State Street · 09/04/2026

sustainable fixed income solutions

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Case Studies from Institutional Investors Sustainable Fixed Income Solutions

2 State Street Investment Management 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 fixed income, equity and beyond. Here we share insights and examples of sustainable fixed income solutions developed and managed for institutional 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. Executive Summary

3 Contents 07 Fixed Income Case Studies 08 Case Study 1: A Customized Climate Bond Strategy for a European Pension Fund 10 Case Study 2: A Customized Climate Bond Strategy with Forward-Looking Metrics for a Nordic Pension Fund 11 Case Study 3: A USD Investment Grade and High Yield Custom Low-Carbon Bond Strategy 12 Case Study 4: An Emerging Market Corporate Custom Climate Bond Index Strategy

4 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 Investment Management’s 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 sustainability index or customized version of an index with sustainability objectives integrated into its design), others prefer what we call a Custom Portfolio Solution. In a Custom Portfolio Solution the objectives are directly implemented into the portfolio construction process via explicit restrictions and targets, while remaining benchmarked against a standard or non-sustainability 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.

5 An Overview of Solutions Whether an investor is seeking an equity or fixed income solution, each approach has certain trade-offs to consider. In our extensive experience working with sophisticated investors from around the world, the most common reasons why investors opt for the Custom Portfolio 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 1 Solution Characteristics Figure 2 Data Providers in State Street Investment Management’s Centralized Sustainability Factor Database Third-Party Index (Standard) Third-Party Index (Custom) Custom Portfolio Solution 1 Tracking Error vs Index 2 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 Source: State Street Investment Management. June 2026. 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. General Climate/Carbon Governance Controversies & Business Involvement Sovereign ISS ESG MSCI ESG Ratings Moody’s Refinitiv Net Purpose Sustainalytics ESG Risk Ratings Sustainable Fitch Climate Bonds Initiative FTSE LCE ISS Climate LGX DataHub MSCI Climate S&P Trucost ISS Governance MSCI Governance MSCI BISR MSCI Controversies Sustainalytics Product Involvement Sustainalytics Global Compact Sustainalytics Controversial Weapons Radar LSEG MSCI ESG Government Ratings S&P Trucost Sustainalytics Country Risk Rating Source: State Street Investment Management, June 2026.

6 The proprietary Systematic Equity Tilted Beta Strategy and the Systematic Corporate Bond Tilted Beta Strategy are just some examples of the climate-thematic indexing and smart beta investment solutions which we offer. 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 portfolio 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 Fixed Income Case Study Examples of Customized Climate-Thematic Investment Solutions Case Study 1 Case Study 2 Case Study 3 Case Study 4 Benchmark ICE Global Corporate Bloomberg US Corporate Bond 1% Index Bloomberg US Corporate Bond Index and the Bloomberg US High Yield Index JPM CEMBI Approach Custom Portfolio Solution Custom Portfolio Solution Custom Portfolio Solution Custom Third-Party Index Carbon Reduction YoY Carbon Reduction Forward-Looking Climate Metrics Product Involvement Screening (#of screens) (>5) (>5) (>5) Controversy Screening Sustainability Score Enhancement Other Green Bonds Green Bonds Client Exclusion List Green Bonds Client Exclusion List Client Exclusion List Country Exclusion Policy YoY = Year-on-Year Source: State Street Investment Management, June 2026.

7 Sustainable Fixed Income Solutions Case Studies

8 Case Study 1 A Customized Climate Bond Strategy for a European Pension Fund 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. Using a modified version of the Systematic Corporate Bond Tilted Beta Strategy 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 Investment Management’s 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. Background Solution Implementation Outcome We successfully launched the strategy with an initial €650 million investment in November 2022, based on a tailored version of the Systematic Corporate Bond Tilted Beta 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 4 overleaf.

9 Source: State Street Investment Management. As of 30 June 2026. The above estimates are based on certain assumptions and analysis made by State Street. There is no guarantee that the estimates will be achieved. Figure 4 Portfolio Weighted Average Carbon Intensity Reduction Glidepath Projected Path Actual Portfolio Weighted Average Carbon Intensity ( CO 2 e Emissions per $m Revenue) 0 300 200 250 150 100 50 2020 2025 2030 2035 2040 2045 2050 30 June 2026 111.06

10 Case Study 2 A Customized Climate Bond Strategy with Forward- Looking Metrics for a Nordic Pension Fund 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-looking and backward-looking metrics into a customized version of the Systematic Corporate Bond Tilted Beta Strategy. Starting in Q4 2023, we worked with the investor to run simulations in applying a climate 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 Systematic Corporate Bond Tilted Beta 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 Extreme 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. Background Solution Implementation 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 Systematic Corporate Bond Tilted Beta 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.

11 Case Study 3 A USD Investment Grade and High Yield Custom Low-Carbon Bond Strategy 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). Research started with a number of focused workshops and meetings involving scenario testing and with a broad range of possible metrics including: • Policy Value-at-Risk (VaR) improvement compared to standard benchmark 3 • Technology VaR improvement compared to standard benchmark 4 • Physical VaR improvement to standard benchmark 5 • 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. Background Solution Implementation Outcome The client chose State Street Investment Management 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.

12 Case Study 4 An Emerging Market Corporate Custom Climate Bond Index Strategy 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 Systematic Corporate Bond Tilted Beta Strategy Framework into the index construction. Using our proprietary data and optimization models we conducted in-depth analysis to explore 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 Investment Management 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. Background Solution Implementation 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 5.

13 Source: State Street Investment Management, FactSet. As of 30 October 2024. Figure 5 Tracking Error of the Emerging Market Corporate Custom Climate Bond Index Strategy bps 0 60 50 40 30 20 10 Jun 2023 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jul Aug Sep Jun Oct 2024

14 Get in Touch Sustainable Investing at State Street Investment Management 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. To learn more about how our sustainable aligned strategies could help you meet your investment goals please contact your State Street Investment Management representative or email us at: InstitutionalEMEA@statestreet.com

15 Endnotes 1 A passive investment solution which is typically benchmarked to a third-party index but which applies fund/portfolio level guidelines, restrictions and targets based on sustainable investment objectives. 2 The index is the benchmark used for standard performance and reporting purposes. 3 A company’s aggregated downside policy risk exposure according to all emission sources (Scope 1, 2, 3), expressed as a percentage of the company’s market value, assuming a global specified temperature target and using carbon prices from the REMIND model under the NGFS Orderly scenario. 4 A company’s upside technology opportunity exposure, expressed as a percentage of the company’s market value capped at 100%, assuming a global specified temperature target and calculated using carbon prices from the REMIND model under the NGFS Orderly scenario. 5 A company’s expected downside or upside potential, expressed as a percentage of the company’s market value, assuming trends in extreme cold, extreme heat, extreme precipitation, heavy snowfall, extreme wind, coastal flooding, fluvial flooding, tropical cyclones, river low flow and wildfires continue along the specified temperature target REMIND Orderly scenario.

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Registered office: 20 Churchill Place, Canary Wharf, London, E14 5HJ. T: 020 3395 6000. F: 020 3395 6350. United States: State Street Investment Management, One Congress Street, Boston, MA 02114. Important Information The case studies presented above are for illustrative purposes only, actual results could differ substantially based on the investors individual circumstances and investment goals. The above targets are estimates based on certain assumptions and analysis made by State Street Global Advisors. There is no guarantee that the estimates will be achieved. Investing involves risk including the risk of loss of principal. The information provided does not constitute investment advice and it should not be relied on as such. It should not be considered a solicitation to buy or an offer to sell a security. It does not take into account any investor’s particular investment objectives, strategies, tax status or investment horizon. You should consult your tax and financial advisor. All information is from State Street Investment Management unless otherwise noted and has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. There is no representation or warranty as to the current accuracy, reliability or completeness of, nor liability for, decisions based on such information and it should not be relied on as such. The information contained in this communication is not a research recommendation or ‘investment research’ and is classified as a ‘Marketing Communication’ in accordance with the applicable regional regulation. This means that this marketing communication (a) has not been prepared in accordance with legal requirements designed to promote the independence of investment research (b) is not subject to any prohibition on dealing ahead of the dissemination of investment research. This communication is directed at professional clients (this includes eligible counterparties as defined by the appropriate EU regulator) who are deemed both knowledgeable and experienced in matters relating to investments. The products and services to which this communication relates are only available to such persons and persons of any other description (including retail clients) should not rely on this communication. The views expressed are the views of the State Street Investment Management Sustainable Investing Strategy Team through July 30, 2026, and are subject to change based on market and other conditions. This document contains certain statements that may be deemed forward-looking statements. Please note that any such statements are not guarantees of any future performance, and actual results or developments may differ materially from those projected. All the index performance results referred to are provided exclusively for comparison purposes only. It should not be assumed that they represent the performance of any particular investment. The returns on a portfolio of securities which exclude companies that do not meet the portfolio’s sustainable strategy criteria may trail the returns on a portfolio of securities which include such companies. A portfolio’s sustainable strategy criteria may result in the portfolio investing in industry sectors or securities which underperform the market as a whole. The trademarks and service marks referenced herein are the property of their respective owners. Third party data providers make no warranties or representations of any kind relating to the accuracy, completeness or timeliness of the data and have no liability for damages of any kind relating to the use of such data. Investing in foreign domiciled securities may involve risk of capital loss from unfavorable fluctuation in currency values, withholding taxes, from differences in generally accepted accounting principles or from economic or political instability in other nations. Investments in emerging or developing markets may be more volatile and less liquid than investing in developed markets and may involve exposure to economic structures that are generally less diverse and mature and to political systems which have less stability than those of more developed countries. Bonds generally present less short-term risk and volatility than stocks, but contain interest rate risk (as interest rates raise, bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss. Equity securities may fluctuate in value and can decline significantly in response to the activities of individual companies and general market and economic conditions. The whole or any part of this work may not be reproduced, copied or transmitted or any of its contents disclosed to third parties without State Street Investment Management’s express written consent. This document provides summary information regarding the Strategy. This document should be read in conjunction with the Strategy’s Disclosure Document, which is available from State Street Investment Management. The Strategy Disclosure Document contains important information about the Strategy, including a description of a number of risks. © 2026 State Street Corporation. All Rights Reserved. ID4719150-6729237.1.5.GBL.INST 0826 Exp. Date: 31/07/2027

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Key arguments

Custom Portfolio Solutions offer flexibility to customize objectives, incorporate multiple data sources directly into the investment process, and achieve low tracking-error volatility compared to the reference benchmark.
The multi-source sustainability data framework enables integration of data from providers such as ISS ESG, MSCI, Sustainalytics, and others, supporting tailored sustainable investing approaches.
Case studies demonstrate successful implementation of climate bond strategies with carbon reduction targets (e.g., 30%, 40%, 50%) and forward-looking metrics like implied temperature rise ≤2°C, while keeping tracking error within tolerance (e.g., ~12 bps for EM strategy).

Risks

Sustainability data coverage and quality may vary across providers and affect the ability to achieve objectives.
Future performance of the strategies is not guaranteed; estimates and projections involve assumptions and analysis by State Street.
Tracking error may increase if market conditions change or if constraints limit the ability to replicate the benchmark.
The examples are illustrative and may not reflect the actual experience of all clients.