Bloomberg MSCI ESG Fixed Income Indices

Bloomberg MSCIGreen Bond Indices
Bringing clarity to the green bond market through benchmark indices
September 7, 2021

Bloomberg MSCI Green Bond IndicesInformation Classification: GENERAL

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September 7, 2021

Table of Contents
Introduction

3

Index Design and Overview

3

Index Rules: Green Bond Eligibility and Classification

4

Index Rules: Fixed-Income Criteria

10

Index Rebalancing Rules

13

Pricing and Related Rules

13

Accessing Index Data

14

Sub-indices and Index Customizations

15

Bloomberg Total Return Index Value Tickers: Global Green Bond Index and Related Indices16

Index Licensing

16

Index Governance

16

Disclaimer

17

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In 2014, following a wide-ranging consultation with market participants, Bloomberg, a global
leader in fixed income indexing, and MSCI ESG Research LLC, a leading provider ofenvironmental, social, and governance (ESG) research, introduced a new family of Green Bond
Indices, complementing the existing Bloomberg MSCI ESG Fixed Income benchmark offering.
This primer includes the rules and methodology for the Green Bond index family. Key design
features include:● Independent evaluation of securities by MSCI ESG Research along four dimensions (use ofproceeds, project evaluation, management of proceeds, and reporting) to determine index
eligibility. These eligibility criteria reflect the core elements of the Green Bond Principles(GBP).
● Fixed-income eligibility criteria chosen by Bloomberg so that the final benchmark index isboth transparent and representative of the market being measured. Bloomberg performs
the index calculation and is the benchmark administrator.
● A flexible design that allows for multiple variants: sub-indices defined by credit quality,
region, currency, maturity, and use of proceeds, as well as issuer-capped indices, are alsoavailable as part of the family.

Introduction
The Green Bond Market: From niche to mainstream
A New Standard for GreenBonds

The green bond market is growing rapidly, with about $170bn issued in 2018 according to The
Climate Bonds Initiative. In just five years, the labeled “green” market has gone from modest
issuance by a handful of development bank and supranational issuers to a burgeoning new
asset class with an increasingly diverse investor base, including dedicated “green” investors andother broad-based investors who consider these new bonds part of their expanding investment
choice set.
The rapid growth of this new market has necessitated the establishment of clear and broadly
accepted guidelines for those issuing and evaluating green bonds. In 2014, a consortium ofbanks published an initial set of Green Bond Principles (GBP), an important milestone for theasset class. The GBP is an agreement among market participants on a set of standards designed
to underpin the market by allowing investors to assess the green credentials of labelledissuance. Benchmark indices such as the Bloomberg MSCI Green Bond Index family are anotherimportant evolutionary step to provide further transparency to a market, giving end investors ameans to evaluate performance and assess risk.
The Green Bond Index family also complements the existing Bloomberg MSCI ESG Fixed
Income Index Series, launched in June 2013. Both offerings appeal to the growing number ofinvestors who are incorporating ESG factors or criteria into their investment analysis, allocation,risk measurement, security selection, and performance attribution process.

Index Design and Overview
Objectives
A well-designed benchmark seeks to represent a particular market accurately, providing a clear
measure of asset class risk and return and a transparent framework for defining an investment
choice set when making allocation decisions.
A key challenge in constructing a green bond index is to set specific, transparent, and objective
rules to identify what investors generally define as “green” (bonds whose proceeds have a clear
net environmental benefit) and, therefore, consider part of their investment choice set.
Bloomberg and MSCI ESG Research conducted extensive consultations in July 2014 with adiverse set of index stakeholders (including issuers, asset managers, asset owners, andconsultants) to solicit feedback on index design and methodology and to identify the emerging

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standards in the definition of Green Bonds, as well as to canvass alternative interpretations thatinvestors may have.
One consistent view expressed throughout the consultation period was the strong preference
for the green bond index universe to be evaluated and defined independently from issuers.
This was seen as paramount since it would add a layer of integrity beyond self-labelleddesignations that have not benefited from independent scrutiny, and beyond “second-party
opinions” that have been solicited and paid for by issuers. With some issuers already pushing
the limits of what can be reasonably considered green, the practice of pushing the boundary ofacceptability (termed “green-washing”) is seen by many investors as a serious potential threat tothe credibility of this market. To address this concern, MSCI ESG Research has establishedclearly defined rules for classifying green bonds, with an aim to provide sufficient transparency
on the use of proceeds for eligible securities and, most importantly, to present investors with aninvestment universe that is generally regarded as green.

Index Rules: Green Bond Eligibility and Classification
MSCI ESG Research has
established clearly definedrules for classifying green
bonds, with an aim to provide
sufficient transparency on theuse of proceeds for eligible
securities and, mostimportantly, to present
investors with an investment
universe that is generally
regarded as green

Green bonds are fixed-income securities in which the proceeds will be exclusively and formallyapplied to projects or activities that promote climate or other environmental sustainability
purposes through their use of proceeds.
For the Bloomberg MSCI Green Bond Index, securities are independently evaluated by MSCIESG Research along four dimensions to determine whether a fixed-income security should beclassified as a green bond. These eligibility criteria reflect themes articulated in the Green Bond
Principles and require clarity about a bond’s:
1.

Stated use of proceeds;

2.

Process for green project evaluation and selection;

3.

Process for management of proceeds; and4.

Commitment to ongoing reporting of the environmental performance of the use ofproceeds.

Self-labeled green bonds will be evaluated using these criteria for potential index inclusion. So
long as projects fall within an eligible MSCI Green Bond category and there is sufficienttransparency on the use of proceeds, a bond can be considered for the index even if it is not
explicitly marketed as green.

1. Use of Proceeds
Use of proceeds and project bonds are considered eligible if the use of proceeds falls within atleast one of seven eligible environmental categories defined by MSCI ESG Research (alternative
energy, energy efficiency, pollution prevention and control, sustainable water, green building,climate adaption, and other) 1. In cases where project categories do not overlap entirely withMSCI ESG Research definitions, MSCI ESG Research will consider bonds eligible if at least 90%of the projected use of proceeds falls within eligible categories.
The seven eligible environmental categories defined by MSCI ESG Research are described
below.

Alternative Energy
Investments in products, services, or infrastructure projects supporting the development ordelivery of renewable energy and alternative fuels, including:

1 The environmental categories are not mutually exclusive. i.e., a bond may fund one or more of the categories.

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● Generation, transmission, and distribution of electricity from renewable sources including
wind, solar, geothermal, biomass 2, small-scale hydro (25 MW) 3, large-scale hydro (subject toadditional sustainability criteria), waste energy, wave and tidal energy.
● Fuels, technology, and infrastructure for the production and distribution of cleaner hybrid
fuels, hydrogen, fuel cells, and alternative fuels, including biodiesel, biogas, and cellulosic
ethanol.
Due to their potential environmental and social externalities, large-scale hydroelectric
projects are only eligible if they satisfy one of the following international sustainability bestpractices:○

Hydropower Sustainability Protocol – published assessment report and score of 3 orabove (i.e. in line with “Good Practices”) on all relevant pillars; or○International Finance Corporation (IFC) Performance Standards - publicly statedcommitment to meet the requirements outlined by all eight IFC performance standards.

Energy Efficiency
Green Bond proceeds are
exclusively and formallyapplied to projects oractivities that promote climate
or other environmental
sustainability purposes

Investments in products, services, infrastructure, or technologies that proactively address thegrowing global demand for energy while minimizing effects on the environment, including:● Technologies and systems that promote efficiency of industrial operation (e.g., turbines,
motors, and engines), industrial automation and controls, and optimization systems (e.g.,cloud computing, data optimization systems).
● Infrastructure, technology, and systems that increase the efficiency of power management,
power distribution, power storage (e.g., batteries), demand-side management (e.g., wirelesssensors, advanced meters, smart grid).
● Pumped storage hydro projects that meet the large hydropower sustainability criteria
indicated above.
● Technologies and systems focused on reducing fuel consumption of transport vehicles andindustrial operations (e.g., hybrid/electric vehicles).
● Sustainable transportation infrastructure including urban mass transit, efficiency
improvements of public transportation fleets, electric vehicle charging, improved trafficsystems.
● HVAC equipment and systems, architectural glass, efficient lighting, insulation, building
automation and controls, and devices and systems designed to be utilized in the design andconstruction of environmentally sustainable buildings.
Not eligible under this category:● Corporate operational energy efficiency efforts, such as efficiency gains in manufacturing,transporting, or distributing standard products or services, where under 90% of theproceeds are directly used for energy efficiency improvements or retrofits.
● Energy efficiency in fossil fuel-based energy generation, with the exception of natural gasbased co-generation.

Pollution Prevention and Control
Products, services, or projects that support pollution prevention, waste minimization, or
recycling as a means of alleviating the burden of unsustainable waste generation, including:

2 Biomass needs to be sustainably sourced to be eligible for the index i.e. sourced from FSC (Forest Stewardship Council), PEFC (Programme for the Endorsement ofForest Certification), SBP (Sustainable Biomass Program) and RSB (Roundtable on Sustainable Biomaterials) certified sources
3 Small hydro is formally defined as including projects that fall below the thresholds set by the International Commission on Large Dams (ICOLD), which require thatdams be below 15 meters in height. Dams under 25MW in capacity also qualify as “small”, as capacity is used a proxy for size where detailed information is not available.
For the purposes of index inclusion, large hydro will be defined as all projects exceeding the small hydro thresholds.

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● Technologies, systems, and projects aiming to reduce air pollution (e.g., environmental IT,
conventional pollution control systems and carbon capture and storage).
● Projects to salvage, use, reuse, and recycle post-consumer waste products.
● Waste treatment and environmental remediation projects, including land treatment andbrownfield cleanup, soil washing, chemical oxidation, bioremediation.
● Sustainable alternative materials including raw materials, paints, adhesives, etc. usedprimarily in the construction of environmentally sustainable buildings.
Not eligible under this category: landfill or incineration waste treatment projects without aspecific waste-to-energy component.

Sustainable Water
Products, services, and projects that attempt to resolve water scarcity and water quality issues,
including minimizing and monitoring current water use and demand increases, improving thequality of water supply, and improving the availability and reliability of water.
● Infrastructure and engineering projects developing new or repairing existing water andsanitation pipelines, including equipment and technology providers, resulting in improved
quality and/or water use efficiency. Note that all large dams (i.e. above 15 meters in height)
for sustainable water projects are eligible only if they have a publicly stated commitment tomeet the requirements outlined by all eight IFC performance standards. 4● Technologies and products that reduce, reuse, or recycle water as a means of conservation(smart metering devices, low-flow equipment, and rainwater harvesting systems).
● Advanced materials, equipment, technologies, and services that filter or chemically treat
wastewater for consumer or industrial use, including desalination.
● Investments in protection of land, forests, and other vegetation in the upper watershed as ameans to improve the quality of water bodies and groundwater recharge areas.
Not eligible under this category: distribution of drinking water without measurable
improvements to water quality, water efficiency, or climate change resilience component.

Green Building
Design, construction, redevelopment, retrofitting, or acquisition of ‘green’ certified properties –subject to local green building criteria, including:● Properties that are certified as ‘green’ based on the local country’s environmental
performance standard (e.g., based on Energy Star, NABERS >3, or equivalent) or
environmental design standards (e.g., LEED Certified, BREEAM, or local equivalent).
● Uncertified properties may also be considered eligible if they rank in the top 15% on energy
efficiency measures relative to same-sector properties within the local market.
● Mortgage backed securities and bonds for funding real estate properties may beconsidered green and eligible for the Index if the real estate properties achieve a minimum
30% improvement in energy compared to baseline performance prior to the renovations
and other capital improvements funded through the use of proceeds. 5

Climate Adaptation
Projects that reduce the vulnerability of social or environmental systems to the effects of risks
related to climate change by maintaining or increasing adaptive capacity, reducing sensitivity to
climate change or increasing climate resilience, including:
4 For further detail, please refer to the IFC’s E&S Performance Standards resources
5 Eligible post the 2019 client consultation and hence eligible post November 2019

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● Flood protection (flood defenses, waterway management, pumping stations and drainage
improvement);● Food security and stress-resilient agricultural systems;● Reforestation and watershed management;● Climate resiliency services (modernization of meteorological systems, catastrophe risk
insurance).

Other
The “other” use of proceeds category includes environmental activities and projects that are notincluded in the six use of proceeds categories: alternative energy; energy efficiency; pollution
prevention and control; sustainable water; green building and climate adaptation. These
activities and projects include, but are not limited to, the protection and conservation of
biodiversity; sustainable forestry and afforestation projects; and sustainable agriculturalprojects.

Figure 1
MSCI ESG Research Green Bond Use of Proceeds Categories and Sub-categories –Summary
Green Bond Category
Alternative Energy

Energy Efficiency

Pollution Prevention & Control

Sustainable Water

Green Building

Climate Adaptation

Other

Sub-Category
Wind, Solar, Geothermal, Biomass (subject to additionalsustainability criteria), Waste Energy, Wave and Tidal, Small Hydro,
Large Hydro (subject to additional sustainability criteria), Biogas,
Bio-fuels (first and second generation)
Demand-Side Management, Battery, Fuel Cells/Hydrogen Systems,
Smart Grid, Other Energy Storage (including pumped hydrostorage), Superconductors, Natural Gas Combined Heat & Power,
LED Lighting, Compact Fluorescent Lighting, Insulation,
Hybrid/Electric Vehicles, Clean Transportation Infrastructure,
Industrial Automation, IT Optimization Service & Infrastructure
Environmental Remediation, Waste Treatment (excluding landfill
and incineration), Reuse & Recycling of Waste, Low Toxicity/VOC,
Conventional Pollution Control
Water Infrastructure & Distribution (with impact on water quality
and access), Rainwater Harvesting, Smart Metering Devices,
Drought-resistant Seeds, Desalinization, Wastewater Treatment,
Water Recycling Equipment & Services, Watershed Conservation
Efforts
Green Certified Residential and Commercial Properties based on
local environmental performance standards (e.g., Energy Star,NABERS >3, etc.), Green Certified Residential and Commercial
Properties based on local environmental design standards (e.g.,
LEED Certified, BREEAM, etc.), Uncertified Green Property
Investments (top 15% energy efficiency within local market), Green
CMBS or renovated real estate (subject to additional sustainability
criteria)
Flood protection, food security and stress-resilient agricultural
systems, reforestation and watershed management, climate
resiliency services (modernization of meteorological systems,
catastrophe risk insurance).
The “other” use of proceeds category includes environmental
activities and projects that are not included in the six use ofproceeds categories.

Source: MSCI ESG Research

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2. Process for Green Bond Selection
Bonds are considered eligible if the issuer clearly delineates the specific criteria and process fordetermining eligible projects or investments in the bond prospectus or supporting
documentation (e.g., green bond supplement, website, investor presentation, publishedsecond-party opinion).
Project criteria must outline either specific projects or the specific categories of activities to befinanced. Examples of eligible criteria include “Alta Wind acquisition” or “installation of windturbines, production of photovoltaic cells, and rehabilitation of municipal water infrastructure to
reduce wastewater discharge.” Examples of non-eligible criteria include “green initiatives andother projects that contribute to environmental sustainability” without further definition.
A second-party opinion or certification to an external standard is not sufficient in the absence ofclearly defined processes and criteria for project selection.

3. Management of Proceeds
A formal process to apply net proceeds raised or an amount equal to net proceeds raised to theeligible use of proceeds must be disclosed in the bond prospectus or supporting
documentation. Eligible mechanisms to apply net proceeds raised or an amount equal to net
proceeds raised include: direct recourse to eligible revenues or assets (e.g., a green securitizedbond, green project bond, or green revenue bond); creation of a separate legal entity; creationof a sub-portfolio linked to the issuer’s investment operations for eligible projects; or otherauditable mechanism whereby the balance of tracked proceeds is reduced periodically byamounts matching investments made in eligible projects during that period.
Third-party verification by an external auditor is preferred but not required.

4. Ongoing Reporting
Green Bond Index bonds
must also be Global
Aggregate eligible if greaterthan one year to maturity

At issuance, the issuer must either report on eligible projects or state its commitment to report
within one year of issuance. For reporting to be considered eligible, it must include one ormore of the following: a list of specific projects/investments, including amount disbursed toeach individual project; aggregate project/investment categories, including amount disbursed
to each project type; or quantitative or qualitative reporting on the environmental impact of the
project pool (e.g., greenhouse gas emissions savings, reduction in water consumption,
increased energy efficiency per unit of output, etc.).
Because of the current lack of standardization in green bond reporting, we provide a measureof flexibility to issuers.
● Annual Reporting: At issuance, issuers of index eligible green bonds must either report on
projects financed by the bonds’ proceeds or commit to doing so within one year. This
reporting obligation continues for the life of the bond or until proceeds have been fully
disbursed, with issuers expected to publicly report on the use of proceeds within 12 monthsof the prior use of proceeds report.
● Reporting Review Period: MSCI ESG Research reserves an additional three months beyond
the 12-month deadline to review an issuer’s green bond report. This allows time for thegreen bond report to be located and contact to be made with the issuer in case any
questions or issues are raised. This is necessary since green bond reporting is not yet
standardized and reports are not always available through standard financial reporting
channels.
● Reporting Grace Period: If an issuer has not published a report within 15 months of issuance,or 15 months of the prior use of proceeds report, it will be flagged as “On Watch” in the next
monthly green bond technical note, with details provided on the conditions, timing, andprocess for removal of the bond from the index. If the issuer has not published a report

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within 18 months from issuance or the last annual report, its bond(s) will be removed fromthe index upon the next index rebalance.
● Annual Use of Proceeds Review: If MSCI ESG Research’s review of annual green bondreporting confirms that the use of proceeds deviates from the eligible use of proceeds
categories, the bond will be removed from the index during the next rebalance.
Green bonds may be removed from the index if the issuer fails to meet the Principle 4 ongoing
reporting criteria.
Figure 2
Annual Reporting Requirement Timeline+12 months
MSCI ESG Research begins
review of reporting, contacts
issuer as needed

Issuance date ordate of prior green
bond report+18 months
Bond removed from index
if reporting still is notavailable+15months
Bond placed "on watch" ingreen bond techincal note if
no reporting available

Source: MSCI ESG Research

Figure 3
Examples of Quantitative or Qualitative Effect Reporting Metrics
Category
Alternative Energy

Energy Efficiency

Pollution Prevention & Control

Sustainable Water

Green Building

Climate Adaptation
Other

Example of Effect Metrics

●
●
●
●
●
●
●
●
●
●
●
●
●
●
●
●
●

MW renewable capacity added
Annual GHG emissions avoided in tons of CO2e
Annual energy savings in MWh or GJ% annual energy efficiency gains relative to an establishedbaseline
Annual GHG emissions avoided in tons of CO2e
Annual reduction in waste to landfill
Measureable improvement in air quality
Project-specific targets and results
Annual reduction in water consumption
Measureable improvement in water quality
Project-specific targets and results
Level of certification by property
Energy efficiency gains in MWh or % vs. baseline
Annual GHG emissions avoided in tons of CO2e
Annual reduction in water consumption
Project-specific targets and results
Project-specific targets and results

Source: MSCI ESG Research

Exceptions
Green bonds issued prior to the launch of the Green Bond Principles in 2014, are subject only tocriteria one (use of proceeds).

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Index Rules: Fixed-Income Criteria
Once a security has been defined as a green bond, additional fixed income eligibility rules areapplied with the goal of making the benchmark appropriately representative of the market froma bond investor’s perspective. Many of rules for the green bond Index mirror eligibility criteria
used for widely used broad market benchmarks such as the Bloomberg Global Aggregate
Index. Green bonds must be Global Aggregate eligible or have been eligible for those indicesprior to falling below their one year remaining to maturity requirement.

SectorTreasury, corporate, government-related, and securitized bonds are included. This includes
taxable municipals.

Eligible Currencies● The Global Green Bond Index is a multi-currency benchmark that includes local currency
debt markets tracked by the Bloomberg Global Aggregate Index. Principal and interest
must be denominated in one of the following currencies:○

Americas: CAD, CLP, COP, MXN, PEN, USD○

EMEA: CHF, CZK, DKK, EUR, GBP, HUF, ILS, NOK, PLN, RON, RUB, SEK○

Asian-Pacific: AUD, CNY, HKD, IDR, JPY, KRW, MYR, NZD, SGD, THB● Eligible currencies will not necessarily have debt included in the index if no securities satisfy
the inclusion rules.
● For CNY denominated securities, only treasuries and government related securities areindex eligible.
● New currency inclusion is reviewed annually through the index governance process. To beconsidered for inclusion, new currency candidates must be rated investment grade andsufficiently tradable, convertible and hedge able for international investors.

Quality
Securities must be rated investment grade (Baa3/BBB-/BBB- or higher) using the middle ratingof Moody’s, S&P and Fitch; when a rating from only two agencies is available, the lower is used;
when only one agency rates a bond, that rating is used. In cases where explicit bond level
ratings may not be available, other sources may be used to classify securities by credit quality:● Local currency treasury and hard currency sovereign issues are classified using the middle
issuer-level local currency and hard currency debt ratings from each agency for all
outstanding bonds, even if bond-level ratings are available.
● Expected ratings at issuance may be used for timely index inclusion or to properly classify
split-rated issuers.
● Unrated securities may use an issuer rating for index classification purposes if available.
● Unrated subordinated securities are included if a subordinated issuer rating is available.
● German Pfandbriefe are assigned ratings that are one full rating category above the issuer’s
unsecured debt.
● For the Canadian Dollar market, DBRS is considered in addition to Moody’s, S&P and Fitch.
When all four ratings agencies are available, the highest and lowest rating are removed andthe lower of the two remaining is used.

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Amount Outstanding
Fixed minimum issue sizes are set for all local currency markets:● 300mn: USD (excluding MBS, ABS, and CMBS)*, EUR, CHF, AUD● 150mn: CAD● 200mn: GBP● 25mn: USD ABS and CMBS tranches*● 35bn: JPY● 1bn: RON, PEN● 2bn: DKK, NOK, PLN, ILS, HKD, MYR● 2.5bn: SEK● 5bn: CNY**● 10bn: MXN, CZK, THB● 20bn: RUB● 500mn: NZD, SGD● 100bn: CLP● 200bn: HUF● 500bn: KRW● 1trn: COP● 2trn: IDR*As of April 1, 2017, ABS and CMBS tranches eligible for the US Aggregate between $25-300mn became
eligible for Global Green Bond Index.
**As of April 1, 2019, CNY-denominated government and policy bank securities became eligible with theiramounts outstanding initially scaled at 5%. On each subsequent month, this scaling factor on CNYdenominated bonds is increased in 5% increments until it reached 100% in November 2020.

Coupon● Fixed-rate coupon.
● Callable fixed-to-floating rate bonds are eligible during their fixed-rate term only.
● Bonds with a step-up coupon that changes according to a predetermined schedule are
eligible.

Maturity● Unlike other Bloomberg Aggregate Bond Indices, the Global Green Bond Index does nothave a 1-year minimum time to maturity and will hold bonds until final maturity. The inclusionof Green Bonds to maturity within the indices is designed to accommodate this market
practice by not forcing unwanted turnover.
● Bonds that convert from fixed to floating rate, including fixed-to-float perpetuals, will exit theindex before converting to floating-rate. Fixed-rate perpetual bonds are not included.

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Taxability● Only fully taxable issues are eligible.
● Build America Bonds (BABs) with the tax credit to the issuer are eligible; those with tax
credits issued to investors are considered tax exempt.
● Dividend Received Deduction (DRD) and Qualified Dividend Income (QDI) eligible securities
are excluded.

Market of Issue
Fully taxable, publicly issued in the global and regional markets.

Seniority of Debt
Senior and subordinated issues are included.

Figure 4
Security Types
Included

ExcludedContingent capital securities, including traditional
CoCos and contingent write-down securities, with
explicit capital ratio or solvency/balance sheet–based
triggers
Taxable municipal securities, including Build America Bonds with equity type features (e.g., warrants,
Bonds (BABs)
convertibles, preferreds, DRD/QDI-eligible issues)
Fixed-rate bullet, putable, sinkable/amortizing andcallable bonds

Original issue zero coupon bonds

Inflation-linked bonds, floating-rate issues

Bonds issued through underwritten MTN programs

Fixed-rate perpetuals

Enhanced equipment trust certificates (EETC)

Tax-exempt municipal securities

Certificates of deposit

Private placements, retail bonds

Fixed-rate and fixed-to-float (including fixed-tovariable) capital securities

USD25/USD50 par bonds

Loan participation notes (as of April 1, 2013)

Structured notes, pass-through certificates

US Agency CMBS (as of July 1, 2014)

Non-ERISA eligible CMBS, US agency MBS hybrid
ARMs

Malaysian government Sukuk (as of April 1, 2015)

Formosa bonds

Covered Bonds

Illiquid securities where reliable pricing is unavailable

CNY treasury and policy bank debt (as of April 1,
2019)

Sinkable Russian OFZ bonds issued prior to 2009
CMBS A1A tranches (as of January 1, 2011)
CNY denominated corporates and governmentrelated bonds (non-policy bank debt)

Source: Bloomberg

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Index Rebalancing Rules
Frequency
For each index, Bloomberg maintains two universes of securities: the Returns (Backward) and
the Projected (Forward) Universes. The composition of the Returns Universe is rebalanced ateach month-end and represents the fixed set of bonds on which index returns are calculated forthe next month. The Projected Universe is a forward-looking projection that changes daily toreflect issues dropping out of and entering the index but is not used for return calculations. On
the last business day of the month (the rebalancing date), the composition of the latest
Projected Universe becomes the Returns Universe for the following month.
● The formal list of green bonds evaluated and identified by MSCI ESG Research is updated
on the 25th calendar day of each month. Evaluations must be completed by the evaluation
date to qualify for inclusion at the next index rebalancing. All relevant information (green
bond framework, reporting, etc.) should be publicly accessible or provided to MSCI ESG
Research by the 23rd of the month to enable a timely evaluation.
● Inadequate information on the issuer’s green bond program may result in a bond being
considered “Under Review”, in which case it will be mentioned in the technical note but notadded to the index. If, after six months, MSCI ESG Research still lacks sufficient information
to determine bond eligibility, the bond will be considered permanently ineligible for theindex.
● The Bloomberg MSCI Green Bond Index is rebalanced on the last business day of eachmonth. New issues will not be added to the statistics universe until after the Green Bond
Evaluation Date.

Index Changes
During the month, indicative changes to securities (credit rating change, sector reclassification,amount outstanding changes, corporate actions, and ticker changes) are reflected daily in the
Projected and Returns Universe of the index. These changes may cause bonds to enter or fallout of the Projected Universe of the index on a daily basis, but will affect the composition of the
Returns Universe at month-end only, when the index is next rebalanced.

Reinvestment of Cash Flows
Intra-month cash flows from interest and principal payments contribute to monthly index returns
but are not reinvested at a short-term reinvestment rate between rebalance dates. At eachrebalancing, cash is effectively reinvested into the Returns Universe for the following month sothat index results over two or more months reflect monthly compounding.

New Issues
Qualifying securities issued, but not necessarily settled on or before the month-end rebalancing
date, qualify for inclusion in the following month’s index if the required security reference
information and pricing are readily available.

Pricing and Related Rules
Sources & Frequency
All index-eligible bonds are priced on a daily basis by Bloomberg's evaluated pricing service,
BVAL, except CHF-denominated bonds, which are priced by SIX, and JPY-denominatedcorporate bonds, which are priced by JSDA.
Prices are snapped at the following times:

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● North American currency bonds: 4pm (New York time) for USD-denominated securities;
4pm (Toronto time) for CAD-denominated securities. USD-denominated bonds prior to
January 14, 2021 used 3pm New York time pricing snap.
● Pan-European currency bonds: 4:15pm (London time); 4pm (London time) for CHFdenominated securities.
● Asian currency bonds: 5pm (Sydney time) for AUD-denominated and NZD-denominatedsecurities; 3pm (Tokyo time) for JPY-denominated securities; 5pm (Shanghai time) for CNYdenominated securities; 5pm (Tokyo time) for all other securities.
If the last business day of the month is a public holiday in a major regional market, prices fromthe previous business day are used to price bonds in the particular market.

Bid or Offer Side
Bonds in the index are priced on the bid side. The initial price for new corporate issues entering
the index is the offer side; after the first month, the bid price is used. Japanese, Euro, andSterling treasury bonds use mid prices.

Settlement Assumptions
T+1 calendar day settlement basis for all bonds except MBS, which are priced for Public
Securities Association (PSA) settlement in the following month and discounted back to sameday settlement. At month-end, settlement is assumed to be the first calendar day of thefollowing month, even if the last business day is not the last day of the month, to allow for one
full month of accrued interest to be calculated.

Verification
Daily price moves for each security are analyzed by the index pricing team to identify outliers.
Index users may also challenge price levels, which are then reviewed and updated as needed.

Currency Hedging
Returns hedged to various currencies are published for multi-currency indices. The indices’ FX
hedging methodology takes rolling one-month forward contracts that are reset at the end ofeach month and hedges each non-reporting currency-denominated bond in the index into thereporting currency terms. No adjustment is made to the hedge during the month to account for
price movements of constituent securities in the Returns Universe of the index.

Calendar
The Global Green Bond Index is a global, multi-currency index that is generated every business
day of the year except for January 1, the only holiday common to all regional calendars. Duringholidays observed by local markets, the index will still be generated using prices from theprevious business day. FX rates are updated daily using WM Reuters 4pm (London) rates. FX
forwards are also sourced from WM Company.

Accessing Index Data
Bloomberg Terminal®
● INDE<GO> - The Bloomberg Indices dashboard page, which contains daily, monthly, andyear-to-date index returns for key indices from each index family as well as a link to index
publications.

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● IN<GO> - The Bloomberg Index Browser displays the latest performance results andstatistics for the indices as well as history. IN presents the indices that make up Bloomberg's
global, multi-asset class index families into a hierarchical view, facilitating navigation andcomparisons. The "My Indices" tab allows a user to focus on a set of favorite indices.
● DES<GO> - The index description page provides transparency into an individual index
including membership information, aggregated characteristics and returns, and historicalperformance.
● INP<GO> - The Bloomberg Indices Publications page, which includes methodologies,
factsheets, monthly reports, announcements and technical notes. A user may also subscribe
to index publications via the "Actions" button.
● PORT<GO> - Bloomberg’s Portfolio & Risk Analytics solution includes tools to analyze therisk, return, and current structure of indices. Analyze the performance of a portfolio versus abenchmark or use models for performance attribution, tracking error analysis, value-at-risk,
scenario analysis, and optimization.

Bloomberg Indices Website(www.bloomberg.com/indices)
The index website makes available limited index information including:● Index methodology and factsheets● Current performance numbers for select indices

Data Distribution
Index subscribers may choose to receive index data in files. Files may include:● Index level and/or constituent level returns and characteristics for any indices.
● Automatic delivery of files via email or SFTP following the completion of the index
production process after market close.
● Clients may receive standard files or may customize file contents.
● Index data is also available via authorized redistributors.

Sub-indices and Index Customizations
Standard Bloomberg MSCI Green Bond Indices are available for a range of sector, use ofproceeds, and credit quality breakdowns. Some investors may prefer an even more customized
index solution that offers even better matching of their green bond investment considerations.
They should contact their Bloomberg or MSCI ESG Research sales representative for further
details on bespoke index solutions. Several types of bespoke indices are available to select or
customize the most appropriate benchmark for specific portfolio needs:
Sub-Index TypeEnhanced
Constraint
Composites
Issuer Constrained

Description
Applies a more or less stringent set of constraints toany existing index.
Investors assign their own weights to sectors or otherindex sub-components within an overall index.
Indices that cap issuer exposure to a fixed
percentage. Options available for applying issuer
caps and redistributing excess MV to other issuers.

ExamplesGlobal Aggregate ex Baa
Global Aggregate 1-3 Year
50% Global Treasury; 50%
Global Aggregate ex Treasury
Global Aggregate 2% Issuer
CappedGlobal Aggregate GDP
Uses other rules-based weighting schemes instead of Weighted
Alternative Weights
market value weights.
Global Aggregate Fiscal
Strength Weighted

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Global Corporate Socially
ESG
Applies Environmental, Social and Governance filters Responsible Index
Screened/Weighted and/or tilts to a standard index.
Global Aggregate ESG
Weighted
An index consisting of 14 funded futures contracts
Mirror Futures Index
Global Aggregate Mirror
weighted to match closely the beginning-of-month(MFI)
Futures Index
OAD of the index.
Indices constructed to reflect the underlying return of
Global Aggregate Duration
Duration Hedged
an index with its duration fully or partially hedged
Hedged Index
using its MFI.

Bloomberg Total Return Index Value Tickers: Global Green Bond Index
and Related Indices
Ticker (USD Unhedged)
Index
GBGLTRUU
Global Green Bond Index
GBUSTRUU
US Green Bond Index
GBEUTRUUEuro Green Bond Index

Ticker (USD Hedged)
GBGLTRUH
GBUSTRUH
GBEUTRUH

Index
Global Green Bond Index
US Green Bond Index
Euro Green Bond Index

Total Return Index Values are available in other currencies and on a hedged basis.

Index Licensing
A license is required for services and products using or linked to the Indices, such as:● Index or Constituent-Level Redistribution● Exchange Traded Notes (ETNs)● OTC Derivative Products● Bond Pricing Service● Index-Linked Insurance Products● Custom Index Solutions● Exchange Traded Funds (ETFs)● Mutual Funds● Separately Managed Accounts (SMAs)

Index GovernanceBloomberg MSCI ESG Fixed Income Indices, including the Green Bond Indices, are jointly
governed by an index steering committee with representation from Bloomberg and MSCI ESG
Research.
As the green bond market matures, further innovation and standardization can be expected.
Bloomberg and MSCI ESG Research will continue to monitor market developments, adapting
the Green Bond Indices to reflect broadly accepted market standards and guidelines.

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Disclaimer
This document and the information contained in it, including without limitation all text, data, graphs and charts (collectively, the “Information”) is theproperty of MSCI Inc. and/or its affiliates (collectively, “MSCI”), Bloomberg Index Services Limited and/or its affiliates (collectively, “Bloomberg”), or
their licensors, direct or indirect suppliers or any third party involved in making or compiling any Information (MSCI and Bloomberg, collectively, the“Information Providers”) and is provided for informational purposes only. The Information may not be reproduced or disseminated in whole or inpart without prior written permission from the authorized Information Provider(s). All rights in the Bloomberg MSCI Environmental, Social &Governance (ESG) fixed income indices (the “ESG Indices”) vest in MSCI and Bloomberg. The Information may not be used to create derivative
works or to verify or correct other data or information. For example (but without limitation), the Information may not be used to create indices,
databases, risk models, analytics or software, or in connection with issuing, offering, sponsoring, managing or marketing securities, portfolios,
financial products or other investment vehicles utilizing or based on, linked to, tracking or otherwise derived from the Information.
The user of the Information assumes the entire risk of any use it makes or permits to be made of the Information. NONE OF THE INFORMATIONPROVIDERS MAKES ANY EXPRESS OR IMPLIED WARRANTIES OR REPRESENTATIONS WITH RESPECT TO THE INFORMATION (OR THE RESULTS
TO BE OBTAINED BY THE USE THEREOF) AND, TO THE MAXIMUM EXTENT PERMITTED BY APPLICABLE LAW, EACH INFORMATION PROVIDER
EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES (INCLUDING, WITHOUT LIMITATION, ANY IMPLIED WARRANTIES OF ORIGINALITY,
ACCURACY, TIMELINESS, NON-INFRINGEMENT, COMPLETENESS OR MERCHANTABILITY).
Without limiting any of the foregoing and to the maximum extent permitted by applicable law, in no event shall any Information Provider have any
liability regarding any of the Information including with respect to any direct, indirect, special, punitive, consequential (including lost profits) orother damages even if notified of the possibility of such damages. The foregoing shall not exclude or limit liability that may not by applicable law be
excluded or limited, including without limitation (as applicable), for death or personal injury to the extent such injury results from the negligence orwillful default of itself or its servants, agents or sub-contractors.
Information containing historical information, data or analysis should not be taken as an indication or guarantee of future performance, analysis,
forecast or prediction. Past performance does not guarantee future results. All levels, prices and spreads are historical and do not represent current
market levels, prices or spreads, some or all of which may have changed since the publication of this document.
None of the Information constitutes an offer to sell (or a solicitation of an offer to buy), any security, financial product or other investment vehicle or
any trading strategy.
MSCI’s wholly-owned subsidiary, MSCI ESG Research LLC, is a Registered Investment Adviser under the Investment Advisers Act of 1940. Except
with respect to any applicable products or services from MSCI ESG Research LLC, none of MSCI’s products or services recommends, endorses,
approves or otherwise expresses any opinion regarding issuers, securities, financial products or instruments or trading strategies and none of
MSCI’s products or services is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind ofinvestment decision and no such products or services may be relied on as such.
The ESG Indices use ratings and other data, analysis and information from MSCI ESG Research LLC. Issuers mentioned or included in any MSCI ESG
Research materials may include MSCI Inc., clients of MSCI, or suppliers to MSCI, and may also purchase research or other products or services fromMSCI ESG Research LLC. MSCI ESG Research LLC materials, including materials utilized in ESG Indices or other products, have not been submitted
to, nor received approval from, the United States Securities and Exchange Commission or any other regulatory body. ESG Indices are unmanaged
indices that cannot be invested in directly. None of the ESG Indices recommend, endorse, approve or otherwise express any opinion regarding any
issuer, securities, financial products or instruments or trading strategies and none of the ESG Indices are intended to constitute investment advice ora recommendation to make (or refrain from making) any kind of investment decision and they may not be relied on as such. Any funds, products orother securities or investment vehicles using or based on the ESG Indices are not sponsored, endorsed, or promoted by Bloomberg or MSCI.
Any use of or access to the ESG Indices requires a license from both MSCI and Bloomberg. Any use of or access to other products, services orinformation of Bloomberg requires a license from Bloomberg. Any use of or access to other products, services or information of MSCI requires alicense from MSCI. MSCI, Barra, RiskMetrics, MSCI ESG Research, FEA, and other MSCI brands and product names are the trademarks or service
marks of MSCI. BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. The Global Industry Classification Standard (GICS) was
developed by and is the exclusive property of MSCI and Standard & Poor’s. “Global Industry Classification Standard (GICS)” is a service mark of
MSCI and Standard & Poor’s.
©2021 Bloomberg Finance L.P. All rights reserved

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