Consultation on Potential
Enhancements to MSCIESG Screened Indexes
SEPTEMBER 2021

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.
© 2021 MSCI Inc. All rights reserved.
Information Classification: GENERAL

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

Proposed Enhancements
MSCI proposes methodology changes aiming to strengthen the climate and controversies screensused in MSCI ESG Screened Indexes.
Proposed Enhancements

1. Enhance
ClimateProfile2. Exclude
Very Severe
Controversies[Base Proposal]
Align with MSCI ESG Leaders Indexes:[Advanced Proposal]
Align with MSCI SRI Indexes:• Exclude companies involved in unconventional oil
and gas businesses (vs. only oil sands currently)• Exclude companies involved in thermal coal(unchanged vs. currently)• Exclude companies involved in unconventional oil
and gas businesses (vs. only oil sands currently)• Exclude companies involved in thermal coal
(stricter vs. currently)• Exclude companies with fossil fuel reserves (new)Align with other broad MSCI ESG indexes (ESG Leaders, SRI, ESG Universal, ESG Focus…):• Exclude companies involved in very severe controversies (new)• Exclude companies that violate UN Global Compact (unchanged)• MSCI invites feedback from market participants on or before October 22, 2021 and will announce the results ofthe consultation as well as the implementation timeline on or before October 29, 2021.
Information Classification: GENERAL

2

Enhancing Climate Profile of ESG Screened Indexes
Strengthening the index climate profile:•

Further incorporation of Climate Risk may support investors in their ESG integration strategies.

•

Some institutional ESG investors are seeking greater climate awareness to support their use of ESG Indexes.

•

Regulatory scrutiny on climate risk considerations are increasing and may impose a significant short-term risk for some investors.

Enhancement Proposals

Rationale for Proposal• Exclude companies involved inthermal coal and unconventional
oil and gas businesses• Exclude companies involved in various unconventional oil and gas businesses based on thedefinition from MSCI ESG Research*, rather than focusing only on oil sands• Align with other ESG indexes (e.g., ESG Leaders, SRI, ESG Focus)• Exclude companies with fossil
fuel reserves• Apply a fossil fuel divestment strategy to mitigate stranded asset risk**• Reflect a values-based approach aligned with SRI indexes, in line with other businessinvolvement screens (Controversial Weapons, Nuclear Weapons, Tobacco, Civilian Firearms)* Definition available in Appendix.
** Stranded assets are now generally accepted to be those assets that at some time prior to the end of their economic life (as assumed at the investment decision point), are nolonger able to earn an economic return (i.e. meet the company’s internal rate of return), as a result of changes associated with the transition to a low-carbon economy (lower
than anticipated demand / prices).

Information Classification: GENERALExcluding Very Severe Controversies
Incorporating global norms screening in ESG investing:•

Using MSCI ESG Controversies can assist investors in reducing their exposure to companies that violate international norms.

•“Red flag” companies are those involved in very severe ESG controversies (i.e., violation of global norms) over the past 3 years.

•

Along with companies involved in Controversial Weapons (already excluded from MSCI ESG Screened Indexes), red flag
companies are commonly perceived by investors as minimum exclusions when considering ESG in their investment processes.

Enhancement Proposal

Rationale for Proposal• Exclude companies involved invery severe controversies (ESG
Controversies Score = 0)

• Expand the existing screen beyond companies that violate UN Global Compact,
to capture companies in breach of other global norms such as the OECD
Guidelines for Multinational Enterprises• Align with other MSCI broad ESG indexes, such as MSCI ESG Leaders, MSCI SRI,MSCI ESG Universal, MSCI ESG Focus indexes• Potentially align with recent regulatory developments such as EU Sustainable
Finance Disclosure Regulation (SFDR)** As per MSCI’s mapping framework (based on client feedback), the exclusion of companies involved in very severe controversies takes into consideration the «Good
Governance» distinction of EU SFDR Article 8.
The framework is available at: https://support.msci.com/msci-indexes/sfdr-articles-6/8/9-framework

Information Classification: GENERALDetails of Proposals
Current and proposed climate / controversies screens used in MSCI ESG Screened Indexes:
Current

Base Proposal

Advanced
Proposal

Thermal Coal Mining and Sale>=5% revenue>=5% revenue>0% revenue

Oil Sands Extraction>=5% revenue>=5% revenue>0% revenue

Other Unconventional Oil & Gas Extraction->=5% revenue>0% revenue

Fossil Fuel Reserves (Energy Application)

-

-

Yes

Thermal Coal Power Generation>=5% revenue>=5% revenue>=5% revenue

UN Global Compact Violations

Yes

Yes

Yes

Very Severe Controversies (“Red Flags”)

-

Yes

Yes

Changes vs. current index methodology are highlighted in green.

Information Classification: GENERAL

Simulated Impact – ACWI ESG Screened(Exclusions/Turnover)# Exclusions – ESG screens# Exclusions – Missing ESG data*# Exclusions – Total

Ex fossil
fuelreserves2
Advanced
Base Proposal
Proposal

Current
Index

With Red Flags
Excluded1

144
-

149
8

159
8

239
8

144

157

167

247

Weight Exclusions – ESG screens
Weight Exclusions – Missing ESG data*
Weight Exclusions – Total

4.81%
-

5.13%
0.10%

6.11%
0.10%

8.55%
0.10%

4.81%

5.23%

6.21%

8.65%

Transition Turnover**

0.68%

0.73%

1.56%

4.09%

1 Under this simulation, the only change applied is the exclusion of companies involved in very severe controversies.
2 In addition, compared to the Base Proposal, the Advanced Proposal applies a 0% threshold (vs. 5%) on thermal coal mining and unconventional oil and gas extraction.

* Companies not covered for ESG Controversies would be excluded. More details are available in Appendix.
** One-way index turnover assuming implementation of the changes at the August 2021 Quarterly Index Review.
Data as of the August 2021 Quarterly Index Review (as of August 19, 2021) reflecting the index review changes effective September 1, 2021.

Information Classification: GENERAL

Simulated Impact – ACWI ESG Screened (Index Metrics)
Ex fossil
fuelreserves2

14.7
14.3
0.0
3.0

Current
Index
15.1
14.4
0.5
3.8

6
1.9
90
205
152
4.9
1.1
2.6
2.2

6.1
0.3
62
147
108
3.6
0.5
1.6
1.9

ACWI
Total return* (%)
Total risk (%)
Tracking error (%)
Turnover** (%)
ESG / Climate Metrics
ESG score
Red flag controversies
Carbon emissions (t CO2e/$M invested)
Carbon intensity (t CO2e/$M sales)
Wtd avg carbon intensity (t CO2e/$M sales)
Fossil fuel reserves (%)
Thermal coal mining (%)
Thermal coal-based power generation (%)
Unconventional oil & gas extraction (%)

With Red Flags
Base Proposal
Excluded1
15.2
15.5
14.4
14.2
0.5
0.7
3.9
4.0
6.1
0
62
147
108
3.6
0.4
1.7
1.9

6.1
0
59
140
104
2.6
0.4
1.7
0.8

Advanced
Proposal
15.8
14.2
1.0
3.9
6.1
0
46
119
95
0
0
0.7
0

1 Under this simulation, the only change applied is the exclusion of companies involved in very severe controversies.
2 In addition, compared to the Base Proposal, the Advanced Proposal applies a 0% threshold (vs. 5%) on thermal coal mining and unconventional oil and gas extraction.

Period: May 31, 2016 to July 30, 2021 (ESG / Climate metrics as of July 30, 2021) * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews.

Information Classification: GENERAL

Simulated Impact – World ESG Screened (Index Metrics)
Ex fossil
fuelreserves2

15.1
14.5
0.0
2.5

Current
Index
15.5
14.6
0.5
3.4

6.2
1.8
71
168
132
4.5
0.9
2.8
2.3

6.2
0.4
49
120
90
3.5
0.4
1.8
1.9

World
Total return* (%)
Total risk (%)
Tracking error (%)
Turnover** (%)
ESG / Climate Metrics
ESG score
Red flag controversies
Carbon emissions (t CO2e/$M invested)
Carbon intensity (t CO2e/$M sales)
Wtd avg carbon intensity (t CO2e/$M sales)
Fossil fuel reserves (%)
Thermal coal mining (%)
Thermal coal-based power generation (%)
Unconventional oil & gas extraction (%)

With Red Flags
Base Proposal
Excluded1
15.6
16.0
14.5
14.4
0.6
0.7
3.5
3.5
6.2
0
49
121
90
3.5
0.4
1.8
2

Advanced
Proposal
16.3
14.4
1.0
3.4

6.2
0
45
112
85
2.3
0.4
1.8
0.7

1 Under this simulation, the only change applied is the exclusion of companies involved in very severe controversies.
2 In addition, compared to the Base Proposal, the Advanced Proposal applies a 0% threshold (vs. 5%) on thermal coal mining and unconventional oil and gas extraction.

Period: May 31, 2016 to July 30, 2021 (ESG / Climate metrics as of July 30, 2021) * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews.

Information Classification: GENERAL

6.2
0
37
99
80
0
0
0.8
0

Simulated Impact – EM ESG Screened (Index Metrics)
Ex fossil
fuelreserves2

Total return* (%)
Total risk (%)
Tracking error (%)
Turnover** (%)
ESG / Climate Metrics
ESG score
Red flag controversies
Carbon emissions (t CO2e/$M invested)
Carbon intensity (t CO2e/$M sales)
Wtd avg carbon intensity (t CO2e/$M sales)
Fossil fuel reserves (%)
Thermal coal mining (%)
Thermal coal-based power generation (%)
Unconventional oil & gas extraction (%)

Emerging
Markets (EM)
12.3
16.4
0.0
7.3

Current
Index
12.5
16.4
0.7
7.9

5
2.5
228
411
300
7.7
2.5
1.5
1.7

5.1
0.1
160
292
240
4.9
0.8
0.6
1.6

With Red Flags
Base Proposal
Excluded1
12.5
12.5
16.4
16.4
0.7
0.7
7.9
8.0
5.1
0
159
290
238
4.8
0.6
0.6
1.6

5.1
0
159
290
238
4.8
0.6
0.6
1.6

Advanced
Proposal
12.5
16.5
1.3
8.1
5.2
0
113
228
205
0
0
0.3
0

1 Under this simulation, the only change applied is the exclusion of companies involved in very severe controversies.
2 In addition, compared to the Base Proposal, the Advanced Proposal applies a 0% threshold (vs. 5%) on thermal coal mining and unconventional oil and gas extraction.

Period: May 31, 2016 to July 30, 2021 (ESG / Climate metrics as of July 30, 2021) * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews.

Information Classification: GENERAL

Simulated Impact – USA ESG Screened (Index Metrics)
Ex fossil
fuelreserves2

18.1
15
0
2.7

Current
Index
18.6
15.2
0.6
3.2

5.8
1.5
48
162
127
3.2
0.1
2.8
1.8

5.8
0.5
29
102
80
3
0
1.5
1.9

USA
Total return* (%)
Total risk (%)
Tracking error (%)
Turnover** (%)
ESG / Climate Metrics
ESG score
Red flag controversies
Carbon emissions (t CO2e/$M invested)
Carbon intensity (t CO2e/$M sales)
Wtd avg carbon intensity (t CO2e/$M sales)
Fossil fuel reserves (%)
Thermal coal mining (%)
Thermal coal-based power generation (%)
Unconventional oil & gas extraction (%)

With Red Flags
Base Proposal
Excluded1
18.6
19.4
15.2
15
0.6
0.8
3.2
3.4
5.8
0.5
29
102
80
3
0
1.5
1.9

Advanced
Proposal
19.7
15
1
3.2

5.8
0
23
84
73
1.2
0
1.6
0.1

1 Under this simulation, the only change applied is the exclusion of companies involved in very severe controversies.
2 In addition, compared to the Base Proposal, the Advanced Proposal applies a 0% threshold (vs. 5%) on thermal coal mining and unconventional oil and gas extraction.

Period: May 31, 2016 to July 30, 2021 (ESG / Climate metrics as of July 30, 2021) * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews.

Information Classification: GENERAL

5.8
0
22
80
70
0
0
0.6
0

Simulated Impact – Europe ESG Screened (Index Metrics)
Ex fossil
fuelreserves2

10.1
16.1
0.0
2.1

Current
Index
10.1
16.0
0.9
4.7

7.5
2.6
111
167
131
6.8
1.6
3.1
3.5

7.6
0.1
98
152
114
4.4
0.5
2.9
2.3

EuropeTotal return* (%)
Total risk (%)
Tracking error (%)
Turnover** (%)
ESG / Climate Metrics
ESG score
Red flag controversies
Carbon emissions (t CO2e/$M invested)
Carbon intensity (t CO2e/$M sales)
Wtd avg carbon intensity (t CO2e/$M sales)
Fossil fuel reserves (%)
Thermal coal mining (%)
Thermal coal-based power generation (%)
Unconventional oil & gas extraction (%)

With Red Flags
Base Proposal
Excluded1
10.1
10.1
16.0
15.9
0.9
1.0
4.7
4.7
7.6
0
98
152
115
4.4
0.5
2.9
2.3

7.6
0
98
152
114
4.2
0.5
2.9
2.1

Advanced
Proposal
10.3
15.9
1.7
4.5
7.6
0
70
121
98
0
0
1.7
0

1 Under this simulation, the only change applied is the exclusion of companies involved in very severe controversies.
2 In addition, compared to the Base Proposal, the Advanced Proposal applies a 0% threshold (vs. 5%) on thermal coal mining and unconventional oil and gas extraction.

Period: May 31, 2016 to July 30, 2021 (ESG / Climate metrics as of July 30, 2021) * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews.

Information Classification: GENERAL

Discussion Points• Should the climate related exclusions in MSCI ESG Screened Indexes be strengthened?
• Do you agree with excluding unconventional oil and gas companies (vs. excluding oil sands
companies only)?
• Do you agree with further excluding companies with fossil fuel reserves, in line with MSCI SRIIndexes?
• Do you agree to exclude companies involved in very severe controversies (“red flags”), in addition
to the current UN Global Compact violators screen?
• Should MSCI ESG Screened indexes exclude companies with ESG Rating of ‘CCC’ to help achievea minimum rate of exclusion (see impact in Appendix)?
• Should MSCI ESG Screened indexes apply additional business involvement screens, such as
conventional weapons or any other activity?
To participate in the consultation, please provide your feedback through an online survey available on:https://www.msci.com/consultation-ESGScreened

Information Classification: GENERAL

Appendix

Information Classification: GENERAL

Current vs. Proposed Screens (Climate)
Current Methodology

Base Proposal

Advanced Proposal

Thermal Coal PowerAll companies deriving 5% or more revenue from Thermal Coal Power Generation

Fossil Fuel Extraction

1. All companies deriving 5% ormore revenue (either reported
or estimated) from thermal
coal mining.
2. All companies deriving 5% ormore revenue (either reported
or estimated) from oil sands
extraction.

All companies deriving 5% or moreaggregate revenue (either reported
or estimated) from thermal coalmining or unconventional oil andgas extraction.

All companies deriving any
revenue (either reported or
estimated) from thermal coalmining or unconventional oil andgas extraction.

Fossil Fuel Reserves

N/A

N/A

All companies with evidence ofowning proven & probable coalreserves and/or proven oil andnatural gas reserves used forenergy purposes, as defined by
the methodology of the MSCI ex
Fossil Fuels Indexes.

Information Classification: GENERAL

Current vs. Proposed Screens (ex Climate)
Current Methodology

Base Proposal / Advanced Proposal

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,
involved auxiliary services etc. as defined in Appendix I of the MSCI ESG Screened Indexes methodology.

Civilian Firearms“Highly Restrictive” screen:
All companies classified as producer or companies that derive 5% or more aggregate revenue fromproduction and distribution of firearms.

Tobacco“Highly Restrictive” screen:
All companies classified as producer or companies that derive 5% or more aggregate revenue fromproduction, distribution, retail, supply and licensing of tobacco relate products.

Controversies

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

Information Classification: GENERAL

1. All companies that fail to comply with the UN
Global Compact principles.
2. All companies that have an MSCI ESG
Controversies Score of 0 (Red Flags).

Simulated Deletions ACWI ESG Screened – Red Flags
Country

SectorACWI ESG
Screened WeightExclusion Reason

WELLS FARGO & COUSA

Financials

0.31%

Red Flag

MSCI

USA

Financials

0.08%

Missing ESG controversies data

ATLANTIA

ITALY

Industrials

0.01%

Red Flag

SK BIOSCIENCE CO

KOREAHealth Care

0.01%

Missing ESG controversies data

SEVERSTAL (RUB)

RUSSIA

Materials

0.01%

Red Flag

KAKAOBANK CORP

KOREA

Financials

0.01%

Missing ESG controversies data

DIDI GLOBAL A ADR

CHINA

Industrials

0.00%

Missing ESG controversies data

TIGER BRANDS

SOUTH AFRICA

Consumer Staples

0.00%

Red Flag

HARMONY GOLD MINING CO

SOUTH AFRICA

Materials

0.00%

Red Flag

BEIJING WANTAI A (HK-C)

CHINA

Health Care

0.00%

Missing ESG controversies data

CHINA BAOAN GRP A (HK-C)

CHINA

Industrials

0.00%

Missing ESG controversies data

ZHONGTAI SEC A(HK-C)

CHINA

Financials

0.00%

Missing ESG controversies data

STARPOWER SEMICO A(HK-C)

CHINA

Information
Technology

0.00%

Missing ESG controversies data

Security Name

Simulation as of the August 2021 Quarterly Index Review.

Information Classification: GENERAL

Simulated Deletions ACWI ESG Screened – Climate(Base Proposal)
Country

SectorACWI ESG
Screened WeightExclusion Reason

EXXON MOBIL CORP

USA

Energy0.35%

Fossil Fuel Extraction

CHEVRON CORP

USA

Energy0.29%

Fossil Fuel Extraction

CONOCOPHILLIPSUSA

Energy0.11%

Fossil Fuel Extraction

EOG RESOURCES

USA

Energy0.06%

Fossil Fuel Extraction

PIONEER NATURAL RES

USAEnergy0.05%

Fossil Fuel Extraction

KINDER MORGAN P

USAEnergy0.05%

Fossil Fuel Extraction

OCCIDENTAL PETROLEUM

USA

Energy0.03%

Fossil Fuel Extraction

NORWAY

Energy0.03%

Fossil Fuel Extraction

HESS

USA

Energy0.03%

Fossil Fuel Extraction

DEVON ENERGY CORP

USA

Energy0.03%

Fossil Fuel Extraction

Security NameEQUINOR

Simulation as of the August 2021 Quarterly Index Review.

Information Classification: GENERAL

Simulated Deletions ACWI ESG Screened – Climate(Advanced Proposal) – Top 30 (1/2)
Country

SectorACWI ESG
Screened WeightExclusion Reason

BERKSHIRE HATHAWAY B

USA

Financials

0.60%

Fossil Fuel Reserves

EXXON MOBIL CORP

USA

Energy0.35%

FF Reserves / FF Extraction

CHEVRON CORP

USA

Energy0.29%

FF Reserves / FF Extraction

TOTALENERGIESFRANCE

Energy0.17%

FF Reserves / FF Extraction

RELIANCE INDUSTRIESINDIAEnergy0.13%

FF Reserves / FF Extraction

BP

UK

Energy0.13%

FF Reserves / FF Extraction

ENEL

ITALY

Utilities

0.12%

Fossil Fuel Reserves

CONOCOPHILLIPSUSA

Energy0.11%

FF Reserves / FF Extraction

BROOKFIELD ASSET MAN A

CANADA

Financials

0.11%

FF Reserves / FF Extraction

GAZPROM (RUB)

RUSSIA

Energy0.07%

Fossil Fuel Reserves

GLENCORE

UK

Materials

0.07%

FF Reserves / FF Extraction

EOG RESOURCES

USA

Energy0.06%

FF Reserves / FF Extraction

SCHLUMBERGERUSA

Energy0.06%

Fossil Fuel Reserves

MITSUBISHI CORP

JAPAN

Industrials

0.06%

FF Reserves / FF Extraction

ITOCHU CORP

JAPAN

Industrials

0.06%

FF Reserves / FF Extraction

Security Name

Simulation as of the August 2021 Quarterly Index Review.

Information Classification: GENERAL

Simulated Deletions ACWI ESG Screened – Climate(Advanced Proposal) – Top 30 (2/2)
Security NameCountry

SectorACWI ESG
Screened WeightExclusion Reason

LUKOIL HOLDING(RUB)

RUSSIA

Energy0.06%

Fossil Fuel Reserves

NUCOR CORP

USA

Materials

0.06%

Fossil Fuel Extraction

MITSUI & COJAPAN

Industrials

0.05%

FF Reserves / FF Extraction

KKR & CO A

USA

Financials

0.05%

Fossil Fuel Reserves

PIONEER NATURAL RES

USAEnergy0.05%

FF Reserves / FF Extraction

KINDER MORGAN P

USAEnergy0.05%

FF Reserves / FF Extraction

ENI

ITALY

Energy0.05%

FF Reserves / FF Extraction

ENGIE

FRANCE

Utilities

0.04%

Fossil Fuel Reserves

SSE

UK

Utilities

0.04%

Fossil Fuel Reserves

RUSSIA

Energy0.03%

Fossil Fuel Reserves

USA

Energy0.03%

FF Reserves / FF Extraction

SAUDI ARAMCOSAUDI ARABIA

Energy0.03%

FF Reserves / FF Extraction

CK HUTCHISON HOLDINGSHONG KONG

Industrials

0.03%

FF Reserves / FF Extraction

NORWAY

Energy0.03%

FF Reserves / FF Extraction

HONG KONG

Utilities

0.03%

FF Reserves / FF Extraction

NOVATEK GDROCCIDENTAL PETROLEUM

EQUINORHONGKONG CHINA GASSimulation as of the August 2021 Quarterly Index Review.

Information Classification: GENERAL

Simulated Historical Impact – Missing ESG Data
• The table below shows securities in the MSCI ACWI Index not covered for ESG Controversies data
during the Index Reviews since the May 2020 Index Review:
Index Review# Securities

ACWI WeightAug 20218

0.10%

May 2021

58

0.22%

Feb 2021

9

0.10%

Nov 2020

54

0.20%

Aug 2020

4

0.11%

May 2020

61

0.33%

• All such securities started to be covered for ESG Controversies data by the next quarterly index
review, hence becoming eligible for index inclusion under the proposal*– Example: the securities not covered for ESG Controversies data at the May 2021 Index Review would havebeen eligible for the MSCI ESG Screened Indexes at the August 2021 Index Review** Except MSCI Inc. security (NYSE: MSCI), which has not been covered for ESG Controversies data.

Information Classification: GENERAL

Simulated Impact – ACWI ESG Screened with CCC Screen(Exclusions/Turnover)Ex fossil
fuelreserves1# Exclusions – ESG screens# Exclusions – Missing ESG data*# Exclusions – Total

Current
Index

Base Proposal+ CCC

Advanced
Proposal + CCC

144
-

319
14

393
14

144

333

407

Weight Exclusions – ESG screens
Weight Exclusions – Missing ESG data*
Weight Exclusions – Total

4.81%
-

6.77%
0.14%

9.17%
0.14%

4.81%

6.91%

9.30%

Transition Turnover**

0.68%

2.18%

4.70%

1 In addition, compared to the Base Proposal, the Advanced Proposal applies a 0% threshold (vs. 5%) on thermal coal mining and unconventional oil and gas extraction.

* Companies not covered for ESG Controversies and/or ESG Rating would be excluded.
** One-way index turnover assuming implementation of the changes at the August 2021 Quarterly Index Review.
Data as of the August 2021 Quarterly Index Review (as of August 19, 2021) reflecting the index review changes effective September 1, 2021.

Information Classification: GENERAL

Simulated Impact – ACWI ESG Screened with CCC Screen(Index Metrics)
Ex fossil
fuelreserves1

14.7
14.3
0.0
3.0

Current
Index
15.1
14.4
0.5
3.8

6
1.9
90
205
152
4.9
1.1
2.6
2.2

6.1
0.3
62
147
108
3.6
0.5
1.6
1.9

ACWI
Total return* (%)
Total risk (%)
Tracking error (%)
Turnover** (%)
ESG / Climate Metrics
ESG score
Red flag controversies
Carbon emissions (t CO2e/$M invested)
Carbon intensity (t CO2e/$M sales)
Wtd avg carbon intensity (t CO2e/$M sales)
Fossil fuel reserves (%)
Thermal coal mining (%)
Thermal coal-based power generation (%)
Unconventional oil & gas extraction (%)

Base Proposal
Advanced+ CCC
Proposal + CCC
15.7
16.0
14.2
14.2
0.8
1.0
4.6
4.6
6.1
0.0
56
136
101
2.5
0.4
1.7
0.8

6.2
0.0
44
115
93
0.0
0.0
0.7
0.0

1 In addition, compared to the Base Proposal, the Advanced Proposal applies a 0% threshold (vs. 5%) on thermal coal mining and unconventional oil and gas extraction.

Period: May 31, 2016 to July 30, 2021 (ESG / Climate metrics as of July 30, 2021) * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews.

Information Classification: GENERAL

Definition of Climate Exclusion Screens•

THERMAL_COAL_MAX_REV_PCT - The maximum percentage of revenue (either reported or estimated) greater than 0% that acompany derives from the mining of thermal coal (including lignite, bituminous, anthracite and steam coal) and its sale toexternal parties. It excludes: revenue from metallurgical coal; coal mined for internal power generation (e.g. in the case ofvertically integrated power producers); intra-company sales of mined thermal coal; and revenue from coal trading.

•

GENERAT_MAX_REV_THERMAL_COAL - The maximum percentage of revenue (either reported or estimated) that a company
derives from the thermal coal based power generation.

•

UNCONV_OIL_GAS_MAX_REV_PCT – The maximum percentage of revenue (either reported or estimated) greater than 0% that acompany derives from unconventional oil and gas. It includes revenues from oil sands, oil shale (kerogen-rich deposits), shalegas, shale oil, coal seam gas, and coal bed methane. It excludes all types of conventional oil and gas production including Arctic
onshore/offshore, deepwater, shallow water and other onshore/offshore.

•

FF_RESERVES_ENERGY_APPLICATION – This screen identifies companies, regardless of their industries, with evidence ofowning fossil fuel reserves used most likely for energy applications. For high-intensity industries (belonging to Energy andUtilities GICS Sector & Diversified Metals & Mining GICS Sub-Industry), this factor flags companies with evidence of fossil fuelreserves (excluding Metallurgical Coal). For other industries, it flags companies with evidence of fossil fuel reserves (excluding
Metallurgical Coal) and deriving revenue from business segments associated with energy application of fossil fuels such as
Thermal Coal mining, Oil & Gas exploration & production and downstream activities e.g. refining; distribution & retail; pipeline &transportation; trading and fossil fuel- based power generation.

Information Classification: GENERAL

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Information Classification: GENERAL

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