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Information Classification: Limited Access
State Street Climate Transition World Equity Beta
Fund
Website disclosure for an Article 8 fund
A . Summary
The investment policy of the State Street Climate Transition World Equity Beta Fund (“ Fund ”) is to invest in companies which exhibit lower carbon emissions in the way of current emissions and future emissions (measured by fossil fuel reserves), produce green revenues, and are better positioned for the risks posed by climate change while screening out securities based on an assessment of their adherence to certain ESG criteria defined by the Investment Manager.
The Fund promotes environmental or social characteristics and while it does not have as its objective a sustainable investment, it will seek to invest a minimum of 25% of its portfolio in sustainable investments under article 2(17) of SFDR using the Investment Manager’s proprietary assessment methodology . The Fund does not commit to making sustainable investments within the meaning of the Taxonomy Regulation.
The Fund promotes certain environmental characteristics through investments in companies that are on a clear path to climate transition and which exhibit lower carbon emissions in the way of current emissions and future emissions (measured by fossil fuel reserves), produce green revenues and are better positioned for the risks posed by climate change. In addition to this, further environment al and social characteristics are promoted by a negative and norms - based screen applied to the portfolio of the Fund to screen out securities based on an assessment of their adherence to ESG criteria, i.e. international norms in relation to environmental and social protection .
The Investment Manager, on behalf of the Fund, will invest actively using the Climate Transition Equity Beta Strategy as further described in section 8.1 of the Prospectus and the Relevant Supplement. This strategy uses a systematic methodology to provide higher exposure (relative to the MSCI World Index (“ Index ”) ) to companies that are mitigating and adapting to climate risk. The assessment of good governance practices is implemented through the negative screening utilised by the Fund. Companies deemed by the Investment Manager to not violate United Nations Global Compact (“ UNGC ”) principles are considered to exhibit g ood governance.
The Investment Manager employs a binding ESG methodology which aims to build a portfolio where at least 90% of the Fund’s assets are invested in securities which are aligned with environmental and social characteristics promoted by the Fund. The remaining portion (<10%) of the portfolio, consisting of cash as well as cash equivalents in place held at the Investment Manager’s discretion, will not be aligned with the promoted environmental and social characteristics. To the extent that the Fund may use finan cial derivative instruments, these will not be used to attain the environmental or social characteristics promoted by the Fund.
The attainment of the environmental characteristics is measured through the higher exposure of the Fund’s portfolio (relative to the Index) to companies that are mitigating greenhouse gas emissions and adapting to climate related risks by constructing the portfolio that aims to:
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Information Classification: Limited Access
a) M inimise carbon emission intensity (emissions scaled by revenue) , brown revenues and fossil fuel reserves , sensitivity to climate risks, climate value at risk; b) maximise green revenues; and c) target companies that are positioned to benefit from the transition to the low - carbon economy based on their implied temperature rise .
A further attainment of the environmental and social characteristics promoted by the Fund is measured through the % of the portfolio invested in securities that are included in the negative and norms - based screen.
The Fund adopts a systematic mitigation and adaptation approach that targets reductions in carbon emissions and reallocation of capital towards companies benefiting from low - carbon technologies. The Fund aims to achieve the following criteria in relation t o the climate categories utilised in the portfolio construction process: minimise carbon emission intensity, brown revenues, fossil fuel reserves, sensitivity to climate risks, climate value at risk , maximise green revenues and target companies that are po sitioned to benefit from the transition to the low - carbon economy based on their implied temperature rise . In addition, a negative and norms - based screen is applied to the portfolio of the Fund to screen out the following exclusion criteria: Controversial Weapons , UNGC Violations , Thermal Coal , Arctic Drilling , Oil Sands , Severe ESG Controversies , Civilian Firearms , and Tobacco
The Fund uses the following data sources: 1. ISS ESG and Net Purpose for climate related data 2. MSCI and Sustainalytics for ESG screens
State Street Investment Management implements an ongoing due diligence process in relation to ESG data providers resulting in regular data quality report s and may engage with the relevant data providers in relation to any data issues identified by the State Street Investment Management teams.
ESG data may be based on certain assumptions, forecasts, projections, views and opinions which may be based on current market trends or anticipated future events. Given the developing and innovative nature of data models, methodologies and assumptions and the inherent uncertainty in predicting forward - looking events, it cannot be guaranteed that the ESG data is always accurate or correct or that the ESG data will satisfy the aims or requirements of any specific client or investor. Furthermore, there may be data that cannot be sourced due to the lack of availability of data sources. For certain markets and types of companies or securities there may be significant limitations in the amount of screening data that is available or no screening data may be available such that no screening is performed. In certain situations where screening data is not available for a company or a security, the screen provider may, as a proxy, use data relating to a different entity to the company, which presents a risk this data m ay not accurately reflect the sustainability or other characteristics of the relevant company.
E ngagement policies are not directly embedded into the Fund’s investment strategy. Proxy voting and engagement activities are conducted pursuant to the terms of the Sustainability Steward ship Service Proxy Voting and Engagement Policy.
For further information and details please refer to the relevant sections below, the Prospectus and Relevant Supplement .
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Information Classification: Limited Access
B. No sustainable investment objective
The Fund promotes environmental or social characteristics and while it does not have as its objective a sustainable investment, it will seek to invest a minimum of 25% of its portfolio in sustainable investments under article 2(17) of SFDR using the Investment Manager’s proprietary assessment methodology .
The Investment Manager applies a negative and norms - based screen to the Fund to screen out securities based on an assessment of their adherence to ESG criteria including securities of companies identified as being non - compliant with UNGC Principles (relating to environmental protection, human rights, labour standards and anti - corrupti on) and securities of companies associated with Severe ESG Controversies, controversial weapons, civilian firearms, tobacco, thermal coal, arctic oil & gas exploration and oil sands extraction. By applying the relevant negative and norms - based screen, the Investment Manager deems the Fund’s sustainable investments not to cause significant harm to any environmental or social sustainable investment objective.
The Fund considers principal adverse impacts (“ PAI ”) on sustainability factors as part of the Climate Transition Equity Beta Strategy and by applying the negative and norms - based ESG screen s and climate transition targets prior to the construction of the portfolio. Specifically, the Fund considers:
• Greenhouse Gas emissions • Carbon footprint
• Greenhouse gas intensity of investee companies • Exposure to companies active in the fossil fuel sector • Share of non - renewable energy consumption and production • Violations of UN Global Compact Principles • Exposure to controversial weapons
The Fund excludes companies that the Investment Manager has deemed to violate UNGC principles as part of the negative screening utilised by the Fund. The OECD Guidelines for Multinational Enterprises and the UN Guiding Principles on Business and Human Righ ts are considered as part of the UNGC principles assessment.
C . Environmental or social characteristics of the financial product
The Fund promotes certain environmental characteristics through investments in companies that are on a clear path to climate transition and which exhibit lower carbon emissions in the way of current emissions and future emissions (measured by fossil fuel reserves), produce green revenues and are better positioned for the risks posed by climate change. In addition to this, further environment al and social characteristics are promoted by a negative and norms - based screen applied to the portfolio of the Fund to screen out securities based on an assessment of their adherence to ESG criteria, i.e. international norms in relation to environmental a nd social protection . Specifically, the Fund promotes certain environmental characteristics through exclusion of investments in companies which violate
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Information Classification: Limited Access
UNGC principles relating to environment (Principles 7 to 9) , companies associated with Severe ESG Controversies and which are active in thermal coal, arctic oil & gas exploration, and oil sands extraction.
The Fund also promotes certain social characteristics through exclusion of investments in companies which violate UNGC Principles relating to human rights Principles 1 and 2), labour standards (Principles 3 to 6), anti - corruption (Principle 10) and compani es associated with severe ESG controversies, controversial weapons, civilian firearms and tobacco. The UNGC Principles is the world largest corporate sustainability initiative aimed at companies to align their strategies and operations with universal princ iples on human rights, labour, environment and anti - corruption, and take actions that advance societal goals. The Fund may use additional ESG screen s from time to time in order to exclude securities based on their involvement with an activity that is deemed non compliant with one or more of such ESG criteria.
The Fund further promotes environmental and social characteristics through its allocation of a portion of the portfolio to sustainable investments. In order for the security to qualify as a sustainable investment, the company must be a “Leader” or “Outperf ormer” as determined by the Investment Manager using the ESG score generated b y its proprietary process.
For further details of the exclusions applied by the Investment Manager at any time please refer to Section G below.
D . Investment Strategy
The Investment Manager, on behalf of the Fund, will invest actively using the Climate Transition Equity Beta Strategy as further described in section 8.1 of the Prospectus and the Relevant Supplement and in Section J below. This strategy uses a systematic methodology to provide higher exposure (relative to the Index) to companies that are mitigating and adapting to clim ate risk and are on a clear path to climate transition using ITR .
In implementing this strategy, the Investment Manager employs a quantitative process to construct a portfolio of securities taking into account certain ESG factors such as: carbon intensity (emissions scaled by revenue ) , fossil fuel reserves , sensitivity to climate risks, implied temperature rise, climate value at risk , green revenues, brown revenues and ratings for carbon risk . The resulting portfolio of the Fund intends to provide higher exposure (relative to the Index ) to companies that are mitigating an d adapting to climate related risks and are on a clear path to climate transition using ITR . . The securities in the Fund are selected primarily from the constituents of the Index and the Investment Manager applies the negative and norms - based ESG screen s and climate transition targets prior to the construction of the portfolio of the Fund and on an ongoing basis.
Application of the ESG screens results in the exclusion of any securities from the portfolio based on an assessment of their adherence to certain ESG criteria defined by the Investment Manager. The Fund will screen out securities identified as being non - compliant with UNGC Principles relating to environmental protection, human rights, labour standards and anti - corruption , as well as companies associated with Severe ESG Controversies, controversial weapons , civilian firearms, tobacco, thermal coal, arctic oi l & gas exploration and oil sands extraction . The Fund may use additional ESG
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Information Classification: Limited Access
scree ns from time to time in order to exclude securities of issuers based on their involvement with an activity that is deemed non - compliant with one or more of such ESG criteria.
For the avoidance of doubt, the exclusions applied by the Fund are aligned with the Climate Transition Benchmark (CTB) exclusions contained in Article 12.(1)(a) - (c) of CDR (EU) 2020/1818, which are applied in the context of the ESMA Guidelines on funds’ na mes. The assessment of good governance practices is implemented through the negative screening utilised by the Fund. Companies deemed by the Investment Manager to not violate UNGC principles are considered to exhibit good governance.
E . Proportion of investments
The Investment Manager employs a binding ESG methodology which aims to build a portfolio where at least 90% of the Fund’s assets are invested in securities which are aligned with environmental and social characteristics promoted by the Fund. It is intended that, within such portion of the portfolio, at least 25% of the Fund’s assets are invested in securities which are sustainable investments with environmental and / or social objectives, at the point of rebalance of the portfolio which typically occurs on a quarterly basis. The remaining portion (<10%) of the portfolio, consisting of cash as well as cash equivalents in place held at the Investment Manager’s discretion, will not be aligned with the promoted environmental and social characteristics.
To the extent that the Fund may use financial derivative instruments, these will not be used to attain the environmental or social characteristics promoted by the Fund.
The Fund does not commit to making sustainable investments within the meaning of the Taxonomy Regulation.
F . Monitoring of environmental or social characteristics
The attainment of the environmental characteristics is measured through the higher exposure of the Fund’s portfolio (relative to the Index) to companies that are mitigating greenhouse gas emissions and adapting to climate related risks by constructing the portfolio that aims to:
a) M inimise carbon emission intensity (emissions scaled by revenue) , brown revenues and fossil fuel reserves , sensitivity to climate risks, climate value at risk; b) maximise green revenues; and c) target companies that are positioned to benefit from the transition to the low - carbon economy based on their implied temperature rise .
Implied Temperature Rise (ITR) compares the current and projected greenhouse gas emissions of each company against its carbon budget (as calculated by ISS ESG ). ISS ESG then calculates the carbon budget overshoot or undershoot, then converts it to an implied rise in global temperature. The Investment Manager uses a portfolio ITR as the Fund's climate transition pathway.
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Information Classification: Limited Access
The further attainment of the environmental characteristics is measured through the % of the portfolio invested in securities that are included in the negative and norms - based screen specifically related to environmental characteristics, namely companies v iolating UNGC principles in regards to the environment and which are active in thermal coal, arctic oil & gas exploration and oil sands extraction.
A further attainment of the social characteristics is measured through the % of the portfolio invested in securities that are included in the negative and norms - based screen specifically related to social characteristics, namely companies violating UNGC pr inciples and companies associated with controversial weapons, civilian firearms and tobacco.
The environmental and social characteristics are embedded in the investment policy of the Fund and the associated sustainability indicators are monitored by the Investment Manager through its investment oversight program including pre - and post - trade compl iance monitoring for ESG screens and regular reviews by a sub - committee of the Investment Manager.
G. Methodologies
The investment policy of the Fund is to invest in companies that are on a clear path to climate transition and which exhibit lower carbon emissions in the way of current emissions and future emissions (measured by fossil fuel reserves), produce green revenues, and are better positioned for the risks posed by climate change while screening out securities based on an assessment of their adherence to ESG criteria defined by the Investment Manager and described below. The Fund adopts a systematic approach that targets reductions in carbon emissions and reallocation of capital towards companies benefiting from low - carbon technologies. The Fund aims to achieve the following criteria in relation to the climate categories utilised in the portfolio construction process:
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Information Classification: Limited Access
ESG Screens
The ESG screens applied to the Fund include the following: 1. Controversial Weapons 2. UNGC Violations 3. Thermal Coal 4. Arctic Drilling 5. Oil Sands 6. Severe ESG Controversies 7. Civilian Firearms 8. Tobacco
Further details on the methodologies used for the ESG screens is as follows:
1. Controversial Weapons: The following types of weapons are covered by State Street Investment Management’s screen:
• Cluster munitions • Antipersonnel mines and land mines • Biological and chemical weapons • Nuclear Weapons
Dire ction Metric
Backward Looking
GHG intensity
CO 2 e Emissions per $m Revenues
Fossil Fuel Reserves
Embedded CO 2 e Emissions per $m EVIC
Brown Revenues
% Revenues from Fossil Fuel related activities
Green Revenues
% Revenues from low - carbon tech
Forward Looking
Climate Beta
Sensitivity to brown - green portfolio
Implied Temperature Rise
o C Implied temperature in 2050
Physical Risk
% financial value at risk
Carbon Risk Rating
Score on climate preparedness
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Information Classification: Limited Access
• Depleted Uranium • Incendiary weapons and white phosphorus • Blinding laser weapons • Non - detectable fragments
Indicator Definition Controversial weapons noted above for which: There is evidence of activity The weapon is a core weapon system or a core weapon activity The product has a dedicated scope The scope is key to the production of the weapon
The company is involved in the core weapon system, or components/ services of the core weapon system that are considered tailor - made and essential for the lethal use of the weapon.
Any controversial weapon for a subsidiary that the company has >= 50% ownership of
The company is involved, through corporate ownership, in the core weapon system, or components/services of the core weapon system that are considered tailor - made and essential for the lethal use of the weapon. Cluster Munitions Manufacturer = True
Companies that produce cluster munitions whole weapons systems, intended - use components, dual - use components, or delivery platforms. Land mines Manufacturer = True
Companies that produce whole weapons systems or essential intended or dual - use c o mponents for anti - personnel landmines and anti - vehicle landmines. Nuclear Weapons Manufacturer Maximum Revenue Percentage >= 10%
The company's reported revenue (or, where not disclosed, maximum estimated revenue) from nuclear weapons, intended and dual - use components for such products, delivery platforms capable of deploying nuclear weapons, essential components for such delivery platforms, and support services for such products as a percentage of total revenue in its most recently completed fiscal year. Depleted Uranium Manufacturer = True
Companies involved in the production of depleted uranium weapons, ammunition and armo u r. Incendiary Weapons (White Phosphorous) = True
Companies that produce incendiary weapons using white phosphorus.
Biological/Chemical Weapons Maximum Revenue Percentage >= 10%
The company’s reported revenue (or, where not disclosed, maximum estimated revenue) from the production of biological and chemical weapons and components for such products as a percentage of total revenue in its most recently completed fiscal year. Blinding laser weapons = True Companies that produce blinding laser weapons, that cause permanent blindness t Non - detectable fragments = True
Companies that produce weapons that use non - detectable fragments.
2. UNGC Principles : The UNGC is the world’s largest corporate sustainability initiative. It sets forth 10 responsible business principles for companies to follow. Companies who are in violation of the UNGC Principles are screened.
Human Rights
Principle 1: Businesses should support and respect the protection of internationally proclaimed human rights.
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Information Classification: Limited Access
Principle 2: They should make sure that they are not complicit in human rights abuses.
Labour
Principle 3: Businesses should uphold the freedom of association and the effective recognition of the right to collective bargaining.
Principle 4: They should promote the elimination of all forms of forced and compulsory labour.
Principle 5: They should endorse the effective abolition of child labour.
Principle 6: They should support the elimination of discrimination in respect of employment and occupation.
Environment
Principle 7: Businesses should support a precautionary approach to environmental challenges.
Principle 8: They should undertake initiatives to promote greater environmental responsibility.
Principle 9: They should encourage the development and diffusion of environmentally friendly technologies.
Anti - Corruption
Principle 10: Businesses should work against corruption in all its forms, including extortion and bribery.
Indicator Definition Global compact principles breached = Noncompliant
A company is assessed as Noncompliant when it is found to be responsible for egregious and severe violations of commonly accepted intern a tional norms related to human rights, labor rights, the environment and business ethics. In other words, a company is assessed as Noncompliant when it does not act in accordance with the UN Global Compact Principles and its associated standards, conventions and treaties. The data provider also assesses companies that facilitate third parties in human rights violations due to their involvement in weapons with disproportional and/or nondiscriminatory impact on citizens and society as Noncompliant (with Principle 2 of the UN Global Compact). However, this assessment is limited to companies involved in the production and development of antipersonnel mines, cluster munitions, and chemical and biological weapons, or producers of nuclear weapons who support their proliferation outside of the five designated nuclear states or who violate UN sanctions/ International Atomic Energy Age ncy rules.
3. Thermal Coal: Companies involved in the extraction or power generation of thermal coal are excluded.
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Indicator Definition Thermal Coal Extraction >=10% The company derives revenue from thermal coal extraction Thermal Coal Power Generation >=10%
The company derives revenue from generating electricity from thermal coal.
4. Arctic Drilling: Companies involved in oil and gas exploration in the Arctic regions are excluded.
Indicator Definition Arctic Oil and Gas Exploration , level of involvement >=10%
The company derives revenue from oil and gas exploration and extraction in the Arctic .
5. Oil Sands: Companies for whom a meaningful portion of their average daily production comes from oil sands are excluded.
Indicator Definition Oil Sands Extraction , level of involvement >=10%
The company derives revenue from the extraction of oil sands.
6. Severe ESG Controversies: Companies involved in incidents/events that may pose business or reputational risk due to the potential impact on stakeholders, the environment, or the company’s operations are excluded.
Indicator Definition Category 5 — Severe Controversies
The event has a severe impact on the environment and society, posing serious business risks to the company. This category represents exceptionally egregious corporate behavior, high frequency of recurrence of incidents, very poor management of sustainabili ty - related risks, and a demonstrated lack of willingness by the company to address such risks.
7. Civilian Firearms : Companies involved in the manufacturing and/or retailing of small arms and associated ammunition/components for civilian use are excluded.
Indicator Definition Small Arms, Civilian Customers, Assault Weapons , level of involvement >=10%
The company derives revenue from manufacturing and selling small arms to civilian customers .
Manufacture of key components, level of involvement >=10%
The company derives revenue from manufacturing and selling key components of small arms . Small Arms, Retail and Distribution of Assault Weapons , level of involvement >=10%
The company derives revenue from retailing and/or distribution of small arms .
Firearms Production Maximum Revenue >=10%
The company’s reported revenue (or, where not disclosed, maximum estimated revenue) from the production of firearms and small - arms ammunition intended for civilian markets as a percentage of total revenue in its most recently completed fiscal year. Firearms Retailer Maximum Revenue >=10%
The company’s reported revenue (or, where not disclosed, maximum estimated revenue) from the wholesale or retail distribution of firearms or small - arms ammunition intended for civilian use as a percentage of total revenue in its most recently completed fiscal year.
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8. Tobacco : Companies that are involved in the production, manufacturing, retailing and/or distribution of tobacco and tobacco - related products/services (including vaping, pipes and other related products) are excluded.
Indicator Definition Tobacco Production, Level of Involvement >=10%
The company derives revenue from the production of tobacco and tobacco - related products . Tobacco Production Maximum Revenue Percentage >= 10%
The company derives revenue from the distribution and/or retail sale of tobacco products. Tobacco products related products/services, level of involvement >= 25%
The company supplies tobacco - related products/services.
T obacco production maximum revenue >= 10%
The company’s reported revenue (or, where not disclosed, maximum estimated revenue)from the production of tobacco products as a percentage of total revenue in its most recently completed fiscal year. Tobacco products include nicotine containing products, including traditional and alternative tobacco smoking products. Tobacco retailer maximum revenue >= 25%
The company’s reported revenue (or, where not disclosed, maximum estimated revenue) from the retail of tobacco products as a percentage of total revenue in its most recently completed fiscal year. Tobacco products include nicotine - containing products, including traditional and alternative tobacco smoking products. Tobacco distributor maximum revenue >= 25%
The company’s reported revenue (or, where not disclosed, maximum estimated revenue) from the distribution of tobacco products as a percentage of total revenue in its most recently completed fiscal year. Tobacco products include nicotine containing products, including traditional and alternative tobacco smoking products.
The exclusion list generated by the ESG screening process is updated once per quarter .
The ESG screen methodology and screening criteria applied to the Fund are subject to State Street Investment Management ’s governance approval process .
H . Data sources and processing
The Fund utilises the following data sources related to climate: • Carbon Intensity: ISS ESG . Carbon intensity covers the GHG (Green House Gases) emissions over which the company has direct control (Scope 1) , and derives from energy use ( Scope 2 ), divided by revenue.
• Fossil Fuel Reserves Embedded Emissions: ISS ESG . Fossil Fuel Reserves are defined as total GHG emissions from proven and probable fossil fuel reserves expressed in million tons CO2 per $mn invested .
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• Brown Revenues: ISS ESG . Brown revenue is defined as the proportion of revenues a company derives from activities related to the extraction of fossil fuels, or power generation using fossil fuel - based energy sources. It reflects firms tied to conventional energy value chains. • Green Revenues: Net Purpose . Green revenues measure the revenue exposure of public companies in the transition to the green economy. • Implied Temperature Rise : ISS ESG . Provides an indication of how companies and investment portfolios align to global climate targets . • Carbon Risk Rating : ISS ESG . A bottom - up measure assessing climate risks and opportunities including their carbon footprint, and the management of their industry - specific carbon risks . • Physical Climate VaR: ISS ESG . Provides a forward - looking and return - based valuation assessment to measure physical climate change - related risks in an investment portfolio.
• Climate Beta: S tate Street Investment Management Proprietary Factor. This is a capital market - based metric to quantify Carbon Risks and Carbon Opportunities.
The Fund utilises the following data sources to derive the ESG screens:
Controversial Weapons State Street Investment Management receives universe - level data from two ESG screening data providers: Sustainalytics and MSCI . A screen is then applied to the data to generate lists from each data provider of excluded securities for this category. State Street Investment Management determines the parameters that define the screen which are then approved by the firm’s governance process. Companies are excluded if they appear on either or both of the lists from the two data providers.
UNGC Violations Data is sourced from Sustainalytics. A screen is then applied to the data to generate a list of excluded securities for this category. State Street Investment Management determines the parameters that define the screen which are then approved by the firm’s governance process.
Thermal Coal Data is sourced from Sustainalytics. A screen is then applied to the data to generate a list of excluded securities for this category. State Street Investment Management determines the parameters that define the screen which are then approved by the firm’s governance process.
Arctic Drilling Data is sourced from Sustainalytics. A screen is then applied to the data to generate a list of excluded securities for this category. State Street Investment Management determines the parameters that define the screen which are then approved by the firm’s governance process.
Oil Sands Data is sourced from Sustainalytics. A screen is then applied to the data to generate a list of excluded securities for this category. State Street Investment Management determines the parameters that define the screen which are then approved by the firm’s governance process.
Severe ESG Controversies Data is sourced from Sustainalytics. A screen is then applied to the data to generate a list of excluded securities for this category. State Street Investment Management determines the parameters that define the screen which are then approved by the firm’s governance process.
Civilian Firearms State Street Investment Management receives universe - level data from two ESG screening data providers: Sustainalytics and MSCI . A screen is then applied to the data to generate lists from each data provider of excluded securities for this category. State Street Investment
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Management determines the parameters that define the screen which are then approved by the firm’s governance process. Companies are excluded if they appear on either or both of the lists from the two data providers.
Tobacco State Street Investment Management receives universe - level data from two ESG screening data providers: Sustainalytics and MSCI . A screen is then applied to the data to generate lists from each data provider of excluded securities for this category. State Street Investment Management determines the parameters that define the screen which are then approved by the firm’s governance process. Companies are excluded if they appear on either or both of the lists from the two data providers .
State Street Investment Management receives sustainability data from a wide variety of data providers covering various themes including, but not limited to, climate, controversies and governance and leverages multisource data architecture for the analysis and dissemination of sustainability data .
State Street Investment Management implements an ongoing due diligence process in relation to sustainability data providers resulting in regular data quality reports. Such process tracks correlation and coverage dimensions of key sustainability and climate metrics and scores between a selection of data providers over time for the covered universe. State Street Investment Management may engage with the relevant data providers in relation to any data issues identified.
I. Limitations to methodologies and data
Sustainable investing data may be based on certain assumptions, forecasts, projections, views and opinions which may be based on current market trends or anticipated future events. To assess company involvement in different activities and to estimate reven ue shares as accurately as possible, data providers strive to obtain information directly from companies and issuers. Sources of data include annual reports, regulatory filings, sustainability reports, press releases, investor presentations, company websit es, and other company disclosures. Given the developing and innovative nature of data models, methodologies and assumptions and the inherent uncertainty in predicting forward - looking events, it cannot be guaranteed that the sustainable investing data is al ways accurate or correct or that the sustainable investing data will satisfy the aims or requirements of any specific client or investor. Furthermore, there may be data that cannot be sourced due to the lack of availability of data sources. For certain m arkets and types of issuers, companies or securities there may be significant limitations in the amount of sustainable investing data that is available or no sustainable investing data may be available such that no screening is performed. In certain situat ions where screening data is not available for an issuer, an investee company or a security, the screen provider may, as a proxy, use data relating to a different entity to the issuer or the investee company, which presents a risk this data may not accurat ely reflect the sustainability or other characteristics of the issuer or the investee company. In certain situations, even where screening data is available it may not be used as part of the screen provider’s screening process. It is not expected that suc h limitations would affect how the environmental and social characteristics promoted by the Fund are met given that sustainable investing data for developed market large and midcap equities is widely available.
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J. Due diligence
The Investment Manager, on behalf of the Fund, will invest actively using the Climate Transition Equity Beta Strategy as further described in section 8.1 of the Prospectus and the Relevant Supplement.
This strategy uses a systematic methodology to provide higher exposure (relative to the Index) to companies that are mitigating and adapting to climate risk, by constructing a portfolio of stocks based on the following climate characteristics: carbon intensity (emission s scaled by revenue), fossil fuel reserves , sensitivity to climate risks, implied temperature rise, climate value at risk , green revenues, brown revenues, and ratings for carbon risks. In following this strategy, the Investment Manager employ s a quantitative process to construct the portfolio and invest directly in equity securities. The securities in the portfolio are selected primarily from the securities in the Index. Non - index securities can be held in the portfolio subject to defined ris k parameters that mean that each Fund's weighting to countries, sectors and securities relative to the Index will be limited. The Investment Manager employs a negative and norms - based screen prior to the construction of the portfolio and on an ongoing bas is.
K . Engagement policies
Is engagement part of the environmental or social investment strategy?
☐ Yes
☒ No
While engagement policies are not directly embedded into the Fund’s investment strategy, proxy voting and engagement activities in respect of securities held by the Fund are conducted pursuant to the terms of the Sustainability Stewardship Service Proxy Voting and Engagement Policy (the “ Sustainability Policy ”). The Sustainability Policy focuses on risks and opportunities that may impact long - term value creation, with a focus on sustainability priorities such as climate change, nature, human rights and div ersity.
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L. Reference benchmark
Has a reference benchmark been designated for the purpose of attaining these characteristics promoted by the Fund?
☐ Yes ☒ No
The MSCI World Index is a trademark of MSCI Inc .
Truncated: This annotation is too large to fit.
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