EuRoSIf EuRopEaN SRI TRaNSpaRENcy coDE - DEcEmbER 2021 4.3) How are the issuers that are present in team’s credit analysts assess ESG metrics in an integrated the portfolio, but not subject to ESG analysis fashion within the credit research process, to ascertain evaluated (not including mutual funds)? whether the ESG credentials of the investment is aligned to the sustainability objectives of the strategy. Where an issuer is not formally rated by the Sustainability Allianz Advanced Fixed Income Euro, Research team, the credit research analysts and portfolio managers will still consider ESG factors in their appraisal; Allianz Advanced Fixed Income Short Duration, this includes considerations of corporate governance or Allianz Euro Rentenfonds (*) environmental risks for example. Even in securitized assets, the team will look at factors such as energy efficiency and Through research we are able to gain an information natural disaster risk for commercial mortgage-backed advantage by developing an in-depth understanding of issues, or sponsor governance practices in other asset- the risks embedded in a security. for the advanced fixed backed issues. Income strategy, the primary source of research is allianzGI’s Allianz Global Sustainability, advanced analytics. Allianz Valeurs Durables, allianzGI’s advanced analytics is based on advanced pro- Allianz Actions Euro Convictions, prietary quantitative models. These models allow us to understand the complex relationships between numerous Allianz Europe Equity SRI, economic variables and to reduce the complexity of these Allianz Epargne Actions ISR Solidaire, relationships to make them more palatable and concrete Allianz Epargne Durable, for the portfolio manager. Allianz Climate Transition (*) We also recognize that classic quantitative approaches can be poor in predicting structural breaks in economic all the stocks in the portfolio are subject to an ESG analysis. relationships, especially during severe crises. This is due to Allianz Stiftungsfonds Nachhaltigkeit, the fact that many models try to capture those factors that were particularly good at explaining past events and, the- Allianz Vermögenskonzept SRI Dynamisch, refore, ignore indicators that may be relevant for future Allianz Vermögenskonzept SRI Ausgewogen, crises. our response is to take different views on the markets Allianz Vermögenskonzept SRI Defensiv, and constantly challenge what we observe through inno- Allianz Dynamic Multi Asset Strategy SRI 15, vative models. Allianz Dynamic Multi Asset Strategy SRI 50, using advanced analytics, we consider: Allianz Dynamic Multi Asset Strategy SRI 75, • Global sovereign bonds: through our research we analyse the ability, and the willingness to pay, of 110 sovereign Allianz Euro Balanced (*) issuers. • Global covered bonds: our research covers the legal fra- ESG analysis is performed on all single securities in the mework, macroeconomic environment, standalone issuer fixed income and equity sleeve. strength and covered pool quality for covered bonds Allianz Smart Energy, Allianz Clean Planet, issuers globally. • Global corporate bonds (financials and non-financials): Allianz Positive Change, Allianz Better World We systematically analyse the fundamental strength of Defensive, Allianz Better World Dynamic, global corporate issuers to obtain risk clustered classes Allianz Better World Moderate, of corporate bonds. This feeds into our Rich/ cheap ana- Allianz Global Water, Allianz Food Security, lysis tool, which measures the attractiveness of individual Allianz Sustainable Health Evolution (*) bonds along the yield curve. • Global Securitized: we cover over 300 transactions of ESG analysis is performed on all single securities. securitized issuance, including abS/mbS in Europe and in the uSa. Allianz Emerging Markets SRI Bond, a condition sine qua non for inclusion in an advanced Allianz Emerging Markets SRI Corporate Bond (*) fixed Income managed portfolio is that the issue and/or issuer has been internally rated using an advanced fixed as mentioned above, a 10% bucket exists for issuers that Income credit Rating methodology. The advanced fixed do not currently possess an SRI score. In such instances the Income team has developed several rating methodologies, each suited to a specific fixed-income asset-class. 32