CELEX: 
Language: en
Date: 2020-07-17 00:00:00
Title: COMMISSION DELEGATED REGULATION (EU) …/... supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards the explanation in the benchmark statement of how environmental, social and governance factors are reflected in each benchmark provided and published

EUROPEAN
                            COMMISSION
                                                     Brussels, 17.7.2020
                                                     C(2020) 4744 final
                 COMMISSION DELEGATED REGULATION (EU) …/...
                                         of 17.7.2020
      supplementing Regulation (EU) 2016/1011 of the European Parliament and of the
   Council as regards the explanation in the benchmark statement of how environmental,
   social and governance factors are reflected in each benchmark provided and published
                                  (Text with EEA relevance)
EN                                                                                      EN
 ---pagebreak---                                  EXPLANATORY MEMORANDUM
   1.        CONTEXT OF THE DELEGATED ACT
   1.1.      General background
   In 2015, the European Union signed the Paris Climate Agreement. The Paris Climate
   Agreement sets the objective to strengthen the response to climate change, among other
   means by making investment flows consistent with a pathway towards low greenhouse gas
   emissions and climate-resilient development.
   The European Green Deal communication confirms the need for long-term signals to direct
   financial and capital flows to green investment and to avoid stranded assets. This delegated
   act will contribute to this specific objective. It also follows up on the earlier Action Plan
   ‘Financing Sustainable Growth’ of March 2018, launching an ambitious and comprehensive
   strategy on sustainable finance and aiming to reorient capital flows towards sustainable
   investment to achieve sustainable and inclusive growth.
   More broadly, the European Green Deal is the European Union’s response to the climate and
   environmental challenges that are this generation’s defining task. It is a new growth strategy
   that aims to transform the EU into a fair and prosperous society, with a modern, resource-
   efficient and competitive economy where there are no net emissions of greenhouse gases in
   2050, where the environment and health of citizens are protected, and where economic growth
   is decoupled from resource use. Since companies and households will have to provide the
   bulk of the sustainable investments in the next decade, it is crucial to put in place clear long-
   term signals to guide investors to sustainable investment.
   Regulation (EU) 2016/1011 of the European Parliament and of the Council1 (the Benchmark
   Regulation) introduces a common framework to ensure the accuracy and integrity of
   benchmarks referenced in financial instruments, financial contracts or investment funds in the
   European Union. In doing so, it aims to contribute to the functioning of the internal market,
   while achieving a high level of consumer and investor protection.
   On 24 May 2018, the Commission published its proposal to amend the benchmark regulation,
   in accordance with the Action Plan ‘Financing Sustainable Growth’, with the objective to put
   forward standards for the methodology of low-carbon benchmarks in the Union.
   Regulation (EU) 2019/2089 of the European Parliament and of the Council2, amending the
   Benchmark Regulation, introduces a new category of benchmarks, so-called EU Climate
   benchmarks (the EU Climate Transition Benchmarks and EU Paris-aligned Benchmarks), and
   sustainability-related disclosures for all benchmarks.
   1.2.      Objective of the Delegated Regulation
   The objective of this Delegated Regulation is to set out the explanation that benchmark are
   required to include in the benchmark statement about how environmental, social and
   governance (ESG) factors are reflected in each benchmark or, where applicable, family of
   benchmarks provided and published.
   1
           Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on indices
           used as benchmarks in financial instruments and financial contracts or to measure the performance of
           investment funds and amending Directives 2008/48/EC and 2014/17/EU and Regulation (EU) No
           596/2014 (OJ L 171, 29.6.2016, p. 1).
   2
           Regulation (EU) 2019/2089 of the European Parliament and of the Council of 27 November 2019
           amending Regulation (EU) 2016/1011 as regards EU Climate Transition Benchmarks, EU Paris-aligned
           Benchmarks and sustainability-related disclosures for benchmarks (OJ L 317, 9.12.2019, p. 17).
EN                                                       1                                                      EN
 ---pagebreak---    Due to their nature and specificities, benchmarks that comprise derivative instruments for the
   transfer of credit risk, such as credit default swaps, cannot reflect ESG factors. In addition,
   there are no known indices that are structured on financial contracts for difference or emission
   allowances. The requirement to explain how ESG factors are reflected in each benchmark or
   family of benchmarks provided and published should therefore not apply to those
   benchmarks.
   1.3.      Legal background
   This Delegated Regulation is based on the empowerment set out in in Article 27(2b) of the
   Benchmark Regulation.
   2.        CONSULTATIONS PRIOR TO THE ADOPTION OF THE ACT
   In June 2018, the Commission set up a Technical Expert Group on Sustainable Finance
   (TEG). The mission of the TEG included the provision to the Commission of
   recommendations regarding the ESG disclosure requirements to form part of the benchmark
   statement.
   In June 2019, the TEG published an interim version of the report, which was subject to a call
   for feedback running over the summer 2019.
   On 30 September 2019, the TEG published its final report. This final report is available at
   https://ec.europa.eu/info/sites/info/files/business_economy_euro/banking_and_finance/docum
   ents/190930-sustainable-finance-teg-final-report-climate-benchmarks-and-disclosures_en.pdf.
   The Commission staff held meetings with stakeholders to discuss the future delegated
   measures in the fall of 2019 and during the first half of 2020. In accordance with Better
   Regulation rules, the draft delegated acts were published on the Better Regulation portal for a 4
   weeks feedback period between April and May 2020. In total, 36 stakeholders answered to such
   consultation. Furthermore, at the meeting of the Expert Group of the European Securities
   Committee (EGESC) in May 2020, the draft delegated acts were presented to and discussed
   among Member States’ experts, with observers from the European Parliament.
   3.        IMPACT ASSESSMENT
   In accordance with the Benchmark Regulation as amended by Regulation (EU) 2019/2089,
   the Commission is empowered to specify sustainability-related measures for benchmarks. It
   includes three topics: minimum requirements for the construction of EU Climate Transition
   Benchmarks and EU Paris-aligned Benchmarks, the minimum content of the explanation of
   how the key elements of the benchmark methodology reflect ESG factors and the information
   the benchmark administrator has to provide in the benchmark statement on how ESG factors
   are reflected.
   The TEG was mandated by the Commission to deliver technical recommendations on all of
   those aspects. The TEG published its final report on climate benchmarks and benchmarks’
   ESG disclosures in September 2019, following numerous engagement with stakeholders via
   roundtables, workshops and a 6-week call for feedback that was conducted in the summer
   2019.
   TEG report
   The TEG final report contains a set of minimum requirements for the construction of EU
   Climate Transition Benchmarks and EU Paris-aligned Benchmarks and minimum ESG
   disclosure requirements that should be applicable to all benchmarks, with some exceptions.
EN                                                  2                                                EN
 ---pagebreak---    The Commission has considered all representations received, including the TEG’s report and
   the responses to the TEG’s call for feedback, as well as the input provided to the Commission
   by stakeholders during bilateral meetings or conference calls.
   While the Commission generally agrees with the approach taken by the TEG, the delegated
   acts nevertheless deviate from the TEG report in a number of instances, in particular in
   relation to ESG disclosure requirements. The objective is to streamline and simplify the
   TEG’s approach to provide more clarity on the set of indicators and on the information that
   benchmark administrators are expected to disclose. The amendments are put in simple terms
   and clarify the technical recommendations put forward by the TEG, improve the level of
   transparency and provide greater predictability for benchmark administrators.
   When specifying the minimum criteria for the construction of EU Climate Transition
   Benchmarks and EU Paris-aligned Benchmarks and ESG disclosure requirements, the
   Commission kept in mind the overarching principle of proportionality, while maintaining a
   certain level of flexibility for benchmark administrators.
   Proportionality
   The delegated acts further specify the empowerments relating to the new EU Climate
   Benchmarks and the ESG disclosure requirements that are contained in the Benchmark
   Regulation, ensuring the proportionate application of the latter.
   Taking into account the TEG report and the feedback received from stakeholders, the
   Commission has sought to introduce a proportionate approach to the minimum requirements
   for constructing EU Climate Transition Benchmarks and EU Paris-aligned Benchmarks, and
   minimum ESG disclosure requirements for benchmark administrators.
   In accordance with the empowerments contained in the Benchmark Regulation, the
   Commission believes there is a need to distinguish between ESG disclosure requirements as
   regards the methodology and ESG disclosure requirements in the benchmark statement, as
   they do not pursue the same objectives for investors.
   Benchmark administrators are currently not required to disclose a list of ESG factors,
   although a number of them already do so, within so-called ‘factsheets’. Hence, this exercise
   will be new only to some of them. The objective of the Commission is to align to the extent
   possible on already existing market practices and indicators to avoid disproportionate costs.
   For this reason, the ESG factors are based on the recommendation of the TEG report that has
   been subject to extensive market consultation. The Commission also proposes to refine further
   the approach suggested by the TEG, streamlining in particular the list of ESG factors to be
   disclosed, simplifying the terminology used and referring, where applicable, to international
   standards, treaties and conventions.
   Furthermore, the Commission does not intend to mandate the disclosure of ESG ratings for all
   benchmarks, as this topic is being addressed in a separate and parallel work stream under the
   Action Plan on Sustainable Finance.
   Finally, while the TEG report recommends the use of a ‘green to brown share ratio’, such
   metric is not included in the delegated acts, as those notions have not yet been defined at EU
   level and are being considered in a separate and parallel work stream under the upcoming
   taxonomy Regulation.
   Flexibility
   The requirements laid down under the delegated act as regards minimum standards for EU
   Climate Transition Benchmarks and Paris-aligned Benchmarks maintain a certain degree of
EN                                                 3                                              EN
 ---pagebreak---    flexibility in the design of the methodology of benchmarks, in order to allow room for the
   market to develop innovative strategies and adapt to the specific need of investors.
   Regarding the delegated act on the minimum content of the explanation of how ESG factors
   are reflected in the benchmark methodology, benchmark administrators should only report on
   the ESG factors that they use when pursuing ESG objectives, and how they do so.
   Finally, regarding the delegated act on the benchmark statement, benchmark administrators
   that do not pursue ESG objectives will not be bound by the requirements when they explicitly
   state this in the relevant template annexed to the benchmark statement.
   3.1       Analysis of costs and benefits
   One of the delegated acts specifies minimum standards for designing EU Climate Transition
   Benchmarks and EU Paris-aligned Benchmarks. Both benchmarks are voluntary labels and
   therefore the requirements set out in the related delegated act only apply to benchmark
   administrators that choose to opt-in for the rules. Since the delegated act lays down minimum
   standards, benchmark administrators will be allowed to maintain a certain degree of flexibility
   in their design, so that compliance costs would be limited. More generally, this approach
   would provide clear and harmonised rules on how to design such benchmarks, which should
   allow to possibly reduce the costs of developing internal policies, but also allow room for the
   market to develop innovative strategies, and address the demand of investors willing to make
   climate-conscious investment strategies.
   The two delegated acts on, respectively, minimum ESG disclosures on the methodology and
   on minimum ESG disclosures in the benchmark statement, will require benchmark
   administrators to adapt their IT infrastructure to accommodate the new flow of information
   and disclosure requirements. It is to be highlighted it is already current market practice for
   benchmark administrators to disclose ESG information in so-called ‘factsheets’, therefore
   compliance costs with the new rules are expected to be limited.
   The ESG information to be disclosed by benchmark administrators will improve the level of
   comparability among benchmarks and provide clarity for investors willing to make informed
   climate related investments.
   3.2       Subsidiarity
   The Benchmark Regulation is binding in its entirety and directly applicable in all Member
   States. The Benchmark Regulation contains a transitional period for critical benchmarks and
   third country benchmarks that may continue to be used in the Union without authorisation
   until end 2021.The legal basis for the Benchmark Regulation is Article 114 of the Treaty on
   Functioning of the European Union and any changes to that Regulation shall comply with the
   same legal basis.
   An increasing number of investors pursue low-carbon investment strategies and use low-
   carbon benchmarks to measure the performance of investment portfolios.
   In order to maintain the proper functioning of the internal market for the benefit of investors
   and to ensure a high level of consumer and investor protection, the Benchmark Regulation as
   amended introduces a regulatory framework which lays down minimum requirements for EU
   Climate Transition Benchmarks and EU Paris-aligned Benchmarks at Union level. The
   establishment of EU Climate Transition Benchmarks and EU Paris-aligned Benchmarks,
   underpinned by a methodology linked to the commitments laid down in the Paris Agreement
   regarding carbon emissions, will contribute to increase transparency and help prevent
   greenwashing.
EN                                                  4                                              EN
 ---pagebreak---    In the absence of a harmonised framework to ensure the accuracy and integrity of the main
   categories of low-carbon benchmarks used in individual or collective investment portfolios, it
   is likely that differences in Member States’ approaches will create obstacles to the smooth
   functioning of the internal market.
   4.        LEGAL ELEMENTS OF THE DELEGATED ACT
   The right to adopt delegated acts is provided for under Article 49 of Regulation (EU)
   2016/1011.
            Article 1 lays down the definitions applicable in this Regulation.
            Article 2 clarifies the content of the explanation of how ESG factors are reflected.
            Article 3 clarifies when benchmark administrators are required to update the template
             for the benchmark statement.
EN                                                   5                                             EN
 ---pagebreak---                      COMMISSION DELEGATED REGULATION (EU) …/...
                                                 of 17.7.2020
        supplementing Regulation (EU) 2016/1011 of the European Parliament and of the
     Council as regards the explanation in the benchmark statement of how environmental,
     social and governance factors are reflected in each benchmark provided and published
                                         (Text with EEA relevance)
   THE EUROPEAN COMMISSION,
   Having regard to the Treaty on the Functioning of the European Union,
   Having regard to Regulation (EU) 2016/1011 of the European Parliament and of the Council
   of 8 June 2016 on indices used as benchmarks in financial instruments and financial contracts
   or to measure the performance of investment funds and amending Directives 2008/48/EC and
   2014/17/EU and Regulation (EU) No 596/20143, and in particular Article 27(2b) thereof,
   Whereas:
   (1)      The Paris Agreement adopted under the United Nations Framework Convention on
            Climate Change, approved by the Union on 5 October 20164 (the ‘Paris Agreement’),
            aims to strengthen the response to climate change, among other means by making
            investment flows consistent with a pathway towards low greenhouse gas emissions
            and climate-resilient development.
   (2)      On 11 December 2019, the Commission adopted its Communication to the European
            Parliament, the European Council, the Council, the European Economic and Social
            Committee and the Committee of the Regions ‘The European Green Deal’ 5. That
            European Green Deal represents a new growth strategy that aims to transform the
            Union into a fair and prosperous society, with a modern, resource-efficient and
            competitive economy where there are no net emissions of greenhouse gases in 2050
            and where economic growth is decoupled from resource use. The implementation of
            the European Green Deal requires that investors are offered clear, long-term signals to
            avoid stranded assets and to raise sustainable finance.
   (3)      Regulation (EU) 2016/1011 requires benchmark administrators to explain in the
            benchmark statement how environmental, social and governance (“ESG”) factors are
            reflected in each benchmark or family of benchmarks provided and published.
   (4)      Different ways of explaining how ESG factors are reflected would lead to a lack of
            comparability between benchmarks and a lack of clarity as to the scope and objectives
            of the ESG factors. It is therefore necessary to specify the content of that explanation
            and to lay down a template to be used.
   3
            OJ L 171, 29.6.2016, p. 1.
   4
            Council Decision (EU) 2016/1841 of 5 October 2016 on the conclusion, on behalf of the European
            Union, of the Paris Agreement adopted under the United Nations Framework Convention on Climate
            Change (OJ L 282, 19.10.2016, p. 1).
   5
            COM(2019) 640 final.
EN                                                     6                                                   EN
 ---pagebreak---    (5)    In order to better adapt the information for investors, the requirement to explain how
          ESG factors are reflected in each benchmark or family of benchmarks provided and
          published should take into account the underlying assets on which benchmarks are
          based. This Regulation should not apply to benchmarks which do not have underlying
          assets that have an impact on climate change such as interest rate benchmarks and
          foreign exchange benchmarks.
   (6)    The explanation on how ESG factors are reflected should display the corresponding
          score of the relevant ESG factors vis-à-vis the benchmark, at an aggregated weighted
          average value. Such score should not be disclosed for each constituent of the
          benchmarks. Where relevant and appropriate, benchmark administrators should be
          able to provide additional ESG information.
   (7)    Due to their characteristics and objectives, specific disclosure requirements should be
          set out for EU Climate Transition Benchmarks and EU Paris-aligned Benchmarks, and
          for significant bond and equity benchmarks.
   (8)    In order to provide benchmark users with accurate and up-to-date information,
          benchmark administrators should update the information provided to reflect any
          changes made to the benchmark statement, and should indicate the reason and the
          dates at which the information was updated,
   HAS ADOPTED THIS REGULATION:
                                                Article 1
                                               Definitions
   For the purposes of this Regulation, the following definitions shall apply:
   (a)      ‘equity’ means listed shares;
   (b)      ‘fixed income’ means listed debt securities, other than those issued by a sovereign
            issuer;
   (c)      ‘sovereign debt’ means debt securities issued by a sovereign issuer.
                                                Article 2
         Explanation of how ESG factors are reflected in each benchmark or family of
                                              benchmarks
   1.       Benchmark administrators shall explain in the benchmark statement, using the
            template laid down in Annex I, how the environmental, social and governance (ESG)
            factors listed in Annex II are reflected in each benchmark or family of benchmarks
            they provide and publish.
            The requirement set out in the first subparagraph shall not apply to interest rate and
            foreign exchange benchmarks.
   2.       The explanation referred to in paragraph 1 shall include the score of the ESG factors
            vis-à-vis the corresponding benchmark and family of benchmark, at an aggregated
            weighted average value.
   3.       For individual benchmarks, benchmark administrators may, rather than providing all
            the information required by the template laid down in Annex I to this Regulation,
            replace that information by a hyperlink included in the benchmark statement, to a
            website that contains all that information.
EN                                                  7                                              EN
 ---pagebreak---    4.        Where benchmarks blend different underlying assets, benchmark administrators shall
             explain how ESG factors are reflected for each of the underlying assets.
   5.        Benchmark administrators shall include in the explanation provided a reference to
             the sources of data and standards used for the ESG factors disclosed.
   6.        Benchmark administrators that disclose additional ESG factors in accordance with
             Article 1(4) of Commission Delegated Regulation (EU) …/… [PO please insert the
             number and reference of Commission Delegated Regulation supplementing
             Regulation (EU) 2016/1011 of the European Parliament and of the Council as
             regards the minimum content of the explanation on how environmental, social and
             governance factors are reflected in the benchmark methodology]6 shall include the
             score of those additional ESG factors.
                                                    Article 3
                                   Update of the explanation provided
   Benchmark administrators shall update the explanation provided whenever significant
   changes relating to the ESG factors occur and in any case on an annual basis. They shall state
   the reasons for the update.
                                                    Article 4
                                      Entry into force and application
   This Regulation shall enter into force on the twentieth day following that of its publication in
   the Official Journal of the European Union.
   This Regulation shall be binding in its entirety and directly applicable in all Member States.
   Done at Brussels, 17.7.2020
                                                      For the Commission
                                                      The President
                                                      Ursula VON DER LEYEN
   6
           Commission Delegated Regulation (EU) …/… of … supplementing Regulation (EU) 2016/1011 of the
           European Parliament and of the Council as regards the minimum content of the explanation on how
           environmental, social and governance factors are reflected in the benchmark methodology (OJ L …, …,
           p. …).
EN                                                       8                                                     EN
 ---documentbreak---                             EUROPEAN
                            COMMISSION
                                                     Brussels, 17.7.2020
                                                     C(2020) 4744 final
                                                     ANNEXES 1 to 2
                                         ANNEXES
                                            to the
                 COMMISSION DELEGATED REGULATION (EU) .../...
      supplementing Regulation (EU) 2016/1011 of the European Parliament and of the
   Council as regards the explanation in the benchmark statement of how environmental,
   social and governance factors are reflected in each benchmark provided and published
EN                                                                                      EN
 ---pagebreak---                                                        ANNEX I
           TEMPLATE FOR EXPLAINING HOW ENVIRONMENTAL, SOCIAL AND
         GOVERNANCE (ESG) FACTORS ARE REFLECTED IN THE BENCHMARK
                                                    STATEMENT
             EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE
                                          BENCHMARK STATEMENT
                                SECTION 1 – CONSIDERATION OF ESG FACTORS
   Item 1. Name of the benchmark
   administrator.
   Item 2. Type of benchmark or family of
   benchmarks.
   Choose the relevant underlying asset
   from the list provided in Annex II.
   Item 3. Name of the benchmark or
   family of benchmarks.
   Item 4. Are there in the portfolio of the    □ Yes □ No
   benchmark administrator any EU
   Climate Transition Benchmarks, EU
   Paris-aligned Benchmarks, benchmarks
   that pursue ESG objectives or
   benchmarks that take into account ESG
   factors?
   Item 5. Does the benchmark or family         □ Yes □ No
   of benchmarks pursue ESG objectives?
   Item 6. Where the response to Item 5 is positive, provide below the details (score) in relation to the ESG factors
   listed in Annex II for each family of benchmarks at aggregated level.
   The ESG factors shall be disclosed at an aggregated weighted average value at the level of the family of
   benchmarks.
   a) List of combined ESG factors:             Details on each factor:
   b) List of environmental factors:            Details on each factor:
   c) List of social factors:                   Details on each factor:
   d) List of governance factors:               Details on each factor:
   Item 7. Where the response to Item 5 is positive, provide below the details (score) for each benchmark, in
   relation to the ESG factors listed in Annex II, depending on the relevant underlying asset concerned.
   Alternatively, all of this information may be provided in the form of a hyperlink to a website of the benchmark
   administrator included in the benchmark statement. The information on the website shall be easily available and
   accessible. Benchmark administrators shall ensure that information published on their website remains available
EN                                                          1                                                         EN
 ---pagebreak---    for five years.
   The score of the ESG factors shall not be disclosed for each constituent of the benchmark, but shall be disclosed
   at an aggregated weighted average value of the benchmark.
   a) List of combined ESG factors:            Details on each factor:
   b) List of environmental factors:           Details on each factor:
   c) List of social factors:                  Details on each factor:
   d) List of governance factors:              Details on each factor:
   Hyperlink to the information on ESG
   factors for each benchmark:
   Item 8. Data and standards used
   a) Description of data sources used to
   provide information on the ESG factors
   in the benchmark statement.
   Describe how the data used to provide
   information on the ESG factors in the
   benchmark statement are sourced and
   whether, and to what extent, data are
   estimated or reported.
   b) Reference standards.
   List the supporting standards used for
   the reporting under item 6 and/or item 7.
      SECTION 2 – ADDITIONAL DISCLOSURE REQUIREMENTS FOR EU CLIMATE TRANSITION
                                         AND EU PARIS-ALIGNED BENCHMARKS
   Item 9. Where a benchmark is labelled as ‘EU Climate Transition Benchmark’ or ‘EU Paris-aligned
   Benchmark’, benchmark administrators shall also disclose the following information:
   a)      forward-looking      year-on-year
         decarbonisation trajectory;
   b)    degree to which the IPCC
         decarbonisation trajectory (1,5°C
         with no or limited overshoot) has
         been achieved on average per year
         since creation;
   c) overlap between those benchmarks
         and their investable universe, as
         defined in Article 1, point (e), of
         Commission Delegated Regulation
         (EU) …/… [PO please insert a
         reference        to     Commission
         Delegated                Regulation
EN                                                         2                                                         EN
 ---pagebreak---         supplementing Regulation (EU)
        2016/1011 of the European
        Parliament and of the Council as
        regards the minimum standards for
        EU         Climate        Transition
        Benchmarks and EU Paris-aligned
                      1
        Benchmarks] , using the active
        share at asset level.
       SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARIS
                                                   AGREEMENT
   Item 10. By the date of application of this Regulation, for significant equity and bond benchmarks, EU Climate
   Transition Benchmarks and EU Paris-aligned Benchmarks, benchmark administrators shall also disclose the
   following information.
   By 31 December 2021, benchmark administrators shall, for each benchmark or, where applicable, each family of
   benchmarks, disclose the following information:
   a) Does the benchmark align with the        □ Yes □ No
        target of reducing carbon emissions
        or the attainment of the objectives
        of the Paris Agreement;
   b)   the temperature scenario, in
        accordance      with    international
        standards, used for the alignment
        with the target of reducing GHG
        emissions or attaining of the
        objectives of the Paris Agreement;
   c) the name of the provider of         the
        temperature scenario used for     the
        alignment with the target          of
        reducing GHG emissions or         the
        attainment of the objectives of   the
        Paris Agreement;
   d) the methodology used for the
        measurement of the alignment with
        the temperature scenario;
   e) the hyperlink to the website of the
        temperature scenario used.
   Date on which information has last
   been updated and reason for the
   update:
   1
            Commission Delegated Regulation (EU) …/… of … supplementing Regulation (EU) 2016/1011 of the
            European Parliament and of the Council as regards the minimum standards for EU Climate Transition
            Benchmarks and EU Paris-aligned Benchmarks (OJ L …, …, p. …).
EN                                                         3                                                      EN
 ---pagebreak---                                                         ANNEX II
        ENVIRONMENTAL, SOCIAL AND GOVERNANCE (ESG) FACTORS TO BE
              CONSIDERED BY UNDELYING ASSETS OF THE BENCHMARK
                                                         Section 1
                                                        EQUITY
   ESG FACTORS                                                  DISCLOSURES
   Combined      ESG     Weighted average ESG rating of the benchmark (voluntary).
   factors
                         Overall ESG rating of top ten benchmark constituents by weighting in the benchmark
                         (voluntary).
   Environmental         Weighted average environmental rating of the benchmark (voluntary).
                         Exposure of the benchmark portfolio to renewable energy as measured by capital
                         expenditures (CapEx) in those activities (as a share of total CapEx by energy companies
                         included in the portfolio) (voluntary).
                         Exposure of the benchmark portfolio to climate-related physical risks, measuring the
                         effects of extreme weather events on companies’ operations and production or on the
                         different stages of the supply chain (based on issuer exposure) (voluntary).
                         Degree of exposure of the portfolio to the sectors listed in Sections A to H and Section L
                         of Annex I to Regulation (EC) No 1893/2006 of the European Parliament and of the
                         Council2 as a percentage of the total weight in the portfolio.
                         Greenhouse gas (GHG) intensity of the benchmark.
                         Percentage of GHG emissions reported versus estimated.
                         Exposure of the benchmark portfolio to companies the activities of which fall under
                         Divisions 05 to 09, 19 and 20 of Annex I to Regulation (EC) No 1893/2006.
                         Exposure of the benchmark portfolio to activities included in the environmental goods and
                         services sector, as defined in Article 2, point (5) of Regulation (EU) No 691/2011 of the
                         European Parliament and of the Council3.
   Social                Weighted average social rating of the benchmark (voluntary).
                         International treaties and conventions, United Nations principles or, where applicable,
                         national law used in order to determine what constitutes a ‘controversial weapon’.
                         Weighted average percentage of benchmark constituents in the controversial weapons
                         sector.
                         Weighted average percentage of benchmark constituents in the tobacco sector.
                         Number of benchmark constituents subject to social violations (absolute number and
                         relative divided by all benchmark constituents), as referred to in international treaties and
                         conventions, United Nations principles and, where applicable, national law.
   2
           Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006
           establishing the statistical classification of economic activities NACE Revision 2 and amending Council
           Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ
           L 393, 30.12.2006, p. 1).
   3
           Regulation (EU) No 691/2011 of the European Parliament and of the Council on European
           environmental economic accounts (OJ L 192 22.7.2011, p. 1).
EN                                                            4                                                        EN
 ---pagebreak---                    Exposure of the benchmark portfolio to companies without due diligence policies on
                   issues addressed by the fundamental International Labor Organisation Conventions 1 to 8.
                   Weighted average gender pay gap.
                   Weighted average ratio of female to male board members.
                   Weighted average ratio of accidents, injuries, fatalities.
                   Numbers of convictions and amount of fines for violations of anti-corruption and anti-
                   bribery laws.
   Governance      Weighted average governance rating of the benchmark (voluntary).
                   Weighted average percentage of board members who are independent.
                   Weighted average percentage of female board members.
                                                 Section 2
                                           FIXED INCOME
   ESG FACTORS                                           DISCLOSURES
   Combined    ESG Weighted average ESG rating of the benchmark (voluntary).
   factors
                   Overall ESG rating of top ten benchmark constituents by weighting in the benchmark
                   (voluntary).
   Environmental   Weighted average environmental rating of the benchmark (voluntary).
                   Exposure of the benchmark portfolio to renewable energy as measured by capital
                   expenditures (CapEx) in those activities (as a share of total CapEx by energy companies
                   included in the portfolio) (voluntary).
                   Exposure of the benchmark portfolio to climate-related physical risks, measuring the
                   effects of extreme weather events on companies’ operations and production or on the
                   different stages of the supply chain (based on issuer exposure) (voluntary).
                   Degree of exposure of the portfolio to the sectors listed in Sections A to H and Section L
                   of Annex I to Regulation (EC) No 1893/2006 as a percentage of the total weight in the
                   portfolio.
                   GHG intensity of the benchmark.
                   Percentage of reported versus estimated emissions.
                   Exposure of the benchmark portfolio to companies the activities of which fall under
                   Divisions 05 to 09, 19 and 20 of Annex I to Regulation (EC) No 1893/2006.
                   Percentage of green bonds in the benchmark portfolio.
   Social          Weighted average social rating of the benchmark (voluntary).
                   International treaties and conventions, United Nations principles or, where applicable,
                   national law used in order to determine what constitutes a ‘controversial weapon’.
                   Weighted average percentage of benchmark constituents in the controversial weapons
                   sector.
                   Weighted average percentage of benchmark constituents in the tobacco sector.
                   Number of benchmark constituents subject to social violations (absolute number and
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 ---pagebreak---                    relative divided by all benchmark constituents), as referred to in international treaties and
                   conventions, United Nations principles or, where applicable, national law.
                   Exposure of the benchmark portfolio to companies without due diligence policies on
                   issues addressed by Conventions 1 to 8 of the International Labour Organisation.
                   Weighted average gender pay gap.
                   Weighted average ratio of female to male board members.
                   Weighted average ratio of accidents, injuries, fatalities.
                   Numbers of convictions and amount of fines for violations of anti-corruption and anti-
                   bribery laws.
   Governance      Weighted average governance rating of the benchmark (voluntary).
                                                 Section 3
                                         SOVEREIGN DEBT
   ESG FACTORS                                           DISCLOSURES
   Combined    ESG Weighted average ESG rating of the benchmark (voluntary).
   factors
                   Overall ESG rating of top ten benchmark constituents by weighting in the benchmark
                   (voluntary).
                   The percentage of underlying fund management companies signed up to international
                   standards.
   Environmental   Weighted average environmental rating of the benchmark (voluntary).
                   Exposure of the benchmark portfolio to climate-related physical risks, measuring the
                   effects of extreme weather events on companies’ operations and production or on the
                   different stages of the supply chain (based on issuer exposure) (voluntary).
                   Top ten and bottom ten constituents by exposure to climate-related physical risks
                   (voluntary).
                   GHG intensity of the benchmark.
                   Percentage of reported versus estimated emissions.
                   Percentage of green bonds in the benchmark portfolio.
   Social          Weighted average social rating of the benchmark (voluntary).
                   Number of benchmark constituents subject to social violations (absolute number and
                   relative number divided by all benchmark constituents), as referred to in international
                   treaties and conventions, United Nations principles and, where applicable, national law.
                   Average human rights performance of the issuers (including a quantitative indicator and
                   the methodology used to calculate it).
                   Average income inequality score, measuring the distribution of income and economic
                   inequality among the participants in a particular economy (including a quantitative
                   indicator and the methodology used to calculate it).
                   Average freedom of expression score measuring the extent to which political and civil
                   society organizations can operate freely (including a quantitative indicator and the
                   methodology used to calculate it).
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 ---pagebreak---    Governance      Weighted average governance rating of the benchmark (voluntary).
                   Average corruption score measuring the perceived level of public sector corruption
                   (including a quantitative indicator and the methodology used to calculate it).
                   Average political stability score, measuring the likelihood that the current regime will be
                   overthrown by the use of force (including a quantitative indicator and the methodology
                   used to calculate it).
                   Average rule of law score, based on the absence of corruption, respect for fundamental
                   rights, and the state of civil and criminal justice (including a quantitative indicator and the
                   methodology used to calculate it).
                                                  Section 4
                                             COMMODITY
   ESG FACTORS                                            DISCLOSURES
   Environmental   Degree of exposure of the underlying commodities to climate-related physical risks,
                   measuring the effects of extreme weather events on companies’ operation and production
                   or on the different stages of the supply chain (low, moderate or high) (voluntary).
                   The methodology used to calculate the climate-related physical risks (voluntary).
                   Degree of exposure of the underlying commodities to climate-transition risks, measuring
                   the financial impacts resulting from the effects of the implementation of a low-carbon
                   strategies (low, moderate or high)
   Social          Degree of exposure of the underlying commodities to social risks (low, moderate or high).
   Governance      Degree of exposure of the underlying commodities to governance risks (low, moderate or
                   high).
                   Average rule of law score, based on the absence of corruption, respect for fundamental
                   rights and the state of civil and criminal justice (including a quantitative indicator and the
                   methodology used to calculate it).
                                                  Section 5
                                                  OTHER
   ESG FACTORS                                            DISCLOSURES
   Combined    ESG Weighted average ESG rating of the benchmark (voluntary).
   factors
   Environmental   Weighted average environmental rating of the benchmark (voluntary).
                   Degree of exposure of the portfolio to climate-related opportunities, measuring investment
                   opportunities related to climate change, innovating new investment solutions, as
                   percentage of total weight in portfolio (voluntary).
                   GHG intensity of the benchmark.
                   Degree of exposure of the portfolio to the sectors listed in Sections A to H and Section L
                   of Annex I to Regulation (EC) No 1893/2006 as percentage of total weight in the
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 ---pagebreak---               portfolio.
   Social     Weighted average social rating for the benchmark (voluntary).
              International treaties and conventions, United Nations principles or, where applicable,
              national law used in order to determine what constitutes a ‘controversial weapon’.
              Weighted average percentage of benchmark constituents in the controversial weapons
              sector.
              Weighted average percentage of benchmark constituents in the tobacco sector.
   Governance Weighted average governance rating of the benchmark (voluntary).
              Percentage of underlying funds with stewardship policies in place, including measures for
              the planning and management of resources.
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