OVERVIEW DATE OF HOLDINGS COVERAGE 31 DEC 2019 94.03% AMOUNT INVESTED BENCHMARK USED 29,910,665 EUR Ibex 35 CI Iberian Equity PORTFOLIO TYPE Climate Impact Assessment EQUITY Carbon Metrics 1 of 3 Portfolio Overview Disclosure Emission Exposure Relative Emission Exposure Climate Performance Number/Weight tCO₂e tCO₂e/Mio EUR Revenue Weighted Avg Relative Carbon Carbon Weighted Avg Share of Disclosing Holdings Scope 1 & 2 Incl. Scope 3 Carbon Risk Rating1 Footprint Intensity Carbon Intensity Portfolio 7% / 73.2% ,24 27,424 210.0 29.41 19.14 40 Benchmark 94.3% / 9.3% ,99 34,225 300.52 340.72 25. 4 Net Performance -1.3 p.p. / -25 p.p. 30.1% 19.9% 30.1% 20.9% 3.3% — Emission Exposure Analysis Emissions Exposure (tCO₂e) Sector Contributions to Emissions2 30,000 Consumer Discretionary 8% Consumer Staples 4% 20,000 Energy 21% 10,000 Materials 65% Industrials 2% 0 Portfolio Benchmark Scope 1 Scope 2 Scope 3 1 Note: Carbon Risk Rating data is current as of the date of report generation. 2 Emissions contributions for all other portfolio sectors is less than 1% for each sector. © 2020 Institutional Shareholder Services 1 of 10 Climate Impact Assessment CI Iberian Equity Emission Exposure Analysis (continued) Top 10 Contributors to Portfolio Emissions Contribution to Portfolio Issuer Name Portfolio Weight (%) Emissions Reporting Quality Carbon Risk Rating Emission Exposure (%) Semapa Sociedade de Investimento e Gesta… 52.% 2.52% Inconsistent - Repsol SA 17.42% 3.3% Strong Medium Performer The Navigator Co. SA .9% 4.0% Moderate - Viscofan SA 4.0% 3.4% Strong Laggard Gestamp Automocion SA 3.5% 2.7% Strong Medium Performer Galp Energia SGPS SA 3.2% 2.49% Strong Laggard Vidrala SA 2.79% 7.3% Non-Reporting Medium Performer CIE Automotive SA 2.49% 3.10% Moderate - Melia Hotels International SA 1.55% 3.15% Strong - Corticeira Amorim SGPS SA 1.39% .0% Inconsistent - Total for Top 10 96.20% 40.39% Carbon Metrics 2 of 3 Emission Attribution Analysis Emission Attribution Analysis examines the extent to which higher or lower GHG exposure between the portfolio and the benchmark can be attributed to sector allocation versus issuer selection. A portfolio with a larger amount of assets allocated to an emissions-intense sector will ultimately have higher GHG emissions exposure. However, this can be offset by the selection of less emissions-intense issuers from that sector. This analysis relates to the carbon footprint of the portfolio, specifically the Emissions Scope 1 & 2 (tCO₂e) and Relative Carbon Footprint (tCO₂e/Mio Invested) metrics. The subsequent table identifies the most emissions-intense issuers in the analysis, the comparative weight for each issuer between the portfolio and benchmark, as well as the sector allocation and issuer selection effects. A positive (green) number represents less greenhouse gas exposure for the issuer in the portfolio relative to the benchmark. Top Sectors to Emission Attribution Exposure vs.Benchmark Portfolio Benchmark Sector Difference Sector Allocation Effect Issuer Selection Effect Weight Weight Communication Services 5.% 10.2% -4.9% 0.43% 0.3% Consumer Discretionary 17.01% 12.47% 4.53% -0.2% -4.77% Consumer Staples 10.21% 0.47% 9.74% -8.02% 5.32% Energy 5.5% 4.07% 1.7% -6.47% 6.75% Financials 4.% 25.11% -20.3% 0.28% 0.05% Health Care 1.2% 2.% 1.14% -0.63% 0.12% Industrials 12.14% 13.54% -1.41% 2.3% 18.49% Information Technology 3.3% .7% -3.51% 0.02% -0.08% Materials 21.95% 1.27% 20.% -407.76% 388.25% Real Estate 0% 1.97% -1.97% 0.05% 0% Utilities 0% 20.73% -20.73% 35.66% 0% Cumulative Higher (-) and Lower (+) Emission Exposure vs. Benchmark -384.34% 414.43% Higher (-) / Lower (+) Net Emission Exposure vs. Benchmark 30% © 2020 Institutional Shareholder Services 2 of 10 Climate Impact Assessment CI Iberian Equity Emission Attribution Analysis (continued) Highest Emission-Intense Issuers in Combined Portfolio & Benchmark Universe Emission Exposure Scope Issuer Name Sector Carbon Risk Rating Portfolio Under (-) / Overexposure (+) 1 & 2 (tCO₂e) 1. ArcelorMittal SA Materials 11,7.3 Medium Performer -0.58% 2. Semapa Sociedade de Investimento e Gest… Materials 4,35.51 - 2.52% 3. International Consolidated Airlines Group … Industrials 2,02.25 Medium Performer -2.83% 4. Endesa SA Utilities 1,297 Medium Performer -2.12% 5. Acerinox SA Materials 1,12.35 - -0.51% 6. Repsol SA Energy 1,09.57 Medium Performer -0.71% 7. Naturgy Energy Group SA Utilities 9.77 Outperformer -1.89% 8. Iberdrola SA Utilities 44.49 Outperformer -12.74% 9. ENCE Energia y Celulosa, SA Materials 437.3 Laggard -0.19% 10. The Navigator Co. SA Materials 301.1 - 4.8% 11. ACS Actividades de Construccion y Servici… Industrials 2.32 Medium Performer -2.03% 12. Galp Energia SGPS SA Energy 275.05 Laggard 2.49% 13. Gestamp Automocion SA Consumer Discretionary 27.1 Medium Performer 2.87% 14. Viscofan SA Consumer Staples 247.59 Laggard 3% 15. CIE Automotive SA Consumer Discretionary 1.75 - 2.67% Carbon Metrics 3 of 3 Greenhouse Gas Emission Intensity Weighted Avg Greenhouse Gas Intensity Sector Contribution tCO₂e/ Mio EUR Revenue Communication Services Consumer Discretionary Consumer Staples Energy Portfolio Financials Health Care Benchmark Industrials Information Technology Materials Real Estate 0 50 100 150 200 250 Utilities Top 10 Emission Intense Companies (tCO₂e Scope 1 & 2/Revenue Millions) Issuer Name Emission Intensity Peer Group Avg Intensity 1. Semapa Sociedade de Investimento e Gestao SGPS SA 2,201.5 544. 2. Viscofan SA 9.5 142.93 3. The Navigator Co. SA 454.2 544. 4. Repsol SA 449.7 979.13 5. Vidrala SA 199.75 539.9 6. Galp Energia SGPS SA 19.09 979.13 7. CIE Automotive SA 151.42 127.07 8. Melia Hotels International SA 100.90 301. 9. Corticeira Amorim SGPS SA 4.0 277.2 10. Gestamp Automocion SA 77.15 127.07 © 2020 Institutional Shareholder Services 3 of 10 Climate Impact Assessment CI Iberian Equity Climate Scenario Analysis 1 of 2 In order to transition, holdings need to commit to align with the international climate goals and progress on those in the future. Currently, 14.69% of the portfolio’s value is committed to such a goal. While this is not a guarantee to reach this goal, the currently 26.78% of the portfolio without a goal is certainly unlikely to transition and should receive special attention from a climate risk conscious investor. Portfolio Compliance with Emission Budget per Scenario 2019 2020 2030 2040 2050 Until the year 2019, portfolio is aligned with a 2° Celsius warming scenario. 2° 143.17% 144.1% 17% 215.1% 21.4% 2019 4° 131.% 131.59% 12.05% 125.% 12.1% 6° 129.0% 12.51% 120.97% 114.95% 112.01% Climate Strategy Assessment (% Portfolio Weight) 45% 43% 40% 37% Portfolio 30% 27% 22% 20% 15% Benchmark 10% 5% 4% 2% 0% 0% No Strategy Weak Strategy Moderate Strategy Robust Strategy 2ºC - Committment Scenario Analysis The climate scenario environment alignment compares current and future portfolio greenhouse gas emissions with the carbon budgets for a below 2 degree Celsius scenario as well as warming scenarios of 4 degrees and 6 degrees Celsius until 2050. The CI Iberian Equity strategy in its current state will be misaligned with a 2 degree Celsius scenario by 2019. Only by re-allocating investments or by helping holdings to transition, a longer-lasting 2 degree alignment can be achieved. Portfolio Emission Pathway vs. Climate Scenarios 5 ) e 4 ₂ O C t ( s 3 d n a s u o h 2 T 1 2019 2020 2021 2022 2023 2024 2025 202 2027 202 2029 2030 2031 2032 2033 2034 2035 203 2037 203 2039 2040 2041 2042 2043 2044 2045 204 2047 204 2049 2050 Emission Budget 6°C Emission Budget 4°C Emission Budget 2°C Portfolio Emissions © 2020 Institutional Shareholder Services 4 of 10 Climate Impact Assessment CI Iberian Equity Climate Scenario Analysis 2 of 2 To contain average global warming to below 2 degrees Celsius, portfolio holdings in certain sectors are still aligned (-), while others are already beyond (+) the emission budget for a 2 degrees Celsius pathway. Portfolio Emissions vs. Emission Budget per Sector - Under (-)/Outperformance (+) of the 2°C Scenario Requirements 1.8 1.6 2019 1.6 1.5 1.4 2030 1.2 1.2 ) 2050 e 1.2 ₂ 1 1 O C t 1 ( d n 0.80 a s u o 0.60 h T 0.40 0.24 0.19 0.20 0.16 0.06 0.05 0.07 0.01 0.03 0 -0.03 -0.02 -0.03 -0.07 -0.20 Paper & Related Integrated Oil & Gas Food Products Auto Parts Business Support Containers Products Services Metal/Glass Sector Emissions vs. 2°C Emission Budget for 2019 Sector Emissions vs. 2°C Emission Budget for 2050 2.7 2.8 3 2.8 2.6 2.8 2.4 2.6 ) 2.2 ) 2.4 e e ₂ 2 ₂ 2.2 O O C 1.7 C 2 1.7 t 1.8 t ( ( 1.8 d 1.6 d 1.6 n 1.4 1.3 n a a 1.4 s 1.2 s 1.2 u u 1.2 o 1 o h h 1 T 0.80 T 0.80 0.60 0.60 0.40 0.22 0.18 0.18 0.40 0.22 0.25 0.11 0.09 0.12 0.09 0.10 0.13 0.09 0.20 0.02 0.07 0.04 0.20 0.01 0.07 0.02 0 0 Paper & Integrated Food Auto Parts Business Containers Paper & Integrated Food Auto Parts Business Containers Related Oil & Gas Products Support Metal/Glass Related Oil & Gas Products Support Metal/Glass Products Services Products Services Emission Budget Percentage of Holdings 2°C Aligned in 2019, 2030, and 2050 100% 100% 2019 80% 2030 60% 50% 50% 50% 50% 50% 50% 2050 40% 25% 25% 20% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% Paper & Related Integrated Oil & Gas Food Products Auto Parts Business Support Containers Products Services Metal/Glass © 2020 Institutional Shareholder Services 5 of 10 Climate Impact Assessment CI Iberian Equity Physical Climate Risk Analysis Rising temperature levels, even if limited to 2° Celsius, will result in changes of the climate system resulting in physical risks.