I NDEX G UIDELINE
SOLACTIVE L&G ENHANCED ESG INDEX FAMILY

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

Index Specifications ................................................................................................................................................... 4
1.1. Scope of the Index ................................................................................................................................................ 4
1.2. Identifiers and Publication .................................................................................................................................... 4
1.3. Initial Level of the Index ....................................................................................................................................... 6
1.4. Prices and calculation frequency .......................................................................................................................... 6
1.5. Licensing ............................................................................................................................................................... 7

2.

Index Selection .......................................................................................................................................................... 8
2.1. Index Universe Requirements .............................................................................................................................. 8
2.2. Selection of the Index Components ..................................................................................................................... 8
2.3. Weighting of the Index Components .................................................................................................................. 122.3.1. Tilted Weights ..................................................................................................................................................... 122.3.2. Carbon ReducTion .............................................................................................................................................. 13

3.

Rebalance ................................................................................................................................................................ 16
3.1. Ordinary Rebalance ............................................................................................................................................ 16
3.2. Extraordinary Rebalance..................................................................................................................................... 16

4.

Calculation of the Index .......................................................................................................................................... 174.1. Index formula ..................................................................................................................................................... 174.2. Accuracy.............................................................................................................................................................. 174.3. Adjustments........................................................................................................................................................ 174.4. Corporate actions ............................................................................................................................................... 174.5. Recalculation ...................................................................................................................................................... 18
4.6. Market Disruption .............................................................................................................................................. 19

5.

Miscellaneous.......................................................................................................................................................... 20
5.1. Discretion ............................................................................................................................................................ 20
5.2. Methodology Review .......................................................................................................................................... 20
5.3. Changes in calculation method........................................................................................................................... 20
5.4. Termination ........................................................................................................................................................ 20
5.5. Oversight ............................................................................................................................................................ 21

6.

Definitions ............................................................................................................................................................... 22

Contact.............................................................................................................................................................................. 27

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INDEX GUIDELINEINTRODUCTION
This document (the “GUIDELINE”) is to be used as a guideline with regard to the composition,
calculation and maintenance of the Solactive L&G Enhanced ESG Index Family (the “INDEX”). Anyamendments to the rules made to the GUIDELINE are approved by the OVERSIGHT COMMITTEE specified
in Section 5.5. The INDEX is owned, calculated, administered and published by Solactive AG(“SOLACTIVE”) assuming the role as administrator (the “INDEX ADMINISTRATOR”) under the Regulation(EU) 2016/1011 (the “BENCHMARK REGULATION” or “BMR”). The name “Solactive” is trademarked.
The text uses defined terms which are formatted with “SMALL CAPS”. Such Terms shall have themeaning assigned to them as specified in Section 6 (Definitions).
The GUIDELINE and the policies and methodology documents referenced herein contain theunderlying principles and rules regarding the structure and operation of the INDEX. SOLACTIVE does
not offer any explicit or tacit guarantee or assurance, neither pertaining to the results from theuse of the INDEX nor the level of the INDEX at any certain point in time nor in any other respect.
SOLACTIVE strives to the best of its ability to ensure the correctness of the calculation. There is no
obligation for SOLACTIVE – irrespective of possible obligations to issuers – to advise third parties,
including investors and/or financial intermediaries, of any errors in the INDEX. The publication of
the INDEX by SOLACTIVE does not constitute a recommendation for capital investment and does notcontain any assurance or opinion of SOLACTIVE regarding a possible investment in a financial
instrument based on this INDEX.

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1. INDEX SPECIFICATIONS
1.1. SCOPE OF THE INDEX
Category
Asset Class

Strategy

Description
EquityThe INDEX family is designed by Solactive and Legal & General
Investment Management (“L&G”) by first screening theparent index universe to only incorporate companies that do
not have excessive exposure or involvement in activities suchas assault weapons, UNGC violation, controversial weapon,
coal extraction, tobacco production and retailing, militarycontracting, and then tilting the screened universe using theprocess described below in order to increase the exposure tocompanies with higher L&G ESG scores. The L&G ESG scores
are created by L&G using a number of metrics including:
1.
2.
3.
4.

Environmental
SocialCorporate GovernanceTransparency

These metrics are reviewed semi-annually by L&G in order toincorporate the most reliable and relevant inputs whencalculating the aggregate L&G ESG Score. Additionally, there isan annual review of the scoring methodology.

Regional Allocation
Rebalancing Fee
Rebalancing Frequency

In addition, the components are weighted based on an
optimized algorithm in order to ensure that the portfolio is inline with the climate-neutrality by 2050 objective.
Developed and Emerging Markets
NA
Semiannually

1.2. IDENTIFIERS AND PUBLICATIONThe INDEX is published under the following identifiers:
Name

ISIN

CurrencyType RICBBG ticker
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Solactive L&G Enhanced ESG
North America Index PR
Solactive L&G Enhanced ESG
North America Index NTR
Solactive L&G Enhanced ESG
North America Index TR
Solactive L&G Enhanced ESG
Europe ex UK Index PR
Solactive L&G Enhanced ESG
Europe ex UK Index NTR
Solactive L&G Enhanced ESG
Europe ex UK Index TR
Solactive L&G Enhanced ESG
United Kingdom Index PR
Solactive L&G Enhanced ESG
United Kingdom Index NTR
Solactive L&G Enhanced ESG
United Kingdom Index TR
Solactive L&G Enhanced ESG
APAC ex JP Index PR
Solactive L&G Enhanced ESG
APAC ex JP Index NTR
Solactive L&G Enhanced ESG
APAC ex JP Index TR
Solactive L&G Enhanced ESG
Japan Index PR
Solactive L&G Enhanced ESG
Japan Index NTR
Solactive L&G Enhanced ESG
Japan Index TR

DE000SL0DUT6

GBP

PR*

.SOEESGNP

NA

DE000SL0DUU
4GBP

NTR* .SOEESGNN NA

DE000SL0DUV2 GBPGTR* .SOEESGNT

NA

DE000SL0EA24

GBP

PR*

.SOEESGEP

NA

DE000SL0EA32

GBP

NTR* .SOEESGEN

NA

DE000SL0EA40

GBP

GTR* .SOEESGET

NA

DE000SL0BP61

GBP

PR*

.SOEESGBP

NA

DE000SL0BP79

GBP

NTR* .SOEESGBN

NA

DE000SL0BP87

GBP

GTR* .SOEESGBT

NA

DE000SL0EA57

GBP

PR*

.SOEESGPP

NA

DE000SL0EA65

GBP

NTR* .SOEESGPN

NA

DE000SL0EA73

GBP

GTR* .SOEESGPT

NA

DE000SL0EA81

GBP

PR*

.SOEESGJP

NA

DE000SL0EA99

GBP

NTR* .SOEESGJN

NA

DE000SL0EBA4

GBP

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

Name
Solactive L&G Enhanced ESG
Developed Markets Index PR
Solactive L&G Enhanced ESG
Developed Markets Index NTR
Solactive L&G Enhanced ESG
Developed Markets Index TR

ISIN

Currency Type RIC

BBG
tickerDE000SL0AF23 GBP

PR*.SOEESGDP

NA

DE000SL0AF31 GBPNTR* .SOEESGDN

NA

DE000SL0AF49 GBP

GTR* .SOEESGDT

NA

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Solactive L&G Enhanced ESG
Emerging Markets Index PR
Solactive L&G Enhanced ESG
Emerging Markets Index NTR
Solactive L&G Enhanced ESG
Emerging Markets Index TR

DE000SL0EBB2 GBPPR*.SOEESGMP NA

DE000SL0EBC0 GBP

NTR* .SOEESGMN NA

DE000SL0EBD8 GBP

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

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

1.3. INITIAL LEVEL OF THE INDEXThe initial level of the INDEX on the 07/05/2014, the START DATE, is 100. Historical values from the
27/08/2021 the LIVE DATE, will be recorded in accordance with Article 8 of the BMR. Levels of the
INDEX published for a period prior to the LIVE DATE have been back-tested.
The Solactive L&G Enhanced ESG Developed Markets Index has its LIVE DATE of 27/02/2020 and STARTDATE of 02/05/2012.
The Solactive L&G Enhanced ESG United Kingdom Index has its LIVE DATE of 30/09/2020 and STARTDATE of 02/05/2012.

1.4. PRICES AND CALCULATION FREQUENCY
The level of the INDEX is calculated on each CALCULATION DAY from 9:00 a.m. to 10:50 p.m. CET basedon the TRADING PRICES on the EXCHANGES on which the INDEX COMPONENTS are listed. TRADING PRICES of
INDEX COMPONENTS not listed in the INDEX CURRENCY are converted using the current Intercontinental
Exchange (the „ICE“) spot foreign exchange rate. Should there be no current TRADING PRICE for an
INDEX COMPONENT, the later of: (i) the most recent CLOSING PRICE; or (ii) the last available TRADING PRICE
for the preceding TRADING DAY is used in the calculation.
In addition to the intraday calculation a closing level of the INDEX for each CALCULATION DAY is also
calculated. This closing level is based on the CLOSING PRICES for the INDEX COMPONENTS on the respective
EXCHANGES on which the INDEX COMPONENTS are listed. The CLOSING PRICES of INDEX COMPONENTS not listed
in the INDEX CURRENCY are converted using the 4pm London time WM Fixing quoted by Reuters. If
there is no 4pm London time WM Fixing for the relevant CALCULATION DAY, the last available 4pm
London time WM Fixing will be used for the closing level calculation.
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1.5. LICENSING
Licenses to use the INDEX as the underlying value for financial instruments, investment funds andfinancial contracts may be issued to stock exchanges, banks, financial services providers andinvestment houses by SOLACTIVE.

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

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

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

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

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

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

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Developed Markets segment
Country

Regional Basket

Regional/Country Index

Canada, United States

North America

Solactive L&G Enhanced
ESG North America
Index

Austria, Belgium, Switzerland,
Germany, Denmark, Spain, Finland,
France, Ireland, Italy, Netherlands,
Norway, Portugal, Sweden

Europe ex United
Kingdom

Solactive L&G Enhanced
ESG Europe ex UK Index

United Kingdom

United Kingdom

Solactive L&G Enhanced
ESG United Kingdom
Index

Australia, Hong Kong, New Zealand,
Singapore

DM APAC ex Japan

Solactive L&G Enhanced
ESG APAC ex JP Index

Japan

Japan

Solactive L&G Enhanced
ESG Japan Index

Country

Regional Basket

Regional/Country Index

Argentina, Brazil, Chile, Colombia,
Mexico, Peru

Americas

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

EMEA

China, Indonesia, India, South Korea,
Malaysia, Philippines, Pakistan,Thailand, Taiwan

EM APAC

Emerging Markets segment

Solactive L&G Enhanced
ESG Emerging Markets
Index

For clarification, the remaining securities from the Solactive GBS United Kingdom All Cap Index are
the ones considered for the construction of the Solactive L&G Enhanced ESG United Kingdom Index
and the remaining securities of Solactive GBS Global Markets Large & Mid Cap Index assigned toUnited Kingdom are only considered for the construction of the Solactive L&G Enhanced ESG
Developed Markets Index.

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INDEX GUIDELINEThe PARENT INDEX for the Solactive L&G Enhanced ESG Developed Markets Index consists of the
combination of the Developed Markets segment Regional Baskets (i.e. North America, Europe ex
United Kingdom, United Kingdom, DM APAC ex Japan and Japan).
The PARENT INDEX for the Solactive L&G Enhanced ESG Emerging Markets Index consists of the
combination of the Emerging Markets segment Regional Baskets (i.e. Americas, EMEA, EM APAC).
2. Any security included on the Exclusion List as determined by Solactive, based on selection
data and research provided by Sustainalytics and Legal & General Investment Management(the “DATA PROVIDER”) is further removed.
The Exclusion List is constructed by capturing those securities which exhibit a significant
involvement in the following ESG Themes (3 controversial activities as well as the FWPL):

Item

1

Theme

Firearms

Methodology

Data Provider

Companies involved in the manufacturing or
retail of key components of small arms, smallarms for military/law enforcement, or assault
and non-assault small arms for civilians

Sustainalytics

Companies deriving more than 5% of theirrevenues from the retail and distribution ofassault weapons.
Companies deriving more than 10% of theirrevenues from the retail and distribution of
non-assault weapons
Companies involved in the manufacturing ofmilitary weapon systems and/or integral, tailormade components.

2

3

Sustainalytics

Companies deriving more than 10% of their
Military
revenues from tailor-made products or services
Contractingthat support military weapons

TobaccoCompanies deriving more than 10% of theirrevenues from non-weapons-related tailormade products or services to the militaryCompanies are involved in production or derivemore than 10% of their revenue from retail of
tobacco products and related services

Sustainalytics

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4

FWPL

Companies are included on the FWPL

Legal and General
Investment
Management

The FWPL comprises companies which are (1) involved in the manufacture of controversial
weapons (2) persistent violators of the UN Global Compact and/or (3) thermal coal producers,
including coal mining, power generation, oil sands and companies with new coal projects
exposure. It is reconstituted by LGIM on a semi-annual basis in March and September. The
methodology by reference to which the FWPL is constructed is available here:
https://www.lgim.com/landg-assets/lgim/_document-library/capabilities/future-worldprotection-list-public-methodology.pdf.
The respective regional baskets after the controversial activity exclusion will represent the
INVESTABLE UNIVERSE for each INDEX the purpose of Weighting of the Index Components as describedin Section 2.3
3. For each remaining security an adjusted Market Capitalization is calculated by tilting theFREE FLOAT MARKET CAPITALIZATION of each security as described below:
𝑀𝐶𝐴𝑃𝑎𝑑𝑗,𝑖 = 𝑀𝐶𝐴𝑃𝑖 ∙ (1 + 𝐸𝑆𝐺 𝑆𝑐𝑜𝑟𝑒𝑖 )2
where:
𝑀𝐶𝐴𝑃𝑎𝑑𝑗,𝑖 is the tilted FREE FLOAT MARKET CAPITALIZATION of security i
𝑀𝐶𝐴𝑃𝑖 is the FREE FLOAT MARKET CAPITALIZATION of security i
𝐸𝑆𝐺 𝑆𝑐𝑜𝑟𝑒𝑖 is the L&G ESG Score

The L&G ESG scores are created by L&G using a number of metrics including:
1. Environmental
2. Social
3. Corporate Governance
4. Transparency
The metric is reviewed semi-annually by L&G in order to incorporate the most reliable and relevant
inputs when calculating the aggregate L&G ESG Score. Additionally, there is an annual review of thescoring methodology.
The specific details of the sustainability integration will be reviewed regularly in accordance withthe procedure specified in Section 5.2. in order to ensure that the applied criteria reflect future
developments and most current standards of ESG and climate strategies. As the ESG and climate
consensus is in an early development stage and expected to be refined, suitable data points may
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become available to be reflected into the methodology. Among the specific details under review
will be:•the DATA PROVIDER for both the ESG and climate related data;•

the specifics of the ESG and climate integration methodology applied in the security
exclusion process (as described in point 1 in this Section) as well as the weighting
methodology (as outlined in Section 2.3).

The selection of the INDEX COMPONENTS is fully rule-based and the INDEX ADMINISTRATOR cannot makeany discretionary decision.

2.3. WEIGHTING OF THE INDEX COMPONENTS
2.3.1.

TILTED WEIGHTS

On each SELECTION DAY each INDEX COMPONENT is assigned a weight as described below.
1. Based on the tilted FREE FLOAT MARKET CAPITALIZATION calculated above, each security is
assigned a weight within its corresponding Regional Basket based on the formula below:

𝑤𝑎𝑑𝑗,𝑖 =𝑀𝐶𝐴𝑃𝑎𝑑𝑗,𝑖𝑁∑𝑖=1 𝑀𝐶𝐴𝑃𝑎𝑑𝑗

where:
𝑀𝐶𝐴𝑃𝑎𝑑𝑗,𝑖 is the tilted FREE FLOAT MARKET CAPITALIZATION of security i𝑤𝑎𝑑𝑗,𝑖 is the tilted weight of security i within its regional basket
𝑁 is the number of securities in the respective regional basket
2. The obtained weights are then modified in such a way as to fulfil the requirements below:
a. The weight of any sector should be not higher than +2% and not lower than -3%
from the weight of the same sector within the INDEX UNIVERSE on the SELECTION DAY. In
case a breach happens, the weight of the sector will be decreased or increased tofulfil the requirement by increasing or decreasing the weight of each security within
the respective sector.
b. The individual weight of any security should not differ more than 3% from and notexceed 20 times the weight as determined on free float market capitalization(except for the securities which are removed from the index, these will always
receive a weight of zero in the final Index). In case such breaches exist, the excess
weight will be redistributed proportionally within the sector of the relevant
security.
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Certain Regional Baskets are later combined to create a supra-regional (Developed Markets andEmerging Markets) INDEX based on the formula below:
𝑤𝑆𝑅,𝑖 = 𝑤𝑎𝑑𝑗,𝑖 ∗ 𝑤𝑟𝑒𝑔,𝑗where:
𝑤𝑆𝑅,𝑖 is the weight of security i within the relevant supra-regional basket
𝑤𝑎𝑑𝑗,𝑖 is the adjusted weight of security i within its regional basket
𝑤𝑟𝑒𝑔,𝑗 is the aggregated weight of all securities corresponding to the respective regional basket
calculated based on FREE FLOAT MARKET CAPITALIZATIONThe set of securities and their weights will consist the INTERMEDIATE UNIVERSE, and their weights will
be referenced as 𝑤𝑖𝑛𝑡,𝑖 .

2.3.2.

CARBON REDUCTION

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

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

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

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

d. Compared to the INVESTABLE UNIVERSE, the deviation of the sector weights is capped at 2%
and floored at the SECTOR FLOOR, calculated as:
SECTOR FLOOR = MAX(-3% - MAX(CARBON INTENSITY CONTRIBUTION – 40%, 0 )*0.1, -5%)e.

Compared to the INVESTABLE UNIVERSE, the absolute deviation of the regional weights is
capped at 0.5%. (This condition is only applied to regional INDICES which consist ofmultiple regions.)

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

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

3.2. EXTRAORDINARY REBALANCE
The INDEX is not rebalanced extraordinarily.

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

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

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

4.4. CORPORATE ACTIONS
As part of the INDEX maintenance SOLACTIVE will consider various events – also referred to ascorporate actions – which result in an adjustment to the INDEX between two regular REBALANCE DAYS.
Such events have a material impact on the price, weighting or overall integrity of INDEX COMPONENTS.
Therefore, they need to be accounted for in the calculation of the INDEX. Corporate actions will be
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implemented from the cum-day to the ex-day of the corporate action, so that the adjustment to the
INDEX coincides with the occurrence of the price effect of the respective corporate action.
Adjustments to the INDEX to account for corporate actions will be made in compliance with the Equity
Index
Methodology,
whichisavailable
on
the
SOLACTIVE
website:https://www.solactive.com/documents/equity-index-methodology/. This document contains foreach corporate action a brief definition and specifies the relevant adjustment to the INDEX variables.
While SOLACTIVE aims at creating and maintaining its methodology for the treatment of corporate
actions as generic and transparent as possible and in line with regulatory requirements, it retains
the right in accordance with the Equity Index Methodology to deviate from these standard
procedures in case of any unusual or complex corporate action or if such a deviation is made topreserve the comparability and representativeness of the INDEX over time.
SOLACTIVE considers the following, but not conclusive, list of corporate actions as relevant for the
INDEX maintenance:
Cash Distributions (e.g. payment of a dividend)
Stock distributions (e.g. payment of a dividend in form of additional shares)
Stock distributions of another company (e.g. payment of a dividend in form of additional
shares of another company (e.g. of a subsidiary))
Share splits (company´s present shares are divided and therefore multiplied by a given
factor)Reverse splits (company´s present shares are effectively merged)
Capital increases (such as issuing additional shares)
Share repurchases (a company offer its shareholders the option to sell their shares to a fixedprice)
Spin-offs (the company splits its business activities into two or more entities and distributes
new equity shares in the created entities to the shareholders of the former entity)
Mergers & Acquisitions (transaction in which the ownership of a company (or other businessorganizations) are transferred or consolidated with other entities, e.g. fusion of two or more
separate companies into one entity)
Delistings (company´s shares are no longer publicly traded at a stock exchange)
Nationalization of a company (effective control of a legal entity is taken over by a state)
Insolvency

4.5. RECALCULATIONSOLACTIVE makes the greatest possible efforts to accurately calculate and maintain its indices.
However, errors in the determination process may occur from time to time for variety reasons(internal or external) and therefore, cannot be completely ruled out. SOLACTIVE endeavors to correct
all errors that have been identified within a reasonable period of time. The understanding of “areasonable period of time” as well as the general measures to be taken are generally depending on
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the underlying and is specified in the Solactive Correction Policy, which is incorporated by reference
and available on the SOLACTIVE website: https://www.solactive.com/documents/correction-policy/.

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

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

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

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

5.4. TERMINATIONSOLACTIVE makes the greatest possible efforts to ensure the resilience and continued integrity of its
indices over time. Where necessary, SOLACTIVE follows a clearly defined and transparent procedure
to adapt Index methodologies to changing underlying markets (see Section 5.2 “Methodology
Review”) in order to maintain continued reliability and comparability of the indices. Nevertheless,20

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if no other options are available the orderly cessation of the INDEX may be indicated. This is usually
the case when the underlying market or economic reality, which an index is set to measure or toreflect, changes substantially and in a way not foreseeable at the time of inception of the index, theindex rules, and particularly the selection criteria, can no longer be applied coherently or the index
is no longer used as the underlying value for financial instruments, investment funds and financial
contracts.
SOLACTIVE has established and maintains clear guidelines on how to identify situations in which the
cessation of an index is unavoidable, how stakeholders are to be informed and consulted and theprocedures to be followed for a termination or the transition to an alternative index. Details are
specified in the Solactive Termination Policy, which is incorporated by reference and available on
the SOLACTIVE website: https://www.solactive.com/documents/termination-policy/.

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

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6. DEFINITIONS“Base Day” is defined as the SELECTION DAY immediately preceding the INDEX LIVE DATE (i.e. the 8th ofApril 2021).
“BENCHMARK REGULATION” shall have the meaning as defined in Section “Introduction”.
“BMR” shall have the meaning as defined in Section “Introduction”.
“CALCULATION DAY” is every weekday from Monday to Friday.
“CARBON INTENSITY” on the SELECTION DAY is calculated as:
GHG
EVIC
If the CARBON INTENSITY is not computable for a company due to missing data, the company receives
the median CARBON INTENSITY of all the securities in the same industry. If the company is not classified
in an industry, the company receives the median CARBON INTENSITY of all companies classified in anindustry.
CARBON INTENSITY =If the simple average EVIC of the PARENT INDEX has increased or decreased during the last calendar
year, the EVIC of an INDEX COMPONENT shall be adjusted by an adjustment factor. The factor is
calculated as the average EVIC of the PARENT INDEX at the end of the latest calendar year, divided by
the average EVIC of the PARENT INDEX at the end of the previous calendar year.
“CARBON INTENSITY CONTRIBUTION” in respect of a given security, on the SELECTION DAY is calculated as:
CARBON INTENSITY ∗ PARENT INDEX weight“CLOSE OF BUSINESS” is the calculation time of the closing level of the INDEX as outlined in Section 1.4.
The “CLOSING PRICE” in respect of an INDEX COMPONENT and a TRADING DAY is a security's final regularhours TRADING PRICE published by the EXCHANGE and determined in accordance with the EXCHANGE
regulations. If the EXCHANGE has no or has not published a CLOSING PRICE in accordance with the
EXCHANGE rules for an INDEX COMPONENT, the last TRADING PRICE will be used.
”DATA PROVIDER” is Sustainalytics, ISS and Legal & General Investment Management. For more
information, please visit: https://www.sustainalytics.com/, https://www.issgovernance.com/ andhttps://www.lgim.com/. The ESG-related information, methodologies, data and opinions containedor reflected herein are not directed to or intended for use or distribution to India-based clients orusers and their distribution to Indian resident individuals or entities is not permitted, andMorningstar Sustainalytics accepts no responsibility or liability whatsoever for the actions of third
parties in this respect.
“ELIGIBLE REBALANCE DAY” is each day that is a TRADING DAY at the New York Stock Exchange, the London
Stock Exchange, the EUREX Exchange, and the Tokyo Stock Exchange.
“EVIC” is the Enterprise Value including Cash in USD on the respective SELECTION DAY.

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INDEX GUIDELINE“EXCHANGE” is with respect to the INDEX and every INDEX COMPONENT, the respective exchange where
the INDEX COMPONENT has its listing as determined in accordance with the rules in Section “Index
Selection”.
“EXCLUSION LIST” shall have the meaning as defined in Section “Index Selection”.
“FIXING DAY” is the SELECTION DAY.
The “FREE FLOAT” is with regard to each of the securities fulfilling the Index Component Requirements
on a SELECTION DAY the share class-specific fraction of the total number of shares of such share classissued that are available for trading by market participants and not locked-in by long term holders,as sourced from data vendors.
The “FREE FLOAT MARKET CAPITALIZATION” is with regard to each of the securities fulfilling the Index
Component Requirements on a SELECTION DAY the share class-specific free float market capitalization.
It is calculated as the multiplication of the shares outstanding in FREE FLOAT (as sourced from data
vendors) with the CLOSING PRICE of the share class as of the respective SELECTION DAY.
“GBS INDEX UNIVERSE” is the index composition of the REFERENCE INDEX after the application of theselection criteria specified in Section 2.1 in the guideline of the SOLACTIVE Global Benchmark Series(https://solactive.com/downloads/Guideline-Solactive-GBS-Benchmark-Series.pdf).
“GHG” are the Greenhouse Gas Emissions of a company as of the SELECTION DAY. According to the
GHG Protocol1, the GHG metric is calculated as the sum of Scope 1 and Scope 2 emissions. In
particular:
Scope 1 emissions: All direct Greenhouse Gas Emissions;
Scope 2 emissions: Indirect Greenhouse Gas Emissions from consumption of purchased
electricity, heat or steam;“GUIDELINE” shall have the meaning as defined in Section “Introduction”.
“HIGH CLIMATE IMPACT SECTORS” are sectors that are key to the low-carbon transition. HIGH CLIMATEIMPACT SECTORS are the following:

1

NACE Section Code

NACE Section NameA

AGRICULTURE, FORESTRY AND FISHINGB

MINING AND QUARRYINGCMANUFACTURING

D

ELECTRICITY; GAS; STEAMCONDITIONING SUPPLY

E

WATER
SUPPLY;SEWERAGE;
WASTE
MANAGEMENT AND REMEDIATION ACTIVITIES

AND

AIR

See Greenhouse Gas Protocol at https://ghgprotocol.org/.
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G

WHOLESALE AND RETAIL TRADE; REPAIR OF
MOTOR VEHICLES AND MOTORCYCLES

H

TRANSPORTATION AND STORAGEL

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

Where
Index Carbon Intensity Target is the minimum of the CARBON INTENSITY of the Decarbonization
Trajectory on the SELECTION DAY and 50% of the Parent Index Carbon Intensity on the SELECTION DAY.
Parent Carbon Intensity is the CARBON INTENSITY of the Parent Index on the SELECTION DAY.
“SECTOR FLOOR” shall have the meaning as defined in Section 2.3.2.
“SELECTION DAy” is 20 CALCULATION DAYS before the scheduled REBALANCE DAY.
“SOLACTIVE” shall have the meaning as defined in Section “Introduction”.
“START DATE” shall have the meaning as defined in Section 1.3.
“TRADING DAY” is with respect to an INDEX COMPONENT included in the INDEX at the REBALANCE DAY andevery INDEX COMPONENT included in the INDEX at the CALCULATION DAY immediately following the24

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INDEX GUIDELINEREBALANCE DAY (for clarification: this provision is intended to capture the TRADING DAYS for the
securities to be included in the INDEX as new INDEX COMPONENTS with close of trading on the relevant
EXCHANGE on the REBALANCE DAY) a day on which the relevant EXCHANGE is open for trading (or a daythat would have been such a day if a market disruption had not occurred), excluding days on which
trading may be ceased prior to the scheduled EXCHANGE closing time and days on which the EXCHANGE
is open for a scheduled shortened period. The INDEX ADMINISTRATOR is ultimately responsible as towhether a certain day is a TRADING DAY.
The “TRADING PRICE” in respect of an INDEX COMPONENT and a TRADING DAY is the most recent publishedprice at which the INDEX COMPONENT was traded on the respective EXCHANGE.

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7. HISTORY OF INDEX CHANGES
VersionDate

Description

1.0

23 May 2018

Index Guideline creation (initial version)

1.1

April 10th 2023

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

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

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