MSCI Index ESG
Metrics Calculation
Methodology
Document Author
May 2024

May 2024

MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Contents

1

Introduction

3

2

Definition of ESG Metrics

4

3

4

5

2.1

Benchmark Regulation Metrics

4

2.2

SFDR Mandatory Metrics (Equity and Corporate Bond Indexes) 11

2.3

Other Metrics (Equity and Corporate Bond Indexes)

Calculation of Metrics

14

17

3.1

Data Used for the Calculation

17

3.2

Calculation Details and Formulas

18

Maintenance of Metrics

41

4.1

Ongoing Review and Publication

41

4.2

Correction Policy

41

MSCI ESG Research

42

5.1

MSCI ESG Ratings

42

5.2

MSCI ESG Controversies

42

5.3

MSCI ESG Business Involvement Screening Research

42

5.4

MSCI Climate Change Metrics

43

5.5

MSCI Impact Solutions: Sustainable Impact Metrics

43

Appendix 1: ESG Data Definitions

45

Appendix 2: Implied Temperature Rise

59

Appendix 3: Changes to this Document60© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

1

Introduction
This document outlines the methodology used to calculate and maintain index level
ESG metrics:•

Benchmark Regulation
Index level ESG information as per the Commission Delegated Regulation (EU)2020/1816 of 17 July 2020 supplementing Regulation (EU) 2016/1011 of theEuropean Parliament and of the Council, as it forms part of UK domestic law byvirtue of the European Union (Withdrawal) Act 2018, as regards the explanation in
the benchmark statement of how environmental, social and governance factors
are reflected in each benchmark provided and published (the “Delegated Act
2020/1816”)1.
More information on the benchmark regulation applicable to MSCI indexes canbe found on the index regulation page of MSCI’s website at:https://www.msci.com/index-regulation under “EU/UK Benchmark Regulation”.

•

EU Sustainable Finance Disclosure Regulation (SFDR)
Index level ESG metrics, using select metrics as set out in the Final Report on the
Draft Regulatory Technical Standards with regard to the content, methodologies
and presentation of disclosures pursuant to Article 2a(3), Article 4(6) and (7),Article 8(3), Article 9(5), Article 10(2) and Article 11(4) of Regulation (EU)2019/2088, dated 2 February 20212.

•

Other index level ESG metrics not required under EU SFDR or the Delegated Act
2020/1816MSCI Limited and MSCI Deutschland GmbH are not a “financial market participants”
as defined in the Regulation (EU) 2019/2088 or Regulation (EU) 2020/852. Index
names are not required to comply with these and do not indicate that any productaligned with, or referencing, such an index is compliant with theseregulations. Financial market participants and other users of MSCI indexes remainsolely responsible for the naming, designation and/or classification of any financial
products related to these regulations or guidance.

1 https://www.legislation.gov.uk/eur/2020/1816/contents
2 https://www.legislation.gov.uk/eur/2019/2088/contents© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

2

Definition of ESG Metrics
The list and definition of each index level ESG metric published by MSCI is provided
below.

2.1

Benchmark Regulation Metrics
Annex I to the Delegated Act 2020/1816 provides the relevant disclosure template,and Annex II provides a list of mandatory and voluntary ESG metrics based on theunderlying assets of the indexes (e.g., equity, fixed income, etc.). MSCI discloses all
mandatory ESG metrics and select voluntary ESG metrics, as well as a set of
additional ESG metrics not mentioned in the Delegated Act for the purposes ofenhancing transparency for the investment community.
The list and definition of each metric published by MSCI is provided below. The tablealso includes the relevant text from the Delegated Act 2020/1816 (Annex II).

2.1.1 Mandatory Metrics (Equity and Corporate Bond Indexes)
Text from Delegated Act
2020/1816

Metric Name

Metric Definition

Board Gender
Diversity %Weighted average percentage ofwomen on the boards of index
constituents.
Weighted average percentage ofboard members that meet MSCI ESG
Research criteria for board
independence.
Total number of controversy cases in
the last three years related to index
constituents' involvement in bribery
and corruption issues.
Exposure to companies with ties tocontroversial weapons. MSCI ESG
Research's Controversial Weapons
definition covers cluster munitions,landmines, depleted uranium
weapons, biological/chemical
weapons, blinding lasers, nondetectable fragments and incendiary
weapons.
Degree to which the IPCC
decarbonization trajectory (1.5°C withno or limited overshoot) has beenachieved on average per year sincecreation.

Weighted average % offemale board members.

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Board
Independence(Weighted Average)%
Bribery & Corruption
Controversies(Sum)
Controversial
Weapons %Decarbonization %Weighted average
percentage of board
members who are
independent.
Numbers of convictions andamount of fines forviolations of anti-corruption
and anti-bribery laws.
Weighted average
percentage of benchmark
constituents in thecontroversial weapons
sector.

Degree to which the IPCC
decarbonization trajectory(1.5°C with no or limited
overshoot) has beenachieved on average per
year since creation.

MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Enterprise Carbon
Intensity (tCO2e/$M EVIC)

Estimated
Emissions %Female: Male Board
Diversity Ratio
Fossil Fuel-Based
Sector Exposure(NACE) %Gender Pay Gap

Green Bonds %3

Weighted average Scope 1, Scope 2
and Scope 3 carbon emissions
intensity normalized by enterprisevalue including cash. (Unit: tons of
CO2/ $ million enterprise value
including cash)
Exposure to companies withestimated Scope 1 and Scope 2
carbon emissions.
Weighted average ratio of female tomale board members (%).
Exposure to companies that are
involved in carbon-intensive activities
based on GICS® sub-industries thatare mapped from the EU's NACE
classification, following a two-step
approach:
1. An initial list of sub-industries
based on carbon-intensive activities
that fall under Divisions 05 to 09, 19
and 20 of Annex I to Regulation (EC)No 1893/2006;
2. The list is then filtered to exclude
sub-industries wherein 80% ofcompanies in the MSCI ACWI IMI
universe belong to the Solutions or
Neutral categories using MSCI ESG
Research’s Low Carbon Transition
framework.
Weighted average difference between
the average gross hourly earnings ofmale and female employees as apercentage of male gross earnings,
based on company reported data.
Note that reporting on this metric is
inconsistent: some companies report
the absolute or uncontrolled pay gap
while other control for compensablefactors such as role or location.
Exposure to securities that meet thegreen bond criteria as defined by the
MSCI ESG Research Green Bond
Assessment methodology based on
their use of proceeds and adherence

Greenhouse gas (GHG)
intensity of the benchmark.

Percentage of GHG
emissions reported versus
estimated.
Weighted average ratio of
female to male board
members.
Exposure of the benchmark
portfolio to companies theactivities of which fall under
Divisions 05 to 09, 19 and
20 of Annex I to Regulation(EC) No 1893/2006.

Weighted average gender
pay gap.

Percentage of green bondsin the benchmark portfolio.

3 Only disclosed for fixed income indexes.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Green CapEx %Green Revenue

High Climate
Impact Sector
Exposure %Lack of Due
Diligence Policy(ILO) %

Overlap between
the benchmark andits investable
universe (using theactive share at
asset level)to the four Green Bond Principles
GBPs).
Weighted average of energy-related
index constituents’ percentage ofcapital expenditures (CapEx) derived
from renewable energy. The scope ofenergy-related constituents aredefined as companies belonging to
the Utilities GICS® sector and thosebelonging to the Integrated Oil & Gas,
Oil & Gas Exploration and Production,
Oil & Gas Refining and Marketing, and
Oil & Gas Storage & Transportation
GICS® sub-industries.
Weighted average of index
constituents’ percentage of revenue
derived from alternative energy,
energy efficiency, green building,pollution prevention, sustainable
water, or sustainable agriculture.

Exposure to companies that belong tohigh climate impact sectors based on
GICS® sub-industries that are mappedfrom the EU's NACE classification.
This includes sectors listed in
Sections A to H and Section L of
Annex I to Regulation (EC) No
1893/2006 of the European
Parliament and of the Council.
Exposure to companies without due
diligence policies on labor issues
addressed by the fundamental
International Labor Organisation (ILO)
Conventions 1 to 8.
Overlap between those benchmarks
and their investable universe, as
defined in Article 1, point (e), of
Commission Delegated Regulation(EU) 2020/1818, using the active
share at asset level.

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Exposure of the benchmark
portfolio to renewableenergy as measured bycapital expenditures(CapEx) in those activities(as a share of total CapEx
by energy companies
included in the portfolio).

Exposure of the benchmark
portfolio to activities
included in theenvironmental goods andservices sector, as definedin Article 2, point (5) ofRegulation (EU) No
691/2011 of the European
Parliament and of theCouncil.
Degree of exposure of theportfolio to the sectors
listed in Sections A to H and
Section L of Annex I to
Regulation (EC) No
1893/2006 as a percentageof the total weight in theportfolio.
Exposure of the benchmark
portfolio to companies
without due diligencepolicies on issues
addressed by Conventions 1
to 8 of the International
Labor Organisation.
Overlap between thosebenchmarks and theirinvestable universe, as
defined in Article 1, point(e), of Commission
Delegated Regulation (EU)2020/1818, using the active
share at asset level.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Reported Emissions%
Social Violations(Count)Social Violations (%of Constituents)

TobaccoInvolvement - Highly
Restrictive %Total Recordable
Injury Rate%

Year on Year
Decarbonization
Trajectory

Exposure to companies with reported
Scope 1 and Scope 2 carbon
emissions.
Absolute number of index
constituents involved in social
violations. Social violations aredefined as Red Flag controversies
related to customers, human rights &community impact or labor rights &supply chain, in accordance with the
MSCI ESG Controversies
methodology. A Red Flag indicates anongoing Very Severe ESG controversy
implicating a company directly
through its actions, products, or
operations.
Percentage of index constituents
involved in social violations. Social
violations are defined as Red Flag
controversies related to customers,
human rights & community impact orlabor rights & supply chain, in
accordance with the MSCI ESG
Controversies methodology. A Red
Flag indicates an ongoing Very Severe
ESG controversy implicating acompany directly through its actions,products, or
operations.
Exposure to companies classified as
tobacco producers, and companies
that derive 5% or more aggregate
revenue from the manufacture,
distribution, retailing, licensing, andsupply of tobacco products.
Weighted average total recordable
injury rate (TRIR) per million hours
worked. The TRIR includes fatalities,
lost time injuries, restricted work
injuries, and medical treatment
injuries.
Forward-looking year-on-year
decarbonization trajectory. This is nota calculated metric.

© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

Percentage of GHG
emissions reported versus
estimated.
Number of benchmark
constituents subject tosocial violations (absolute
number and relative divided
by all benchmark
constituents), as referred toin international treaties andconventions, United Nations
principles and, whereapplicable, national law.

Weighted average % of
constituents in the Tobacco
sector

Weighted average ratio ofaccidents, injuries, fatalities.

Forward-looking year-onyear decarbonization
trajectory.

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2.1.2 Mandatory Metrics (Sovereign Bond Indexes)
Text from Delegated Act
2020/1816

Metric Name

Metric Definition

International
Convention
Signatory (%) Sovereign

Exposure to issuers that are a party tointernational conventions. MSCIESG Government Ratings include
specific environment and social
conventions (detailed in the
appendix).
Weighted average of sovereignissuers’ carbon emissions generated
by all economic activities performed
domestically, per unit of GDP (USD
million).
Exposure to sovereign issuers with
reported carbon emissions
Exposure to sovereign issuers withestimated carbon estimation

The percentage ofunderlying fundmanagement companies
signed up to international
standards.

Exposure to securities that meet thegreen bond criteria as defined by the
MSCI ESG Research Green Bond
Assessment methodology based on
their use of proceeds and adherence
to the four Green Bond Principles(GBPs).
The number of unique issuers with
European External Action Service(EEAS) restrictive measures(sanctions) on imports and exports.

Percentage of green bondsin the index.

Wtd Avg GHG
Intensity (t/USD
million GDP
nominal) Sovereign
Reported Emissions(%) - Sovereign
Estimated
Emissions (%) Sovereign
Green Bonds (%) SovereignSocial Violations(Count) - SovereignSocial Violations (%of Constituents) Sovereign

The percentage of unique issuers with
European External Action Service(EEAS) restrictive measures(sanctions) on imports and exports.

Human Rights
Performance Sovereign

Weighted average of the WJP Rule of
Law Index, Fundamental Rights Subscore (measures a country’s
performance on human rights issues,
as per Factor 4 of the WJP Rule of
Law Index. Scores can range from 01.0, and higher values denotestronger national performance acrossa broad range of human rights issues)
Weighted average Income Inequality
score from MSCI ESG Government

Income Inequality
Score - Sovereign© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

GHG intensity of thebenchmark.

Reported emissions %Estimated emissions %Number of index
constituents subject tosocial violations (absolute
number and relative number
divided by all index
constituents), as referred toin international treaties andconventions, United Nations
principles and, whereapplicable, national law.
Average human rights
performance of the issuers(including a quantitative
indicator and themethodology used to
calculate it).

Average income inequality
score, measuring the

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Ratings. The Income Inequality score
measures whether a sovereign's GINI
Index score is greater than 50 (higher
number indicates greater inequality)

Press Freedom
Sovereign Score Sovereign

Corruption Score Sovereign

Stability & Peace
Score - Sovereign

Rule of Law Score Sovereign

Weighted average of the World Press
Freedom Index score from MSCI ESG
Government Ratings. This uses datafrom the Reporters Without Borders
to measure the level of press
freedom, where those countries withhigher scores have higher levels ofpress freedom (detailed in the
appendix).
Weighted average of the Control ofCorruption score from MSCI ESG
Government Ratings. This uses datafrom the World Bank's World
Governance Indicators to measure
the extent to which power could be
exercised for private gain (detailed in
the appendix).
Weighted average of Stability & Peacescore from MSCI ESG Government
Ratings. This measures theperceptions of the likelihood that the
government will be destabilized or
overthrown by unconstitutional or
violent means (detailed in the
appendix).
Weighted average of Rule of Law
score from MSCI ESG Government
Ratings. This measures the extent towhich agents have confidence in andabide by the rules of society, sourced
from WDI (detailed in the appendix).

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distribution of income andeconomic inequality among
the participants in aparticular economy(including a quantitative
indicator and themethodology used to
calculate it).
Average freedom of
expression score measuring
the extent to which politicaland civil society
organizations can operate
freely (including aquantitative indicator andthe methodology used to
calculate it).
Average corruption score
measuring the perceived
level of public sector
corruption (including aquantitative indicator andthe methodology used to
calculate it).
Average political stability
score, measuring the
likelihood that the current
regime will be overthrownby the use of force(including a quantitative
indicator and themethodology used to
calculate it).
Average rule of law score,
based on the absence ofcorruption, respect for
fundamental rights, and thestate of civil and criminal
justice (including aquantitative indicator andthe methodology used to
calculate it).

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2.1.3 Voluntary Metrics (Equity and Corporate Bond Indexes)
Metric Name

Metric Definition

Environmental Pillar
Score

Weighted average Environmental
Pillar Score. The Environmental Pillar
Score measures index constituents'
management of and exposure to key
environmental risks andopportunities. Scores range from 10(best) to 0 (worst).
Company ESG Rating of the largest
ten index constituents by index
weight. The ESG Rating indicates how
well the index constituents manage
their most material ESG risks relative
to sector peers. ESG Ratings range
from AAA (best) to CCC (worst).
Weighted average ESG Score. The
ESG Score indicates how well theindex constituents manage their mostmaterial ESG risks relative to sector
peers. Scores range from 10 (best) to
0 (worst).
Weighted average Governance Pillar
Score. The Governance Pillar Score
measures index constituents'
management of and exposure to key
governance risks. Scores range from10 (best) to 0 (worst).
An aggregated downside or upside
potential based on issuers’ "worstcase" (95th percentile) value at risk,
expressed as a percentage of the
securities’ market value, assuming
trends in extreme cold, extreme heat,
extreme precipitation, heavy snowfall,
extreme wind, coastal flooding, fluvial
flooding, and tropical cyclones
continue along a Business-As-Usual
pathway.
Weighted average Social Pillar Score.
The Social Pillar Score measuresindex constituents' management ofand exposure to key social risks andopportunities. Scores range from 10(best) to 0 (worst).

ESG Rating - Top
Ten ConstituentsESG Score

Governance Pillar
Score

Physical Risk
Climate VaR %Social Pillar Score© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

Text from Delegated Act
2020/1816
Weighted average
environmental rating of thebenchmark.

Overall ESG rating of top ten
benchmark constituents byweighting in the benchmark.

Weighted average ESG
rating of the benchmark.

Weighted average
governance rating of thebenchmark.

Exposure of the benchmark
portfolio to climate-related
physical risks, measuring
the effects of extreme
weather events oncompanies’ operations andproduction or on the
different stages of the
supply chain (based on
issuer exposure).
Weighted average social
rating of the benchmark.

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2.1.4 Controversial Weapons – International Treaties and Conventions
The Delegated Act 2020/1816 requires the disclosure of “International treaties andconventions, United Nations principles or, where applicable, national law used inorder to determine what constitutes a controversial weapon”.
The list of treaties and conventions related to the “Controversial Weapons %” metricis provided below:

2.2•

The Convention on the Prohibition of the Development, Production,
Stockpiling and Use of Chemical Weapons and on Their Destruction.

•

The Convention on the Prohibition of the Development, Production andStockpiling of Bacteriological (Biological) and Toxin Weapons and on their
Destruction.

•

Convention on the Prohibition of the Use, Stockpiling, Production andTransfer of Anti-Personnel Mines and on their Destruction.

•

Convention on Prohibitions or Restrictions on the Use of Certain
Conventional Weapons Which May Be Deemed to Be Excessively Injurious or
to Have Indiscriminate Effects.

•

The Convention on Cluster Munitions.

SFDR Mandatory Metrics (Equity and Corporate Bond Indexes)
Metric Name
Carbon Footprint(Scope 1+2+3)
Carbon Footprint(Scope 1)
Carbon Footprint(Scope 2)
Carbon Footprint(Scope 3)
Carbon Footprint(Scope 1+2)
GHG Intensity ofInvesteeCompanies

Metric Definition
Weighted average Scope 1, Scope 2 and Scope 3 carbon emissions
intensity normalized by enterprise value including cash. (Unit: tons of
CO2/ EUR million enterprise value including cash)
Weighted average Scope 1 carbon emissions intensity normalized byenterprise value including cash. (Unit: tons of CO2/ EUR million
enterprise value including cash)
Weighted average Scope 2 carbon emissions intensity normalized byenterprise value including cash. (Unit: tons of CO2/ EUR million
enterprise value including cash)
Weighted average Scope 3 carbon emissions intensity normalized byenterprise value including cash. (Unit: tons of CO2/ EUR million
enterprise value including cash)
Weighted average Scope 1 and Scope 2 carbon emissions intensity
normalized by enterprise value including cash. (Unit: tons of CO2/ EUR
million enterprise value including cash)
Weighted average Scope 1, Scope 2 and Scope 3 carbon emissions
intensity normalized by sales. (Unit: tons of CO2e / million EUR ofsales).

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Exposure tocompanies active infossil fuel sector %Share of nonrenewable energy
consumption andproduction %Energyconsumption
intensity per highimpact climate
sectorActivities negatively
affectingbiodiversity sensitive areas

Emissions to water
Hazardous Waste
Ratio
Violations of UN
Global Compact
principles andOrganisation for
Economic
Cooperation andDevelopment(OECD) Guidelines
for Multinational
Enterprises
Lack of processes
and compliancemechanisms tomonitor compliancewith UN Global
Compact principles
and OECD
Guidelines forMultinational
Enterprises %Exposure to companies involved in oil and gas and thermal coal
related revenue generating activities. The metric does not include
revenue generating activities from metallurgical coal, and storage andtransportation of coal.
Weighted average energy consumption and/or production from nonrenewable sources as a percentage of total energy use and/or
generation.
Energy consumption (GwH) per million EUR revenue per high impact
climate sector (based on GICS® sub-industries that are mapped fromthe EU's NACE classification. This includes sectors listed in Sections A
to H and Section L of Annex I to Regulation (EC) No 1893/2006 of theEuropean Parliament and of the Council).
Exposure to companies having operations in or near to biodiversity
sensitive areas that have been implicated in Red or Orange Flag
controversies with adverse impact on the environment. A Red Flag
indicates an ongoing Very Severe ESG controversy implicating acompany directly through its actions, products, or operations. An
Orange Flag indicates an ongoing Severe ESG controversy implicating
a company directly, or a Very Severe ESG controversy that is either
partially resolved or indirectly attributed to the company’s actions,products, or operations.
Weighted average tons pollutants released to surface water
normalized by enterprise value including cash. (Unit: tons/EUR million
enterprise value including cash)
Weighted average hazardous waste normalized by enterprise value
including cash. (Unit: tons/EUR million enterprise value including cash)
Exposure to companies involved in ESG controversies that areclassified as Red Flags (MSCI ESG Controversy Score of 0) . A Red
Flag indicates an ongoing Very Severe ESG controversy implicating acompany directly through its actions, products, or operations.

Exposure to companies without policies to monitor compliance with
UNGC Principles.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Unadjusted Gender
Pay Gap %Board Gender
Diversity %Exposure tocontroversial
weapons4 %Weighted average difference between the average gross hourly
earnings of male and female employees as a percentage of malegross earnings, based on company reported data. Note that reportingon this metric is inconsistent: some companies report the absolute or
uncontrolled pay gap while other control for compensable factors
such as role or location.
Weighted average percentage of women on the boards of index
constituents.
Exposure to companies with industry ties to landmines, cluster
munitions, chemical weapons or biological weapons. Notes: Industry
ties cover ownership, manufacturing and investments. Ties tolandmines do not cover related safety products.

4 As defined in the ESA’s Final Report on the draft Regulatory Technical Standards:

https://www.esma.europa.eu/sites/default/files/library/jc_2021_03_joint_esas_final_report_on_rts_under_sfdr.
pdf© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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2.3

Other Metrics (Equity and Corporate Bond Indexes)
Metric Name
1.5°C AggregatedClimate VaR
1.5°C Aggregated
Policy Risk Climate
VaR
1.5°C Technology
Opportunity Climate
VaR

Baseline Criteria
Test (% Fail)

Economic Activities
Test
Estimated
Environmental
Impact Involvement(%)

Estimated EU
Taxonomy %Alignment

Metric Definition
Aggregated climate value-at-risk (VaR) aligned to the 1.5°C scenario. It
is the sum of the weighted averages for the Aggregated Policy Risk
Climate VaR , Technology Opportunity Climate VaR, and Physical Risk
Climate VaR based on an aggressive scenario.
An aggregate downside policy risk exposure according to all emission
sources (Scope 1, 2, 3), expressed as a percentage of the securities’
market value, assuming a global 1.5°C target and using carbon prices
from the AIM CGE model under the Advanced scenario.
An upside technology opportunity exposure, expressed as apercentage of the securities’ market value, assuming a global 1.5°C
target and calculated using carbon prices from the AIM CGE model
under the Advanced scenario.
Exposure to companies that have 1) MSCI ESG Rating B or CCC, 2)
MSCI ESG Controversies assessed as Red or Orange Flag, 3) Any tie tocontroversial (banned) weapons, 4) At least 1% of their revenue fromthermal coal mining, and/or 5) Involvement in tobacco - in particular,
tobacco production or at least 5% of their aggregate revenue fromtobacco-related activities.
Exposure to companies generating at least 20% of their revenue fromproducts or services targeting one or more social or environmental
objectives.
Weighted average of index constituents’ percentage of revenue
derived from MSCI Sustainable Impact Solutions’ environmental
impact themes (including alternative energy, energy efficiency, green
building, pollution prevention, sustainable water, or sustainableagriculture), provided that such constituents meet MSCI ESG
Research’s criteria to be considered an EU Sustainable Investment as
per the MSCI SFDR Article 2(17) Sustainable Investment Methodology.
Weighted average of index constituents’ estimated maximum percent
of revenue from products and services addressing environmental
objectives, based on the MSCI Sustainable Impact Metrics framework,
provided that such constituents do not have any of the following
characteristics: 1) Red and Orange Flag environmental controversies
2) Red Flag social and governance controversies 3) Involvement in
tobacco - in particular, tobacco production or at least 5% of theiraggregate revenue from tobacco-related activities 4) Any tie tocontroversial (banned) weapons.

EU Taxonomy
Reported NonFinancial - Total
Aligned OpEx (%)

Weighted average of index constituents’ reported percentage of total
operational expenditure from aligned activities under the EU
Taxonomy regulation (Non Financial companies).

EU Taxonomy
Reported Non-

Weighted average of index constituents’ reported percentage of total
capital expenditure from aligned activities under the EU Taxonomy
regulation (Non Financial companies).

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Financial - Total
Aligned CapEx (%)
EU Taxonomy
Reported - Eligible
Aligned Gas
Turnover (%)
EU Taxonomy
Reported - Eligible
Aligned Gas CapEx(%)
EU Taxonomy
Reported - Eligible
Aligned Gas OpEx(%)
EU Taxonomy
Reported - Eligible
Aligned Nuclear
Turnover (%)
EU Taxonomy
Reported - Eligible
Aligned Nuclear
CapEx (%)
EU Taxonomy
Reported - Eligible
Aligned Nuclear
OpEx (%)
Fossil Fuel
Reserves %ImpliedTemperature Rise

Estimated Social
Impact Involvement(%)

Weighted average of index constituents’ reported percentage of
Turnover aggregated to taxonomy eligible and aligned gas activities
referred to in Sections 4.29, 4.30 and 4.31 of Annexes I and II to
Delegated Regulation 2021/2139.
Weighted average of index constituents’ reported percentage of total
capital expenditure aggregated to taxonomy eligible and aligned gas
activities referred to in Sections 4.29, 4.30 and 4.31 of Annexes I and II
to Delegated Regulation 2021/2139.
Weighted average of index constituents’ reported percentage of total
operational expenditure aggregated to taxonomy eligible and aligned
gas activities referred to in Sections 4.29, 4.30 and 4.31 of Annexes I
and II to Delegated Regulation 2021/2139.
Weighted average of index constituents’ reported percentage of
Turnover aggregated to taxonomy eligible and aligned nuclear
activities referred to in Sections 4.26, 4.27 and 4.28 of Annexes I and II
to Delegated Regulation 2021/2139.
Weighted average of index constituents’ reported percentage of total
capital expenditure aggregated to taxonomy eligible and aligned
nuclear activities referred to in Sections 4.26, 4.27 and 4.28 ofAnnexes I and II to Delegated Regulation 2021/2139.
Weighted average of index constituents’ reported percentage of total
operational expenditure aggregated to taxonomy eligible and aligned
nuclear activities referred to in Sections 4.26, 4.27 and 4.28 ofAnnexes I and II to Delegated Regulation 2021/2139.
Exposure to companies with evidence of owning proven or probablecoal and proven oil and natural gas reserves used for energy
generation.
Aggregate measure of an index’s temperature alignment (in °C) to
keeping the world’s temperature rise to 2°C by 2100. The calculation
uses an aggregated budget approach that compares the sum offinanced emission budget overshoot against the sum of financed
carbon emission budgets for the underlying index constituents. The
total index carbon emission over/undershoot is then converted to adegree of temperature rise using the science-based ratio approach ofTransient Climate Response to Cumulative Carbon Emissions (TCRE).
The allocation base used to define an index’s financed stake isEnterprise Value including Cash (EVIC), in order to enable the analysis
of equity and corporate bond portfolios.
Weighted average of index constituents’ percentage of revenue fromMSCI Sustainable Impact Solutions’ social impact themes (nutrition,
sanitation, major diseases treatment, SME finance, education,affordable real estate, or connectivity), provided that such constituents
meet MSCI ESG Research’s criteria to be considered an EU
Sustainable Investment as per the MSCI SFDR Article 2(17)Sustainable Investment Methodology.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Sustainable
Investment Test

Tobaccoinvolvement
Moderately
Restrictive %UNGC Violations %Red Flag ESG
Controversies %Weighted Average
Carbon Intensity (tCO2e/$M Sls)

Aggregated exposure to companies that could be consideredsustainable investment under SFDR Article 2(17), based on
MSCI’s interpretation of the three building blocks: good
governance practices, do no significant harm, and positive
contribution criteria. Positive contribution can be demonstrated either
by meeting the economic activity test (at least 20% of revenue fromMSCI defined Sustainable Impact Solutions) or having a carbon
emissions reduction target approved by the Science Based Targets
initiative (SBTi).
Exposure to companies that derive 5% or more revenue from tobacco
production, and companies that derive 15% or more aggregate
revenue from the manufacture, distribution, retailing, licensing, andsupply of tobacco products.
Exposure to companies in violation of the UN Global Compact (UNGC)
principles, in accordance with the MSCI ESG Research methodology.
Exposure to companies involved in ESG controversies that areclassified as Red Flags (MSCI ESG Controversy Score of 0). A Red Flag
indicates an ongoing Very Severe ESG controversy implicating acompany directly through its actions, products, or operations.
Weighted average Scope 1, Scope 2 and Scope 3 carbon emissions
intensity normalized by sales. (Unit: tons of CO2e / million $ of sales).

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 20243

Calculation of Metrics

3.1

Data Used for the Calculation
The calculation of index level ESG metrics use the following data:•

Index security weights as of the close of the last weekday of the month. The
weights do not take into account changes to be effective after the last weekdayof the month.

•Company ratings and research provided by MSCI ESG Research5 as of the last
weekday of the month.

•Global Industry Classification Standard (GICS®) classification of companies as ofthe last weekday of the month.

•

Fundamental data of companies as of the last weekday of the month6 7.

The metrics for an MSCI index are generally calculated based on security data forthat index.
However, for the following MSCI indexes the metrics are calculated based on
security data for the “parent index” or “underlying index”8.
•

MSCI Hedged Indexes•

MSCI Daily Hedged Indexes9•

MSCI Adaptive Hedged Indexes•

MSCI Cross Hedged Indexes•

MSCI Dividend Point Indexes•

MSCI Risk Control Indexes7

5 See section 5 for further information regarding ESG and climate data used that MSCI Limited sources fromMSCI ESG Research LLC, a separate subsidiary of MSCI Inc. MSCI ESG Research is solely responsible for thecreation, determination and management of such data.
6 For more information, please refer to the MSCI Fundamental Data Methodology available at:https://www.msci.com/index-methodology
7 MSCI uses the latest available Enterprise Value Including Cash (EVIC) data as of the last weekday of themonth for the calculation of index level ESG metrics. Please note that the EVIC data used for such calculation
may not be the same as the EVIC data that is simultaneously provided by MSCI ESG Research, as there exists a
lag between the time the data is available for use in the calculation of index level ESG metrics and the time it isdistributed by MSCI ESG Research.
8 For more information, please refer to the respective index methodology books available at:https://www.msci.com/index-methodology
9 ESG metrics disclosed only for MSCI indexes that pursue ESG objectives.

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3.2•

MSCI Decrement Indexes7•

MSCI Short & Leveraged Indexes7, 10

Calculation Details and FormulasThis section shows how the different data (index security weights, ESG data, GICS®
classification, Fundamental data) is combined and aggregated to derive each of theindex level ESG metrics.
ESG data from MSCI ESG Research is displayed in upper characters. The detailed
definition of each ESG datapoint is provided in Appendix 1.

3.2.1 Benchmark Regulation Metrics
3.2.1.1

Equity and Corporate Bond Indexes
Metric Name
Board Gender
Diversity %Metric Calculation𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐶𝑂𝑅𝑃_𝐺𝑂𝑉_𝑃𝐶𝑇_𝑊𝑂𝑀𝐸𝑁_𝐵𝑂𝐴𝑅𝐷𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with female board members percentage available• Weighti = closing index weight for security i• CORP_GOV_PCT_WOMEN_BOARDi = Female board members
percentage of security i’s issuer
Board
Independence(Weighted
Average)%

Bribery &Corruption
Controversies
(Sum)

𝑛

𝑛

∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐵𝑂𝐴𝑅𝐷_𝐼𝑁𝐷𝐸𝑃_𝑃𝐶𝑇𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with Board independence percentage available• Weighti = closing index weight for security i• BOARD_INDEP_PCTi = Board independence percentage of security i’s
issuer𝑛∑(𝐶𝑂𝑁𝑇𝑅_𝐵𝑅𝐼𝑅_𝐶𝑂𝑅𝑅𝑈𝑃_𝑁_𝑇𝑂𝑇𝐴𝐿𝑖 )𝑖=1

Where:• i = index issuer (i.e., issuer with at least one index constituent
security included in the index)• TRIRi = Total bribery and correction controversy cases of issuer i

10 For indexes that combine long and short positions, the metrics are calculated based on security data for thelong component index.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

𝑛

Controversial
Weapons %𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐶𝑜𝑛𝑡𝑟𝑜𝑣𝑒𝑟𝑠𝑖𝑎𝑙 𝑊𝑒𝑎𝑝𝑜𝑛𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )𝑖=1

Decarbonization%

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• Controversial Weapons Factori = Controversial weapons factor for
security io Equals to 1 if security i has ties to controversial weapons(CWEAP_TIEi = ‘True’), otherwise equals to 0
This metric is calculated at each Semi-Annual Index Review of the index.
The metric is not updated between Semi-Annual Index Reviews.
2

𝑊𝑡 (𝑡−1)( )𝑊1

Where:• t = number of Semi-Annual Index Reviews since the index Base Date
• Wt = Enterprise Carbon Intensity (t CO2/$M EVIC) as of t
• W1 = Enterprise Carbon Intensity (t CO2/$M EVIC) as of index Base
Date
Enterprise Carbon
Intensity𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖
𝑖=1

× (𝐶𝐴𝑅𝐵𝑂𝑁_𝐸𝑀𝐼𝑆𝑆𝐼𝑂𝑁𝑆_𝑆𝐶𝑂𝑃𝐸_12𝑖 + 𝐶𝐴𝑅𝐵𝑂𝑁_𝐸𝑀𝐼𝑆𝑆𝐼𝑂𝑁𝑆_𝑆𝐶𝑂𝑃𝐸_3_𝑇𝑂𝑇𝐴𝐿𝑖 )𝑛/ 𝐸𝑉𝐼𝐶𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )𝑖=1

Where:• i = index security with both Carbon emissions (scope 1, 2 and 3) and
EVIC available• Weighti = closing index weight for security i• CARBON_EMISSIONS_SCOPE_12i = scope 1 and 2 carbon emissionsof security i’s issuer (in t CO2)
• CARBON_EMISSIONS_SCOPE_3_TOTALi = Estimated scope 3
emissions (total) as defined by the Greenhouse Gas Protocol (in t
CO2) of security i’s issuer• EVICi = Company enterprise value including cash for security i’s
issuer (in USD million)
Environmental
Pillar Score𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐸𝑁𝑉𝐼𝑅𝑂𝑁𝑀𝐸𝑁𝑇𝐴𝐿_𝑃𝐼𝐿𝐿𝐴𝑅_𝑊𝐸𝐼𝐺𝐻𝑇𝑖
𝑖=1

× 𝐸𝑁𝑉𝐼𝑅𝑂𝑁𝑀𝐸𝑁𝑇𝐴𝐿_𝑃𝐼𝐿𝐿𝐴𝑅_𝑆𝐶𝑂𝑅𝐸𝑖 )𝑛/ ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐸𝑁𝑉𝐼𝑅𝑂𝑁𝑀𝐸𝑁𝑇𝐴𝐿_𝑃𝐼𝐿𝐿𝐴𝑅_𝑊𝐸𝐼𝐺𝐻𝑇𝑖 )𝑖=1

Where:© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

•
•
•

•

i = index security with Environmental Pillar Score available
Weighti = closing index weight for security i
ENVIRONMENTAL_PILLAR_WEIGHTi = Environmental pillar weight of
security i
ENVIRONMENTAL_PILLAR_SCOREi = Environmental pillar score of
security i𝑛

ESG Score𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐼𝑁𝐷𝑈𝑆𝑇𝑅𝑌_𝐴𝐷𝐽𝑈𝑆𝑇𝐸𝐷_𝑆𝐶𝑂𝑅𝐸𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with ESG score available• Weighti = closing index weight for security i• INDUSTRY_ADJUSTED_SCOREi = ESG score of security i𝑛Estimated
Emissions %∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐸𝑠𝑡𝑖𝑚𝑎𝑡𝑒𝑑 𝐸𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 )𝑖=1

Where:

Female: Male
Board Diversity
Ratio %•

i = index security•

Weighti = closing index weight for security i•

Estimated Emissions Factori = estimated emissions factor for
security i•

Equals to 1 if security i’s issuer has estimated emissions(CARBON_EMISSIONS_SCOPE_12_KEYi <> ‘Reported’), otherwise
equals to 0𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐶𝑂𝑅𝑃_𝐺𝑂𝑉_𝑃𝐶𝑇_𝑊𝑂𝑀𝐸𝑁_𝐵𝑂𝐴𝑅𝐷𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with female board members percentage available• Weighti = closing index weight for security i• CORP_GOV_PCT_WOMEN_BOARDi = Female board members
percentage of security i’s issuer
Fossil Fuel-Based
Sector Exposure(NACE) %𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐹𝐹 𝑆𝑒𝑐𝑡𝑜𝑟 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• FF Sector Factori = fossil fuel-based sector factor for security i© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Equals to 1 if security i has a GICS® classification thatindicates fossil fuel-based sector exposure, otherwise
equals to 0
On each date that the calculation is performed, the set of GICS® SubIndustries that indicate fossil fuel-based sector exposure is derived asfollows:• First, the fossil fuel-based sector classifications as defined by the EU
Delegated Act (i.e., NACE classifications from Divisions 05 to 09, 19
and 20 of Annex I to Regulation (EC) No 1893/2006) are mapped to
the GICS® Sub-Industries using the GICS® to NACE mapping11• Second, the mapped GICS® Sub-Industries are filtered to remove
GICS® Sub-Industries with more than 80% weight in the Solutions
and Neutral categories of the Low Carbon Transition framework
The 80% threshold will be reviewed and adjusted as necessary each time
there is a relevant change in the GICS® and/or NACE methodologies ormapping, or a change in the Low Carbon Transition methodology.
o𝑛Gender Pay Gap%𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐺𝐸𝑁𝐷𝐸𝑅 𝑃𝐴𝑌 𝐺𝐴𝑃 𝑅𝐴𝑇𝐼𝑂𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with gender pay gap ratio available• Weighti = closing index weight for security i• GENDER PAY GAP RATIOi = Gender pay gap ratio (as defined in
section 2.1) for security i’s issuer
Governance Pillar
Score

𝑛

∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐺𝑂𝑉𝐸𝑅𝑁𝐴𝑁𝐶𝐸_𝑃𝐼𝐿𝐿𝐴𝑅_𝑊𝐸𝐼𝐺𝐻𝑇𝑖
𝑖=1

× 𝐺𝑂𝑉𝐸𝑅𝑁𝐴𝑁𝐶𝐸_𝑃𝐼𝐿𝐿𝐴𝑅_𝑆𝐶𝑂𝑅𝐸𝑖 )𝑛/ ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐺𝑂𝑉𝐸𝑅𝑁𝐴𝑁𝐶𝐸_𝑃𝐼𝐿𝐿𝐴𝑅_𝑊𝐸𝐼𝐺𝐻𝑇𝑖 )𝑖=1

Where:• i = index security with Governance Pillar Score available• Weighti = closing index weight for security i• GOVERNANCE_PILLAR_WEIGHTi = Governance pillar weight of
security i• GOVERNANCE_PILLAR_SCOREi = Governance pillar score of security i
Green Bonds %This metric is calculated for MSCI Fixed Income Indexes only.

11 This mapping is available in the Handbook of Climate Transition Benchmarks, Paris-Aligned Benchmark andBenchmarks’ ESG Disclosures. Please note that the mapping does not reflect changes in the GICS structure thatwere implemented in the MSCI indexes on June 1, 2023.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐺𝑟𝑒𝑒𝑛 𝐵𝑜𝑛𝑑 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• Green Bond Factori = Green bond factor for security io Equals to 1 if security i meets the relevant green bondcriteria (GB_ELIGIBLEi = ‘True’), otherwise equals to 0
Green Capex%𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑅𝐸𝑁𝐸𝑊_𝐸𝑁𝐸𝑅𝐺𝑌_𝐶𝐴𝑃𝐸𝑋_𝑉𝑆_𝑇𝑂𝑇𝐴𝐿_𝐶𝐴𝑃𝐸𝑋_𝑃𝐶𝑇𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• RENEW_ENERGY_CAPEX_VS_TOTAL_CAPEX_PCTi = Capital
expenditure in renewable power generation assets as a proportion of
total company capital expenditure for security i𝑛Green Revenues%∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐶𝑇_𝑇𝑂𝑇𝐴𝐿_𝑀𝐴𝑋_𝑅𝐸𝑉𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• CT_TOTAL_MAX_REVi = Clean tech revenue for security iHigh Climate
Impact Sector
Exposure %𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐻𝑖𝑔ℎ 𝐶𝑙𝑖𝑚𝑎𝑡𝑒 𝐼𝑚𝑝𝑎𝑐𝑡 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• High Climate Impact Factori = High climate impact factor for securityio Equals to 1 if security i has a GICS® classification thatindicates High climate impact sector exposure, otherwise
equals to 0
o To determine if a GICS® classification indicates High climate
impact sector exposure, the High climate impact sector
classifications as defined by the EU Delegated Act (i.e.,
NACE sectors listed in Sections A to H and Section L of
Annex I to Regulation (EC) No 1893/2006) are mapped to© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

the GICS® Sub-Industries using the GICS® to NACE
mapping12
𝑛Lack of Due
Diligence Policy(ILO)%

𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐼𝐿𝑂 𝐷𝑢𝑒 𝐷𝑖𝑙𝑖𝑔𝑒𝑛𝑐𝑒 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• ILO Due Diligence Factori = ILO due diligence factor for security io Equals to 1 if security i’s issuer does not have due diligencepolicies on labor issues addressed by the fundamental ILO
Conventions 1 to 8, otherwise:▪ Equity to 1 if LABOR_POLICY_INTL_RECOGNIZED_Mi= ‘No’, otherwise equals to 0
Overlap between
the benchmark
and its investable
universe (using
the active shareat asset level)
Physical Risk
Climate VaR%𝑛[∑ 𝐴𝑏𝑠 (𝑊𝑒𝑖𝑔ℎ𝑡 𝑃𝑎𝑟𝑒𝑛𝑡𝑖 − 𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )] ⁄ 2
𝑖=1

Where:• i = index security of parent index• Weight Parenti = parent index closing index weight for security i• Weighti = closing index weight for security i𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑃𝐻𝑌𝑆𝐼𝐶𝐴𝐿 𝑅𝐼𝑆𝐾 𝐶𝐿𝐼𝑀𝐴𝑇𝐸 𝑉𝐴𝑅𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with extreme weather Climate VaR available• Weighti = closing index weight for security i• PHYSICAL RISK CLIMATE VARi = extreme weather Climate VaR –aggressive scenario (as defined in section 2.1) for security i
Reported
Emissions %𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑅𝑒𝑝𝑜𝑟𝑡𝑒𝑑 𝐸𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• Reported Emissions Factori = reported emissions factor for security io Equals to 1 if security i’s issuer has reported emissions(CARBON_EMISSIONS_SCOPE_12_KEYi = ‘Reported’),otherwise equals to 0
12 This mapping is available in the Handbook of Climate Transition Benchmarks, Paris-Aligned Benchmark andBenchmarks’ ESG Disclosures. Please note that the mapping does not reflect changes in the GICS structure thatwere implemented in the MSCI indexes on June 1, 2023.

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Social Pillar
Score

𝑛

∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑆𝑂𝐶𝐼𝐴𝐿_𝑃𝐼𝐿𝐿𝐴𝑅_𝑊𝐸𝐼𝐺𝐻𝑇𝑖 × 𝑆𝑂𝐶𝐼𝐴𝐿_𝑃𝐼𝐿𝐿𝐴𝑅_𝑆𝐶𝑂𝑅𝐸𝑖 )𝑖=1𝑛/ ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑆𝑂𝐶𝐼𝐴𝐿_𝑃𝐼𝐿𝐿𝐴𝑅_𝑊𝐸𝐼𝐺𝐻𝑇𝑖 )𝑖=1

Where:• i = index security with Social Pillar Score available• Weighti = closing index weight for security i• SOCIAL_PILLAR_WEIGHTi = Social pillar weight of security i• SOCIAL_PILLAR_SCOREi = Social pillar score of security i𝑛Social Violation(Count)∑(𝑆𝑜𝑐𝑖𝑎𝑙 𝑉𝑖𝑜𝑙𝑎𝑡𝑖𝑜𝑛𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 )𝑖=1

Where:• i = index security• Social Violations Factori = Social violations factor for security io Equals to 1 if security i has Red Flag social controversies(SOCIAL_CONTROVERSY_SCOREi = 0), otherwise equals to 0𝑛Social Violation(% Constituents)𝑛∑(𝑆𝑜𝑐𝑖𝑎𝑙 𝑉𝑖𝑜𝑙𝑎𝑡𝑖𝑜𝑛𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 )⁄∑(𝑖)
𝑖=1

𝑖=1

Where:• i = index security• Social Violations Factori = Social violations factor for security io Equals to 1 if security i has Red Flag social controversies(SOCIAL_CONTROVERSY_SCOREi = 0), otherwise equals to 0
Tobaccoinvolvement
Highly Restrictive%

Total Recordable
Injury Rate%𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑇𝑜𝑏𝑎𝑐𝑐𝑜 𝐻𝑖𝑔ℎ𝑙𝑦 𝑅𝑒𝑠𝑡𝑟𝑖𝑐𝑡𝑖𝑣𝑒 𝑆𝑐𝑟𝑒𝑒𝑛𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• Tobacco Highly Restrictive Screeni = Screening status for security io Equals to 1 if security i is screened for Tobacco Involvementat Highly Restrictive level (TOB_PRODUCERi = ‘True’ or
TOB_MAX_REV_PCTi >= 5), otherwise equals to 0𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑇𝑅𝐼𝑅𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with total recordable injury rate available• Weighti = closing index weight for security i• TRIRi = Total recordable injury rate per million hours worked (asdefined in section 2.1) for security i’s issuer© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

3.2.1.2

Sovereign Bond Indexes
Metric Name
International
Convention
Signatory (%) Sovereign

Metric Calculation𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑆𝑖𝑔𝑛𝑎𝑡𝑜𝑟𝑦 𝐶𝑜𝑛𝑣𝑒𝑛𝑡𝑖𝑜𝑛 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• Signatory Convention Factori = Signatory Convention Factor for
security i equals to 1 if security i meets at least 7 of the followinginternational conventions, otherwise equals to 0
▪ Basel Convention (GOVERNMENT_BASEL_CONVENTION =“Yes” or “Yes, but did not subscribe to Nagoya Supplement”)▪

Biological Diversity Convention(GOVERNMENT_CONV_BIO_DIVERSITY = “Yes” or “Yes, but
did not subscribe to Nagoya Supplement”)▪

Convention on International Trade in Endangered Species ofWild Fauna and Flora(GOVERNMENT_CONV_ENDANGERED_SPECIES = “Yes” or“Yes, but did not subscribe to Nagoya Supplement”)▪

Kyoto Protocol (GOVERNMENT_KYOTO_PROTOCOL = “Yes”
or “Yes, but did not subscribe to Nagoya Supplement”)▪

Anti-Personnel Landmines Convention(GOVERNMENT_MINE_BAN_TREATY = “Yes” or “Yes, but did
not subscribe to Nagoya Supplement”)▪

Biological Weapon Convention(GOVERNMENT_BIO_WEAPONS = “Yes” or “Yes, but did not
subscribe to Nagoya Supplement”)▪

Chemical Weapon Convention(GOVERNMENT_CHEM_WEAPONS = “Yes” or “Yes, but did
not subscribe to Nagoya Supplement”)▪

Convention against Torture and other cruel, inhuman ordegrading treatment or punishment(GOVERNMENT_CONV_TORTURE = “Yes” or “Yes, but did not
subscribe to Nagoya Supplement”)© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Wtd Avg GHG
Intensity (t/USD
million GDP
nominal) Sovereign▪

Convention on Certain Conventional Weapons(GOVERNMENT_CONVENTIONAL_WEAPONS = “Yes” or“Yes, but did not subscribe to Nagoya Supplement”)▪

Convention on Cluster Munitions(GOVERNMENT_CLUSTER_MUNITIONS = “Yes” or “Yes, but
did not subscribe to Nagoya Supplement”)▪

Convention for the protection of all persons from enforced
disappearance (GOVERNMENT_CONV_PROTECT_PERSONS= “Yes” or “Yes, but did not subscribe to Nagoya
Supplement”)▪

United Nations Convention against Corruption(GOVERNMENT_UN_CONVEN_CORRUP = “Yes” or “Yes, but
did not subscribe to Nagoya Supplement”)▪

United Nations Convention against Transnational Orgnized
Crime (GOVERNMENT_UN_CONVEN_CRIME = “Yes” or “Yes,but did not subscribe to Nagoya Supplement”)▪

World Health Organization Framework Convention on
Tobacco Control (GOVERNMENT_WHO_TOBACCO_CTRL =“Yes” or “Yes, but did not subscribe to Nagoya Supplement”)

𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖
𝑖=1

× CARBON_GOVERNMENT_GHG_INTENSITY_GDP_TONPERMN𝑖 )𝑛/ ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
CARBON_GOVERNMENT_GHG_INTENSITY_GDP_TONPERMN i =GHG intensity of security I (in tons per USD million GDP nominal).
Reported
Emissions (%) Sovereign
Estimated
Emissions (%) Sovereign

MSCI ESG Research only estimates the Carbon Emissions Intensity ofsovereign bonds and hence the reported emissions are always 0%𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐸𝑠𝑡𝑖𝑚𝑎𝑡𝑒𝑑 𝐸𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• Estimated Emissions Factori = estimated emissions factor for
security i equals to 1 if security i’s issuer has reported emissions© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

(CARBON_GOVERNMENT_GHG_INTENSITY_GDP_TONPERMNi is
not null), otherwise equals to 0𝑛Green Bonds (%) Sovereign𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐺𝑟𝑒𝑒𝑛 𝐵𝑜𝑛𝑑 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
Green Bond Factori = Green bond factor for security i equals to 1 if
security i meets the relevant green bond criteria (GB_ELIGIBLEi =‘True’), otherwise equals to 0𝑛Social Violations(Count) Sovereign∑(𝑆𝑜𝑐𝑖𝑎𝑙 𝑉𝑖𝑜𝑙𝑎𝑡𝑖𝑜𝑛𝑠 𝐼𝑠𝑠𝑢𝑒𝑟𝑖 )𝑖=1

Where:• i = unique index issuer•
Social Violations Factori = Social violations factor for issuer i equals
to 1 if issuer i is alleged to be involved in human rights violations andabuses subject to EU sanctions (GOVERNMENT_EU_SANCTIONSi =‘Yes’), otherwise equals to 0
Social Violations(% ofConstituents) Sovereign

Human Rights
Performance Sovereign𝑛𝑛∑(𝑆𝑜𝑐𝑖𝑎𝑙 𝑉𝑖𝑜𝑙𝑎𝑡𝑖𝑜𝑛𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 )⁄∑(𝑖)
𝑖=1

𝑖=1

Where:• i = unique index issuer•
Social Violations Factori = Social violations factor for issuer i equals
to 1 if issuer i is alleged to be involved in human rights violations andabuses subject to EU sanctions (GOVERNMENT_EU_SANCTIONSi =‘Yes’), otherwise equals to 0𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐺𝑂𝑉𝐸𝑅𝑁𝑀𝐸𝑁𝑇_𝐹𝑈𝑁𝐷𝐴𝑀𝐸𝑁𝑇𝐴𝐿_𝑅𝐼𝐺𝐻𝑇𝑆𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
𝐺𝑂𝑉𝐸𝑅𝑁𝑀𝐸𝑁𝑇_𝐹𝑈𝑁𝐷𝐴𝑀𝐸𝑁𝑇𝐴𝐿_𝑅𝐼𝐺𝐻𝑇𝑆 i = WJP Rule of Law Index,
Fundamental Rights Sub-score for security i
Income Inequality
Score - Sovereign𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐺𝑂𝑉𝐸𝑅𝑁𝑀𝐸𝑁𝑇_𝑅𝐴𝑊_𝐺𝐼𝑁𝐼𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024•

𝐺𝑂𝑉𝐸𝑅𝑁𝑀𝐸𝑁𝑇_𝑅𝐴𝑊_𝐺𝐼𝑁𝐼 i = GINI Index for security i𝑛Press Freedom
Sovereign Score Sovereign𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐺𝑂𝑉𝐸𝑅𝑁𝑀𝐸𝑁𝑇_𝑅𝐴𝑊_𝑃𝑅𝐸𝑆𝑆_𝐹𝑅𝐸𝐸𝐷𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
𝐺𝑂𝑉𝐸𝑅𝑁𝑀𝐸𝑁𝑇_𝑅𝐴𝑊_𝑃𝑅𝐸𝑆𝑆_𝐹𝑅𝐸𝐸𝐷 i = World Press Freedom Index for
security i
Corruption Score- Sovereign𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐺𝑂𝑉𝐸𝑅𝑁𝑀𝐸𝑁𝑇_𝑅𝐴𝑊_𝐶𝑂𝑅𝑅_𝑃𝐸𝑅𝐶_𝐼𝑁𝐷𝐸𝑋𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
𝐺𝑂𝑉𝐸𝑅𝑁𝑀𝐸𝑁𝑇_𝑅𝐴𝑊_𝐶𝑂𝑅𝑅_𝑃𝐸𝑅𝐶_𝐼𝑁𝐷𝐸𝑋 i = Corruption Perception
Index for security i
Stability & Peace
Score - Sovereign𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐺𝑂𝑉𝐸𝑅𝑁𝑀𝐸𝑁𝑇_𝑆𝑇𝐴𝐵𝐼𝐿𝐼𝑇𝑌_𝑃𝐸𝐴𝐶𝐸_𝑆𝐶𝑂𝑅𝐸𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
𝐺𝑂𝑉𝐸𝑅𝑁𝑀𝐸𝑁𝑇_𝑆𝑇𝐴𝐵𝐼𝐿𝐼𝑇𝑌_𝑃𝐸𝐴𝐶𝐸_𝑆𝐶𝑂𝑅𝐸 i = Stability & Peace Score forsecurity iRule of Law Score- Sovereign𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐺𝑂𝑉𝐸𝑅𝑁𝑀𝐸𝑁𝑇_𝑅𝐴𝑊_𝑅𝑈𝐿𝐸_𝑂𝐹_𝐿𝐴𝑊𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
𝐺𝑂𝑉𝐸𝑅𝑁𝑀𝐸𝑁𝑇_𝑅𝐴𝑊_𝑅𝑈𝐿𝐸_𝑂𝐹_𝐿𝐴𝑊 i = Rule of law Index for securityi© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

3.2.2 SFDR Mandatory Metrics (Equity and Corporate Bond Indexes)
Metric Name
Carbon Footprint(Scope 1+2+3)

Metric Calculation𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖
𝑖=1

× (𝐶𝐴𝑅𝐵𝑂𝑁_𝐸𝑀𝐼𝑆𝑆𝐼𝑂𝑁𝑆_𝑆𝐶𝑂𝑃𝐸_12𝑖 + 𝐶𝐴𝑅𝐵𝑂𝑁_𝐸𝑀𝐼𝑆𝑆𝐼𝑂𝑁𝑆_𝑆𝐶𝑂𝑃𝐸_3_𝑇𝑂𝑇𝐴𝐿𝑖 )𝑛/ 𝐸𝑉𝐼𝐶𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )𝑖=1

Where:• i = index security with both Carbon emissions (scope 1, 2 and 3) and
EVIC available• Weighti = closing index weight for security i• CARBON_EMISSIONS_SCOPE_12i = scope 1 and 2 carbon emissionsof security i’s issuer (in t CO2)
• CARBON_EMISSIONS_SCOPE_3_TOTALi = Estimated scope 3
emissions (total) as defined by the Greenhouse Gas Protocol (in t
CO2) of security i’s issuer• EVICi = Company enterprise value including cash for security i’s
issuer (in EUR million)
Carbon Footprint(Scope 1)𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × (𝐶𝐴𝑅𝐵𝑂𝑁_𝐸𝑀𝐼𝑆𝑆𝐼𝑂𝑁𝑆_𝑆𝐶𝑂𝑃𝐸_1𝑖 ) / 𝐸𝑉𝐼𝐶𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with both Carbon emissions (scope 1) and EVIC
available• Weighti = closing index weight for security i• CARBON_EMISSIONS_SCOPE_1i = scope 1 carbon emissions of
security i’s issuer (in t CO2)
• EVICi = Company enterprise value including cash for security i’s
issuer (in EUR million)
Carbon Footprint(Scope 2)𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × (𝐶𝐴𝑅𝐵𝑂𝑁_𝐸𝑀𝐼𝑆𝑆𝐼𝑂𝑁𝑆_𝑆𝐶𝑂𝑃𝐸_2𝑖 ) / 𝐸𝑉𝐼𝐶𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with both Carbon emissions (scope 2) and EVIC
available• Weighti = closing index weight for security i• CARBON_EMISSIONS_SCOPE_2i = scope 2 carbon emissions of
security i’s issuer (in t CO2)•
EVICi = Company enterprise value including cash for security i’s
issuer (in EUR million)© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Carbon Footprint(Scope 3)𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × ( 𝐶𝐴𝑅𝐵𝑂𝑁_𝐸𝑀𝐼𝑆𝑆𝐼𝑂𝑁𝑆_𝑆𝐶𝑂𝑃𝐸_3_𝑇𝑂𝑇𝐴𝐿𝑖 ) / 𝐸𝑉𝐼𝐶𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with both Carbon emissions (scope 3) and EVIC
available• Weighti = closing index weight for security i• CARBON_EMISSIONS_SCOPE_3_TOTALi = Estimated scope 3
emissions (total) as defined by the Greenhouse Gas Protocol (in t
CO2) of security i’s issuer•
EVICi = Company enterprise value including cash for security i’s
issuer (in EUR million)𝑛

Carbon Footprint(Scope 1+2)𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × (𝐶𝐴𝑅𝐵𝑂𝑁_𝐸𝑀𝐼𝑆𝑆𝐼𝑂𝑁𝑆_𝑆𝐶𝑂𝑃𝐸_12𝑖 ) / 𝐸𝑉𝐼𝐶𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with both Carbon emissions (scope 1 and 2) and
EVIC available• Weighti = closing index weight for security i• CARBON_EMISSIONS_SCOPE_12i = scope 1 and 2 carbon emissionsof security i’s issuer (in t CO2)•
EVICi = Company enterprise value including cash for security i’s
issuer (in EUR million)
GHG Intensity ofInvesteeCompanies𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖
𝑖=1

× (𝐶𝐴𝑅𝐵𝑂𝑁_𝐸𝑀𝐼𝑆𝑆𝐼𝑂𝑁𝑆_𝑆𝐶𝑂𝑃𝐸_12𝑖 + 𝐶𝐴𝑅𝐵𝑂𝑁_𝐸𝑀𝐼𝑆𝑆𝐼𝑂𝑁𝑆_𝑆𝐶𝑂𝑃𝐸_3_𝑇𝑂𝑇𝐴𝐿𝑖 )𝑛/ 𝑆𝐴𝐿𝐸𝑆𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )𝑖=1

Where:• i = index security with both Carbon emissions (scope 1, 2 and 3) andSales available• Weighti = closing index weight for security i• CARBON_EMISSIONS_SCOPE_12i = scope 1 and 2 carbon emissionsof security i’s issuer (in t CO2)
• CARBON_EMISSIONS_SCOPE_3_TOTALi = Estimated scope 3
emissions (total) as defined by the Greenhouse Gas Protocol (in t
CO2) of security i’s issuer• SALESi = Company sales for security i’s issuer (in EUR million)
Exposure tocompanies active
in fossil fuelsector %𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐴𝑐𝑡𝑖𝑣𝑒 𝐹𝑜𝑠𝑠𝑖𝑙 𝐹𝑢𝑒𝑙 𝑆𝑒𝑐𝑡𝑜𝑟 𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024•••

Share of nonrenewable energy
consumption andproduction %Energyconsumption
intensity per highimpact climate
sectori = index security
Weighti = closing index weight for security i
Active Fossil Fuel Sector Exposure Factori = Active Fossil Fuels
Sector Exposure factor for security io Equals to 1 if security i’s issuer has exposure to oil and gas
and thermal coal related revenue generating activities(ACTIVE_FF_SECTOR_EXPOSUREi = ‘True’), otherwise equals
to 0
𝑛

𝑛

∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑃𝐶𝑇_𝑁𝑂𝑁𝑅𝐸𝑁𝐸𝑊_𝐶𝑂𝑁𝑆𝑈𝑀𝑃_𝑃𝑅𝑂𝐷𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with % non-renewable energy consumption andproduction available• Weighti = closing index weight for security i• PCT_NONRENEW_CONSUMP_PROD i = Percentage of non-renewableenergy consumption and production of security i𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐸𝑁𝐸𝑅𝐺𝑌_𝐶𝑂𝑁𝑆𝑈𝑀𝑃_𝐼𝑁𝑇𝐸𝑁_𝐸𝑈𝑅𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security that belong to High Climate Impact sector• Weighti = renormalized closing index weight for security i, for subportfolio of all securities classified in High Climate Impact Sector
To determine if a GICS® classification indicates High climate impact
sector exposure, the High climate impact sector classifications as
defined by the EU Delegated Act (i.e., NACE sectors listed in Sections A
to H and Section L of Annex I to Regulation (EC) No 1893/2006) aremapped to the GICS® Sub-Industries using the GICS® to NACE
mapping13

Activities
negatively
affectingbiodiversity sensitive areas𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑁𝑒𝑔𝑎𝑡𝑖𝑣𝑒 𝐵𝑖𝑜𝑑𝑖𝑣𝑒𝑟𝑠𝑖𝑡𝑦 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• Negative Biodiversity Factori = Negative biodiversity factor for
security i

13 This mapping is available in the Handbook of Climate Transition Benchmarks, Paris-Aligned Benchmark andBenchmarks’ ESG Disclosures. Please note that the mapping does not reflect changes in the GICS structure thatwere implemented in the MSCI indexes on June 1, 2023.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024oEquals to 1 if security i’s issuer is involved in activities which
negatively affect biodiversity sensitive areas(OPS_PROT_BIODIV_CONTROVSi = ‘Yes’), otherwise equals to
0𝑛Emissions to
water

𝑛

∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × ( 𝑊𝐴𝑇𝐸𝑅_𝐸𝑀_𝐸𝐹𝐹_𝑀𝐸𝑇𝑅𝐼𝐶_𝑇𝑂𝑁𝑆𝑖 ) / 𝐸𝑉𝐼𝐶𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with both Emissions to water and EVIC available• Weighti = closing index weight for security i• WATER_EM_EFF_METRIC_TONSi = Total tons of pollutants released
to surface waters as a result of companies' operations• EVICi = Company enterprise value including cash for security i’s
issuer (in EUR million)𝑛Hazardous Waste
Ratio

𝑛

∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × ( 𝐻𝐴𝑍𝐴𝑅𝐷_𝑊𝐴𝑆𝑇𝐸_𝑀𝐸𝑇𝑅𝐼𝐶_𝑇𝑂𝑁𝑖 ) / 𝐸𝑉𝐼𝐶𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with both Emissions to water and EVIC available• Weighti = closing index weight for security i• HAZARD_WASTE_METRIC_TONi = Total hazardous waste (metrictons)• EVICi = Company enterprise value including cash for security i’s
issuer (in EUR million)
Violations of UN
Global Compact
principles andOrganisation for
Economic
Cooperation andDevelopment(OECD)
Guidelines forMultinational
Enterprises
Lack ofprocesses andcompliancemechanisms tomonitorcompliance withUN Global
Compact
principles andOECD Guidelines𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑉𝑒𝑟𝑦 𝑆𝑒𝑣𝑒𝑟𝑒 𝐶𝑜𝑛𝑡𝑟𝑜𝑣𝑒𝑟𝑠𝑖𝑒𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:•••

i = index security with ESG score available
Weighti = closing index weight for security i
Red Flag ESG Controversies Factori = Red Flag ESG controversies
factor for security io Equals to 1 if security i is flagged for a Red Flag ESG
controversy (OVERALL_FLAGi = ‘Red’), otherwise equals to 0𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑈𝑁𝐺𝐶 𝐶𝑜𝑚𝑝𝑙𝑖𝑎𝑛𝑐𝑒 𝑀𝑒𝑐ℎ𝑎𝑛𝑖𝑠𝑚𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• UNGC Compliance Mechanisms Factori = UNGC Compliancemechanisms factor for security io Equals to 1 if security i’s issuers with no evidence for being
signatory to the UN Global Compact and being required to© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 32 of 63

MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

for Multinational
Enterprises %monitor and report compliance with the UN Global Compact
principles (MECH_UN_GLOBAL_COMPACTi = ‘No evidence’),otherwise equals to 0𝑛

Unadjusted
Gender Pay Gap%𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐺𝐸𝑁𝐷𝐸𝑅 𝑃𝐴𝑌 𝐺𝐴𝑃 𝑅𝐴𝑇𝐼𝑂𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with gender pay gap ratio available• Weighti = closing index weight for security i• GENDER PAY GAP RATIOi = Gender pay gap ratio (as defined in
section 2.1) for security i’s issuer
Board Gender
Diversity %𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐶𝑂𝑅𝑃_𝐺𝑂𝑉_𝑃𝐶𝑇_𝑊𝑂𝑀𝐸𝑁_𝐵𝑂𝐴𝑅𝐷𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with female board members percentage available• Weighti = closing index weight for security i• CORP_GOV_PCT_WOMEN_BOARDi = Female board members
percentage of security i’s issuer
Exposure tocontroversial
weapons %𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑆𝐹𝐷𝑅 𝐶𝑜𝑛𝑡𝑟𝑜𝑣𝑒𝑟𝑠𝑖𝑎𝑙 𝑊𝑒𝑎𝑝𝑜𝑛𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• SFDR Controversial Weapons Factori = SFDR controversial weapons
factor for security io Equals to 1 if security i has ties to cluster munitions,landmines, biological/chemical weapons(CONTRO_WEAP_CBLMBW_ANYTIEi = ‘True’), otherwise
equals to 0

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

3.2.3 Other Metrics
Metric Name
1.5°C Aggregated
Policy Risk
Climate VaR %Metric Calculation𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑃𝑂𝐿𝐼𝐶𝑌 𝑅𝐼𝑆𝐾 𝐶𝐿𝐼𝑀𝐴𝑇𝐸 𝑉𝐴𝑅𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with policy risk Climate VaR available• Weighti = closing index weight for security i• POLICY RISK CLIMATE VARi = policy risk Climate VaR (as defined in
section 2.3) for security i
1.5°C Technology
Opportunity
Climate VaR %𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑇𝐸𝐶𝐻 𝑂𝑃𝑃 𝐶𝐿𝐼𝑀𝐴𝑇𝐸 𝑉𝐴𝑅𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with technology opportunity Climate VaR available• Weighti = closing index weight for security i• TECH OPP CLIMATE VARi = technology opportunity Climate VaR (asdefined in section 2.3) for security i
1.5°C AggregatedClimate VaR %Baseline Criteria
Test (% Fail)𝑃ℎ𝑦𝑠𝑖𝑐𝑎𝑙 𝑅𝑖𝑠𝑘 𝐶𝑙𝑖𝑚𝑎𝑡𝑒 𝑉𝑎𝑅 % + 1.5°𝐶 𝐴𝑔𝑔𝑟𝑒𝑔𝑎𝑡𝑒𝑑 𝑃𝑜𝑙𝑖𝑐𝑦 𝑅𝑖𝑠𝑘 𝐶𝑙𝑖𝑚𝑎𝑡𝑒 𝑉𝑎𝑅 %+ 1.5°𝐶 𝑇𝑒𝑐ℎ𝑛𝑜𝑙𝑜𝑔𝑦 𝑂𝑝𝑝𝑜𝑟𝑡𝑢𝑛𝑖𝑡𝑦 𝐶𝑙𝑖𝑚𝑎𝑡𝑒 𝑉𝑎𝑅 %𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐵𝑎𝑠𝑒𝑙𝑖𝑛𝑒 𝐶𝑟𝑖𝑡𝑒𝑟𝑖𝑎 𝐹𝑎𝑖𝑙 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• Baseline Criteria Fail Factori = Baseline Criteria test (%SI) factor for
security io Equals to 1 if security fails DNSH or Good Governancecriteria (EU_SI_DNSH_TEST <> ’Pass’ OR
EU_SI_GOOD_GOV_TEST <> ‘Pass’), otherwise equals to 0
Economic
Activities Test𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐸𝑐𝑜𝑛𝑜𝑚𝑖𝑐 𝐴𝑐𝑡𝑖𝑣𝑖𝑡𝑖𝑒𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• Economic Activities Factori = Economic Activities factor for security io Equals to 1 if security i has more than 20% revenues fromenvironmental or social themes(EU_SI_ECONOMIC_ACT_TEST = ‘Pass’), otherwise equals to0© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Estimated
Environmental
ImpactInvolvement (%)

𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐸𝑈_𝑆𝐼_𝐸𝑁𝑉_𝐼𝑀𝑃𝐴𝐶𝑇_𝑅𝐸𝑉𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• EU_SI_ENV_IMPACT_REVi = Estimated environmental Impact revenue
for security i𝑛Estimated EU
Taxonomy %Alignment∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐸𝑆𝑇_𝐸𝑈_𝑇𝐴𝑋𝑂𝑁𝑂𝑀𝑌_𝑀𝐴𝑋_𝑅𝐸𝑉𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• EST_EU_TAXONOMY_MAX_REVi = Estimated impact revenue forsecurity i
EU Taxonomy
Reported NonFinancial - Total
Aligned OpEx (%)

EU Taxonomy
Reported NonFinancial - Total
Aligned CapEx(%)

EU Taxonomy
Reported - Eligible
Aligned Gas
Turnover (%)

EU Taxonomy
Reported - Eligible𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑅𝐸𝑃_𝐸𝑈_𝑇𝐴𝑋𝑂𝑁𝑂𝑀𝑌_𝑂𝑃𝐸𝑋_𝐴𝐿𝐼𝐺𝑁𝐸𝐷𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
REP_EU_TAXONOMY_OPEX_ALIGNEDi = percentage of total
operational expenditure from aligned activities for security i𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑅𝐸𝑃_𝐸𝑈_𝑇𝐴𝑋𝑂𝑁𝑂𝑀𝑌_𝐶𝐴𝑃𝐸𝑋_𝐴𝐿𝐼𝐺𝑁𝐸𝐷𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
REP_EU_TAXONOMY_CAPEX_ALIGNEDi = Percentage of total capital
expenditure from aligned activities for security i𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑅𝐸𝑃_𝐸𝑈_𝑇𝐴𝑋𝑂𝑁𝑂𝑀𝑌_𝐸𝐿𝐼𝐺𝐼𝐵𝐿𝐸_𝐴𝐿𝐼𝐺𝑁𝐸𝐷_𝐺𝐴𝑆_𝑇𝑈𝑅𝑁𝑂𝑉𝐸𝑅𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
REP_EU_TAXONOMY_ELIGIBLE_ALIGNED_GAS_TURNOVERi =Percentage of Turnover aggregated to taxonomy eligible and aligned
gas activities for security i𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑅𝐸𝑃_𝐸𝑈_𝑇𝐴𝑋𝑂𝑁𝑂𝑀𝑌_𝐸𝐿𝐼𝐺𝐼𝐵𝐿𝐸_𝐴𝐿𝐼𝐺𝑁𝐸𝐷_𝐺𝐴𝑆_𝐶𝐴𝑃𝐸𝑋𝑖 )𝑖=1

Where:© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Aligned Gas
CapEx (%)••

i = index security
Weighti = closing index weight for security i
REP_EU_TAXONOMY_ELIGIBLE_ALIGNED_GAS_CAPEXi = Percentage
of total capital expenditure aggregated to taxonomy eligible andaligned gas activities for security i•

EU Taxonomy
Reported - Eligible
Aligned Gas OpEx(%)

EU Taxonomy
Reported - Eligible
Aligned Nuclear
Turnover (%)

EU Taxonomy
Reported - Eligible
Aligned Nuclear
CapEx (%)

EU Taxonomy
Reported - Eligible
Aligned Nuclear
OpEx (%)

𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑅𝐸𝑃_𝐸𝑈_𝑇𝐴𝑋𝑂𝑁𝑂𝑀𝑌_𝐸𝐿𝐼𝐺𝐼𝐵𝐿𝐸_𝐴𝐿𝐼𝐺𝑁𝐸𝐷_𝐺𝐴𝑆_𝑂𝑃𝐸𝑋𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
REP_EU_TAXONOMY_ELIGIBLE_ALIGNED_GAS_OPEXi = Percentage
of total operational expenditure aggregated to taxonomy eligible andaligned gas activities for security i𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑅𝐸𝑃_𝐸𝑈_𝑇𝐴𝑋𝑂𝑁𝑂𝑀𝑌_𝐸𝐿𝐼𝐺𝐼𝐵𝐿𝐸_𝐴𝐿𝐼𝐺𝑁𝐸𝐷_𝑁𝑈𝐶𝐿𝐸𝐴𝑅_𝑇𝑈𝑅𝑁𝑂𝑉𝐸𝑅𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
REP_EU_TAXONOMY_ELIGIBLE_ALIGNED_NUCLEAR_TURNOVERi =Percentage of Turnover aggregated to taxonomy eligible and aligned
nuclear activities for security i𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑅𝐸𝑃_𝐸𝑈_𝑇𝐴𝑋𝑂𝑁𝑂𝑀𝑌_𝐸𝐿𝐼𝐺𝐼𝐵𝐿𝐸_𝐴𝐿𝐼𝐺𝑁𝐸𝐷_𝑁𝑈𝐶𝐿𝐸𝐴𝑅_𝐶𝐴𝑃𝐸𝑋𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
REP_EU_TAXONOMY_ELIGIBLE_ALIGNED_NUCLEAR_CAPEXi =Percentage of total capital expenditure aggregated to taxonomy
eligible and aligned nuclear activities for security i𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑅𝐸𝑃_𝐸𝑈_𝑇𝐴𝑋𝑂𝑁𝑂𝑀𝑌_𝐸𝐿𝐼𝐺𝐼𝐵𝐿𝐸_𝐴𝐿𝐼𝐺𝑁𝐸𝐷_𝑁𝑈𝐶𝐿𝐸𝐴𝑅_𝑂𝑃𝐸𝑋𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i•
REP_EU_TAXONOMY_ELIGIBLE_ALIGNED_NUCLEAR_OPEXi =Percentage of total operational expenditure aggregated to taxonomy
eligible and aligned nuclear activities for security i© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024𝑛

Estimated Social
ImpactInvolvement (%)∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐸𝑈_𝑆𝐼_𝑆𝑂𝐶_𝐼𝑀𝑃𝐴𝐶𝑇_𝑅𝐸𝑉𝑖 )𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• EU_SI_SOC_IMPACT_REVi = Estimated social Impact revenue forsecurity i
Fossil Fuel
Reserves %𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝐹𝑜𝑠𝑠𝑖𝑙 𝐹𝑢𝑒𝑙 𝑅𝑒𝑠𝑒𝑟𝑣𝑒𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )𝑖=1

ImpliedTemperature Rise

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• Fossil Fuel Reserves Factori = Fossil Fuel Reserves factor for securityio Equals to 1 if security i’s issuer has evidence of owning
fossil fuel reserves used for energy applications(FF_RESERVES_ENERGY_APPLICATIONi = ‘True’), otherwise
equals to 0
Step 1: Compute “Ownership”
The ownership per index security ‘i’ is computed as follows:
Security Ownershipi = (Security Index Market Capitalizationi) / (EVICi)
Step 2: Compute Financed Budget
The financed budget per index security ‘i’ is computed as follows:
Financed Budgeti = Ownershipi * TOTAL_BUDGETi
Step 3: Compute Financed Overshoot
The financed overshoot per index security ‘i’ is computed as follows:
Financed Overshooti = Ownershipi * TOTAL_OVERSHOOTi
Step 4: Implied Temperature Rise

Using the financed overshoot and financed budget calculated in theabove steps, the Implied Temperature Rise of the index is calculated
as given below:
Implied Temperature Rise =𝐵𝐴𝑆𝐸_𝑇𝐸𝑀𝑃 +∑(𝑇𝐶𝑅𝐸 ∗ 𝐺𝐿𝑂𝐵𝐴𝐿_𝐵𝑈𝐷𝐺𝐸𝑇𝑟𝑒𝑓𝑒𝑟𝑒𝑛𝑐𝑒 𝑦𝑒𝑎𝑟,𝑖 ∗ 𝐹𝑖𝑛𝑎𝑛𝑐𝑒𝑑 𝑂𝑣𝑒𝑟𝑠ℎ𝑜𝑜𝑡𝑖 )𝑖∑ 𝐹𝑖𝑛𝑎𝑛𝑐𝑒𝑑 𝐵𝑢𝑑𝑔𝑒𝑡𝑠𝑖

Where:• i = index security• Security Index Market Capitalizationi = closing index market
capitalization for security i© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

•
•
•
•

•

EVICi = Company enterprise value including cash for security i’s
issuer (in USD)TOTAL_BUDGETi = Cumulative Net Zero 2050 Carbon Budget thatremains available for security i’s issuer
TOTAL_OVERSHOOTi = Projected GHG emission
overshoot/undershoot for security i’s issuer
GLOBAL_BUDGETrefernce year, i = The remaining total greenhouse gases
available globally to limit global warming to 1.55°C by 2050, forsecurity i’s issuer as of the reference year for which security i wascovered in the latest assessment.
TCRE = The Transient Response to Cumulative CO2 Emissions(TCRE) Factor defines the relationship between the absoluteadditional emissions and temperature increase.

Refer to Appendix 2 for more details.
𝑛Sustainable
Investment Test%𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑆𝑢𝑠𝑡𝑎𝑖𝑛𝑎𝑏𝑙𝑒 𝐼𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• Sustainable Investment Factori = Sustainable Investment (%SI) factor
for security io Equals to 1 if security i passes the Sustainable Investment
test (EU_SUSTAINABLE_INVESTMENT_SCREEN = ‘Pass’),
otherwise equals to 0
Tobaccoinvolvement
Moderately
Restrictive %Red Flag ESG
Controversies %𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑇𝑜𝑏𝑎𝑐𝑐𝑜 𝑀𝑜𝑑𝑒𝑟𝑎𝑡𝑒𝑙𝑦 𝑅𝑒𝑠𝑡𝑟𝑖𝑐𝑡𝑖𝑣𝑒 𝑆𝑐𝑟𝑒𝑒𝑛𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security• Weighti = closing index weight for security i• Tobacco Moderately Restrictive Screeni = Screening status forsecurity io Equals to 1 if security i is screened for Tobacco Involvement
at Moderately Restrictive level (TOB_PROD_MAX_REV_PCTi>= 5 or TOB_MAX_REV_PCTi >= 15), otherwise equals to 0𝑛𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑉𝑒𝑟𝑦 𝑆𝑒𝑣𝑒𝑟𝑒 𝐶𝑜𝑛𝑡𝑟𝑜𝑣𝑒𝑟𝑠𝑖𝑒𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with ESG score available• Weighti = closing index weight for security i© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024•

Red Flag ESG Controversies Factori = Red Flag ESG controversies
factor for security io Equals to 1 if security i is flagged for a Red Flag ESG
controversy (OVERALL_FLAGi = ‘Red’), otherwise equals to 0𝑛

UNGC Violations%𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 × 𝑈𝑁𝐺𝐶 𝑉𝑖𝑜𝑙𝑎𝑡𝑖𝑜𝑛𝑠 𝐹𝑎𝑐𝑡𝑜𝑟𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )
𝑖=1

𝑖=1

Where:• i = index security with ESG score available• Weighti = closing index weight for security i• UNGC Violations Factori = UN Global Compact violations factor for
security io Equals to 1 if security i fails to comply with UNGC principles(UNGC_COMPLIANCEi = ‘Fail’), otherwise equals to 0
Weighted
Average Carbon
Intensity (tCO2e/$M Sls)𝑛∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖
𝑖=1

× (𝐶𝐴𝑅𝐵𝑂𝑁_𝐸𝑀𝐼𝑆𝑆𝐼𝑂𝑁𝑆_𝑆𝐶𝑂𝑃𝐸_12𝑖 + 𝐶𝐴𝑅𝐵𝑂𝑁_𝐸𝑀𝐼𝑆𝑆𝐼𝑂𝑁𝑆_𝑆𝐶𝑂𝑃𝐸_3_𝑇𝑂𝑇𝐴𝐿𝑖 )𝑛/ 𝑆𝐴𝐿𝐸𝑆𝑖 ) / ∑(𝑊𝑒𝑖𝑔ℎ𝑡𝑖 )𝑖=1

Where:• i = index security with both Carbon emissions (scope 1, 2 and 3) andSales available• Weighti = closing index weight for security i• CARBON_EMISSIONS_SCOPE_12i = scope 1 and 2 carbon emissionsof security i’s issuer (in t CO2)
• CARBON_EMISSIONS_SCOPE_3_TOTALi = Estimated scope 3
emissions (total) as defined by the Greenhouse Gas Protocol (in t
CO2) of security i’s issuer• SALESi = Company sales for security i’s issuer (in USD million)

3.2.4 Percentage of Coverage
For each of the ESG and SFDR metrics, MSCI discloses the corresponding
percentage of coverage of the underlying ESG data used for the ESG metriccalculation.
The percentage of coverage is derived by dividing the number of index constituent
securities that have underlying ESG data available with the total number of index
constituent securities.
For example, the percentage of coverage for the ESG Score metric is calculated asfollows:© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑖𝑛𝑑𝑒𝑥 𝑐𝑜𝑛𝑠𝑡𝑖𝑡𝑢𝑒𝑛𝑡 𝑠𝑒𝑐𝑢𝑟𝑖𝑡𝑖𝑒𝑠 𝑤𝑖𝑡ℎ 𝐼𝑁𝐷𝑈𝑆𝑇𝑅𝑌_𝐴𝐷𝐽𝑈𝑆𝑇𝐸𝐷_𝑆𝐶𝑂𝑅𝐸 𝑎𝑣𝑎𝑖𝑙𝑎𝑏𝑙𝑒
𝑇𝑜𝑡𝑎𝑙 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑖𝑛𝑑𝑒𝑥 𝑐𝑜𝑛𝑠𝑡𝑖𝑡𝑢𝑒𝑛𝑡 𝑠𝑒𝑐𝑢𝑟𝑖𝑡𝑖𝑒𝑠
Where:•

INDUSTRY_ADJUSTED_SCOREi = ESG score of security i© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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4

Maintenance of Metrics

4.1

Ongoing Review and Publication
The ESG and SFDR metrics are calculated once a month using end of month data, as
described in section 3.1.

4.2

Correction Policy
In certain circumstances, such as errors in the calculation of the metrics or in the
input data used for the calculation, MSCI reserves the right to correct the ESG
metrics information, and in such case would release a relevant announcement
accordingly.

© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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5

MSCI ESG Research
The following MSCI ESG Research products are used for the calculation of ESG
metrics: MSCI ESG Ratings, MSCI ESG Controversies, MSCI ESG BusinessInvolvement Screening Research, MSCI Climate Change Metrics and MSCI ESG
Sustainable Impact Metrics.
For details on MSCI ESG Research’s full suite of ESG products, please refer to:https://www.msci.com/esg-investing.

5.1

MSCI ESG Ratings
MSCI ESG Ratings aim to measure entities’ management of environmental, socialand governance risks and opportunities. MSCI ESG Ratings use a weighted average
key issue calculation that is normalized by industry to arrive at an industry-adjusted
ESG score (0-10), which is then translated to a seven-point scale from ‘AAA’ to ‘CCC’,
indicating how an entity manages relevant key issues relative to industry peers.
The MSCI ESG Ratings methodology can be found at: https://www.msci.com/esgand-climate-methodologies.

5.2

MSCI ESG Controversies
MSCI ESG Controversies provide assessments of controversies concerning thepotential negative environmental, social, and/or governance impact of company
operations, products and services. The evaluation framework used in MSCI ESG
Controversies is designed to be consistent with international norms represented by
the UN Declaration of Human Rights, the ILO Declaration on Fundamental Principles
and Rights at Work, and the UN Global Compact. MSCI ESG Controversies Score falls
on a 0-10 scale, with “0” being the most severe controversy.
The MSCI ESG Controversies methodology can be found at:https://www.msci.com/esg-and-climate-methodologies.

5.3

MSCI ESG Business Involvement Screening Research
MSCI ESG Business Involvement Screening Research (BISR) aims to enableinstitutional investors to manage environmental, social and governance (ESG)
standards and restrictions reliably and efficiently.
For more details on MSCI ESG Business Involvement Screening Research, pleaserefer to http://www.msci.com/resources/factsheets/MSCI_ESG_BISR.pdf.

© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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5.4

MSCI Climate Change Metrics
MSCI Climate Change Metrics provide climate data & tools to support institutional
investors seeking to integrate climate risk & opportunities into their investment
strategy and processes. This includes investors seeking to achieve a range ofobjectives, including measuring and reporting on climate risk exposure,
implementing low carbon and fossil fuel-free strategies, alignment with temperature
pathways and factoring climate change research into their risk management
processes, in particular through climate scenario analysis for both transition andphysical risks.
The dataset spans across the four dimensions of a climate strategy: transition risks,
green opportunities, physical risks and 1.5° alignment.
For more details on MSCI Climate Change Metrics, please refer tohttps://www.msci.com/climate-change-solutions.

5.5

MSCI Impact Solutions: Sustainable Impact Metrics
MSCI Impact Solutions’ Sustainable Impact Metrics is designed to identify
companies that derive revenue from products or services with positive impact onsociety and the environment. The Sustainable Impact Metrics are comprised of six
Environmental Impact categories and seven Social Impact categories arranged bytheme.

MSCI Sustainable Impact Taxonomy
PillarEnvironmental
Impact

ThemesClimate Change

Natural capitalSocial Impact

Basic needs

Empowerment

Categories
1. Alternative energy
2. Energy efficiency
3. Green building
4. Sustainable water
5. Pollution prevention
6. Sustainable agriculture
7. Nutrition
8. Major Disease Treatment
9. Sanitation
10. Affordable Real Estate
11. SME Finance
12. Education
13. Connectivity – Digital divide

Under each of the actionable environmental and social impact themes, MSCI ESG
Research has identified specific categories of products and services that it has© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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determined companies can offer as potential solutions to environmental and social
challenges.
More detailed taxonomy for each category can be found in Section 2.4 of the MSCIACWI Sustainable Impact Index Methodology available athttps://www.msci.com/index-methodology© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Appendix 1: ESG Data Definitions
The list of ESG datapoints (“Factors”) provided by MSCI ESG Research and used forthe calculation of index level ESG metrics is provided below.

Field Name (Column
Header)

Factor Name

Factor Description

ACTIVE_FF_SECTOR_EXPOSURE

Active Fossil Fuel Sector
Exposure

BASE_TEMPBase Temperature of theReference Scenario [°C]

BOARD_INDEP_PCT

Board Independence
Percentage

CARBON_EMISSIONS_SCOPE_12

Carbon Emissions - Scope 1+2(metric tons)

CARBON_EMISSIONS_SCOPE_3_TOTAL

Carbon Emissions Scope 3 Total Emissions EstimatedCompany’s exposure to oil and gas
and thermal coal related revenue
generating activities. Metric does
not include revenue generating
activities from metallurgical coal,and storage and transportation ofcoal.
The Base Temperature of theReference Scenario describes thedegrees Celsius global mean
average surface warming (in the year
2100 or later) according to the NGFS
reference scenario used in the
Implied Temperature Rise model.
The percentage of board membersthat meet our designated criteria for
independence. For companies with a
two-tier board, the calculation isbased on members of theSupervisory Board only.
This figure represents the company's
most recently reported or estimatedScope 1 + Scope 2 greenhouse gas
emissions (if available). Scope 1
emissions are those from sources
owned or controlled by the company,
typically direct combustion of fuel as
in a furnace or vehicle. Scope 2
emissions are those caused by thegeneration of electricity purchasedby the company.
Estimated scope 3 emissions (total)
as defined by the Greenhouse Gas
Protocol [tCO2e/yr].

CARBON_EMISSIONS_SCOPE_12_KEY

Carbon Emissions - Scope 1+2
KEY

CARBON_GOVERNMENT_GH
G_INTENSITY_GDP_TONPERMN

GHG intensity (t/USD million G
DP nominal)This field indicates whether the
Scope 1 + 2 emissions figure wasreported by the company or
estimated. See the Carbon
Estimation Methodology for details.
This data point represents GHG inten
sity of an economy (in tons per USD
million GDP nominal). The higher thevalue the more carbon intensive theeconomy is. Six greenhouse gases, considered under Kyoto Protocol, are© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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CONTRO_WEAP_CBLMBW_ANYTIE

Exposure to controversial
weapons (landmines, cluster
munitions, chemical weapons
and biological weapons)

CONTR_BRIB_CORRUPT_N_
TOTAL

Total number of Bribery andCorruption Controversies

CORP_GOV_PCT_WOMEN_
BOARD

Corporate Governance
Percentage of Women on the
Board
Environmental Impact
Solutions - Maximum
Percentage of Revenue

CT_TOTAL_MAX_REVCWEAP_TIE

Controversial Weapons - Any
Tie

ENERGY_CONSUMP_INTEN_EUR
ENVIRONMENTAL_PILLAR_
SCORE

Energy consumption intensity(GWh / EUR million sales)
Environmental Pillar Score

ENVIRONMENTAL_PILLAR_
WEIGHT

Environmental Pillar Weight

EST_EU_TAXONOMY_MAX_R
EV

Estimated EU Taxonomy
Alignment - Maximum
Percentage of Revenue

considered for this data point. These
gases are carbon dioxide, methane,
nitrous oxide, hydrofluorocarbons, perfluorocarbons, and sulfur hexafluor
ide. GDP is in nominal terms. (Sourc
es: EDGAR, WDI). The unit used is ali
gned with the one for corporates intensity data (Scope 1+2 Intensity (t/US
D million sales))Company has an industry tie tolandmines, cluster munitions,chemical weapons or biologicalweapons. Note: industry tie includes
ownership, manufacture orinvestment. Landmines do notinclude related safety products.
Total number of controversy casesin last three years related tocompany's involvement in: Bribery &corruption issues.
This figure indicates the number ofwomen on the board as apercentage of total board members.
This field represents the total of allrevenues derived from any of the six
environmental impact themes
including alternative energy, energy
efficiency, green building, pollution
prevention, sustainable water, or
sustainable agriculture.
Companies that have any ties tocluster munitions, landmines,
biological / chemical weapons,
depleted uranium weapons, blinding
laser weapons, incendiary weapons,
and/or non-detectable fragments.
Energy consumption (GwH) per
million EUR revenue
The Environmental Pillar Score
represents the weighted average of
all Key Issues that fall under theEnvironment Pillar.
The Environmental Pillar Weight
represents the sum of the weights of
all Key Issues that fall under theEnvironment Pillar.
Estimated EU Taxonomy Alignment Maximum Percentage of
Revenue indicates a company’s
estimated maximum percent ofrevenue from products and services
addressing environmental
objectives, based on the MSCI
Sustainable Impact Metrics© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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EU_SI_DNSH_TESTEU Sustainable Investment –DNSH Test

EU_SI_ECONOMIC_ACT_TESTEU Sustainable Investment –Economic Activities Test

EU_SI_ENV_IMPACT_REVEU Sustainable Investment –Environnemental Impact
Revenueframework. Companies with Red andOrange Flag environmental
controversies, and Red Flag socialand governance controversies are
excluded from the list as failing tomeet the Do No Significant Harmand Minimum Social Safeguards
criteria of the EU Taxonomy. Also
excluded are tobacco
producers; companies generating 5%
or more of revenue from supply,
distribution, or retail of tobacco
products; and companies withany involvement in controversial
weapons.
Signals if the company passes or
fails MSCI ESG Research’s criteria
for the SFDR article 2 (17) “do no
significant harm”. Pass indicates thecompany has no ties to controversial
weapons, less than 1% of revenue
from thermal coal, less than 5% ofrevenue from tobacco related
activities, is not a tobacco producer,
and has no red or orange ESG
Controversies. Please refer to the
MSCI SFDR Article 2(17) Sustainable
Investment Methodology document
for additional methodologicaldetails.
Signals if the company has at least
20% of revenue from economic
activities that positively contribute toa social or environmental theme, as
measure by MSCI Sustainable
Impact Solutions. Please refer to the
MSCI SFDR Article 2(17) Sustainable
Investment Methodology document
for additional methodologicaldetails.
The percentage of revenue fromMSCI Sustainable Impact Solutions’environmental impact themes(alternative energy, energy efficiency,
green building, pollution prevention,
sustainable water, or sustainableagriculture). The company mustmeet MSCI ESG Research’s criteria
to be considered an EU Sustainable
Investment as per the MSCI SFDR
Article 2(17) Sustainable Investment
Methodology.

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EU_SI_GOOD_GOV_TESTEU Sustainable Investment –Good Governance Test

EU_SI_SOCIAL_IMPACT_REVEU Sustainable Investment –Social Impact Revenue

EU_SUSTAINABLE_INVESTM
ENT_SCREEN

EU Sustainable Investment
Screen

FF_RESERVES_ENERGY_APPLICATION

Fossil Fuel Reserves – Energy
Application

Signals if the company passes or
fails MSCI ESG Research’s criteria
for the SFDR Article 2 (17) “goodgovernance” (strong overallmanagement and governancestructures). Pass indicates that the
ESG Rating score is BB or above.
Please refer to the MSCI SFDR
Article 2(17) Sustainable Investment
Methodology document for
additional methodological details.
The percentage of revenue fromMSCI Sustainable Impact Solutions’social impact themes (nutrition,
sanitation, major diseases
treatment, SME finance, education,affordable real estate, orconnectivity). The company mustmeet MSCI ESG Research’s criteria
to be considered an EU Sustainable
Investment as per the MSCI SFDR
Article 2(17) Sustainable Investment
Methodology.
This factor signals if the company
meets all the criteria to beconsidered a sustainable investment
under SFDR Article 2(17), based on
MSCI’s interpretation of the threebuilding blocks: good governancepractices, do no significant harm,and positive contribution criteria.
Positive contribution can bedemonstrated either by meeting the
economic activity test (at least 20%of revenue from MSCI defined
Sustainable Impact Solutions) or
having a carbon emissions reduction
target approved by the Science
Based Targets initiative (SBTi) .
Please see the MSCI SFDR Article
2(17) Sustainable Investment
Methodology document for details.
This factor identifies companies,
regardless of their industries, withevidence of owning fossil fuelreserves used most likely for energy
applications. For high intensity
industries (Energy, Utilities,
Diversified Metals & Mining), thisfactor flags companies withevidence of fossil fuel reserves(excluding metallurgical coal). For
other industries, it flags companies
with evidence of fossil fuel reserves© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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GB_ELIGIBLE

Green Bond Eligible

GLOBAL_BUDGET

Remaining Global Net Zero 205
0 Carbon Budget [GtCO2e]

GOVERNMENT_BASEL_CONVENTION

Party to Basel Convention

GOVERNMENT_BIO_WEAPO
NS

Party to Biological Weapon Co
nvention(excluding metallurgical coal) and
deriving revenue from businesssegments associated with energy
application of fossil fuels such as
thermal coal mining, oil & gas
exploration & production anddownstream activities e.g. refining;
distribution & retail; pipeline &transportation; trading and fossil fuelbased power generation. Fossil fuelreserves are defined as proved andprobable reserves (i.e. 2P) for coaland proved reserves (i.e. 1P) for oiland natural gas. Evidence of owningreserves includes companies
providing the exact volume ofreserves, and companies making astatement about their ownership ofreserves.
The eligibility of the bond as per the
MSCI ESG Research Green Bond Met
hodology

The Global Net Zero 2050 Carbon
Budget represents the remaining
total greenhouse gases available
globally to limit global warming to
1.55°C, as of the Year Reference ofCurrent Implied Temperature Rise. It
is used to extrapolate an Implied
Temperature Rise, as of the Year
Reference of Current Implied
Temperature Rise.
Ratification status of Basel
Convention by different countries.
Countries which have deposed anyof the ratification instruments (suchas Ratification, Succession,Accession, Approval, Acceptanceand Formal Confirmation) areconsidered as party to this protocol.
Countries which have not used any
ratification tool (even if they havesigned to it) are not considered party
to the protocol.
Ratification status of different
countries. Countries which havedeposed any of the ratification
instruments are considered as party
to this protocol. Countries whichhave not used any ratification tool

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(even if they have signed to it) are
not considered party to the protocol.

GOVERNMENT_CHEM_WEAP
ONSParty to Chemical Weapon Con
ventionRatification status of different
countries. Countries which havedeposed any of the ratification
instruments are considered as party
to this protocol. Countries whichhave not used any ratification tool
(even if they have signed to it) are
not considered party to the protocol.

GOVERNMENT_CONV_BIO_DI
VERSITY

Party to Convention on Biologi
cal Diversity (CBD)

GOVERNMENT_CONV_ENDA
NGERED_SPECIESParty to Convention on Internat
ional Trade in Endangered Species of Wild Fauna and Flora

Ratification status of Convention on
Biological Diversity by different
countries. Countries which havedeposed any of the ratification
instruments (such as Ratification,
Succession, Accession, Approval,
Acceptance etc) are considered as
party to this protocol. Countries
which have not used any ratification
tool (even if they have signed to it)
are not considered party to theprotocol.
Ratification status of different
countries. Countries which havedeposed any of the ratification
instruments (such as Ratification,
Succession, Accession, Approval,
Acceptance and Continuation) areconsidered as party to this protocol.
Countries which have not used any
ratification tool (even if they havesigned to it) are not considered party
to the protocol.

GOVERNMENT_CONV_TORT
UREParty to Convention against To
rture and Other Cruel, Inhumanor Degrading Treatment or Pun
ishment

This indicator will identify whether acountry is a party to the Convention
against Torture and Other Cruel,
Inhuman or Degrading Treatment or
Punishment. (Source: UN OHCHR)

GOVERNMENT_CONVENTIO
NAL_WEAPONS

Party to Convention on Certain
Conventional Weapons

Ratification status of different
countries. Countries which havedeposed any of the ratification
instruments are considered as party
to this protocol. Countries whichhave not used any ratification tool
(even if they have signed to it) are
not considered party to the protocol.

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GOVERNMENT_CLUSTER_M
UNITIONS

Party to Convention on Cluster
MunitionsRatification status of different
countries. Countries which havedeposed any of the ratification
instruments are considered as party
to this protocol. Countries whichhave not used any ratification tool
(even if they have signed to it) are
not considered party to the protocol.

GOVERNMENT_CONV_PROT
ECT_PERSONS

Party to International Conventi
on for the Protection of All Per
sons from Enforced Disappear
ance

GOVERNMENT_EU_SANCTIO
NS

European Union (EU) Sanctions

This indicator will identify whether acountry is a party to the International
Convention for the Protection of All
Persons from Enforced
Disappearance. (Source: UN
OHCHR)Countries alleged to be involved inhuman rights violations and abuses
can be subject to EU sanctions.
Restrictive measures imposed by the
EU may target governments of third
countries, or non-state entities andindividuals. Sanctions may consistof asset freezes, travel bans,
economic and financial measures orarms embargoes, among othermeasures.

GOVERNMENT_FUNDAMENT
AL_RIGHTS

WJP Rule of Law Index, Funda
mental Rights Sub-score

GOVERNMENT_KYOTO_PROTOCOLParty to Kyoto Protocol

Data source: European External
Action Service
This indicator is the ‘Fundamental
Rights’ sub-score from the World
Justice Project (WJP) Rule of Law
Index. The sub-score measures acountry’s performance on humanrights issues, as per Factor 4 of the
WJP Rule of Law Index. Scores canrange from 0-1.0, and higher values
denote stronger national
performance across a broad rangeof human rights issues. Countries
not covered will not have a value
populated for this indicator. Values
are updated annually via the World
Justice Project with no analytical
inputs from MSCI ESG Research.
Data source: World Justice Project(WJP) Rule of Law Index®.
Ratification status of Kyoto Protocol
by different countries. Countries,
which have deposed any of theratification instruments (such as
Ratification, Accession, Approval)
are considered as party to the© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

protocol. Countries which have notused any ratification tool (even if
they have signed to it) are notconsidered party to the protocol.
GOVERNMENT_MINE_BAN_T
REATY

Party to Anti-Personnel Landmi
nes Convention

Ratification status of different
countries. Countries which havedeposed any of the ratification
instruments are considered as party
to this protocol. Countries whichhave not used any ratification tool
(even if they have signed to it) are
not considered party to the protocol.

GOVERNMENT_RAW_CORR_
PERC_INDEX

Corruption perception index

It measures the degree to which
public sector corruption is perceived
to exist in different countries aroundthe world.

GOVERNMENT_RAW_GIN

GINI Index

GOVERNMENT_RAW_PRESS_FREEDWorld Press Freedom Index sc
ore

GOVERNMENT_RAW_RULE_O
F_LAW

Rule of law

Data source: Transparency
International. Countries with lower
score are perceived to be morecorrupt.
Measures the equality of income
distribution within the population.
Ranges from 0 (perfect equality) to100 (perfect inequality). (Source:
CIA, WDI)
Press freedom is defined as theability of journalists as individuals
and collectives to select, produce,and disseminate news in the public
interest independent of political,
economic, legal, and social
interference and in the absence of
threats to their physical and mental
safety. The World Press Freedom
Index compares the level of press
freedom in 180 countries andterritories and those countries withhigher scores have higher levels ofpress freedom
Data source: Reporters Without
Borders
Capturing perceptions of the extent
to which agents have confidence inand abide by the rules of society, andin particular the quality of contract
enforcement, property rights, thepolice, and the courts, as well as thelikelihood of crime and violence.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Data source: Worldwide GovernanceIndicators (WGI). Countries withhigher score demonstrate better ruleof law.
GOVERNMENT_STABILITY_P
EACE_SCORE

Stability & Peace Score

GOVERNMENT_UN_CONVEN_CORRUP

Party to United Nations Convention against Corruption

GOVERNMENT_UN_CONVEN_CRIME

Party to United Nations Convention against Transnational Org
anized Crime

GOVERNMENT_WHO_TOBAC
CO_CTRL

Party to World Health Organiza
tion Framework Convention on
Tobacco Control

Assesses the level of stability andpeace in a region. This sub-factor isassessed using two data points: (1)political stability and absence ofviolence/ terrorism, which captures
the perceptions of the likelihood thatthe government will be destabilized
or overthrown by unconstitutional or
violent means, including politically‐
motivated violence and terrorism;and 2) global peace index, whichmeasures the relative position ofnations' and regions' peacefulness
by gauging ongoing domestic andinternational conflict, safety andsecurity in society, and militarizationin different regions. Regions withhigh political instability and violence
and conflict score poorly. (Score: 010)
Ratification status of different
countries. Countries which havedeposed any of the ratification
instruments are considered as party
to this protocol. Countries whichhave not used any ratification tool
(even if they have signed to it) are
not considered party to the protocol.
Ratification status of different
countries. Countries which havedeposed any of the ratification
instruments are considered as party
to this protocol. Countries whichhave not used any ratification tool
(even if they have signed to it) are
not considered party to the protocol.
Ratification status of different
countries. Countries which havedeposed any of the ratification
instruments (such as Ratification,
Succession, Accession, Approval,
Acceptance, Formal Confirmationetc) are considered as party to thisprotocol. Countries which have notused any ratification tool (even if
they have signed to it) are notconsidered party to the protocol.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

GOVERNANCE_PILLAR_SCORE

Governance Pillar Score

GOVERNANCE_PILLAR_
WEIGHT

Governance Pillar Weight

HAZARD_WASTE_METRIC_T
ON
INDUSTRY_ADJUSTED_SCORE

Hazardous Waste (metrictons)
Final Industry-Adjusted
Company Score

IVA_COMPANY_RATINGESG Rating

LABOR_POLICY_INTL_
RECOGNIZED_M

Policy addressing
internationally recognizedlabor conventions (Yes, No)

OVERALL_FLAG

Company Summary - Overall
Flag

MECH_UN_GLOBAL_COMPA
CT

Mechanism to monitor
compliance with UN Global
Compact

The Governance Pillar Score
provides an assessment of risk andmanagement practices related to
Corporate Governance andCorporate Behavior. The 0-10 scoreis based on the sum of deductions
derived from Key Metrics included in
the Corporate Governance (including
Board, Pay, Ownership & Control, andAccounting) and Corporate Behavior(including Business Ethics and Tax
Transparency) themes. Low scores
correspond to companies with weakcorporate governance practices,weak business ethics programs, highexposure to corruption risk, and/or
involvement in business ethicsrelated controversies. (Score: 0-10)
The Governance Pillar Weight
represents the sum of the weights of
all Key Issues that fall under theGovernance Pillar.
Hazardous Waste (metric tons)
The score is calculated bynormalizing the Weighted Average
Key Issue Score to the Industry peer
set, adjusted to reflect any Ratings
Review Committee overrides; see the
ESG Rating Methodology documentfor details.
A company’s final ESG Rating. To
arrive at a final letter rating, theweighted average of the key issuescores are aggregated andcompanies are ranked from best(AAA) to worst (CCC).
Flagged as "Yes" if company has apolicy addressing internationallyrecognized labor conventions for its
workforce.
The overall company assessment
signals whether a company has anotable controversy related to acompany’s operations and/or
products, and the severity of thesocial or environmental impact of
the controversy.
The company is a signatory to the
UN Global Compact and is required
to monitor and report compliancewith the UN Global Compact
principles.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

OPS_PROT_BIODIV_CONTRO
VSCompany has operations
located in biodiversity sensitive
areas and is involved incontroversies with severe
impact on the environment

OVERALL_FLAG

Company Summary - Overall
Flag

PCT_NONRENEW_CONSUMP_PROD

Percentage of non-renewableenergy consumption andproduction

RENEW_ENERGY_CAPEX_VS_TOTAL_CAPEX_PCT

Renewable power generation
CapEx as a proportion of total
CapEx (%)

REP_EU_TAXONOMY_OPEX_ALIGNEDEU Taxonomy Reported NonFinancial - Total Aligned OpEx(%)

REP_EU_TAXONOMY_CAPEX_ALIGNEDEU Taxonomy Reported NonFinancial - Total Aligned CapEx(%)

REP_EU_TAXONOMY_ELIGIB
LE_ALIGNED_GAS_TURNOVEREU Taxonomy Reported Eligible Aligned Gas Turnover(%)

REP_EU_TAXONOMY_ELIGIB
LE_ALIGNED_GAS_CAPEXEU Taxonomy Reported Eligible Aligned Gas CapEx (%)

Company reports having operations
in or near to biodiversity sensitive
areas and has been implicated incontroversies with severe or very
severe adverse impact on theenvironment
The overall company assessment
signals whether a company has anotable controversy related to acompany’s operations and/or
products, and the severity of thesocial or environmental impact of
the controversy.
The company's energy consumption
and/or production from nonrenewable sources as a percentage
of total energy use and/or
generation
Capital expenditure in renewable
power generation assets (wind,solar, biomass, hydro and otherrenewables) as a proportion of totalcompany capital expenditure(including networks infrastructure,
all power generation assets andother capital expenditure) in themost recently reported capital
expenditure plan.
For Non-Financial companies, thereported percentage of total
operational expenditure from aligned
activities under the EU Taxonomy
regulation. The data is provided forthe most recent fiscal year available.
For Non-Financial companies, thereported percentage of total capital
expenditure from aligned activities
under the EU Taxonomy regulation.
The data is provided for the mostrecent fiscal year available.
The reported percentage of Turnover
aggregated to taxonomy eligible andaligned gas activities referred to in
Sections 4.29, 4.30 and 4.31 ofAnnexes I and II to DelegatedRegulation 2021/2139.This data isprovided for the most recent fiscal
year.
The reported percentage of CapEx
aggregated to taxonomy eligible andaligned gas activities referred to in
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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Regulation 2021/2139.This data isprovided for the most recent fiscal
year.

REP_EU_TAXONOMY_ELIGIB
LE_ALIGNED_GAS_OPEXEU Taxonomy Reported Eligible Aligned Gas OpEx (%)

REP_EU_TAXONOMY_ELIGIB
LE_ALIGNED_NUCLEAR_TUR
NOVEREU Taxonomy Reported Eligible Aligned Nuclear
Turnover (%)

REP_EU_TAXONOMY_ELIGIB
LE_ALIGNED_NUCLEAR_CAP
EX

EU Taxonomy Reported Eligible Aligned Nuclear CapEx(%)

REP_EU_TAXONOMY_ELIGIB
LE_ALIGNED_NUCLEAR_OPE
X

EU Taxonomy Reported Eligible Aligned Nuclear OpEx(%)

SOCIAL_CONTROVERSY_SCORESocial - Controversy Score

SOCIAL_PILLAR_SCORE

Social Pillar Score

SOCIAL_PILLAR_WEIGHT

Social Pillar Weight

The reported percentage of OpEx
aggregated to taxonomy eligible andaligned gas activities referred to in
Sections 4.29, 4.30 and 4.31 ofAnnexes I and II to DelegatedRegulation 2021/2139.This data isprovided for the most recent fiscal
year.
The reported percentage of Turnover
aggregated to taxonomy eligible andaligned nuclear activities referred toin Sections 4.26, 4.27 and 4.28 ofAnnexes I and II to DelegatedRegulation 2021/2139.This data isprovided for the most recent fiscal
year.
The reported percentage of CapEx
aggregated to taxonomy eligible andaligned nuclear activities referred toin Sections 4.26, 4.27 and 4.28 ofAnnexes I and II to DelegatedRegulation 2021/2139.This data isprovided for the most recent fiscal
year.
The reported percentage of OpEx
aggregated to taxonomy eligible andaligned nuclear activities referred toin Sections 4.26, 4.27 and 4.28 ofAnnexes I and II to DelegatedRegulation 2021/2139.This data isprovided for the most recent fiscal
year.
This Social pillar is an assessmentof controversies (if any) related to afirm’s impact on Customers, Human
Rights & Community, and Labor
Rights & Supply Chain. The score isderived from the lowest scoring subpillar (Customers, Human Rights &Community, and Labor Rights &Supply Chain) within the Social pillar.
The Social Pillar Score represents
the weighted average of all Key
Issues that fall under the Social
Pillar.
The Social Pillar Weight represents
the sum of the weights of all Key© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

TCRE

TCRE Factor [°C/GtCO2e]

TOB_MAX_REV_PCT

Tobacco Total - Maximum
Percentage of Revenue

TOB_PROD_MAX_REV_PCT

Tobacco Producer - Maximum
Percentage of Revenue

TOB_PRODUCER

Tobacco Producer

TOTAL_BUDGET

Cumulative Net Zero 2050
Carbon Budget (Scope 1, 2 and3) [tCO2e]

TOTAL_OVERSHOOT

Absolute Carbon Budget
Overshoot [tCO2e]

Issues that fall under the Social
Pillar.
The Transient Response to
Cumulative CO2 Emissions (TCRE)
Factor defines the relationshipbetween the absolute additionalemissions and temperature
increase. This factor is used tocompute the company and portfolio
level temperature increase based on
the company's or portfolio's
emission budget overshoot.
The recent-year percent of revenue,or maximum estimated percent, acompany has derived from tobaccorelated business activities.
The recent-year percent of revenue,or maximum estimated percent, acompany has derived from the
manufacture of tobacco products.
Companies that manufacture
tobacco products, such as cigars,
blunts, cigarettes, e-cigarettes,
inhalers, beedis, kreteks, smokelesstobacco, snuff, snus, dissolvable andchewing tobacco. This also includes
companies that grow or process raw
tobacco leaves.
The Cumulative Net Zero 2050
Carbon Budget is the sum of total
greenhouse gas emissions (Scope 1,
2 and 3) that remains available forthe company to limit global warming
to 1.55°C, as of the Year Referenceof Current Implied Temperature Rise.
It is based on the initial budget
allocated in the Start Year Model
Horizon, amended by subsequent
budget rollovers.
A company's projected
greenhouse gas emission over/undershoot when comparing acompany's projected Scope 1, 2 and3 emissions to its remaining
emission budget available to limit
global warming to 1.55°C. This is thedifference in t CO2e between the
Cumulative Projected Carbon
Emissions with Target Credibility
Assessment and the Cumulative Net
Zero 2050 Carbon Budget. A
negative number corresponds to a

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

UNGC_COMPLIANCE

Global Compact Compliance

WATER_EM_EFF_METRIC_TO
NS

Water Emissions (metric tons)

budget undershoot and a positive
number to a budget overshoot. The
overshoot is capped at GHG scopelevel so that the resulting Implied
Temperature Rise does not exceeds
10°C.
This factor indicates whether thecompany is in compliance with theUnited Nations Global Compact
principles. The possible values are
Fail, Watch List, or Pass. See the
ESG Controversies and Global
Norms methodology document for
detailed explanations.
Total tons of pollutants released tosurface waters as a result ofcompanies' operations.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Appendix 2: Implied Temperature Rise
Implied Temperature Rise (ITR) is a forward-looking temperature alignment metricfor companies and portfolios. Specifically, the ITR methodology evaluates if
companies and portfolios are aligned with the Paris Agreement temperature goals14— in particular, the maximal goal of limiting global mean surface temperature to anincrease of no more than 1.5°C in the year 2100 compared with pre-industrial
levels.15

More details can be found in MSCI Implied Temperature Rise Methodology available
at https://www.msci.com/legal/disclosures/climate-disclosures.

14 The Paris Agreement is an international treaty on climate change adopted by 196 Parties at the United

Nations (UN) Climate Change Conference (COP21) in Paris, France. Its overarching goal is to keep global
warming to well below 2°C, and aim for 1.5°C, compared to preindustrial levels.

15 See article 2 of the Paris Agreement.

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MSCI INDEX ESG METRICS CALCULATION METHODOLOGY | MAY 2024

Appendix 3: Changes to this Document
The following sections have been modified as of December 2023:•

Added metrics for sovereign bond indexes (sections 2.1.2, 3.2.1.2, Appendix 1).

•

Updated Sustainable Investment Test metric (sections 2.3, 3.2.3, Appendix 1).

•

Clarified the definition of Red Flag and Orange Flag ESG controversies forrelevant metrics (sections 2.1.1, 2.2, 2.3, 3.2.1.1, 3.2.2 and 3.2.3).

•

Added footnote on the use of Enterprise Value Including Cash (EVIC) data for the
calculation of metrics (section 3.1).

The following sections have been modified as of April 2024:•

Added EU Taxonomy metrics (sections 2.3, 3.2.3, Appendix 1).

•

Updated calculation details for Implied Temperature Rise metric (section 3.2.3,
Appendix 2).

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Notice and disclaimer
This document is research for informational purposes only and is intended for institutional professionals with the analytical resources and tools necessary to interpret any
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This document and all of the information contained in it, including without limitation all text, data, graphs, charts (collectively, the “Information”) is the property of MSCI Inc. or
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MSCI ESG Research LLC is a Registered Investment Adviser under the Investment Advisers Act of 1940 and a subsidiary of MSCI Inc. Neither MSCI nor any of its products orservices recommends, endorses, approves or otherwise expresses any opinion regarding any issuer, securities, financial products or instruments or trading strategies and
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Please note that the issuers mentioned in MSCI ESG Research materials sometimes have commercial relationships with MSCI ESG Research and/or MSCI Inc. (collectively,“MSCI”) and that these relationships create potential conflicts of interest. In some cases, the issuers or their affiliates purchase research or other products or services fromone or more MSCI affiliates. In other cases, MSCI ESG Research rates financial products such as mutual funds or ETFs that are managed by MSCI’s clients or their affiliates, or© 2024 MSCI Inc. All rights reserved.

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the integrity and independence of its research and ratings. More information about these conflict mitigation measures is available in our Form ADV, available athttps://adviserinfo.sec.gov/firm/summary/169222.
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