Sustainability Disclosures – Deutsche Bank (Suisse) SA

Introduction

SFDR [1] came into effect on March 10, 2021. SFDR imposes new transparency obligations (Website disclosures, Pre-Contractual disclosures) & periodic reporting requirements on investment management firms at both a product and entity/manager level. This section relates to the “Website Disclosure” regulatory obligations arising out of SFDR Articles 3-10. More information can be found on the below links.

Definitions

For the purposes of this Regulation, the following definitions apply:

(1) ‘financial market participant’ means:

(a) an insurance undertaking which makes available an insurance‐based investment product (IBIP);

(b) an investment firm which provides portfolio management;

(c) an institution for occupational retirement provision (IORP);

(d) a manufacturer of a pension product;

(e) an alternative investment fund manager (AIFM);

(f) a pan‐European personal pension product (PEPP) provider;

(g) a manager of a qualifying venture capital fund registered in accordance with Article 14 of Regulation (EU) No 345/2013;

(h) a manager of a qualifying social entrepreneurship fund registered in accordance with Article 15 of Regulation (EU) No 346/2013;

(i) a management company of an undertaking for collective investment in transferable securities (UCITS management company); or

(j) a credit institution which provides portfolio management;

(2) ‘insurance undertaking’ means an insurance undertaking authorised in accordance with Article 18 of Directive 2009/138/EC;

(3) ‘insurance‐based investment product’ or ‘IBIP’ means:

(a) an insurance‐based investment product as defined in point (2) of Article 4 of Regulation (EU) No 1286/2014 of the European Parliament and of the Council (19); or

(b) an insurance product which is made available to a professional investor and which offers a maturity or surrender value that is wholly or partially exposed, directly or indirectly, to market fluctuations;

(4) ‘alternative investment fund manager’ or ‘AIFM’ means an AIFM as defined in point (b) of Article 4(1) of Directive 2011/61/EU;

(5) ‘investment firm’ means an investment firm as defined in point (1) of Article 4(1) of Directive 2014/65/EU;

(6) ‘portfolio management’ means portfolio management as defined in in point (8) of Article 4(1) of Directive 2014/65/EU;

(7) ‘institution for occupational retirement provision’ or ‘IORP’ means an institution for occupational retirement provision authorised or registered in accordance with Article 9 of Directive (EU) 2016/2341 except an institution in respect of which a Member State has chosen to apply Article 5 of that Directive or an institution that operates pension schemes which together have less than 15 members in total;

(8) ‘pension product’ means:

(a) a pension product as referred to in point (e) of Article 2(2) of Regulation (EU) No 1286/2014; or

(b) an individual pension product as referred to in point (g) of Article 2(2) of Regulation (EU) No 1286/2014;

(9) ‘pan‐European Personal Pension Product’ or ‘PEPP’ means a product as referred to in point (2) of Article 2 of Regulation (EU) 2019/1238;

(10) ‘UCITS management company’ means:

(a) a management company as defined in point (b) of Article 2(1) of Directive 2009/65/EC; or

(b) an investment company authorised in accordance with Directive 2009/65/EC which has not designated a management company authorised under that Directive for its management;

(11) ‘financial adviser’ means:

(a) an insurance intermediary which provides insurance advice with regard to IBIPs;

(b) an insurance undertaking which provides insurance advice with regard to IBIPs;

(c) a credit institution which provides investment advice;

(d) an investment firm which provides investment advice;

(e) an AIFM which provides investment advice in accordance with point (b)(i) of Article 6(4) of Directive 2011/61/EU; or

(f) a UCITS management company which provides investment advice in accordance with point (b)(i) of Article 6(3) of Directive 2009/65/EC;

(12) ‘financial product’ means:

(a) a portfolio managed in accordance with point (6) of this Article;

(b) an alternative investment fund (AIF);

(c) an IBIP;

(d) a pension product;

(e) a pension scheme;

(f) a UCITS; or

(g) a PEPP;

(13) ‘alternative investment funds’ or ‘AIFs’ means AIFs as defined in point (a) of Article 4(1) of Directive 2011/61/EU;

(14) ‘pension scheme’ means a pension scheme as defined in point (2) of Article 6 of Directive (EU) 2016/2341;

(15) ‘undertaking for collective investment in transferable securities’ or ‘UCITS’ means an undertaking authorised in accordance with Article 5 of Directive 2009/65/EC;

(16) ‘investment advice’ means investment advice as defined in point (4) of Article 4(1) of Directive 2014/65/EU;

(17) ‘sustainable investment’ means an investment in an economic activity that contributes to an environmental objective, as measured, for example, by key resource efficiency indicators on the use of energy, renewable energy, raw materials, water and land, on the production of waste, and greenhouse gas emissions, or on its impact on biodiversity and the circular economy, or an investment in an economic activity that contributes to a social objective, in particular an investment that contributes to tackling inequality or that fosters social cohesion, social integration and labour relations, or an investment in human capital or economically or socially disadvantaged communities, provided that such investments do not significantly harm any of those objectives and that the investee companies follow good governance practices, in particular with respect to sound management structures, employee relations, remuneration of staff and tax compliance;

(18) ‘professional investor’ means a client who meets the criteria laid down in Annex II to Directive 2014/65/EU;

(19) ‘retail investor’ means an investor who is not a professional investor;

(20) ‘insurance intermediary’ means an insurance intermediary as defined in point (3) of Article 2(1) of Directive (EU) 2016/97;

(21) ‘insurance advice’ means advice as defined in point (15) of Article 2(1) of Directive (EU) 2016/97;

(22) ‘sustainability risk’ means an environmental, social or governance event or condition that, if it occurs, could cause an actual or a potential material negative impact on the value of the investment;

(23) ‘European long‐term investment fund’ or ‘ELTIF’ means a fund authorised in accordance with Article 6 of Regulation (EU) 2015/760;

(24) ‘sustainability factors’ mean environmental, social and employee matters, respect for human rights, anti‐corruption and anti‐bribery matters.

1.1 Sustainability Risk Policy

Article 3: Transparency of sustainability risk policies for financial market participants and financial advisors for Deutsche Bank (Suisse) SA, March 2021

Introduction / Summary

On March 10, 2021 the Regulation (EU) 2019/2088 of November 27, 2019 on sustainability-related disclosures in the financial sector (Disclosure Regulation) has entered into force. This regulation aims to support sustainable investments by requiring Financial Market Participants (FMPs) and Financial Advisers (FAs) to disclose information regarding sustainability risks to investors and clients.

Article 3 of this regulation requires information to be shared with regards to the integration of sustainability risks within investment decision-making processes and investment advice. The approach taken by Deutsche Bank (Suisse) SA is further detailed below.

Deutsche Bank AG applies an overarching approach to the management of sustainability that is set out in a number of group level policies and procedures, which also apply to Deutsche Bank (Suisse) SA as member of Deutsche Bank Group. The group-wide Sustainability Policy delineates our main sustainability principles as well as the key requirements and responsibilities in connection with sustainability-related enquiries, non-financial sustainability reporting and ratings, environmental and social due diligence in the context of reputational risk management, and, together with relevant risk frameworks and broader commitments, provides relevant context regarding the Bank’s view on sustainability topics.

Whilst Deutsche Bank AG does not currently apply an overarching formal policy regarding the integration of sustainability risks in the investment decision‐making and advisory processes, Deutsche Bank AG still takes sustainability risks into account, as further described in following sections. In addition, business areas are working towards inclusion of the integration of sustainability risks within relevant policies and guidelines. These will be further enhanced on an ongoing basis as more sustainability related data becomes available over time.

Definition of sustainability risks

Sustainability risks (“ESG risks”) are designated as incidents or conditions in the areas of the Environment, Social or Corporate Governance, whose occurrence could have actual or potential significantly negative effects on the value of the investment. These risks can occur both separately and cumulatively; they can affect individual com¬panies or also entire sectors/branches or regions and can have very different characteristics.

The following examples can help to clarify sustainability risks:

As a result of the occurrence of extreme weather events as a consequence of climate change (known as physical risks), for example, production locations of individual companies or entire regions can be impaired or destroyed, leading to production stoppages, rising costs to restore the production locations and higher insu¬rance costs. Furthermore, extreme weather events as a consequence of climate change, such as long periods of low water during droughts, can impair the transport of goods or even make it impossible.

There are also risks in connection with the changeover to a low-carbon economy (known as transition risks): for example, political measures can lead to fossil fuels becoming more expensive and/or scarcer (examples: fossil-fuel phase-out, CO2 tax) or to high investment costs as a result of requirements to renovate buildings and plant. New technologies can displace familiar technologies (e.g. electric mobility), and changes in custo¬mer preferences and expectations in society can endanger companies’ business models if they do not react in time and take counter measures (by adjusting their business model, for example).

A substantial increase in physical risks would require a more abrupt changeover in the economy, which in turn would lead to higher transition risks.

Social risks arise from aspects such as non-compliance with labour law standards (for example, child labour and forced labour) and compliance with occupational health and safety regulations.

Examples of risks that arise within the scope of corporate management due to inadequate corporate gover¬nance and that can lead to high fines include non-compliance with taxpayer honesty and corruption.

Sustainability risks affect the following traditional risks of investments in securities in particular, and if they occur, could have a significantly negative effect on the yields of an investment in securities:

· Sector risk

· Price change risk

· Issuer/Credit risk

· Dividend risk

· Liquidity risk

· Currency risk

Method of including sustainability risks for Financial Markets Participants and Financial Advisors:

In order to evaluate sustainability risks, Deutsche Bank AG uses information such as that from external service providers that have specialised in the qualitative evaluation of ESG factors.

Because sustainability risks can have different effects on individual companies, sectors, investment regions, currencies and investment classes (for example, equities or bonds), when recommending financial instruments in the Bank follows the approach of diversifying investments as broadly as possible in order to reduce the effects of the occurrence of sustainability risks on the client´s portfolio. The Bank generally recommends distribution across a variety of investment classes in order to establish an individual client opportunity/risk pro¬file. In addition, investment advice pursues a policy of a broad spread of investment classes in a variety of bran¬ches/sectors, investment regions and currencies.

In addition to diversification, for Financial Market Participants, sustainability risks are taken into account at various points in the investment process when making investment decisions within the framework of financial portfolio management. Sustainability risks are taken into account during the macro-economic consideration and development of market opinion, when allocating assets to individual investment strategies and when selecting individual financial instruments.

1.2 Adverse sustainability impacts statement

1.2.1 Financial Market Participant

Statement by Deutsche Bank (Suisse) SA on principal adverse impacts of investment decisions on sustainability factors

Introduction / Summary

Deutsche Bank (Suisse) SA, 529900BXKPMXQTRE1V05, a wholly owned subsidiary of Deutsche Bank AG, considers principal adverse impacts of its investment decisions on sustainability factors. The present statement is the consolidated statement on principal adverse impacts on sustainability factors of Deutsche Bank AG, and its subsidiaries (including Deutsche Bank (Suisse) SA (“Deutsche Bank”).

The principal adverse impacts factors (i.e. identification, prioritisation and any action to be taken to manage exposure related thereto), are reviewed by Deutsche Bank. In this respect, forums are held annually in accordance with the internal Policy Framework to assess the relevant factors to consider. Deutsche Bank follows a principle-based approach to assess the relevant factors of the principal adverse impact. As the regulatory requirements and associated data related thereto are reviewed on an ongoing basis, Deutsche Bank aligns its factors on a regular basis.

As of 10 March 2021, Deutsche Bank makes factors relating to select principal adverse impacts transparent against the investment universe. Hence, it enables to make informed decisions in the selection process for the construction of relevant financial products.

In this context, the focus is on making the data available in the processes for the selection of underlying products for Deutsche Bank’s advised funds and managed portfolios. The principal adverse impacts factors is an additional aspect to be reviewed by Deutsche Bank’s portfolio managers when taking investment decisions. However, the principal adverse impacts factors are not the only factors taken into account when taking investment decisions.

Deutsche Bank works with third-party data providers to help it to obtain the required data and monitor its investable product universe. This enables it to include information on the principal adverse impacts across the applicable universe on a monthly basis.

Deutsche Bank will continue to monitor its exposure to adverse sustainability indicators and will adapt its strategy in accordance with its first quantitative statement publication by June 2023.

As standards of sustainability criteria are still emerging and reporting frameworks have not yet come into force. Hence, data on sustainability criteria are not always available from the capital management companies, the bank’s issuers or third-party data providers, especially with regard to the adverse impacts on sustainability factors.

The first reference period for quantitative reporting is 1 January to 31 December 2022, and the quantitative aspects will be published before 30 June 2023.

Description of the principle adverse impacts on sustainability factors

Deutsche Bank is required to collect data on adverse impact indicators and prepare an annual quantitative and qualitative report on them. The first reference period for quantitative reporting is 1 January to 31 December 2022, and the quantitative aspects will be published before 30 June 2023. This statement will then also include any action planned and taken. A historical comparison will be added in the following year, i.e. in the statement for the year 2023.

Deutsche Bank will carry out quantitative reporting in respect of all mandatory principal adverse impacts set out in the Disclosure Regulation. Deutsche Bank considers selected principal adverse impact indicators within its investment process. Indicators are selected on the basis of data availability, alignment with adverse activities on which the Deutsche Bank Group is particularly focused and the sustainable investment classification criteria, which set out the criteria to be met in the manufacturing of sustainable products. The investment process must allow for robust asset allocation across different regions, asset classes and sectors, which means that principal adverse impacts are not always applicable, or data is not readily available for all of the securities invested in.

The prioritised principal adverse impacts are as follows:

• Greenhouse gas (GHG) emissions

• Exposure to fossil fuels

Industries that derive revenues from the exploration, mining, extraction, distribution or refinement of solid, liquid or gaseous fuels (i.e. coal, oil, natural gas)

• Carbon emissions

The carbon dioxide equivalents released by a company, measured by volume and intensity

• Social and employee matters

• Compliance with United Nations Global Compact principles

At a minimum, companies need to fulfil fundamental responsibilities in the areas of human rights, labour, the environment and anti-corruption

• Exposure to controversial weapons

Industries that derive revenues from the manufacture or sale of controversial weapons (i.e. anti-personnel mines, cluster munitions, chemical, biological, radiological and nuclear weapons)

Additional principal adverse impacts will be included for the quantitative reporting from June 2023 where Deutsche Bank acts as a financial market participant.

• Additional environmental factor: investments in companies without carbon emission reduction initiatives

This factor indicates whether a company’s implied temperature rise (in 2100 or later) is estimated to be at or below 2°C if the economy as a whole has the same over-/undershoot level of greenhouse gas emissions as the company being analysed. The implied temperature rise is based on the company’s projected Scope 1, 2 and 3 emissions.

• Additional social factor: number of identified cases of severe human rights issues and incidents

Number of severe and very severe controversies in the last three years related to human rights violations

Description of policies to identify and prioritise principal adverse impacts on sustainability factors

Deutsche Bank has established a robust governance structure, helping it to manage, measure and monitor sustainability activities across the Deutsche Bank group. This governance structure includes a number of forums devoted entirely to sustainability.

The most important governance structure is the Group Sustainability Committee, which was created in 2020. Chaired by the Chief Executive Officer and the Chief Sustainability Officer (Vice-Chair), it consists of Management Board members of Deutsche Bank AG, the heads of Deutsche Bank business divisions and certain infrastructure functions.

Deutsche Bank applies an overarching approach to the management of sustainability , that is set out defined in various group-level policies and procedures.

As the regulatory requirements and data change on an ongoing basis, Deutsche Bank does not have a single defined policy relating to the principal adverse impacts.

Deutsche Bank is fully committed to integrating a more thorough and exhaustive principal adverse impact framework into its discretionary portfolio management services to reflect the changes.

Frameworks for financial markets participants describe the core processes, responsibilities, governance structures and monitoring environment. These stipulate that portfolio managers are provided with selected principal adverse impact information alongside the investment universe, enabling them to make informed decisions in the selection process for the construction of relevant financial products. The focus is on making the data available in the processes for the selection of underlying products for Deutsche Bank’s advised funds and managed portfolios. It is of the utmost importance that Deutsche Bank makes all investment decisions in the best interests of its clients and, in doing so, takes all financial and risk factors into account. Therefore, considering these principal adverse impacts is an additional aspect to be reviewed by Deutsche Bank’s portfolio managers when making investment decisions but will not automatically outweigh other relevant factors.

For financial products that follow a sustainable investing approach, Deutsche Bank has additionally specified a sustainable classification criteria policy (published in 2021) that has to be adhered to. Financial markets participants use third-party data providers in order to exclude or set threshold limits for exposure to industries or practices that are aligned with selected adverse sustainability indicators.

Deutsche Bank identifies and prioritises selected principal adverse impact indicators within its investment process. Indicators are selected on the basis of data availability, alignment with adverse activities on which the Deutsche Bank Group is particularly focused and the sustainable investment classification criteria, which set out the criteria to be met in the manufacturing of sustainable products. The investment process must allow for robust asset allocation across different regions, asset classes and sectors, which means that principal adverse impacts are not always applicable, or data is not readily available for all of the securities invested in. Deutsche Bank group will continue to monitor its exposure to adverse sustainability indicators and will adapt its strategy in accordance with its first quantitative statement publication in June 2023.

Deutsche Bank also regularly performs an assessment to determine the materiality of non-financial topics for the bank and its stakeholders. As part of this assessment, Deutsche Bank assesses any potential significant risks that are very likely to have or will have a severe negative impact on a material non-financial topic in terms of Deutsche Bank’s business activities, business relations, and products and services.

For the assessment of principal adverse impacts on sustainability factors, Deutsche Bank relies on data provided by capital management companies, investment funds and a third-party data provider. If no data from the capital management company or investment fund company is available, data from a third-party data provider is used.

Deutsche Bank does not guarantee that this information is correct or complete. Furthermore, Deutsche Bank cannot guarantee the correctness of the third-party data provider’s assessment. Deutsche Bank also has no influence on any disruptions to the third-party data provider’s analysis and research preparation.

As the standards and the regulatory framework regarding the consideration of sustainability criteria are still evolving, data on the consideration of principal adverse impacts is not always available.

As data is not always available and a third-party data provider is used, there may still be restrictions on the consideration of the principal adverse impacts.

To minimise these restrictions, Deutsche Bank has carefully selected its third-party data provider and maintains close contact with regard to changes in the quality of the data.

Engagement policies

Where Deutsche Bank acts as a financial market participant for financial products within the scope of the Disclosure Regulation, it does not currently engage directly with investee companies and therefore does not influence their business activities or risks.

References to international standards

Deutsche Bank is embedding sustainability into its policies, processes and products, focusing on four dimensions: Sustainable Finance, Policies & Commitments, People & Operations and Thought Leadership & Stakeholder Engagement. Making progress in these dimensions will enable Deutsche Bank to maximise its contribution to the achievement of the Paris Climate Agreement’s targets and the United Nations (UN) sustainable development goals. To underpin its long-standing commitment to sustainability, Deutsche Bank formally endorses universal sustainability frameworks and initiatives. For example, it is a member of the United Nations Environment Programme Finance Initiative (UNEP FI; 1992) and a signatory to the ten principles of the UN Global Compact (2000), the Principles for Responsible Banking (2019) and the Net-Zero Banking Alliance (2021).

Deutsche Bank Group follows internationally recognised principles for sustainable business and banking conduct, for example:

• The ten principles of the UN Global Compact

• The UNEP FI Principles for Responsible Banking

• The UN Guiding Principles on Business and Human Rights

A full list and further details of the standards adhered to can be found at Deutsche Bank Memberships, Commitments and International Guidelines (db.com).

By adhering to certain internationally recognised standards, such as the United Nations Global Compact principles, stipulating its maximum exposure to certain sectors, e.g. thermal coal and/or unconventional oil/gas, and excluding activities in connection with, for example, controversial weapons (including weapons systems, nuclear weapons, anti-personnel mines, incendiary weapons and cluster munitions), Deutsche Bank is indirectly aligning its ESG investment strategies with certain principal adverse impacts when acting as a financial markets participant.

In its portfolio management services, Deutsche Bank collaborates with third-party data providers to obtain data related to the sustainability factors of investee companies in respect of both direct and indirect investments. For ESG investment strategies, this includes (but is not limited to) assessing whether the investee universe has exposure to UN Global Compact or OECD violations (PAI 10) or to controversial weapons (PAI 14).

For portfolio management services, Deutsche Bank invests in developing net-zero-aligned, forward-looking climate scenarios that are aligned with the Paris Climate Agreement. However, Deutsche Bank does not currently consider climate scenarios in its investment decision-making process.

1.2.2 Financial Advisor

Statement by Deutsche Bank (Suisse) SA on consideration of the principal adverse impacts on sustainability factors when providing investment and insurance advice

Deutsche Bank (Suisse) SA (“DBS”) takes principal adverse impacts on sustainability factors into account when providing financial advice, as described in more detail in the following.

Principal adverse impacts on sustainability factors are referred to in article 4 of Regulation (EU) 2019/2088 of November 27, 2019, on sustainability‐related disclosures in the financial services sector (the “Disclosure Regulation”). These are more specifically set out in article 11 of Delegated Regulation (EU) 2022/1288 of April 6, 2022.

Deutsche Bank (Suisse) SA may take, into account the following principal adverse impacts categories, as defined by draft implementing legislation, for all financial products as defined by the Disclosure Regulation managed by EU legal entities:

• Exposure to Fossil Fuels

Industries that derive revenues from the exploration, mining, extraction, distribution or refining of hard, liquid or gaseous fuels (i.e. coal, oil, natural gas)

• Carbon emissions

The level of carbon dioxide equivalent that is released by a company, measured in volume and intensity

• Compliance with United Nations Global Compact principles

Observing that companies at a minimum, meet fundamental responsibilities in the areas of human rights, labor, environment, and anti-corruption

• Exposure to controversial weapons

Industries that derive revenues from the manufacture or selling of controversial weapons (i.e. Anti-Personnel Landmines, Cluster Munitions, Chemical, Biological, Radiological and Nuclear weapons)

EU-based managers or manufacturers of managed financial products (under the Disclosure Regulation, “Financial Market Participants”) exceeding on their balance sheet the criterion of the average number of 500 employees during the financial year, will be required to publish a statement on how they address and consider principal adverse impacts. We expect the first statement of Financial Market Participants to be a qualitative statement on how they consider principle adverse impacts in their investment decision making processes. With the publication of the RTS the first quantitative assessments on the indicators are expected to be disclosed by June 30, 2023. After that date we expect that, more and more data will become available to investors and financial advisors.

As part of our advisory due diligence process, DBS will review the relevant principal adverse impact statements published by the Financial Market Participants, to what extent their measures or strategies to address adverse impacts on sustainability factors are consistent with DBS’ requirements. If, in the DBS' view, there are significant discrepancies with DBS requirements, this may result in the manufacturer's products not being considered in the DBS investment advice. As soon as the managers or manufacturers of managed financial products publish indicators on adverse sustainability factors for their financial products as of June 30, 2023, DBS will include these in the overall qualitative assessment of these financial products, without providing for thresholds or ranking or weighting of the indicators. A key checkpoint in the assessment processes will be the improvement of a financial product's indicators over time. The enhanced due diligence process will ensure that we have clarity and transparency on the relevant adverse impacts considered by the Financial Market Participants and enables us to identify products that do not fulfil our qualitative requirements and therefore may result in us not recommending the respective financial products.

Status: 31.12.2022 (updates the publication of 10.03.2021)

1.3 Remuneration Policy

Sustainability and Remuneration

The consideration of Sustainability and Sustainability Risks is an integral part of the performance-based determination of variable compensation at DB group, both for employees and the Management Board.

Where appropriate, we have set sustainability related targets which include financial and non-financial targets such as sustainable financing and investment volumes as well as culture and conduct.

Furthermore, we expect all employees of Deutsche Bank to adhere to the sustainability principles stipulated in our code of conduct, which aim to generate sustainable value for our clients, employees, investors and society at a large. The code of conduct is embedded in our governance, policies, processes, and control systems.

1.4 Sustainability-related product disclosure section

The information contained in this section is provided in accordance to Art. 10 of the REGULATION (EU) 2019/2088 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of November 27, 2019 on sustainability-related disclosures in the financial services sector (the Disclosure Regulation).

1.4.1 Products promoting environmental or social characteristics

Financial Portfolio Management considers environmental and social characteristics:

Deutsche Bank acts in the capacity of a Financial Market Participant, and offers financial products in scope of the Disclosure Regulation. The following provides an overview of products offered that promote environmental and social characteristics (Article 8).

Active Asset Allocation (A3) (Plus) ESG

Summary

Environmental and social characteristics are taken into consideration when selecting financial instruments as part of Active Asset Allocation (A3) (Plus) ESG. However, discretionary portfolio management does not aim for sustainable investment or contribute to achieving an environmental or social objective in the meaning of EU regulation 2019/2088 on sustainability-related disclosures in the financial services sector (SFDR).

The minimum requirement for the inclusion of an issuer, a financial instrument (excluding investment funds) or an underlying asset in a discretionary mandate which considers sustainability criteria is that MSCI ESG Research (UK) Limited and MSCI ESG Research LLC (hereinafter “MSCI”) issued an ESG rating of at least “A”.

The minimum requirement for an investment fund listed by MSCI in a peer group with a name containing the term “emerging markets” or “high yield” or an investment fund that, based on its peer group, invests exclusively or primarily in equities from a country whose public limited companies are included in the MSCI Emerging Markets (EM) index is an ESG score of “BBB”. An ESG rating from MSCI of at least “A” is a minimum requirement for all other investment funds.

Moreover, issuers, with the exception of governments and investment funds, should be excluded if the overall assessment of the issuer according to MSCI's analysis indicates that the issuer's business practices or the manufactured products materially violate national or international norms, laws and/or generally accepted global standards. Issuers should also be excluded if they are active in business areas that are controversial in the bank's view or if they generate significant revenue in these business areas.

Principal adverse impacts on sustainability factors (“PAIs”) may be considered within the decision making process for investment funds (with the exception of those that are predominantly invested in sovereign bonds or other investment instruments issued by states) and for investment instruments issued by issuers other than states (“other issuers”).

At least 51% of the portfolio (excl. liquidity in the form of account balances and short-term deposits) shall be invested in investment instruments that take into account PAIs based on the criteria defined below.

PAIs are considered in the investment decision making process as described below:

For issuers with the exception of states in the group “greenhouse gas emissions”, adverse impacts on sustainability factors are currently taken into account solely by excluding companies that earn more than 5% of their revenues with the production of thermal coal and/or unconventional oil/gas. In the group “social factors and employment”, adverse impacts on sustainability factors are currently taken into account solely by excluding companies that violate the principles of the UN Global Compact or are active in the production of and trade in controversial weapons such as weapons systems, nuclear weapons, anti-personnel landmines, incendiary weapons and cluster ammunition. This consideration process focuses only on the issuer itself or to the degree that an investment instrument issued by such an issuer is the underlying asset of another investment instrument. For this purpose, the exclusion criteria provided by MSCI, which the Bank has agreed with MSCI, are applied.
In the investment decision making process for investment funds, PAIs are considered only to those funds that are not predominantly invested in sovereign bonds or other investment instruments issued by states. This is done via an exclusion approach based on the information obtained by the investment / fund company or MSCI.

Thereby, investment funds that do not take into consideration at least one indicator of the PAI families

• Greenhouse gas emissions as well as

• Social and employee matters

are excluded.

What asset allocation is planned for this financial product?

Any sustainability criteria do not apply to account balances (including short-term deposits). When investing, account balances (incl. short-term deposits) may also account for up to 100% of the assets subject to management in what the bank considers to be special market situations.

As soon as an investment instrument no longer meets the sustainability criteria, the bank will give priority to selling this investment instrument while safeguarding the interests of the customer. Compliance with the above sustainability criteria within financial portfolio management is controlled by portfolio management. The portfolio composition is reviewed by internal quality management in relation to a reporting date in the quarter.

In financial portfolio management, only investment instruments are taken into account for which, in the bank's view, sufficient data are available to assess the sustainability criteria. If data is not available, the bank does not make any estimates. The bank has carefully selected the data provider MSCI and is in constant exchange with MSCI on developments in data quality.

No sustainable investment objective

This financial product promotes environmental or social characteristics, but does not have as its objective sustainable investment.

Environmental or social characteristics of the financial product

Environmental and social characteristics are taken into consideration when selecting financial instruments as part of Active Asset Allocation (A3) (Plus) ESG. However, discretionary portfolio management does not aim for sustainable investment or contribute to achieving an environmental or social objective in the meaning of EU regulation 2019/2088 on sustainability-related disclosures in the financial services sector (SFDR).

The minimum requirement for the inclusion of an issuer, a financial instrument (excluding investment funds) or an underlying asset in a discretionary mandate which considers sustainability criteria is that MSCI ESG Research (UK) Limited and MSCI ESG Research LLC (hereinafter “MSCI”) issued an ESG rating of at least “A”.

The minimum requirement for an investment fund listed by MSCI in a peer group with a name containing the term “emerging markets” or “high yield” or an investment fund that, based on its peer group, invests exclusively or primarily in equities from a country whose public limited companies are included in the MSCI Emerging Markets (EM) index is an ESG score of “BBB”. An ESG rating from MSCI of at least “A” is a minimum requirement for all other investment funds.

Moreover, issuers, with the exception of governments and investment funds, should be excluded if the overall assessment of the issuer according to MSCI's analysis indicates that the issuer's business practices or the manufactured products materially violate national or international norms, laws and/or generally accepted global standards. Issuers should also be excluded if they are active in business areas that are controversial in the bank's view or if they generate significant revenue in these business areas.

Principal adverse impacts on sustainability factors (“PAIs”) may be considered within the decision making process for investment funds (with the exception of those that are predominantly invested in sovereign bonds or other investment instruments issued by states) and for investment instruments issued by issuers other than states (“other issuers”).

At least 51% of the portfolio (excl. liquidity in the form of account balances and short-term deposits) shall be invested in investment instruments that take into account PAIs based on the criteria defined below.

PAIs are considered in the investment decision making process as described below:

For issuers with the exception of states in the group “greenhouse gas emissions”, adverse impacts on sustainability factors are currently taken into account solely by excluding companies that earn more than 5% of their revenues with the production of thermal coal and/or unconventional oil/gas. In the group “social factors and employment”, adverse impacts on sustainability factors are currently taken into account solely by excluding companies that violate the principles of the UN Global Compact or are active in the production of and trade in controversial weapons such as weapons systems, nuclear weapons, anti-personnel landmines, incendiary weapons and cluster ammunition. This consideration process focuses only on the issuer itself or to the degree that an investment instrument issued by such an issuer is the underlying asset of another investment instrument. For this purpose, the exclusion criteria provided by MSCI, which the Bank has agreed with MSCI, are applied.
In the investment decision making process for investment funds, PAIs are considered only to those funds that are not predominantly invested in sovereign bonds or other investment instruments issued by states. This is done via an exclusion approach based on the information obtained by the investment / fund company or MSCI.

Thereby, investment funds that do not take into consideration at least one indicator of the PAI families

• Greenhouse gas emissions as well as

• Social and employee matters

are excluded.

Investment strategy

The assets under management are broadly diversified to implement a specific risk return-profile with additional focus on environmental, social or governance (“ESG”) aspects. The objective is to generate performance for the managed assets that is oriented towards that of the capital markets, within the limits of the strategy agreement concluded with the Client and the permissible investment instruments.

For clients who opt for a plus strategy, in the event of falling prices on the capital markets the focus is on limiting losses to the agreed target value over the calendar year (no capital protection). The plus strategy aims for a reduced risk with constant return opportunities. The increased risk tolerance is reflected with a decreased minimum quota for cash and bond investments and bond-related investments.

The Active Asset Allocation (A3) (Plus) ESG will preferentially invest in investment instruments that meet the ESG criteria and take into consideration PAIs of the PAI families “Greenhouse gas emissions” and “Social and employee matters”, as specified in the section above.

The Bank uses exclusively the updated positive lists for the selection of investment instruments, which consider the a.m. minimum MSCI ESG rating of “A“, resp. “BBB” for Emerging Market or High Yield investments, as well as the mentioned exclusions.

In the investment decision making process for investment funds that do not invest predominantly in investment instruments issued by states, in addition PAIs are considered for PAI families “Greenhouse gas emissions” and “Social and employee matters”.

Account balances and short-term deposits are held exclusively at Deutsche Bank (Suisse) SA. ESG criteria are not applied to these assets. If the Bank believes that special market conditions prevail, account balances and short-term deposits may account for a substantial part of the assets under management. In these special market conditions, up to 100% of the assets may therefore be held in non-ESG compliant investment instruments.

The positive lists will be updated by MSCI regularly. If any investment instrument does no longer fulfil the ESG criteria, the Bank will make reasonable effort to sell the position, whilst safeguarding the Client's interests at all times.

MSCI uses a scoring model identifying and estimating considerable ESG related chances and risks, which considers characteristics of good governance. In addition, issuers will be excluded if they operate in areas of business that the Bank deems critical or if they generate significant revenues in such areas.

Proportion of investments

What asset allocation is planned for this financial product?

Financial portfolio management does not currently aim at a minimum proportion of sustainable investments. Therefore, no data are currently collected on whether some investments in the portfolio (partially) are in line with the Taxonomy Regulation (Regulation (EU) 2020/852) and pursue the environmental objectives set out therein. Also, no data is collected on whether sustainable investments may be made under the Disclosure Regulation (Regulation (EU) 2019/2088) to achieve environmental or social goals.

When assessing whether environmental and social characteristics have been met, the investment instruments invested are taken into account. In the case of investment instruments issued by companies or states, issuers and underlying of the investment instruments are valued. In the case of investment funds, the total assets of the fund's shall be considered. This means that not every portfolio component within the fund assets has to meet the environmental and social characteristics.

Monitoring of environmental or social characteristics

The Bank bases its selection of investment instruments on the updated positive lists drawn up by MSCI, taking into account an MSCI ESG rating of at least "A" and the exclusion criteria specified by the Bank.

In the investment decision making process for other issuers and investment funds that do not invest predominantly in investment instruments issued by states, PAI factors are considered for PAI families “Greenhouse gas emissions” and “Social and employee matters” as described above.

The positive lists will be updated by MSCI regularly. If any investment instrument does no longer fulfil the sustainability criteria, the Bank will make reasonable effort to sell the position, whilst safeguarding the Client's interests at all times.

The portfolio composition is reviewed by an internal quality management system based on a reporting date in the quarter. An external check for compliance with the sustainability criteria does not take place.

Methodologies

The positive lists will be updated by MSCI regularly. In the investment decision making process for other issuers and investment funds that do not invest predominantly in investment instruments issued by states, PAIs are considered for PAI families “Greenhouse gas emissions” and “Social and employee matters” as described above.

For other issuers this is done via data provided by MSCI that considers exclusion criteria in the positive lists.

For investment funds that do not predominantly invest in states, it takes place using an exclusion approach based on information provided by asset management firms, investment, or funds companies or MSCI.

Data, especially with regard to the consideration of PAIs, is currently not always available to the Bank and MSCI from the investment/fund companies or the respective issuers. If data is available from the investment/fund companies, it is used and checked for plausibility on the basis of MSCI data. If no data from the investment/fund companies is available, MSCI data will be used as the basis for assessment.

Data sources and processing

In the context of discretionary portfolio management, investments will be made into investment instruments that meet certain sustainability criteria. The rating and assessments of MSCI is used to assess whether a financial instrument meets the sustainability criteria.

The minimum requirement for an issuer, financial instrument, with the exception of investment funds, or underlying asset to be included in the above-mentioned positive list is an ESG rating from MSCI of at least “A” (on a scale where “AAA” is MSCI's best rating for sustainability and “CCC” its worst).

Investment funds listed by MSCI in a peer group with a name containing the term “emerging markets” or “high yield” and investment funds that, based on their peer group, invest exclusively or primarily in equities from a country whose public limited companies are included in the MSCI Emerging Markets (EM) index are also deemed eligible if their ESG score according to the positive list is “BBB”. An ESG rating from MSCI of at least “A” is a minimum requirement for all other investment funds.

Special provisions for derivative transactions: When executing derivative transactions, the counterparty of the derivative transaction (the stock exchange) does not require an MSCI ESG rating, i.e. it is permitted to execute derivative transactions with stock exchanges that have no MSCI ESG rating or an MSCI ESG rating below “A” and that are consequently not included on any positive list. It is also permitted to invest in derivative contracts that use as an underlying instrument one or multiple indices, even if no MSCI ESG rating is available for the relevant indices or if their MSCI ESG rating is lower than “A” and they are consequently not included on any positive list. Other underlying instruments of derivative contracts (or issuers of such underlying instruments), for which MSCI has prepared a positive list, must meet the minimum requirement of an MSCI ESG rating of “A” or higher.

MSCI uses a scoring model intended to identify and measure significant ESG opportunities and risks to determine the rating. This includes aspects of corporate governance. Regardless of the above-mentioned ESG rating, the investment strategy additionally applies exclusion criteria provided by MSCI as agreed between the bank and MSCI.

In the investment decision making process for other issuers and investment funds that do not invest predominantly in investment instruments issued by states, PAI factors are considered for PAI families “Greenhouse gas emissions” and “Social and employee matters” as described above.

For other issuers this is done via data provided by MSCI that considers exclusion criteria in the positive lists.

For investment funds that do not predominantly invest in states, it takes place using an exclusion approach based on information provided by asset management firms, investment, or funds companies or MSCI.

If data is available from the investment/fund companies, it is used and checked for plausibility on the basis of MSCI data. If no data from the investment/fund companies is available, MSCI data will be used as the basis for assessment.

Limitations to methodologies and data

MSCI's compliance in not monitored with respect to sustainability and exclusion criteria. It cannot be guaranteed the accuracy of MSCI's assessment, or the accuracy and completeness of the positive list generated by MSCI, but will use information from MSCI as a basis. No influence on disruptions to MSCI's analysis and preparation for research is made.

Due to emerging standards in the area of the consideration of sustainability criteria and an ongoing legal framework, data are not yet available from the capital management companies, but also from the respective issuers of the Bank and MSCI, in particular with regard to the consideration of adverse effects on sustainability factors.

If data from the capital management company or investment/fund companies are not available, MSCI data will be used as the basis for the assessment.

As the Bank considers MSCI as the sole data provider and does not verify the accuracy and completeness of the assessments and positive lists provided by MSCI, restrictions on the fulfillment of the sustainability criteria could arise.

In order to minimize the aforementioned limitation, the Bank has carefully selected the data provider MSCI and is in constant exchange with MSCI on developments in data quality.

Due diligence

The Bank bases its selection of investment instruments on the updated positive lists drawn up by MSCI, taking into account an MSCI ESG rating of at least "A" and the exclusion criteria specified by the Bank.

In the investment decision making process for other issuers and investment funds that do not invest predominantly in investment instruments issued by states, PAI factors are considered for PAI families “Greenhouse gas emissions” and “Social and employee matters” as described above.

The positive lists will be updated by MSCI regularly. If any investment instrument does no longer fulfil the sustainability criteria, the Bank will make reasonable effort to sell the position, whilst safeguarding the Client's interests at all times.

The portfolio composition is reviewed by an internal quality management system based on a reporting date in the quarter. An external check for compliance with the sustainability criteria does not take place.