The

Climate
Files
Case Studies on Climate-Thematic Equity
and Fixed Income Investment Solutions
Executive Summary

State Street Global Advisors has extensive experience

helping institutional investors integrate sustainability
requirements into their investments. New technology
and big data are creating tremendous opportunities for
investors while also disrupting conventional approaches
to portfolio management. We understand that our clients
view their sustainable investing objectives, and in turn
their portfolios, holistically and we look to enable the
integration of sustainable investing criteria, where desired,
across equity, fixed income and beyond.

Here we share insights and examples of climate-thematic

investment solutions that we have built and managed for
clients in recent years.

The data sources, metrics and thresholds used in the

examples are driven by the unique needs of the investor.

We look to provide clients with investment solutions and

customization capabilities that meet both their sustainable
investing needs today and their future ambitions.

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Contents
07 Equity Case Studies

08 Case Study 1: A Low-Carbon Tilted

and Sustainability-Screened Indexed
Equity Solution

09 Case Study 2: A Custom EU Climate

Transition Benchmark (CTB) with an MSCI
ESG Score Enhancement

10 Case Study 3: Ambition Evolution —

An Evolving Custom Manager Solution

12 Case Study 4: A Custom Manager Solution for

a Climate-Aligned MSCI ACWI Equity Strategy

13 Case Study 5: An Active Sustainable Climate

Approach in Emerging Markets Equities

14 Fixed Income Case Studies

15 Case Study 6: A Customized Climate Bond
Strategy for a European Pension Fund

17 Case Study 7: An Emerging Market Corporate

Custom Climate Bond Index Strategy

19 Case Study 8: A Customized Climate Bond

Strategy with Forward-Looking Metrics for a
Nordic Pension Fund

20 Case Study 9: A USD Investment Grade and

High Yield Custom Low-Carbon Bond Strategy

 3
Reaching the Right Solution
Diversity of investor ambition and objectives is a common
challenge implementers face when it comes to investing
propositions that integrate climate-related objectives.
Investors need a flexible range of solutions that can be
tailored to their requirements with the possibility to adapt
to incorporate new information and needs in the future.
The ability of an asset manager to develop flexible and
tailored solutions is crucial to meeting the variety of
unique needs and risks investors face.
State Street Global Advisors’ sustainable investing capabilities and solutions are driven by our
commitment to partnering with our clients. Our investment expertise, deep research, proprietary
tools and robust reporting help give our clients the information they need to achieve their goals
and invest with confidence.

While some investors have strong preferences for benchmarking their passive portfolio to a
third-party index (either via an off-the-shelf ESG index or customized version of an index with
sustainability objectives integrated into its design), others prefer what we call a Custom Manager
Solution. In a Custom Manager Solution the objectives are directly implemented into the portfolio
construction process via explicit restrictions and targets, while remaining benchmarked against a
standard or non-ESG index.

We employ an iterative, consultative process to partner with clients and help ensure all relevant
objectives and investment concerns are taken into consideration. The process includes inputs
from our specialized sustainable investing data team, trading, portfolio management, investment
strategists and risk management.

 4
 An Overview of Solutions
Whether an investor is seeking an equity or fixed income
solution, each approach has certain trade-offs to consider.

Third-Party Index Third-Party Index Custom Manager

Figure 1 (Standard) (Custom) Solution1
Solution Characteristics
Tracking Error vs Index2 Low Low Medium / High
Flexibility to Change Over Time Low Medium High
Variety of Sustainability Data Low Low High
Speed of Implementation High Medium Medium
Rebalance Frequency of Sustainability Data Rigid Rigid Flexible
Index Label Elegibile (e.g. EU PAB) Yes Yes No
Relative Cost3 Medium High Low

Source: State Street Global Advisors. July 2024.

Shading intensity relates to each factor (shown in the first column) and seeks to represent the option typically preferred
by institutional investors seeking an index-like strategy while incorporating sustainability objectives. The more intense the
shading, the more the option is commonly preferred; while the lighter the shading the less it is commonly preferred.

In our extensive experience working with sophisticated investors from around the world, the most
common reasons why investors opt for the Custom Manager Solution is the flexibility to customize
objectives and the ability to incorporate multiple data sources directly into the investment process
while still achieving a low tracking-error volatility to the reference benchmark.

Figure 2
Data Providers in SSGA’s Centralized
Sustainability Factor Database

General Climate/Carbon Governance Controversies & Sovereign

Business Involvement

ISS ESG Climate Bonds Initiative ISS Governance MSCI BISR MSCI ESG
Government Ratings
MSCI ESG Ratings FTSE LCE MSCI Governance MSCI Controversies
S&P Trucost
Moody’s Refinitiv MSCI Climate S&P Trucost Sustainalytics Product
Involvement Sustainalytics Country
Sustainalytics ISS Climate Risk Rating
ESG Risk Ratings Sustainalytics Global
Compact
Sustainalytics
Controversial
Weapons Radar

Source: State Street Global Advisors, July 2024.

 5
 The proprietary State Street Sustainable Climate Equity Strategy and State Street Sustainable
Climate Euro Corporate Bond Strategy are just some examples of the climate-thematic indexing
and smart beta investment solutions which we offer. Similarly, we also offer alpha-seeking
investment solutions such as the State Street Global Climate Transition Strategy a forward-
thinking high conviction portfolio that is managed by State Street’s Fundamental Growth and
Core team.

The table below showcases a range of climate-thematic investment solutions that we have built
and managed for clients in recent years.

In some instances we worked directly with an index provider to build a custom third-party index,
while other case studies focus on bespoke custom manager solutions that apply a flexible,
optimized structure utilising our multi-source sustainability data framework. The table below
provides a summary of the case studies included in this paper. These are examples provided for
illustrative purposes.

Figure 3
Case Study Examples of Customized
Climate-Thematic Investment Solutions

Case Case Case Case Case Case Case Case Case

Study 1 Study 2 Study 3 Study 4 Study 5 Study 6 Study 7 Study 8 Study 9
Asset Class Equity Equity Equity Equity Equity Bonds Bonds Bonds Bonds
Benchmark MSCI World MSCI ACWI MSCI World MSCI ACWI MSCI ICE Global JPM CEMBI Barclays US Barclays
CTB Emerging Corporate Corporate US IG & HY
Market Corporate
Approach Custom Custom Custom Custom Active Custom Custom Custom Custom
Manager Third-Party Manager Manager Custom Manager Third-Party Manager Manager
Solution Index Solution Solution Manager Solution Index Solution Solution
Solution
Carbon Reduction

YoY Carbon
Reduction
Forward-Looking
Metrics
Product
Involvement
(1) (4) (>5) (>5) (>5) (>5) (>5)
Screening
(#of screens)
Controversy
Screening
Sustainability Score
Enhancement
Other Client EU CTB Client Green Norwegian Green Bonds Green Bonds Green Bonds Client
Exclusion List Requirements Exclusion List Revenue Ministry of Exclusion List
Finance Client Country Client
Screen Exclusion List Exclusion Exclusion List
Policy

YoY = Year-on-Year; EU CTB = EU Climate Transition Benchmark

Source: State Street Global Advisors. July 2024.

 6
Case studies
based on equity
climate-thematic
investment
solutions.

 7
 Case Study 1
A Low-Carbon Tilted and Sustainability-Screened
Indexed Equity Solution for an Australian Pension Fund
Domestic and Global Indexed Equity Portfolios

Background An Australian pension fund approached State Street Global Advisors with a desire to better
align their domestic and international equity investment strategy with climate-conscious
objectives while adhering to stringent climate-related targets and tracking-error limits to a
strategic benchmark.

Approach Our team collaborated closely with the client to develop an approach that aligned with their
objectives using our proprietary low-carbon optimization model as well as our Product Involvement
and norm-based sustainability factor screening framework, known as the Point of View (POV), to
identify and exclude high carbon and controversial companies from the investment universe.

Solution
Implementation 1 Data Analysis and Scenario Modelling Using our proprietary data and
optimization models we conducted in-depth scenario analysis to explore
various trade-offs between tracking error and the desired sustainability
objectives. These scenarios were crucial in helping the client make an
informed decision regarding their preferred investment strategy.

2 Tailored Allocation Following extensive deliberation and scenario testing

the client opted for a nuanced allocation strategy that blended an exclusion
and tracking error optimization approach:

– Australian Equities: target a 20–25% reduction in carbon intensity with

minimal tracking of 20 basis points.

– MSCI World ex-Australia Equities: aiming for a relatively substantial 55%

reduction in carbon intensity while maintaining a comparable performance
tracking error to the strategic benchmark of 20 basis points.

3 Screening and Exclusions To ensure a comprehensive approach to

screening for controversial weapons exposures, the client desired to
complement their own screen with our own insights based on State Street
Global Advisors’ POV list.

Outcome Implemented in Q2 2023, the Australian pension fund successfully aligned its
investment strategy with ambitious climate goals while upholding financial performance objectives.

 8
 Case Study 2
A Custom EU Climate Transition Benchmark (CTB) with an
MSCI ESG Score Enhancement for a Dutch Pension Fund

Background A Dutch pension fund sought an indexed investment solution aligning with the EU Climate
Transition Benchmark (CTB) minimum requirements while also delivering an improvement in
sustainability score. Additionally, they required implanting a series of controversial product
involvement screening categories while minimizing tracking error.

Solution Based on the client objectives, we developed a custom variation of the MSCI World CTB Overlay
Implementation Index, employing an optimized approach. The solution includes:

• 30% carbon intensity reduction

• 7% year-over-year decarbonization
• CTB baseline exclusions (Controversial Weapons and Societal Norms Violations4)
• Additional exclusions: Arctic Drilling, Oil Sands, Thermal Coal, and Tobacco
• 20% improvement in the weighted-average MSCI ESG Score relative to the Parent Index
• Minimization of ex-ante tracking error versus the benchmark (≤1%)

Outcome The client seeded an index replication mandate in Q3 2023 tracking the custom
variation of the MSCI World CTB index. The client appreciated the efficient use of their risk budget
and felt confident that they could meet their sustainable investment objectives while adhering to
EU CTB standards. By optimizing the portfolio with minimized tracking error, the solution delivers
an efficient performance while meeting the investors observed stringent sustainability criteria.

 9
 Case Study 3
An Evolving Custom Manager Solution for a Dutch Pension
Fund’s MSCI World Indexed Equity Mandate

Background A Dutch pension fund who had initially used exclusions as a means of addressing their
sustainable investment objectives subsequently moved to an optimized sustainability
improvement strategy, and then later switched to a strategy that reduced the carbon intensity
profile of an existing index equity mandate benchmarked to the MSCI World Index while
maintaining a low tracking error (ex-ante & ex-post).

Solution Evolution and We developed a custom variation of the MSCI World CTB Overlay Index, employing an optimized
Implementation approach. The solution includes:

2020 2022 2023

Initial application of the client-specific Addition of a carbon intensity Transitioned to a stated 30% carbon
exclusion list and sustainability objective requiring the portfolio to intensity reduction versus the MSCI
improvement with an ex-ante tracking have the same or better carbon World Index.
error budget of 40 basis points versus intensity than the benchmark.
the MSCI World Index.

Outcome At each stage we conducted a series of point-in-time analysis to understand the trade-
offs between risk and the sustainability objectives. See figure 4 overleaf which examines each
sustainability metric in isolation and how the change in the variable target for that metric affects
the ex-ante tracking error of the portfolio against the standard benchmark. The first column shows
portfolios where there is no improvement required, however as you move further to the right there is a
gradual increase in the associated reduction targets and the observed tracking error rises as a result.

What is important to note from the analysis is that the tracking error does not rise for all metrics at
the same rate. While not all the metrics shown in figure 4 were used in the final solution, the iterative
approach and adaptability of the framework allowed for the ongoing refinement of the investment
solution to ensure ongoing alignment to the client’s evolving sustainable investing goals.

By balancing sustainability profile enhancement, carbon intensity reduction, and tracking error
management, the solution continued to achieve multiple objectives efficiently and effectively.

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Figure 4
Tracking Error (ex-ante) of Portfolios with Varying
Targets benchmarked against the MSCI World Index

Climate Target 0% -10% -20% -30% -40% -50% -60% -70% -80% -90% -100%
Reduction
Carbon Intensity 0.11 0.11 0.12 0.12 0.14 0.18 0.25 0.38 0.88
Brown Revenue 0.11 0.12 0.12 0.14 0.15 0.18 0.20 0.24 0.29 0.39
Fossil Fuel Reserves 0.11 0.11 0.11 0.12 0.12 0.12 0.13 0.14 0.16 0.19 0.23
Climate Value-at-Risk 0.11 0.12 0.13 0.14 0.16 0.19 0.22 0.26 0.30 0.35 0.40

Green Revenue 0% 50% 100% 150% 200% 250% 300% 350% 400% 450% 500%
Improvement
Green Revenue 0.11 0.13 0.17 0.23 0.30 0.38 0.49 0.62 0.79 1.12

Climate Beta 0.00% -0.05% -0.10% -0.15% -0.20% -0.25% -0.30% -0.35% -0.40% -0.45% -0.50%
Improvement
Climate Beta* 0.11 0.12 0.14 0.17 0.21 0.25 0.29 0.35 0.40 0.46 0.52

Climate Target 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50%
Improvement
Carbon Risk Rating 0.11 0.14 0.25 0.41 0.63 0.91 1.40
Implied Temperature Risk 0.11 0.12 0.16 0.21 0.29 0.39 0.56 0.99

Lowest tracking error Highest Tracking error

Source: State Street Global Advisors. Data as of December 2023. Chart for illustrative purposes.
*Climate Beta Scores are from March 2023

 11
 Case Study 4
A Custom Manager Solution for a Climate-Aligned MSCI
ACWI Equity Strategy

Background A UK intermediary desired a Custom Manager Solution that applied a mitigation and
adaptation approach to climate investing while seeking an improvement in the sustainability
profile of the portfolio.

Solution The investor utilized our State Street Sustainable Climate Equity Strategy as a base and tailored
Implementation the parameters to meet their specific risk budget and incorporate a custom exclusion list. The
client targeted an ex-ante risk of 0.50% relative to the MSCI ACWI Index.

• Custom exclusions including Thermal Coal, Arctic Drilling, Oil Sands, Controversial Weapons,
Violations of UN Global Compact Principles, and Severe ESG Controversies.

• Climate Constraints:
— Fossil Fuels ≤ 50% vs parent index
— Brown Revenues ≤ 50% vs parent index
— Green Revenue ≥ 100% vs parent index
— Adaptation Score ≥ 0.15 (Z-score) vs parent index

• Sustainability Score Enhancement: State Street Global Advisors’ R-Factor Score ≥ 0.15
(Z-score) vs parent index

Outcome We successfully implemented the customized version of the State Street Sustainable
Climate Equity Strategy in December 2021 with an initial investment of $6 billion. The client highly
valued that we had a live track record of a strategy that could be adjusted to their parameters
and risk budget.

 12
 Case Study 5
An Active Sustainable Climate Approach in Emerging
Markets Equities

Background Investors in an existing State Street Emerging Markets Enhanced SRI Strategy, which applied a
few product involvement and sustainable controversy screens, were seeking a more direct way to
target climate exposures whilst still keeping the attractive risk-and-return characteristics of our
Enhanced approach.

The Sustainable Climate Emerging Markets Enhanced Equity Strategy approach creates low-
tracking-error active portfolios that operate at a highly efficient part of the risk/return continuum
and incorporate an outperformance target of 0.75% to 1.00% against the MSCI Emerging
Markets Index. This approach has proven particularly attractive in Emerging Markets — where pure
indexation is difficult due to market access complexities, higher trading costs, illiquidity and higher
turnover around index reconstitutions; all of which can be key drivers for unnecessary tracking
error. The Enhanced approach may take modest additional tracking error to indexation, but does so
with an explicit alpha-seeking intention.

The challenge we faced was to maintain the attractive risk-and-return characteristics of the
Enhanced approach whilst incorporating additional climate-related objectives into the portfolio
construction.

Solution The approach entailed incorporating the components of the standard State Street Sustainable
Implementation Climate Equity Strategy into the Enhanced portfolio construction approach. The elements we
looked to control were:

• Reduce Carbon Intensity relative to the benchmark index

• Reduce Fossil Fuel Reserves relative to the benchmark index
• Reduce Brown Revenues relative to the benchmark index
• Increase Green Revenues relative to the benchmark index

Our research goal was to determine whether the unique risk-and-return advantages of enhanced
management could be maintained when climate objectives were integrated within our existing
framework — to create an information ratio and carbon-efficient approach. By utilising the natural
active risk within the Enhanced framework, we were able to integrate the climate objectives with
only a marginal change in the overall tracking error relative to the strategic benchmark. Importantly,
we were able to achieve all these objectives without meaningfully diminishing our return
expectations or taking significantly larger country or sector positions relative to the benchmark
than we take in the base strategy.

Outcome We successfully implemented the new approach to the State Street Sustainable Climate
Emerging Markets Enhanced Equity Strategy in July 2022. Taking a modest increase in tracking
error relative to that inherent in indexation in Emerging Markets, should allow the strategy to use the
active risk in an alpha-seeking way to deliver on all three of the risk, return, and climate objectives.
From August 2022 to the end of June 2024, the strategy has outperformed its benchmark, the MSCI
Emerging Markets Index, by 0.92% per annum and in line with our long-term expectations.*

*6
 -month, 1-year and Since Inception performance is 8.27%, 13.81% and 8%, respectively. Performance shown is net of
fees. Performance returns for periods of less than one year are not annualized. The performance includes the reinvestment of
dividends and other corporate earnings and is calculated in US dollars.

 13
Case studies
based on
fixed income
climate-thematic
investment
solutions.

 14
 Case Study 6
A Customized Climate Bond Strategy for a European
Pension Fund

Background An institutional investor wished to move from an active to a passive global corporate bond
portfolio while maintaining their ICE Global Corporate Custom Bond Index with tailored sector
exposures. They sought to integrate a comprehensive and targeted set of sustainable and
climate-themed objectives into the investment strategy, while maintaining a low tracking error
against the strategic benchmark.

Solution Using a modified version of the State Street Sustainable Climate Corporate Bond Strategy
Implementation Framework this was then adjusted with the following key customizations to align with the
client objectives:

• Climate 30% carbon reduction by 31 December 2024, with a then ongoing 7.6% year-on-
year decarbonization pathway.

• Green Bonds Increase allocation to Green Bonds by more than 200% that of the weight in
the benchmark.

• Exclusions Exclusion list provided by the client quarterly and complemented by State
Street Global Advisors’ proprietary data analytics and a negative screening framework,
using a selection of Product Involvement and Controversy Factors from the Point of
View (POV) to identify and exclude high carbon and controversial companies from the
investment universe.

• Risk Rating The portfolio’s sustainability risk rating must be equal to or greater than that of
the benchmark.

• Flexibility Ability to adjust restrictions, targets and inputs as and when required by the investor.

• Overweight/Underweight Constraints The client required ICE sub-sector level 2 relative

to benchmark limits of 3% overweight/underweight as well as an issuer max 1% overweight
constraint versus the benchmark.

Outcome We successfully launched the strategy with an initial €650 million investment in
November 2022, based on a tailored version of the State Street Sustainable Climate Corporate
Bond Strategy using specific data sources to align with the client’s own data sources used for risk
oversight, research and reporting purposes. We have been working with the investor to gradually
incorporate the carbon reduction glide path as illustrated in figure 5 overleaf.

 15
 250 Weighted Average Carbon Intensity (CO2e Emissions per $m Revenue)
Figure 5
Portfolio Weighted
Average Carbon 200

Intensity Reduction
Glidepath 150

 Projected Path March 2024

100 134.74
 Actual Portfolio

50

0
2020 2025 2030 2035 2040 2045 2050

Source: State Street Global Advisors. 29th March 2024. Chart for illustrative purposes only.
Projections are based on estimates and reflect subjective judgments and assumptions. There can be no assurance that
developments will transpire as forecasted and that the estimates are accurate.

 16
 Case Study 7
An Emerging Market Corporate Custom Climate Bond
Index Strategy

Background The client wished to switch their Emerging Market corporate bond strategy from an active to an
indexed mandate, while also incorporating a customized version of the State Street Sustainable
Climate Corporate Bond Framework into the index construction.

Solution Using our proprietary data and optimization models we conducted in-depth analysis to explore
Implementation data coverage and the various trade-offs between tracking error and the desired sustainability
objectives. These scenarios were crucial in helping the client make informed decisions regarding
their investment strategy. Once the preferred framework had been identified the index provider
(JP Morgan) incorporated these into an index which could be systematically supplied to the client
and the portfolio manager.

Starting with the JP Morgan CEMBI Broad Diversified Benchmark as the parent index, this was
customized based on the following parameters:

1 Climate 50% carbon reduction versus the benchmark.

2 Controversy & Business Involvement Screening On a quarterly basis the client updates
their exclusion list which includes Controversial Weapons, Civilian Firearms, Oil Sands,
Shale Gas, Thermal Coal, and Tobacco. State Street Global Advisors also provides a
secondary screening check for these sustainability factors using the data sources and
thresholds in our POV.

3 Country Policy Avoid investments in companies and governments which breach the
investor’s country policy, with a minimum threshold of 50% of share capital for state-
owned companies.

Outcome We worked closely with the client to transition the portfolio from the legacy exposure
into the new custom climate strategy which incepted in June 2023 with €650 million. Through our
ongoing value-add stratified sampling approach, including the advantage of new corporate issues
and corporate action participation, we have been able to further lower the tracking error volatility
(TEV) to around 12 basis points, as demonstrated in Figure 6.

 17
 60 bps
Figure 6
Tracking Error of the
50
Emerging Market
Corporate Custom
40
Climate Bond Index
Strategy 30

20

10

0
Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
2023 2024

Source: State Street Global Advisors, FactSet. As of 29 March 2024.

 18
 Case Study 8
A Customized Climate Bond Strategy with Forward-
Looking Metrics for a Nordic Pension Fund

Background An institutional investor sought to align its existing US corporate bond indexed strategy
(benchmarked to the Bloomberg US Corporate Bond 1% Index) with a robust sustainable
investing framework that incorporated both forward- and backward-looking metrics into a
customized version of the State Street Sustainable Climate Corporate Bond Strategy.

Solution Starting in Q4 2023, we worked with the investor to run simulations in applying a climate
Implementation investment framework, in addition to their core exclusion list, on an existing portfolio
benchmarked to the Bloomberg US Corporate Bond Index with a 1% issuer cap.

In Q1 2024, we worked to advance the framework further by incorporating forward-looking

metrics. The final implementation was based on a customized version of the State Street
Sustainable Climate Corporate Bond 2.0 Strategy, integrating forward-looking climate-related
metrics through a proprietary optimization engine. Key features of the strategy design included:

1 Climate
— 50% Scope 1 & 2 carbon intensity reduction versus the benchmark with annual 7.6% YoY
reduction kicking in from 2030.
— Minimize fossil fuel reserves & brown revenue
— Implied temperature rise target of ≤2°C
— Carbon risk rating assessment

2 Exclusions The screened factors included:

— Controversies (Violations of UN Global Compact Principles and Severe ESG
Controversies)
— Business Involvement (Civilian Firearms, Controversial Weapons, Thermal Coal, Arctic Oil
& Gas, Oil Sands, Tobacco)

3 Green Bond The strategy overweighted green bonds by 2x the benchmark weight.

To bring the standard indexed strategy in line with the new custom climate framework required
an approximately 30% turnover over 5 days, bringing the current mandate into line with our
upgraded climate framework, ensuring best execution, minimizing trading costs and staying well
within the 50 basis points tracking-error tolerance level.

Outcome We were able to identify and respond to the need of the client for climate integration and
could offer our improved climate framework at the appropriate time. In April 2024, the customized
climate bond strategy successfully aligned the Nordic pension fund’s investment approach with
its sustainability framework, while also meeting its financial objectives. By incorporating forward-
looking metrics and stringent screening criteria, the strategy aligned to the client’s commitment to
sustainable investing and desire to mitigate climate-related risks. The use of green bonds further
enhanced the portfolio’s exposure to assets expected to be more climate-resilient and contributing
to a lower-carbon economy.

 19
 Case Study 9
A USD Investment Grade and High Yield Custom
Low-Carbon Bond Strategy

Background A Swiss pension fund sought to align its internally- and externally-managed portfolios across
various asset classes with a consistent sustainability and climate-thematic framework, while
maintaining a low tracking error to the strategic benchmarks (consisting of the Bloomberg US
Corporate Bond Index and the Bloomberg US High Yield Index).

Solution Research started with a number of focused workshops and meetings involving scenario testing
Implementation and with a broad range of possible metrics including:

• Policy Value-at-Risk (VaR) improvement compared to standard benchmark5

• Technology VaR improvement compared to standard benchmark6
• Physical VaR improvement to standard benchmark7
• Low Carbon Transition score improvement to standard benchmark

Following extensive deliberation and scenario testing, the client opted for a nuanced allocation
strategy based on a variation of the State Street Low-Carbon Corporate Bond Framework,
specifically targeting the following factors:

1 Climate 40% carbon intensity reduction versus the benchmark.

2 Exclusion List A client-specific custom exclusion list.

Outcome The client chose State Street Global Advisors as the preferred manager, recognizing
the flexibility in the custom investment solution framework, experience in managing climate-
thematic solutions, as well as its efficient and value-adding indexed fixed income approach. The
mandate is due to seed in the second half of 2024.

 20
 Sustainable Investing at
State Street Global Advisors
State Street’s multi-source data architecture, along with our own insights in the field of sustainable
investing, gives flexibility in data application. The data sources and metrics used in the examples
provided vary considerably and are driven by the unique needs of the investor.

We are a global-scaled index and systematic investment manager with strengths in index
investing (both institutional and ETFs), cash, and select active and multi-asset capabilities
— underpinned by a spectrum of sustainable investing capabilities. Providing our clients with
a range of investment solutions and customization capabilities that cater to their sustainable
investing needs is a key pillar of our sustainable investing strategy.

Sustainable investing is a core pillar of our business and a key strategic initiative for the firm,
and we have built extensive experience, resources and expertise into our sustainable investing
solutions for clients. We continue to add resources to both the Sustainable Investing and Asset
Stewardship teams across the organization, as well as collaborating with a broad range of
partners, helping us remain at the forefront of sustainable investing and to continually enhance
best-practice frameworks.

Whether clients are focused on risk management, responding to new regulations, making
investments that align with their values, or seeking to enhance long-term performance, our
capabilities can support clients in achieving their sustainable investing objectives.

Get in Touch To learn more about how our climate-focused strategies could help you meet your investment goals
please contact your State Street Global Advisors representative or email us at: SSGA Insights

 21
Endnotes 1 A passive investment solution which is typically 5 A company’s aggregated downside policy risk exposure
benchmarked to a third-party index but which applies according to all emission sources (Scope 1, 2, 3),
fund/portfolio level guidelines, restrictions and targets expressed as a percentage of the company’s market
based on sustainable investment objectives. value, assuming a global specified temperature target
and using carbon prices from the REMIND model under
2 The index is the benchmark used for standard the NGFS Orderly scenario.
performance and reporting purposes.
6 A company’s upside technology opportunity exposure,
3 It is not uncommon for an index provider to charge an expressed as a percentage of the company’s market
additional fee for the integration of ESG data into the value capped at 100%, assuming a global specified
index design. In some instances the index provider may temperature target and calculated using carbon prices
even apply an asset benchmark driven fee. from the REMIND model under the NGFS Orderly
scenario.
4 Societal norms include UNGC Principles, OECD
Guidelines for Multinational Enterprises and the six 7 A company’s expected downside or upside potential,
Environmental Objectives: 1) climate change mitigation; expressed as a percentage of the company’s market
2) climate change adaptation; 3) sustainable use and value, assuming trends in extreme cold, extreme heat,
protection of water and marine resources; 4) transition extreme precipitation, heavy snowfall, extreme wind,
to a circular economy, waste prevention and recycling; coastal flooding, fluvial flooding, tropical cyclones,
5) pollution prevention and control; 6) protection of river low flow and wildfires continue along the specified
healthy ecosystems. temperature target REMIND Orderly scenario.

 22
ssga.com whose registered office is at 78 Sir John individual circumstances and investment goals. The returns on a portfolio of securities which
Rogerson’s Quay, Dublin 2. Hong Kong: State The above targets are estimates based on exclude companies that do not meet the
Important Information Street Global Advisors Asia Limited, 68/F, Two certain assumptions and analysis made by portfolio’s specified sustainable investment
International Finance Centre, 8 Finance Street, State Street Global Advisors. There is no criteria may trail the returns on a portfolio of
Information Classification: General Central, Hong Kong. T: +852 2103-0288. F: +852 guarantee that the estimates will be achieved. securities which include such companies. A
2103-0200. Ireland: State Street Global Advisors portfolio’s sustainable investment criteria may
For institutional / professional investors Europe Limited is regulated by the Central Bank Investing involves risk including the risk of result in the portfolio investing in industry
use only. of Ireland. Registered office address 78 Sir John loss of principal. sectors or securities which underperform the
Rogerson’s Quay, Dublin 2. Registered Number: market as a whole.
Marketing Communication 49934. T: +353 (0)1 776 3000. F: +353 (0)1 776 The information provided does not constitute
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holder of an Australian Financial Services License Rogerson’s Quay, Dublin 2. State Street Global
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Australia. T: +612 9240-7600. F: +612 9240-7611. number 11871450968, and its office is located at believed to be reliable, but its accuracy is not fluctuation in currency values, withholding
Belgium: State Street Global Advisors Belgium, Via Ferrante Aporti, 10 - 20125 Milan, Italy. guaranteed. There is no representation or taxes, from differences in generally accepted
Chaussée de La Hulpe 185, 1170 Brussels, T: +39 02 32066 100. F: +39 02 32066 155. warranty as to the current accuracy, reliability accounting principles or from economic or
Belgium. T: +32 2 663 2036. State Street Global Japan: State Street Global Advisors (Japan) Co., or completeness of, nor liability for, decisions political instability in other nations.
Advisors Belgium is a branch office of State Ltd., Toranomon Hills Mori Tower 25F 1-23-1 based on such information and it should not be
Street Global Advisors Europe Limited, registered Toranomon, Minato-ku, Tokyo 105-6325 Japan. relied on as such. Investments in emerging or developing markets
in Ireland with company number 49934, T: +81-3-4530-7380. Financial Instruments may be more volatile and less liquid than
authorised and regulated by the Central Bank of Business Operator, Kanto Local Financial Bureau The information contained in this investing in developed markets and may involve
Ireland, and whose registered office is at 78 Sir (Kinsho #345), Membership: Japan Investment communication is not a research exposure to economic structures that are
John Rogerson’s Quay, Dublin 2. Canada: State Advisers Association, The Investment Trust recommendation or ‘investment research’ generally less diverse and mature and to
Street Global Advisors, Ltd., 1981 McGill College Association, Japan, Japan Securities Dealers’ and is classified as a ‘Marketing political systems which have less stability than
Avenue, Suite 500, Montreal, Qc, H3A 3A8, Association. Netherlands: State Street Global Communication’ in accordance with the those of more developed countries.
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in Ireland with company number 49934, Beethovenstr. 19, CH-8027 Zurich. Registered rely on this communication. SSGA’s express written consent.
authorised and regulated by the Central Bank of with the Register of Commerce Zurich CHE-
Ireland, and whose registered office is at 78 Sir 105.078.458. T: +41 (0)44 245 70 00. F: +41 (0)44 The views expressed are the views of the State This document provides summary
John Rogerson’s Quay, Dublin 2. State Street 245 70 16. United Kingdom: State Street Global Street Global Advisors Sustainable Investing information regarding the Strategy. This
Global Advisors France is registered in France Advisors Limited. Authorised and regulated by Strategy Team through June 30, 2024, and are document should be read in conjunction
with company number RCS Nanterre 899 183 the Financial Conduct Authority. Registered in subject to change based on market and other with the Strategy’s Disclosure Document,
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du Général de Gaulle, 92 931 Paris La Défense Canary Wharf, London, E14 5HJ. T: 020 3395 statements. Please note that any such information about the Strategy, including a
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45 41 92. Germany: State Street Global Advisors Street Global Advisors, 1 Iron Street, Boston, MA performance, and actual results or developments
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Advisors Europe Limited, registered in Ireland The case studies presented above are for they represent the performance of any
with company number 49934, authorised and illustrative purposes only, actual results could particular investment.
regulated by the Central Bank of Ireland, and differ substantially based on the investors

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