from the index,
effective after the close of the last business
day of July, October, and January. The
reference date for this review is the lastbusiness day of the previous month. No
constituent will be added to the index as aresult of any deletion that may take place.
Companies must generate less than 5% of
their revenue from thermal coal.

This change was implemented via an extraordinary rebalancing, which took effect after the close on September 18, 2020.

S&P Dow Jones Indices: S&P ESG Index Series Methodology

25

Disclaimer
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S&P Dow Jones Indices: S&P ESG Index Series Methodology

26

will explicitly state so. The methodology will include an Appendix with a table setting forth the specificdata points and relevant time period for which backward projected data was used. Index returns shown
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EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF
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S&P Dow Jones Indices: S&P ESG Index Series Methodology

28thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy,completeness, merchantability, or fitness for a particular purpose with respect to any of such standard orclassification. Without limiting any of the foregoing, in no event shall MSCI, S&P DJI, any of their affiliates
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S&P Dow Jones Indices: S&P ESG Index Series Methodology

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governance’, ‘no adverse environmental, social and/or other impacts’, or other equivalently labelledobjectives. Furthermore, the legal and/or market position on what constitutes an ‘ESG’, ‘sustainable’,‘good governance’, ‘no adverse environmental, social and/or other impacts’, or other equivalently labelledobjectives may change over time, especially as further regulatory or industry rules and guidance areissued and the ESG sustainable finance framework becomes more sophisticated.
Prospective users of an S&P DJI ESG Index are encouraged to read the relevant index methodology andrelated disclosures carefully to determine whether the index is suitable for their potential use case orinvestment objective.

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