ESG Fixed Income Benchmark Regulation Disclosure Report
May 2023

ESG data disclosure under Regulation EU 2020/1816
bloomberg.com/esgindicesEnvironmental

Page 3SocialPage 4Governance

Page 6

Decarbonisation Trajectories

Page 7

Index ID

Index NameHCI Sector Exposure 1

GHG Intensity 2(tCO2e/EVIC)

GHG Emissions (reportedversus estimated)

Fossil Fuel Exposure 3

GreenExposure

Green Bonds%MV

Count

ActualMVCount%MVCount%MVCount%Count%MVCountI37120

Bloomberg Global Corporate Paris-Aligned Bond Index

45.9

100.0

100.0

398.7

71.1

69.5

36.1

99.9

99.92.2

100.0

100.0

0.5

100.0

4.0

100.0

100.0

I37119Bloomberg US Corporate Paris-Aligned Bond Index

46.4

100.0

100.0

219.4

73.8

72.6

23.9

100.0

100.0

2.0

100.0

100.0

0.3

100.0

1.3

100.0

100.0

I37117

Bloomberg Euro Corporate Paris-Aligned Bond Index

44.6

100.0

100.0

576.3

70.0

71.0

54.3

100.0

100.0

2.3

100.0

100.0

0.4

100.0

9.5

100.0

100.0

1 HCI Sector Exposure is the degree of exposure of the sectors listed in Sections A to H and Section L of Annex I to Regulation (EC) No 1893/2006
2 Index level carbon intensity measures are calculated using Scope 1, 2 and 3 (where applicable) emissions. Measured in metric tonnes of carbon dioxide equivalent (tCO2e) per million of enterprise value including cash using data provided by Bloomberg. For more information on the emissions models click here
3 Fossil Fuel Exposure is the degree of exposure of the benchmark portfolio to companies the activities of which fall under Divisions 05 to 09, 19 and 20 of Annex I to Regulation (EC) No 1893/2006(% - refers to the percentage of constituents matching the condition or meeting the relevant criteria; MV - refers to the percentage of the sum of the market value of the constituents which have information on the field; Count – refers to the percentage of the number of constituents which have information on the field)

bloomberg.com/esgindicesIndex ID

Index Name

Social Violations

Controversial Weapons 1

TobaccoILO Policy Non-Compliance%

MV

Count%MVCount%MVCount%

MV

Count

I37120Bloomberg Global Corporate Paris-Aligned Bond Index

0.0

99.2

99.3

0.0

99.2

99.3

0.0

99.2

99.3

22.1

97.9

98.3

I37119Bloomberg US Corporate Paris-Aligned Bond Index

0.0

99.5

99.6

0.0

99.5

99.6

0.0

99.5

99.6

27.0

97.4

98.2

I37117

Bloomberg Euro Corporate Paris-Aligned Bond Index

0.0

98.8

98.9

0.0

98.8

98.9

0.0

98.8

98.9

8.4

98.3

98.4

1 Represents the weighted average percentage of index constituent companies involved in any activities related to controversial weapons. Includes any kind of involvement in the following weapons categories: anti personnel mines, biological & chemical weapons, cluster weapons, depleted uranium, nuclear weapons, andwhite phosphorus. International treaties and conventions used to define Controversial Weapons include Non-proliferation Treaty (1968), Biological and Toxin Weapons Convention (1972), Chemical Weapons Convention (1997), Anti-Personnel Mine Ban Convention (1999), Convention on Cluster Munitions (2008), UnitedNations Convention on Certain Conventional Weapons (1980), and Convention on the Physical Protection of Nuclear Material (1980).
(% - refers to the percentage of constituents matching the condition or meeting the relevant criteria; MV - refers to the percentage of the sum of the market value of the constituents which have information on the field; Count – refers to the percentage of the number of constituents which have information on the field)

bloomberg.com/esgindicesIndex ID

Index Name

Gender Pay Gap Ratio

Female-to-Male Directors

Accidents, Injuries,
Fatalities

Corruption, Bribery,
Conviction, Fines%

MV

Count%MVCount%MV

Count

NumberAmount1I37120

Bloomberg Global Corporate Paris-Aligned Bond Index

44.6

4.4

4.6

33.6

77.0

71.8

1.0

2.4

2.5

185.4

I37119Bloomberg US Corporate Paris-Aligned Bond Index

26.6

2.4

2.6

32.4

78.4

72.6

0.8

3.7

2.5

00.0

I37117Bloomberg Euro Corporate Paris-Aligned Bond Index

56.9

6.4

6.5

37.6

75.9

74.5

0.4

3.5

3.5

115.4

(% - refers to the percentage of constituents matching the condition or meeting the relevant criteria; MV - refers to the percentage of the sum of the market value of the constituents which have information on the field; Count – refers to the percentage of the number of constituents which have information on the field)
1 To account for the limitations of available ESG data in the above calculations, if no data is available (blank values) at the time of producing these reports, a zero ("0") value is assigned and included in the calculations.

bloomberg.com/esgindicesIndex ID

Index Name

Board Independence

Board Diversity%

MVCount%

MVCount

I37120Bloomberg Global Corporate Paris-Aligned Bond Index

77.8

75.2

70.2

33.6

77.0

71.8

I37119Bloomberg US Corporate Paris-Aligned Bond Index

84.2

78.0

72.4

32.4

78.4

72.6

I37117

Bloomberg Euro Corporate Paris-Aligned Bond Index

68.6

72.0

71.0

37.6

75.9

74.5

(% - refers to the percentage of constituents matching the condition or meeting the relevant criteria; MV - refers to the percentage of the sum of the market value of the constituents which have information on the field; Count – refers to the percentage of the number of constituents which have information on the field)

bloomberg.com/esgindicesBase Index

Bloomberg Global Aggregate Corporate Index (I3435US)PAB Index

Bloomberg Global Corporate Paris-Aligned Bond Index (I37120US)

Decarbonisation Trajectory

7% YoY

Annual Decarbonization

9.57%

Base Date2019-12-31

Effective Date2022-12-31

GHG Emissions Parent BaseDate

GHG Emissions
Decarbonisation Trajectory

GHG Emissions ParentGHG Emissions PAB Target

GHG Emissions PAB Actual

56,771.62

22,832.32

54,121.00

22,832.32

20,992.01

2023-12-31

21,234.06

21,234.06

2024-12-31

19,747.68

19,747.68

2025-12-31

18,365.34

18,365.34

2026-12-31

17,079.77

17,079.77

2027-12-31

15,884.18

15,884.18

2028-12-31

14,772.29

14,772.29

2029-12-31

13,738.23

13,738.23

2030-12-31

12,776.55

12,776.55

2031-12-31

11,882.19

11,882.19

2032-12-31

11,050.44

11,050.44

Active Share %37.30

bloomberg.com/esgindicesBase Index

Bloomberg US Corporate Bond Index (I2765US)PAB Index

Bloomberg US Corporate Paris-Aligned Bond Index (I37119US)

Decarbonisation Trajectory

7% YoY

Annual Decarbonization

10.03%

Base Date2019-12-31

Effective Date2022-12-31

GHG Emissions Parent BaseDate

GHG Emissions
Decarbonisation Trajectory

GHG Emissions Parent

GHG Emissions PAB Target

GHG Emissions PAB Actual

56,716.77

22,810.27

52,649.46

22,810.27

20,651.95

2023-12-31

21,213.55

21,213.55

2024-12-31

19,728.60

19,728.60

2025-12-31

18,347.60

18,347.60

2026-12-31

17,063.27

17,063.27

2027-12-31

15,868.84

15,868.84

2028-12-31

14,758.02

14,758.02

2029-12-31

13,724.96

13,724.96

2030-12-31

12,764.21

12,764.21

2031-12-31

11,870.72

11,870.72

2032-12-31

11,039.77

11,039.77

Active Share %34.66

bloomberg.com/esgindicesBase Index

Bloomberg Euro Aggregate Corporate Bond Index (I2002EU)PAB Index

Bloomberg Euro Corporate Paris-Aligned Bond Index (I37117EU)

Decarbonisation Trajectory

7% YoY

Annual Decarbonization

8.49%

Base Date2019-12-31

Effective Date2022-12-31

GHG Emissions Parent BaseDate

GHG Emissions
Decarbonisation Trajectory

GHG Emissions Parent

GHG Emissions PAB Target

GHG Emissions PAB Actual

68,776.37

27,660.38

67,562.93

27,660.38

26,356.03

2023-12-31

25,724.15

25,724.15

2024-12-31

23,923.46

23,923.46

2025-12-31

22,248.82

22,248.82

2026-12-31

20,691.40

20,691.40

2027-12-31

19,243.00

19,243.00

2028-12-31

17,895.99

17,895.99

2029-12-31

16,643.27

16,643.27

2030-12-31

15,478.25

15,478.25

2031-12-31

14,394.77

14,394.77

2032-12-31

13,387.13

13,387.13

Active Share %26.21

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