The SFDR And Taxonomy Regulation: Navigating The Past .

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Housekeeping Today’s event will last approximately 1 hour You may submit questions at any time You will receive a recording of the presentation Feel free to fill out the post-event survey to request a follow-up meetingCopyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.2

Agenda Historical Sustainability and Green Deal Overview EU Sustainable Finance Regulation Dynamic Materiality and Double Materiality FactSet's Regulatory SolutionsCopyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.3

Are you planning ongoing monitoring procedures for sustainabilityrisk, adverse impacts, and Do No Significant Harm?Copyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.4

Key Sustainability Milestones During the Last 2 Decades - 2000 to 20192017GlobalEuropeNon-Financial Reporting Directive(Implementation)20192008Climate Change Act (UK)2018European Green Deal(kick-off)EU Action Plan201620002011UN Global CompactGlobal Reporting Initiative (GRI)Paris AgreementSustainable Account Standards Board(SASB)20062015UN Sustainable Development Goals (SDGs)Principles for Responsible Investment(PRI)Copyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.5

The High-Level Goals of the EU Green Deal Overarching goal of the EU beingnet-zero emissions by 2050 Makes the UN SDGs and ParisAgreement actionable Recognizes the need to finance thetransition Transition in a fair and just mannerto allSource: EU CommissionCopyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.6

If your firm is planning to issue Article 8 or 9 funds, have youdeveloped a target compliance operating model?Copyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.7

NFRD and Taxonomy Regulation In Context NFRD corporate disclosures and the Taxonomyclassification systems are foundational elements ofthe EU Action Plan on Sustainable Finance Corporate disclosures and the Taxonomy areutilized throughout a range of sustainable financeregulations For fund managers, NFRD and the Taxonomy arekey to long term operation of SFDR Article 8 and 9fundsCopyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.8

Timeline of Key EU Regulatory DevelopmentsSFDR - Entity level LevelSFDR RTS PAISFDR RTS PAI1 Principal Adverse ImpactsTechnical screening forreporting with referencereporting (w/outfor firms 500 employeesCC Mitigation & CCperiod elementsreference period)Adaptation under EUSFDR RTS applies;Start of GHGTaxonomy startsstartoffirstreferenceScope 3 emissionsDraft SFDR RTS; can beperiodreference periodused in interim periodMar2020Final EUTaxonomy reportpublished covering CCmitigation and CCadaptationactivitiesDec2020Mar2021SFDR - Level 1 disclosures(majority of website & precontractual disclosures) toapply: Sustainability RiskPolicy; PAI (comply orexplain); RemunerationPolicy; my-related disclosuresfor mitigation and adaptationenvironmental objectivesJan2023Jun2023SFDR Productlevel PAITaxonomy-relateddisclosures foradditional fourenvironmentalobjectivesCopyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.9

ESG is Multi-Dimensional and Materiality Changes Over Time Dynamic Materiality Technology is Key to Understand ESGRegime Shifts Multi-factor portfolio analysis is pervasive in finance, howeverthe same is not true in conventional ESG Materiality models One-size fits all Material Models are no longer suitable in theage of the fourth industrial revolution Dynamic Materiality is the notion that the relative importanceto stakeholders over time due to changing industry trends,regulation, cultural norms, and physical climatecharacteristicsCountrySizeConventional ESG MaterialityModels are 1-dimensionaland static over timeTruvalue ESG Materiality Factor ModelIndustryCopyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.11

What is Double Materiality?The link to Stakeholder Impact and Dynamic MaterialityExperienced Stakeholder ExternalitiesDynamic MaterialitySource:Truvalue LabsSource: European Commission The Non-Financial Reporting Directive (NFRD) in the EU defines Materiality from 2 perspectives: The lens of external stakeholders The company operations itself Dynamic Materiality is a key tool to capture materiality from both an impact (i.e. UN SDGs) and materiality lens (i.e. SASB) “Table stakes” for Sustainability Risk Assessments, Principal Adverse Impacts and Do No Significant Harm in the SFDR and TaxonomyCopyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.12

FactSet’s Fully Integrated Solutions and Flexible DistributionDESKTOPINTEGRATIONTruvalue Labs AI-driven ESG Data20 Premium 3rd Party ESG ProvidersCSR Documents (in progress)RBICS – Industry Classification w/ RevenueSupply ChainPeople DataDeep SectorSASB-StreetAccount ESG AnalysisAward Winning Independent ResearchAcademic Network 50 Leading UniversitiesEarnings Call TranscriptsProxy VotingBoard S & APIS14

FactSet's ESG Use CasesPortfolio Monitoring& Idea GenerationFundamental Equity PortfolioReportingMonitor risk in your investibleuniverse or identify consistentlong-term performers leveragingUniversal Screening.Utilize Dynamic Materiality touncover the most critical SASBcategories. Use time series reportingto understand sector, and countryand region trends as aligned tocurrent allocations.SFDRSDG Portfolio Alignment andImpactPerform a Sustainability RiskAssessment on your portfolio tounderstand granular exposuresto SASB categories. Usingindustry relative scoring,reassess which names requireaction.Demonstrate how your portfolio isaligned to the SDGs. How can youanalyze which SDGs are relevantto my portfolio and what kind ofimpact (positive or negative) theyhave?Fixed Income: RiskMitigationQuantitative Strategiesfor Alpha GenerationLeverage 100,000 sources toidentify issuers that need furtherdue diligence and potentialengagement. Marry traditionalspread analysis with Truvalue’sESG Ranks to identify laggards.ESG is proven to be additive totraditional quant factors. UseTruvalue’s data in FactSet’sAlpha Testing to analyze theperformance of the signalstandalone or in multi-factormodels.Copyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.15

FactSet's SFDR SolutionsSFDR Workflow TopicSFDR ArticleFactSet SolutionsSFDR DeadlineSustainability Risk - policy Sustainability Risk Policy (SRP)Sustainability Risk Assessment (SRA) (perSRP)Article 3 & 6Truvalue Labs SASB Scores and Spotlights10 Mar 2021 Remuneration PolicyArticle 5Research Management Solutions – allows forimplementation of remuneration policy tied toAnalyst SRP research10 Mar 2021Adverse Impact Sustainability Due Diligence Policy (SDDP)Principal Adverse Impact (PAI) (per SDDP)Article 4 & 7 PAI Content: On/Off Platform (FDS & 3rd Party)PAI monitoring via TVLAnnual PAI reporting – Professional Services30 Dec 2022Sustainable Investment Financial product (fund) promotes asustainability objectiveDisclose certain prescribed informationdepending on whether or not an index hasbeen designated as a reference benchmarkArticle 8 & 9 Taxonomy/DNSH/SDGs – RBICS TVLEngagement – Shareholder Rights Directive II RMSPAI Monitoring via TVL10 Mar 20211 Jan 2022 forTaxonomyCopyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.16

Sustainability Risk Reporting Monitor in real time across26 SASB Categories Automated Reporting Clear Visualizations of RiskCopyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.17

Align with UN Sustainable Development Goals (SDGs)Granularity and precision of the Revere Hierarchy well-suited to associate with UN SDGs, for example:3. Good Health and Well Being2,300 sectors, 100,000 Drug/Device TradenamesTradename example: Merck - V920 (rVSV-EBOV Ebola Vaccine) [Phase 3]Sector example: Malaria Antiprotozoal Agents6. Clean Water and Sanitation63 sectorsSector examples:Water Treatment AgentsHazardous Materials DisposalWastewater Treatment Services7. Affordable and Clean Energy148 Negative/Exclusionary sectors,70 Positive/Inclusionary sectors13. Climate Action142 Negative/Exclusionary sectors,77 Positive/Inclusionary sectorsInclusionary Sector examples:Exclusionary Sector examples:China Wind Power GenerationCanada Oil Sands ExplorationEurope HydroelectricHydraulic Fracturing (Fracking) ServicesEnergy Efficient Lighting (LED Lighting)Appalachian Unconventional Oil/Gas ExplorationInclusionary Sector examples:Exclusionary Sector examples:Renewable Energy and Distributed GenerationFossil Fuel Wholesale Power GenerationPhotovoltaic/Solar Cells and SystemsThermal Coal MiningFuel Cell Equipment and TechnologyOffshore Oil/Gas Well DrillingCopyright 2021 FactSet Research Systems Inc. All rights reserved. Confidential: Do not forward.20

OPEN:FACTSET FEEDS & APIS Truvalue Labs AI-driven ESG Data 20 Premium 3rd Party ESG Providers CSR Documents (in progress) . Truvalue'sdata in FactSet's Alpha Testing to analyze the performance of the signal standalone or in multi-factor models. 15. FactSet's SFDR Solutions