DJSI NORTH AMERICA AND DJSI UNITED STATES - METHODOLOGY

Overview
Annual Review
Ongoing Review

Overview
The Dow Jones Sustainability North America Index (DJSI North America) and its subsets are reviewed annually and quarterly to ensure that the index composition accurately represents the top 20% of the leading sustainability companies in each of the DJSI sectors within the DJSI North America investable universe.

The annual review methodology selects these leading sustainability companies from the DJSI North America investable stocks universe. The resulting changes to the index composition are announced on the annual review date in the first week of September and implemented - after the official closing prices have been determined - on the third Friday of September.

All these changes will be effective on the next trading day.
The quarterly reviews reflect changes in the investable stocks universe as well as changes with regard to the number of shares, free float factors and — if applicable — free float cap factors.

Quarterly reviews are implemented on the third Friday in March, June, September, and December to become effective on the next trading day.
Changes to the index are implemented after the official closing values have been established. All adjustments are made before the start of the next trading day. Constituent changes that result from the quarterly review will be announced at least two business days prior to the implementation date.

Annual Review
The annual review of the DJSI North America is based on the DJSI North America investable stocks universe which comprises the biggest 600 North American companies in the Dow Jones World Index.

The review process follows:

1. Sector Classification
2. Corporate Sustainability Assessment
3. Ranking within Sectors
4. Eligible Sectors
5. Eligible Companies
6. Component Selection

1. Sector Classification
The DJSI sector classification is based on the ICB industry, supersector, sector, and subsector classification.
Each of the 600 companies in the DJSI North America investable stocks universe is assigned – based on the company’s primary revenue source – to one of the DJSI sectors.
The DJSI sectors - and their associated supersectors - are listed in the DJSI North America Guide Book.

2. Corporate Sustainability Assessment
All of the 600 companies in the DJSI North America investable stocks universe are invited to take part in SAM’s corporate sustainability assessment. Each company assessed is assigned a corporate sustainability performance score.

3. Ranking within Sectors
The analysed companies are ranked according to their corporate sustainability score within their DJSI sectors.

4. Eligible Industry Groups
Only those DJSI sectors – where the highest ranked company globally has a corporate sustainability performance score of at least one-fifth of the maximum score – are eligible for the DJSI North America. All other sectors – and their associated companies – are deemed ineligible and are eliminated from the review process.

5. Eligible Companies
From each eligible DJSI sector, only companies with a corporate sustainability performance score of at least half of the highest ranked company globally in the same sector are eligible for the DJSI North America. All other companies are deemed ineligible and are eliminated from the review process.

6. Component Selection
The target selection for each eligible DJSI sector is 20% of the companies in the investable universe in that group. In a first step, the top 15% of the eligible companies in each DJSI sector – by corporate sustainability performance ranking – are selected for the DJSI North America. In a second step, the eligible current DJSI North America component companies ranked in the buffer zone between the top 15% and the top 25% of the eligible companies – by corporate sustainability performance ranking – are selected for the DJSI North America. If after adding all current component companies in the buffer zone the target selection number is not reached, then additional non-component companies – in their corporate sustainability ranking order – are added to the selection universe, but only until the target selection number of companies is reached. If the difference in the corporate sustainability performance scores between the last selected company in order to reach the target selection number of companies in each DJSI sector and the next company in the sustainability ranking order is within the specified average error margin, then this next ranked company is also selected for the DJSI North America. The average error margin for the corporate sustainability performance assessment is determined by reviewing a random sample of companies among the upper half of the companies that were not selected because of relatively low corporate sustainability performance scores and the lower half of companies selected for the DJSI. The average error margin is reviewed annually.

Ongoing Review
In addition to the annual and quarterly reviews, the DJSI North America is also continually reviewed for changes to the index composition necessitated by extraordinary corporate actions - e.g. mergers, takeovers, spin-offs, initial public offerings (IPOs), delistings and bankruptcy - affecting the component companies and their corporate sustainability performance.