Portfolio ESG Risk Rating

Sustainalytics assigns its Portfolio ESG Risk Ratings by combining a portfolio's Corporate ESG Risk Rating and Sovereign ESG Risk Rating proportional to the relative weight of the (long-only) corporate and sovereign positions, rounded to the nearest whole number. Sovereign Historical ESG Risk Scores and Corporate Historical ESG Risk Scores are ranked and rated separately to represent the ESG risk of the portfolio relative to its peers for its respective corporate and sovereign positions, and then combined by their relative weights for the Portfolio ESG Risk Rating. Sustainalytics assigns Corporate and Sovereign ESG Risk Ratings by ranking the respective Corporate and Sovereign Historical ESG Risk Scores of all scored funds within a Morningstar Global Category.

The ranked funds are divided into five groups, based on a normal distribution, and each receives a rating from High to Low. For each peer group, the median scoring portfolio receives a 3 rating. Ratings are assigned to other portfolios in the peer group to achieve a normal distribution, with an exception made for cases where the scores within the peer group are not meaningfully differentiated. In practice, this can mean that all portfolios within some peer groups may receive the same corporate or sovereign rating. Please note that lower risk results in a higher rating. Higher ratings indicate that a fund is, on average, invested in fewer companies or sovereign debt with a high ESG risk under Sustainalytics' ESG Risk and Country Risk methodologies, and therefore exposed to less risk driven by E, S or G factors.

Percent rank rating depictions include the top 10% (High, 5 globes), followed by the next 22.5% (Above Average, 4 globes), the next 35% (Average, 3 globes), the next 22.5% (Below Average, 2 globes), and the bottom 10% (Low, 1 globe).