Structured Product Impact Index
Morningstar and its sustainability index subsidiary Morningstar Sustainalytics announced the launch of the world’s first structured product impact index: the Morningstar Transatlantic Sustainable Development Goals Select 40 Index.
The Morningstar Transatlantic SDG Select 40 Index is the world’s first impact index designed for the structured product market and combines Morningstar’s index research capabilities with Sustainalytics’ ESG research capabilities. The index will help investors allocate structured product assets in the field of impact investing.
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Construction of Structured Product Impact Index
The Morningstar Transatlantic SDG Select 40 Index aims to focus on U.S. and European companies that have made positive contributions to the United Nations Sustainable Development Goals (SDGs). All constituents must pass strict ESG screening and at least 25% of revenue align with the impact themes set by Sustainalytics. Common impact themes include Human Development, Climate Action, Healthy Ecosystems, Resource Security and Basic Needs.
There are 40 constituents in the Morningstar Transatlantic SDG Select 40 Index, half of them from the United States and half of them from Europe. All constituents are selected from the Morningstar Global Markets Large Mid Index. Components will be ranked according to their region and the score of their impact themes. Each impact themes have 10 quotas in construction. The index adopts a float-market capitalization weighting method, with the upper limit of the weight of each component being 10%.
Adjustments to Structured Product Impact Index
The Morningstar Transatlantic SDG Select 40 Index will adjust its constituents twice a year, on the third Friday of June and December. The adjusted index will be announced on the following Monday. The index weights are adjusted on the third Friday of each quarter (March, June, September, and December) and are announced on the following Monday.
Morningstar plans to continually review its index construction methodology to ensure it achieves impact goals.
Reference:
Morningstar Indexes Introduces Transatlantic Sustainable Development Goals Select 40 Index
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