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Legal & General Investment Management (Holdings)

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ESG incorporation in passively managed listed equities

LEI 11. ESG issues in index construction

11.1. Indicate if you manage passive listed equity funds that incorporate ESG issues in the index construction methodology.

11.2. Indicate the percentage of your total passive listed equity funds for which ESG issues are incorporated in the index construction methodology.

(% of total passive listed equity funds)

11.3. Specify index/fund name, provide a brief description of ESG methodology and indicate which of the following ESG incorporation strategies you apply.

Index/fund name and brief description of ESG methodology

ESG incorporation strategy

Legal & General Ethical Trust

The objective of this fund is to provide growth by investing in a portfolio of companies whose business meets a range of ethical and environmental guidelines.

The fund will invest almost entirely in shares of all such companies in the FTSE 350 Index. The Index consists of shares of the 350 largest companies listed on the UK stock market.

The amount of shares held from each company will be in proportion to the company's size. However, no one company can make up more than one tenth of the fund's value.

Index/fund name and brief description of ESG methodology

ESG incorporation strategy

MSCI World Low Carbon Target Index Fund

This Fund is invested wholly or predominantly in ordinary shares that are constituents of the MSCI World Low Carbon Index (in GBP). The objective of the Fund is to hold a portfolio of securities designed to match the return of the index within a specified tolerance.

The index is customised to give increased weight to those companies of the MSCI World index with low carbon emissions (relative to sales) and those with lower potential carbon emissions (per dollar of market capitalization), as determined by MSCI ESG Research Inc. based on MSCI ESG CarbonMetrics data.

Index/fund name and brief description of ESG methodology

ESG incorporation strategy

Future World Fund

This Fund is invested wholly or predominantly in ordinary shares that are constituents of the FTSE All-World Global Equity Index.

The objective of the Fund is to invest systematically in a globally diversified portfolio of quoted company shares; the Fund will aim to invest in companies which exhibit characteristics that have historically led to higher returns or lower risk than the market as a whole, and companies which are less carbon-intensive or earn green revenues.

LGIM has made a commitment to address climate change by engaging directly with the largest companies in the world who hold the key to meeting the 2 degree climate change target. The companies will be assessed by LGIM for robustness of their strategies, governance and transparency. This is known as LGIM's Climate Impact Pledge. Within this Fund's investment policy, companies that fail to meet LGIM's minimum standards in low carbon transition and corporate governance standards may be excluded.

The Fund will exclude shares issued by manufacturers of controversial weapons (as defined by the index provider). In 2018, we intend to launch a number of FWFs which will invest across a broad range of strategies and asset classes with a global reach.

Index/fund name and brief description of ESG methodology

ESG incorporation strategy

World Developed (ex Tobacco) Equity Index Fund

This Fund is invested wholly or predominantly in ordinary shares of the constituents of the FTSE Developed (ex Tobacco) Index.

This is a customised index, comprising the FTSE Developed Index excluding companies classified as 'Tobacco' under the industry

classification benchmark classifications. The objective of the Fund is to hold a portfolio of securities designed to match the return of the index within a specified tolerance.

Index/fund name and brief description of ESG methodology

ESG incorporation strategy

Ethical UK Equity Index Fund

This Fund is invested wholly or predominantly in ordinary shares that are constituents of the FTSE 4 Good UK Equity Index. The

objective of the Fund is to hold a portfolio of securities designed to match the return of the index within a specified tolerance.

11.4. Additional information. [Optional]

We would like to also mention the following two funds:

  • Ethical Global Equity Index Fund: This Fund is invested wholly or predominately in ordinary shares that are constituents of the FTSE4Good Global Index. The objective of the Fund is to hold a portfolio of securities designed to match the return of the index within a specified tolerance
  • FTSE All-Share (ex Tobacco) Equity Index Fund: This Fund is invested wholly or predominantly in ordinary shares of the constituents of the FTSE All-Share (ex Tobacco) Equity Index. This is a customised index, comprising the FTSE All-Share Index excluding companies classified as ‘Tobacco’ under the industry classification benchmark classifications. The objective of the Fund is to hold a portfolio of securities designed to match the return of the index within a specified tolerance.

Additionally on a segregated basis we have negotiated numerous customised client benchmarks with an ESG filter.


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