September 30 2020 Carbon Emissions Carbon Intensity

MSCI ACWI IMI Index t CO2e/$M Invested t CO2e/$M Sales

Utilities 1345 1953

Materials 876 863
Energy 746 411
Industrials 104 119
Real Estate 44 66
Consumer Staples 29 58
Information Technology 20 44
Consumer Discretionary 12 43
Communication Services 12 31
Health Care 11 17
Financials 7 13

Overall ACWI IMI 128 207

The MSCI ACWI Investable Market Index (IMI) captures large, mid and small cap representation across 23 Developed Markets
(DM) and 26 Emerging Markets (EM) countries*. With 8,766 constituents, the index is comprehensive, covering approximately
99% of the global equity investment opportunity set.
 Weighted Average Carbon Intensity
t CO2e/$M Sales

2093
766
514
123
113
59
36
34
26
21
17

158

ation across 23 Developed Markets

prehensive, covering approximately
Appendix B - Carbon Footprint Metrics
 Appendix C - Methodology

Total Carbon Emissions Background on Greenhouse Gas

To calculate the portfolio carbon emissions, we sum up all the emissions in
Greenhouse gas emissions are cla
the portfolio based on the investor's ownership share. The metric can also
and are grouped in three categor
be expressed as per dollar invested.

Scope 1 GHG emissions are those

owned or controlled by the instit
combustion of fossil fuels; mobile
Carbon Intensity owned/controlled vehicles; and "
Carbon intensity is the ratio of portfolio carbon emissions normalized by the result from intentional or uninten
investor’s claims on sales. leakage of hydrofluorocarbons (H
conditioning equipment as well a
owned farm animals."
Scope 2 emissions are "indirect e
electricity consumed by the instit
Weighted Average Carbon Intensity Scope 3 emissions are all the oth
The Weighted Average Carbon Intensity is the sum product of the portfolio consequence of the activities of t
weights and Carbon Intensities. owned or controlled by the instit
disposal; embodied emissions fro
transportation of purchased good
vehicles; and line loss from electr
greenhouse gases included in the
Where issuer Carbon Intensity equals-
by the Kyoto Protocol , given here
coefficient (GWP):
Carbon dioxide (CO2) GWP: 1
Methane (CH4) GWP: 21
Nitrous oxide (N2O) GWP: 310
Hydrofluorcarbons (HFCs) GWP: G
 by the Kyoto Protocol , given here
coefficient (GWP):
Carbon dioxide (CO2) GWP: 1
Methane (CH4) GWP: 21
Nitrous oxide (N2O) GWP: 310
Hydrofluorcarbons (HFCs) GWP: G
Perfluorcarbons (PFCs) GWP: 650
Sulphur hexafluoride (SF6) GWP:
United Nations Framework Conve
http://unfccc.int/kyoto_protocol

Appendix C - Continued
 Appendix C - Continued

Carbon Emissions Source Unconventional Sources of Foss

In this report, we indicate the source of emissions data as follows: We collect data on company ow
Reported: Reported by the company in documents or website, CDP, or shale gas and shale oil. This also
regulatory databases. coal seam gas.
Derived from Reported: For carbon footprint analysis, we focus on Scope
1+2 emissions. In cases where the company discloses only Scope 1
Potential Emissions
emissions (usually the larger of the two scopes), we estimate Scope 2, so
that the total Scope 1+2 is derived from reported data. To convert reserves data to pote
Estimated - Does Not Disclose: In the case of the MSCI ACWI Index, we applies a formula from the Potsd
research all companies and estimate emissions when the company does not (see Malte Meinshausen, Nicola
disclose. We can affirmatively state that the company did not disclose at Raper, Katja Frieler, Reto Knutti,
the time the data was collected. Greenhouse-gas emission target
Estimated: For companies beyond the MSCI ACWI Index, we have 458, 1158-1162 (30 April 2009) |
researched all companies where Carbon Emissions are a Key Issue in the September 2008; Accepted 25 M
ESG Rating model and have included other sources such as CDP but 7.
otherwise have estimated emissions. For more information, see Carbon
Estimation Methodology on ESG Manager.

Carbon Risk Management

This indicator is based on MSCI’s ESG Ratings. It measures how well a

company manages ESG risk and opportunities. Higher scores on
management indicate greater capacity to manage risk. The scores are
categorized as follows: Minimal (0-2.5), Low (>2.5-5), Modest (>5-7.5), and
Robust (>7.5-10).
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 MSCI Carbon Portfolio

s Client Name - ACWI IM


nd on Greenhouse Gas Emissions
se gas emissions are classified as per the Greenhouse Gas Protocol
ouped in three categories known as Scope 1, Scope 2 and Scope 3.
HG emissions are those directly occurring "from sources that are
controlled by the institution, including: on-campus stationary
n of fossil fuels; mobile combustion of fossil fuels by institution
ntrolled vehicles; and "fugitive" emissions. Fugitive emissions
m intentional or unintentional releases of GHGs, including the
hydrofluorocarbons (HFCs) from refrigeration and air
ng equipment as well as the release of CH4 from institution-
m animals."
missions are "indirect emissions generated in the production of
consumed by the institution."
missions are all the other indirect emissions that are "a
nce of the activities of the institution, but occur from sources not
controlled by the institution" such as commuting, , waste
mbodied emissions from extraction, production, and
tion of purchased goods; outsourced activities; contractor-owned
nd line loss from electricity transmission and distribution".The
e gases included in the GHG emissions are the 6 gases mandated
to Protocol , given here below with global warming potential
(GWP):
oxide (CO2) GWP: 1
CH4) GWP: 21
ide (N2O) GWP: 310
rcarbons (HFCs) GWP: GWP: 150 – 11,700
MSCI Carbon Portfolio
Client Name - ACWI IM
Estimating Carbon Emissions
We estimate Direct and Indirect emissions (Scope 1+2). W
Scope 3 emissions where available, we do not estimate Sc
definitions of which emissions should or should not be in
are not well defined or consistently calculated by compan
emissions are not fully within the company’s control.
When there is no reported data, MSCI uses one of three m
with the Company Specific Intensity Model, which is base
emissions data previously reported by the particular com
of electric utilities, on the fuel mix the company uses for e
generation (e.g. coal, natural gas, hydro), and therefore re
of the businesses that the company is in and its own prod
If the company does not report, we use the Global Indust
Standard[1] (GICS) Sub-Industry Model, which is more gen
based on our own emissions database.
In order to refine these models, we built a robust data set
emissions for the years 2008 to 2012 for companies in ou
(reported data on about 1900 global companies). Lastly, f
companies that did not report data and whose GICS Sub-I
represented in our data set, we used the Economic Input-
Assessment Model, a generalized model based on Standa
Classification (SIC) codes.
The Global Industry Classification Standard (GICS®) was
[1]
MSCI and Standard & Poor's. For more information, pleas
http://www.msci.com/products/indices/sector/gics/)
to Protocol , given here below with global warming potential Assessment Model, a generalized model based on Standa
(GWP): Classification (SIC) codes.
oxide (CO2) GWP: 1
The Global Industry Classification Standard (GICS®) was
[1]
CH4) GWP: 21
MSCI and Standard & Poor's. For more information, pleas
ide (N2O) GWP: 310
http://www.msci.com/products/indices/sector/gics/)
rcarbons (HFCs) GWP: GWP: 150 – 11,700
rbons (PFCs) GWP: 6500 – 9,200
exafluoride (SF6) GWP: 23,900
tions Framework Convention on Climate Change (see
ccc.int/kyoto_protocol/items/3145.php)
Continued on

MSCI Carbon Portfolio

Client Name - ACWI IM


ntional Sources of Fossil Fuel Reserves
t data on company ownership of proved reserves of oil sands,
and shale oil. This also includes tight gas, coal bed methane and
gas.
Emissions
t reserves data to potential carbon emissions, MSCI ESG Research
formula from the Potsdam Institute for Climate Impact Research
e Meinshausen, Nicolai Meinshausen, William Hare, Sarah C. B.
tja Frieler, Reto Knutti, David J. Frame & Myles R. Allen.
use-gas emission targets for limiting global warming to 2 °C. Nature
-1162 (30 April 2009) | doi:10.1038/nature08017; Received 25
er 2008; Accepted 25 March 2009. Supplementary Information, p.
Client Name - ACWI IM
Attribution Analysis
In attribution analysis of carbon footprints, negative value
that contribute to a smaller footprint relative to the benc
positive values contribute to a larger relative footprint.
Sector Allocation measures the impact of a manager’s de
underweight portfolio sectors relative to a benchmark. N
come from underweighting sectors with higher carbon fo
benchmark or overweighting sectors with carbon footprin
benchmark.
Stock Selection measures the impact of a manager’s secu
within a sector relative to a benchmark.  Negative values
from selecting companies with lower footprints relative t
benchmark. The weight of the sector in the portfolio dete
the effect.
Interaction measures the combined impact of a manager
stock selection within a sector. For example, overweightin
lower carbon footprint relative to the benchmark results
interaction, while underweighting a sector with a lower re
footprint leads to a positive interaction effect. 
 MSCI Carbon Portfolio

Client Name - ACWI IM

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nage better portfolios. Clients rely on our offerings for deeper insights into the drivers of performance and risk in their portfolios, broad asset class
arbon Portfolio Analytics

ame - ACWI IMI Q3 2020

Carbon Portfolio Analytics

ame - ACWI IMI Q3 2020

missions (Scope 1+2). While we do report

we do not estimate Scope 3 because the
uld or should not be included in Scope 3
calculated by companies.  Also, these
ompany’s control.

SCI uses one of three models. We start

y Model, which is based either on
by the particular company or in the case
the company uses for electricity
ydro), and therefore reflects the specifics
y is in and its own production processes.
e use the Global Industry Classification
del, which is more generalized but is
ase.

built a robust data set of reported

12 for companies in our research universe
al companies). Lastly, for those
and whose GICS Sub-Industry was not
ed the Economic Input-Output Life-Cycle
model based on Standard Industrial

Standard (GICS®) was developed by

ore information, please see
dices/sector/gics/)
model based on Standard Industrial

Standard (GICS®) was developed by

ore information, please see
dices/sector/gics/)

Continued on next page-

Carbon Portfolio Analytics

ame - ACWI IMI Q3 2020

ame - ACWI IMI Q3 2020

otprints, negative values represent areas

nt relative to the benchmark, while
er relative footprint.
pact of a manager’s decisions to over or
tive to a benchmark. Negative values
with higher carbon footprints than the
rs with carbon footprints lower than the

act of a manager’s security selection

mark.  Negative values in a sector come
er footprints relative to those in the
or in the portfolio determines the size of

d impact of a manager’s allocation and

example, overweighting a sector with a
he benchmark results in negative
a sector with a lower relative carbon
tion effect. 
 arbon Portfolio Analytics

ame - ACWI IMI Q3 2020

any third party

rt without prior

with the issuing,

ATION (OR THE

OF ORIGINALITY,
 any third party
rt without prior

with the issuing,

ATION (OR THE

OF ORIGINALITY,

ts) or any other

xtent that such

tailored to the

e, market, offer,
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nt strategy.
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s recommends,
or refrain from
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