MSCI EUR IG Climate Paris Aligned Corporate
Bond Index
The MSCI Fixed Income Climate Paris Aligned Indexes are designed to support investors seeking to reduce their exposure totransition and physical climate risks and who wish to pursue opportunities arising from the transition to a lower-carbon economy
while aligning with the Paris Agreement requirements. The MSCI Fixed Income Climate Paris Aligned Indexes incorporate theTCFD recommendations and are designed to exceed the minimum standards of the EU Paris-Aligned Benchmark.

Annual performance (%)

Cumulative index performance
EUR RETURNS DEC 2019 – DEC 202114001300

Year

MSCI EUR IG Climate
Paris Aligned CorpBond

MSCI EUR IG CorporateBond2021
2020

-1.14
2.66

-1.17
2.73

1200
1014.94

1100
1000
9001015.30
Dec-19Mar-20Jun-20

Sep-20Dec-20Mar-21MSCI EUR IG CLIMATE PARIS ALIGNED CORP BOND

Jun-21

Sep-21

Dec-21MSCI EUR IG CORPORATE BOND

Index performance
EUR RETURNS (%) DECEMBER 31, 2021
ANNUALIZED RETURN
Index

1 Month

3 Months

1 YearYear to Date

3 Years

5 Years

Since Dec 31, 2019MSCI EUR IG Climate Paris Aligned Corporate Bond-0.31

-0.75

-1.14

-1.14

NANA0.74

MSCI EUR IG Corporate Bond

-0.23

-0.7

-1.17-1.17

NANA

0.76

Index risk and return characteristics
DECEMBER 31, 2021
ANNUALIZED STD. DEVIATION (%)
Index

MSCI EUR IG Climate Paris
Aligned Corporate BondMSCI EUR IG Corporate BondRISK RETURN RATIO (%)

Tracking TurnoverSince Dec
3 Years 5 Years 10 Years
3 Years
Error*31, 2019(%)(%)

5 Years

10 Years

Since Dec
Max
31, 2019 Drawdown

0.15

57.97

NANANA

3.07

NANANA

0.24

7.77-22.07

NANANA

3.10

NANANA

0.25

7.91*Last 12 months

Max Drawdown
Period2020-02-25 -2020-03-25
2020-02-25 -2020-03-25

The MSCI EUR IG Climate Paris Aligned Corporate Bond Index was launched on April 15, 2021. Data prior to the launch date is back-tested data (i.e., calculations of how the index might have performed
over that time period had the index existed). There are frequently material differences between back-tested performance and actual results. Past performance -- whether actual or back-tested -- is no
indication or guarantee of future performance.

MSCI EUR IG Climate Paris Aligned Corporate Bond Index | msci.com

Information Classification: GENERAL

Index Profile# ofsecurities# of issuers

MarketValue EUR(MM)

Coupon*Price*

Yield toWorst

Effective
Duration

Effective
Convexity

OAS**
(bps)

Weighted
CreditRating

0-3 Years

498

286

4371.29

1.26

102.42

-0.07

1.85

0.04

60.05

A-

3-5 Years

468

288

4218.74

1.25

103.68

0.26

3.75

0.16

79.59

A-

5-7 Years

428

276

3957.02

1.13

103.44

0.49

5.57

0.35

89.86

A-Maturity

7-10 Years

386

229

3535.071.12

102.41

0.74

7.66

0.67

102.05

A-10-20 Years

212

123

1937.03

1.41104.58

1.02

11.85

1.66

110.89

A-20+ Years

5235

403.702.64

107.52

1.31

11.94

2.64

141.99A-Aggregate

2044

495

18422.84

1.25

103.26

0.43

5.47

0.48

96.39

A-

* Par Weighted** Effective Duration Weighted

Credit Rating Break Down

ESG Metrics

AAA

MSCI EUR IG
Climate Paris
AlignedCorporate BondMSCI EUR IG
Corporate BondAA+

Controversial Weapons (%)

00AA

ESG score

7.2

6.99

AA-

Environmental Pillar Score

6.9

6.87

A+

Extreme Weather ClimateVaR-0.21-0.61

A

Fossil Fuel Reserves (%)

00.06

A-Governance Pillar Score

5.52

5.22

Green Bonds (%)

0.05

0.05

Green Revenues (%)

8.94

4.51

Social Pillar Score

5.13

5.07

Tobacco (%)

00.01

Very Severe Controversies

00.02

70.87

126.02538.94848.46

BBB+BBBBBB051015202530

WACI (Scope 1+2) (tCO2e/$M Sales)
WACI (Scope 1+2+3) (tCO2e/$M Sales)

MSCI EUR IG CLIMATE PARIS ALIGNED CORP BOND
MSCI EUR IG CORPORATE BOND

Top 5 Securities
Security Name

Currency

Index Weight (%)

Parent Index Weight (%)

Sector

Security Credit Rating

GE 4.125% Due 2035 EMTN REG S

EUR

0.18

0.04

Industrials

BBB+

UNEDI 0.1% STR DUE 25 NOV 2026
UNEDI 0.25% STR DUE 25 NOV 2029

EUREUR

0.18
0.18

0.15
0.15

Financials
Financials

AAAA

UNEDI 1.25% STR BOND DUE 28MAR2027
UNEDI 0.25% STR DUE 16 JUL 2035

EUR
EUR

0.17
0.15

0.13
0.13

Financials
Financials

AAAA

Top 5 Issuers
Issuer Name

Index Weight (%)

Parent Index Weight (%)

Sector

UNEDIC

2.39

1.91

Financials

COMPAGNIE DE FINANCEMENT FONCIER SA

1.95

1.29

Financials

BANQUE FEDERATIVE DU CREDIT MUTUEL SA

1.94

1.24

Financials

BPCE SA

1.54

0.94

Financials

GOLDMAN SACHS GROUP INC

1.39

0.97

Financials

MSCI EUR IG Climate Paris Aligned Corporate Bond Index | msci.com

Information Classification: GENERAL

Sector Weights
3.37%
4.89%

3.36%

0.04%

5.56%
36.32%
5.65%

8.07%

8.17%
11.16%

13.29%

Financials

Industrials

Real Estate

HealthcareCons. Staples

Info TechCons. Disc.

Utilities

Materials

EnergyComm. Svc.

Index Methodology

The MSCI Fixed Income Climate Paris Aligned Indexes are constructed from their corresponding ParentIndexes following an optimization-based approach and aim to exceed the minimum technical requirements laidout in the EU Delegated Act, while aligning with the recommendations of the TCFD. The indexes are designed
to align with a 1.5°C climate scenario using the MSCI Climate Value-at-Risk and a “self-decarbonization” rate of
10% year on year. The indexes aim to reduce exposure to physical risk arising from extreme weather events by
at least 50% and shift index weight from “brown” to “green” using the MSCI Low Carbon transition score and byexcluding categories of fossil-fuel-linked companies.
Furthermore, the indexes also aim to increase the weight of companies which are exposed to climate transition
opportunities and reduce the weight of companies which are exposed to climate transition risks. Finally, theindexes seek to reduce the weight of companies assessed as high carbon emitters using scope 1, 2 and 3
emissions and increase the weight of companies with credible carbon reduction targets through the weighting
scheme while achieving both a modest active share and a low turnover. The Indexes are rebalanced on amonthly basis to coincide with the monthly index review of the MSCI Corporate Bond Indexes. The pro forma
Indexes are in general announced three business days before the effective date of rebalancing.
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MSCI EUR IG Climate Paris Aligned Corporate Bond Index | msci.com

Information Classification: GENERAL