Creating sustainable benchmark solutions.

ICE Data Indices has a range of solutions for fixed income sustainable benchmarks that account for Environmental, Social and Governance (ESG) factors in addition to other criteria. Our Sustainability Indices1, which include ESG constrained indices, carbon reduction indices and green bond indices, combine our fixed income capabilities with popular ESG strategy overlays.

Corporate ESG Indices

Corporate ESG Indices can be used to filter out securities of companies with certain business involvement and tilt toward those companies with more attractive ESG risk scores. In addition to the data typically used when compiling bond indices (e.g. reference data, evaluations, credit ratings, etc.), Corporate ESG Indices also incorporate Sustainalytics ESG Ratings. History is available from 2016, providing insight into one of the most volatile periods of corporate bond indices.

Corporate ESG Indices may employ any of the following methodologies:

  • ESG Tilt: Filter out companies with significant involvement in controversial weapons and tilt the weights of remaining constituents towards those with more attractive ESG risk scores.
  • ESG Tilt with Duration Match: The same as the ESG Tilt method but with additional weighting adjustments to match the Parent Index interest rate exposure across rating and sector segments as closely as practicable.
  • ESG Best-in-Class: Filter out companies with significant involvement in controversial weapons and/or less attractive ESG risk scores. The weights of remaining constituents are then adjusted to closely match allocations to rating and sector segments of the Parent Index.

The Corporate ESG Index methodologies have been applied to a number of our flagship indices, including the ICE BofA U.S. and Euro Investment Grade and High Yield Indices.

Global Government Carbon Reduction Indices

Global Government Carbon Reduction Indices tilt the weights of constituent countries to lower the weighted average carbon footprint of the overall index while helping to minimize tracking error versus the starting capitalization-weighted Parent Index. The information used to compile the Global Government Carbon Reduction Indices is based, in part, on CO2 per capita data published in the Emissions Database for Global Atmospheric Research (EDGAR) Carbon Data Report.

The methodology for the Global Government Carbon Reduction Indices has been applied to a number of our most popular Global, Euro and Emerging Markets Government Indices.

ICE BofA Green Index

With history going back to 2010, the ICE BofA Green Index tracks securities issued for qualified green purposes that promote climate change mitigation or adaption. Qualifying bonds must have a clearly designated use of proceeds that is solely applied toward projects or activities that promote climate change mitigation or adaptation or other environmental sustainability purposes as outlined by the ICMA Green Bond Principles.

1 IDI in providing these Sustainability Indices is not intending to interpret or give guidelines on the EU Taxonomy disclosures nor the EU criteria for environmentally sustainable investments. Please refer to the Methodology for each of the ICE Sustainability Indices for additional information: ESG indices, Green Bond indices and Carbon Reduction indices.

ESG Bond Index Report

Read our report from the ICE Data Indices team on the Corporate ESG Indices and the Global Government Carbon Reduction Indices.

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