The Index is designed to meet the requirements set out for EU Paris-aligned Benchmarks in the Commission Delegated Regulation (EU) 2020/1818 supplementing Regulation (EU) 2016/1011 of the European Parliament and European Council with regards to the minimum standards for EU Climate Transition Benchmarks and EU Paris-aligned Benchmarks in order to be designated as an EU Paris-aligned Benchmark.

The Index applies the following exclusions:

Exclusion Guidelines based on the requirements under the PAB Regulation:

• companies involved in any activities related to controversial weapons;
• companies involved in the cultivation and production of tobacco;
• companies in violation of the United Nations Global Compact (UNGC) principles or the OECD guidelines for multinational enterprises;
• companies deriving a percentage of their revenues in excess of the threshold determined by the Index Provider from any of the following activities:
• exploration, mining, extraction, distribution or refining of hard coal and lignite;
• exploration, extraction, distribution or refining of fossil fuels;
• exploration, extraction, manufacturing or distribution of gaseous fuels;
• electricity generation with a greenhouse gas ("GHG") intensity in excess of a level determined by the Index Provider.

Additional Exclusion Guidelines:

• companies deriving revenue from the mining of thermal coal and its sale to external parties;
• companies deriving revenue from unconventional oil and gas;
• companies with material stranded assets;
• companies deriving a percentage of their revenues from environmentally harmful activities (as determined by the Index methodology document), in excess of the threshold determined by the Index Provider;
• companies not conforming to minimum standards of business practice as determined by the Index Provider.

The Sustainability Committee constructs the list of stocks that are not excluded by the Exclusion Guidelines such that they follow the required decarbonisation trajectory (i.e. a minimum annual reduction in emissions). In addition, a weighting adjustment is applied in order to ensure that the aggregate weight of sectors that should actively reduce GHG emissions should not be less than the aggregate weight of these sectors in the Underlying Universe.

The Index Provider, Foxberry Ltd, determines the constituents of the Index. Further information on the index methodology can be found at: https://www.foxberry.com/about/sustainability_committee and https://www.foxberry.com/governance/sustainability_committee/Foxberry_Sustainability_Committee.pdf

The Fund does not invest a minimum amount in economic activities that qualify as environmentally sustainable under the Taxonomy Regulation.

The Fund is a financial product subject to Article 9(3) of SFDR with an objective of low carbon emission exposure in view of achieving the long-term global warming objectives of the Paris Agreement (“Paris-aligned Objective”). Whilst the Fund does not commit to a minimum proportion of its portfolio in sustainable investments, it is expected to have a higher proportion of sustainable investments than the broad market index which does not have a Paris-aligned Objective.

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 10: Companies violating UNGC/OECD
• PAI 14: Controversial weapons