EuRoSIf EuRopEaN SRI TRaNSpaRENcy coDE - DEcEmbER 2021 3.5) What is the ESG analysis and evaluation rating and 0 being the ‘worst-in-class’ rating. our SRI ratings methodology of the fund manager/fund cover a global universe comprised of equities, corporate management company (how is the investment bonds, sovereigns, agency and supranational bonds. These universe built, what rating scale is used, etc.)? SRI ratings are built based upon our proprietary model. The model identifies and weights ESG indicators for each SRI Analysis sector, recognizing that ESG issues and their materiality We use a variety of information sources to analyze issuers, will differ from sector to sector. our proprietary model allows including independent extra-financial ratings, agency us to create specific coverage giving us the flexibility to reports, broker reports, dialogue with company represen- meet our customer needs. tatives, cSR experts, NGos, as well as press and other media sources. all data feeds into a proprietary database which has been calibrated in-house and integrates all 3.6) How often is the ESG evaluation of the data, including results of dialogue with issuers or other sta- issuers reviewed? How are any controversies keholders, controversies analysis, SRI analysis of new issuers managed? and a review of profiles established by extra-financial ratings agencies. our SRI methodology is reviewed conti- SRI ratings are reviewed on a monthly basis. There is also an nuously, and the database is updated on a monthly basis. annual review of the methodology. If a security or an issuer The underlying combination of more than one source of is subject to a severe SRI controversy, the Sustainability data, the coherence in the approach across asset classes Research and Stewardship teams study the issues. further- and sectors, and the consistency in the way data is inte- more, the two teams engage with the issuers in question if grated have allowed allianzGI’s dedicated Sustainable deemed necessary. based on these actions a conclusion is product categories to generate performance and evolve drawn. If the judgment by the Sustainability Research Team over time. The main ESG Data providers that supply us is negative, the fund manager will liquidate the position with raw ESG Data are Vigeo Eiris and Sustainalytics. We within a reasonable timeframe allowing for market liqui- supplement these with ISS Ethix and mScI data. These dity. This is especially important for fixed income products sources are reviewed and updated, and we will incorporate where there might be an absence of market liquidity. The new sources, if this is deemed necessary. our quantitative portfolio manager will aim to sell this position as soon as SRI analysis takes the form of our proprietary SRI ratings. market liquidity allows for it to be sold. These are on a scale of 0 to 4, with 4 being the best-in-class 4) INVESTMENT PROCESS 4.1) How are the results of the ESG research four stages: SRI Ratings; Idea Generation, Team Stock integrated into portfolio construction? Selection and portfolio construction. I. SRI Ratings Allianz Global Multi-Asset Credit SRI, at the core of our approach is a proprietary SRI analysis Allianz Global Credit SRI (*) and rating methodology that was first developed in The funds exclude several industry sectors, including 2002 and has been evolving ever since. our analysis tobacco, alcohol, gambling, pornography, and coal pro- identifies best and worst practices, combining these ducers. additionally, they follow a best-in-class approach considerations with the qualitative assessment of our in- with at least 70% of the portfolio rated by the Sustainabi- house Sustainability team. lity Research and Stewardship team. our proprietary model is a tool that has enabled us to evolve and adapt as this sector grows and changes. It Allianz Global Sustainability (*) has made it possible for us to include long-term trends like climate change in our process. at the same time, it The allianz Global Sustainability strategy invests in a has also enabled us to meet and exceed the increasing diversified mix of companies on the global stock market market and regulatory requirements in this space, incor- that generate long-term financial outperformance and porating new forward-looking analysis and simulta- enable a transition to a more sustainable economy. The neously delivering financial performance. investment process is a collaborative effort, consisting of 13