THE BNP PARIBAS EQUITY EUROPE
CLIMATE CARE PARIS-ALIGNED NTR INDEX
The BNP Paribas Equity Europe Climate Care Paris-Aligned NTR Index (“the Index”) is a rules-based index sponsored by BNP Paribas, providing exposure to the performance of European equities with sound Environmental, Social and Governance (ESG) standards and selected based on their carbon footprint and energy transition strategy.
The Index adheres to the EU Paris-Aligned Benchmark (PAB) standards, in line with the objective of limiting global warming increase to 1.5°C compared to pre industrial levels. And it doesn’t stop there: it goes beyond by recognising that the companies with the strongest energy transition strategies may be better equipped to address the evolving economic and regulatory landscape, and therefore display potential higher risk-adjusted returns in the future. The Index maximises this forward-looking indicator while controlling various dimensions of risk.
For a list of selected risk and considerations on the Index, please click here.
MEETING THE PARIS-ALIGNED
BENCHMARK STANDARDS
Introduced officially in December 2020, the PAB standards support investors to mitigate climate risk (in line with the Paris Agreement) and to prevent “greenwashing”. PAB is the more ambitious of the two climate benchmarks proposed by the European Commission (EU Climate Transition Benchmark and the EU PAB) and comprise especially the following standards:
Global warming of 1.5ºC scenario (with no or limited overshoot)
Equal or higher exposure to sectors highly exposed to climate change and its mitigation1 vs the investable universe
1The EU Low Carbon Benchmarks Regulation defines “high climate impact sectors” as those that are key to the low-carbon transition (such as agriculture, electricity supply and construction, full list is available here, page 50).
-7% minimum yearly reduction in greenhouse gas (GHG) emissions intensity until 20502
27% reduction in Scope 1, 2 and 3 emissions (see next section for more info) per year relative to the base date.
50% minimum reduction in GHG emissions intensity compared to the investable universe3
350% reduction in Scope 1, 2 and 3 emissions relative to the investable universe (see next section for more info).
Source: EU Technical Expert Group on Sustainable Finance. For illustrative purposes only.
SELECTION PROCESS ON ELIGIBLE
LISTED COMPANIES IN EUROPE
- Exclusion of companies involved in the coal business or in other disputable activities (such as alcohol, tobacco, weapons, gambling, pornography and nuclear power), or critical controversies concerning the environment, the fundamental conventions of the International Labour Organization and the International Bill of Human Rights.
- Exclusion of companies with a BNP Paribas Asset Management ESG decile of 9 or 10 (10 being the worst decile) or with a Moody’s ESG Solutions ESG score among the bottom 25% in their sector or below 30/100 overall.
- Exclusion of companies with more than 10% revenues coming from fossil fuels, as well as the ones with a GHG intensity level at or above 100g CO2 e/kWh equivalent.*
*If the latter info is not available, then companies should derive at least 50% of their revenues from electricity generation using renewable energies (to be not excluded).
- Maximum overall energy transition score (with individual scores assessed by Moody’s ESG Solutions).
- Minimum of 50% reduction in the portfolio GHG intensity level* compared to the eligible investment universe and minimum of 7% annual reduction compared to base year 2021.
- Among intense CO2 emitters, only those with the best energy transition score in each sector can be included in the portfolio.
- Exposure to high carbon intensity sectors greater than or equal to the exposure to these sectors in the eligible investment universe.**
*Comprising scope 1, 2, 3 emissions (scope 3 is considered only for the energy and mining sectors). Scope 1 concerns the direct emissions of companies (such as fuel consumption for example). Scope 2 concerns indirect emissions due to the business’s activity (for example the electricity supplier’s fuel consumption). Scope 3 concerns indirect emissions due to the use of products sold (such as, fuel consumption by the client’s electricity supplier due to use of the product). Moody’s ESG Solutions estimates the overall absolute GHG emissions level for each eligible company **To ensure a selection of companies in a decarbonisation trajectory.
- Minimum liquidity of 10 million euros per each company.
- Maximum weight of 1% for each company (every quarterly rebalancing) and weight of each economic sector with less than 30% relative difference with the sector’s weight in the eligible investment universe.
- A tracking error at or below 5% per annum relative to the benchmark STOXX Europe 600 Net Return Index.
- The portfolio is rebalanced quarterly.
DOWNLOAD MATERIAL
EXTRA FINANCIAL REPORTING
Monthly reporting on key
sustainability metrics.
LEARN MORE ABOUT PAB
Click to access the BNP Paribas’ article.
Check here the THEAM Quant Fund (open-ended collective investment fund)
linked to the performance of the Equity Europe Climate Care Paris-Aligned NTR Index
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