Bloomberg Goldman Sachs Global Clean Energy Index

October 2021

Indices

Bloomberg Professional Services

Bloomberg Goldman Sachs Global

Clean Energy Index

Methodology Document

Table of Contents

Introduction........................................................................................................................................................................... 3

Section 1: Index Overview .................................................................................................................................................... 3

Section 2: Bloomberg Thematic Research ......................................................................................................................... 3

Bloomberg New Energy Finance (BloombergNEF) ...................................................................................................... 3

Section 3: Index Eligibility Process ..................................................................................................................................... 3

Parent Index ...................................................................................................................................................................... 3

Sector Eligibility ................................................................................................................................................................ 3

Section 4: Index Selection Process ..................................................................................................................................... 5

Section 5: Index Weighting ................................................................................................................................................. 5

Section 6: Index Maintenance ............................................................................................................................................. 5

Index Rebalance and Reconstitution .............................................................................................................................. 5

Deletion Policy .................................................................................................................................................................. 6

Addition Policy .................................................................................................................................................................. 6

Replacement Policy .......................................................................................................................................................... 6

Corporate Actions ............................................................................................................................................................ 6

Stakeholder Engagement ................................................................................................................................................ 6

Risks ................................................................................................................................................................................... 6

Limitations of the Index ..................................................................................................................................................... 7

Section 7: Benchmark Oversight and Governance ............................................................................................................ 7

Benchmark Governance, Audit and Review Structure ................................................................................................... 7

Index and Data Reviews ................................................................................................................................................... 8

Internal and External Reviews .......................................................................................................................................... 8

Expert Judgement ............................................................................................................................................................ 9

Data Providers and Data Extrapolation .......................................................................................................................... 9

Conflicts of Interest ........................................................................................................................................................... 9

Restatement Policy ........................................................................................................................................................... 9

Definitions ............................................................................................................................................................................. 11

Introduction

The Bloomberg Goldman Sachs Global Clean Energy Index aims to represent the performance of a set of companies

that are expected to derive significant revenues from products and services that contribute to production of energy

from renewable sources like Wind and Solar. Bloomberg Goldman Sachs Global Clean Energy Index is a modified

float-adjusted market capitalization weighted index designed by identifying pure play companies using a

combination of analyst research and curated data acquired from a variety of sources, including public disclosures

from project companies, private submissions to Bloomberg, and government sources.

Section 1: Index Overview

Name

Bloomberg Goldman Sachs Global Clean Energy Index

Ticker BGSCE (Price Return)

BGSCET (Total Return)

BGSCEN (Net Total Return)

Currency

USD

Inception Date TBD

Weighting

Modified Market Capitalization

Publication

Weekdays (except January 1

)

Section 2: Bloomberg Thematic Research

Bloomberg New Energy Finance (BloombergNEF)

BloombergNEF (BNEF) is a strategic research provider covering global commodity markets and the disruptive

technologies driving the transition to a low-carbon economy. BloombergNEF’s expert coverage assesses pathways for

the power, transport, industry, buildings and agriculture sectors to adapt to the energy transition.

BNEF theme universe are constructed to track companies with direct exposure to the new energy themes that cross

industries and regions. Companies are deemed to have direct exposure by a combination of BNEF analyst expertise

and data analytics, with analyst approvals the primary factor to determine inclusion or exclusion. Eligible companies

are actively traded public entities.

Changes in the methodology may be made periodically to ensure representativeness, accuracy and integrity. Material

changes to the methodology are reviewed and approved by the governing committee’s.

Section 3: Index Eligibility Process

Parent Index

In order to be eligible for the Bloomberg Goldman Sachs Global Clean Energy Index, a security must be a member of

the Bloomberg Global Equity Index. Please refer to the Bloomberg Global Equity Index methodology through the link

below for additional details.

Bloomberg Global Equity Indices Methodology

Sector Eligibility

A security must be classified to any of the relevant Bloomberg New Energy Finance (BNEF) sector. BloombergNEF

analysts have defined the following sectors as having clear upside exposure to clean energy: Wind, Energy storage,

Clean power, Networks, Digitalization, Bioenergy, Solar, and Hydrogen.

Each sector has multiple subsectors and activities. Common activities include: asset owners, developers, equipment

and supply chain, and fuel producers.

Exclusions

There are three core exclusionary criteria: companies with low thematic relevance scores, companies with high

carbon impact and poor mitigation plans, and companies involved in controversial ESG categories. The thematic

exposure scores and carbon scores are sourced from BloombergNEF, and data for controversial categories is sourced

from ESG data provider, Sustainalytics.

Thematic Exclusion

BloombergNEF analysts estimate the proportion of an organization's value that is attributable to its activities across

clean energy. They take into account reported segment revenues, along with other available metrics such as

segmented EBITDA. Estimates are based on quarterly reviews by sector specialists.

The estimate also accounts for a company's current and planned activities in the sector(s) it is involved in, such as

GWh breakdown of electricity production and a capacity breakdown of generation assets. Analysts will also consider

the expected growth of clean energy relevant business lines, relative to other business lines, and weigh up the

relevance of external factors that affect a company’s exposure to clean energy. These ratings have been adjusted to

exclude activities or values solely focused on zero-emissions vehicles. Estimates are reviewed by sector specialists on

a quarterly basis. The exposures are grouped in four categories:

A security must have an exposure level of A1, A2 or A3. Securities without any exposoure or exposure score of A4 are

ineligible for the index.

Carbon Emission exclusions

Largest 15% emitters without SBTi or Net Zero commitments are excluded from the investable universe. The Largest

15% emitters by number is based on the carbon score of the companies. A lower carbon score is better.

Carbon Score = (GHG Scope 1 + GHG Scope 2)/(Enterprise Value + Cash Equivalent)

ESG Exclusions

Controversial Categories

Criteria

Extreme Event Controversies

Companies included within Category 5.

Controversial Weapons

All companies classified as involved in tailor-made and essential for the lethal

use of the weapons system.

UNGC Violation

Companies that have breached a principle of the UN Global Compact.

Civilian Firearms

All companies classified as generating 5% of revenue in the manufacture and

sale of assault and non-assault weapons to civilian customers.

All companies classified as deriving 5% or more of its revenue from the

distribution and retail sale of assault and non-assault weapons.

All companies classified as generating 5% of revenue from the manufacture

and sale of key components of assault and non-assault weapons.

Thermal Coal Extraction

All companies classified as generating 5% of revenue in the extraction of

thermal coal.

Tobacco

All companies classified as generating 5% of revenue in the production of

tobacco or tobacco-related products and services.

Exposure Level

Description

A1 Main Drive (50-100%)

50-100% of the organization’s value is estimated to derive from clean

energy

A2 Considerable (25-49%)

25-49% of the organization’s value is estimated to derive from clean energy

A3 Moderate (10-24%) 10-24% of the organization’s value is estimated to derive from clean energy

A4 Minor (<10%) Less than 10% of the organization’s value is estimated to derive from clean

energy

All companies classified as deriving 10% or more of its revenue from the

distribution and retail sale of tobacco products.

Arctic Oil and Gas

Exploration

All companies classified as generating 5% of revenue from Arctic Oil and

Gas Exploration.

Oil Sands

All companies classified as generating 5% of revenue in the product

involvement with Oil Sands.

All companies classified as deriving 10% or more of its revenue from the

distribution and retail sale of Oil Sands.

Thermal Coal Power

Generation

All companies classified as generating above 50% of revenue from Thermal

Coal Power Generation. Severity Score of 4 or higher.

Section 4: Index Selection Process

All securities that satisfy the Index Eligibility Process are considered for inclusion in the Index.

Changes in the methodology may be made periodically to ensure representativeness, accuracy and integrity.

Section 5: Index Weighting

The index securities are modified market capitalization weighted. The float market cap weights are constrained based

on their clean energy exposures. 60% of index weight is assigned to issuers classified as A1 Main driver (50-100% of

value) exposures, with top 8 issuers by weight in this category capped at 5% and rest of the isuuers in this category

capped at 4% . 30% of index weight is assigned to securities classified as A2 Considerable (25-49%) exposures, with

security weights in this category capped at 2.5%. The remaining 10% of the index weight is assigned to issuers

classified as A3 Moderate (10-24%) exposures, with issuer weights in this category capped at 1%. If there are multiple

securities per issuer, then the issuer weight is redistributed proportionally to all of the securities within the issuer

based on the free float market capitalization of each security. A minimum cap of 0.02% is applied to all the issuers in

the index. Any excess weight from capping is then redistributed proportionally to the remaining uncapped issuers.

If, after the Index Selection Process is applied, the number of issuers in the Index is less than or equal to 20, then the

Index issuers are equal weighted. If the number of issuers in the Index is greater than 20 and less than 32, then the

bottom-tier cap (2.5%) is relaxed and the weight equally redistributed among all the remaining uncapped issuers such

that the bottom-tier cap is still less than the top-tier cap (5%) and the weights sum to 1. If it is not possible to

redistribute the weights such that the bottom-tier cap is still less than the top-tier cap, then the Index issuers are equal

weighted.

Section 6: Index Maintenance

To ensure that the Index accurately reflects the aggregate performance of its constituent members, the Index must be

rebalanced and reconstituted periodically and maintained on a daily basis for corporate actions, corporate events,

any restatements, data integrity and changes to the methodology. The Index rebalance and reconstitution is

performed to update the eligibility, selection, and weighting process for index inclusion.

Index Rebalance and Reconstitution

The Index is rebalanced and reconstituted quarterly in March, June, September, and December. The Index Eligibility

Process and Index Construction Process are applied using data as of any business day in the last week in January,

April, July, and October, respectively (Selection Date). The Index rebalance and reconstitutions are generally

announced on the last Wednesday in February, May, August, and November (Announcement Date). The Index

rebalance and reconstitutions then go effective on the 2nd Wednesday in March, June, September, and December,

respectively (Effective Date).

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Selection Date

Last Week

Announcement

Date

Last Wed

Effective Date

Wed

Deletion Policy

Index securities are not deleted outside of the quarterly reconstitution unless a security has a fundamental alteration,

such as a merger, acquisition, delisting, or other major corporate event, that would make it ineligible for inclusion in

the Index.

Addition Policy

Index securities are not added outside of the quarterly reconstitution.

Replacement Policy

Index securities are not replaced outside of the quarterly reconstitution.

Corporate Actions

Refer to Bloomberg Global Equity Indices Non Market Cap Corporate Action Methodology for the treatment of

corporate actions.

Stakeholder Engagement

BISL is in regular and ongoing engagement with its users through various channels, including via help desks, sales

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enables BISL to produce the most relevant Indices and helps ensure responsiveness to user needs.

Risks

The following is a summary of certain risks associated with the Indices but is not meant to be an exhaustive list of all

risks associated with the Index. Although the Indices are designed to be representative of the markets they are

measuring, they may not be representative of every use case. There is also inherent, though transparent, judgment in

their construction, as outlined in this methodology. The Index is designed for general applicability and not to address

the individual circumstances and needs of users. BISL does not advise about the usefulness of the Indices to a

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Limitations of the Index

Though the Indices are designed to be representative of the markets they measure or otherwise align with their

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are designed and calculated strictly to follow the rules of this Methodology, and any Index Level or other output is

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Markets can be volatile, including those market interests that the Index measures or upon which the Index is

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In particular, the indices measure global equity markets. As with all equity investing, the indices are exposed to

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result a tracking portfolio's returns will underperform the index with all else equal. As the indices are designed to

measure those markets, its indices could be materially impacted by market movements, thus significantly impacting

the use or usefulness of the fixings for some or all users.

In addition, certain Sub-Indices may be designed to measure smaller subsets of the indices such as specific styles,

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Section 7: Benchmark Oversight and Governance

Benchmark Governance, Audit and Review Structure

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 The Product, Risk & Operations Committee ("PROC") provides direct governance and is responsible for the

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 The oversight function is provided by Bloomberg's Benchmark Oversight Committee ("BOC"). The BOC is

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PROC. In carrying out its oversight duties, the BOC receives reports of management information both from

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On a quarterly basis, the PROC reports to the BOC on governance matters, including but not limited to client

complaints, the launch of new benchmarks, operational incidents (including errors & restatements), major

announcements and material changes concerning the benchmarks, the results of any reviews of the benchmarks

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Index and Data Reviews

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intended underlying market interest, the economic reality, or otherwise align with their stated objective. More

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The PROC will review proposed terminations, taking into account the reasons for termination, the impact on users (if

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as much prior notice as is reasonable under the circumstances, typically 90 days. In the event there is little or no

known usage identified, the Discontinued Indices may be terminated with less (or no) notice, as applicable. In the

event the Discontinued Indices are licensed for use as the basis of an ETF or other widely-available financial product

or is otherwise determined by BISL to be an important benchmark without reasonable substitutes, the notice period

may be extended, as warranted. Any advance notice period is subject to BISL being reasonably able to continue

administering and calculating such benchmark during such period (for example, BISL has access to requisite data on

commercially reasonable terms, is not subject to any litigation or other claims, has adequate internal resources and

capabilities, etc.). Terminations and associated user engagement decisions made by the PROC are subject to review

by BISL's oversight function, the BOC.

Criteria for data inputs include reliable delivery and active underlying markets.

Whether an applicable market is active

depends on whether there are sufficient numbers of transactions (or other indications of price, such as indicative

quotes) in the applicable constituents (or similar underlying constituent elements) that a price (or other value, as

applicable) may be supplied for such constituent(s).

Other than as set forth in this Methodology, there are no minimum liquidity requirement for Index constituents and/or

minimum requirements or standards for the quantity or quality of the input data. The review will be conducted by

product managers of the Indices in connection with the periodic rebalancing of the Indices or as otherwise

appropriate.

Any resulting change to the Methodology deemed to be material (discussed below) will be subject to the review of

the PROC under the oversight of the BOC, each of which committees shall be provided all relevant information and

materials it requests relating to the change. Details regarding the PROC and BOC are described above.

Material changes will be reflected and tracked in updated versions of this Methodology.

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In determining whether a change to an Index is material, the following factors shall be taken into account:

 The economic and financial impact of the change;

 Whether the change affects the original purpose of the Index; and/or

 Whether the change is consistent with the overall objective of the Index and the underlying market interest it

seeks to measure.

Internal and External Reviews

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Expert Judgement

The Indices are rules-based, and their construction is designed to consistently produce values without the exercise of

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• Index restatements

• Extraordinary circumstances during a market emergency

• Data interruptions, issues, and closures

• Significant acquisitions involving a non-Index company

When expert judgment or discretion is required, BISL undertakes to be consistent in its application, with recourse to

written procedures outlined in the methodology of the Indices and internal procedures manuals. In certain

circumstances exercises of expert judgment or discretion are reviewed by senior members of BISL management and

Bloomberg Compliance teams, and are reported to the PROC, BISL’s governance committee, which operates under

the supervision of BISL’s oversight function, the BOC. BISL also maintains and enforces a code of ethics to prevent

conflicts of interest from inappropriately influencing index construction, production, and distribution, including the

use of expert judgment or discretion.

Data Providers and Data Extrapolation

The Indices are rules-based, and their construction is designed to consistently produce Index Levels without the

exercise of discretion. The Indices are produced without the interpolation or extrapolation of input data.

In addition, the Index Administrator seeks to avoid contributions of input data that may be subject to the

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distributed for a number of non-index or benchmark creation purposes. Accordingly, the Indices require no

'contributors' to produce and no codes of conduct with any such sources are required.

Conflicts of Interest

The Index confers on BISL discretion in making certain determinations, calculations and corrections from time to time.

In making those determinations, calculations and corrections, the Index Administrator has no obligation to take the

needs of any Product Investor or any other party into consideration. BISL is committed to avoiding and, where

necessary, managing actual or potential conflicts of interest in the BISL decision-making process and has established

a Conflicts of Interest Policy to minimize or resolve actual or potential conflicts of interest. BISL does not create, trade

or market Products.

Restatement Policy

BISL strives to provide accurate calculation of its indices. However, to the extent a material error in index values is

uncovered following publication and dissemination, a public notification will be made alerting of such error and the

expected date of a revised publication, if warranted.

An error to an equity Index in excess of 3 basis point over one day will automatically be reviewed for restatement. If

the Index in error is a Primary Index (listed below) and has occurred in the last 2 business days, a restatement will be

made for all impacted indices. Errors occurring beyond the last 2 business days will be evaluated on a case-by-case

basis.

Real-time indices are not considered for restatement, all real-time dissemination is considered indicative.

Primary Indices:

Bloomberg US Large Cap Equity Index (B500T)

Bloomberg Developed Markets Large & Mid Cap Index (DMTR)

Bloomberg Emerging Markets Large & Mid Cap Index (EMTR)

If the error affects a non-Primary Index the following factors will be reviewed to determine whether to restate. Not all

conditions need to be present to warrant a restatement, and certain factors may be more determinative than others

depending on the circumstances of the given error.

 The relative importance of the data field impacted by the error;

 When the error occurred and when it was discovered;

 The number of indices and sub-indices affected;

 Whether the impacted indices are linked to tradable products;

 The magnitude of the error;

 The burden of restatement on client re-processing relative to the impact of the error;

 The impact of the restatement on analytical tools.

Best efforts will be made to address errors in non-Primary indices as outlined in the table below:

Event

Action (If discovered within 2 business days)

Missed Corporate Action

Spin-off

Restate indices and reissue file

Regular Cash Dividend

Special Cash Dividend

Stock Split

Stock Dividend, Bonus

Mergers & Acquisition

Update made the next business day; no restatement and no reissuance of

files

Delisting

Reclassification

Change in Listing

IPO incorrectly added

Update made at next rebalance

Rebalance

Incorrect Add

Unless the error is discovered during pro-forma period, update will be

made at next rebalance

Incorrect Removal

Share changes

Definitions

Term

Definition

GHG Scope 1

Scope 1/Direct Greenhouse Gas (GHG) Emissions of the company, in

thousands of metric tonnes of carbon dioxide equivalent (CO2e).

Greenhouse Gases are defined as those gases which contribute to the

trapping of heat in the Earth's atmosphere, including Carbon Dioxide

(CO2), Methane, Nitrous Oxide, and others. Scope 1 Emissions are those

emitted from sources that are owned or controlled by the reporting

entity. Examples of Direct Emissions include emissions from combustion

in owned or controlled boilers, furnaces, vehicles , emissions from

chemical production in owned or controlled process equipment.

Emissions reported as CO2 only will NOT be captured in this field.

GHG Scope 2

Scope2/Indirect Greenhouse Gas (GHG) Emissions of the company in

thousands of metric tonnes of carbon dioxide equivalent (CO2e), using

the location based method. Greenhouse Gases are defined as those

gases which contribute to the trapping of heat in the Earth's atmosphere,

including Carbon Dioxide (CO2), Methane, Nitrous Oxide, and others.

Scope 2 Emissions are those emitted that are a consequence of the

activities of the reporting entity, but occur at sources owned or

controlled by another entity. The principle source of Indirect Emissions is

emissions from purchased electricity, steam and/or heating/cooling.

These emissions physically occur at the facility where

electricity/steam/heating/cooling is generated. Emissions reported as

CO2 only will NOT be captured in this field. If disclosed as market-based

and/or location-based emissions, only location-based will be taken for

this field.

EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE KEY

ELEMENTS OF THE BENCHMARK METHODOLOGY

Item 1

. Name of the benchmark administrator.

Bloomberg Index Services Limited

(“BISL”)

Item 2. Type of benchmark

Equity

Item 3. Name of the benchmark or family of

benchmarks.

Bloomberg Goldman Sachs Global Clean Energy

Index

Item 4. Does the benchmark methodology for the

benchmark or family of benchmarks take into

account ESG factors?

Yes

Item 5

. If the response to Item 4 is positive, please list below those ESG factors that are taken into

account in the benchmark methodology.

Please explain how those ESG factors are used for the selection, weighting or exclusion of underlying

assets.

a) List of environmental factors considered:

Exclusions: Product involvement withThermal Coal

Extraction, Arctic Oil and Gas Exploration,Oil

Sands, and Thermal Coal Power Generation

b) List of social factors considered:

Exclusion:

Extreme Event Controversies,

UNGC Violation,

Product involvement with

Controversial Weapons,

Civilian Firearms, and

Tobacco

c) List of governance factors considered:

Item 6. Data and standards used.

a) Data input.

(i)

Describe whether the data are reported,

modelled or, sourced internally or externally.

(ii)

Where the data are reported, modelled or

sourced externally, please name the third party

data provider.

Exclusion data is sourced externally.

b) Verification of data and guaranteeing the

quality of those data.

Describe how data are verified and how the quality

of those data is ensured.

Vendor due-diligence and established QA process

maintained by the vendor

c) Reference standards

Describe the

international standards used in the

benchmark methodology.

Information updated on:

21 October 2021

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