Annex 2 – Regulatory ESG Disclosures

EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN
THE BENCHMARK STATEMENTSECTION 1 – CONSIDERATION OF ESG FACTORS
Item 1. Name of the benchmark
administrator.

Item 2. Type of benchmark or family ofbenchmarks.

Item 3. Name of the benchmark or family ofbenchmarks.

Bloomberg Index Services Limited (“BISL”)

Fixed Income

Bloomberg MSCI Fixed Income Paris-Aligned Indices (the “Indices” and each,an “Index”).

Item 4. Are there in the portfolio of thebenchmark administrator any EU Climate
Transition Benchmarks, EU Paris-aligned
Benchmarks, benchmarks that pursue ESG
objectives or benchmarks that take into
account ESG factors?

■Yes □No

Item 5. Does the benchmark or family ofbenchmarks pursue ESG objectives?

■Yes □No

Item 6. Where the response to Item 5 is positive, provide below the details (score) in relation to the following ESG factors:
combined ESG factors, environmental, social and governance for each family of benchmarks at an aggregated level.
The ESG factors shall be disclosed at an aggregated weighted average value at the level of the family of benchmarks.

a) List of combined ESG factors:

N/A

N/A

b) List of environmental factors:

Degree of exposure of the portfolio
to the sectors listed in Sections A to H
and Section L of Annex I to Regulation(EC) No 1893/2006 as a percentage ofthe total weight in the portfolio.
GHG emissions of the benchmark.

40.9%

Percentage of reported versus
estimated emissions.
Exposure of the benchmark portfolio
to companies the activities of whichfall under Divisions 05 to 09, 19 and 20

1

Refers to Scope 1 and 2 GHG emissions only as 100% of Scope 3 emissions are estimated.

23,606,020

79.8% 1

1.9%

of Annex I to Regulation (EC) No
1893/2006.
Percentage of green bonds in thebenchmark portfolio.

c) List of social factors:

International treaties andconventions, United Nations
principles or, where applicable,
national law used in order todetermine what constitutes a‘controversial weapon’.
Weighted average percentage ofbenchmark constituents in thecontroversial weapons sector.
Weighted average percentage ofbenchmark constituents in the tobacco
sector.
Number of benchmark constituents
subject to social violations (absolute
number and relative divided by all
benchmark constituents), as referred
to in international treaties andconventions, United Nations principles
or, where applicable, national law.
Exposure of the benchmark portfolio
to companies without due diligencepolicies on issues addressed by
Conventions 1 to 8 of the International
Labour Organisation.

Weighted average gender pay gap.

0%

0%

0.1%%

3/11165 / 0.0% of the index

17.5%

3.7

Weighted average ratio of female tomale board members.

34.6

Weighted average ratio of accidents,
injuries, fatalities.

0.5

Numbers of convictions and amount offines for violations of anti-corruption
and anti-bribery laws.

2

3.6%

Number of convictions. Value of fines is not available.

108 2d) List of governance factors:

5.8
Weighted average governance ratingof the benchmark (voluntary).

Item 7. Where the response to Item 5 is positive, provide below the details (score) for the benchmark or family ofbenchmarks, in relation the following ESG factors: combined ESG factors, environmental, social and governance, dependingon the relevant underlying asset concerned.
Alternatively, all of this information may be provided in the form of a hyperlink to a website of the benchmark administrator
included in the benchmark statement. The information on the website shall be easily available and accessible. Benchmark
administrators shall ensure that information published on their website remains available for five years.
The score of the ESG factors shall not be disclosed for each constituent of the benchmark, but shall be disclosed at an
aggregated weighted average value of the benchmark.
Details of these factors are available on the MSCI PAB ESG Disclosures Reporta) List of combined ESG factors:b) List of environmental factors:

Details of these factors are available on the MSCI PAB ESG Disclosures Reportc) List of social factors:

Details of these factors are available on the MSCI PAB ESG Disclosures Reportd) List of governance factors:

Details of these factors are available on the MSCI PAB ESG Disclosures Report

Hyperlink to the information on ESG factors
for the benchmark or family of benchmarks:

MSCI PAB ESG Disclosures Report

Item 8. Data and standards used.
All ESG data for the benchmarks is sourced externally from:a) Description of data sources used to provide
information on the ESG factors in the
MSCI Researchbenchmark statement.
esgclientservice@msci.com
Describe how the data used to provide https://www.msci.com/research-and-insights
information on the ESG factors in thebenchmark statement are sourced andwhether, and to what extent, data are Refer to Bloomberg MSCI Fixed Income Indices and MSCI’s Methodology
estimated or reported.
Executive Summary for further information.

b) Reference standards.

The Greenhouse Gas Protocol is used for GHG estimation. For further
information, please refer to https://ghgprotocol.org/

List the supporting standards used for the
To align with the precautionary principle, a company not covered by MSCI for
reporting under item 6 and/or item 7.
exclusions is not included.
The percentage of reported vs estimated data used can be found in the ESG
Disclosure Report.

SECTION 2 – ADDITIONAL DISCLOSURE REQUIREMENTS FOR EU CLIMATE TRANSITION AND EU PARISALIGNED BENCHMARKS
Item 9. Where a benchmark is labelled as ‘EU Climate Transition Benchmark’ or ‘EU Paris-aligned Benchmark’,benchmark administrators shall also disclose the following information:a)forward-looking year-on-year
decarbonisation trajectory;

Details of the forward-looking year-on-year decarbonisation trajectory foreach benchmark can be found in the ESG Disclosures Report for eachbenchmark.

Details of the achievement of the IPCC decarbonisation trajectory can beb) degree to which the IPCC decarbonisation
found in the ESG Disclosures Report
trajectory (1,5°C with no or limited
overshoot) has been achieved on
average per year since creation;c)overlap between those benchmarks andtheir investable universe, as defined in
Article 1, point (e), of Commission
Delegated Regulation(EU) 2020/1818, using the active shareat asset level.

The active share measure can be found in the ESG Disclosures Report

SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARIS AGREEMENT
Item 10. By the date of application of this Regulation, for significant equity and bond benchmarks, EU Climate Transition
Benchmarks and EU Paris-aligned Benchmarks, benchmark administrators shall, for each benchmark, or whereapplicable, the family of benchmarks, disclose the following information:
■ Yes
□ No
a) Does the benchmark align with thetarget of reducing carbon emissions or
the attainment of the objectives of theParis Agreement;

The Indices use the reference 1.5 °C temperature scenario, with no or limitedb) the temperature scenario, in accordance
overshoot.
with international standards, used forthe alignment with the target of
reducing GHG emissions or theattainment of the objectives of theParis Agreement;c)d)

The Special Report on Global Warming of 1.5 °C from the Intergovernmental
the name of the provider of the
Panel on Climate Change (the “IPCC”).
temperature scenario used for thealignment with the target of reducing
GHG emissions or the attainment of theobjectives of the Paris Agreement;
Decarbonisation Trajectory
the methodology used for themeasurement of the alignment with The Absolute GHG Emissions for EU Paris-aligned Benchmarks, including Scope
1, 2 and 3 GHG emissions, shall be at least 50% lower than the Absolute GHG
the temperature scenario;
Emissions of the investable universe. Therefore, at the start of thedecarbonisation trajectory, a Reference Absolute GHG Emissions is derived as
50% of the Absolute GHG Emissions of the Parent Index on the Base Date
(2020-12-31).
On subsequent rebalances, the annualized Absolute GHG Emissions of theIndex shall be less than the lower of 50% of the Absolute GHG Emissions of theParent Index, or an Absolute GHG Emissions level implied by 7% year on year
geometric reduction relative to the Absolute GHG Emissions on index Base
Date.
Therefore, for rebalance 𝑖𝑖, the Absolute GHG Emissions of the Index shall be
no more than:𝐵𝐵𝐵𝐵𝐵𝐵𝑒𝑒 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷_𝐺𝐺𝐺𝐺𝐺𝐺 × 0.93𝑖𝑖/12, 50% × 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺𝑖𝑖 �
𝑀𝑀𝑀𝑀𝑀𝑀 �

Where:
𝑖𝑖 is the rebalance as an integer counted in ascending order from the BaseDate, for the avoidance of doubt 𝑖𝑖 is equal to 0 on the Base Date;𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷_𝐺𝐺𝐺𝐺𝐺𝐺 is the Absolute GHG Emissions derived as 50% of
𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺0 ;𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺𝑖𝑖 is the Absolute GHG Emissions level of the Parent Index on the
Date of rebalance 𝑖𝑖;
𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺0 is the Absolute GHG Emissions level of the Parent Index on theBase Date.
Should a significant change occur in the calculation methodology of theAbsolute GHG Emissions a new Base Date shall be set for measuring against
the decarbonisation trajectory.
Absolute GHG Emissions
MSCI gathers GHG emissions figures from publicly-available, companyreported annual accounts or sustainability reports, or any other public sourcethese figures are included in.. When reported GHG emissions are not available,
MSCI provides estimates.
Absolute GHG Emissions of an Index, calculated monthly, is the weighted
Absolute GHG Emissions of the underlying constituents of the Index:
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼_𝐺𝐺𝐺𝐺𝐺𝐺𝑑𝑑 =𝑑𝑑∑𝑛𝑛𝑖𝑖=1
𝑤𝑤𝑑𝑑𝑖𝑖 × 𝐺𝐺𝐺𝐺𝐺𝐺 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸 𝑖𝑖𝑠𝑠𝑑𝑑∑𝑛𝑛𝑖𝑖=1
𝑤𝑤𝑑𝑑𝑖𝑖

Securities with no Absolute GHG Emissions values are excluded from thecalculation of the Absolute GHG Emissions of an Index.
Where:
𝑖𝑖 is an index constituent;
𝑛𝑛𝑑𝑑 is with respect to Rebalance Date, 𝑑𝑑, the number of index constituents;
𝑤𝑤𝑑𝑑𝑖𝑖 is with respect to Rebalance Date, 𝑑𝑑, the weight of constituent, 𝑖𝑖,in theindex; and
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝐺𝐺𝐺𝐺𝐺𝐺 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑠𝑠𝑖𝑖 is with respect to Rebalance Date, 𝑠𝑠, the Absolute
GHG Emissions of constituent, 𝑖𝑖.
Absolute GHG Emissions for an index constituent is the total Absolute GHG
Emissions :𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝐺𝐺𝐺𝐺𝐺𝐺 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑡𝑡𝑖𝑖 =𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 1𝑖𝑖𝑡𝑡 + 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 2𝑖𝑖𝑡𝑡 + 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 3𝑖𝑖𝑡𝑡

If any of the following criteria are met, the Absolute GHG Emissions in respectof constituent i and Rebalance Date s is considered invalid:
1)
1)

There are no estimates available for either Scope 1, Scope 2, or Scope
3 GHG emissions in respect of constituent i and Rebalance Date s.

Where:

𝑖𝑖 is an index constituent;𝑡𝑡 is the date when the Absolute GHG Emission is measured;
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 1 and 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 2 are reported GHG emissions for the constituent if
available, otherwise, estimates are obtained MSCI GHG emissions estimate
model;𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 3 data is estimated by MSCI for constituents across all sectorse)the hyperlink to the website of thetemperature scenario used.

https://www.ipcc.ch/sr15/