THEAM Quant - Equity Europe Climate Care PAB (BNP Paribas)

Sustainable, Responsible &/or ESG Policy:

Objectives & Investment Policy

The Sub-Fund seeks to increase the value of its assets over the medium term by being exposed to a dynamic basket of equities listed on European markets or operating on these markets, the components of which are chosen using a systematic selection method based on environmental, social and governance criteria (ESG) as well as a carbon emission and energy transition criteria.

In order to achieve its investment objective, the Sub-fund implements a quantitative investment strategy (the Strategy) that takes long positions on a diversified basket composed of European markets equities selected on the basis of their ESG score, liquidity constraints, their energy transition rating and their financial robustness, while not being involved in disputable activities or critical controversies and displaying low implication in coal, oil and gas activities and which are (i) either not continuing or (ii) phasing out practices that are widely considered as unsustainable.

The application of ESG criteria, such as, but not limited to, energy efficiency, respect of human and workers’rights or board of directors independence, follows a best-in-class and selectivity approach which aims to select the leading companies in their sector by excluding at least 25% of the securities from the initial investment universe. Then, the allocation algorithm follows a thematic investing approach which assigns optimal weight to each share of the investment universe in a manner which seeks to maximize the energy transition criteria of the resulting basket of shares, applied according to constraints such as a carbon footprint less than or equal to 50% of the carbon footprint of a European reference investment universe, of a year-on-year self-decarbonization of at least 7%, and is constructed to be aligned to the Paris Agreement goal to limit the increase in global average temperatures to well below 2°C above pre-industrial levels.

The Strategy aims to maintain an ex-ante tracking error below 5% with regards to the Stoxx Europe 600 Net Return EUR (Bloomberg code: SXXR Index).An extra-financial strategy may comprise methodological limitations such as the Risk related to ESG investment or the Risk related to a systematic allocation incorporating extra-financial criteria.

The Strategy is implemented via the use of the financial index BNP Paribas Equity Europe Climate Care Paris-Aligned NTR Index (the Strategy Index). It is based on a systematic model developed by BNP Paribas and is rebalanced quarterly using a specific algorithm. The rebalancing of the Strategy Index does not involve any cost for the Strategy Index. For further information on the Strategy Index, investors are invited to consult the following website: https://indx.bnpparibas.com. The complete breakdown of the Strategy Index and performance information are available on the same page. The index calculation method is available directly at: https://indx.bnpparibas.com/nr/BNPIECCP.pdf.

The Strategy of the Sub-fund is deemed active.

The Sub-fund benchmark is the Stoxx Europe 600 Net Return EUR with no objective to replicate it.

The Strategy will be implemented either according to a Synthetic Replication Policy, through the conclusion of OTC Derivatives or in cash by investing directly in the basket of equities that make up the index. The synthetic Replication Policy implies that the Sub-Fund does not actually hold the underlying securities of the index, but instead relies on OTC Derivatives to deliver the performance of the Strategy Index. As part of the Synthetic Replication Policy, the Sub-fund invests at all times at least 75% of its net assets in equities issued by companies that have their registered office in a Member State of the European Economic Area.

(Source: KIID, as at December 2025)

SDR Labelling:

Not eligible to use label (out of scope)