ICE Data Indices has a range of index solutions to support the growing demand for responsible and sustainable investing. These include fixed income sustainable benchmarks that account for Environmental, Social and Governance (ESG) factors, in addition to other criteria. Our Sustainability Indices include;
- Corporate Climate Indices - The Climate Index series (“Climate Indices”) is a range of fixed income indices that incorporate ESG screening criteria along with a carbon reduction methodology to support the transition to net zero carbon emissions by 2050.
- Corporate ESG Indices - Can be used to filter out securities with certain business involvement and tilt toward those companies with more attractive ESG risk scores.
- Green, Social and Sustainable Index - Tracks securities issued for green, social or sustainable purposes. Qualifying bonds must have a clearly designated use of proceeds that is outlined in the ICMA Green Bond Principals, ICMA Social Bond Principles or the ICMA Sustainability Bond Principles. Green, social and sustainable use of proceeds are segmented into individual indices.
- Sustainability-Linked Bond Index - Tracks the performance of securities issued for qualified sustainability-linked purposes. Qualifying bonds have coupons or a redemption price tied to specific goals contributing to sustainability (from an environmental and/or social and/or governance perspective) as outlined by the ICMA Sustainability-Linked Bond Guidelines.
- Global Government Carbon Reduction Indices - Tilt the weights of constituent countries to lower the weighted average carbon footprint of the overall index while helping to minimize tracking error versus the starting capitalization-weighted Parent Index (defined in Key Features).
Specifications
Key Features
The Climate Indices start with an existing ICE Corporate bond index (the “Parent Index”). For each Parent Index, there are six climate variants designed to track different combinations of screening and carbon reduction approaches. All six of the index variants have certain common key elements but specific targets and/or exclusionary filters differ from one to the next.
- Paris-Aligned Indices: The indices are subject to the requirements for labelling as Paris Aligned benchmarks under EU and UK BMR. Indices are available that measure carbon reduction in terms of absolute carbon emissions or in terms of EVIC-based carbon intensity. The indices exclude companies with fossil fuel exposure and require at least a 50% carbon reduction compared to the Parent Index.
- Climate Transition Indices: The Indices are subject to the requirements for labelling as Climate Transition benchmarks, under EU and UK BMR. Indices are available that measure carbon reduction in terms of absolute carbon emissions or in terms of EVIC-based carbon intensity. The indices require at least a 30% carbon reduction compared to the Parent Index.
- Net Zero Revenue Intensity Indices: The indices use an alternate measure of carbon intensity that divides a company’s absolute emissions by its revenues. Indices are available that either include or exclude companies with fossil fuel exposure.
In addition to the data typically used when compiling bond indices (e.g. reference data, evaluations, credit ratings, etc.), Corporate ESG Indices also incorporate Sustainalytics ESG Ratings. History is available from 2016, providing insight into one of the most volatile periods of corporate bond indices. Corporate ESG Indices may employ any of the following methodologies:
- ESG Tilt: Filter out companies with significant involvement in controversial weapons and tilt the weights of remaining constituents towards those with more attractive ESG risk scores.
- Duration Matched ESG Tilt: The same as the ESG tilt method but with additional weighting adjustments to match the Parent Index interest rate exposure across rating and sector segments as closely as practicable.
- ESG best-in-Class: Filter out companies with significant involvement in controversial weapons and/or less attractive ESG risk scores. The weights of remaining constituents are then adjusted to closely match allocations to rating and sector segments of the Parent Index. The Corporate ESG Index methodologies have been applied to a number of our flagship indices, including the ICE BofA U.S. and Euro Investment Grade and High Yield Indices.
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