Consultation on Potential
Enhancements to MSCIESG Screened Indexes
SEPTEMBER 2022

This consultation may or may not lead to the implementation of any or all of the proposedchanges in the highlighted or any other MSCI indexes. Consultation feedback will remain
confidential. MSCI may publicly disclose feedback if specifically requested by specific market
participants. In that case, the relevant feedback would be published together with the final
results of the consultation.
© 2022 MSCI Inc. All rights reserved.
Information Classification: GENERAL

Please refer to the disclaimer at the end of this document.

Summary• MSCI proposes to enhance the MSCI ESG Screened Indexes methodology to incorporate additional
screens in the areas of climate, biodiversity & waste, and compliance with international standards.

• These enhancements aim to reflect evolution in the sustainable finance space, such as the Sustainable
Finance Disclosure Regulation (SFDR) and the Markets in Financial Instruments Directive II (MiFID II).
• Under the proposal, the MSCI ESG Screened Indexes would continue to apply a pure building block
approach (i.e., same companies excluded across country, regional and global indexes). However, MSCI
also welcomes feedback on potential alternative approaches, such as the incorporation of a carbon
footprint reduction objective and/or the consideration of a minimum proportion of “sustainable
investments”, as per the definition in Article 2(17) of SFDR.
• In parallel with the proposal, MSCI is considering the introduction of a “MSCI Core Screened”* index
series that would continue the objective of the current MSCI ESG Screened Indexes methodology tomanage key, non-region-specific headline risk by excluding companies involved in relevant controversial
activities and/or very severe controversies.
• MSCI invites feedback from market participants on or before October 7, 2022 and will announce theresults of the consultation as well as the implementation timeline on or before October 14, 2022.

* Placeholder Name – not finalized yet.

Information Classification: GENERAL

2

Background – Regulatory Developments• As part of the EU Financing Sustainable Growth Action Plan,– The EU Sustainable Finance Disclosure Regulation (SFDR)* was established to lay down
harmonized rules for financial market participants and financial advisers on transparency withregard to the integration of sustainability risks, the consideration of adverse sustainability impacts
in their processes and the provision of sustainability‐related information with respect to financial
products. This includes de facto labels Article 8 and 9. The SFDR RTS was published in the Official
Journal on July 25, 2022.
– The Markets in Financial Instruments Directive II (MiFID II)** was modified to integrate client’s
preferences in terms of sustainability to augment the existing suitability assessments centered on
return/risk profiles. There are three sustainability preferences categories for financial instruments(see next page).
• In addition, numerous proposals and/or regulations*** were issued related to financial instruments’naming convention, including those from the US SEC, EU Commission SFDR, France AMF, Germany
BaFin, Singapore MAS, Australia ASIC, Hong Kong SFC, Taiwan FSC, amongst others.

Sources:* EUR-Lex - 32019R2088 - EN - EUR-Lex (europa.eu) | https://ec.europa.eu/finance/docs/level-2-measures/C_2022_1931_1_EN_ACT_part1_v6%20(1).pdf** https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=PI_COM:C(2021)2616&from=LV*** Please refer to the Appendix for examples of regulations that incorporate naming convention considerations.

Information Classification: GENERAL

3

Background – MiFID II Sustainability Preference Categories
To enable investment firms that provide investment advice and portfolio management to recommend suitable products totheir clients, those investment firms should introduce in their suitability assessment questions that help identify the client’s
individual ESG preferences*.

The MSCI ESG
Screened Indexes,
given their focus
on excluding key
controversial
business activities,
appear to be morealigned with the“PAI” category, but
may require more
screens.

“Impact”~ SFDR Article 9“Values”~ Article 8?

* Source: https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=PI_COM:C(2021)2616&from=LV** Source: EUR-Lex - 32020R0852 - EN - EUR-Lex (europa.eu)
Classification:
GENERAL*** Source: EUR-Lex - 32019R2088 - EN - EUR-Lex (europa.eu) For moreInformation
details on the PAIs
and the metric definitions,please refer to the Appendix.

4

SOCIAL / EMPLOYEE

CLIMATE /ENVIRONMENT

Current MSCI ESG Screened Indexes Methodology vs. PAIEU SFDR PAI Indicator

Current Screen

Potential Alignment

1-3.GHG Emissions / Carbon Footprint / GHG intensity of investee cos.

Fossil Fuel Extraction*

Limited alignment

4. Exposure to companies active in the fossil fuel sector

Fossil Fuel Extraction

Partial alignment

5. Share of non-renewable energy consumption and production

Thermal Coal Power

Limited alignment

6. Energy consumption intensity per high impact climate sector

-

None

7. Activities negatively affecting biodiversity-sensitive areas

Controversies

Limited alignment

8. Emissions to water

Controversies

Limited alignment

9. Hazardous waste ratio

Controversies

Limited alignment

10. Violations of UNGC principles and OECD Guidelines (for MNEs)

Controversies
UN Global Compact

Strong alignment

11. Lack of processes and compliance mechanisms to monitor
compliance with UNGC principles and OECD Guidelines

Controversies*
UN Global Compact*

Limited alignment

Controversies*

Limited alignment

-

None

Controversial Weapons

Strong alignment

12. Unadjusted gender pay gap

13. Board gender diversity
14. Exposure to controversial weapons*Indirect alignment to PAI.

Information Classification: GENERAL(stricter than PAI)
5

Proposed Enhancements

Information Classification: GENERALKey Considerations in Evolving the MSCI ESG Screened
Indexes Methodology

Aim to enhance thescreens to address,
on a best-efforts
basis, most, if notall, mandatory
principal adverse
impact (PAI)
indicators

Aim to incorporatea stronger ESG
conviction, in linewith emerging
naming regulatory
requirements, whilebalancing theimpact (increase) intracking error

Aim for continuity inindex construction
by maintaining abuilding block
approach and keepusing data as‘factual’ as possible*As defined by MSCI ESG Research.

Information Classification: GENERAL

Aim to align the
new screens toexisting standard
exclusion
frameworks*
and/or screensapplied in other
MSCI ESG andClimate indexes7Summary of Proposed Enhancements
Existing Exclusion ScreensCurrent Methodology(Reference)

•
•
•
•

Controversial Weapons
Nuclear Weapons*
Civilian Firearms*
Tobacco*••••Fossil Fuel Extraction
Thermal Coal PowerMSCI ESG Controversies (“Red Flags”)
UN Global Compact (UNGC) violators

Proposed Additional Exclusion Screens
Proposal 1: Climate• Carbon Footprint – Top 5%• Fossil Fuel Reserves Ownership• Fossil Fuel Power• Energy Management

Proposal 2: Biodiversity /Emissions & Waste• Biodiversity Management• Toxic Emissions & Waste Controversies• Palm Oil• Biocides• Arctic Oil & Gas Extraction

Proposal 3: Social and
Employee Matters• International Standards:- UN Global Compact (UNGC)- Labor Rights (ILO)- Human Rights (UNGPBHR)* Not mapped to a specific PAI.

Information Classification: GENERAL

8

SOCIAL AND EMPLOYEEMATTERS

CLIMATE AND OTHERENVIRONMENT

Proposed MSCI ESG Screened Indexes Methodology vs. PAIEU SFDR PAI Indicator

Current Screen

Additional Screen**

1-3.GHG Emissions / Carbon Footprint / GHG intensity of investee cos.

Fossil Fuel Extraction*

Carbon Footprint – Top 5%

4. Exposure to companies active in the fossil fuel sector

Fossil Fuel Extraction

FF Reserves Ownership

5. Share of non-renewable energy consumption and production

Thermal Coal Power

Fossil Fuel Power

6. Energy consumption intensity per high impact climate sector-

Energy Management

7. Activities negatively affecting biodiversity-sensitive areas

Controversies

Biodiv Mgmt. + Screens8. Emissions to water

Controversies

9. Hazardous waste ratio

Controversies

Toxic Emissions & Waste
Controversies

10. Violations of UNGC principles and OECD Guidelines (for MNEs)

Controversies
UN Global Compact

11. Lack of processes and compliance mechanisms to monitor
compliance with UNGC principles and OECD Guidelines

Controversies*
UN Global Compact*

12. Unadjusted gender pay gap

Controversies*

13. Board gender diversity

14. Exposure to controversial weapons-

International Standards-

Controversial Weapons
Nuclear Weapons*Indirect alignment to PAI.
** The additional screens aim to but may not fully align with the PAI, for example, due to data limitations or the need to control for tracking error.

Information Classification: GENERAL-

9Proposal 1 – Climate
PAI

Proposed
Screen1-2-3

CarbonFootprint –Top 5%

Top 5% companies by emission intensity OR
potential emissions
UNLESS companies have Science Based Targets• Manage headline risk
• Building block approach

Fossil Fuel
Reserves
Ownership

All companies with evidence of ownership offossil fuel reserves, used for energy application• Mitigate stranded asset risk
• Aligned with MSCI SRI / exFossil Fuels Indexes

Fossil Fuel
Extraction

Revenues from thermal coal + unconventionaloil & gas extraction > 0% (vs. 5% currently)

Aligned with MSCI SRI Indexes

5

Fossil FuelPower

Fossil fuel power generation ≥ 50%• Aligned with MSCI Climate
Paris Aligned Indexes• Proxy for non-renewableproduction only

SAUDI ELECTRICITY CO (SA)GULF ENERGY DVPMT (TH)ACWA POWER COMPANY (SA)6EnergyManagement

Exposure to carbon-intensive businessactivities >= 50% AND
No evidence of energy efficiency management

See page 13

DELTA AIR LINES (US)SAUDI INDL INV GROUP (SA)AIR CANADA (CA)4

Details*

Rationale* Precise proposed rules can be found in Appendix.
** Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

Top 3 Extra Names Excluded**BP (GB)RIO TINTO PLC (GB)MARATHON PETROLEUM (US)BERKSHIRE HATHAWAY (US)SHELL (GB)TOTALENERGIES (FR)10

Proposal 1 – Climate > Carbon Footprint Top 5%
PAI 1-2-3: GHG Emissions / Carbon Footprint / GHG intensity
Proposed Screen: Carbon Footprint – Top 5%
Scope 1+2+3 emission intensity (based on EVIC) > MSCI ACWI threshold OR
Potential emissions (ex Metallurgical Coal) > MSCI ACWI threshold

Why define unique thresholds based on MSCI ACWI?
The same thresholds would be applied across all MSCI ESG Screened Indexes, hence preserving the building
block approach (i.e., same companies excluded across country, regional and global indexes).

Levels of carbon reduction for World / EM ESG Screened Indexes under the current vs. proposed methodology:
World
Carbon Metrics
Carbon Intensity Scope 1+2 (Wtd Avg t CO2e / $M EVIC)
Carbon Intensity Scope 1+2+3 (Wtd Avg t CO2e / $M EVIC)
Carbon Intensity Scope 1+2 (Wtd Avg t CO2e / $M Sales)
Carbon Intensity Scope 1+2+3 (Wtd Avg t CO2e / $M Sales)

Parent
44
341
147
1,025

Current
29
256
93
729

Information Classification: GENERAL

EM
Proposal
19
155
84
619

Parent
127
624
367
1,550

Current
92
426
234
1,114

Proposal
46
264
162
866
11

Proposal 1 – Climate > Carbon Footprint Top 5%
DISCUSSION POINTS• An alternative approach to the “carbon footprint – top 5%” screen could be to ensure that aminimum percentage of reduction in emission intensity is achieved versus the parent index.
• This would involve excluding securities only if this is necessary to reach the target
reduction level.
Discussion points:• Is it appropriate to apply a systematic exclusion of companies based on carbon footprint(top 5%) in order to reduce the index emissions?
• Alternatively, should the methodology target a minimum percentage of reduction ofemission intensity for each MSCI ESG Screened index, even if this implies moving awayfrom the building block approach?

Information Classification: GENERAL

12Proposal 1 – Climate > Energy Management
PAI 6: Energy consumption intensity per high impact climate sector
Proposed Proxy: ≥ 50% Threshold
Assumption: A company with majority exposure tocarbon-intensive business activities is likely to have highenergy consumption.

Proposed Proxy: Exposure tocarbon-intensive business activity
ACWI IMI COVERAGE: > 99% by countWhy not use the NACE-based classification for High Impact Climate Sector?
Given that the classification is binary (high/low), this would capture approximately two-thirds of the MSCIACWI Investable Market Index (IMI) (by count) without taking into consideration company-specificnuances – e.g., a company may have a mix of high, medium, or low carbon-intensive business activities.

Additional Condition Applied:
To account for sector bias in terms of energy consumption intensity, as well as recognize climatetransition considerations, a proposed condition is that companies flagged above are excluded only if

Energy efficiency management = No evidence
ACWI IMI COVERAGE: ~ 97% by countRationale: This helps to account for an actual lack of effort to mitigate companies’ energy
consumption intensity

Information Classification: GENERAL

13

Proposal 2 – Biodiversity / Emissions & Waste
PAI

Proposed
ScreenRationale

Top 3 Extra Names Excluded**

Biodiversity
Management(Operates in biodiversity-sensitive areas OR
Biodiversity Exposure Score ≥ 7.5)
AND
(Biodiversity Management Score < 2.5 OR
Key biodiversity-related controversy scores*** ≤ 2)

See page 15

SHELL (GB)BP (GB)
ARCHER-DANIELS-MIDLAND(US)

Palm Oil /Biocides /Arctic Oil &Gas Extraction• Palm Oil: Highly Restrictive AND RSPO****
certification < 50%• Biocides: Highly Restrictive• Arctic Oil & Gas Extraction > 0%

Limit exposure to companies
involved in activities withharmful biodiversity impact

BERKSHIRE HATHAWAY (US)SHELL (GB)TOTALENERGIES (FR)Toxic Spills & Releases controversy score ≤ 2(Very Severe and Ongoing Severe cases)

Proxy to represent harmful
impact as evidenced bycontroversies, given limited
disclosure on hazardous
waste and water emissions

SHELL (GB)BP (GB)
GENERAL ELECTRIC CO (US)7

8-9

Details*

Toxic
Emissions &Waste
Controversies* Precise proposed rules can be found in Appendix.
** Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.
*** Represents Very Severe and Ongoing Severe cases related to the following categories: Environment - Land Use and Biodiversity Score, Environment Supply Chain Management Score, Environment - Toxic Spills & Releases Score.
**** Roundtable for Sustainable Palm Oil.

Information Classification: GENERAL

14

Proposal 2 – Biodiversity / Emissions & Waste > Biodiversity Mgmt
PAI 7: Activities negatively affecting biodiversity-sensitive areas
Operations in biodiversity-sensitive areas (SFDR Metric) OR
Biodiversity Exposure Score ≥ 7.5
ACWI IMI COVERAGE: > 99% by count for either factor

Why not use only the SFDR PAI metric?
Given that the SFDR metric is completely reliant on disclosure, a “Not Disclosed” assessment does notnecessarily mean that a company does not have activities in biodiversity-sensitive or protected areas.
Hence, the proposal is to supplement it with MSCI ESG Research’s exposure data.

Additional Condition Applied:
Considering that operations in biodiversity-sensitive areas may or may not translate into actual
negative impact on such areas, we include an additional condition for excluding companies:

Biodiversity Management Score < 2.5 OR Key Controversy scores* ≤ 2
ACWI IMI COVERAGE: ~ 88% by count (management score) | ~97% by count (controversies)

A company’s exposure score (0-10)
is based on the combination of thecompany’s business andgeographic risk exposure, pro-rated
based on the distribution of its
business activities and operational
footprint. The highest risk quartileis defined based on an absolutescore of 7.5 (rather than relative tothe universe distribution).

A company’s management score(0-10) is based on its policies &disclosure, programs & structure,and performance in terms ofefforts to manage biodiversity andengage community stakeholders.
The lowest management quartile isdefined based on an absolute scoreof 2.5 (rather than relative to theuniverse distribution).

* Represents Very Severe and Ongoing Severe cases related to the following categories: Environment - Land Use and Biodiversity Score, Supply Chain Management
Score, Toxic Spills & Releases Score

Information Classification: GENERAL

15

Proposal 3 – Social and Employee Matters
PAI

Proposed
ScreenDetails*

Rationale

Top 3 Extra Names
Excluded**See page 17

AMAZON.COM (US)
ALPHABET (US)JOHNSON & JOHNSON (US)No evidence of UNGC compliance mechanism
AND included in UNGC Watch List
OR
11-13

International
Standards

No evidence / disclosure of ILO Due Diligence AND
included in ILO Watch List
OR
No disclosure of Human Rights Due Diligence AND
included in UNGPBHR Watch List

* Precise proposed rules can be found in Appendix.
** Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

16

Proposal 3 – Social and Employee Matters > Int’l Standards
PAI 11: Lack of processes and compliance mechanisms to monitor
compliance with UNGC principles and OECD Guidelines

PAI 12: Unadjusted
gender pay gap

UNGC: lack of compliance mechanism + Watch List

PAI 13: Board gender
diversity(1) ILO: lack of due diligence + Watch List,(2) UN GPBHR: lack of due diligence + Watch List

ACWI IMI COVERAGE: ~86% by count (mechanism) | ~ 98% by count (controversies)

ACWI IMI COVERAGE: > 99% (due diligence) | ~ 98% (controversies)

Why use International Norms screening in addition to the SFDR PAI metrics?
SFDR metrics related to PAIs 11 (UNGC compliance mechanism) and 12 (ILO due diligence) are disclosure driven. Hence, “Not disclosed”
does not necessarily mean non-compliance and/or concerns around gender pay or board representation.
• Only ~40% of MSCI ACWI IMI disclose a Labor Due Diligence Policy, while only 17% have a mechanism to monitor UNGC compliance• Only ~6% disclose gender pay gap ratios, and it is unclear whether the ratios are representative of the entire organization
Also, investors have highlighted concerns around stability and reliability of underlying metric related to PAI 13 (women on board).

Note: The international norms data from MSCI ESG Research leverages the MSCI ESG Controversies framework. As such, the current screen forcompanies with MSCI ESG Controversies Score of 0 (“Red Flags”) already excludes companies in violation of UN Global Compact, ILO, and the UN
Guiding Principles on Business and Human Rights.

Information Classification: GENERAL

17

Proposal 3 – Social and Employee Matters > Int’l Standards
DISCUSSION POINTS• Following the recent methodology enhancement to the MSCI ESG Controversies framework, only 9 “redflag” companies were excluded from the MSCI ACWI ESG Screened Index as of the August 2022 QIR.
• There is growing scrutiny on companies that violate international norms. Moreover, compliance tointernational standards was the emphasis of the Platform on Sustainable Finance’s Draft Report on the
Application of Minimum Safeguards set out in Article 18 of the EU Taxonomy Regulation*.
Discussion Points• Does it makes sense to apply a more stringent screen based on international standards?
• Is it appropriate to include norms on labor and human rights, in addition to the UN Global Compact?

• Should Red flags / International norms violators be screened on a monthly rather than quarterly basis?
• As an alternative to the proposed screen based on international standards, would it be appropriate to
exclude CCC-rated securities?

* Source: https://ec.europa.eu/info/sites/default/files/business_economy_euro/banking_and_finance/documents/draft-report-minimum-safeguards-july2022_en.pdf 18

Information Classification: GENERAL

Simulated Impact of Proposals

Information Classification: GENERAL

Simulated Impact – ACWI, World, EM ESG Screened(Exclusions/Turnover)

Additional Screens

ACWI

World

EM

Parent Index# Stocks
2,903

Weight100%# Stocks
1,515

Weight100%# Stocks
1,388

Weight100%

ESG Screened Index – Current
Carbon Footprint – Top 5%
Fossil Fuel Reserves Ownership
Fossil Fuel Extraction
Fossil Fuel Power
Energy Management
Biodiversity Management
Palm Oil / Biocides / Arctic Oil & Gas Extraction
Toxic Emissions & Waste Controversies
International Standards
Total – Proposed screens*

2,745
95
72
34
4
13
32
47
19
53
261

93.05%
1.49%
3.06%
1.79%
0.03%
0.03%
1.02%
2.29%
1.21%
7.91%
13.14%

1,429
34
35
18
0
2
13
30
18
36
131

92.66%
1.19%
2.81%
1.63%
0.00%
0.01%
1.05%
2.47%
1.36%
8.76%
13.72%

1,316
61
37
16
4
11
19
17
1
17
130

96.08%
3.81%
5.05%
3.03%
0.22%
0.12%
0.82%
0.93%
0.04%
1.30%
8.63%

ESG Screened Index – Proposal

2,484

79.90%

1,298

78.93%

1,186

87.45%

Transition turnover**13.68%

14.43%

7.98%* The sum of companies excluded under each additional screen does not equal to the total number of additional exclusions as companies can be excluded by more than one of the additional screens.
** One-way index turnover assuming implementation of the changes at the August 2022 Quarterly Index Review.
Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

20

Simulated Impact – ACWI ESG Screened (SFDR Metrics)
ACWI

Current*

Proposal

12.7
16.4
0.0
3.0

11.9
16.6
0.9
3.9

12.2
16.6
1.4
7.0

65
457
1,015
11.7
74.1
1.8
0.1
352
9.7
0.6
60.99
11.2
49.8
0.4

43
331
757
7.9
72.6
1.5
0.0
277
10.2
0.1
59.9
9.7
49.7
0.0

27
200
639
4.4
74.7
1.1
0.0
284
0.3
0.0
57.8
9.3
49.1
0.0

Key Metrics**

Total return (%)
Total risk (%)
Tracking error (%)
Turnover (%)
PAI ref.
SFDR Metrics***
1-2 Carbon Intensity Scope 1+2 (Wtd Avg t CO2e / €M EVIC)
1-2 Carbon Intensity Scope 1+2+3 (Wtd Avg t CO2e / €M EVIC)
3
Carbon Intensity Scope 1+2+3 (Wtd Avg t CO2e / €M Sales)
4
Exposure to companies active in fossil fuel sector (%)
5
Share of non-renewable energy consumption and production (%)
6
Energy consumption intensity per high impact climate sector (GWh / €M Sales)
7
Activities Negatively Affecting Biodiversity-sensitive Areas (%)
8
Emissions to water (t / €M EVIC)
9
Hazardous Waste Ratio (t / €M EVIC)
10
Very Severe Controversies (%)
11
No Policies to Monitor Compliance with UNGC Principles (%)
12
Gender Pay Gap (%)
13
Female : Male Board Diversity Ratio (%)
14
Exposure to Controversial Weapons (%)* Simulated MSCI ACWI ESG Screened Index using the current index methodology (as of September 1, 2022) across the simulated history.
**Period: May 29, 2020 to Aug 22, 2022. “Total return” based on the gross returns annualized in USD, “Turnover” is the annualized one-way index turnover over index reviews*** Data as of July 29, 2022.
For more information on index-level SFDR metrics – including Information
the methodology– please referGENERAL
to https://www.msci.com/our-solutions/esg-investing/sustainable-finance-solutions
Classification:

21

Simulated Impact – Relative Performance**“MSCI ACWI ESG Screened Index – Current” is a simulated index that uses the current index methodology (as of September 1, 2022) across the simulated history.
Data on Human Rights due diligence, ILO due diligence and Operations in biodiversity-sensitive areas was backfilled prior to March 2021. Data on UNGC compliance mechanism was backfilled prior to July 2021.

Information Classification: GENERAL

22

Simulated Impact – Active Sector Exposures*
MSCI ACWI ESG Screened Index - Current (%)

MSCI ACWI ESG Screened Index - Proposal (%)

Min

Max

Average

Current

Min

Max

Average

Current

Energy

-2.8

-1.0

-1.6

-2.7

Energy

-4.5

-2.3

-3.1

-4.1

Materials

-0.6

-0.3

-0.5

-0.3

Materials

-1.4

-0.9

-1.1

-1.3

Industrials

-0.8

-0.6

-0.7

-0.7

Industrials

-0.8

-0.3

-0.5

-0.4

Cons. Disc.

0.6

0.8

0.7

0.8

Cons. Disc.

-1.3

-0.6

-1.0

-0.8

Cons. Stap.

-0.7

-0.3

-0.6

-0.3

Cons. Stap.

-2.1

-0.8

-1.5

-1.0

Health Care

0.4

1.0

0.7

0.9

Health Care

2.4

3.0

2.7

3.0

Financials

0.5

0.9

0.7

0.8

Financials

0.5

2.0

1.2

1.8

IT

1.3

1.9

1.6

1.8

IT

3.6

5.2

4.3

4.9

Comm. Serv.

0.5

0.8

0.6

0.6

Comm. Serv.

-2.7

0.8

-0.4

-1.3

Utilities

-1.4

-0.9

-1.1

-1.2

Utilities

-1.6

-1.0

-1.3

-1.4

Real Estate

0.2

0.2

0.2

0.2

Real Estate

0.6

0.8

0.7

0.7

Period: May 29, 2020 to Jul 29, 2022, monthly data.

Period: May 29, 2020 to Jul 29, 2022, monthly data.

*“MSCI ACWI ESG Screened Index – Current” is a simulated index that uses the current index methodology (as of September 1, 2022) across the simulated history.
Data on Human Rights due diligence, ILO due diligence and Operations in biodiversity-sensitive areas was backfilled prior to March 2021. Data on UNGC compliance mechanism was backfilled prior to July 2021.

Information Classification: GENERAL

23

Simulated Impact – Active Risk Forecast (Ex-Ante Tracking
Error)**“MSCI ACWI ESG Screened Index – Current” is a simulated index that uses the current index methodology (as of September 1, 2022) across the simulated history.
Data on Human Rights due diligence, ILO due diligence and Operations in biodiversity-sensitive areas was backfilled prior to March 2021. Data on UNGC compliance mechanism was backfilled prior to July 2021.
Base currency: USD.

Information Classification: GENERAL

24

Simulated Impact – Active Risk Attribution (Ex-Ante
Tracking Error)

Data on Human Rights due diligence, ILO due diligence and Operations in biodiversity-sensitive areas was backfilled prior to March 2021. Data on UNGC compliance mechanism was backfilled prior to July 2021.
Base currency: USD.

Information Classification: GENERAL

25

Discussion Points – MSCI ESG Screened Indexes (1/2)• Methodology Evolution– Do you agree that MSCI ESG Screened Indexes need to evolve to incorporate a higher conviction
ESG strategy?
– Do you agree that incorporating PAI is an appropriate approach for the MSCI ESG Screened Indexes
to take into consideration the relevant regulatory developments, especially the EU SFDR and MiFID II
regulations?
– Do you agree with the proposed screens as an evolution to the MSCI ESG Screened Indexes?

• Screening Criteria– Do you agree with using the ESG Ratings-based exposure and/or management scores for certain
screens (energy management/ biodiversity management)?
– Do you agree with using ESG Controversies for certain screens (biodiversity management /emissions and waste / international standards) to provide signal on compliance and/or impact?

Information Classification: GENERAL

26

Discussion Points – MSCI ESG Screened Indexes (2/2)• Other Methodology considerations– Should there be a minimum ESG Ratings screen (e.g., screening out CCC-rated stocks*)?
– Should there be a screen removing companies that are assessed as Strongly Misaligned on any
SDGs as per the MSCI SDG Alignment framework*?
– Should MSCI ESG Screened Indexes exclude additional controversial businesses, such as
conventional weapons*, in line with some national/country regulations?
– Should the indexes incorporate a minimum percentage of Sustainable Investments?

*Simulated impact available in the Appendix.

Information Classification: GENERAL

27

Discussion Points – “MSCI Core Screened”* Indexes• Need for a potential new index series– Given the proposed evolution of MSCI ESG Screened Indexes and the shift of the focus/ strategy,
but considering other use cases, should there be another index series retaining a methodology
close to the current one without “ESG” in the name?

• Methodology considerations for the potential new index series– Should there be a minimum ESG Ratings screen (e.g., screening out CCC-rated stocks) in
consideration of CCC as a headline risk?
– Should this index series exclude additional controversial businesses, such as conventional
weapons, in line with some national/country regulations?
– Should this index series consider business involvement screens that exclude companies based onother environmental (e.g., biodiversity/deforestation) and/or social impact, such as Palm Oil,
Biocides, or Arctic Oil & Gas Extraction?

* Placeholder Name – not finalized yet.

Information Classification: GENERAL

28

Appendix

Information Classification: GENERALExamples of Regulations Incorporating Naming Conventions• US SEC*: The proposed amendments to the names rule would address fund names with ESG and similarterminology (such as “sustainable,” “green,” or “socially responsible”) by providing that funds whosenames include these terms are subject to the rule’s 80% investment policy requirement, and by defining
certain uses of ESG terminology in fund names as materially deceptive and misleading. (US SEC Code ofFederal Regulations (CFR) Parts 232, 270 and 274 Proposed Rule, page 14)• EU SFDR**: “Financial products can promote environmental or social characteristics in a myriad of ways,
including in a pre-contractual or periodic document, in their product name or in any marketing
communication about their investment strategy, financial product standards, labels they adhere to, or
applicable conditions for automatic enrolment. To ensure comparability and comprehensibility of thepromoted environmental or social characteristics, financial market participants that make available
financial products that promote environmental or social characteristics should confirm the information
about the promotion of environmental or social characteristics in annexes to the documents orinformation referred to in Article 6(3) and Article 11(2) of Regulation (EU) 2019/2088 on pre-contractualand periodic disclosures.” (EU SFDR Final Regulatory Technical Standards, Recital 13)

Sources:* https://www.sec.gov/rules/proposed/2022/ic-34593.pdf** https://ec.europa.eu/finance/docs/level-2-measures/C_2022_1931_1_EN_ACT_part1_v6%20(1).pdf

Information Classification: GENERAL

30

Reference > Mandatory Principal Adverse Impact Indicators
EU SFDR PASI

Metric Description

CLIMATE AND OTHER ENVIRONMENT-RELATED INDICATORS
Scope 1 GHG emissions
Scope 2 GHG emissions
1. GHG Emissions
Scope 3 GHG emissions
Total GHG emissions
Greenhouse 2. Carbon Footprint
Carbon footprint
gas emissions 3. GHG Intensity of investee companies
GHG Intensity of investee companies
Share of investments in companies active in the fossil fuel sector
4. Exposure to companies active in the fossil fuel sector
Share of non-renewable energy consumption and non-renewable energy production of investee companies from non5. Share of non-renewable energy consumption and production
renewable energy sources, expressed as a percentage
6. Energy consumption intensity per high impact climate sector Energy consumption in GWh per million EUR of revenue of investee companies, per high impact climate sector
Share of investments in investee companies with sites/operations located in or near to biodiversity-sensitive areas where
Biodiversity 7. Activities negatively affecting biodiversity-sensitive areas
activities of those investee companies negatively affect those areas
Tonnes of emissions to water generated by investee companies per million EUR invested, expressed as a weighted
8. Emissions to water
Water
average
Waste

Social andemployeematters

9. Hazardous waste ratio

Tonnes of hazardous waste generated by investee companies per million EUR invested, expressed as a weighted average

SOCIAL AND EMPLOYEE, RESPECT FOR HUMAN RIGHTS, ANTI-CORRUPTION AND ANTI-BRIBERY MATTERS
10. Violations of UN Global Compact principles and Organisation
Share of Investments in investee companies that have been involved in violations of the UNGC principles for OECD
for Economic Cooperation and Development (OECD) Guidelines
Guidelines for Multinational Enterprises
for Multinational Enterprises
11. Lack of processes and compliance mechanisms to monitor Share of investments in investee companies without policies to monitor compliance with the UNGC principles or OECD
Guidelines for Multinational Enterprises or grievance /complaints handing mechanisms to address violations of the UNGC
compliance with UN Global Compact principles and OECD
principles or OECD Guidelines for Multinational Enterprises
Guidelines for Multinational Enterprises
Average unadjusted gender pay gap of investee companies
12. Unadjusted gender pay gap
Average ratio of female to male board members in investee board members in investee companies, expressed as a
13. Board gender diversity
companies, expressed as a percentage of all board members
14. Exposure to controversial weapons (anti-personnel mines,
Share of investments in investee companies involved in the manufacture or selling of controversial weapons
cluster munitions, chemical weapons and biological weapons)Information Classification: GENERAL

31

Current vs. Proposed Screens (Climate)
ScreenCarbonFootprint –Top 5%

Current Methodology

Proposed Methodology

N/A

All companies that meet the below conditional exclusions rule:• Step 1: Identify all companies either belonging to the top 5th percentile with thehighest Scope 1-3 carbon intensity relative to EVIC among MSCI ACWI Index
constituents or the top 5th percentile with the highest potential emissions fromfossil fuel (excluding metallurgical coal) reserves for energy application.
• Step 2: Exclude all companies flagged in Step 1 if they do not have approved
science-based targets.

ThermalCoal PowerAll companies deriving 5% or more
revenue from thermal coal power
generation

Add: All companies deriving 50% or more revenue from thermal coal-, oil-/liquid
fuel-, and/or natural gas-based power generation.

Fossil Fuel
Extraction

All companies deriving 5% or moreaggregate revenue (either reported or
estimated) from thermal coal mining or
unconventional oil and gas extraction.

Modification: All companies deriving any revenue (either reported or estimated)from thermal coal mining or unconventional oil and gas extraction.

Fossil Fuel
Reserves

N/A

All companies with evidence of owning proven & probable coal reserves and/or
proven oil and natural gas reserves used for energy purposes, as defined by themethodology of the MSCI ex Fossil Fuels Indexes.

Information Classification: GENERAL

32

Current vs. Proposed Screens (Other Environment 1/2)
ScreenBiodiversity
Management

Toxic
Emissions &Wastecontroversies

Current Methodology

Proposed Methodology

N/A

All companies that meet the below conditional exclusions rule:• Step 1: Identify all companies either with operational sites owned, leased, managed in, or
adjacent to protected areas and areas of high biodiversity value outside protected areasor have an exposure score of 7.5 or above (top quartile). The exposure score is acombination of companies’ extent of business activities impacting ecosystems andcausing biodiversity degradation, as well as operations in regions with fragile ecosystems.
• Step 2: Exclude all companies flagged in Step 1 that either have Biodiversity & Land Use
management scores below 2.5 (bottom quartile) or have controversies that are assessed
as Very Severe or ongoing Severe (score of 2 or below) in any of the ff. categories:o Land Use and Biodiversity Score: controversies related to a firm’s use or
management of natural resourceso Supply Chain Management Score: controversies related to the environmental impactof a company’s supply chain and the sourcing of natural resource
o Toxic Spills & Releases Score: controversies related to a firm’s non-GHG emissions

N/A

All companies that have controversies assessed as Very Severe or ongoing Severe (score of
2 or below) related to a firm’s non-GHG emissions or releases to land, air, and/or water. This
covers ESG controversies related to accidental spills or releases as well as theenvironmental impacts of standard operational emissions, whether within or in exceedanceof levels allowed by permit.

Information Classification: GENERAL

33

Current vs. Proposed Screens (Other Environment 2/2)
ScreenCurrent Methodology

Proposed Methodology

N/A

All companies that meet the below conditional exclusions rule:• Step 1: Identify all companies that are flagged by the “Highly Restrictive” screen:o All companies that cultivate oil palm trees and harvest fresh fruit bunches (FFBs)
used to produce palm oil products. Includes millers that extract the oil from FFBs
and process it into crude palm oil (CPO), crude palm kernel oil (PLO) and palm kernelmeal.
o All companies deriving 5% or more aggregate revenue from the production or
distribution of palm oil.
• Step 2: Exclude all companies flagged in Step 1 that have less than 50% of their palm
holdings / estates certified by the Roundtable on Sustainable Palm Oil (RSPO).

BiocidesN/A“Highly Restrictive” screen• All companies that produce biocides including antifouling products and pesticides suchas rodenticides, avicides, molluscicides, vermicides, piscicides, and insecticides.
• All companies deriving 5% or more aggregate revenue from production and supply ofchemicals or other raw materials that are specifically formulated for use in biocides.

Arctic Oil and
Gas Extraction

N/A

All companies deriving any revenue from oil and gas offshore or onshore production in the
Arctic. The definition of Arctic is geographical and includes production activities north of the66.5 latitude.

Palm Oil

Information Classification: GENERAL

34

Current vs. Proposed Screens (Social & Employee Matters)
ScreenCurrent Methodology

Proposed Methodology

UN Global
Compact

All companies that fail to comply with
the UN Global Compact principles

Add: All companies without evidence of mechanism to monitor compliance with
the UN Global Compact and are assessed as “Watch List”. Evidence formechanism is defined as being a signatory to the UN Global Compact and isrequired to monitor and report compliance with the UN Global Compact
principles.

International
Labor
Organisation

All companies that fail to comply with
the International Labor Organisation(ILO)*

Add: All companies without evidence of or disclosure on their due diligencepolicy on labor issues addressed by the fundamental International Labor
Organisation (ILO) Conventions 1 to 8 and are assessed as “Watch List”.

UN Guiding
Principles on
Businessand Human
RightsAll companies that fail to comply with
the UN Guiding Principles on Businessand Human Rights (UNGPBHR)*

Add: All companies without disclosure on having defined processes, setting
targets or reporting achievements for monitoring of the effectiveness of their
human rights policies and are assessed as “Watch List”.

*Already screened via the exclusion of companies with MSCI ESG Controversies Score of 0 (Red Flags).

Information Classification: GENERAL

35

Current vs. Proposed Screens (Existing Criteria)
ScreenCurrent / Proposed Methodology

Controversial Weapons“Most Restrictive” screen
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 the methodology of the MSCI ex Controversial Weapons Indexes.

Nuclear Weapons“Highly Restrictive” screen
All companies that manufacture nuclear warheads, missiles, missile components, delivery platforms,
essential components, and support systems & services, as defined in Appendix I of the MSCI ESG
Screened Indexes methodology.

Civilian Firearms“Highly Restrictive” screen
All companies classified as “Producer” or companies deriving 5% or more aggregate revenue from theproduction and distribution (wholesale or retail) of civilian firearms and ammunition.

Tobacco“Highly Restrictive” screen
All companies classified as “Producer” or companies deriving 5% or more aggregate revenue from theproduction, distribution, retail, supply and licensing of tobacco-related products.

ESG Controversies

All companies that have an MSCI ESG Controversies Score of 0 (Red Flags).

Information Classification: GENERAL

36

Simulated Impact – World ESG Screened (SFDR Metrics)
World

Current*

Proposal

13.6
17.2
0.0
2.5

12.9
17.5
1.0
3.4

13.3
17.5
1.5
6.8

53
416
954
11.8
72.3
1.2
0.0
372
10.9
0.6
59.6
10.9
53.6
0.4

34
306
717
7.9
70.6
0.8
0.0
302
11.6
0.1
58.2
9.3
53.5
0.0

23
182
617
4.7
72.8
0.9
0.0
311
0.2
0.0
55.5
8.8
53.2
0.0

Key Metrics**
Total return (%)
Total risk (%)
Tracking error (%)
Turnover (%)

PAI ref.
SFDR Metrics***
1-2 Carbon Intensity Scope 1+2 (Wtd Avg t CO2e / €M EVIC)
1-2 Carbon Intensity Scope 1+2+3 (Wtd Avg t CO2e / €M EVIC)
3
Carbon Intensity Scope 1+2+3 (Wtd Avg t CO2e / €M Sales)
4
Exposure to companies active in fossil fuel sector (%)
5
Share of non-renewable energy consumption and production (%)
6
Energy consumption intensity per high impact climate sector (GWh / €M Sales)
7
Activities Negatively Affecting Biodiversity-sensitive Areas (%)
8
Emissions to water (t / €M EVIC)
9
Hazardous Waste Ratio (t / €M EVIC)
10
Very Severe Controversies (%)
11
No Policies to Monitor Compliance with UNGC Principles (%)
12
Gender Pay Gap (%)
13
Female : Male Board Diversity Ratio (%)
14
Exposure to Controversial Weapons (%)* Simulated MSCI World ESG Screened Index using the current index methodology (as of September 1, 2022) across the simulated history.
**Period: May 29, 2020 to Aug 22, 2022. “Total return” based on the gross returns annualized in USD, “Turnover” is the annualized one-way index turnover over index reviews*** Data as of July 29, 2022.
For more information on index-level SFDR metrics – including Information
the methodology– please referGENERAL
to https://www.msci.com/our-solutions/esg-investing/sustainable-finance-solutions
Classification:

37

Simulated Impact – World – Relative Performance**“MSCI World ESG Screened Index – Current” is a simulated index that uses the current index methodology (as of September 1, 2022) across the simulated history.
Data on Human Rights due diligence, ILO due diligence and Operations in biodiversity-sensitive areas was backfilled prior to March 2021. Data on UNGC compliance mechanism was backfilled prior to July 2021.

Information Classification: GENERAL

38

Simulated Impact – World – Active Sector Exposures*
MSCI World ESG Screened Index - Current (%)

MSCI World ESG Screened Index - Proposal (%)

Min

Max

Average

Current

Min

Max

Average

Current

Energy

-3.0

-1.0

-1.8

-2.8

Energy

-4.4

-1.9

-2.8

-4.1

Materials

-0.5

-0.2

-0.4

-0.2

Materials

-1.2

-0.7

-0.9

-1.2

Industrials

-0.9

-0.7

-0.8

-0.8

Industrials

-0.9

-0.2

-0.5

-0.4

Cons. Disc.

0.6

0.9

0.7

0.9

Cons. Disc.

-1.8

-0.9

-1.4

-1.1

Cons. Stap.

-0.8

-0.3

-0.6

-0.3

Cons. Stap.

-2.4

-0.9

-1.7

-1.1

Health Care

0.4

1.1

0.8

1.0

Health Care

2.7

3.5

3.1

3.4

Financials

0.4

0.8

0.6

0.7

Financials

0.1

1.8

0.9

1.5

IT

1.4

2.0

1.7

1.9

IT

3.9

5.5

4.6

5.2

Comm. Serv.

0.5

0.8

0.7

0.6

Comm. Serv.

-3.4

0.6

-0.7

-1.7

Utilities

-1.5

-0.9

-1.1

-1.2

Utilities

-1.6

-1.0

-1.3

-1.3

Real Estate

0.2

0.3

0.2

0.2

Real Estate

0.6

0.9

0.7

0.7

Period: May 29, 2020 to Jul 29, 2022, monthly data.

Period: May 29, 2020 to Jul 29, 2022, monthly data.

*“MSCI World ESG Screened Index – Current” is a simulated index that uses the current index methodology (as of September 1, 2022) across the simulated history.
Data on Human Rights due diligence, ILO due diligence and Operations in biodiversity-sensitive areas was backfilled prior to March 2021. Data on UNGC compliance mechanism was backfilled prior to July 2021.

Information Classification: GENERAL

39

Simulated Impact – World – Active Risk Forecast (Ex-Ante
Tracking Error)**“MSCI World ESG Screened Index – Current” is a simulated index that uses the current index methodology (as of September 1, 2022) across the simulated history.
Data on Human Rights due diligence, ILO due diligence and Operations in biodiversity-sensitive areas was backfilled prior to March 2021. Data on UNGC compliance mechanism was backfilled prior to July 2021.
Base currency: USD.

Information Classification: GENERAL

40

Simulated Impact – World – Active Risk Attribution (Ex-Ante
Tracking Error)

Data on Human Rights due diligence, ILO due diligence and Operations in biodiversity-sensitive areas was backfilled prior to March 2021. Data on UNGC compliance mechanism was backfilled prior to July 2021.
Base currency: USD.

Information Classification: GENERAL

41

Simulated Impact – EM ESG Screened (SFDR Metrics)
EM

Current*

Proposal

6.0
15.2
0.0
7.1

5.4
15.2
0.7
7.4

5.3
15.3
1.5
9.1

165
793
1,511
11.0
91.4
8.1
1.1
213
1.1
1.0
72.5
18.3
19.2
0.4

115
529
1,079
8.0
91.7
7.6
0.3
124
1.1
0.0
73.0
18.3
19.4
0.0

58
332
805
2.6
91.5
3.1
0.0
120
0.8
0.0
74.4
18.5
19.2
0.0

Key Metrics**
Total return (%)
Total risk (%)
Tracking error (%)
Turnover (%)

PAI ref.
SFDR Metrics***
1-2 Carbon Intensity Scope 1+2 (Wtd Avg t CO2e / €M EVIC)
1-2 Carbon Intensity Scope 1+2+3 (Wtd Avg t CO2e / €M EVIC)
3
Carbon Intensity Scope 1+2+3 (Wtd Avg t CO2e / €M Sales)
4
Exposure to companies active in fossil fuel sector (%)
5
Share of non-renewable energy consumption and production (%)
6
Energy consumption intensity per high impact climate sector (GWh / €M Sales)
7
Activities Negatively Affecting Biodiversity-sensitive Areas (%)
8
Emissions to water (t / €M EVIC)
9
Hazardous Waste Ratio (t / €M EVIC)
10
Very Severe Controversies (%)
11
No Policies to Monitor Compliance with UNGC Principles (%)
12
Gender Pay Gap (%)
13
Female : Male Board Diversity Ratio (%)
14
Exposure to Controversial Weapons (%)* Simulated MSCI EM ESG Screened Index using the current index methodology (as of September 1, 2022) across the simulated history.
**Period: May 29, 2020 to Aug 22, 2022. “Total return” based on the gross returns annualized in USD, “Turnover” is the annualized one-way index turnover over index reviews*** Data as of July 29, 2022.
For more information on index-level SFDR metrics – including Information
the methodology– please referGENERAL
to https://www.msci.com/our-solutions/esg-investing/sustainable-finance-solutions
Classification:

42

Simulated Impact – EM – Relative Performance**“MSCI EM ESG Screened Index – Current” is a simulated index that uses the current index methodology (as of September 1, 2022) across the simulated history.
Data on Human Rights due diligence, ILO due diligence and Operations in biodiversity-sensitive areas was backfilled prior to March 2021. Data on UNGC compliance mechanism was backfilled prior to July 2021.

Information Classification: GENERAL

43

Simulated Impact – EM – Active Sector Exposures*
MSCI EM ESG Screened Index - Current (%)

MSCI EM ESG Screened Index - Proposal (%)

Min

Max

Average

Current

Min

Max

Average

Current

Energy

-1.3

-0.6

-0.9

-1.3

Energy

-5.7

-4.3

-5.0

-4.7

Materials

-1.6

-1.0

-1.3

-1.0

Materials

-3.6

-2.3

-2.9

-2.6

Industrials

-0.2

0.0

-0.1

-0.2

Industrials

-0.6

0.0

-0.2

-0.6

Cons. Disc.

0.5

0.7

0.6

0.6

Cons. Disc.

0.7

1.7

1.2

1.2

Cons. Stap.

-0.3

-0.1

-0.2

-0.1

Cons. Stap.

0.0

0.2

0.1

0.1

Health Care

0.1

0.2

0.2

0.2

Health Care

0.4

0.6

0.5

0.6

Financials

0.6

1.2

0.9

1.2

Financials

2.3

3.4

2.9

3.1

IT

0.7

1.1

0.9

1.0

IT

1.8

3.4

2.5

2.8

Comm. Serv.

0.4

0.6

0.5

0.6

Comm. Serv.

1.4

2.0

1.7

1.5

Utilities

-1.1

-0.5

-0.7

-1.1

Utilities

-1.6

-0.8

-1.1

-1.6

Real Estate

-0.0

0.1

0.1

0.1

Real Estate

0.2

0.4

0.3

0.3

Period: May 29, 2020 to Jul 29, 2022, monthly data.

Period: May 29, 2020 to Jul 29, 2022, monthly data.

*“MSCI EM ESG Screened Index – Current” is a simulated index that uses the current index methodology (as of September 1, 2022) across the simulated history.
Data on Human Rights due diligence, ILO due diligence and Operations in biodiversity-sensitive areas was backfilled prior to March 2021. Data on UNGC compliance mechanism was backfilled prior to July 2021.

Information Classification: GENERAL

44

Simulated Impact – EM – Active Risk Forecast (Ex-Ante
Tracking Error)**“MSCI EM ESG Screened Index – Current” is a simulated index that uses the current index methodology (as of September 1, 2022) across the simulated history.
Data on Human Rights due diligence, ILO due diligence and Operations in biodiversity-sensitive areas was backfilled prior to March 2021. Data on UNGC compliance mechanism was backfilled prior to July 2021.
Base currency: USD.

Information Classification: GENERAL

45

Simulated Impact – EM – Active Risk Attribution (Ex-Ante
Tracking Error)

Data on Human Rights due diligence, ILO due diligence and Operations in biodiversity-sensitive areas was backfilled prior to March 2021. Data on UNGC compliance mechanism was backfilled prior to July 2021.
Base currency: USD.

Information Classification: GENERAL

46

Simulated Deletions ACWI ESG Screened – Carbon Footprint
Top 5% – Top 30 (1/2)
Country

SectorACWI ESG
Screened WeightBP

UNITED KINGDOMEnergy0.187%RIO TINTO PLC (GB)UNITED KINGDOM

Materials

0.118%MARATHON PETROLEUM

USA

Energy0.103%VALERO ENERGY CORP

USA

Energy0.090%

PHILLIPS 66

USA

Energy0.081%PETROBRAS PN

BRAZIL

Energy0.058%ENI

ITALY

Energy0.056%PETROBRAS ON

BRAZIL

Energy0.050%SAUDI ARAMCOSAUDI ARABIA

Energy0.045%RIO TINTO LTD (AU)AUSTRALIA

Materials

0.045%FORTESCUE METALS GROUP

AUSTRALIA

Materials

0.040%REPSOLSPAIN

Energy0.036%MAGNA INTERNATIONALCANADA

Consumer Discr.

0.031%

USA

Consumer Staples

0.028%

AUSTRALIA

Materials

0.025%

Security Name

BUNGE
SOUTH 32 (AU)

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

47

Simulated Deletions ACWI ESG Screened – Carbon Footprint
Top 5% – Top 30 (1/2)
Security NameCountry

SectorACWI ESG
Screened WeightSUZUKI MOTOR CORP

JAPAN

Consumer Discr.

0.024%

ARCELORMITTAL AFRANCE

Materials

0.024%MITSUBISHI HEAVY IND

JAPANIndustrials

0.023%CHINA PETRO & CHEM H

CHINA

Energy0.023%INPEX CORP

JAPAN

Energy0.023%

SOUTH AFRICA

Materials

0.021%TATA STEEL

INDIAMaterials

0.019%PETROCHINA CO H

CHINA

Energy0.019%HYUNDAI MOBIS

KOREAConsumer Discr.

0.019%TATA MOTORS

INDIAConsumer Discr.

0.019%NORSK HYDRONORWAY

Materials

0.017%ALCOA (NEW)USA

Materials

0.017%TOKYO GAS CO

JAPAN

Utilities

0.014%HINDALCO INDUSTRIES

INDIA

Materials

0.014%ISUZU MOTORSJAPANConsumer Discr.

0.014%

SASOL

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

48

Simulated Deletions ACWI ESG Screened – Fossil Fuels
Reserves / Extraction Top 30 (1/2)
Country

SectorACWI ESG
Screened WeightExclusion Reason

USA

Financials

0.680%

Fossil Fuel Reserves

UNITED KINGDOMEnergy0.373%

Fossil Fuel Reserves, Unconv. Oil & Gas Extraction

TOTALENERGIESFRANCE

Energy0.238%

Fossil Fuel Reserves, Unconv. Oil & Gas Extraction

RELIANCE INDUSTRIESINDIAEnergy0.190%

Fossil Fuel Reserves, Unconv. Oil & Gas Extraction

UNITED KINGDOMEnergy0.187%

Fossil Fuel Reserves, Unconv. Oil & Gas Extraction

CANADA

Financials

0.128%

Fossil Fuel Reserves, Unconv. Oil & Gas Extraction

USA

Energy0.102%

Fossil Fuel Reserves

AUSTRALIA

Energy0.084%

Fossil Fuel Reserves

MITSUBISHI CORP

JAPAN

Industrials

0.078%

Fossil Fuel Reserves, Thermal Coal Mining

EQUINORNORWAY

Energy0.071%

Fossil Fuel Reserves, Unconv. Oil & Gas Extraction

KINDER MORGAN P

USAEnergy0.070%

Fossil Fuel Reserves, Unconv. Oil & Gas Extraction

NUCOR CORP

USA

Materials

0.067%

Unconv. Oil & Gas Extraction

ITOCHU CORP

JAPAN

Industrials

0.062%

Fossil Fuel Reserves, Thermal Coal Mining

MITSUI & COJAPAN

Industrials

0.062%

Fossil Fuel Reserves, Thermal Coal Mining

PETROBRAS PN

BRAZIL

Energy0.058%

Fossil Fuel Reserves

Security Name
BERKSHIRE HATHAWAY B
SHELL

BP
BROOKFIELD ASSET MAN ASCHLUMBERGERWOODSIDE ENERGY GROUP

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

49

Simulated Deletions ACWI ESG Screened – Fossil Fuels
Reserves / Extraction Top 30 (2/2)
Security NameCountry

SectorACWI ESG
Screened WeightExclusion Reason

ENI

ITALY

Energy0.056%

Fossil Fuel Reserves, Unconv. Oil & Gas Extraction

KKR & CO A

USA

Financials

0.054%

Fossil Fuel Reserves

PETROBRAS ON

BRAZIL

Energy0.050%

Fossil Fuel Reserves

SAUDI ARAMCOSAUDI ARABIA

Energy0.045%

Fossil Fuel Reserves, Unconv. Oil & Gas Extraction

ENGIE

FRANCE

Utilities

0.041%

Fossil Fuel Reserves

REPSOLSPAIN

Energy0.036%

Fossil Fuel Reserves

SANTOS

AUSTRALIA

Energy0.033%

Fossil Fuel Reserves

CK HUTCHISON HOLDINGSHONG KONG

Industrials

0.033%

Fossil Fuel Reserves, Unconv. Oil & Gas Extraction

MARUBENI CORP

JAPAN

Industrials

0.030%

Fossil Fuel Reserves

SUMITOMO CORP

JAPAN

Industrials

0.030%

Fossil Fuel Reserves, Thermal Coal Mining

SOUTH 32 (AU)AUSTRALIA

Materials

0.025%

Fossil Fuel Reserves, Thermal Coal Mining

CHINA PETRO & CHEM H

CHINA

Energy0.023%

Fossil Fuel Reserves

INPEX CORP

JAPAN

Energy0.023%

Fossil Fuel Reserves, Unconv. Oil & Gas Extraction

GRUPO MEXICO BMEXICO

Materials

0.022%

Fossil Fuel Reserves

ENEOS HOLDINGSJAPANEnergy0.022%

Fossil Fuel Reserves, Thermal Coal Mining

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

50

Simulated Deletions ACWI ESG Screened – Fossil Fuel Power
Security NameSAUDI ELECTRICITY CO
GULF ENERGY DEVELOPMENT
ACWA POWER COMPANY
BGRIMM POWERCountry

SectorACWI ESG
Screened Weight

SAUDI ARABIA

Utilities

0.011%THAILAND

Utilities

0.008%SAUDI ARABIA

Utilities

0.007%THAILAND

Utilities

0.002%

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

51

Simulated Deletions ACWI ESG Screened – Energy
Management
Security NameCountry

SectorACWI ESG
Screened Weight

DELTA AIR LINES

USA

Industrials

0.009%SAUDI ARABIA

Materials

0.005%CANADA

Industrials

0.004%ADVANCED PETROCHEMICALSSAUDI ARABIA

Materials

0.003%ADARO MINERALS INDONESIAINDONESIA

Materials

0.002%SHANDONG HUALU A (HK-C)

CHINA

Materials

0.001%YUNNAN YUNTIANH A (HK-C)

CHINA

Materials

0.001%SHANXI MEIJIN A (HK-C)

CHINA

Materials

0.001%

WESTERN SUPERCON A(HK-C)

CHINA

Materials

0.001%INNER MONGOL YUA A(HK-C)

CHINA

Materials

0.001%JIANGSU YOKE A (HK-C)

CHINA

Materials

0.000%TIANSHAN ALUM A (HK-C)

CHINA

Materials

0.000%SHENZHEN SENIOR A(HK-C)

CHINA

Materials

0.000%SAUDI INDL INV GROUPAIR CANADA VV

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

52

Simulated Deletions ACWI ESG Screened – Biodiversity
Management Top 30 (1/2)
Country

SectorACWI ESG
Screened Weight

SHELL

UNITED KINGDOMEnergy0.373%BP

UNITED KINGDOMEnergy0.187%

ARCHER-DANIELS-MIDLAND

USA

Consumer Staples

0.093%CORTEVA

USA

Materials

0.084%FREEPORT MCMORAN B

USA

Materials

0.081%REPSOLSPAIN

Energy0.036%P G & E CORP

USA

Utilities

0.035%

BUNGE

USA

Consumer Staples

0.028%POSCO HOLDINGS

KOREA

Materials

0.028%GRUPO MEXICO BMEXICO

Materials

0.022%USA

Energy0.021%NORSK HYDRONORWAY

Materials

0.017%ALCOA (NEW)USA

Materials

0.017%ICL GROUPISRAEL

Materials

0.013%SUZANO ON

BRAZIL

Materials

0.012%

Security NameTEXAS PACIFIC LAND

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

53

Simulated Deletions ACWI ESG Screened – Biodiversity
Management Top 30 (2/2)
Security NameCountry

SectorACWI ESG
Screened Weight

ADANI PORTS AND SEZ

INDIAIndustrials

0.011%

WILMAR INTERNATIONALSINGAPORE

Consumer Staples

0.010%BRAZIL

Consumer Staples

0.008%ECOPETROLCOLOMBIA

Energy0.005%IOI CORP

MALAYSIA

Consumer Staples

0.004%JIANGXI COPPER CO H

CHINA

Materials

0.003%SHANDONG GOLD-MINING H

CHINAMaterials

0.002%SHANDONG GOLD A (HK-C)

CHINA

Materials

0.001%SHANXI MEIJIN A (HK-C)

CHINA

Materials

0.001%HENAN SHENHUO A (HK-C)

CHINA

Materials

0.001%JIANGXI COPPER A (HK-C)

CHINA

Materials

0.001%YINTAI GOLD CO A (HK-C)

CHINA

Materials

0.001%SHENGHE RES A (HK-C)

CHINA

Materials

0.000%CHINA MINMETALS A (HK-C)

CHINA

Materials

0.000%TIBET SUMMIT A (HK-C)

CHINA

Materials

0.000%JBS ON

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

54

Simulated Deletions ACWI ESG Screened – Biodiversity
Activities Top 30 (1/2)
Security Name
BERKSHIRE HATHAWAY B
SHELL
TOTALENERGIESSHERWIN-WILLIAMS CO

RECKITT BENCKISER GROUPCountry

SectorACWI ESG
Screened WeightExclusion Reason

USA

Financials

0.680%

BiocidesUNITED KINGDOMEnergy0.373%

Arctic Oil & Gas Extraction

FRANCE

Energy0.238%

Arctic Oil & Gas Extraction

USA

Materials

0.108%

Biocides0.104%

BiocidesUNITED KINGDOM Consumer Staples

BAYER

GERMANY

Health Care

0.098%

BiocidesNUTRIEN

CANADA

Materials

0.096%

BiocidesCORTEVA

USA

Materials

0.084%

BiocidesBASF

GERMANY

Materials

0.073%

BiocidesEQUINORNORWAY

Energy0.071%

Arctic Oil & Gas Extraction

MITSUI & COJAPAN

Industrials

0.062%

Biocides

ENI

ITALY

Energy0.056%

Arctic Oil & Gas Extraction

LG CHEM

KOREA

Materials

0.044%

BiocidesNETHERLANDS

Materials

0.042%

BiocidesUSA

Consumer Staples

0.028%

Palm Oil

KONINKLIJKE DSM
BUNGE

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

55

Simulated Deletions ACWI ESG Screened – Biodiversity
Activities Top 30 (2/2)
Security NameCountry

SectorACWI ESG
Screened WeightExclusion Reason

POSCO HOLDINGS

KOREA

Materials

0.028%

Palm Oil

FMC CORP

USA

Materials

0.026%

BiocidesNOVOZYMES B

DENMARK

Materials

0.022%

BiocidesAKZO NOBELNETHERLANDS

Materials

0.022%

BiocidesHENKEL VORZUGGERMANY

Consumer Staples

0.022%

BiocidesRENTOKIL INITIAL

UNITED KINGDOM

Industrials

0.021%

BiocidesICL GROUPISRAEL

Materials

0.013%

BiocidesNISSAN CHEMICALJAPAN

Materials

0.012%

BiocidesHENKEL STAMMGERMANY

Consumer Staples

0.012%

BiocidesNIPPON PAINT HOLDINGS CO

JAPAN

Materials

0.012%

BiocidesELANCO ANIMAL HEALTH

USA

Health Care

0.012%

BiocidesCHRISTIAN HANSEN HOLDING

DENMARK

Materials

0.012%

BiocidesSOLVAYBELGIUM

Materials

0.011%

BiocidesSUMITOMO CHEMICAL CO

JAPAN

Materials

0.011%

BiocidesIDEMITSU KOSAN COJAPAN

Energy0.010%

BiocidesSimulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

56

Simulated Deletions ACWI ESG Screened – Toxic Emissions& Waste Controversies
Security Name

SHELL
BP
GENERAL ELECTRIC COMERCEDES BENZ GROUPCORTEVAFREEPORT MCMORAN B
STELLANTISDUPONT DE NEMOURSVOLKSWAGEN VORZUGREPSOLP G & E CORPPORSCHE AUTOMOBIL VZGCARNIVAL CORP (US)NORSK HYDROMITSUI OSK LINESICL GROUP
RENAULTVOLKSWAGEN STAMMECOPETROLCountry

Sector

UNITED KINGDOMUNITED KINGDOMUSAGERMANY
USA
USA
ITALY
USA
GERMANYSPAINUSAGERMANYUSANORWAYJAPANISRAELFRANCEGERMANY
COLOMBIA

EnergyEnergyIndustrials
Consumer Discr.
Materials
Materials
Consumer Discr.
Materials
Consumer Discr.
EnergyUtilities
Consumer Discr.
Consumer Discr.
Materials
Industrials
Materials
Consumer Discr.
Consumer Discr.
EnergyACWI ESG
Screened Weight
0.373%
0.187%
0.152%
0.085%
0.084%
0.081%
0.056%
0.053%
0.050%
0.036%
0.035%
0.020%
0.018%
0.017%
0.017%
0.013%
0.010%
0.010%
0.005%

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

57

Simulated Deletions ACWI ESG Screened – International
Standards Top 30 (1/2)
Security NameCountry

SectorACWI ESG
Screened WeightExclusion Reason

AMAZON.COM

USA

Consumer Discr.

2.186%UN Global Compact

ALPHABET A

USAComm. Services

1.226%UN Global Compact, UNGPBHR

ALPHABET C

USAComm. Services

1.160%UN Global Compact, UNGPBHRPROCTER & GAMBLE CO

USA

Consumer Staples

0.623%UN Global Compact

WALMART

USA

Consumer Staples

0.378%UN Global Compact

MCDONALD'S CORP

USA

Consumer Discr.

0.351%UN Global Compact, ILO

WELLS FARGO & COUSA

Financials

0.312%ILO

ORACLE CORP

USA

IT

0.224%UN Global Compact, ILO

IBM CORP

USA

IT

0.218%UN Global Compact

GOLDMAN SACHS GROUP

USA

Financials

0.215%UN Global Compact

MONDELEZ INTERNATIONAL A

USAConsumer Staples

0.161%UN Global Compact

3M CO

USA

Industrials

0.133%UNGPBHRIBERDROLA

SPAIN

Utilities

0.117%UNGPBHRACTIVISION BLIZZARD

USA

Comm. Services

0.116%UN Global Compact, ILO, UNGPBHRMARATHON PETROLEUM

USA

Energy0.103%UN Global Compact, UNGPBHR

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

58

Simulated Deletions ACWI ESG Screened – International
Standards Top 30 (2/2)
Security NameCountry

SectorACWI ESG
Screened WeightExclusion Reason

FEDEX CORP

USA

Industrials

0.098%

ILO, UNGPBHRCHARTER COMM A (NEW)USA

Comm. Services

0.091%

ILO, UNGPBHRCHIPOTLE MEXICAN GRILL A

USAConsumer Discr.

0.084%UNGPBHRCORTEVA

USA

Materials

0.084%UNGPBHREXELON CORP

USA

Utilities

0.081%UN Global Compact

PHILLIPS 66

USA

Energy0.081%UN Global Compact

SYSCO CORP

USA

Consumer Staples

0.079%UN Global Compact, UNGPBHR

LG CHEM

KOREA

Materials

0.044%UNGPBHRP G & E CORP

USA

Utilities

0.035%UN Global Compact, UNGPBHR

NETHERLANDS

Health Care

0.028%UN Global Compact

GRUPO MEXICO BMEXICO

Materials

0.022%UN Global Compact

ADANI ENTERPRISES

INDIAIndustrials

0.022%UN Global Compact, UNGPBHRGERMANY

Consumer Discr.

0.020%UN Global Compact

NEW FOX A

USAComm. Services

0.020%UN Global Compact

FRESENIUSGERMANY

Health Care

0.020%UN Global Compact

KONINKLIJKE PHILIPSPORSCHE AUTOMOBIL VZG

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.

Information Classification: GENERAL

59

Simulated Deletions vs. ACWI ESG Screened Proposed Index– Conventional Weapons (1/2)
Country

SectorACWI ESG Screened
Weight – Proposal*

L3HARRIS TECHNOLOGIESUSA

Industrials

0.097%DAIKIN INDUSTRIESJAPAN

Industrials

0.097%VOLVO B

SWEDEN

Industrials

0.053%MITSUBISHI ELECTRIC CORP

JAPAN

Industrials

0.043%

KOMATSUJAPAN

Industrials

0.043%TELEDYNE TECHNOLOGIES

USA

IT

0.038%KIA CORP

KOREA

Consumer Discr.

0.035%

MAHINDRA & MAHINDRA

INDIAConsumer Discr.

0.031%

BOOZ ALLEN HAMILTON A

USAIndustrials

0.028%DAIMLER TRUCK HOLDINGGERMANY

Industrials

0.025%SUBARU CORPORATION

JAPAN

Consumer Discr.

0.025%MTU AERO ENGINESGERMANY

Industrials

0.021%ROLLS-ROYCE GROUP

UNITED KINGDOM

Industrials

0.016%GERMANY

Industrials

0.015%

Security NameRHEINMETALL

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.
*Simulated weight in ACWI ESG Screened Index after incorporating the proposals described in this document.

Information Classification: GENERAL• A conventional weapons“highly restrictive”
screen would result in 28
securities deleted vs.
ACWI ESG Screened
Proposed Index(aggregate weight of
0.64%)

60

Simulated Deletions vs. ACWI ESG Screened Proposed Index– Conventional Weapons (2/2)
Security NameCountry

SectorACWI ESG Screened
Weight – Proposal*

CAE

CANADA

Industrials

0.013%BHARAT ELECTRONICS

INDIA

Industrials

0.010%

SINGAPORE TECH ENGR

SINGAPORE

Industrials

0.009%VOLVO ASWEDEN

Industrials

0.007%KOREA SHIPBUILDING

KOREA

Industrials

0.007%KONGSBERG GRUPPENNORWAY

Industrials

0.007%QATAR GAS TRAN (NAKILAT)

QATAR

Energy0.006%BHARAT FORGE

INDIA

Consumer Discr.

0.005%

AVICHINA IND & TECH H

CHINA

Industrials

0.003%

AECC AVIATION A (HK-C)

CHINA

Industrials

0.002%ASELSAN ELEKTRONIKTURKEY

Industrials

0.002%AVIC ELECMECH A (HK-C)

CHINA

Industrials

0.001%NORTH IND GRP A (HK-C)

CHINA

Industrials

0.001%AVIC HELICOPTER A (HK-C)

CHINA

Industrials

0.000%

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.
*Simulated weight in ACWI ESG Screened Index after incorporating the proposals described in this document.

Information Classification: GENERAL• A conventional weapons“highly restrictive”
screen would result in 28
securities deleted vs.
ACWI ESG Screened
Proposed Index(aggregate weight of
0.64%)

61

Simulated Deletions vs. ACWI ESG Screened Proposed Index– SDG Alignment Top 30 (1/2)
Security NameCountry

SectorACWI ESG Screened
Weight – Proposal*

ENBRIDGE

CANADA

Energy0.184%

USA

Utilities

0.114%CANADA

Energy0.104%WILLIAMS COS

USAEnergy0.091%CHENIERE ENERGY

USA

Energy0.080%ONEOKUSA

Energy0.060%HALLIBURTON COUSA

Energy0.060%

BAKER HUGHES COUSA

Energy0.055%FORTISCANADA

Utilities

0.046%NESTE CORPORATIONFINLAND

Energy0.046%PEMBINA PIPELINECANADA

Energy0.043%ATMOS ENERGY CORP

USA

Utilities

0.035%TARGA RESOURCES CORP

USA

Energy0.032%CHINA RESOURCES LAND

CHINA

Real Estate

0.029%ADANI TOTAL GAS

INDIA

Utilities

0.028%SEMPRA ENERGYTC ENERGY CORPORATION

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.
*Simulated weight in ACWI ESG Screened Index after incorporating the proposals described in this document.

Information Classification: GENERAL• A screen on SDG
Strongly Misaligned
securities would result in
47 securities deleted vs.
ACWI ESG Screened
Proposed Index(aggregate weight of
1.27%)

62

Simulated Deletions vs. ACWI ESG Screened Proposed Index– SDG Alignment Top 30 (2/2)
Security NameCountry

SectorACWI ESG Screened
Weight – Proposal*

ENN ENERGY HOLDINGS

CHINA

Utilities

0.025%ATLANTIA

ITALY

Industrials

0.025%

SNAM

ITALY

Utilities

0.021%APA GROUP

AUSTRALIA

Utilities

0.020%UGI CORP

USA

Utilities

0.018%SK INNOVATION CO

KOREA

Energy0.017%TENARIS (IT)ITALY

Energy0.014%COSAN ON

BRAZIL

Energy0.010%ENAGAS

SPAIN

Utilities

0.010%

HONG KONG

Utilities

0.008%ABU DHABI NATL OIL CO

U.A.E.

Consumer Discr.

0.008%CHINA RESOURCES GAS GRP

CHINA

Utilities

0.008%EMPRESAS COPEC

CHILE

Energy0.007%SAUDI ARABIA

Materials

0.007%

CHINA

Real Estate

0.007%CK INFRASTRUCTURE HLDGSYANBU NATL PETROCHEMICALCHINA RESOURCES MIXC

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.
*Simulated weight in ACWI ESG Screened Index after incorporating the proposals described in this document.

Information Classification: GENERAL• A screen on SDG
Strongly Misaligned
securities would result in
47 securities deleted vs.
ACWI ESG Screened
Proposed Index(aggregate weight of
1.27%)

63

Simulated Deletions vs. ACWI ESG Screened Proposed Index– “CCC” Top 30 (1/2)
Security NameCountry

SectorACWI ESG Screened
Weight – Proposal*

CELLTRION

KOREA

Health Care

0.031%FORMOSA PLASTIC CORP

TAIWAN

Materials

0.027%SUN PHARMACEUTICAL IND

INDIA

Health Care

0.024%LASERTEC CORP

JAPAN

IT

0.023%NISSAN MOTOR CO

JAPAN

Consumer Discr.

0.020%FORMOSA CHEMICALS FIBRETAIWAN

Materials

0.017%

IAC

USA

Comm. Services

0.011%DISH NETWORK A

USAComm. Services

0.009%ECOPROBM

KOREA

Industrials

0.009%

ASIA CEMENT CORP

TAIWAN

Materials

0.007%MESAIEED PETROCHEMICALQATARMaterials

0.007%SAUDI KAYAN PETROCHEMSAUDI ARABIA

Materials

0.006%SAMSUNG HEAVY INDUSTRIES

KOREA

Industrials

0.006%ZHUZHOU CRRC TIMES H

CHINA

Industrials

0.006%TAL EDUCATION GROUP ADR

CHINAConsumer Discr.

0.006%

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.
*Simulated weight in ACWI ESG Screened Index after incorporating the proposals described in this document.

Information Classification: GENERAL• A screen on CCC-rated
securities would result in
140 securities deleted
vs. ACWI ESG Screened
Proposed Index(aggregate weight of
0.41%)

64

Simulated Deletions vs. ACWI ESG Screened Proposed Index– “CCC” Top 30 (2/2)
Security NameCountry

SectorACWI ESG Screened
Weight – Proposal*

WEICHAI POWER CO H

CHINA

Industrials

0.006%BHARAT FORGE

INDIA

Consumer Discr.

0.005%CHINA STATE CONSTRUCTION

CHINA

Industrials

0.005%QATAR ELECT & WATER CO

QATAR

Utilities

0.005%SAUDI ARABIA

Financials

0.005%INDIAN RAIL CATER & TOUR

INDIA

Industrials

0.005%HYUNDAI STEEL CO

KOREA

Materials

0.005%TONGWEI CO A (HK-C)

CHINA

Consumer Staples

0.005%SAUDI RSCH AND MEDIA GRP

SAUDI ARABIA

Comm. Services

0.004%CHINA MERCHANTS PORT

CHINA

Industrials

0.004%RABIGH REFINING & PETROSAUDI ARABIA

Energy0.004%JOLLIBEE FOODS CORP

PHILIPPINES

Consumer Discr.

0.004%

F&F (NEW)

KOREA

Consumer Discr.

0.004%

MABANEE CO SAKCKUWAIT

Real Estate0.004%

BEIJING SHANGHAI A(HK-C)

CHINA

Industrials

0.004%SAUDI TADAWUL GROUP HLDG

Simulation as of September 1, 2022, based on data from MSCI ESG Research as of August 31, 2022.
*Simulated weight in ACWI ESG Screened Index after incorporating the proposals described in this document.

Information Classification: GENERAL• A screen on CCC-rated
securities would result in
140 securities deleted
vs. ACWI ESG Screened
Proposed Index(aggregate weight of
0.41%)

65

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Index returns do not represent the results of actual trading of investible assets/securities. MSCI maintains and calculates indexes, but does not manage actual assets. Index returns do not reflect payment of any sales charges or fees an investor may pay to purchase thesecurities underlying the index or Index Linked Investments. The imposition of these fees and charges would cause the performance of an Index Linked Investment to be different than the MSCI index performance.
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Data and information produced by various affiliates of MSCI Inc., including MSCI ESG Research LLC and Barra LLC, may be used in calculating certain MSCI indexes. More information can be found in the relevant index methodologies on www.msci.com.
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