iTraxx MSCI ESG Screened Europe Index Provisional Methodology The provisional screening methodology has been applied to iTraxx Europe Series 32 index for analysis purposes. The provisional screening methodology involves exclusion criteria that utilises three distinct datasets from MSCI ESG Research:

• Value-based exclusion – o using MSCI ESG Business Involvement Screening Research (BISR) data

• Controversy-based exclusion – o using MSCI ESG Controversies data

• Rating-based exclusion – o using MSCI ESG Ratings data

Applying these three exclusion criteria has resulted in exclusion of 44 entities out of 125 i.e. index size of 81 entities. The INDICATIVE LIST and exclusions are shown below.

Value-based exclusion The value-based exclusions are based on framework recommended by MSCI to define significant involvement of entities in specific activities. The exclusions are based on breaches of recommended revenue thresholds due to involvement in the following activities:

Adult Entertainment Controversial Weapons Genetic Engineering Tobacco Alcohol Conventional Weapons Nuclear Power Thermal Coal Civilian Firearms Gambling Nuclear Weapons

Controversy-based exclusion MSCI ESG Controversy Scores are given to entities on a scale of 0 to 10 based on their involvement in major ESG controversies and their adherence to international norms and principles. A lower MSCI ESG Controversy Score indicates a higher degree of severity of the controversy. Entities that have MSCI Controversy Scores equal to 0, or “red flag” entities are excluded from the index.

Rating-based exclusion The MSCI ESG Ratings are used to identify ESG risks and opportunities relating to the entities. The ratings are given on a scale of ‘AAA’ to ‘CCC’ based on their exposure to industry-specific ESG risks and their ability to manage those risks relative to peers. Entities that have MSCI ESG Ratings of BBB and below have been excluded from the index.

Copyright © 2020 IHS Markit Ltd iTraxx MSCI ESG Screened Europe Index

iTraxx MSCI ESG Screened Europe Index

INDICATIVE LIST (Based on iTraxx Europe Series 32)

ACCOR S.P.A. SIEMENS AKTIENGESELLSCHAFT

AEGON N.V. EQUINOR ASA SKY LIMITED

AKTIEBOLAGET ELECTROLUX HEIDELBERGCEMENT AG SOCIETE GENERALE

AKTIEBOLAGET VOLVO HENKEL AG & CO. KGAA SOLVAY

AKZO NOBEL N.V. ING GROEP N.V. SSE PLC

ALLIANZ SE INNOGY SE STANDARD CHARTERED PLC - SOCIETA SPA STMICROELECTRONICS N.V. PER AZIONI ASTRAZENECA PLC ITV PLC STORA ENSO OYJ

AVIVA PLC SWISS REINSURANCE COMPANY LTD TATE & LYLE PUBLIC LIMITED KONINKLIJKE AHOLD DELHAIZE N.V. COMPANY BANCO BILBAO VIZCAYA KONINKLIJKE DSM N.V. TELEFONICA, S.A. ARGENTARIA, SOCIEDAD ANONIMA TELEKOM AUSTRIA BASF SE KONINKLIJKE KPN N.V. AKTIENGESELLSCHAFT BAYERISCHE MOTOREN WERKE KONINKLIJKE N.V. TELENOR ASA AKTIENGESELLSCHAFT MUENCHENER RUECKVERSICHERUNGS- BERTELSMANN SE & CO. KGAA GESELLSCHAFT TELIA COMPANY AB AKTIENGESELLSCHAFT IN MUENCHEN BNP PARIBAS NATIONAL GRID PLC TOTAL SA

BOUYGUES NESTLE S.A. UBS GROUP AG BRITISH TELECOMMUNICATIONS NEXT PLC UNIBAIL-RODAMCO-WESTFIELD SE PUBLIC LIMITED COMPANY ORANGE UNILEVER N.V.

CENTRICA PLC PEARSON PLC UNITED UTILITIES PLC

CNH INDUSTRIAL N.V. PEUGEOT SA VALEO COMMERZBANK POSTNL N.V. ENVIRONNEMENT AKTIENGESELLSCHAFT PRUDENTIAL PUBLIC LIMITED COMPAGNIE DE SAINT-GOBAIN VINCI COMPANY COMPAGNIE FINANCIERE GROUPE SA SCMA VODAFONE GROUP PUBLIC LIMITED COMPASS GROUP PLC COMPANY CREDIT AGRICOLE SA REPSOL, S.A. WENDEL

DANONE WPP 2005 LIMITED

EDP FINANCE B.V. SES ZURICH INSURANCE COMPANY LTD

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Exclusions from iTraxx Europe Series 32

AIRBUS SE DANSKE BANK A/S IMPERIAL BRANDS PLC DEUTSCHE BANK ANGLO AMERICAN PLC LAFARGEHOLCIM LTD AKTIENGESELLSCHAFT DEUTSCHE LUFTHANSA ANHEUSER-BUSCH INBEV LANXESS AKTIENGESELLSCHAFT AKTIENGESELLSCHAFT ARCELORMITTAL DEUTSCHE TELEKOM AG LLOYDS BANKING GROUP PLC LVMH MOET HENNESSY LOUIS BAE SYSTEMS PLC DIAGEO PLC VUITTON BANCA DI CREDITO BANCO SANTANDER, S.A. E.ON SE FINANZIARIO SOCIETA PER AZIONI BARCLAYS PLC ELECTRICITE DE NATURGY ENERGY GROUP, S.A.

BAYER AKTIENGESELLSCHAFT S.P.A.

BP P.L.C. ROLLS-ROYCE PLC

BRITISH AMERICAN TOBACCO P.L.C. FORTUM OYJ ROYAL DUTCH SHELL PLC

CARLSBERG BREWERIES A/S GLENCORE INTERNATIONAL AG THALES CONTINENTAL THE ROYAL BANK OF SCOTLAND HANNOVER RUECK SE AKTIENGESELLSCHAFT GROUP PUBLIC LIMITED COMPANY COOEPERATIEVE RABOBANK U.A. HEINEKEN N.V. , SOCIETA PER AZIONI VOLKSWAGEN CREDIT SUISSE GROUP AG HSBC HOLDINGS PLC AKTIENGESELLSCHAFT DAIMLER AG IBERDROLA, S.A.

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