To be included in the underlying index, the issuer of the bond must indicate the bond’s “green” label and the rationale behind it, such as the intended use of proceeds, according to the prospectus. As an additional filter, the bond must be designated “green” by Climate Bonds Initiative, an international not-for profit working to mobilize the bond market for climate change solutions.
The index is also value-weighted and includes both investment- and speculative-grade debt. Credit quality breakdown includes AAA 31.2%, AA 16.7%, A 28.6%, BBB 14.4% and non-rated 9.1%.
Country weights include France 23.6%, Supra-national 20.7%, Germany 12.7%, U.S. 10.2%, China 9.9%, Netherlands 6.7%, U.K. 2.6%, Spain 2.1%, Italy 2.1%, Brazil 2.0%, South Korea 2.0%, Mexico 2.0%, Canada 1.8% and Australia 1.5%.
Sector weights include government 37.0%, financial 29.1%, utilities 20.4%, industrial 5.9%, basic materials 2.0%, tech 2.0%, consumer non cyclical 2.0%.
The fund’s underlying index shows an effective duration of 6.40 years and a yield to worst of 1.58%.
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