MSCI USD HY Climate Paris Aligned
Corporate Bond Index
The MSCI Fixed Income Climate Paris Aligned Indexes are designed to support investors seeking to reduce their exposure totransition and physical climate risks and who wish to pursue opportunities arising from the transition to a lower-carbon economy
while aligning with the Paris Agreement requirements. The MSCI Fixed Income Climate Paris Aligned Indexes incorporate theTCFD recommendations and are designed to exceed the minimum standards of the EU Paris-Aligned Benchmark.

Cumulative index performance

Annual performance (%)

USD RETURNS DEC 2019 – DEC 2021

MSCI USD HY Climate
MSCI USD HY CorporateParis Aligned CorpBondBondYear

2021

3.10

4.65

2020

7.16

7.24

Index performance
USD RETURNS (%) DECEMBER 31, 2021
ANNUALIZED RETURN
Index

1 Month

3 Months

1 YearYear to Date

3 Years

5 Years

Since Dec 31, 2019MSCI USD HY Climate Paris Aligned Corporate Bond

1.53

0.20

3.10

3.10

nana

5.07

MSCI USD HY Corporate Bond

1.74

0.49

4.65

4.65

nana

5.89

Index risk and return characteristics
DECEMBER 31, 2021
ANNUALIZED STD. DEVIATION (%)
Index

MSCI USD HY Climate Paris
Aligned Corporate BondMSCI USD HY Corporate Bond
*Last 12 months

RISK RETURN RATIO (%)

Tracking TurnoverSince Dec
3 Years 5 Years 10 Years
3 YearsError*31, 2019(%)(%)

5 Years

10 Years

Since Dec
Max
31, 2019 Drawdown

Max Drawdown
Period

3.20

46.78

na

na

na

8.88

na

na

na

0.57

18.12

2020-02-21 -2020-03-23-44.99

na

na

na

11.77

na

na

na

0.50

21.51

2020-02-20 -2020-03-23

The MSCI USD HY Climate Paris Aligned Corporate Bond Index was launched on April 15, 2021. Data prior to the launch date is back-tested data (i.e. calculations of how the index might have performed
over that time period had the index existed). There are frequently material differences between back-tested performance and actual results. Past performance -- whether actual or back-tested -- is noindication or guarantee of future performance.

MSCI USD HY Climate Paris Aligned Corporate Bond Index | msci.com

Index Profile# ofsecurities# ofissuers

Market Value
USD (MM)

Coupon*Price*

Yield toWorst

Effective
Duration

Effective
Convexity

OAS**(bps)

Weighted
CreditRating0-3 Years

188

136

128539.92

5.70

102.90

4.20

1.59

-0.07

260.00BB-

3-5 Years

392

299

302980.39

5.93

103.34

3.92

2.14

-0.37

303.20B+

Maturity

5-7 Years

448

349

362180.60

5.45

103.13

4.16

3.26

-0.64

292.36B+

7-10 Years

459

316369200.61

4.61

101.68

4.22

5.38

-0.23

253.22BB-

10-20 Years

89

60

78229.17

5.65

113.74

4.23

8.74

0.94

251.12

BB

20+ Years

59

3357219.36

5.08

111.20

4.22

13.84

2.92

226.01BB+

Aggregate

1635

699

1298350.05

5.34

103.654.13

4.23-0.15263.56

BB-* Par Weighted** Effective Duration Weighted

Credit Rating Break Down

ESG Metrics
MSCI USD HY
Climate Paris
AlignedCorporate BondMSCI USD HY
Corporate Bond

Controversial Weapons (%)

0.00

0.00

ESG score

4.62

4.50

Environmental Pillar Score
Extreme Weather Climate
VaR
Fossil Fuel Reserves (%)

4.80

4.54

-1.30

-1.52

0.01

0.08

Governance Pillar Score

4.74

4.70

Green Bonds (%)

0.01

0.00

Green Revenues (%)

4.41

2.21

Social Pillar Score

4.36

4.36

Tobacco (%)

0.00

0.00

Very Severe Controversies
WACI (Scope 1+2) (tCO2e/$M Sales)
WACI (Scope 1+2+3)(t CO2e/$M Sales)

0.00

0.01

174.53330.99689.731844.97

BB+BB
BBB+B
BCCC+CCC
CCCCC
0510152025

MSCI USD HY Corporate BondMSCI USD HY Climate Paris Aligned Corporate Bond

Top 5 Securities
Security Name

Currency

Index Weight (%)

Parent Index Weight (%)

Sector

Security Credit Rating

TMUS 7.875% Ser B Gtd Sr Nts Due 2023

USD

0.28

0.26

Comm. Svc.

BB

CHTR 6.484% Guar Sr Sec Ser B Nts Due 2045

USD

0.28

0.27

Comm. Svc.

BB+

CHTR 4.908% Ser B Sr Sec Nts Due 2025

USD

0.27

0.28

Comm. Svc.

BB+

TDG 6.25% 144A Guar Sr First lien Nts Due 20

USD

0.25

0.26

Industrials

B+DIRTV 5.875% 144A Sr Sec Nts Due 2027

USD

0.23

0.21

Comm. Svc.

BB-Top 5 Issuers
Issuer Name

Index Weight (%)

Parent Index Weight (%)

Sector

CHARTER COMMUNICATIONS OPERATING LLC

2.67

2.52

Comm. Svc.

CCO HOLDINGS LLC

1.97

1.67

Comm. Svc.

KRAFT HEINZ FOODS CO

1.38

1.20

Cons. Staples

CSC HOLDINGS LLC

1.08

0.83

Comm. Svc.

BAUSCH HEALTH COMPANIES INC

1.070.85Healthcare

MSCI USD HY Climate Paris Aligned Corporate Bond Index | msci.com

Sector Weights

Index Methodology

The MSCI Fixed Income Climate Paris Aligned Indexes are constructed from their corresponding ParentIndexes following an optimization-based approach and aim to exceed the minimum technical requirements laidout in the EU Delegated Act, while aligning with the recommendations of the TCFD. The indexes are designed
to align with a 1.5°C climate scenario using the MSCI Climate Value-at-Risk and a “self-decarbonization” rate of10% year on year. The indexes aim to reduce exposure to physical risk arising from extreme weather events by
at least 50% and shift index weight from “brown” to “green” using the MSCI Low Carbon transition score and by
excluding categories of fossil-fuel-linked companies. Furthermore, the indexes also aim to increase the weightof companies which are exposed to climate transition opportunities and reduce the weight of companies which
are exposed to climate transition risks. Finally, the indexes seek to reduce the weight of companies assessedas high carbon emitters using scope 1, 2 and 3 emissions and increase the weight of companies with credible
carbon reduction targets through the weighting scheme while achieving both a modest active share and a lowturnover. The Indexes are rebalanced on a monthly basis to coincide with the monthly index review of the MSCI
Corporate Bond Indexes. The pro forma Indexes are in general announced three business days before theeffective date of rebalancing.

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MSCI USD HY Climate Paris Aligned Corporate Bond Index | msci.com