Metodologie

The performance of the indicators used to measure the environmental or social characteristics promoted by the financial product are measured daily, assessed quarterly and reported annually.

Dovuta diligenza

Due diligence is carried out on index providers and/or data providers. This financial product is passively managed and seeks to track the performance and the ESG profile of the Index. Sustainability characteristics and risks are considered as part of the Index selection process.

Politiche di impegno

• In terms of passive strategies tracking sustainability indexes as is the case with this financial product, the engagement process helps us to identify companies where material ESG and sustainability factors may present a future negative risk. While the UBS AM engagement program is across all asset classes and portfolios, the impact on passively managed fixed income strategies might be reduced, mainly due to the lack of voting rights and that companies which failed in UBS AM's engagement process are typically not excluded due to the passive management style.
• Nevertheless, passively managed fixed income assets are part of the engagement with senior management, as all other assets the firm manages, in order to achieve the biggest possible impact.

Fonti e trattamento dei dati

• The data sources used to attain the stated environmental or social characteristics are as follows:
• 1. Weighted Average Carbon Intensity and carbon profile, carbon metrics are supplied from a leading industry vendor.
• 2. The UBS ESG consensus score, which is a score that is a normalised weighted average of ESG score data from internal and recognised external providers. Rather than exclusively relying on an ESG score from a single provider, the Consensus Score approach enhances the plausibility of the sustainability profile quality. The UBS ESG consensus score assesses sustainability factors, such as the performance of the relevant companies with reference to environmental, social and governance (ESG) aspects.
• Data is consumed from leading providers, processed in accordance with defined guidelines and supplemented with analyst recommendation.

Limitazioni delle metodologie e dei dati

We apply a minimum coverage threshold for the data sources used to attain the stated environmental or social characteristics of the financial product, these thresholds ensure that the binding targets can be monitored and measured. Accuracy of data is dependent on 3rd party providers, coverage of data sources can be < 100% due to uncovered asset types, incomplete or inconsistent data and gaps in the coverage of these 3rd party providers.

Indice di riferimento designato

• The Reference Benchmark designated for the purpose of attaining the characteristic promoted by the financial product is the MSCI USA SRI Low Carbon Select 5% Issuer Capped Index (Net Return).The alignment of the investment strategy with the methodology of the index is ensured on a continuous basis as the index provider rebalances the index on a regular basis and the Investment Manager tracks the Index in line with the limits set out in the investment policy of Fund.
• The financial product has initially selected the reference benchmark for its relevance to its investment strategy and the attainment of the characteristics it seeks to promote.
• The investment strategy of the fund is to track the benchmark’s return and its characteristics, including ESG characteristics, as closely as reasonably possible.
• The investment manager reviews the index methodology when the product is set up and the Index provider may be contacted if the Index methodology is no longer in line with the investment strategy of the financial product.
• The Index (MSCI USA SRI Low Carbon Select 5% Issuer Capped Index (Net Re-turn)) is part of the MSCI Global Socially Responsible (SRI) Index series. The Index draws its constituents from the MSCI USA Index (the Parent Index), be-ing an equity index calculated, maintained and published by international index supplier MSCI® and denominated in USD. The Index tracks the total return net dividend performance of large and mid-capitalization US companies.
• The Index is designed to reflect the performance of an investment strategy that, by tilting away from free-float market cap weights, seeks to gain exposure to those companies demonstrating both a robust Environmental, Social and Gov-enhance (ESG) profile as well as a positive trend in improving that profile, using minimal exclusions from the Parent Index. The Index is constructed in two stages. First, securities of companies involved in nuclear power, tobacco, alcohol, gambling, military weapons, civilian fire-arms, genetically modified organisms and adult entertainment are excluded. Then, MSCI’s best?in?class selection process is applied to the remaining universe of securities in the Parent Index to target the top 25% companies in each sector according to their ESG ratings (thus eliminating 75% of the least well-rated securities. These ESG ratings are provided by the MSCI (the MSCI ESG Ratings). The companies must have the following MSCI ESG Ratings: i) an MSCI ESG rating above 'BBB' and ii) the MSCI ESG controversies score greater than 3 to be considered as a high ESG ratings companies. The MSCI ESG Rating calculates a weighted average key issue score for each company based on the risks, opportunities and controversies identified for the company. The weights of selected key issues are determined by the industry's impact on environmental and social factors and the expected timeframe for risks and opportunities to materialize. Each company's final industry-adjusted score corresponds to a rating between best (AAA) and worst (CCC). The face-tors used to rate a company are, amongst others, carbon emissions, water stress, biodiversity and land use, labor management, human capital develop-ment, board diversity, etc. (non-exhaustive list).
• The methodology of the construction of the Index can be found in the fund factsheet of the prospectus.