Janus Henderson EUR IG Bond Paris-aligned Climate Core UCITS ETF (EUR) - SEK-Hedged Acc.

About the index

The index provides exposure to Euro-denominated investment grade bonds that meets the requirements for an EU Paris-Aligned Benchmark and is aligned with a 1.5C Paris scenario. The index uses data provided by ISS ESG to exclude issuers in violation of social norms (including the UN Global Compact), involved with controversial weapons or tobacco, causing significant environmental harm or with revenues from oil, gas, coal and energy intensive electricity above certain thresholds. The index also applies a liquidity screen, targeting around 1000 bonds. The selected bonds are weighted so as to meet the following constraints:

• Minimum 50% initial reduction in greenhouse gas emissions versus the Solactive Euro IG Index
• Minimum 7% annual reduction in greenhouse gas emissions
• Sector, maturity and rating exposures within strict limits versus the Solactive Euro IG Index

Emissions reductions are calculated using gross scope 1, 2 and 3 emissions provided by ISS ESG. The initial reduction is as of 1 February 2021 and the index is rebalanced monthly. A detailed index methodology is available at jhetf.com.

Investment process

The ETF is actively managed with reference to the Solactive ISS Paris Aligned Select Euro Corporate IG Index (the Index Benchmark), targeting ex-ante annualised tracking error relative to the Index Benchmark of up to 1.0%.

Bonds are selected from an investment universe of euro-denominated bonds issued by corporate bond issuers that are represented in the Index Benchmark. The Investment Manager aims to select bonds that are undervalued or fairly valued relative to their issuers’ creditworthiness, while avoiding bonds that are overvalued. Bonds are assessed based on:

i. Fundamental issuer-level credit analysis, incorporating factors such as corporate governance, market positioning, regulatory risk and positioning for structural trends such as climate change;
ii. Valuation scores, calculated using industry standard data and tools.

The Investment Manager may also adjust the risk profile of the ETF (such as its aggregate exposures to sectors, maturity buckets or credit ratings) relative to the Index Benchmark in response to market conditions, using quantitative inputs such as sector credit spreads, historical return patterns and cross-asset class prices.

Investment objective
The ETF aims to outperform the Solactive ISS Paris Aligned Select Euro Corporate IG Index over the long term by investing in an actively managed portfolio of euro-denominated investment grade fixed rate corporate bonds, while also having the sustainable objective of reducing its carbon emissions, thereby aligning investments to the Paris Climate Agreement and assisting the movement towards a low carbon economy.