MSCI USD 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 performanceYear

MSCI USD IG Climate
Paris Aligned CorpBond

MSCI USD IG CorporateBond2021
2020

-1.59
10.46

-1.25
10.03

USD RETURNS DEC 2019 – DEC 2021
1400
1300

1086.99

1200
1100
1000
900

1086.51
Dec-19Mar-20Jun-20

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

Jun-21

Sep-21

Dec-21MSCI USD IG CORPORATE BOND

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

1 Month

3 Months

1 YearYear to Date

3 Years

5 Years

Since Dec 31, 2019MSCI USD IG Climate Paris Aligned Corporate Bond-0.17

0.1

-1.59

-1.59

NANA4.23

MSCI USD IG Corporate Bond-0.07

0.17

-1.25

-1.25

NANA

4.2Index risk and return characteristics
DECEMBER 31, 2021
ANNUALIZED STD. DEVIATION (%)
Index

Tracking Error

Turnover*(%)(%)

3 Years

5 Years

Since Dec 31, 2019MSCI USD IG Climate Paris Aligned Corporate Bond

0.6

62.9

NANA

6.37

MSCI USD IG Corporate Bond-26.48

NANA

6.69

*Last 12 months

The MSCI USD IG Climate Paris Aligned Corporate Bond Index was launched on Dec 31, 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 noindication or guarantee of future performance.

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

Information Classification: GENERAL

# ofsecurities# of issuers

MarketValue USD(MM)

Coupon*Price*

Yield toWorst

Effective
Duration

EffectiveConvexity

OAS**(bps)

Weighted
CreditRating

0-3 Years378

156

5501.04

2.54

102.65

1.02

1.73

0.00

37.56

A-

3-5 Years

389

177

5730.58

2.70

103.89

1.57

3.50

0.15

48.69

A-Maturity

5-7 Years

235

133

3581.712.99

105.47

1.89

4.92

0.29

63.07

A-

7-10 Years

351

196

5429.032.90

103.90

2.28

7.09

0.61

83.67

A-

10-20 Years

225

1033795.33

3.97

113.15

2.68

10.63

1.53

105.58A-20+ Years

405

142

6725.55

3.95

114.55

3.05

16.82

3.98

114.96

A-Aggregate

1983

326

30763.24

3.14

107.10

2.10

7.76

1.22

95.70

A-

* Par Weighted** Effective Duration WeightedCredit Rating Break Down

ESG Metrics

AAA

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

Controversial Weapons (%)

00.02

AA

ESG score

6.38

6.23

AA-

Environmental Pillar Score

6.92

6.4

Extreme Weather Climate
VaR

-0.28

-0.57

Fossil Fuel Reserves (%)

00.06

Governance Pillar Score

5.06

4.98

Green Bonds (%)

0.01

0.01

A+
A
ABBB+

Green Revenues (%)

5.45

2.76

BBB

Social Pillar Score

4.84

4.73

BBB-Tobacco (%)

00.01

Very Severe Controversies

00.05

47.4

147.18423.86885.35051015202530

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

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

Top 5 Securities
Security Name

Currency

Index Weight (%)

Parent Index Weight (%)

Sector

Security Credit Rating

GE 4.418% Sr MTN Due 2035

USD

0.26

DLR 3.70% Sr Guar Nts Due 2027
DLR 3.60% Sr Nts Guar Due 2029

USD
USD

0.22
0.2

0.17

Industrials

BBB+0.02
0.02

Real Estate
Real Estate

BBB
BBB

GE 6.75% Globl Fxd Rt MTN Ser A 2032
CVS 5.05% Sr Nts Due 2048

USD
USD

0.19
0.19

0.07
0.21

Industrials
Healthcare

BBB+BBBTop 5 Issuers
Issuer Name

Index Weight (%)

Parent Index Weight (%)

Sector

GOLDMAN SACHS GROUP INC

3.09

2.2

Financials

MORGAN STANLEY

3.07

2.31

Financials

BANK OF AMERICA CORP

3.06

3.6

Financials

JPMORGAN CHASE & CO

2.48

3.21

Financials

ORACLE CORP

2.11

1.51

Info Tech

Sector Weights
MSCI USD IG Climate Paris Aligned Corporate Bond Index | msci.com

Information Classification: GENERAL1.70%
5.02%

0.91%

0.00%

5.16%
6.11%

34.37%

6.45%

7.32%

16.01%

Financials
Real Estate
Materials

HealthcareComm. Svc.
Utilities

16.94%

Info TechCons. Staples
EnergyCons. Disc.
Industrials

Index Methodology

The MSCI Fixed Income Climate Paris Aligned Indexes are constructed from their corresponding Parent
Indexes 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 of10% 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 3emissions 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 USD IG Climate Paris Aligned Corporate Bond Index | msci.com

Information Classification: GENERAL