portfolio carbon footprint

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1 portfolio carbon footprint CONTENTS summary information 2 detailed findings 3 sector analysis 4 sector allocation & stock selection effect 5 largest carbon contributors to the portfolio's carbon footprint 6 environmental skylines for largest two contributors 8 company reporting assessment 9 detailed data for companies in your portfolio 10 next steps 25 NCF - S&P 500 ex Tobacco footprint analysis quantifies greenhouse gas emissions (GHG) embedded within the portfolio presenting these as tonnes of carbon dioxide equivalents (tco2e). Comparing the total GHG emissions of each holding relative to annual revenue, gives a measure of carbon intensity that enables comparison between companies, irrespective of size or geography. The carbon footprint is an analysis of the GHG embedded within the portfolio. This is achieved by carrying out a carbon footprint for each individual holding encapsulating both direct and first tier indirect impacts. Direct emissions result from a company s own operations and include GHG emissions from boilers and company PORTFOLIO: BENCHMARK: owned vehicles, emissions from any manufacturing operations and waste produced. First tier indirect impacts, also termed supply chain impacts, occur because of the goods or services a company procures. This includes purchased electricity, business travel and logistics. NCF - S&P 500 ex Tobacco S&P500 ex Tobacco DATE OF HOLDINGS: August 31, 2015 DATE OF ANALYSIS: September 24, 2015 Each holding s contribution to the carbon footprint of the portfolio is calculated on an equity ownership basis. The carbon footprint of the fund is the sum of these contributions, normalized by revenue owned.

2 2 CARBON FOOTPRINT analysis measures the carbon risks and opportunities not captured by standard portfolio analysis and presents a systematic assessment of carbon impacts relative to your benchmark NCF - S&P 500 ex Tobacco 1 Summary Information footprint analysis was carried out on 24 September 2015 for holdings data as at 31 August The benchmark used for this analysis was the S&P500 ex Tobacco. Number of Companies Value of Holdings ($ mn) Total Emissions (tco2e) Total , , The carbon footprint of the portfolio is compared to the benchmark which is The portfolio is 0.57% less carbon intensive than its benchmark, S&P500 ex Tobacco. KEY FINDINGS The portfolio is 0.57% less carbon intensive than S&P500 ex Tobacco benchmark. This efficiency is due to a combination of 0.95% positive sector allocation effects and 0.39% negative stock selection effects. In aggregate the carbon exposure of the fund is equivalent to 0.94 the aggregate turnover of the fund. To give context to the carbon performance, the portfolio has been compared to some key indices. carbon exposure relative to benchmarks has been assessed based on an average annual price of $36 The price of carbon used in the Trucost model is based on academic research into the external damage costs of carbon emissions.

3 3 2 Detailed Findings The two principal reasons why the carbon exposure of the portfolio may differ from the benchmark are due to sector allocation decisions and stock allocation decisions. Sector allocation decisions will cause the carbon intensity of the portfolio to diverge markedly from the benchmark where the sector/s are either carbon intensive or low carbon. If the portfolio is overweight in carbon intensive sectors the portfolio is likely to be more carbon intensive than the benchmark. However, if the stocks within a carbon intensive sector are the most carbon efficient companies, it is possible that the portfolio may still have a lower carbon footprint than the benchmark. Trucost has developed a carbon optimisation product that can help minimise the carbon footprint associated with a portfolio. For more information, please go to Summary of Stock and Sector Allocation Effects Sector (tco2e/$mn revenue) Attribution Sector Allocation Stock Selection Total Effect Automobiles & Parts 1.02 % 1.02 % % 0.00 % 0.01 % Banks 6.27 % 6.35 % % 0.00 % % Basic Resources 0.40 % 0.40 % 1, , % 0.09 % 0.11 % Chemicals 1.86 % 1.88 % % 0.01 % 0.06 % Construction & Materials 0.42 % 0.41 % % % % Financial Services 5.12 % 5.15 % % % % Food & Beverage 4.01 % 4.05 % % 0.02 % 0.05 % Healthcare % % % 0.03 % 0.05 % Industrial Goods & Services % % % 0.03 % 0.04 % Insurance 4.24 % 4.29 % % 0.00 % % Media 3.39 % 3.34 % % % 0.03 % Oil & Gas 6.91 % 7.21 % % 0.08 % 0.25 % Personal & Household Goods 3.62 % 3.65 % % % % Real Estate 2.64 % 2.65 % % 0.00 % 0.00 % Retail 8.31 % 8.25 % % % 0.16 % Technology % % % % 0.01 % Telecommunications 2.49 % 2.50 % % 0.00 % % Travel & Leisure 3.11 % 2.87 % % % % Utilities 3.13 % 3.19 % 3, , % 0.05 % 1.00 % Total The portfolio is 0.57% less carbon intensive than the benchmark % % % % 0.57 % The sector allocation results in the portfolio being 0.95% more carbon efficient than the benchmark. This is offset by the stock selection however, which is 0.39% more carbon intensive than the benchmark. In aggregate, the two sectors that have the greatest positive effect on carbon efficiency are Utilities and Oil & Gas, which together contribute 1.25 the increased carbon efficiency. The two worst performing sectors in the portfolio are Travel & Leisure and Insurance, which contribute to 1.1 reduced carbon efficiency.

4 4 3 Sector Analysis The graphs below show how the sector allocation in the portfolio differs from that in the benchmark and the effect on the of the fund. The four sectors that contribute the highest levels of carbon intensity to the portfolio are Utilities (3,471 tco2e/$mn), Basic Resources (1,394 tco2e/$mn), Chemicals (756 tco2e/$mn), and Travel & Leisure (598 tco2e/$mn). Sectors have been defined using the Industry Classification (ICB) system at the super sector level. Sector Analysis sector weighting of portfolio and benchmark in % terms sector weighting (%) Of and by sector (tco2e/$mn revenue) footprint (tco2e/$mn revenue)

5 5 4 Sector Allocation & Stock Selection Effect This graph analyzes the sector allocation effect on the carbon footprint of the portfolio. Sector Allocation Effect portfolio relative to benchmark If the bar is negative, you are more heavily invested in a carbon intensive sector than the benchmark, or you are underweight in a carbon "light" sector. The reverse is true if the bar is positive. sector allocation (%) This graph shows the effect of stock selection within sectors on the carbon footprint of the portfolio relative to the benchmark. Stock Selection Effect portfolio relative to benchmark If the bar is positive, you are invested in companies that are less carbon intensive relative to peers within their benchmark sector. If the bar is negative, you are invested in more carbon intensive companies within sectors. stock selection (%) efficiency can be used as a proxy for efficient management of a company. Therefore you may want to see how companies in your fund rank within their sectors from a carbon efficiency perspective. This \"rank in sector\" information is available in the Sheets at the back of this report.

6 6 5 Largest Contributors to the 's The ten companies that contribute the most to the portfolio s carbon footprint are shown below. Note that a company may appear due to the proportion owned, rather than because it is the most carbon intensive stock held. The rank in benchmark sector column is very useful in assessing the carbon intensity of your top ten contributors relative to their peers. Largest Contributors to 's Company Name American Electric Power Co., Inc. Duke Energy Corp. The Southern Co. FirstEnergy Corp. NRG Energy, Inc. Exxon Mobil Corp. The AES Corp. PPL Corp. Xcel Energy, Inc. International Paper Co. Holding ($ mn) Tonnes (%) % 4.28% 3.90% 3.69% 3.28% 6.90% 2.44% 1.88% 1.85% 1.75% Total , % 98 7,514 5,598 6,421 7,728 6, ,948 5,136 5,158 1, % % % % % % % % % % % Sector** 30 / / / / / / / / / 31 4 / 6 AR* ENV AR* ENV* PRE ENV CDP AR CDP CDP * The is the percentage decrease in performance between what the of the portfolio would be without the holding and what the is currently. This is a measurement of how much a specific holding reduces the carbon performance of the portfolio. ** Sector - A ranking of one indicates that the stock has the lowest carbon footprint among the stocks in the benchmark sector. An entry of N/A indicates that the stock is not a member of the benchmark. See table below for definitions of the. Definitions Code AR AR* CDP CDP* ENV ENV* OTH OTH* PDD PRE TC Explanation Exact Value from Annual Report/10K/Financial Accounts Disclosure Value derived from data provided in Annual Report/Financial Accounts Disclosure Exact Value from CDP Value derived from data provided in CDP Exact Value from Environmental/CSR Value derived from data provided in Environmental/CSR Exact Value from personal communication Value derived from personal communication Estimate scaled according to company-specific data Derived from previous year Calculated by Trucost

7 7 Definitions Code TC* Explanation Estimate derived from production data

8 8 6 Environmental Skylines for Largest Two Contributors The largest contributors to the carbon footprint of the portfolio are American Electric Power Co., Inc. and Duke The two charts below look at each company's environmental skyline across six broad environmental groups (Greenhouse Gases, Water, Waste, Land & Water Pollutants, Air Pollutants, Natural Resource Use) relative to its benchmark sector. Direct environmental impacts are displayed (red bar) as well as those contained within the first-tier of the supply chain (grey bar). Environmental Skyline American Electric Power Co., Inc. FY / 74 Position in The overall performance across the six environmental groups has been assessed relative to the sector benchmark for both companies. Business activities are analyzed according to the North American Industry Classification (NAICS) 3-digit code. The red line denotes the average direct and supply chain impact for all the organizations that share this organization's primary business activity. Environmental Impact Relative to Sector Average (%) Based on a global benchmark for Utilities sector of 74 organizations. Direct Impacts Supply Chain Impact A bar above the red line indicates that this organization is more environmentally intensive per unit of revenue generated than the benchmark sector for that particular environmental impact. Environmental Impact Relative to Sector Average (%) Environmental Skyline Duke Energy Corp. FY / 74 Position in Based on a global benchmark for Utilities sector of 74 organizations. Direct Impacts Supply Chain Impact

9 7 Company Reporting Assessment In order to rank stocks for engagement purposes we have identified five companies which do not disclose up-to-date data. These companies are ranked according to the size of their impact on your footprint as estimated by Trucost, using our unique environmental profiling model. Not all companies report in a way considered best practice. The five companies in your portfolio we would draw your attention to, where engagement may be beneficial, are listed in the table below. Company Reporting Assessment Company Name Holding ($ mn) Tonnes (%) Sector** NRG Energy, Inc % 6, % 28 / 31 PRE Air Products & Chemicals, Inc % 2, % 15 / 15 PRE Tyson Foods, Inc % % 21 / 23 PRE Southwest Airlines Co % % 16 / 17 PRE Valero Energy Corp % % 18 / 37 PRE Total % % * The is the percentage decrease in performance between what the of the portfolio would be without the holding and what the is currently. This is a measurement of how much a specific holding reduces the carbon performance of the portfolio. ** rank in benchmark sector - A ranking of one indicates that the stock has the lowest carbon footprint among the stocks in the benchmark sector. An entry of N/A indicates that the stock is not a member of the benchmark. Definitions of the s may be found in section 5 of this report. 9

10 Detailed for Companies in your The following table shows how each company contributes to the overall portfolio footprint. It allows you to see which stocks are the greatest contributors to your portfolio s CO2e emissions in absolute terms as well as helping you to understand how your owned stocks compare on a sector by sector basis with other stocks in the benchmark. This will help in managing your overall footprint without compromising your sector allocations. Further detail and regular updates are available from Trucost. Automobiles & Parts BorgWarner, Inc. Delphi Automotive Plc Ford Motor Co. General Motors Co. Goodyear Tire & Rubber Co. Harley-Davidson, Inc. Johnson Controls, Inc. Banks Bank of America Corp. BB&T Corp. Citigroup, Inc. Comerica, Inc. Fifth Third Bancorp Hudson City Bancorp, Inc. Huntington Bancshares, Inc. JPMorgan Chase & Co. KeyCorp M&T Bank Corp. People's United Financial, Inc. Regions Financial Corp. SLM Corp. SunTrust Banks, Inc. The PNC Financial Services Group, Inc. U.S. Bancorp Wells Fargo & Co. Zions Bancorp. Basic Resources Alcoa, Inc. CONSOL Energy, Inc. 's Total 1.02 % 1.02 % % % 0.06 % 0.06 % % % 4 / 7 TC 0.13 % 0.13 % % % 3 / 7 CDP 0.32 % 0.32 % % % 1 / 7 PRE 0.24 % 0.23 % % % 2 / 7 PRE 0.05 % 0.05 % % % 7 / 7 PRE 0.07 % 0.07 % % % 5 / 7 ENV* 0.16 % 0.16 % % % 6 / 7 ENV 6.27 % 6.35 % % % 0.99 % 1.01 % % % 10 / 17 ENV* 0.16 % 0.17 % % % 6 / 17 TC 0.92 % 0.95 % % % 8 / 17 PRE 0.04 % 0.05 % % % 16 / 17 OTH 0.09 % 0.09 % % % 12 / 17 PRE 0.03 % 0.03 % % % 1 / 17 TC 0.05 % 0.05 % % % 17 / 17 CDP 1.37 % 1.40 % % % 9 / 17 PRE 0.07 % 0.07 % % % 13 / 17 CDP 0.10 % 0.09 % % % 4 / 17 TC 0.03 % 0.03 % % % 2 / 17 TC 0.08 % 0.08 % % % 5 / 17 TC 0.02 % % % N / A TC 0.12 % 0.12 % % % 7 / 17 TC 0.28 % 0.28 % % % 14 / 17 CDP 0.43 % 0.44 % % % 15 / 17 PRE 1.46 % 1.47 % % % 11 / 17 CDP* 0.03 % 0.03 % % % 3 / 17 TC 0.40 % 0.40 % % 1, % 0.07 % 0.07 % % 2, % 5 / 6 CDP 0.02 % 0.02 % % 4, % 6 / 6 ENV*

11 11 Freeport-McMoRan, Inc. International Paper Co. Newmont Mining Corp. Nucor Corp. Chemicals Air Products & Chemicals, Inc. Airgas, Inc. Avery Dennison Corp. CF Industries Holdings, Inc. E.I. du Pont de Nemours & Co. Eastman Chemical Co. Ecolab, Inc. FMC Corp. International Flavors & Fragrances, Inc. LyondellBasell Industries NV PPG Industries, Inc. Praxair, Inc. Sigma-Aldrich Corp. The Dow Chemical Co. The Mosaic Co. Construction & Materials Fluor Corp. Jacobs Engineering Group, Inc. Martin Marietta Materials, Inc. Masco Corp. Quanta Services, Inc. The Sherwin-Williams Co. Vulcan Materials Co. Financial Services Affiliated Managers Group, Inc. American Express Co. Ameriprise Financial, Inc. BlackRock, Inc. Capital One Financial Corp. CME Group, Inc. Discover Financial Services 's Total 0.07 % 0.07 % % % 1 / 6 PRE 0.10 % 0.11 % % 1, % 4 / 6 CDP 0.05 % 0.05 % % % 3 / 6 CDP 0.08 % 0.08 % % % 2 / 6 TC 1.86 % 1.88 % % % 0.16 % 0.16 % % 2, % 15 / 15 PRE 0.04 % 0.04 % % % 9 / 15 TC 0.03 % 0.03 % % % 5 / 15 CDP* 0.08 % 0.08 % % 1, % 14 / 15 TC 0.26 % 0.27 % % % 6 / 15 PRE 0.06 % 0.06 % % % 10 / 15 PRE 0.17 % 0.17 % % % 2 / 15 PRE 0.03 % 0.03 % % 1, % 12 / 15 ENV* 0.05 % 0.05 % % % 3 / 15 ENV* 0.19 % 0.20 % % % 7 / 15 ENV* 0.16 % 0.15 % % % 4 / 15 PRE 0.18 % 0.18 % % 1, % 13 / 15 CDP 0.10 % 0.10 % % % 1 / 15 CDP 0.28 % 0.28 % % % 11 / 15 CDP 0.07 % 0.07 % % % 8 / 15 CDP 0.42 % 0.41 % % % 0.04 % 0.04 % % % 1 / 7 OTH* 0.03 % 0.03 % % % 2 / 7 TC 0.06 % 0.06 % % % 6 / 7 TC 0.06 % 0.05 % % % 5 / 7 CDP 0.03 % 0.03 % % % 4 / 7 TC 0.12 % 0.12 % % % 3 / 7 PRE 0.08 % 0.07 % % % 7 / 7 TC 5.12 % 5.15 % % % 0.06 % 0.06 % % % 9 / 27 TC 0.39 % 0.39 % % % 6 / 27 CDP 0.12 % 0.12 % % % 2 / 27 TC 0.23 % 0.23 % % % 10 / 27 TC 0.24 % 0.25 % % % 16 / 27 CDP 0.18 % 0.18 % % % 11 / 27 TC 0.14 % 0.14 % % % 13 / 27 TC

12 12 E*TRADE Financial Corp. Equifax, Inc. Franklin Resources, Inc. Intercontinental Exchange, Inc. Invesco Ltd. Legg Mason, Inc. MasterCard, Inc. McGraw Hill Financial, Inc. Moody's Corp. Morgan Stanley Navient Corp. Northern Trust Corp. State Street Corp. T. Rowe Price Group, Inc. The Bank of New York Mellon Corp. The Charles Schwab Corp. The Goldman Sachs Group, Inc. The NASDAQ OMX Group, Inc. The Western Union Co. Visa, Inc. Food & Beverage Archer Daniels Midland Co. Brown-Forman Corp. Campbell Soup Co. Coca-Cola Enterprises, Inc. ConAgra Foods, Inc. Constellation Brands, Inc. Dr. Pepper Snapple Group, Inc. General Mills, Inc. Hormel Foods Corp. Kellogg Co. Keurig Green Mountain, Inc. Leucadia National Corp. McCormick & Co., Inc. Mead Johnson Nutrition Co. Molson Coors Brewing Co. 's Total 0.05 % 0.04 % % % 5 / 27 TC 0.07 % 0.07 % % % 26 / 27 TC 0.09 % 0.09 % % % 4 / 27 CDP* 0.16 % 0.15 % % % 8 / 27 TC 0.08 % 0.09 % % % 3 / 27 PRE 0.02 % 0.03 % % % 1 / 27 CDP* 0.52 % 0.53 % % % 12 / 27 TC 0.15 % 0.16 % % % 24 / 27 CDP 0.11 % 0.11 % % % 27 / 27 TC 0.31 % 0.31 % % % 21 / 27 CDP 0.03 % 0.03 % % % 14 / 27 TC 0.09 % 0.09 % % % 23 / 27 CDP 0.17 % 0.17 % % % 19 / 27 ENV 0.11 % 0.11 % % % 15 / 27 CDP 0.26 % 0.26 % % % 22 / 27 CDP 0.21 % 0.21 % % % 18 / 27 PRE 0.44 % 0.45 % % % 20 / 27 CDP 0.04 % 0.04 % % % 25 / 27 TC 0.06 % 0.06 % % % 17 / 27 CDP* 0.81 % 0.81 % % % 7 / 27 CDP 4.01 % 4.05 % % % 0.16 % 0.16 % % % 20 / 23 CDP 0.09 % 0.09 % % % 3 / 23 CDP* 0.05 % 0.05 % % % 13 / 23 ENV 0.06 % 0.06 % % % 2 / 23 CDP 0.11 % 0.10 % % % 18 / 23 ENV* 0.13 % 0.13 % % % 9 / 23 CDP 0.09 % 0.09 % % % 5 / 23 CDP 0.20 % 0.20 % % % 14 / 23 PRE 0.05 % 0.05 % % 1, % 23 / 23 PRE 0.10 % 0.10 % % % 10 / 23 CDP 0.04 % 0.04 % % % 17 / 23 ENV* 0.04 % 0.04 % % % 22 / 23 TC 0.06 % 0.06 % % % 7 / 23 OTH 0.09 % 0.09 % % % 15 / 23 CDP 0.07 % 0.06 % % % 6 / 23 CDP

13 13 Mondelez International, Inc. Monsanto Co. Monster Beverage Corp. PepsiCo, Inc. The Coca-Cola Co. The Hershey Co. The J. M. Smucker Co. Tyson Foods, Inc. Healthcare Abbott Laboratories AbbVie, Inc. Aetna, Inc. Alexion Pharmaceuticals, Inc. Allergan Plc Amgen, Inc. Anthem, Inc. Baxter International, Inc. Becton, Dickinson & Co. Biogen, Inc. Boston Scientific Corp. Bristol-Myers Squibb Co. C.R. Bard, Inc. (New Jersey) Celgene Corp. Cigna Corp. DaVita HealthCare Partners, Inc. DENTSPLY International, Inc. Edwards Lifesciences Corp. Eli Lilly & Co. Endo International Plc Express Scripts Holding Co. Gilead Sciences, Inc. HCA Holdings, Inc. Henry Schein, Inc. Humana, Inc. Intuitive Surgical, Inc. Johnson & Johnson 's Total 0.41 % 0.40 % % % 11 / 23 CDP* 0.26 % 0.27 % % % 19 / 23 PRE 0.11 % 0.12 % % % 1 / 23 TC 0.80 % 0.81 % % % 12 / 23 CDP 0.88 % 0.91 % % % 8 / 23 PRE 0.08 % 0.08 % % % 4 / 23 PRE 0.07 % 0.07 % % % 16 / 23 CDP* 0.07 % 0.07 % % % 21 / 23 PRE % % % % 0.38 % 0.40 % % % 49 / 49 PRE 0.60 % 0.63 % % % 28 / 49 CDP 0.24 % 0.23 % % % 4 / 49 PRE 0.23 % 0.23 % % % 33 / 49 TC 0.68 % 0.70 % % % 10 / 49 ENV* 0.69 % 0.68 % % % 11 / 49 ENV* 0.23 % 0.22 % % % 1 / 49 PRE 0.12 % 0.12 % % % 44 / 49 ENV* 0.17 % 0.17 % % % 42 / 49 PRE 0.44 % 0.41 % % % 9 / 49 PRE 0.13 % 0.13 % % % 13 / 49 OTH 0.58 % 0.58 % % % 26 / 49 PRE 0.08 % 0.08 % % % 36 / 49 PRE 0.58 % 0.55 % % % 6 / 49 PRE 0.21 % 0.21 % % % 2 / 49 CDP* 0.08 % 0.08 % % % 17 / 49 TC 0.04 % 0.04 % % % 48 / 49 CDP* 0.09 % 0.09 % % % 37 / 49 TC 0.47 % 0.47 % % % 46 / 49 ENV* 0.09 % 0.09 % % % 19 / 49 TC 0.34 % 0.33 % % % 7 / 49 TC 0.95 % 0.91 % % % 8 / 49 PRE 0.14 % 0.15 % % % 45 / 49 TC 0.07 % 0.07 % % % 16 / 49 TC 0.17 % 0.16 % % % 3 / 49 PRE 0.11 % 0.11 % % % 38 / 49 TC 1.52 % 1.53 % % % 15 / 49 OTH

14 14 Laboratory Corp. of America Holdings Mallinckrodt Plc Medtronic Plc Merck & Co., Inc. Mylan NV Patterson Cos., Inc. Perrigo Co. Plc Pfizer Inc. Quest Diagnostics, Inc. Regeneron Pharmaceuticals, Inc. St. Jude Medical, Inc. Stryker Corp. Tenet Healthcare Corp. Thermo Fisher Scientific, Inc. UnitedHealth Group, Inc. Universal Health Services, Inc. Varian Medical Systems, Inc. Vertex Pharmaceuticals, Inc. Waters Corp. Zimmer Biomet Holdings, Inc. Zoetis, Inc. Industrial Goods & Services 3M Co. Accenture Plc Agilent Technologies, Inc. Allegion Plc Alliance Systems Corp. AMETEK, Inc. Amphenol Corp. Automatic Processing, Inc. Ball Corp. C.H. Robinson Worldwide, Inc. Caterpillar, Inc. Cintas Corp. CSX Corp. Cummins, Inc. 's Total 0.07 % 0.07 % % % 21 / 49 TC 0.06 % 0.06 % % % 23 / 49 TC 0.59 % 0.61 % % % 14 / 49 CDP 0.87 % 0.89 % % % 43 / 49 PRE 0.12 % 0.12 % % % 22 / 49 TC 0.02 % 0.02 % % % 18 / 49 TC 0.16 % 0.16 % % % 24 / 49 TC 1.20 % 1.17 % % % 27 / 49 PRE 0.06 % 0.06 % % % 30 / 49 PRE 0.24 % 0.23 % % % 25 / 49 TC 0.12 % 0.12 % % % 12 / 49 PRE 0.18 % 0.17 % % % 41 / 49 TC 0.03 % 0.03 % % % 39 / 49 TC 0.29 % 0.29 % % % 35 / 49 PRE 0.67 % 0.65 % % % 5 / 49 OTH* 0.07 % 0.07 % % % 40 / 49 TC 0.05 % 0.05 % % % 20 / 49 CDP 0.19 % 0.18 % % % 34 / 49 TC 0.06 % 0.06 % % % 29 / 49 PRE 0.10 % 0.10 % % % 32 / 49 CDP 0.13 % 0.13 % % % 31 / 49 TC % % % % 0.53 % 0.53 % % % 55 / 68 PRE 0.36 % 0.35 % % % 7 / 68 ENV 0.07 % 0.07 % % % 15 / 68 ENV* 0.03 % 0.03 % % % 22 / 68 TC 0.09 % 0.09 % % % 3 / 68 ENV* 0.08 % 0.08 % % % 42 / 68 TC 0.09 % 0.10 % % % 43 / 68 TC 0.22 % 0.21 % % % 8 / 68 PRE 0.05 % 0.05 % % % 58 / 68 CDP* 0.06 % 0.06 % % % 5 / 68 TC 0.26 % 0.27 % % % 40 / 68 ENV* 0.05 % 0.05 % % % 27 / 68 TC 0.17 % 0.16 % % % 61 / 68 OTH 0.12 % 0.12 % % % 39 / 68 PRE

15 15 Danaher Corp. Deere & Co. Dover Corp. Eaton Corp. Plc Emerson Electric Co. Expeditors International of Washington, Inc. Fastenal Co. FedEx Corp. Fiserv, Inc. FLIR Systems, Inc. Flowserve Corp. General Dynamics Corp. General Electric Co. Honeywell International, Inc. Illinois Tool Works, Inc. Ingersoll-Rand Plc J.B. Hunt Transport Services, Inc. Joy Global, Inc. Kansas City Southern L-3 Communications Holdings, Inc. Lockheed Martin Corp. Norfolk Southern Corp. Northrop Grumman Corp. Owens-Illinois, Inc. PACCAR, Inc. Parker-Hannifin Corp. Paychex, Inc. Pentair Plc PerkinElmer, Inc. (United States) Precision Castparts Corp. Raytheon Co. Republic Services, Inc. Robert Half International, Inc. Rockwell Automation, Inc. Rockwell Collins, Inc. Roper Technologies, Inc. 's Total 0.32 % 0.31 % % % 28 / 68 TC 0.16 % 0.16 % % % 45 / 68 PRE 0.06 % 0.06 % % % 46 / 68 OTH 0.15 % 0.16 % % % 53 / 68 AR* 0.18 % 0.19 % % % 35 / 68 PRE 0.06 % 0.06 % % % 65 / 68 CDP 0.06 % 0.06 % % % 18 / 68 TC 0.23 % 0.23 % % % 57 / 68 CDP 0.12 % 0.12 % % % 1 / 68 TC 0.02 % 0.02 % % % 16 / 68 TC 0.03 % 0.04 % % % 36 / 68 ENV* 0.26 % 0.26 % % % 26 / 68 PRE 1.48 % 1.47 % % % 31 / 68 PRE 0.46 % 0.46 % % % 51 / 68 PRE 0.17 % 0.17 % % % 38 / 68 ENV* 0.09 % 0.09 % % % 47 / 68 PRE 0.04 % 0.04 % % % 56 / 68 PRE 0.01 % 0.01 % % % 50 / 68 TC 0.06 % 0.06 % % % 63 / 68 PRE 0.05 % 0.05 % % % 23 / 68 TC 0.33 % 0.32 % % % 19 / 68 CDP 0.14 % 0.14 % % % 59 / 68 PRE 0.19 % 0.19 % % % 29 / 68 PRE 0.02 % 0.02 % % 1, % 66 / 68 CDP 0.12 % 0.12 % % % 25 / 68 ENV* 0.09 % 0.09 % % % 49 / 68 PRE 0.09 % 0.09 % % % 4 / 68 TC 0.06 % 0.06 % % % 44 / 68 TC 0.03 % 0.03 % % % 17 / 68 CDP 0.19 % 0.19 % % % 60 / 68 TC 0.19 % 0.18 % % % 14 / 68 PRE 0.06 % 0.06 % % 1, % 68 / 68 CDP 0.04 % 0.04 % % % 2 / 68 TC 0.08 % 0.09 % % % 30 / 68 ENV* 0.07 % 0.06 % % % 21 / 68 PRE 0.09 % 0.10 % % % 24 / 68 TC

16 16 Ryder System, Inc. Sealed Air Corp. Stericycle, Inc. TE Connectivity Ltd. Textron, Inc. The ADT Corp. The Boeing Co. Total System Services, Inc. Tyco International Plc Union Pacific Corp. United Parcel Service, Inc. United Rentals, Inc. United Technologies Corp. W.W. Grainger, Inc. Waste Management, Inc. WestRock Co. Xerox Corp. Xylem, Inc. Insurance ACE Limited Aflac, Inc. American International Group, Inc. Aon Plc Assurant, Inc. Berkshire Hathaway, Inc. Cincinnati Financial Corp. Genworth Financial, Inc. Lincoln National Corp. Loews Corp. Marsh & McLennan Cos., Inc. MetLife, Inc. Progressive Corp. Prudential Financial, Inc. The Allstate Corp. The Chubb Corp. The Hartford Financial Services Group, Inc. 's Total 0.03 % 0.03 % % % 41 / 68 CDP* 0.06 % 0.06 % % % 48 / 68 CDP 0.07 % 0.07 % % % 52 / 68 TC 0.15 % 0.14 % % % 34 / 68 CDP 0.07 % 0.06 % % % 37 / 68 CDP 0.03 % 0.03 % % % 6 / 68 TC 0.51 % 0.49 % % % 20 / 68 CDP 0.05 % 0.04 % % % 12 / 68 TC 0.09 % 0.09 % % % 13 / 68 ENV* 0.45 % 0.44 % % % 62 / 68 OTH 0.40 % 0.40 % % % 54 / 68 CDP 0.04 % 0.04 % % % 11 / 68 TC 0.45 % 0.45 % % % 33 / 68 PRE 0.08 % 0.08 % % % 9 / 68 ENV* 0.13 % 0.13 % % 1, % 67 / 68 CDP* 0.09 % 0.09 % % % 64 / 68 TC 0.06 % 0.06 % % % 10 / 68 OTH 0.03 % 0.03 % % % 32 / 68 ENV 4.24 % 4.29 % % % 0.19 % 0.20 % % % 8 / 22 OTH 0.15 % 0.15 % % % 6 / 22 CDP* 0.46 % 0.47 % % % 17 / 22 PRE 0.15 % 0.15 % % % 14 / 22 CDP 0.03 % 0.03 % % % 12 / 22 TC 1.41 % 1.44 % % % 22 / 22 TC 0.05 % 0.05 % % % 16 / 22 CDP 0.01 % 0.02 % % % 4 / 22 CDP 0.07 % 0.08 % % % 3 / 22 CDP 0.06 % 0.06 % % % 21 / 22 TC 0.17 % 0.17 % % % 20 / 22 CDP 0.32 % 0.33 % % % 1 / 22 ENV* 0.10 % 0.09 % % % 19 / 22 PRE 0.21 % 0.21 % % % 11 / 22 CDP* 0.14 % 0.14 % % % 18 / 22 CDP 0.16 % 0.16 % % % 2 / 22 CDP* 0.11 % 0.11 % % % 9 / 22 CDP

17 17 The Principal Financial Group, Inc. The Travelers Cos., Inc. Torchmark Corp. Unum Group XL Group Plc Media 21st Century Fox, Inc. Cablevision Systems Corp. CBS Corp. Comcast Corp. Discovery Communications, Inc. Dun & Bradstreet Corp. Interpublic Group of Cos., Inc. News Corp. Nielsen NV Omnicom Group, Inc. Scripps Networks Interactive, Inc. The Walt Disney Co. Time Warner Cable, Inc. Time Warner, Inc. Viacom, Inc. Oil & Gas Anadarko Petroleum Corp. Apache Corp. Baker Hughes, Inc. Cabot Oil & Gas Corp. Cameron International Corp. Chesapeake Energy Corp. Chevron Corp. Cimarex Energy Co. ConocoPhillips Devon Energy Corp. Diamond Offshore Drilling, Inc. Ensco Plc EOG Resources, Inc. EQT Corp. 's Total 0.08 % 0.08 % % % 15 / 22 CDP 0.19 % 0.19 % % % 7 / 22 CDP 0.04 % 0.04 % % % 10 / 22 TC 0.05 % 0.05 % % % 13 / 22 CDP 0.07 % 0.07 % % % 5 / 22 TC 3.39 % 3.34 % % % 0.29 % 0.28 % % % 9 / 15 TC 0.04 % 0.03 % % % 10 / 15 TC 0.12 % 0.12 % % % 3 / 15 TC 0.84 % 0.83 % % % 6 / 15 TC 0.06 % 0.06 % % % 2 / 15 TC 0.02 % 0.02 % % % 8 / 15 TC 0.05 % 0.05 % % % 11 / 15 TC 0.04 % 0.04 % % % 15 / 15 PRE 0.10 % 0.10 % % % 13 / 15 TC 0.10 % 0.10 % % % 12 / 15 CDP 0.03 % 0.03 % % % 1 / 15 CDP 0.96 % 0.93 % % % 14 / 15 CDP 0.31 % 0.31 % % % 7 / 15 CDP 0.34 % 0.34 % % % 4 / 15 CDP* 0.09 % 0.09 % % % 5 / 15 TC 6.91 % 7.21 % 1, % % 0.20 % 0.21 % % % 35 / 37 PRE 0.09 % 0.10 % % % 30 / 37 PRE 0.14 % 0.14 % % % 6 / 37 OTH 0.06 % 0.06 % % % 14 / 37 TC 0.07 % 0.08 % % % 5 / 37 TC 0.02 % 0.02 % % % 11 / 37 ENV* 0.84 % 0.89 % % % 25 / 37 ENV* 0.06 % 0.06 % % % 33 / 37 PRE 0.34 % 0.36 % % % 29 / 37 CDP* 0.09 % 0.10 % % % 34 / 37 CDP 0.01 % 0.01 % % % 21 / 37 TC 0.02 % 0.02 % % % 20 / 37 TC 0.25 % 0.25 % % % 27 / 37 CDP 0.07 % 0.07 % % % 13 / 37 TC

18 18 Exxon Mobil Corp. First Solar, Inc. FMC Technologies, Inc. Halliburton Co. Helmerich & Payne, Inc. Hess Corp. Kinder Morgan, Inc. Marathon Oil Corp. Marathon Petroleum Corp. Murphy Oil Corp. National Oilwell Varco, Inc. Newfield Exploration Co. Noble Energy, Inc. Occidental Petroleum Corp. Phillips 66 Pioneer Natural Resources Co. Range Resources Corp. Schlumberger NV Southwestern Energy Co. Tesoro Corp. The Williams Cos., Inc. Transocean Ltd. Valero Energy Corp. Personal & Household Goods Coach, Inc. Colgate-Palmolive Co. D.R. Horton, Inc. Electronic Arts, Inc. Estee Lauder Cos., Inc. Fossil Group, Inc. Hanesbrands, Inc. Harman International Industries, Inc. Hasbro, Inc. Kimberly-Clark Corp. Leggett & Platt, Inc. Lennar Corp. 's Total 1.79 % 1.85 % % % 28 / 37 ENV 0.02 % 0.02 % % % 2 / 37 CDP 0.04 % 0.05 % % % 1 / 37 PRE 0.19 % 0.20 % % % 22 / 37 ENV* 0.03 % 0.04 % % % 19 / 37 TC 0.08 % 0.09 % % % 16 / 37 OTH 0.31 % 0.33 % % % 9 / 37 TC 0.06 % 0.07 % % % 12 / 37 PRE 0.15 % 0.15 % % % 23 / 37 ENV* 0.03 % 0.03 % % % 7 / 37 PRE 0.09 % 0.10 % % % 3 / 37 TC 0.03 % 0.03 % % % 26 / 37 CDP 0.08 % 0.08 % % % 31 / 37 CDP* 0.30 % 0.33 % % % 32 / 37 PRE 0.26 % 0.25 % % % 17 / 37 ENV* 0.10 % 0.11 % % % 15 / 37 TC 0.04 % 0.04 % % 2, % 37 / 37 PRE 0.55 % 0.58 % % % 4 / 37 AR* 0.04 % 0.04 % % % 8 / 37 TC 0.07 % 0.07 % % % 24 / 37 ENV* 0.17 % 0.19 % % 1, % 36 / 37 PRE 0.03 % 0.03 % % % 10 / 37 PRE 0.19 % 0.18 % % % 18 / 37 PRE 3.62 % 3.65 % % % 0.05 % 0.05 % % % 17 / 27 TC 0.31 % 0.31 % % % 18 / 27 CDP 0.06 % 0.06 % % % 15 / 27 TC 0.13 % 0.12 % % % 1 / 27 TC 0.10 % 0.10 % % % 5 / 27 PRE 0.01 % 0.02 % % % 3 / 27 TC 0.07 % 0.07 % % % 12 / 27 CDP 0.04 % 0.04 % % % 8 / 27 TC 0.05 % 0.05 % % % 10 / 27 PRE 0.22 % 0.23 % % % 26 / 27 PRE 0.04 % 0.04 % % % 23 / 27 TC 0.06 % 0.05 % % % 13 / 27 TC

19 19 Mattel, Inc. Michael Kors Holdings Ltd. Mohawk Industries, Inc. Newell Rubbermaid, Inc. NIKE, Inc. Procter & Gamble Co. PulteGroup, Inc. PVH Corp. Ralph Lauren Corp. Snap-On, Inc. Stanley Black & Decker, Inc. The Clorox Co. Under Armour, Inc. VF Corp. Whirlpool Corp. Real Estate American Tower Corp. Apartment Investment & Management Co. AvalonBay Communities, Inc. Boston Properties, Inc. CBRE Group, Inc. Crown Castle International Corp. Equinix, Inc. Equity Residential Essex Property Trust, Inc. General Growth Properties, Inc. HCP, Inc. Health Care REIT, Inc. Host Hotels & Resorts, Inc. Iron Mountain, Inc. Kimco Realty Corp. Macerich Co. Plum Creek Timber Co., Inc. Prologis, Inc. Public Storage Realty Income Corp. 's Total 0.05 % 0.05 % % % 16 / 27 CDP 0.05 % 0.05 % % % 6 / 27 TC 0.08 % 0.07 % % % 27 / 27 PRE 0.07 % 0.07 % % % 21 / 27 PRE 0.46 % 0.46 % % % 11 / 27 PRE 1.10 % 1.13 % % % 19 / 27 ENV 0.04 % 0.04 % % % 14 / 27 TC 0.06 % 0.06 % % % 2 / 27 ENV 0.04 % 0.04 % % % 7 / 27 TC 0.05 % 0.05 % % % 25 / 27 TC 0.09 % 0.09 % % % 22 / 27 CDP 0.09 % 0.09 % % % 20 / 27 OTH 0.10 % 0.09 % % % 4 / 27 TC 0.14 % 0.14 % % % 9 / 27 CDP 0.08 % 0.08 % % % 24 / 27 PRE 2.64 % 2.65 % % % 0.22 % 0.23 % % % 12 / 25 PRE 0.03 % 0.03 % % % 13 / 25 TC 0.13 % 0.13 % % % 6 / 25 CDP 0.10 % 0.10 % % % 9 / 25 TC 0.05 % 0.05 % % % 2 / 25 CDP* 0.16 % 0.17 % % % 4 / 25 TC 0.10 % 0.09 % % % 3 / 25 TC 0.15 % 0.15 % % % 8 / 25 TC 0.08 % 0.08 % % % 11 / 25 TC 0.09 % 0.09 % % % 24 / 25 ENV* 0.10 % 0.10 % % % 19 / 25 CDP 0.13 % 0.13 % % % 5 / 25 CDP 0.08 % 0.08 % % % 18 / 25 CDP 0.03 % 0.03 % % % 16 / 25 CDP* 0.06 % 0.06 % % % 14 / 25 CDP 0.06 % 0.06 % % % 10 / 25 TC 0.04 % 0.04 % % % 21 / 25 CDP 0.12 % 0.12 % % % 1 / 25 CDP 0.17 % 0.17 % % % 23 / 25 TC 0.06 % 0.06 % % % 7 / 25 TC

20 20 Simon Property Group, Inc. SL Green Realty Corp. Ventas, Inc. Vornado Realty Trust Weyerhaeuser Co. Retail Advance Auto Parts, Inc. Amazon.com, Inc. AmerisourceBergen Corp. AutoNation, Inc. AutoZone, Inc. Bed Bath & Beyond, Inc. Best Buy Co., Inc. Cardinal Health, Inc. CarMax, Inc. Costco Wholesale Corp. CVS Health Corp. Dollar General Corp. Dollar Tree, Inc. ebay, Inc. GameStop Corp. Gap, Inc. Genuine Parts Co. H&R Block, Inc. Kohl's Corp. L Brands, Inc. Lowe's Cos., Inc. Macy's, Inc. McKesson Corp. Netflix, Inc. Nordstrom, Inc. O'Reilly Automotive, Inc. Ross Stores, Inc. Signet Jewelers Ltd. Staples, Inc. Sysco Corp. 's Total 0.33 % 0.33 % % % 15 / 25 CDP 0.06 % 0.06 % % % 17 / 25 ENV* 0.10 % 0.11 % % % 22 / 25 CDP 0.09 % 0.09 % % % 20 / 25 ENV* 0.08 % 0.08 % % % 25 / 25 CDP 8.31 % 8.25 % % % 0.07 % 0.08 % % % 34 / 40 TC 1.19 % 1.15 % % % 21 / 40 TC 0.13 % 0.12 % % % 14 / 40 TC 0.03 % 0.03 % % % 39 / 40 TC 0.14 % 0.13 % % % 31 / 40 TC 0.06 % 0.06 % % % 38 / 40 TC 0.07 % 0.06 % % % 8 / 40 CDP 0.17 % 0.16 % % % 2 / 40 CDP 0.07 % 0.07 % % % 32 / 40 TC 0.37 % 0.36 % % % 10 / 40 PRE 0.68 % 0.68 % % % 5 / 40 CDP 0.12 % 0.13 % % % 23 / 40 TC 0.09 % 0.10 % % % 26 / 40 TC 0.17 % 0.18 % % % 9 / 40 CDP 0.03 % 0.03 % % % 25 / 40 TC 0.05 % 0.05 % % % 28 / 40 CDP* 0.07 % 0.07 % % % 13 / 40 TC 0.06 % 0.06 % % % 4 / 40 TC 0.06 % 0.06 % % % 27 / 40 CDP 0.13 % 0.12 % % % 16 / 40 CDP 0.38 % 0.38 % % % 35 / 40 CDP 0.12 % 0.12 % % % 24 / 40 TC 0.27 % 0.27 % % % 7 / 40 PRE 0.24 % 0.29 % % % 3 / 40 TC 0.06 % 0.06 % % % 30 / 40 TC 0.15 % 0.14 % % % 33 / 40 TC 0.12 % 0.12 % % % 29 / 40 TC 0.07 % 0.06 % % % 36 / 40 TC 0.05 % 0.05 % % % 1 / 40 CDP 0.14 % 0.14 % % % 19 / 40 CDP*

21 21 Target Corp. The Home Depot, Inc. The Kroger Co. The TJX Cos., Inc. Tiffany & Co. Tractor Supply Co. Urban Outfitters, Inc. Wal-Mart Stores, Inc. Walgreens Boots Alliance, Inc. Whole Foods Market, Inc. Technology Activision Blizzard, Inc. Adobe Systems, Inc. Akamai Technologies, Inc. Altera Corp. Analog Devices, Inc. Apple, Inc. Applied Materials, Inc. Autodesk, Inc. Avago Technologies Ltd. Broadcom Corp. CA, Inc. Cerner Corp. Cisco Systems, Inc. Citrix Systems, Inc. Cognizant Technology Solutions Corp. Computer Sciences Corp. Corning, Inc. EMC Corp. F5 Networks, Inc. Facebook, Inc. Fidelity National Information Services, Inc. Garmin Ltd. Google, Inc. Harris Corp. Hewlett-Packard Co. 's Total 0.29 % 0.29 % % % 18 / 40 ENV* 0.89 % 0.89 % % % 17 / 40 CDP 0.22 % 0.20 % % % 40 / 40 CDP* 0.29 % 0.28 % % % 11 / 40 CDP 0.05 % 0.05 % % % 6 / 40 CDP 0.07 % 0.07 % % % 15 / 40 TC 0.02 % 0.02 % % % 22 / 40 TC 0.60 % 0.60 % % % 20 / 40 CDP 0.47 % 0.44 % % % 12 / 40 CDP 0.07 % 0.07 % % % 37 / 40 PRE % % % % 0.08 % 0.08 % % % 4 / 53 TC 0.22 % 0.22 % % % 14 / 53 PRE 0.08 % 0.07 % % % 40 / 53 CDP 0.09 % 0.09 % % % 38 / 53 OTH 0.10 % 0.10 % % % 45 / 53 PRE 3.89 % 3.82 % % % 12 / 53 ENV* 0.11 % 0.12 % % % 39 / 53 PRE 0.06 % 0.06 % % % 1 / 53 CDP 0.20 % 0.19 % % % 48 / 53 TC 0.17 % 0.17 % % % 37 / 53 ENV* 0.05 % 0.05 % % % 16 / 53 CDP* 0.11 % 0.11 % % % 9 / 53 TC 0.78 % 0.77 % % % 25 / 53 ENV* 0.07 % 0.06 % % % 5 / 53 TC 0.23 % 0.23 % % % 22 / 53 CDP* 0.05 % 0.05 % % % 19 / 53 PRE 0.13 % 0.13 % % % 53 / 53 PRE 0.28 % 0.28 % % % 27 / 53 ENV* 0.05 % 0.05 % % % 2 / 53 TC 1.14 % 1.11 % % % 10 / 53 TC 0.12 % 0.12 % % % 7 / 53 TC 0.03 % 0.03 % % % 31 / 53 TC 2.17 % 2.13 % % % 23 / 53 PRE 0.05 % 0.06 % % % 30 / 53 TC 0.29 % 0.30 % % % 26 / 53 ENV*

22 22 Intel Corp. International Business Machines Corp. Intuit, Inc. Juniper Networks, Inc. KLA-Tencor Corp. Lam Research Corp. Linear Technology Corp. Microchip Technology, Inc. Micron Technology, Inc. Microsoft Corp. Motorola Solutions, Inc. NetApp, Inc. NVIDIA Corp. Oracle Corp. Pitney Bowes, Inc. QUALCOMM, Inc. Red Hat, Inc. salesforce.com, inc. SanDisk Corp. Seagate Technology Plc Skyworks Solutions, Inc. Symantec Corp. Teradata Corp. Texas Instruments, Incorporated. VeriSign, Inc. Western Digital Corp. Xilinx, Inc. Yahoo!, Inc. Telecommunications AT&T, Inc. CenturyLink, Inc. Frontier Communications Corp. Level 3 Communications, Inc. Verizon Communications, Inc. Travel & Leisure American Airlines Group, Inc. 's Total 0.83 % 0.80 % % % 41 / 53 ENV* 0.80 % 0.80 % % % 21 / 53 PRE 0.15 % 0.14 % % % 8 / 53 PRE 0.05 % 0.05 % % % 28 / 53 CDP* 0.05 % 0.05 % % % 36 / 53 TC 0.07 % 0.07 % % % 35 / 53 PRE 0.06 % 0.06 % % % 46 / 53 TC 0.05 % 0.05 % % % 50 / 53 CDP 0.11 % 0.10 % % % 52 / 53 CDP 2.08 % 2.07 % % % 17 / 53 CDP 0.07 % 0.07 % % % 32 / 53 ENV* 0.06 % 0.06 % % % 34 / 53 CDP 0.07 % 0.07 % % % 11 / 53 CDP 0.71 % 0.69 % % % 29 / 53 CDP 0.02 % 0.02 % % % 44 / 53 CDP 0.53 % 0.54 % % % 20 / 53 PRE 0.08 % 0.08 % % % 3 / 53 TC 0.25 % 0.25 % % % 18 / 53 CDP 0.07 % 0.07 % % % 33 / 53 PRE 0.09 % 0.10 % % % 47 / 53 PRE 0.10 % 0.10 % % % 49 / 53 TC 0.08 % 0.08 % % % 24 / 53 CDP* 0.02 % 0.02 % % % 6 / 53 CDP* 0.29 % 0.29 % % % 51 / 53 PRE 0.04 % 0.04 % % % 13 / 53 TC 0.10 % 0.10 % % % 43 / 53 ENV* 0.06 % 0.06 % % % 15 / 53 CDP 0.16 % 0.17 % % % 42 / 53 PRE 2.49 % 2.50 % % % 1.19 % 1.20 % % % 3 / 5 OTH 0.09 % 0.09 % % % 5 / 5 CDP 0.04 % 0.03 % % % 1 / 5 TC 0.08 % 0.08 % % % 4 / 5 CDP* 1.10 % 1.10 % % % 2 / 5 CDP 3.11 % 2.87 % % % 0.17 % 0.16 % % 1, % 17 / 17 CDP

23 23 Carnival Plc Chipotle Mexican Grill, Inc. Darden Restaurants, Inc. Delta Air Lines, Inc. Expedia, Inc. Marriott International, Inc. McDonald's Corp. Royal Caribbean Cruises Ltd. Southwest Airlines Co. Starbucks Corp. Starwood Hotels & Resorts Worldwide, Inc. The Priceline Group, Inc. TripAdvisor, Inc. United Continental Holdings, Inc. Wyndham Worldwide Corp. Wynn Resorts Ltd. Yum! Brands, Inc. Utilities AGL Resources, Inc. Ameren Corp. American Electric Power Co., Inc. CenterPoint Energy, Inc. CMS Energy Corp. Consolidated Edison, Inc. Dominion Resources, Inc. DTE Energy Co. Duke Energy Corp. Edison International Entergy Corp. Eversource Energy Exelon Corp. FirstEnergy Corp. NextEra Energy, Inc. Ni, Inc. NRG Energy, Inc. ONEOK, Inc. 's Total 0.14 % 0.13 % % % 14 / 17 PRE 0.13 % 0.13 % % % 8 / 17 TC 0.05 % 0.05 % % % 10 / 17 ENV* 0.23 % 0.21 % % % 15 / 17 CDP 0.07 % 0.07 % % % 3 / 17 TC 0.09 % 0.09 % % % 11 / 17 PRE 0.55 % 0.54 % % % 5 / 17 PRE 0.09 % 0.09 % % % 13 / 17 PRE 0.15 % 0.14 % % % 16 / 17 PRE 0.50 % 0.48 % % % 6 / 17 OTH* 0.07 % 0.07 % % % 12 / 17 PRE 0.39 % 0.38 % % % 1 / 17 TC 0.04 % 0.05 % % % 2 / 17 TC 0.12 % % 1, % N / A AR* 0.06 % 0.05 % % % 4 / 17 CDP 0.03 % 0.04 % % % 9 / 17 TC 0.21 % 0.20 % % % 7 / 17 TC 3.13 % 3.19 % 2, % 3, % 0.04 % 0.04 % % % 7 / 31 PRE 0.06 % 0.06 % % 5, % 26 / 31 AR* 0.16 % 0.16 % % 7, % 30 / 31 AR* 0.04 % 0.05 % % % 6 / 31 PRE 0.05 % 0.05 % % 2, % 13 / 31 OTH 0.11 % 0.11 % % % 2 / 31 AR* 0.24 % 0.24 % % 2, % 15 / 31 ENV* 0.08 % 0.08 % % 3, % 18 / 31 OTH 0.28 % 0.29 % % 5, % 25 / 31 ENV 0.11 % 0.11 % % % 8 / 31 AR* 0.07 % 0.07 % % 3, % 17 / 31 CDP 0.09 % 0.09 % % % 4 / 31 CDP* 0.15 % 0.16 % % 1, % 10 / 31 CDP 0.08 % 0.08 % % 7, % 31 / 31 ENV* 0.25 % 0.26 % % 3, % 16 / 31 OTH 0.03 % 0.03 % % 3, % 19 / 31 OTH 0.04 % 0.04 % % 6, % 28 / 31 PRE 0.04 % 0.04 % % % 1 / 31 ENV*

24 24 Pepco Holdings, Inc. PG&E Corp. Pinnacle West Capital Corp. PPL Corp. Public Service Enterprise Group, Inc. SCANA Corp. Sempra Energy Spectra Energy Corp. TECO Energy, Inc. The AES Corp. The Southern Co. WEC Energy Group, Inc. Xcel Energy, Inc. 's Total 0.03 % 0.03 % % % 3 / 31 CDP 0.14 % 0.14 % % % 5 / 31 CDP 0.04 % 0.04 % % 3, % 20 / 31 AR* 0.12 % 0.12 % % 5, % 22 / 31 AR 0.12 % 0.12 % % 1, % 11 / 31 ENV* 0.04 % 0.04 % % 2, % 14 / 31 ENV 0.12 % 0.13 % % % 9 / 31 CDP 0.11 % 0.11 % % 1, % 12 / 31 ENV* 0.04 % 0.03 % % 6, % 29 / 31 AR 0.04 % 0.05 % % 4, % 21 / 31 CDP 0.23 % 0.23 % % 6, % 27 / 31 AR* 0.09 % 0.09 % % 5, % 24 / 31 AR 0.10 % 0.10 % % 5, % 23 / 31 CDP Porfolio Total % % 5, % 303 Note that the weighting for the benchmark will not always total 100% as the stocks shown are only for those held by the portfolio. * The is the percentage decrease in performance between what the of the portfolio would be without the holding and what the is currently. This is a measurement of how much a specific holding reduces the carbon performance of the portfolio. ** rank in benchmark sector - A ranking of one indicates that the stock has the lowest carbon footprint among the stocks in the benchmark sector. An entry of N/A indicates that the stock is not a member of the benchmark. Definitions of the s may be found in section 5 of this report.