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Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

You are viewing the version of the document as on 2021-01-01.

ANNEX I

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 benchmark administrator any EU Climate Transition Benchmarks, EU Paris-aligned Benchmarks, benchmarks that pursue ESG objectives or benchmarks that take into account ESG factors?

☐ Yes ☐ No

Item 5. Does the benchmark or family of benchmarks pursue ESG objectives?

☐ Yes ☐ No

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.

List of combined ESG factors:

Details on each factor:

List of environmental factors:

Details on each factor:

List of social factors:

Details on each factor:

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 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.

List of combined ESG factors:

Details on each factor:

List of environmental factors:

Details on each factor:

List of social factors:

Details on each factor:

List of governance factors:

Details on each factor:

Hyperlink to the information on ESG factors for each benchmark:

Item 8. Data and standards used

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.

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:

forward-looking year-on-year decarbonisation trajectory;

degree to which the IPCC decarbonisation trajectory (1,5 °C with no or limited overshoot) has been achieved on average per year since creation;

overlap between those benchmarks and their investable universe, as defined in Article 1, point (e), of Commission Delegated Regulation (EU) 2020/1818, 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:

Does the benchmark align with the target of reducing carbon emissions or the attainment of the objectives of the Paris Agreement;

☐ Yes ☐ No

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;

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;

the methodology used for the measurement of the alignment with the temperature scenario;

the hyperlink to the website of the temperature scenario used.

Date on which information has last been updated and reason for the update: