The Index:

• excludes issuers with revenue from thermal coal, oil sands, tobacco and weapons sectors,
• excludes issuers not in compliance with the United Nations Global Compact principles, as determined by the Index provider’s methodology, and
• excludes issuers with J.P. Morgan (JESG) scores less than 20, these issuers are not eligible for index re-inclusion for 12 months.

The Index positively tilts towards issuers ranked higher on ESG criteria and underweights lower ranking issuers. The Index applies JESG issuer scores to adjust the market value of index constituents from the baseline index. JESG issuer scores are a 0-100 percentile rank calculated based on normalized raw ESG scores from third-party research providers, including Sustainalytics and RepRisk. An issuer’s finalized JESG score incorporates a 3-month rolling average. Quasi-Sovereign issuers with no coverage from either third-party research provider default to their sovereign JESG score. The JESG scores are divided into five bands that are used to scale each issue’s baseline index market value, with the band rebalance occurring on a quarterly basis.

JESG Score Bands Scalar

Band 1: Score > 80 1.00

Band 2: 60 < Score <= 80 0.80

Band 3: 40 < Score <= 60 0.60

Band 4: 20 < Score <= 40 0.40

Band 5: Score <= 20 0.00

Issuers in Band 5 will be excluded from the index and will not be eligible for twelve months. If an instrument is categorized as a “green bond” by the Climate Bonds Initiative, the security will receive a one-band upgrade. Green bonds upgrades may happen intra quarter. Green bonds by issuers already in Band 1 will not receive any further upgrades.

Additionally, the Index incorporates positive screening techniques whereby ‘green’ bonds (bonds which are created to fund projects that have positive environmental and/ or climate benefits) of the same issuer are prioritised by the Index.

Further information on the index methodology can be found at: https://www.jpmorgan.com/insights/research/index-research/composition-docs

While the Fund promotes environmental and social characteristics within the meaning of Article 8 of the SFDR, it does not currently commit to investing in any “sustainable investments” within the meaning of the SFDR. Accordingly, it should be noted that the investments underlying the Fund do not take into account the EU criteria for environmentally sustainable economic activities within the meaning of the Taxonomy Regulation.

While the Fund promotes environmental and social characteristics within the meaning of Article 8 of the SFDR, it does not currently commit to investing in any “sustainable investments” within the meaning of the SFDR.

Further information on LGIM's Sustainable Investment Methodology can be found here.

The Fund considers principal adverse impacts on sustainability factors and LGIM has identified a subset of the adverse sustainability indicators that are relevant to the Fund’s investments. The Fund considers principal adverse impacts, identified using the below listed sustainability indicators, through the implementation of the Fund’s ESG investment strategy.

• PAI 1: GHG emissions
• PAI 2: Carbon footprint
• PAI 3: GHG intensity of companies
• PAI 4: Exposure to fossil fuel companies
• PAI 5: Share of non-renewable energy
• PAI 7: Activities negatively affecting biodiversity-sensitive areas
• PAI 8: Emissions to water
• PAI 10: Companies violating UNGC/OECD
• PAI 14: Controversial weapons