S&P Dow Jones IndicesSpotlight on the S&P 500 ESG Index

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MYTH BUSTING

1) ESG Investing ≠ Ethical Investingo SRI: values-based investing.

vs. o ESG: process for incorporating financially-material information (sometimes in alignment with ones

values).

2) ESG does not mean sacrificing returns o Resource efficient companies tend to be more efficient in general.

o Broad market exposure now possible with market (if not better) returns.

The Evolution of ESG – from the Margins to the Mainstream

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Business Ethics

Cash and Capital Management

Corporate Governance

Customer Relationship Management

Environmental Management & Product

Stewardship

Human Capital Management

Innovation Management

Market Access Strategy

Product Quality and Safety

Quality of Earnings

Strategy to Improve Access to Healthcare

Supply Chain Management

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Magnitude of impact

Material Insights driven through Real-life Investment Performance

Source: SAM, part of S&P Global

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Not All Issues Matter to All Industries

Source: SAM, part of S&P Global

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Mining & Minerals Pharmaceuticals

•Payment transparency

•Mineral waste mgmt.•Water related risks•Biodiversity

•Asset closure mgmt.•Community impact•Stakeholder engagement

•Innovation mgmt.•Product quality and recall mgmt.

•Climate strategy

•Address cost burden•Access to drugs•Health outcome contributions

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Restaurants

•Brand management•Customer relationship Management

•Raw material sourcing

•Local impact of business operations

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Introducing the S&P 500® ESG Index: Methodology

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Sort by S&P DJI

ESG Score

Target 75% by market cap

For illustrative purposes only

Ineligible

Eligible

1) Exclude:• Tobacco • Controversial weapons• Low UNGC scores• Bottom 25% of S&P DJI ESG scoring companies within each global GICS Industry

Group

2) Sort & Select:• Sort eligible companies by S&P DJI ESG Score within each GICS Industry

Group• Select top performing companies, targeting 75% within each GICS Industry

Group3) Weight:• Weight companies by float-adjusted market cap

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The S&P 500 ESG Index: Exclusions based upon ESG Principles

S&P 500 ESG Index Constituents

76.56% Eligible, but Not Selected12.87%

Controversial Weapons1.97%

Tobacco 0.78%

Low UNGC Score1.59%

Bottom 25% of Global GICS

Industry Group ESG Scores

3.91%

Controversy 2.14%

No ESG Score Coverage

0.17%

Non-Constituents23.44%

Controversial Weapons

Tobacco Low UNGC Score

MSA Cases

Not Covered by Input data

Honeywell Intl Inc.

Philip Morris International Netflix Inc. Johnson &

Johnson Dow Inc.

Lockheed Martin Altria Group Charter Communications 3M Co. Amcor plc

Raytheon Technologies Corp.

Crown Castle Intl.DuPont de Nemours Inc.

Boeing Co. SBA Communications

Northrop Grumman Corp. Twitter Inc.

General DynamicsJacobs Engineering Group Inc.Huntington Ingalls Industries Inc.Textron Inc.

Data as of last rebalance on April 30th, 2020.Source: S&P Dow Jones Indices, LLC. Table & Chart Provided for Illustrative Purposes Only. 6

The S&P 500 ESG Index: Summary Characteristics

S&P 500® IndexIndex ESG Index

Number of Constituents 505 311

Weight of Largest Constituent 5.66% 7.39%

Weight of Top 10 Constituents 26.05% 33.00%

Index ESG Score Improvement -- 21.17%

Carbon-to-Revenue Footprint 220.35 208.88

The Index ESG Scores are calculated using index data as of April 30th, 2020. The ‘Index ESG Score Improvement’ is calculated as the percentage difference between the Index ESG scores of the S&P 500 ESG Index and the S&P 500, relative to the index’s maximum potential improvement, based on only investing in the single highest ranked ESG scoring company.

The index’s ‘Carbon to Revenue’ footprint is measured using index data as of April 30th, 2020. For further information on these methodologies, see Index ESG Characteristics Explained. Access via: https://eu.spindices.com/documents/additional-material/spdji-esg-metrics.pdf

Source: S&P Dow Jones Indices LLC. Charts and graphs are provided for illustrative purposes. Past performance is not an indication or guarantee of future results. These charts and graphs may reflect hypothetical historical performance. Please see the Performance Disclosure at the end of this document for more information regarding the inherent limitations associated with back-tested performance.

The S&P 500 ESG Index launched on January 28th, 2019

On April 30th, 2020, there were 311 constituents in the S&P 500 ESG

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The S&P 500 ESG Index: Measuring the Impacts

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+8%exposure to companies that analyze their sources of Scope 3 emissions

+10%third-party verified emission data

+9%exposure to companies with GHG emission reduction targets

+8%exposure to companies that perform and disclose ESG materiality analysis

+ 7%exposure to companies with a diversity policy regarding board nominations

+ 9%exposure to companies with a public Supplier Code of Conduct that covers working conditions

+9%exposure to companies actively monitoring diversity-related issues

+7%female representation in all management positions including junior, middle, and senior management

+ 7%more exposure to companies assessing human rights issues across their business

Source: S&P Dow Jones Indices LLC. These are just a few examples of the numerous ways in which the S&P 500 ESG Index offers enhanced ESG representation. Increased index exposure to each ESG theme in the metrics above are calculated using the question-level data in SAM’s Corporate Sustainability Assessments (2019 methodology year). These metrics are calculated using index data as of May 1, 2020 as the percentage difference between the performance of the S&P 500 ESG Index and the S&P 500 constituents across these metric, on a weighted average basis.

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The S&P 500 ESG Index: Sustainable Performance with Benchmark-like Returns

Source: S&P Dow Jones Indices LLC. Performance data from June 30th, 2010, to June 30th, 2020. Data for graph from June 30th, 2010, to June 30th, 2020. Index performance based on daily total returns, USDunless stated otherwise. Charts and graphs are provided for illustrative purposes. Past performance is not an indication or guarantee of future results. These charts and graphs may reflect hypothetical historicalperformance. Please see the Performance Disclosure at the end of this document for more information regarding the inherent limitations associated with back-tested performance.

S&P 500® S&P 500 ESG10 Year Annualized Returns (Total

Return, %) 13.99 14.28

10 Year Standard Deviation (%) 13.42 13.1310 Year Tracking Error (%) - 0.96

Index ESG Score Improvement (%) - 21.17

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Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Jun-18 Dec-18 Jun-19 Dec-19 Jun-2S&P 500 (TR) S&P 500 ESG Index (TR)

10-Year Historical Performance

The S&P 500 ESG Index: Sustainable Performance with Benchmark-like Returns

S&P 500®S&P 500

ESG1 Year Total Returns (June 28, 2019 – June 30,

2020, %) 7.51 10.77

1 Year Standard Deviation (%) 21.88 21.431 Year Tracking Error (%) - 1.27

Index ESG Score Improvement (%) - 21.17

1-Year Performance (Live)

Source: S&P Dow Jones Indices LLC. Performance data from June 28th, 2019, to June 30th, 2020. Data for graph from June 28th, 2019, to June 30th, 2020. Index performance based on daily total returns, USD unless stated otherwise.Charts and graphs are provided for illustrative purposes. Past performance is not an indication or guarantee of future results. These charts and graphs may reflect hypothetical historical performance. Please see the PerformanceDisclosure at the end of this document for more information regarding the inherent limitations associated with back-tested performance. 10

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28-Jun-19 28-Jul-19 28-Aug-19 28-Sep-19 28-Oct-19 28-Nov-19 28-Dec-19 28-Jan-20 28-Feb-20 28-Mar-20 28-Apr-20 28-May-20 28-Jun-20

S&P 500 (TR) S&P 500 ESG Index (TR)

The S&P 500 ESG Index: 1 Year Performance Attribution - Selection Effect

-0.20% 0.00% 0.20% 0.40% 0.60% 0.80% 1.00%

Information Technology

Health Care

Financials

Consumer Discretionary

Communication Services

Industrials

Consumer Staples

Energy

Utilities

Real Estate

Materials

S&P 500 ESG vs. S&P 500: Mar 31, 2019 - Mar 31, 2020

Source: S&P Dow Jones Indices LLC; FactSet (Portfolio Analysis Tool for Performance Attribution Analysis). Performance data from March 31st, 2019, to March 31st, 2020. Data for graph from March 31st, 2019, to March 31st, 2020. Index performance based on daily total returns, USD. Charts and graphs are provided for illustrative purposes. Past performance is not an indication or guarantee of future results. These charts and graphs may reflect hypothetical historical performance. Please see the Performance Disclosure at the end of this document for more information regarding the inherent limitations associated with back-tested performance.

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The S&P 500 ESG Index: 2020 Rebalance Highlights

Biggest Additions and Drops to the S&P 500 ESG Index from the 2020 Annual RebalanceTOP 10 BIGGEST ADDITIONS TOP 10 BIGGEST DROPSFacebook* Walmart

Thermo Fisher Scientific* Raytheon Technologies Corp.

Costco Wholesale Corp.* Charter Communications Inc.

Eli Lilly & Co.* Crown Castle International Corp.

Wells Fargo* US Bancorp

American Tower Corp.* Kimberly-Clark

Advanced Micro Devices Applied Materials

Regeneron Pharmaceuticals* Ross Stores Inc.

Verisk Analytics Phillips 66

American Water Works Consolidated Edison Inc.

(*) These companies were re-added after previously being dropped from the index in the 2019 rebalance. For Facebook, an S&P DJI ESG Score improvement (largely driven by improvements in itsGovernance score) and an industry reclassification improved its S&P DJI ESG Score performance relative to its industry peers. The S&P DJI ESG Scores for Thermo Fisher Scientific and RegeneronPharmaceuticals also increased. However, the S&P DJI ESG Scores for Costco Wholesale Corp, Eli Lilly & Co, Wells Fargo, and American Tower Corp actually fell, suggesting their rankings within theirrespective index industry groups improved as the scores of their peers perhaps fell by more.Source: S&P Dow Jones Indices LLC. Data as of April 30, 2020. Table is provided for illustrative purposes.

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S&P DJI ESG Scores: A Financially Material Lens on ESG

1. Cultivated over 20 years of investment experience by RobecoSAM

2. Data collection goes beyond public disclosure

3. Built upon an extremely granular set of data points

4. Industry-specific, accounting for the most financially material issues

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The Highest Quality Data According to Industry Experts

Source: Rate The Raters Survey 2019 (respondents included 319 sustainability professionals, with approx. 70% with > 10 years experience)

ESG Ratings Quality - Bars represent number of respondents who listed each rating provider (unprompted)

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Performance Disclosure

The S&P 500 ESG Index launched January 28th, 2019. All information presented prior to an index’s Launch Date is hypothetical (back-tested), not actual performance. The back-test calculations are basedon the same methodology that was in effect on the index Launch Date. Complete index methodology details are available at www.spdji.com.

All information presented prior to an index’s Launch Date is hypothetical (back-tested), not actual performance. The back-test calculations are based on the same methodology that was in effect on theindex Launch Date. Complete index methodology details are available at www.spdji.com.

S&P Dow Jones Indices defines various dates to assist our clients in providing transparency. The First Value Date is the first day for which there is a calculated value (either live or back-tested) for a givenindex. The Base Date is the date at which the Index is set at a fixed value for calculation purposes. The Launch Date designates the date upon which the values of an index are first considered live: indexvalues provided for any date or time period prior to the index’s Launch Date are considered back-tested. S&P Dow Jones Indices defines the Launch Date as the date by which the values of an index areknown to have been released to the public, for example via the company’s public website or its datafeed to external parties. For Dow Jones-branded indices introduced prior to May 31, 2013, the LaunchDate (which prior to May 31, 2013, was termed “Date of introduction”) is set at a date upon which no further changes were permitted to be made to the index methodology, but that may have been prior tothe Index’s public release date.

Past performance of the Index is not an indication of future results. Prospective application of the methodology used to construct the Index may not result in performance commensurate with the back-testreturns shown. The back-test period does not necessarily correspond to the entire available history of the Index. Please refer to the methodology paper for the Index, available at www.spdji.com for moredetails about the index, including the manner in which it is rebalanced, the timing of such rebalancing, criteria for additions and deletions, as well as all index calculations.

Another limitation of using back-tested information is that the back-tested calculation is generally prepared with the benefit of hindsight. Back-tested information reflects the application of the indexmethodology and selection of index constituents in hindsight. No hypothetical record can completely account for the impact of financial risk in actual trading. For example, there are numerous factors relatedto the equities, fixed income, or commodities markets in general which cannot be, and have not been accounted for in the preparation of the index information set forth, all of which can affect actualperformance.

The Index returns shown do not represent the results of actual trading of investable assets/securities. S&P Dow Jones Indices LLC maintains the Index and calculates the Index levels and performanceshown or discussed, but does not manage actual assets. Index returns do not reflect payment of any sales charges or fees an investor may pay to purchase the securities underlying the Index orinvestment funds that are intended to track the performance of the Index. The imposition of these fees and charges would cause actual and back-tested performance of the securities/fund to be lower thanthe Index performance shown. As a simple example, if an index returned 10% on a US $100,000 investment for a 12-month period (or US $10,000) and an actual asset-based fee of 1.5% was imposed atthe end of the period on the investment plus accrued interest (or US $1,650), the net return would be 8.35% (or US $8,350) for the year. Over a three year period, an annual 1.5% fee taken at year end withan assumed 10% return per year would result in a cumulative gross return of 33.10%, a total fee of US $5,375, and a cumulative net return of 27.2% (or US $27,200).

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