MSCI USA Screened Index

The MSCI USA Screened Index is based on the MSCI USA Index, its parent index, and includes large- and mid-cap U.S. equities. It reflects companies with above-average ESG ratings and excludes those involved in controversies or controversial business activities.

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Index code	721417
Index type	Equity
Benchmark administrator	MSCI LIMITED
Div Yld (%)	1.02
P/E	24.88
P/E Fwd	18.79
P/BV	5.74

Number of constituents	463
Index Market Cap	$60.64 T
Largest constituent Market Cap	$5.06 T
Smallest constituent Market Cap	$7.03 B
Average constituent Market Cap	$130.98 B
Median constituent Market Cap	$41.99 B
Does this benchmark pursue ESG objectives?	Yes

Data as of Oct. 30, 2026

		Annualized std dev (%)²	Sharpe ratio^2,3	Maximum drawdown
MSCI USA Screened Index	3.78	13.50	16.25	15.97	1.33	0.53	0.82	33.95	2020-02-19 - 2020-03-23
MSCI ACWI IMI Index	2.62	12.02	14.99	14.96	1.36	0.44	0.67	58.59	2007-10-31 - 2009-03-09

Ticker	Provider	Name	Product type	Index name	Currency
SASU LN	iShares	iShares MSCI USA ESG Screened UCITS ETF USD (Acc)	ETF	MSCI USA Screened Index	USD
DXUS IM	Fideuram	D-X MSCI USA Screened UCITS ETF - X	ETF	MSCI USA Screened Index	USD
SDUS LN	iShares	iShares MSCI USA ESG Screened UCITS ETF USD (Dist)	ETF	MSCI USA Screened Index	USD
SAUA IM	iShares	iShares MSCI USA Screened UCITS ETF	ETF	MSCI USA Screened Index	USD
USA NZ	Smartshares	Smartshares US Equities ESG ETF	ETF	MSCI USA Screened Index

ESG metrics

Summary

MSCI USA Screened Index

Implied Temperature Rise

> 2.0°C - < 3.2°C

98.5% coverage

MSCI ACWI IMI Index

Implied Temperature Rise

> 2.0°C - < 3.2°C

94.3% coverage

MSCI USA Screened Index	Score	Coverage
ESG Score	6.4	100.0%
UN Global Compact Violations % (*)	0.0%	100.0%
Red Flag ESG Controversies % (*)	0.0%	100.0%

MSCI ACWI IMI Index	Score	Coverage
ESG Score	6.7	89.8%
UN Global Compact Violations % (*)	0.1%	100.0%
Red Flag ESG Controversies % (*)	0.1%	100.0%

(*) Additional ESG factor not mentioned in the regulation but provided for transparency purposes.

Data available as of Oct. 2026. The information was updated as part of the regular monthly update cycle. Data available as of Oct. 2026. The information was updated as part of the regular monthly update cycle.

MSCI ESG and climate ratings, research and data are produced by MSCI Solutions LLC, a subsidiary of MSCI Inc. MSCI Sustainability Indexes, Analytics, Real Assets, and Private Capital Solutions are products of MSCI Inc. that utilize information from MSCI Solutions LLC. MSCI Indexes are administered by MSCI Limited and MSCI Deutschland GmbH.

Consolidated environmental rating distribution

MSCI USA Screened Index

MSCI ACWI IMI Index

MSCI USA Screened Index	Score	Coverage
Environmental Pillar Score	5.8	100.0%
Aggregated Climate VaR %	-10.2%	--
Policy Risk Climate VaR %	-8.8%	99.4%
Technology Opportunities Climate VaR %	0.7%	89.8%
Physical Risk Climate VaR %	-3.6%	99.4%
Fossil Fuel-Based Sector Exposure (NACE) %	3.4%	100.0%
Enterprise Carbon Intensity (t CO2e/$M EVIC)	138.2	100.0%
Reported Emissions %	93.8%	--
Estimated Emissions %	6.2%	--
Wtd Avg Carbon Intensity (t CO2e/$M Sales)	580.3	99.8%
High Climate Impact Sector Exposure %	59.6%	100.0%
Fossil Fuel Reserves % (*)	3.0%	100.0%
Green Revenue	13.5	100.0%
Green Capex %	0.1%	9.5%
Green Bonds % (**)	--	--

MSCI ACWI IMI Index	Score	Coverage
Environmental Pillar Score	5.7	89.8%
Aggregated Climate VaR %	-17.1%	--
Policy Risk Climate VaR %	-13.9%	96.3%
Technology Opportunities Climate VaR %	1.3%	63.8%
Physical Risk Climate VaR %	-4.7%	96.5%
Fossil Fuel-Based Sector Exposure (NACE) %	7.4%	100.0%
Enterprise Carbon Intensity (t CO2e/$M EVIC)	331.4	97.8%
Reported Emissions %	92.5%	--
Estimated Emissions %	7.4%	--
Wtd Avg Carbon Intensity (t CO2e/$M Sales)	1039.8	97.4%
High Climate Impact Sector Exposure %	62.9%	100.0%
Fossil Fuel Reserves % (*)	5.6%	99.1%
Green Revenue	9.3	99.9%
Green Capex %	0.4%	12.9%
Green Bonds % (**)	--	--

(*) Additional ESG factor not mentioned in the regulation but provided for transparency purposes.

(**) The universe of self-labelled green bonds is sourced from Refinitiv and Climate Bonds Initiative. Bonds included in the MSCI Fixed Income Indexes that are not identified as selflabelled green bonds based on data from Refinitiv and Climate Bonds Initiative are deemed non-compliant with the green bond criteria as defined by the MSCI ESG Research Green Bond Assessment methodology. Such bonds are counted towards the Coverage %.

MSCI USA Screened Index	Score	Coverage
Social Pillar Score	4.7	100.0%
Controversial Weapons %	0.0%	100.0%
Tobacco Involvement - Highly Restrictive %	0.0%	--
Tobacco Involvement - Moderately Restrictive % (*)	0.0%	100.0%
Social Violations (Count)	0.0	100.0%
Social Violations (% of Constituents)	0.0%	100.0%
Lack of Due Diligence Policy (ILO) %	24.6%	100.0%
Gender Pay Gap	12.6	86.0%
Female:Male Board Diversity Ratio	58.3	99.6%
Total Recordable Injury Rate	5.0	89.6%
Bribery and Corruption Controversies (Sum)	17.0	100.0%

MSCI ACWI IMI Index	Score	Coverage
Social Pillar Score	4.9	89.8%
Controversial Weapons %	0.4%	99.9%
Tobacco Involvement - Highly Restrictive %	0.7%	--
Tobacco Involvement - Moderately Restrictive % (*)	0.6%	99.9%
Social Violations (Count)	11.0	100.0%
Social Violations (% of Constituents)	0.1%	100.0%
Lack of Due Diligence Policy (ILO) %	22.7%	97.5%
Gender Pay Gap	14.0	83.8%
Female:Male Board Diversity Ratio	55.8	96.7%
Total Recordable Injury Rate	4.0	69.1%
Bribery and Corruption Controversies (Sum)	103.0	100.0%

MSCI USA Screened Index	Score	Coverage
Governance Pillar Score	5.4	100.0%
Board Independence	82.4	100.0%
Board Gender Diversity	35.4	100.0%

MSCI ACWI IMI Index	Score	Coverage
Governance Pillar Score	5.8	89.8%
Board Independence	79.0	98.6%
Board Gender Diversity	33.8	98.6%

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MSCI USA Screened Index

Score

Coverage

ESG Score

6.4

100.0%

UN Global Compact Violations % (*)

0.0%

100.0%

Red Flag ESG Controversies % (*)

0.0%

100.0%

MSCI ACWI IMI Index

Score

Coverage

ESG Score

6.7

89.8%

UN Global Compact Violations % (*)

0.1%

100.0%

Red Flag ESG Controversies % (*)

0.1%

100.0%

MSCI USA Screened Index

Score

Coverage

Environmental Pillar Score

5.8

100.0%

Aggregated Climate VaR %

-10.2%

Policy Risk Climate VaR %

-8.8%

99.4%

Technology Opportunities Climate VaR %

0.7%

89.8%

Physical Risk Climate VaR %

-3.6%

99.4%

Fossil Fuel-Based Sector Exposure (NACE) %

3.4%

100.0%

Enterprise Carbon Intensity (t CO2e/$M EVIC)

138.2

100.0%

Reported Emissions %

93.8%

Estimated Emissions %

6.2%

Wtd Avg Carbon Intensity (t CO2e/$M Sales)

580.3

99.8%

High Climate Impact Sector Exposure %

59.6%

100.0%

Fossil Fuel Reserves % (*)

3.0%

100.0%

Green Revenue

13.5

100.0%

Green Capex %

0.1%

9.5%

Green Bonds % (**)

MSCI ACWI IMI Index

Score

Coverage

Environmental Pillar Score

5.7

89.8%

Aggregated Climate VaR %

-17.1%

Policy Risk Climate VaR %

-13.9%

96.3%

Technology Opportunities Climate VaR %

1.3%

63.8%

Physical Risk Climate VaR %

-4.7%

96.5%

Fossil Fuel-Based Sector Exposure (NACE) %

7.4%

100.0%

Enterprise Carbon Intensity (t CO2e/$M EVIC)

331.4

97.8%

Reported Emissions %

92.5%

Estimated Emissions %

7.4%

Wtd Avg Carbon Intensity (t CO2e/$M Sales)

1039.8

97.4%

High Climate Impact Sector Exposure %

62.9%

100.0%

Fossil Fuel Reserves % (*)

5.6%

99.1%

Green Revenue

9.3

99.9%

Green Capex %

0.4%

12.9%

Green Bonds % (**)

APPLE	8.35%
NVIDIA	7.76%
MICROSOFT CORP	6.07%
AMAZON.COM	3.84%
ALPHABET A	2.71%
BROADCOM	2.43%
META PLATFORMS A	2.23%
ALPHABET C	2.14%
TESLA	1.89%
LILLY (ELI) & COMPANY	1.87%

		Annualized std dev (%)²			Sharpe ratio^2,3			Maximum drawdown
Index	Turnover(%)¹	3 YR	5 YR	10 YR	3 YR	5 YR	10 YR	%	Period YYYY-MM-DD
MSCI USA Screened Index	3.78	13.50	16.25	15.97	1.33	0.53	0.82	33.95	2020-02-19 - 2020-03-23
MSCI ACWI IMI Index	2.62	12.02	14.99	14.96	1.36	0.44	0.67	58.59	2007-10-31 - 2009-03-09

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ESG metrics

Summary

MSCI USA Screened Index

MSCI ACWI IMI Index

Consolidated environmental rating distribution

MSCI USA Screened Index

MSCI ACWI IMI Index

Consolidated social rating distribution

MSCI USA Screened Index

MSCI ACWI IMI Index

Consolidated governance rating distribution

MSCI USA Screened Index

MSCI ACWI IMI Index

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ESG metrics

Summary

MSCI USA Screened Index

MSCI ACWI IMI Index

Consolidated environmental rating distribution

MSCI USA Screened Index

MSCI ACWI IMI Index

Consolidated social rating distribution

MSCI USA Screened Index

MSCI ACWI IMI Index

Consolidated governance rating distribution

MSCI USA Screened Index

MSCI ACWI IMI Index

Index risk and return characteristics

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