Title: Fact Sheet:SPDR® Bloomberg SASB U.S. High Yield Corporate ESG UCITS ETF, Mar2024 URL Source: https://docs.oppl.io/temp_etfs/7W9qAkGL8mUofrL8M52GDgYut20250430.pdf Markdown Content: Fund Objective The objective of the Fund is to track the performance of the fixed- rate, U.S. Dollar-denominated high yield corporate bo nd market. Environmental, Social & Governance (ESG) Characteristics The Fund promotes environmental and social characteristics but does not have as its objective sustainable investment. The Fund is categorized under Article 8 of Regulation (EU) 2019/2088 on sustainability-related disclosures in the financial services sector ("SFDR"). The ESG screening applies to at least 90 % of the portfolio. The resulting portfolio ESG rating is expected to be higher than the portfolio ESG rating of the Bloomberg US High Yield Corporate Index after applying a filter eliminating at least 20% of the least well rated securities, by ESG rating, from the Bloomberg US High Yield Corporate Index. Main methodological limits: There may be potential inconsistencies, inaccuracy or lack of availability of the ESG data, particularly when issued by external data providers. Details about the limits are described in the Prospectus. More information about the type of ESG characteristics, ESG strategy, investment process and type of approach in the P rospectus. Index Description The Index is a high yield, fixed-rate, U.S. dollar-denominated benchmark that optimizes its R-Factor score by State Street Global Advisors. The Index selects securities eligible for the Bloomberg U.S. High Yield Corporate Index and weights them using an optimization process, while controlling for active total risk. The Index excludes issuers based on their ESG characteristics considering both their ESG rating and their involvement in certain controversial business activities as outlined in the Index Me thodology. Tax Status As standard, SSGA aims to meet all applicable tax reporting requirements for all of the SPDR ETFs in the following countries. Applications are made throughout the year depending on the time scale required by each local tax authority: UK, Germany, Austria, Sw itzerland. Countries of Registration United Kingdom, Switzerland, Sweden, Spain, Norway, Netherlands, Luxembourg, Italy, Ireland, Germany, France, Finland, Denmar k, Austria Exclusively intended for professional investors in the countries of registration - not for retail, nor for US Person. Fund Information ISIN IE0004TYCC17 Index Name Bloomberg SASB US Corporate High Yield ESG Ex-Controversies Select Index Index Ticker I36569US Index Type Total Return Number of Constituents 1,017 Key Facts Inception Date 7 May 2024 Share Class Currency USD Fund — Base Currency USD TER 0.30% Income Treatment Accumulation Replication Method Stratified Sampling UCITS Compliant Yes SFDR Fund Classification SFDR - Article 8 Domicile Ireland Investment Manager State Street Global Advisors Europe Limited Sub-Investment Manager(s) State Street Global Advisors Trust Company Fund Umbrella SSGA SPDR ETFs Europe I plc ISA Eligible Yes SIPP Eligible Yes PEA Eligible No ## 1 # SPDR ® Bloomberg # SASB U.S. High Yield # Corporate ESG UCITS # ETF (Acc) # Fact Sheet # Environmental, Social # & Governance # May 2024 2 Performance of the fund is not shown as the inception date of the fund is less than 12 months. All data as at 31 March 2024, the latest available prior to the publication of this factsheet. Characteristics Number of Holdings 587 Average Maturity in Years 4.88 Effective Convexity -0.06% Effective Duration 3.19 Yield to Maturity 7.90% †Distribution Yield 7.08% † This measures the 12 month historical dividend pay-out per share divided by the NAV. Source: SSGA Characteristics, holdings, country allocations and sectors shown are as of date indicated at the top of this factsheet and are subject to change. Any reference to a specific company or security does not constitute a recommendation to buy, sell, hold or invest directly in such company or se curities. Top 10 Holdings Weight (%) CLARIV SCI HLD CORP 3.875 07/01/2028 1.50 DIRECTV FIN LLC/COINC 5.875 08/15/2027 1.01 BROOKFIELD PPTY REIT INC 4.5 04/01/2027 0.95 CARNIVAL CORP 6 05/01/2029 0.86 GAP INC/THE 3.875 10/01/2031 0.86 COMMSCOPE INC 6 03/01/2026 0.79 VODAFONE GROUP PLC 7 04/04/2079 0.77 AMERICAN AIRLINES/AADVAN 5.75 04/20/2029 0.77 BALL CORP 2.875 08/15/2030 0.77 SPIRIT AEROSYSTEMS INC 9.75 11/15/2030 0.77 Credit Quality Breakdown Weight (%) BBB or Higher 1.63 BB 52.60 B 35.25 CCC or Lower 10.52 Not Rated 0.01 Credit quality rating is based on an average of Moody's, S&P, and Fitch. Sector Breakdown Weight (%) Corporate - Consumer Cyclical 22.82 Corporate - Capital Goods 12.17 Corporate - Energy 10.51 Corporate - Basic Industry 9.11 Corporate - Technology 9.07 Corporate - Consumer Non-Cyclical 9.02 Corporate - Communications 8.38 Corporate - REITS 3.48 Corporate - Finance Companies 3.41 Corporate - Transportation 3.15 Corporate - Banking 3.02 Maturity Breakdown Weight (%) 0 - 1 Year 2.79 1 - 3 Years 19.55 3 - 5 Years 32.82 5 - 7 Years 31.54 7 - 10 Years 10.53 10 - 20 Years 2.29 > 20 Years 0.48 Country Weights Weight (%) United States 82.72 United Kingdom 3.62 Italy 3.40 Canada 3.28 Germany 1.27 Australia 1.22 Macau 1.20 Spain 0.75 Austria 0.60 France 0.53 Hong Kong 0.46 Japan 0.42 Listings Exchange Exchange Ticker Trading Currency iNAV Ticker Bloomberg Code Reuters Code SEDOL Code CBOE Ams* SJHYX USD INSJHY.IV SJHYX I2 SJHYX.DXE BS3F632 London Stock Exchange SJHY USD INSJHY.IV SJHY LN SJHY.L BSBK6X9 *Denotes Prima ry Listing Capital Risk: Investing involves risk including the risk of loss o f capital. Past performance is not a reliable indicator of future per formance. 3 # ssg a.com/etfs RIS K FACTORS The Fund has a Risk and Reward profile of category 4 as its return has experienced medium rises and falls his torically. The following are material risks relevant to the Fund which are not adequately captured by the risk category. Concentr ation Risk Credit Risk Duration / Interest Rate Risk Index Tra cking Risk Liquidity Risk & ETF Liqu idity Risk Lower Rated Secur ities Risk Share Class Risk Please read the Prospectus and KIIDs for more information about the risks. Glossary Effective Convexity A measure of the curvature in the relationship between bond prices and bond yields that demonstrates how the duration of a bond changes as the interest rat e changes. Effective Duration A duration calculation for bonds that have embedded options. This measure of duration takes into account the fact that expected cash flows will fluctuate as interest rates change. Effective duration can be estimated using modified duration if a bond with embedded options behaves like an option-free bond. Yield to Maturity The total return anticipated on a bond if the bond is held until it matures. Yield to maturity is considered a long-term bond yield, but is expressed as an annual rate. In other words, it is the internal rate of return (IRR) of an investment in a bond if the investor holds the bond until maturity and if all payments are made as scheduled. Distribution Yield The Annual dividends per share (DPS) of the fund divided by the share price of the fund. Delta A measure of equity sensitivity showing the relationship between a percent change in stock price and corresponding expected percent change in convertible price; it is also known as price e lasticity. TER Total Expense Ratio is a fee charged to the fund, as a percentage of the Net Asset Value, to cover costs associated with operation and management of the portfolio of assets. For Professional Clients / Qualified Investors Use Only. Not for public dis tribution. ETFs trade like stocks, are subject to investment risk, fluctuate in market value and may trade at prices above or below the ETFs net asset value. Brokerage commissions and ETF expenses will reduc e returns. Marketing Com munication SPDR ETFs may not be available or suitable for you. The information provided does not constitute investment advice as such term is defined under the Markets in Financial Instruments Directive (2014/65/EU) and it should not be relied on as such. It should not be considered a solicitation to buy or an offer to sell any investment. It does not take into account any investor's or potential investor's particular investment objectives, strategies, tax status, risk appetite or investment horizon. If you require investment advice you should consult your tax and financial or other professiona l advisor. Tax treatment depends on the individual circumstances of each client and may be subject to change in t he future. This document does not constitute an offer or request to purchase shares in SPDR ETFs Europe I plc and SPDR ETFs Euro pe II plc. Please refer to the Fund’s latest Key Information Document (KID)/Key Investor Information Document (KIID) and Prospectus before making any final investment decision. The latest English version of the prospectus and the KID/KIID can be found at www.ssga.com. A summary of investor rights can be found here: https://www.ssga.com/library- content/products/fund-docs/summary-of- investor-rights/ssga-spdr-investors-rights- summary.pdf Note that the Management Company may decide to terminate the arrangements made for marketing and proceed with de-notification in compliance with Article 93a of Directive 2 009/65/EC. All fund related documents are available for free of charge from the offices of the Local Representative/Agent or by visiting the www. ssga.com or by contacting State Street Custodial Services (Ireland) Limited, 78 Sir John Rogerson's Quay, Dublin 2 , Ireland. SPDR ETFs is the exchange traded funds ("ETF") platform of State Street Global Advisors and is comprised of funds that have been authorised by Central Bank of Ireland as open-ended UCITS investment companies. The funds are not available to U.S. investors. SSGA SPDR ETFs Europe I plc and SPDR ETFs Europe II plc issue ("the Company") issue SPDR ETFs, and is an open-ended investment company with variable capital having segregated liability between its sub-funds. The Company is organised as an Undertaking for Collective Investment in Transferable Securities (UCITS) under the laws of Ireland and authorised as a UCITS by the Central Bank of Ireland. Additional Important Inf ormation: For the UK, this document has been issued by State Street Global Advisors Limited ("SSGA"). Authorised and regulated by the Financial Conduct Authority, registered No. 2509928. VAT No. 5776591 81. Registered office: 20 Churchill Place, Canary Wharf, London, E14 5HJ Telephone: 020 3395 6000 Facsimile: 020 3395 6350 Web: www .ssga.com. For the EU, this document has been issued by State Street Global Advisors Europe Limited (“SSGA”), regulated by the Central Bank of Ireland. Registered office address 78 Sir John Rogerson’s Quay, Dublin 2. Registered number 49934. T: +353 (0)1 776 3000. Fax: +353 (0)1 776 3300. Web: www .ssga.com. SPDR ETFs Local Representative/ Payi ng Agents: France: State Street Bank International GmbH Paris Branch, Cœur Défense -Tour A, 100, Esplanade du Général de Gaulle, 92931 Paris La Defense Cedex; Switzerland: State Street Bank GmbH Munich, Zurich Branch, Beethovenstrasse 19, 8027 Zurich and the main distributor in Switzerland, State Street Global Advisors AG, Beethovenstrasse 19, 8027 Zurich; Germany: State Street Global Advisors Europe Limited, Brienner Strasse 59, D-80333 Munich; Spain: Cecabank, S.A. Alcalá 27, 28014 Madrid (Spain); Denmark: Nordea Bank Denmark A/S, Issuer Services, Securities Services Hermes Hus, Helgeshøj Allé 33 Postbox 850 DK-0900 Copenhagen C; Austria: Erste Bank, Graben 21, 1010 Wien, Österreich; Sweden: SKANDINAVISKA ENSKILDA BANKEN AB, Global Transaction Services ST MH1, SE-106 40 Stockhol m, Sweden. “Bloomberg ®” and all Bloomberg Indices are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by State Street Bank and Trust Company, through its State Street Global Advisors division (“SSGA”). Bloomberg is not affiliated with SSGA, and Bloomberg does not approve, endorse, review, or recommend any SSGA product. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to any SSG A product. The S&P 500 ® Index is a product of S&P Dow Jones Indices LLC or its affiliates (“S&P DJI”) and have been licensed for use by State Street Global Advisors. S&P ®, SPDR ®, S&P 500 ®,US 500 and the 500 are trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones ® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and has been licensed for use by S&P Dow Jones Indices; and these trademarks have been licensed for use by S&P DJI and sublicensed for certain purposes by State Street Global Advisors. The fund is not sponsored, endorsed, sold or promoted by S&P DJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of thes e indices. The trademarks and service marks referenced herein are the property of their respective owners. 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The Index Data may not be used by you for commercial purposes and may not be used for trading or other purposes in lieu of a subscription to such Index Data with Mo rningstar. The whole or any part of this work may not be reproduced, copied or transmitted or any of its contents disclosed to third parties without SSGA’s express writte n consent. Contact Us Visit our website at ssga.com/etfs or contact your local SPDR ETF representative. Alternatively contact our SPDR ETF Sales and Support team at spdrseurope @ssga.com . France & Luxembourg spdretf_france@ssga.com +33 1 44 45 40 00 Germany spdrsgermany@ssga.com +49 69 66774 5016 Italy spdretf_italia@ssga.com +39 0232066 140 Netherlands spdr_nl@ssga.com +31 (0)20-7181071 Nordics spdrseurope@ssga.com +31 (0)20-7181071 Spain spdrseurope@ssga.com +39 0232066 140 Switzerland spdrsswitzerland@ssga.com + 41 (0)44 245 70 00 United Kingdom spdrseurope@ssga.com +44 (0) 203 395 6888 4 R-Factor TM Summary R-Factor™ is built off a transparent scoring methodology that leverages the Sustainability Accounting Standards Board (SASB) Materiality Map, corporate governance codes, and inputs from four best-in-class ESG data providers. R-Factor supports the development of sustainable capital markets by giving investors the ability to invest in solutions that integrate financially material ESG data while incentivizing companies to improve their ESG practices and disclosure in areas th at matter. Data included in the ESG sections of this Fact Sheet are the latest available and has a one-month lag against the repor ting date. Source: SSGA. Holdings as of 31 Mar 2024, R-Factor data as of 29 Feb 2024. Fund R-Factor Profile Not Available 3.70% Laggard 0.78% Underperformer 1.25% Average Performer 22.14% Outperformer 39.30% Leader 32.84% Source: SSGA. Holdings as of 31 Mar 2024, R-Factor data as of 29 Feb 2024. R-Factor R-Factor Summary Fund R-Factor 65 Source: SSGA. Holdings as of 31 Mar 2024, R-Factor data as of 29 Feb 2024. Fund Coverage Count Percent of Total Securities (%) Percent of Total Market Value (%) R-Factor Securities Coverage 546 92.70 96.30 Total Number of Securities in Fund 589 Source: SSGA. Holdings as of 31 Mar 2024, R-Factor data as of 29 Feb 2024. Top 10 Positions Fund Weight (%) R-Factor Rating Carnival Corp 2.77 67 Royal Caribbean Cruises Ltd 2.32 57 OneMain Finance Corp 2.27 79 Intesa Sanpaolo SpA 2.15 96 HAT Holdings I LLC / HAT Holdings II LLC 2.12 90 CCO Holdings LLC / CCO Holdings Capital Corp 1.92 57 Vodafone Group PLC 1.91 80 CommScope Inc 1.65 71 Chemours Co/The 1.57 70 Caesars Entertainment Inc 1.55 69 Top 5 R-Factor Ratings Intesa Sanpaolo SpA 2.15 96 HAT Holdings I LLC / HAT Holdings II LLC 2.12 90 Alcoa Nederland Holding BV 0.23 83 Interface Inc 0.26 83 Mercer International Inc 1.31 82 Bottom 5 R-Factor Ratings Viper Energy Inc 0.07 17 Dream Finders Homes Inc 0.08 18 RXO Inc 0.03 24 Staples Inc 0.30 28 Builders FirstSource Inc 0.11 29 Source: SSGA. Holdings as of 31 Mar 2024, R-Factor data as of 29 Feb 2024. The R-Factor summary reflects certain ESG characteristics only, and does not reflect the fund's performance. Please see Important Information section for more information and definitions of the ESG Metrics presented. 5 Climate Metrics Climate Metrics Fund Weighted Average Carbon Intensity (WACI) Weighted average CO2 emissions per $1 m revenue 269.74 WACI Coverage Weighted market value (%) 92.87% Number of Securities (%) 90.15% Fossil Fuel Reserves Weighted average embedded CO2 (millions of tons) 17.55 Brown Revenues % of Revenue 7.13% Adaptation Score (0-1) Weighted average Score from 0 (low) to 1 (high) 0.58 Green & Climate Aligned Bonds Weighted market value (%) 4.42% Green Bonds Weighted market value (%) 2.23% Climate Aligned Bonds Weighted market value (%) 3.49% TCFD Carbon Metrics Fund TCFD Weighted Average Carbon Intensity (WACI) 230.35 TCFD Total Carbon Emissions** 26,753.77* TCFD Carbon Footprint 134.11 TCFD Carbon Intensity 229.68 Source: State Street Global Advisors, S&P Trucost, FactSet, Task Force on Climate-related Financial Disclosures (TCFD). The results are estimates based on assumptions and analysis made by State Street Global Advisors. They are not intended to represent actual results of any offering. Actual results may differ. * The TCFD Total Carbon Emission metric allocates emissions to investors based on an equity ownership approach. In the case of commingled funds, the results represent the environmental responsibility of the entire fund's assets under management. For individual unitholder's responsibility, an apportioned responsibility can be calculated based on the individual holding percentage. ** The metric is not used to compare portfolios and benchmarks because the data is not n ormalised. Controversy Profile Fund Controversy Profile % & ' ( ) * %'% )% +% -% ;I=9edjhel[hi_[ie\CWha[jLWbk[ 9edjhel[hi oHWj_d ] Source: Sustainalytics/SSGA as of 29 Feb 2024. Sustainalytics' Controversies Research is designed to identify companies involved in incidents and events that may pose a business or reputation risk due to the potential impact on stakeholders, the environment or the company's operations. Sustainalytics assesses companies' involvement in incidents with negative environmental, social and governance (ESG) implications. This research is based on the information from a wide range of international and local news and NGO sources. Scale ranges from Category 0 (no evidence) to Category 5 (mos t severe). Securities where the controversy score was unavailable were excluded from the calculations above, and the fund was reweighted. The table may not represent 100% of the fund. Controversies and Business Involvement Fund (%) ESG Controversies 0.00 Controversial Weapons 0.00 UNGC Violations 0.00 Civilian Arms 0.00 Tobacco 0.00 Thermal Coal 0.00 Swedish Ethical Council Violations 0.00 Oil Sands Extraction 0.00 Artic Oil & Gas Exploration 0.00 Source: SSGA ESG screening Methodology as of 29 Feb 2024. ESG Risk Rating Score Fund ESG Risk Rating Score 21.93 Coverage (Market Value Percent) 61.15 Coverage (Number of Securities Percent) 54.67 Source: Sustainalytics/SSGA as of 29 Feb 2024. 6 # ssg a.com/etfs R-Factor™ R-Factor™ is an ESG scoring system that leverages commonly accepted transparent materiality frameworks that are supported by a large group of companies and investors to generate a unique ESG score for listed companies. The score is powered by ESG data from four different providers (Sustainalytics, ISS-Oekom, Vigeo-EIRIS, and ISS-Governance), in order to improve overall coverage and remove biases inherent in existing scoring methodologies. R-Factor™ is designed to put companies in the driver's seat to help create sustainabl e markets. R-Factor™ Scores are comparable across industries. The ESG and Corporate Governance (CorpGov) scores are designed to be based on issues that are material to a company's industry and regulatory region. A uniform grading scale allows for interpretation of the final company level score to allow for comparison across companies. The R-Factor™ scoring process comprises two underlying components. The first component is based on the framework published by the Sustainability Accounting Standards Board ("SASB"), which is used for all ESG aspects of the score other than those relating to corporate governance issues. The SASB framework attempts to identify ESG risks that are financially material to the issuer-based on its industry classification. This component of the R-Factor™ score is determined using only those metrics from the ESG data providers that specifically address ESG risks identified by the SASB framework as being financially material to the issuer-based on its industry class ification. The second component of the score, the CorpGov score, is generated using region- specific corporate governance codes developed by investors or regulators. The governance codes describe minimum corporate governance expectations of a particular region and typically address topics such as shareholder rights, board independence and executive compensation. This component of the R-Factor™ uses data provided by ISS Governance to assign a governance score to issuers according to these governa nce codes. R-Factor™ Profile Within each industry group, issuers are classified into five distinct ESG performance groups based on which percentile their R-Factor™ scores fall into. A company is classified in one of the five ESG performance classes (Laggard - 10% of universe, Underperformer - 20% of universe, Average Performer - 40% of universe, Outperformer - 20% of universe or Leader - 10% of universe) by comparing the company's R-Factor™ score against a band. R-Factor™ scores are normally distributed using normalized ratings on a 0-100 rat ing scale. Discrepancy between the number of holdings in the R-Factor™ Summary versus the number of holdings in the regular reporting package may arise as the R-Factor™ Summary is counted based on number of issuers rather than number of holdings in the portfolio. ESG Controversy Controversy indicators form a critical part of an issuer's ESG Rating. A Controversy is a set of Events under one ESG topic that is structured based on stakeholder impact. There is no additional assessment applied at the Controversy level. The Controversy Rating assumes the most severe rating of all Events under the Controversy indicator. For example, if a Controversy indicator has three Event Ratings under it, with two Event Ratings at Category 2 and one at Category 3, the Controversy Rating automatically becomes Category 3. A Controversy indicator is also rated on a scale of 1 to 5 and each rating is equivalent to a raw score with an assigned weight. The weighted score of the Controversy indicator feeds directly into the ESG Rating. Controversy indicators carry relatively highe r weights. Weighted Average Carbon Intensity Measured in Metric tons CO2e/USD millions revenues. The weighted average of individual company intensities (operational and first-tier supply chain emissions over revenues), weighted by the proportion of each constituent in the index. Fossil Fuel Reserves (also referred to as Total Reserves CO2 Emissions) Measured in Metric tons of CO2.The carbon footprint that could be generated if the proven and probable fossil fuel reserves owned by index constituents were burned per USD million invested. Unlike carbon intensity and carbon emissions, the S&P Trucost Total Reserves Emissions metric is a very specific indicator that is only applicable to a very selected number of companies in extractive and carbon-intensive industries. Those companies are assigned Total Reserves Emissions numerical results by Trucost, whereas the rest of the holdings in other industries do not have numerical scores and are instead displaying "MARKET", blank values. In order to present a more comprehensive overview of a portfolio's overall weighted average fossil fuel reserves, State Street Global Advisors replaces blank results with "zeros". While that might slightly underestimate the final weighted average volume, it provides a more realistic result, given that most companies in broad market indices have no ownership of fossil fuel reserves. Brown Revenue (%) Percentage of revenues from "brown" sectors, extractive sectors as classified by S &P Trucost ISS ESG Adaptation Score The score uses the Position on Climate Change and Disclosure of Climate Change Risks and Mitigation Strategy metrics. The Position on Climate Change indicator evaluates the company's position on climate change. The company shall have a clear position, which refers to the scientific evidence of climate change, the company's responsibility in this context and its commitment to contribute to the reduction of greenhouse gas emissions. The Disclosure of Climate Change Risks and Mitigation Strategy indicator evaluates whether the company assesses most important industry risks with regard to climate change, and whether it has respective adaptation and mitigation strategies in place. The company shall disclose and quantify all relevant industry-specific risks (as defined by the analyst in charge of the industry) with regard to climate change (e.g. physical, regulatory, market, cost or legal risks), and provide comprehensive information on its respective adaptation and mitigation strategies. Each company receive a rating between (1 - 4) for each of the indicator. If either rating Position on Climate or Greenhouse gas emission reduction target or action plan was missing, the company would not be rated for the adaptat ion score. Green Bonds & Climate Aligned Issuers State Street Global Advisors (SSGA) seeks to identify qualifying securities according to the Climate Bonds Initiative Taxonomy (CBI). For historical back-testing, Green bonds are identified using Thomson Reuters Data and switched to CBI data when available. The Green Bond market aims to enable and develop the key role that debt market can play in funding projects that contribute to environmental sustainability. Even though some data providers propose a Green Bond label, there is no market consensus regarding the definition of Green bond. The International Capital Market Association proposed a set of guidelines with four components: 1.Use of proceeds, 2.Process for project evaluation and Selection, 3. Management of Proceeds 4.Reporting. On 17th June 2020, SSGA partnered with CBI and joined CBI's partners network. The use of a 3rd party to assess the suitability of the Green-labeled bond label give us more confident in the use of proceeds. Due to the fairly concentrated nature of the Green bond market, the Climate strategy includes also bonds that are labelled as "Climate-Aligned" Bonds. Climate-aligned bonds are bonds which CBI identify as financing assets and activities for climate change solutions. The climate-aligned bond universe is composed of: a) Unlabeled bonds from issuers that derive >95% of revenues from "green" business lines. Such issuers are defined as "fully-aligned" issuers b) unlabeled bonds from issuers that derive 75 -95% of revenues from "green" business lines. Such issuers are defined as "strongly-aligned" issuers c) labelled green bonds issued by green bond issuers. For more information on the CBI Taxonomy please visit: https://www.climatebonds.net/ standard /taxonomy. TCFD Weighted Average Carbon Intensity - Portfolio’s exposure to carbon-intensive companies, expressed in tonnes CO2e / $M revenue. Scope 1 and Scope 2 GHG emissions are allocated based on portfolio weights (the current value of the investment relative to the current portfol io value). TCFD Total Carbon Emissions - The absolute greenhouse gas emissions associated with a portfolio, expressed in tonnes CO2e. Scope 1 and Scope 2 GHG emissions are allocated to investors based on an equity ownership approach. TCFD Carbon Footprint - Total carbon emissions for a portfolio normalized by the market value of the portfolio, expressed in tonnes CO2e / $M invested. Scope 1 and Scope 2 GHG emissions are allocated to investors based on an equity ownership approach. TCFD Carbon Intensity - Volume of carbon emissions per million dollars of revenue (carbon efficiency of a portfolio), expressed in tonnes CO2e / $M revenue. Scope 1 and Scope 2 GHG emissions are allocated to investors based on an equity ownership approach. Data and metrics have been sourced as follows from the following contributors as of the date of this report, and are subject to their disclosures below. All other data has been sourced by SSGA. Sustainalytics Sections Portfolio Controversies Profile and ESG Risk Rating Score - Part of this publication may contain Sustainalytics proprietary information that may not be reproduced, used, disseminated, modified nor published in any manner without the express written consent of Sustainalytics. Nothing contained in this publication shall be construed as to make a representation or warranty, express or implied, regarding the advisability to invest in or include companies in investable universes and/or portfolios. The information is provided "as is" and, therefore Sustainalytics assumes no responsibility for errors or omissions. Sustainalytics accepts no liability for damage arising from the use of this publication or information contained herein in any manner w hatsoever. Trucost Sections Carbon Intensity (Direct+Indirect), Weighted Average Carbon Intensity (Direct+Indirect), Total Carbon Emissions, Carbon Footprint. Trucost ® is a registered trademark of S&P Trucost Limited ("Trucost") and is used under license. The ESG Report is/are not in any way sponsored, endorsed, sold or promoted by Trucost or its affiliates (together the "Licensor Parties") and none of the Licensor Parties make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to (i) the results to be obtained from the use of Trucost data with the report, or (ii) the suitability of the Trucost data for the purpose to which it is being put in connection with the report. None of the Licensor Parties provide any financial or investment advice or recommendation in relation to the report. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the Trucost data or under any obligation to advise any person of any erro r therein. > © 2024 State Street Co rporation. All Rights Reserved. Expiration Date: 31/05/2025 © 2024 State Street Corporation. All Rights Reserved. Tracking Number: 6582047.1.1.EMEA.INST Expiration Date: 31/05/2025