FTSE Russell Factsheet | FTSE Goldman Sachs ESG-Enhanced Global Bond Index | August 31, 2021 INDEX CONSTITUENTS September 2021 Index Profile - Index data as of August 31, 2021 Coupon Maturity Index Weight Description (%) (YYYYMMDD) (%) 15-YR FHLMC GOLD-2010 PROD 3.500 20250501 0.0025 15-YR FHLMC GOLD-2011 PROD 3.500 20251201 0.0030 15-YR FHLMC GOLD-2011 PROD 3.000 20260401 0.0053 15-YR FHLMC GOLD-2012 PROD 3.000 20261001 0.0072 15-YR FHLMC GOLD-2012 PROD 2.500 20270201 0.0144 15-YR FHLMC GOLD-2013 PROD 2.000 20271001 0.0042 15-YR FHLMC GOLD-2013 PROD 2.500 20271001 0.0215 15-YR FHLMC GOLD-2013 PROD 3.000 20280201 0.0062 15-YR FHLMC GOLD-2014 PROD 3.000 20281201 0.0092 15-YR FHLMC GOLD-2014 PROD 2.500 20290201 0.0024 15-YR FHLMC GOLD-2015 PROD 2.500 20291101 0.0127 15-YR FHLMC GOLD-2015 PROD 3.000 20291201 0.0120 15-YR FHLMC GOLD-2016 PROD 3.000 20301101 0.0077 15-YR FHLMC GOLD-2016 PROD 2.500 20310201 0.0259 15-YR FHLMC GOLD-2016 PROD 2.000 20310401 0.0024 15-YR FHLMC GOLD-2017 PROD 2.500 20311001 0.0091 15-YR FHLMC GOLD-2017 PROD 3.500 20311101 0.0027 15-YR FHLMC GOLD-2017 PROD 3.000 20311201 0.0151 15-YR FHLMC GOLD-2018 PROD 3.000 20320801 0.0037 15-YR FHLMC GOLD-2018 PROD 3.500 20321101 0.0053 15-YR FHLMC UMBS-2012 PROD 2.500 20270201 0.0025 15-YR FHLMC UMBS-2013 PROD 2.500 20271001 0.0026 15-YR FHLMC UMBS-2015 PROD 2.500 20291101 0.0031 15-YR FHLMC UMBS-2015 PROD 3.000 20291201 0.0025 15-YR FHLMC UMBS-2016 PROD 3.000 20301001 0.0028 15-YR FHLMC UMBS-2016 PROD 2.500 20310101 0.0056 15-YR FHLMC UMBS-2017 PROD 3.000 20320101 0.0061 15-YR FHLMC UMBS-2018 PROD 3.000 20320901 0.0032 15-YR FHLMC UMBS-2018 PROD 3.500 20321101 0.0037 15-YR FHLMC UMBS-2018 PROD 4.000 20321201 0.0024 15-YR FHLMC UMBS-2019 PROD 3.500 20331101 0.0058 15-YR FHLMC UMBS-2019 PROD 3.000 20340201 0.0123 15-YR FHLMC UMBS-2019 PROD 2.500 20340501 0.0178 15-YR FHLMC UMBS-2020 PROD 3.000 20341101 0.0068 15-YR FHLMC UMBS-2020 PROD 2.500 20350101 0.0403 15-YR FHLMC UMBS-2020 PROD 2.000 20350501 0.1372 15-YR FHLMC UMBS-2020 PROD 1.500 20350801 0.0772 15-YR FHLMC UMBS-2021 PROD 2.500 20351201 0.0053 15-YR FHLMC UMBS-2021 PROD 1.500 20360201 0.0931 15-YR FHLMC UMBS-2021 PROD 2.000 20360201 0.1064 15-YR FNMA-2010 PROD 4.000 20250201 0.0029 15-YR FNMA-2010 PROD 3.500 20250601 0.0043 ftserussell.com FTSE Goldman Sachs ESG-Enhanced Global Bond Index | 1 FTSE Russell Factsheet | FTSE Goldman Sachs ESG-Enhanced Global Bond Index | August 31, 2021 INDEX CONSTITUENTS (CONTINUED) September 2021 Index Profile - Index data as of August 31, 2021 Coupon Maturity Index Weight Description (%) (YYYYMMDD) (%) 15-YR FNMA-2011 PROD 4.000 20251101 0.0029 15-YR FNMA-2011 PROD 3.500 20260101 0.0068 15-YR FNMA-2011 PROD 3.000 20260401 0.0080 15-YR FNMA-2012 PROD 3.500 20261001 0.0021 15-YR FNMA-2012 PROD 3.000 20261101 0.0142 15-YR FNMA-2012 PROD 2.500 20270301 0.0275 15-YR FNMA-2012 PROD 2.000 20270501 0.0023 15-YR FNMA-2013 PROD 2.500 20271001 0.0291 15-YR FNMA-2013 PROD 2.000 20271101 0.0076 15-YR FNMA-2013 PROD 3.000 20280201 0.0113 15-YR FNMA-2013 PROD 3.500 20280301 0.0037 15-YR FNMA-2014 PROD 3.500 20281101 0.0056 15-YR FNMA-2014 PROD 3.000 20281201 0.0145 15-YR FNMA-2014 PROD 2.500 20290201 0.0031 15-YR FNMA-2015 PROD 2.500 20291101 0.0167 15-YR FNMA-2015 PROD 3.500 20291101 0.0028 15-YR FNMA-2015 PROD 3.000 20291201 0.0185 15-YR FNMA-2016 PROD 3.500 20300901 0.0022 15-YR FNMA-2016 PROD 3.000 20301101 0.0129 15-YR FNMA-2016 PROD 2.500 20310101 0.0431 15-YR FNMA-2016 PROD 2.000 20310301 0.0063 15-YR FNMA-2017 PROD 2.500 20311101 0.0104 15-YR FNMA-2017 PROD 3.500 20311101 0.0079 15-YR FNMA-2017 PROD 3.000 20311201 0.0289 15-YR FNMA-2018 PROD 3.000 20320801 0.0069 15-YR FNMA-2018 PROD 3.500 20321101 0.0100 15-YR FNMA-2018 PROD 4.000 20321201 0.0061 15-YR FNMA-2019 PROD 4.000 20330801 0.0021 15-YR FNMA-2019 PROD 3.500 20331101 0.0115 15-YR FNMA-2019 PROD 3.000 20340301 0.0145 15-YR FNMA-2019 PROD 2.500 20340501 0.0227 15-YR FNMA-2020 PROD 3.500 20340801 0.0021 15-YR FNMA-2020 PROD 3.000 20341101 0.0113 15-YR FNMA-2020 PROD 2.500 20350201 0.0648 15-YR FNMA-2020 PROD 2.000 20350501 0.1604 15-YR FNMA-2020 PROD 1.500 20350801 0.0510 15-YR FNMA-2021 PROD 2.500 20360101 0.0208 15-YR FNMA-2021 PROD 1.500 20360201 0.0887 15-YR FNMA-2021 PROD 2.000 20360201 0.1380 15-YR GNMA II-2015 PROD 3.000 20291201 0.0021 15-YR GNMA II-2016 PROD 3.000 20301101 0.0021 15-YR GNMA II-2016 PROD 2.500 20310101 0.0032 FTSE Goldman Sachs ESG-Enhanced Global Bond Index | 2 FTSE Russell Factsheet | FTSE Goldman Sachs ESG-Enhanced Global Bond Index | August 31, 2021 INDEX CONSTITUENTS (CONTINUED) September 2021 Index Profile - Index data as of August 31, 2021 Coupon Maturity Index Weight Description (%) (YYYYMMDD) (%) 15-YR GNMA II-2017 PROD 3.000 20311201 0.0024 15-YR GNMA II-2018 PROD 3.500 20330101 0.0022 15-YR GNMA II-2020 PROD 2.500 20350101 0.0025 15-YR GNMA II-2021 PROD 2.500 20351201 0.0020 30-YR FHLMC GOLD-2003 PROD 5.500 20320501 0.0046 30-YR FHLMC GOLD-2003 PROD 5.000 20320701 0.0048 30-YR FHLMC GOLD-2004 PROD 5.000 20330501 0.0032 30-YR FHLMC GOLD-2004 PROD 5.500 20330601 0.0044 30-YR FHLMC GOLD-2005 PROD 5.500 20340701 0.0052 30-YR FHLMC GOLD-2005 PROD 5.000 20340801 0.0045 30-YR FHLMC GOLD-2006 PROD 6.000 20350701 0.0043 30-YR FHLMC GOLD-2007 PROD 5.500 20360601 0.0030 30-YR FHLMC GOLD-2007 PROD 6.000 20360701 0.0047 30-YR FHLMC GOLD-2008 PROD 5.500 20370501 0.0034 30-YR FHLMC GOLD-2009 PROD 4.000 20380101 0.0075 30-YR FHLMC GOLD-2009 PROD 4.500 20380401 0.0195 30-YR FHLMC GOLD-2009 PROD 5.000 20380701 0.0086 30-YR FHLMC GOLD-2010 PROD 4.500 20390301 0.0163 30-YR FHLMC GOLD-2010 PROD 5.000 20390401 0.0078 30-YR FHLMC GOLD-2010 PROD 4.000 20390601 0.0145 30-YR FHLMC GOLD-2011 PROD 4.500 20400201 0.0133 30-YR FHLMC GOLD-2011 PROD 5.000 20400301 0.0034 30-YR FHLMC GOLD-2011 PROD 4.000 20400401 0.0149 30-YR FHLMC GOLD-2011 PROD 3.500 20400501 0.0072 30-YR FHLMC GOLD-2012 PROD 4.000 20410201 0.0093 30-YR FHLMC GOLD-2012 PROD 3.500 20410301 0.0437 30-YR FHLMC GOLD-2012 PROD 3.000 20410701 0.0458 30-YR FHLMC GOLD-2013 PROD 3.000 20420201 0.0656 30-YR FHLMC GOLD-2013 PROD 3.500 20420501 0.0352 30-YR FHLMC GOLD-2013 PROD 4.000 20420901 0.0160 30-YR FHLMC GOLD-2013 PROD 4.500 20421001 0.0023 30-YR FHLMC GOLD-2014 PROD 4.500 20430601 0.0039 30-YR FHLMC GOLD-2014 PROD 3.500 20430701 0.0248 30-YR FHLMC GOLD-2014 PROD 4.000 20430701 0.0314 30-YR FHLMC GOLD-2015 PROD 3.000 20440501 0.0317 30-YR FHLMC GOLD-2015 PROD 3.500 20440801 0.0546 30-YR FHLMC GOLD-2015 PROD 4.000 20441001 0.0156 30-YR FHLMC GOLD-2016 PROD 4.000 20450901 0.0134 30-YR FHLMC GOLD-2016 PROD 3.500 20451001 0.0461 30-YR FHLMC GOLD-2016 PROD 3.000 20451201 0.0939 30-YR FHLMC GOLD-2017 PROD 3.000 20460901 0.0086 30-YR FHLMC GOLD-2017 PROD 3.500 20461201 0.0648 FTSE Goldman Sachs ESG-Enhanced Global Bond Index | 3 FTSE Russell Factsheet | FTSE Goldman Sachs ESG-Enhanced Global Bond Index | August 31, 2021 INDEX CONSTITUENTS (CONTINUED) September 2021 Index Profile - Index data as of August 31, 2021 Coupon Maturity Index Weight Description (%) (YYYYMMDD) (%) 30-YR FHLMC GOLD-2017 PROD 4.000 20461201 0.0422 30-YR FHLMC GOLD-2017 PROD 4.500 20461201 0.0109 30-YR FHLMC GOLD-2018 PROD 3.500 20470701 0.0168 30-YR FHLMC GOLD-2018 PROD 4.000 20471101 0.0370 30-YR FHLMC GOLD-2018 PROD 5.000 20471101 0.0023 30-YR FHLMC GOLD-2018 PROD 4.500 20471201 0.0225 30-YR FHLMC GOLD-2019 PROD 4.000 20480801 0.0027 30-YR FHLMC GOLD-2019 PROD 3.500 20481001 0.0026 30-YR FHLMC UMBS-2011 PROD 4.000 20400401 0.0030 30-YR FHLMC UMBS-2012 PROD 3.500 20410101 0.0086 30-YR FHLMC UMBS-2012 PROD 3.000 20410601 0.0034 30-YR FHLMC UMBS-2013 PROD 3.000 20420101 0.0091 30-YR FHLMC UMBS-2013 PROD 3.500 20420101 0.0046 30-YR FHLMC UMBS-2013 PROD 4.000 20420601 0.0041 30-YR FHLMC UMBS-2014 PROD 4.000 20430601 0.0066 30-YR FHLMC UMBS-2014 PROD 3.500 20430801 0.0030 30-YR FHLMC UMBS-2015 PROD 3.000 20440701 0.0080 30-YR FHLMC UMBS-2015 PROD 3.500 20440801 0.0218 30-YR FHLMC UMBS-2015 PROD 4.000 20441101 0.0049 30-YR FHLMC UMBS-2016 PROD 3.500 20450801 0.0085 30-YR FHLMC UMBS-2016 PROD 2.500 20450901 0.0029 30-YR FHLMC UMBS-2016 PROD 4.000 20450901 0.0042 30-YR FHLMC UMBS-2016 PROD 3.000 20451101 0.0429 30-YR FHLMC UMBS-2017 PROD 3.500 20461101 0.0257 30-YR FHLMC UMBS-2017 PROD 4.000 20461101 0.0176 30-YR FHLMC UMBS-2017 PROD 3.000 20461201 0.0051 30-YR FHLMC UMBS-2017 PROD 4.500 20461201 0.0052 30-YR FHLMC UMBS-2018 PROD 3.500 20470801 0.0096 30-YR FHLMC UMBS-2018 PROD 4.000 20471201 0.0289 30-YR FHLMC UMBS-2018 PROD 4.500 20480101 0.0246 30-YR FHLMC UMBS-2018 PROD 5.000 20480101 0.0087 30-YR FHLMC UMBS-2019 PROD 4.500 20481001 0.0196 30-YR FHLMC UMBS-2019 PROD 5.000 20481101 0.0076 30-YR FHLMC UMBS-2019 PROD 4.000 20481201 0.0357 30-YR FHLMC UMBS-2019 PROD 3.500 20490201 0.0677 30-YR FHLMC UMBS-2019 PROD 3.000 20490501 0.1373 30-YR FHLMC UMBS-2019 PROD 2.500 20490601 0.0406 30-YR FHLMC UMBS-2020 PROD 3.000 20491101 0.1235 30-YR FHLMC UMBS-2020 PROD 3.500 20491101 0.0240 30-YR FHLMC UMBS-2020 PROD 4.000 20491101 0.0108 30-YR FHLMC UMBS-2020 PROD 4.500 20491101 0.0037 30-YR FHLMC UMBS-2020 PROD 2.500 20500201 0.4283 FTSE Goldman Sachs ESG-Enhanced Global Bond Index | 4 FTSE Russell Factsheet | FTSE Goldman Sachs ESG-Enhanced Global Bond Index | August 31, 2021 INDEX CONSTITUENTS (CONTINUED) September 2021 Index Profile - Index data as of August 31, 2021 Coupon Maturity Index Weight Description (%) (YYYYMMDD) (%) 30-YR FHLMC UMBS-2020 PROD 2.000 20500501 0.9861 30-YR FHLMC UMBS-2020 PROD 1.500 20500801 0.1778 30-YR FHLMC UMBS-2021 PROD 1.500 20501201 0.2260 30-YR FHLMC UMBS-2021 PROD 3.000