Division Methodology for UK Climate Transition BenchmarksF1F2

The administrator of an F3UK Climate Transition Benchmark shall formalise, document and make public any methodology used for the calculation of the benchmark, giving the following information, while ensuring confidentiality and the protection of F4“trade secrets” as defined in regulation 2 of the Trade Secrets (Enforcement, etc.) Regulations 2018

1. (a)

   the list of the main constituents of the benchmark;

2. (b)

   all criteria and methods, including selection and weighting factors, metrics and proxies used in the benchmark methodology;

3. (c)

   the criteria applied to exclude assets or companies that are associated with a level of carbon footprint or a level of fossil fuel reserves that are incompatible with inclusion in the benchmark;

4. (d)

   the criteria for the determination of the decarbonisation trajectory;

5. (e)

   the type and source of data used to determine the decarbonisation trajectory for:

   1. (i)

      Scope 1 carbon emissions, namely emissions generated from sources that are controlled by the company that issues the underlying assets;

   2. (ii)

      Scope 2 carbon emissions, namely emissions from the consumption of purchased electricity, steam, or other sources of energy generated upstream from the company that issues the underlying assets;

   3. (iii)

      Scope 3 carbon emissions, namely all indirect emissions that are not covered by points (i) and (ii) that occur in the value chain of the reporting company, including both upstream and downstream emissions, in particular for sectors with a high impact on climate change and its mitigation;

   4. (iv)

      whether the data uses F5... global standards such as those of the Financial Stability Board’s Taskforce on Climate-related Financial Disclosures;

6. (f)

   the total carbon emissions of the index portfolio.

Where a parent index is used for the construction of an UK Climate Transition Benchmark, the tracking error between the UK Climate Transition Benchmark and the parent index shall be disclosed.

Where a parent index is used for the construction of an UK Climate Transition Benchmark, the ratio between the market value of the securities that are in the UK Climate Transition Benchmark and the market value of the securities in the parent index shall be disclosed.