yBloomberg
Index Services
LimitedBenchmark Statement for
Bloomberg Global Equity Paris-Aligned IndicesBloomberg Indices

A Bloomberg Professional Services offering

This benchmark statement (this “Statement”) is provided by Bloomberg Index Services Limited (“BISL”) as the administrator of theBloomberg Global Equity Paris-Aligned indices (the “Index”) and is intended to meet the requirements of Regulation (EU)2016/1011 as it forms part of “retained EU law” as defined in the European Union (Withdrawal) Act 2018 (as amended), (the “UK
BMR”) and the Financial Conduct Authority’s regulatory technical standards Commission Delegated Regulation (EU) 2018/1643 (the“RTS”).
Requirement [Regulatory
Reference](1)

Benchmark Family Information

General disclosure
requirements
The benchmark statement shallstate:

Date of publication:
September 2022(a) the date of publication of
the statement and, whereapplicable, the date of its last
update;Date of last update:
September 2022(b) where available, theinternational securities
identification number (ISIN)of the benchmark or
benchmarks; alternatively, fora family of benchmarks, thestatement may provide
details of where the ISINs are
publicly accessible free ofcharge;BISL does not assign ISINs to all of the Indices.

(c) whether the benchmark,or any benchmark in thefamily of benchmarks, isdetermined using
contributions of input data;

The Indices do not utilize contributions of input data.

(d) whether the benchmark or
any benchmark in the familyof benchmarks qualifies as
one of the types ofbenchmarks listed under Title
III of Regulation (EU)2016/1011, including thespecific provision by virtue of
which the benchmark
qualifies as that type.

The family of benchmarks qualifies as an UK Paris-Aligned Benchmark under Chapter
3A of Title III of the UK BMR

Users should be aware that ISINs may have been obtained on the Indices by third
parties and, in doing so, such third parties may have supplied inaccurate or incomplete
information with regard to the underlying Index or may have obtained multiple ISINs
for the same Index. Users should contact BISL if they have questions regarding theproper identification of its Indices.
BISL does assign a unique Financial Instrument Global Identifier (“FIGI”) to its Indices.
FIGIs may be found at https://openfigi.com/ by searching for the relevant Index within
the family.

[RTS 1(1)]600689818.1
Global Family of IndicesBloomberg Indices(2)

The benchmark statement shallclearly and unambiguously
define the market or economic
reality measured by the
benchmark and thecircumstances in which suchmeasurement may become
unreliable.
[UK BMR 27(1)(a)]In defining the market or
economic reality, the benchmark
statement shall include at least
the following information:(a) a general description of themarket or economic reality.
(b) the geographical boundaries,
if any, of the market or economic
reality;(c) any other information that theadministrator reasonably
considers to be relevant or usefulto help users or potential usersof the benchmark to understandthe relevant features of themarket or economic reality,
including at least the following
elements insofar as reliable dataon these elements is available:(i) information on actual or
potential participants in themarket;A Bloomberg Professional Services offering

Market or economic reality measured by the benchmark family:
The Indices aim to provide long term sustainable return by referencing an equity
portfolio seeking at least a 50% greenhouse gas (“GHG”) Intensity reduction
compared to the corresponding parent indices (“Parent Indices”, and each, a “Parent
Index”) and at least 7% reduction on average per annum.
The Indices use the reference 1.5 °C temperature scenario, with no or limited
overshoot, as referred to in the Special Report on Global Warming of 1.5 °C from theIntergovernmental Panel on Climate Change (the “IPCC”) as the reference
temperature scenario to construct the methodology. Additional Environmental, Socialand Governance factors are applied to both selection and weighting of theconstituents to meet the overall long-term sustainable objective.
The size of the market and economic reality covered by the parent Indices covers
over 99% of the available free float market capitalisation in 49 developed andemerging countries. The market capitalisation of the parent index exceeds $US 69.7
trillion, with indices are available in global, regional, and country exposures in various
currencies and returns.
All listed equities and equity-like securities, including Real Estate Investment Trusts(REITs) are considered for inclusion in the country or region-specific Indices. Private
Equity firms are eligible if they are structured as Corporations and Business
Development Companies are eligible if they are also classified as Investment Holding
Companies. Further information is available in the Global Equity Index Methodology.
Annex 1 illustrates the coverage of the Indices including relevant geographicalboundaries of individual benchmarks.
Further breakdowns of sub-components and associated fact sheets may be foundhere or by entering INP <GO> on the Bloomberg Terminal® and selecting “Fact
Sheets”.
By firm type, users of the Indices include asset managers, insurance companies,
pension funds/plan sponsors, investment banks, commercial banks/trust banks,
central banks, sovereign wealth funds, hedge funds, ETF providers, investment
consultants, and private wealth and retail investors.

(ii) an indication of the size ofthe market or economic
reality.
[RTS 1(2)]600689818.1
Global Family of IndicesBloomberg Indices(3)

In defining the potential
limitations of the benchmark andthe circumstances in which themeasurement of the market or
economic reality may become
unreliable, the benchmark
statement shall include at least:(a) a description of thecircumstances in which theadministrator would lacksufficient input data to determine
the benchmark in accordancewith the methodology;(b) where relevant, a descriptionof instances when the accuracy
and reliability of themethodology used for
determining the benchmark can
no longer be ensured, such as
when the administrator deems
the liquidity in the underlying
market as insufficient;(c) any other information that theadministrator reasonably
considers to be relevant or usefulto help users and potential users
to understand the circumstancesin which the measurement of themarket or economic reality may
become unreliable, including adescription of what might
constitute an exceptional market
event.
[RTS 1(3)](4)

The benchmark statement shalllay down technical specifications
that clearly and unambiguously
identify the elements of thecalculation of the benchmark in
relation to which discretion may
be exercised, the criteria
applicable to the exercise of suchdiscretion and the position of thepersons that can exercise
discretion, and how suchdiscretion may be subsequently
evaluated.

A Bloomberg Professional Services offering

Limitations of the IndicesThough the Indices are designed to be representative of the markets they measure orotherwise align with their stated objective, they may not be representative in every caseor achieve their stated objective in all instances. They are designed and calculated
strictly to follow the rules detailed in the methodology, and any index level or other
output is limited in its usefulness to such design and calculation.
Markets can be volatile, including those equity markets which the Indices intend tomeasure. For example, illiquidity can have an impact on the quality or amount of data
available to BISL (or its underlying sources of data) for calculation and may cause the
Indices to produce unpredictable or unanticipated results. If the stock exchanges, fromwhich the prices are sourced, experience disruption or cease to operate, BISL may lacksufficient input data to determine the benchmark within the methodology.
In addition, market trends and changes to market structure may render the objective of
the Indices unachievable or to become impractical to replicate by investors.

In particular, the Indices measure the performance of global equity securities. As withall equity investing, the Indices are exposed to market risk. The value of equities
fluctuates with the changes in economic forecasts, interest rate policies established bycentral banks and perceived geopolitical risk. The Indices do not take into accountthe cost of replication and as a result a tracking portfolio’s returns will underperformthe Index with all else equal. As the Indices are designed to measure those markets,
its Indices could be materially impacted by market movements, thus significantly
impacting the use or usefulness of the index values or levels for some or all users.
Other than as set forth in the methodology for the Indices, there are no minimum
liquidity requirements for Index constituents and/or minimum requirements or
standards for the quantity or quality of the input data.
BISL relies on external data providers for the provision of ESG data used in theselection, weighting and calculation of the benchmarks. This includes climate models,estimations and sourcing of underlying ESG data used to calculate such scores. BISL
places reliance on such extremal data providers with respect to their ESG data anddoes not have control over, or detailed insight into, the reliability of the raw data
sourced external providers and their respective calculation models. The measurementof the benchmark may become unreliable should the ESG data become unavailable orinaccurate.

The Indices are rules-based, and their construction is designed to consistently produce
values without the exercise of expert judgment or discretion under the standard
methodology, in day-to-day index calculation. Nevertheless, BISL may use expert
judgment or discretion in certain limited circumstances, with regards to the following:Index restatements
Extraordinary circumstances during a market emergency
Data interruptions, issues, and closures

When expert judgment or discretion is required, BISL undertakes to be consistent in
its application, with recourse to written procedures outlined in the methodology of the
Indices and internal procedures manuals.

600689818.1
Global Family of IndicesBloomberg Indices[UK BMR 27(1)(b)]A benchmark statement shallcontain at least the controls andrules that govern any exercise ofjudgement or discretion by theadministrator or any contributors,
to ensure consistency in the useof such judgement or discretion.

A Bloomberg Professional Services offering

In certain circumstances, exercises of expert judgment or discretion are reviewed bysenior members of BISL management and Bloomberg Compliance teams, and arereported to the Product, Risk & Operations Committee (PROC), BISL’s governancecommittee, which operates under the supervision of BISL’s oversight function, theBenchmark Oversight Committee (BOC). BISL also maintains and enforces a code of
ethics to prevent conflicts of interest from inappropriately influencing index
construction, production, and distribution, including the use of expert judgment or
discretion. In most instances, discretion is applied to maintain Index constituents as set
out in the methodology, and may be applied to (but not limited to) areas of index
construction such as country assignment, float factors, foreign ownership limits, or
corporate action applications.

[UK BMR27(2)(d)]In specifying the controls andrules that govern any exercise ofjudgement or discretion by theadministrator or any contributors
in calculating the benchmark or
benchmarks, the benchmark
statement shall include an outlineof each step of the process forany ex post evaluation of the useof discretion, together with aclear indication of the position of
any person(s) responsible forcarrying out the evaluations.
[RTS 1(4)](5)

A benchmark statement shallcontain at least the rationale for
adopting the benchmark
methodology and procedures forthe review and approval of themethodology.
[UK BMR27(2)(b)]In specifying the procedures forreview of the methodology, thebenchmark statement shall at
least outline the procedures for
public consultation on any
material changes to themethodology.
[RTS 1(5)]The Indices aim to provide long term sustainable return by referencing an equity
portfolio seeking at least a 50% GHG Intensity reduction compared to thecorresponding Parent Index and at least 7% reduction on average per annum.
BISL will review the Indices (both the rules of construction and data inputs) on a periodic
basis, not less frequently than annually, to determine whether they continue toreasonably measure the intended underlying market interest, the economic reality orotherwise align with their stated objective. More frequent reviews may result fromextreme market events and/or material changes to the applicable underlying market
interests. Any resulting change to the methodology deemed to be material (discussed
below) will be subject to the review of the PROC under the oversight of the BOC, eachof which committees shall be provided all relevant information and materials it requests
relating to the change.
Material changes related to the Indices will be made available in advance to affectedstakeholders whose input will be solicited. The stakeholder engagement will set forth
the rationale for any proposed changes as well as the timeframe and process forresponses. BISL will endeavour to provide at least two weeks for review prior to any
material change going into effect. For material changes anticipated to have a significant
operational impact on stakeholders, this period may be longer. But in the event ofexigent market circumstances, this period may be shorter. Subject to requests forconfidentiality, stakeholder feedback and BISL’s responses will be made accessible
upon reasonable request.

600689818.1
Global Family of IndicesBloomberg Indices

A Bloomberg Professional Services offering

In determining whether a change to the Indices is material, the following factors shallbe taken into account:•••

The economic and financial impact of the change;
Whether the change affects the original purpose of the Indices; and/or
Whether the change is consistent with the overall objective of the Indices andthe underlying market interests they seek to measure.

Simple rules corrections that do not functionally change the Indices would notnecessarily be a material change leading to stakeholder engagement. Regardless, BISL
reserves the right to consult with stakeholders on all changes whether or not they are
deemed by BISL to be material, including via its IAC process, discussed below.
In addition to material changes, BISL may from time to time terminate one or more
Indices (“Discontinued Indices”), whether due to changes in market structure, a lack ofrequisite data, insufficient usage, or for other regulatory or practical concerns. The
process for terminating such Discontinued Indices is as follows:
The PROC will review proposed terminations, taking into account the reasons fortermination, the impact on users (if any), the availability of alternative products andother such factors. If termination is approved, users will be provided as much priornotice as is reasonable under the circumstances, typically 90 days. In the event there islittle or no known usage identified, the Discontinued Indices may be terminated withless (or no) notice, as applicable. In the event the Discontinued Indices are licensed foruse as the basis of an ETF or other widely-available financial product or is otherwise
determined by BISL to be an important benchmark without reasonable substitutes, thenotice period may be extended, as warranted. Any advance notice period is subject to
BISL being reasonably able to continue administering and calculating such benchmark
during such period (for example, BISL has access to requisite data on commerciallyreasonable terms, is not subject to any litigation or other claims, has adequate internal
resources and capabilities, etc.). Terminations and associated user engagement
decisions made by the PROC are subject to review by BISL's oversight function, the
BOC.
(6)

The benchmark statement shallprovide notice of the possibility
that factors, including external
factors beyond the control of theadministrator, may necessitatechanges to, or the cessation of
the benchmark.

Users should be aware that factors, including external factors beyond the control of
BISL, may necessitate changes to, or the cessation of the Indices or components
thereof. For example, markets measured by the Indices may undergo structuralchanges which may affect the liquidity of underlying constituents of the Indices. In
addition, regulatory changes can adversely impact the effectiveness of methodology
design.

[UK BMR 27(1)(c)](7)

The benchmark statement shalladvise users that changes to, or
the cessation of, the benchmark
may have an impact upon thefinancial contracts and financial
instruments that reference thebenchmark or the measurementof the performance of investment
funds.

If financial product issuers or investment managers choose to use one of the Indices as
the basis of an index-linked financial product or an investment fund, they should
consider the possibility that factors, including external factors, may necessitate changes
to, or the cessation of the Indices or components thereof, including the potential needto terminate or modify the terms of a financial product resulting from the terminationof the calculation of one or more of the Indices.

[UK BMR 27(1)(d)]600689818.1
Global Family of IndicesBloomberg Indices(8)

A benchmark statement shallcontain at least the definitions for
all key terms relating to thebenchmark.

A Bloomberg Professional Services offering

All key terms and other relevant information are set forth in the methodology for the
Indices available here.

[UK BMR 27(2)(a)](9)

The administrator shall review
and, where necessary, update thebenchmark statement for eachbenchmark or family ofbenchmarks in the event of any
changes to the information to beprovided under this Article and at
least every two years.

BISL shall review this Statement on a periodic basis, at least once every two years, or asotherwise warranted in the event of (i) any material changes to the methodology for the
Indices; or (ii) any changes to the information provided herein.

[UK BMR 27(1)]In addition to the cases referred
to in the third subparagraph of
Article 27(1) of Regulation (EU)2016/1011, an update of thebenchmark statement shall be
required whenever the
information contained in thestatement ceases to be correct or
sufficiently precise, andincluding in any event in thefollowing cases:(a) whenever there is a change inthe type of the benchmark;(b) whenever there is a materialchange in the methodology used
for determining the benchmark
or, if the benchmark statement isfor a family of benchmarks, in themethodology used for
determining any benchmark
within the family of benchmarks.

[RTS 6](10)

A benchmark statement shallcontain at least the criteria andprocedures used to determine
the benchmark, including adescription of the input data, thepriority given to different types of
input data, the minimum data

Description of the Input Data
The input data used are official prices sourced from eligible stock exchanges per the
Global Equity Methodology.
Priority of Input Data
There is no type of input data which is given priority over another; as the input data is
the prices of equity securities, the issue of prioritization of input data does not arise.

600689818.1
Global Family of IndicesBloomberg Indicesneeded to determine abenchmark, the use of any
models or methods ofextrapolation and any procedure
for rebalancing the constituentsof a benchmark's index.
[UK BMR 27(2)(c)]A Bloomberg Professional Services offering

Pricing
The Index securities are priced by applying a waterfall based on availability, prioritizing
the official closing price provided by the respective exchange. The result is the priceused for calculation of the Index (Index Price).
Minimum data needed to determine a Benchmark
Minimum data requirements are set out in the Bloomberg Global Equity Methodology.
Constituent Selection
As described under “Market or economic reality measured by the benchmark family” inrow (2) above, a number of criteria and characteristics are utilized to determine theindex eligibility of particular securities among and across the various Indices. Annex 1
illustrates, at a high level, how the Indices are segregated and organized.
Data Extrapolation
The Index is produced without the interpolation or extrapolation of input data.

Rebalancing
The Indices are rebalanced on a semi-annual frequency. For additional details
regarding the rebalancing schedule, please refer to the publicly-available
methodology document.

For greater detail regarding the criteria and procedures used to determine the Indices,
please refer to the publicly-available methodology for the Indices available here.

(11)

A benchmark statement shallcontain at least the procedures
which govern the determinationof the benchmark in periods ofstress or periods wheretransaction data sources may beinsufficient, inaccurate or
unreliable and the potential
limitations of the benchmark insuch periods.
[UK BMR 27(2)(e)](12)

A benchmark statement shallcontain at least the proceduresfor dealing with errors in input
data or in the determination of
the benchmark, including when are-determination of thebenchmark is required.
[UK BMR 27(2)(f)]Should a market disruption occur during trading hours causing the relevant stock
exchange to not resume normal activity prior to market close, for one or more listed
securities, BISL will use the last available price.
In cases where market prices are revised by the stock exchange following a disruption,
the impact of the discrepancy is assessed, and actions are determined as per the rules
stated in the Restatement Policy set out in Appendix I of Bloomberg’s Global Equity
Index Methodology.
In cases where a market disruption occurs on the implementation of a corporate action,
or a rebalance (i.e., the process of applying a selection and re-weighting of securities
to an Index), decisions to maintain or postpone the planned changes will be made ona case-by-case basis and will be communicated accordingly.

To the extent a material error in Index values is uncovered following its publication anddissemination, a notification will be sent to Index clients alerting them of such error andthe expected date of a revised publication, if warranted. BISL considers the following
factors to determine whether to restate. Not all conditions need to be present towarrant a restatement, and certain factors may be more determinative that others
depending on the circumstances of the given error.
The relative importance of the data field impacted by the error;
When the error occurred and when it was discovered;
The number of Indices and sub-Indices affected;

600689818.1
Global Family of IndicesBloomberg Indices

A Bloomberg Professional Services offering






Whether the impacted Indices are linked to tradable products;
The magnitude of the error;
The burden of restatement on client re-processing relative to the impact of theerror; andThe impact of the restatement on analytical tools.

Further information regarding the handling of errors can be found in the methodology
here.
(13)

A benchmark statement shallcontain at least the identificationof potential limitations of thebenchmark, including its
operation in illiquid orfragmented markets and thepossible concentration of inputs.

See “Benchmark Limitations” in row (3) above.

[UK BMR 27(2)(g)](14)

Specific disclosure
requirements for regulated
data benchmarks.

Not applicable.

In addition to the information to
be included pursuant to Article 1,
for a regulated-data benchmark
or, where applicable, family of
regulated-data benchmarks, thebenchmark statement shall state
at least the following in its
description of the input data:(a) the sources of the input data
used;(b) for each source, the relevant
type , as listed in Article 3(1)(24)
of Regulation (EU) 2016/1011.
[RTS 2](15)

Specific disclosure
requirements for interest ratebenchmarks

Not applicable.

1. In addition to the information to
be included pursuant to Article 1,
for an interest rate benchmark or,
where applicable, family ofinterest rate benchmarks, thebenchmark statement shall
include at least the following
information:
600689818.1
Global Family of IndicesBloomberg Indices

A Bloomberg Professional Services offering(a) a reference alerting users to
the additional regulatory regime
applicable to interest ratebenchmarks under Annex I to
Regulation (EU) 2016/1011;(b) a description of thearrangements that have been put
in place to comply with that
Annex.
[RTS 3](16)

Specific disclosure
requirements for commodity
benchmarks

Not applicable.

In addition to the information to
be included pursuant to Article 1,
for a commodity benchmark or,
where applicable, family ofcommodity benchmarks, thebenchmark statement shall at
least:(a) indicate whether therequirements of Title II of, orAnnex II to, Regulation (EU)2016/1011 apply to thebenchmark, or family ofbenchmarks as prescribed by
Article 19 of that Regulation;(b) include an explanation as towhy Title II of or, as the case may
be, Annex II to that Regulation
applies;(c) include in the definitions of
key terms a concise descriptionof the criteria that define therelevant underlying physicalcommodity;(d) where applicable, indicate
where the explanations are
published that the administrator
is required to publish underparagraph 7 of Annex II to that
Regulation.
[RTS 4](17)

Not applicable.

600689818.1
Global Family of IndicesBloomberg Indices

A Bloomberg Professional Services offering

Specific disclosure
requirements for criticalbenchmarks
In addition to the information to
be included pursuant to Article 1,
for a critical benchmark, or,where applicable, a family ofbenchmarks that contains at least
one critical benchmark, thebenchmark statement shall
include at least the following
information:(a) a reference alerting users to
the enhanced regulatory regime
applicable to critical benchmarks
under Regulation (EU) 2016/1011;(b) a statement indicating how
users will be informed of any
delay in the publication of thebenchmark or of any redetermination of the benchmark,and indicating the (expected)
duration of measures.
[RTS 5]600689818.1
Global Family of IndicesBloomberg Indices

A Bloomberg Professional Services offering

BLOOMBERG, BLOOMBERG INDICES and the BLOOMBERG GLOBAL EQUITY PARIS-ALIGNED BENCHMARKS (the “Index”) aretrademarks or service marks of Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index
Services Limited, the administrator of the Index (collectively, “Bloomberg”) or Bloomberg's licensors own all proprietary rights in
the Index. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to the Index.
Bloomberg makes no warranty, express or implied, as to the Index or any data or values relating thereto or results to be obtained
therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. It is notpossible to invest directly in an Index. Back-tested performance is not actual performance. Past performance is not an indication of
future results. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors,
agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages - whether direct,
indirect, consequential, incidental, punitive or otherwise - arising in connection with the Index or any data or values relating thereto- whether arising from their negligence or otherwise. This document constitutes the provision of factual information, rather thanfinancial product advice. Nothing in the Index shall constitute or be construed as an offering of financial instruments or as
investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to enteror not to enter into any other transaction involving any specific interest or interests) by Bloomberg or a recommendation as to an
investment or other strategy by Bloomberg. Data and other information available via the Index should not be considered as
information sufficient upon which to base an investment decision. All information provided by the Index is impersonal and not
tailored to the needs of any person, entity or group of persons. Bloomberg does not express an opinion on the future or expectedvalue of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind.
Customers should consider obtaining independent advice before making any financial decisions. © 2022 Bloomberg. All rights
reserved. This document and its contents may not be forwarded or redistributed without the prior consent of Bloomberg.
The BLOOMBERG TERMINAL service and Bloomberg data products (the “Services”) are owned and distributed by Bloomberg
Finance L.P. (“BFLP”) except (i) in Argentina, Australia and certain jurisdictions in the Pacific islands, Bermuda, China, India, Japan,
Korea and New Zealand, where Bloomberg L.P. and its subsidiaries distribute these products, and (ii) in Singapore and thejurisdictions serviced by Bloomberg’s Singapore office, where a subsidiary of BFLP distributes these products.
Bloomberg Index Services Limited is registered in England and Wales under registered number 08934023 and has its registeredoffice at 3 Queen Victoria Street, London, England, EC4N 4TQ. Bloomberg Index Services Limited is authorised and regulated by
the Financial Conduct Authority as a benchmark administrator.

600689818.1
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A Bloomberg Professional Services offering

Annex 1
Index Ticker

Index NameCAPABNLCAPABPRLCAPABTLCAPABNCAPABPCAPABTCAPABNECAPABPECAPABTEJPPABNLJPPABPLJPPABTLJPPABNJPPABPJPPABTJPPABNEJPPABPEJPPABTEUSPABNUSPABPUSPABTUSPABNEUSPABPEUSPABTEAPXPABNAPXPABPAPXPABTAPXPABNE
APXPABPE
APXPABTE
ERPPABNE
ERPPABEERPPABTE
ERPPABNERPPAB
ERPPABTEURPABNLEURPABPLEURPABTLEURPABNEURPABPEURPABTEUXPABNLEUXPABPLEUXPABTLEUXPABNEUXPABPEUXPABTDMPABNDMPABPDMPABTDMPABNEDMPABPEDMPABTE
EU50PABN
EU50PABP
EU50PABT

Bloomberg PAB Canada Large & Mid Cap Net Return Index CAD
Bloomberg PAB Canada Large & Mid Cap Price Return Index CAD
Bloomberg PAB Canada Large & Mid Cap Total Return Index CAD
Bloomberg PAB Canada Large & Mid Cap Net Return Index USD
Bloomberg PAB Canada Large & Mid Cap Price Return Index USD
Bloomberg PAB Canada Large & Mid Cap Total Return Index USD
Bloomberg PAB Canada Large & Mid Cap Net Return Index EUR
Bloomberg PAB Canada Large & Mid Cap Price Return Index EUR
Bloomberg PAB Canada Large & Mid Cap Total Return Index EUR
Bloomberg PAB Japan Large & Mid Cap Net Return Index JPY
Bloomberg PAB Japan Large & Mid Cap Price Return Index JPY
Bloomberg PAB Japan Large & Mid Cap Total Return Index JPY
Bloomberg PAB Japan Large & Mid Cap Net Return Index USD
Bloomberg PAB Japan Large & Mid Cap Price Return Index USD
Bloomberg PAB Japan Large & Mid Cap Total Return Index USD
Bloomberg PAB Japan Large & Mid Cap Net Return Index EUR
Bloomberg PAB Japan Large & Mid Cap Price Return Index EUR
Bloomberg PAB Japan Large & Mid Cap Total Return Index EUR
Bloomberg PAB US Large & Mid Cap Net Return Index USD
Bloomberg PAB US Large & Mid Cap Price Return Index USD
Bloomberg PAB US Large & Mid Cap Total Return Index USD
Bloomberg PAB US Large & Mid Cap Net Return Index EUR
Bloomberg PAB US Large & Mid Cap Price Return Index EUR
Bloomberg PAB US Large & Mid Cap Total Return Index EUR
Bloomberg PAB APAC DM ex-Japan Large & Mid Cap Net Return Index USD
Bloomberg PAB APAC DM ex-Japan Large & Mid Cap Price Return Index USD
Bloomberg PAB APAC DM ex-Japan Large & Mid Cap Total Return Index USD
Bloomberg PAB APAC DM ex-Japan Large & Mid Cap Net Return Index EUR
Bloomberg PAB APAC DM ex-Japan Large & Mid Cap Price Return Index EUR
Bloomberg PAB APAC DM ex-Japan Large & Mid Cap Total Return Index EUR
Bloomberg PAB Europe DM Large & Mid Cap Net Return Index EUR
Bloomberg PAB Europe DM Large & Mid Cap Price Return Index EUR
Bloomberg PAB Europe DM Large & Mid Cap Total Return Index EUR
Bloomberg PAB Europe DM Large & Mid Cap Net Return Index USD
Bloomberg PAB Europe DM Large & Mid Cap Price Return Index USD
Bloomberg PAB Europe DM Large & Mid Cap Total Return Index USD
Bloomberg PAB Eurozone DM Large & Mid Cap Net Return Index EUR
Bloomberg PAB Eurozone DM Large & Mid Cap Price Return Index EUR
Bloomberg PAB Eurozone DM Large & Mid Cap Total Return Index EUR
Bloomberg PAB Eurozone DM Large & Mid Cap Net Return Index USD
Bloomberg PAB Eurozone DM Large & Mid Cap Price Return Index USD
Bloomberg PAB Eurozone DM Large & Mid Cap Total Return Index USD
Bloomberg PAB Europe DM ex-Eurozone Large & Mid Cap Net Return Index EUR
Bloomberg PAB Europe DM ex-Eurozone Large & Mid Cap Price Return Index EUR
Bloomberg PAB Europe DM ex-Eurozone Large & Mid Cap Total Return Index EUR
Bloomberg PAB Europe DM ex-Eurozone Large & Mid Cap Net Return Index USD
Bloomberg PAB Europe DM ex-Eurozone Large & Mid Cap Price Return Index USD
Bloomberg PAB Europe DM ex-Eurozone Large & Mid Cap Total Return Index USD
Bloomberg PAB Developed Markets Large & Mid Cap Net Return Index USD
Bloomberg PAB Developed Markets Large & Mid Cap Price Return Index USD
Bloomberg PAB Developed Markets Large & Mid Cap Total Return Index USD
Bloomberg PAB Developed Markets Large & Mid Cap Net Return Index EUR
Bloomberg PAB Developed Markets Large & Mid Cap Price Return Index EUR
Bloomberg PAB Developed Markets Large & Mid Cap Total Return Index EUR
Bloomberg PAB Eurozone 50 Net Return Index EUR
Bloomberg PAB Eurozone 50 Price Return Index EUR
Bloomberg PAB Eurozone 50 Total Return Index EUR

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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 of benchmarks.

Bloomberg Index Services Limited (“BISL”)

EquityBloomberg Global Equity Paris-Aligned Indices (the “Indices” andeach, an “Index”). This disclosure should be read in conjunction withthe methodology for the Indices which explains how the Indices work.

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

■Yes □No

Item 5. Does the benchmark or familyof benchmarks 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 ofbenchmarks.
a) List of combined ESG factors:

N/A

N/A

b) List of environmental factors:

GHG Emissions Estimated %16.7%

GHG Emissions Reported %83.3%

Exposure of the sectors listed in
Sections A to H and Section L of
Annex I to Regulation (EC) No
1893/2006

60.4%

600689818.1
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Exposure of the benchmark
portfolio to companies theactivities of which fall under
Divisions 05 to 09, 19 and 20 ofAnnex I to Regulation (EC) No
1893/2006

1.1%

Biodiversity Protection*

59.9%

Climate Change Adaption*

44.7%

Climate Change Mitigation*

55.5%

Pollution Prevention*

59.7%

Waste Prevention*

56%

Water Sustainability*

43.8%

Controversial Weapons Exposure0%

Tobacco Exposure

0%

UNDC/OECD Violation Exposure0%

Exposure of the benchmark
portfolio to companies without
due diligence policies on issues
addressed by the fundamental
International Labor Organisation
Conventions 1 to 8.
Weighted average gender pay
gap.

Data not currently available

Data not currently available

Weighted average ratio of female
to male board members.

Data not currently available

Weighted average ratio ofaccidents, injuries, fatalities.

Data not currently available

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Numbers of convictions andamount of fines for violations ofanti-corruption and anti-bribery
laws.

d) List of governance factors:

Weighted average percentage ofboard members who are
independent.
Weighted average percentage offemale board members.

Data not currently available

Data not currently available

Data not currently available

Item 7. Where the response to Item 5 is positive, provide below the details (score) for the benchmark or familyof benchmarks, in relation the following ESG factors: combined ESG factors, environmental, social andgovernance, depending on 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.
a) List of combined ESG factors:

Details of these factors can be found in the ESG Disclosures Reportb) List of environmental factors:

Details of these factors can be found in the ESG Disclosures Reportc) List of social factors:

Details of these factors can be found in the ESG Disclosures Reportd) List of governance factors:

Details of these factors can be found in the ESG Disclosures Report

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

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 toprovide information on the ESG factors
Bloomberg Finance L.P. (“Bloomberg ESG Group”) – reported andin the benchmark statement.
modelled GHG emissions data, reported and modelled EU taxonomy
Describe how the data used to provide data.
information on the ESG factors in thebenchmark statement are sourced and Contact details are available here.
whether, and to what extent, data are
estimated or reported.
For further information on the Distributional Greenhouse Gas
Emissions Estimates and the EU taxonomy methodology, please refer
to Terminal function BESG <GO> otherwise this can be made600689818.1
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available upon request.
Sustainalytics US, Inc (“Sustainalytics”) – reported and modelled from
Product Involvement, Global Standards Screening and Risk Rating
data libraries.
For further information and contact details, please refer tohttp://www.sustainalytics.com/
In particular, the Indices use the following Sustainalytics ESG
products: Global Standards Screening, Product Involvement,
Controversial Weapons Radar and ESG Data.
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 thereporting under item 6 and/or item 7.
To align with the precautionary principle, a company not covered by
Sustainanyltics for exclusions is not included. Distributional estimatesmeasure the uncertainty in GHG emissions, using the precautionary
principle where the estimated 75th percentile is applied.
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 PARIS-ALIGNED 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)

b)

c)

Details of the forward-looking year-on-year decarbonisation trajectoryfor each benchmark can be found in the ESG Disclosures Report foreach benchmark.
Details of the achievement of the IPCC decarbonisation trajectory candegree to which the IPCC
be found in the ESG Disclosures Report
decarbonisation trajectory (1,5°C
with no or limited overshoot) has
been achieved on average per year
since creation;
forward-looking year-on-year
decarbonisation trajectory;

overlap between those benchmarks
and their investable universe, as
defined in Article 1, point (e), of
Commission
Delegated
Regulation

The active share measure can be found in the ESG Disclosures Report(EU) 2020/1818, using the active
share at asset level.

SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARISAGREEMENT
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 eachbenchmark, or where applicable, the family of benchmarks, disclose the following information:

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a)

b)

c)

d)

Does the benchmark align with thetarget of reducing carbon emissions
or the attainment of the objectivesof the Paris Agreement;

A Bloomberg Professional Services offering■ Yes □ No

The Indices use the reference 1.5 °C temperature scenario, with no or
the temperature scenario, in
limited overshoot.
accordance with international
standards, used for the alignment
with the target of reducing GHG
emissions or the attainment of theobjectives of the Paris Agreement;
The Special Report on Global Warming of 1.5 °C from thethe name of the provider of theIntergovernmental Panel on Climate Change (the “IPCC”).
temperature scenario used for thealignment with the target of
reducing GHG emissions or theattainment of the objectives of theParis Agreement;
Decarbonisation Trajectory
the methodology used for themeasurement of the alignment The GHG Intensity for EU Paris-aligned Benchmarks, including Scope
1, 2 and 3 GHG emissions, shall be at least 50% lower than the GHG
with the temperature scenario;
Intensity of the investable universe. Therefore, at the start of thedecarbonisation trajectory, a Reference GHG Intensity is syntheticallyderived as 50% of the GHG Intensity of the Parent Index on the Base
Date (2020-04-06).
On subsequent rebalances, the annualized GHG Intensity of the Index
shall be less than the lower of 50% of the GHG Intensity of the Parent
Index, or a GHG Intensity level implied by 7% year on year geometric
reduction relative to the Reference GHG Intensity, after taking inconsideration any inflation in EVIC.
Therefore, for rebalance 𝑖𝑖, the GHG Intensity of the Index shall be no
more than:𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅_𝐺𝐺𝐺𝐺𝐺𝐺 × 0.93𝑖𝑖/2, 50% × 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺𝑖𝑖 �
𝑀𝑀𝑀𝑀𝑀𝑀 �
𝐼𝐼𝐼𝐼𝐼𝐼𝑖𝑖,0

Where:
𝑖𝑖 is the rebalance as an integer counted in ascending order from theBase Date, for the avoidance of doubt 𝑖𝑖 is equal to 0 on the BaseDate;
𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅_𝐺𝐺𝐺𝐺𝐺𝐺 is the GHG Intensity derived as 50% of 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺0 ;𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺𝑖𝑖 is the GHG Intensity level of the Parent Index on the Free
Float Date as of rebalance 𝑖𝑖;
𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺0 is the GHG Intensity level of the Parent Index on the Free
Float Date immediately prior to the Base Date; and𝐼𝐼𝐼𝐼𝐼𝐼𝑖𝑖,0 is the Inflation Adjustment Factor at rebalance 𝑖𝑖 relative to theBase Date. For the avoidance of doubt, the Inflation Adjustment
Factor is equal to 1 on the Base Date.
Should a significant change occur in the calculation methodology of
the GHG intensity a new Base Date shall be set for measuring against
the decarbonisation trajectory.
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GHG Intensity
The Bloomberg ESG Group gathers GHG emissions figures frompublicly-available, company-reported annual accounts orsustainability reports, or any other public source these figures areincluded in. Company-reported emissions figures are checked by the
Bloomberg ESG Group for completeness, consistency and accuracy.
When reported GHG emissions are not available the Bloomberg ESG
Group provides estimates.
GHG Intensity of an Index, calculated semi-annually, is the weighted
GHG Intensity of the underlying constituents of the Index:
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼_𝐺𝐺𝐺𝐺𝐺𝐺𝑑𝑑 =

𝑛𝑛𝑑𝑑
∑𝑖𝑖=1
𝑤𝑤𝑑𝑑𝑖𝑖 × 𝐺𝐺𝐺𝐺𝐺𝐺 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑦𝑦𝑠𝑠𝑖𝑖
𝑑𝑑∑𝑛𝑛𝑖𝑖=1
𝑤𝑤𝑑𝑑𝑖𝑖

Securities with an invalid GHG Intensity value are excluded from thecalculation of the GHG Intensity of an Index.
Where:
𝑖𝑖 is an index constituent;
𝑛𝑛𝑑𝑑 is with respect to Free Float Date, 𝑑𝑑, the number of index
constituents;
𝑤𝑤𝑑𝑑𝑖𝑖 is with respect to Free Float Date, 𝑑𝑑, the weight of constituent, 𝑖𝑖,inthe index; and𝐺𝐺𝐺𝐺𝐺𝐺 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑠𝑠𝑖𝑖 is with respect to Selection Date, 𝑠𝑠, the GHG intensityof constituent, 𝑖𝑖.
GHG Intensity for an index constituent is the total GHG emissions
normalised by EVIC:𝐺𝐺𝐺𝐺𝐺𝐺 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡𝑖𝑖 =𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 1𝑖𝑖𝑡𝑡 + 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 2𝑖𝑖𝑡𝑡 + 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 3𝑖𝑖𝑡𝑡
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑡𝑡𝑖𝑖

If any of the following criteria are met, the GHG Intensity in respect ofconstituent i and Selection Date s is considered invalid:
1)

The EVIC value of constituent i and Selection Date s is notavailable.

2)

There is no estimate available for either Scope 1 or Scope 2
GHG emissions in respect of constituent i and Selection Dates.

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Where:
𝑖𝑖 is an index constituent;𝑡𝑡 is the date when the GHG Intensity is measured;
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 1 and 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 2 are reported GHG emissions for the constituent if
available, otherwise, estimates are obtained at the 75th percentile
from the Bloomberg ESG Group GHG emissions estimate model;
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 3 data is applied for constituents which have been mapped tothe equivalent BICS nodes as the energy and mining sectors within
NACE Divisions 05-09, 19 and 20 ; and𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸 is the enterprise value plus cash of constituent 𝑖𝑖, denominated in
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USD.
For a given constituent, GHG emissions and EVIC are derived for themost recent fiscal year end prior to date 𝑡𝑡.

Bloomberg recognizes the requirement to phase in further Scope 3
emissions estimates as required by the Delegated Acts, specifically:
1. within two years from 23 December 2020, Scope 3 GHG
emissions data for at least the transportation, construction,buildings, materials and industrial sectors referred to in NACE
Divisions 10 to 18, 21 to 33, 41, 42 and 43, 49 to 53 and Division
81; and2.

within four years from 23 December 2020, Scope 3 GHG
emissions data for all other NACE Divisions.

Inflation Adjustment Factor
Where the average EVIC of the constituent securities of the Parent
Index have increased or decreased from the last rebalance, the target
GHG Intensity of the Index will be adjusted by dividing it by an
Inflation Adjustment Factor (the “IAF”).
The IAF is calculated by dividing the average EVIC across all the Index
constituents as of the current Fixed Float Date, 𝑠𝑠, by the average EVICof the index constituents as of a previous Fixed Float Date, 𝑟𝑟:
𝐼𝐼𝐼𝐼𝐼𝐼𝑑𝑑,𝑟𝑟 =

𝑛𝑛𝑟𝑟
𝑛𝑛𝑑𝑑
∑𝑖𝑖=1
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑑𝑑𝑖𝑖 ∑𝑖𝑖=1
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑟𝑟𝑖𝑖
�
𝑛𝑛𝑑𝑑
𝑛𝑛𝑟𝑟

Where:
𝑛𝑛 is the number of Index constituents;
𝑑𝑑 is the current Fixed Float Date;𝑟𝑟 is a previous Fixed Float Date; and𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸 𝑖𝑖 is the enterprise value plus cash, of constituent 𝑖𝑖, denominatedin USD, determined on the Selection Date immediately preceding therelevant Fixed Float Date.
For the purposes of calculating the Inflation Adjustment Factor, Index
constituents with an invalid EVIC value in respect of a Fixed Float Dateare excluded from the average EVIC corresponding to the same Fixed
Float Date.
For the avoidance of doubt the IAF is calculated prior to applying
Baseline and Activity exclusions.
e)the hyperlink to the website of thetemperature scenario used.

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

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