INDEX METHODOLOGYMSCI ESG
Screened Indexes
Methodology
February 2023

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INDEX METHODOLOGYContents
1

Introduction ................................................................................. 3

2

MSCI ESG Research ..................................................................... 43

2.1

MSCI ESG Controversies ............................................................... 4

2.2

MSCI ESG Business Involvement Screening Research............... 4

2.3

MSCI Climate Change Metrics ...................................................... 4

Constructing the MSCI ESG Screened Indexes ............................. 5
3.1 Eligible Universe .............................................................................. 54

3.2

GHG Intensity Reduction ............................................................... 5

3.3

Weighting Scheme ......................................................................... 6

Maintaining the MSCI ESG Screened Indexes ............................... 7
4.1

Quarterly Index Reviews ................................................................ 7

4.2

Monthly Review of Controversies ................................................. 7

4.3

Ongoing Event-Related Maintenance ........................................... 7

Appendix 1 – ESG Exclusions Criteria.................................................. 9
Appendix 2 – Calculation of GHG Intensity ........................................ 12© 2023 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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INDEX METHODOLOGY

1Introduction
The MSCI ESG Screened Indexes (“the Indexes”) aim to represent the performanceof a free float-adjusted market capitalization weighted investment strategy that
excludes companies:•that are associated with controversial, civilian and nuclear weapons aswell as tobacco, palm oil and arctic oil & gas or•that derive revenues from thermal coal power and extraction of selectfossil fuels or•that are not in compliance with the United Nations Global Compact
principles or•that are involved in very severe controversies and/or in certain
biodiversity-related controversies

In addition, the Indexes target a minimum 30% reduction in carbon emission
intensity relative to the underlying parent indexes (“Parent Indexes”).

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INDEX METHODOLOGY

1

MSCI ESG Research
The MSCI ESG Screened Indexes use company ratings and research provided by
MSCI ESG Research. In particular, the Indexes use the following MSCI ESG
Research products: MSCI ESG Controversies, MSCI Business Involvement
Screening Research and MSCI Climate Change Metrics.
For details on MSCI ESG Research’s full suite of ESG products, please refer to:https://www.msci.com/esg-investing.

2.1

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.
For more details on MSCI ESG Controversies, please refer to:https://www.msci.com/esg-and-climate-methodologies.

2.2

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.

2.3

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 withtemperature pathways and factoring climate change research into their risk
management processes, in particular through climate scenario analysis for bothtransition and physical 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.

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INDEX METHODOLOGY

2Constructing the MSCI ESG Screened Indexes
Constructing the Indexes involves the following steps•

Defining the Eligible Universe•

Applying the Greenhouse Gas (GHG) Intensity Reduction

3.1 Eligible Universe
The Eligible Universe for the Indexes is defined by applying the following
exclusions from the Parent Index:•

Controversial Weapons•

Nuclear Weapons•

Civilian Firearms•

Tobacco•Fossil Fuel Extraction•

Thermal Coal Power•

Arctic Oil & Gas•

Palm OilIn addition to the above, companies are also excluded from the Indexes if they
exhibit any of the following characteristics:•

MSCI ESG Controversies Score of 0•

MSCI ESG Controversies: Environment – Land Use and Biodiversity Score
of 1•

MSCI ESG Controversies: Environment – Supply Chain Management Scoreof 1•

Missing MSCI ESG Controversies Score – Companies not assessed by
MSCI ESG Research on MSCI ESG Controversies•

Failure to comply with the United Nations Global Compact Principles.

Please refer to Appendix 1 for details on these criteria.

3.2 GHG Intensity Reduction
After excluding companies as per section 3.1, the GHG intensity relative to the
Parent Index is assessed. If the GHG intensity1 is not at least 30% lower than the
Parent Index, additional securities are excluded from the Eligible Universe toachieve a reduction of 30% GHG intensity relative to the Parent Index. The
following iterative process is applied:
1 Please refer to Appendix 2 for details of the calculation of GHG Intensity.

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INDEX METHODOLOGY

1. Securities are ranked in descending order of GHG intensity.
2. The security with the highest GHG intensity is excluded and the resulting
index is compared to the Parent Index, to determine if a 30% reduction in
GHG intensity has been achieved.
3. If the reduction has been achieved, no further securities are excluded. If
the reduction has not been achieved, further securities are excluded as
per steps 1 and 2 until the 30% reduction is achieved.

3.3 Weighting Scheme
The remaining securities, after the exclusions based on sections 3.1 and 3.2, areweighted in proportion of their free float-adjusted market capitalization.

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INDEX METHODOLOGY

2Maintaining the MSCI ESG Screened Indexes

2.1

Quarterly Index Reviews
The Indexes are reviewed on a quarterly basis to coincide with the regular
Quarterly Index Reviews of the MSCI Global Investable Market Indexes. Thechanges are implemented as of the close of the last business day of February,
May, August and November.
In general, MSCI uses MSCI ESG Research data (including MSCI ESG
Controversies Scores and MSCI Business Involvement Screening Research) as ofthe end of the month preceding the Index Reviews for the rebalancing of theIndex. For some securities, such data may not be published by MSCI ESG
Research by the end of the month preceding the Index Review. For such securities,
MSCI will use ESG data published after the end of month, when available, for therebalancing of the Index.
The pro forma Indexes are in general announced nine business days before theeffective date.

2.2

Monthly Review of Controversies
Index constituents are reviewed on a monthly basis for the involvement in ESG
controversies and for compliance with the United Nations Global Compact
Principles. Existing constituents will be deleted if they face controversies as
defined as defined by MSCI ESG Controversy Score of 0 (‘Red flag’ companies), or
if they fail comply with the UN Global Compact Principles.
MSCI uses MSCI ESG Controversies data as of the end of the month preceding thereview (e.g., end of June data for the end of July monthly review). For somesecurities, such data may not be published by MSCI ESG Research by the end of
the month preceding the review. For such securities, MSCI will use ESG data
published after the end of month, when available, for the monthly review of theIndex.
The pro forma Indexes are generally announced nine business days before thefirst business day of the month.

2.3

Ongoing Event-Related Maintenance
The following section briefly describes the treatment of common corporate
events within the MSCI ESG Screened Indexes.
No new securities will be added (except where noted below) to the Indexes
between Index Reviews. For cases where additions are noted below, securities will
be added to the index only if added to the parent index.
Parent Index deletions will be reflected simultaneously.
There are no deletions from the Indexes outside of the Quarterly Index Reviews
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INDEX METHODOLOGY

because of a change in business involvement and/or failure to comply with the UN
Global Compact Principles and/or decrease in MSCI ESG Controversies Score.
EVENT TYPE

EVENT DETAILSNew additions to the Parent Index

A new security added to the parent
index (such as IPO and other early
inclusions), will not be added to theindex.

Spin-Offs

All securities created as a result of
the spin-off of an existing Index
constituent will not be added to the
MSCI ESG Screened Indexes at thetime of event implementation.
Reevaluation for addition in the
Indexes will occur at thesubsequent Index Review.

Merger/Acquisition

If an existing Index constituent isacquired by a non-Index
constituent, the existing constituent
will be deleted from the Index andthe acquiring non-constituent will
not be added to the Index.

Changes in Security Characteristics

A security will continue to be an
Index constituent if there arechanges in characteristics (country,
sector, size segment, etc.)
Reevaluation for continued
inclusion in the Index will occur atthe subsequent Index Review.

Further detail and illustration regarding specific treatment of corporate events
relevant to this Index can be found in the MSCI Corporate Events Methodology
book.
The MSCI Corporate Events methodology book is available at:https://www.msci.com/index-methodology.

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INDEX METHODOLOGYAppendix 1 – ESG Exclusions Criteria
MSCI ESG Research has developed a framework designed to define significant
involvement in controversial activities. According to this framework, there are fourlevels of restrictiveness: Most Restrictive, Highly Restrictive, Moderately
Restrictive and Least Restrictive.
Each controversial activity screened by the MSCI ESG Screened Indexes (except
Fossil Fuel Extraction, Thermal Coal Power and Global Norms) is assigned to oneof these restrictiveness levels:“Most Restrictive” screen applied•

Controversial Weapons-

All companies with any tie to Controversial Weapons (cluster
munitions, landmines, depleted uranium weapons,
biological/chemical weapons, blinding lasers, non-detectable
fragments and incendiary weapons), as defined by themethodology of the MSCI Ex-Controversial Weapons Indexes
available at https://www.msci.com/index-methodology.

“Highly Restrictive” screen applied•

Nuclear Weapons-

All companies that manufacture nuclear warheads and/or whole
nuclear missiles.

-

All companies that manufacture components that were developedor are significantly modified for exclusive use in nuclear weapons(warheads and missiles).

-All companies that manufacture or assemble delivery platforms
that were developed or significantly modified for the exclusive
delivery of nuclear weapons.

-

All companies that provide auxiliary services related to nuclear
weapons.

-

All companies that manufacture components that were notdeveloped or not significantly modified for exclusive use in nuclear
weapons (warheads and missiles) but can be used in nuclear
weapons.

-

All companies that manufacture or assemble delivery platforms
that were not developed or not significantly modified for the
exclusive delivery of nuclear weapons but have the capability todeliver nuclear weapons.

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INDEX METHODOLOGY••All companies that manufacture components for nuclear-exclusive
delivery platforms.

Civilian Firearms-

All companies classified as “Producer” of firearms and small arms
ammunitions for civilian markets. It does not include companies
that cater to the military, government, and law enforcement
markets.

-

All companies deriving 5% or more aggregate revenue from theproduction and distribution (wholesale or retail) of firearms or
small arms ammunition intended for civilian use.

Tobacco-All companies classified as a “Producer”.

-

All companies deriving 5% or more aggregate revenue from theproduction, distribution, retail, supply and licensing of tobaccorelated products.

No specific restrictiveness level applied•

Fossil Fuel Extraction-•oThermal Coal Mining: Revenue from the mining of thermal coal(including lignite, bituminous, anthracite and steam coal) and its sale
to external parties. It does not cover revenue from metallurgical coal;
coal mined for internal power generation (e.g. in the case of verticallyintegrated power producers); intra-company sales of mined thermal
coal; and revenue from coal tradingoUnconventional Oil & Gas Extraction: Revenue from oil sands, oil shale(kerogen-rich deposits), shale gas, shale oil, coal seam gas and coal
bed methane. It does not cover all types of conventional oil and gas
production including Arctic onshore/offshore, deep water, shallow
water and other onshore/offshore.

Thermal Coal Power-•All companies deriving 5% or more aggregate revenue (either reported or
estimated) from thermal coal mining and unconventional oil and gas
extraction.

All companies deriving 5% or more revenue (either reported or estimated)from thermal coal-based power generation.

Arctic Oil & Gas:-

All companies deriving 5% or more revenue from arctic oil and arctic gas
production. The definition of Arctic is geographical and includes
production activities north of the 66.5 latitude. This includes offshore or
onshore oil and gas production.

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INDEX METHODOLOGY•

Palm Oil-•All companies deriving 5% or more aggregate revenue from the productionof Palm Oil.

Global Norms – United Nations Global Compact Compliance-

All companies that fail to comply with the United Nations Global Compact
principles.

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INDEX METHODOLOGYAppendix 2 – Calculation of GHG Intensity
The security level and index level GHG Intensity are calculated as per below
formula:𝑆𝑒𝑐𝑢𝑟𝑖𝑡𝑦 𝐿𝑒𝑣𝑒𝑙 𝐺𝐻𝐺 𝐼𝑛𝑡𝑒𝑛𝑠𝑖𝑡𝑦 =𝐶𝑎𝑟𝑏𝑜𝑛 𝐸𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠 𝑆𝑐𝑜𝑝𝑒 1 + 2 + 3Enterprise Value + Cash (in M$)

𝐼𝑛𝑑𝑒𝑥 𝐿𝑒𝑣𝑒𝑙 𝐺𝐻𝐺 𝐼𝑛𝑡𝑒𝑛𝑠𝑖𝑡𝑦
𝑠𝑢𝑚 𝑜𝑓 (𝐶𝑜𝑛𝑠𝑡𝑖𝑡𝑢𝑒𝑛𝑡 𝑤𝑒𝑖𝑔ℎ𝑡 ∗ 𝑆𝑒𝑐𝑢𝑟𝑖𝑡𝑦 𝐿𝑒𝑣𝑒𝑙 𝐺𝐻𝐺 𝐼𝑛𝑡𝑒𝑛𝑠𝑖𝑡𝑦)=
𝑠𝑢𝑚 𝑜𝑓 𝑐𝑜𝑛𝑠𝑡𝑖𝑡𝑢𝑒𝑛𝑡 𝑤𝑒𝑖𝑔ℎ𝑡 𝑤𝑖𝑡ℎ 𝐶𝑎𝑟𝑏𝑜𝑛 𝑒𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠 𝑎𝑛𝑑 𝐸𝑉𝐼𝐶 𝑑𝑎𝑡𝑎 𝑎𝑣𝑎𝑖𝑙𝑎𝑏𝑙𝑒

Securities with missing Carbon Emissions and/or Enterprise Value + Cash are notconsidered for potential exclusion under section 3.2.

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INDEX METHODOLOGYAppendix 3 – Tracked Changes
The following sections have been updated as of May 2019:
Appendix 1: ESG Exclusions Criteria•

Clarified the screening criteria for companies involved in ‘Tobacco’

The following sections have been updated as of November 2019:
Appendix 1: ESG Exclusions Criteria•

Clarified the screening criteria for companies involved in ‘Civilian Firearms’

The following sections have been updated as of May 2022:
Section 3.2: ESG Exclusions•

Added ‘Fossil Fuel Extraction’ and ‘Thermal Coal Power’•Removed ‘Thermal Coal’ and ‘Oil Sands’

Section 4.2: Ongoing Event-Related Maintenance•Clarified the maintenance rules

Appendix 1: ESG Exclusions Criteria•

Added screens for ‘Fossil Fuel Extraction’ and ‘Thermal Coal Power’•Removed screens for ‘Thermal Coal’ and ‘Oil Sands’

The following sections have been updated as of August 2022:
Section 3.2: ESG Exclusions•

Removed footnote for MSCI ESG Controversies Score•

Added reference to companies with missing MSCI ESG Controversies
Score

The following sections have been updated as of February 2023:
Section 3.1: Eligible Universe•

Added screens for ‘Arctic Oil & Gas’ and ‘Palm Oil’•

Added references to ‘Environment – Land Use & Biodiversity Score’ and‘Environment – Supply Chain Management Score’© 2023 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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INDEX METHODOLOGY

Section 3.2: GHG Intensity Reduction•

New section

Section 4.2: Monthly Review of Controversies•

New section

Appendix 1: ESG Exclusions Criteria•

Added screens for ‘Palm Oil’ and ‘Arctic Oil & Gas’

Appendix 2: Calculation of GHG Intensity•

New appendix© 2023 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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