Fixed Income

BGF Emerging Markets Impact Bond Fund

Overview

Important Information: Capital at Risk. The value of investments and the income from them can fall as well as rise and are not guaranteed. Investors may not get back the amount originally invested.

Changes to interest rates, credit risk and/or issuer defaults will have a significant impact on the performance of fixed income securities. Noninvestment grade fixed income securities can be more sensitive to changes in these risks than higher rated fixed income securities. Potential or actual credit rating downgrades may increase the level of risk. Emerging markets are generally more sensitive to economic and political conditions than developed markets. Other factors include greater 'Liquidity Risk', restrictions on investment or transfer of assets, failed/delayed delivery of securities or payments to the Fund and sustainability-related risks. Derivatives may be highly sensitive to changes in the value of the asset on which they are based and can increase the size of losses and gains, resulting in greater fluctuations in the value of the Fund. The impact to the Fund can be greater where derivatives are used in an extensive or complex way. The Fund seeks to exclude companies engaging in certain activities inconsistent with ESG criteria. Investors should therefore make a personal ethical assessment of the Fund’s ESG screening prior to investing in the Fund. Such ESG screening may adversely affect the value of the Fund’s investments compared to a fund without such screening.

All currency hedged share classes of this fund use derivatives to hedge currency risk. The use of derivatives for a share class could pose a potential risk of contagion (also known as spill-over) to other share classes in the fund. The fund’s management company will ensure appropriate procedures are in place to minimise contagion risk to other share class. Using the drop down box directly below the name of the fund, you can view a list of all share classes in the fund – currency hedged share classes are indicated by the word “Hedged” in the name of the share class. In addition, a full list of all currency hedged share classes is available on request from the fund’s management company

To the extent the Fund undertakes securities lending to reduce costs, the Fund will receive 62.5% of the associated revenue generated and the remaining 37.5% will be received by BlackRock as the securities lending agent. As securities lending revenue sharing does not increase the costs of running the Fund, this has been excluded from the ongoing charges.

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Performance

Performance

Distributions

Ex-Date Total Distribution
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Returns not available as there is less than one year’s performance data.

The figures shown relate to past performance. Past performance is not a reliable indicator of future performance. Markets could develop very differently in the future. It can help you to assess how the fund has been managed in the past

Share Class and Benchmark performance displayed in EUR, hedged share class benchmark performance is displayed in USD.

Performance is shown on a Net Asset Value (NAV) basis, with gross income reinvested where applicable. The return of your investment may increase or decrease as a result of currency fluctuations if your investment is made in a currency other than that used in the past performance calculation. Source: Blackrock

Key Facts

Key Facts

Net Assets of Fund
as of 11.Oct2024
USD 112.302.882
Fund Launch Date
12.Jul2021
Fund Base Currency
USD
Comparator Benchmark 1
JPM JESG EM Green Bond (JESG EM GENIE) USD Hedged Index
Initial Charge
0,00%
Management Fee
0,40%
Performance Fee
0,00%
Domicile
Luxembourg
Management Company
BlackRock (Luxembourg) S.A.
Dealing Settlement
Trade Date + 3 days
Bloomberg Ticker
BGFEII3
Share Class launch date
14.Aug2024
Share Class Currency
EUR
Asset Class
Fixed Income
SFDR Classification
Article 9
Ongoing Charges Figures
0,44%
ISIN
LU2860231856
Use of Income
Distributing
Regulatory Structure
UCITS
Morningstar Category
-
Dealing Frequency
Daily, forward pricing basis
SEDOL
BPMR070

Portfolio Characteristics

Portfolio Characteristics

Number of Holdings
as of 30.Sept2024
78
Standard Deviation (3y)
as of -
-
Yield to Maturity
as of 30.Sept2024
5,27%
Weighted Average YTM
as of 30.Sept2024
5,21%
Weighted Avg Maturity
as of 30.Sept2024
6,20
12 Month Trailing Dividend Distribution Yield
as of -
-
3y Beta
as of -
-
Modified Duration
as of 30.Sept2024
4,66
Effective Duration
as of 30.Sept2024
4,59
WAL to Worst
as of 30.Sept2024
6,20

Sustainability Characteristics

Sustainability Characteristics

To be included in MSCI ESG Fund Ratings, 65% (or 50% for bond funds and money market funds) of the fund’s gross weight must come from securities with ESG coverage by MSCI ESG Research (certain cash positions and other asset types deemed not relevant for ESG analysis by MSCI are removed prior to calculating a fund’s gross weight; the absolute values of short positions are included but treated as uncovered), the fund’s holdings date must be less than one year old, and the fund must have at least ten securities. MSCI Ratings are currently unavailable for this fund.

Sustainability-related Disclosure

Sustainability-related Disclosure

This section provides sustainability-related information about the Fund, pursuant to Article 10 SFDR.

A. Summary

The Fund invests in Sustainable Investments. BlackRock defines Sustainable Investments as investments in issuers or securities that contribute to an environmental or social objective, do not significantly harm any of those objectives and where investee companies follow good governance practices. BlackRock refers to relevant sustainability frameworks to identify the alignment of the investment to environmental or social objectives. Sustainable Investments should also meet the do no significant harm (DNSH) requirements, as defined by applicable law and regulation. BlackRock has developed a set of criteria to assess whether an issuer or investment does significant harm. BlackRock invests in Sustainable Investments which contribute to a range of environmental and / or social objectives which may include but are not limited to, alternative and renewable energy, energy efficiency, pollution prevention or mitigation, reuse and recycling, health, nutrition, sanitation and education and the UN Sustainable Development Goals. The Fund seeks to (i) apply a set of exclusionary screens.

The Fund invests in a relatively concentrated global portfolio of “Green, Social and Sustainability” (GSS) bonds issued by governments and agencies of, and companies domiciled or exercising the predominant part of their economic activity in, emerging markets, where the proceeds of such GSS bonds are tied to green and socially responsible projects. The binding elements of the strategy are as follows: (1) Maintain that all of the Fund's investments will be Sustainable Investments (save for instruments used for the purposes of liquidity management and/or hedging, which will not exceed 20% of the Fund's total assets). In relation to such Sustainable Investments, at least 15% of the Fund’s total assets will be invested in Sustainable Investments with environmental objectives that are not aligned with the EU Taxonomy, and at least 1% of the Fund’s total assets will be invested in Sustainable Investments with a social objective.; (2) Apply the exclusionary screens; (3) Maintain that the investment strategy reduces the investment universe of the Fund by at least 20%. For the purposes of measuring this reduction only, a combination of the JP Morgan Emerging Markets Bond Index and JPMorgan Corporate Emerging Markets Bond Index is used to define the investment universe; and (4) Ensure that more than 90% of the issuers of securities in which the Fund invests (excluding money market funds) shall be ESG rated or have been analysed for ESG purposes. This Fund takes into account the PAIs through BlackRock's DNSH standard for Sustainable Investments.

All of the Fund’s investments will be Sustainable Investments or instruments used for the purposes of liquidity management and/or hedging. Investments used for the purposes of liquidity management and/or hedging will not exceed 20% of the Fund's total assets. A minimum of 80% of the Fund’s total assets will be invested in Sustainable Investments,In relation to these Sustainable Investments, at least 15% of the Fund’s total assets will be invested in Sustainable Investments with environmental objectives that are not aligned with the EU Taxonomy, and at least 1% of the Fund’s total assets will be invested in Sustainable Investments with a social objective. The remainder of the Fund’s Sustainable Investments may fluctuate between these types of Sustainable Investment. The Fund may invest up to 20% of its total assets in other investments.  The Fund does not currently commit to investing more than 0% of its assets in Sustainable Investments with an environmental objective aligned with the EU Taxonomy, however, these investments may form part of the portfolio.  

The Fund does not currently commit to invest in fossil gas and/or nuclear energy related activities that comply with the EU Taxonomy, however, these investments may form part of the portfolio.

BlackRock has developed a highly automated compliance process to help ensure that the Fund is managed in accordance with its stated investment guidelines and applicable regulatory requirements. This includes monitoring of the environmental or social characteristics of the Fund in accordance with the relevant methodology. BlackRock has developed a proprietary methodology for determining Sustainable Investments and the Fund uses a number of other methodologies to measure the attainment of the sustainable investment objective.

BlackRock Portfolio Managers have access to research, data, tools, and analytics to integrate ESG insights into their investment process. ESG datasets are sourced from external third-party data providers, including but not limited to MSCI, Sustainalytics, Refinitiv, S&P and Clarity AI. BlackRock applies a comprehensive due diligence process to evaluate provider offerings with highly targeted methodology reviews and coverage assessments based on the sustainable investment strategy of the product. Data, including ESG data, is received through our existing interfaces, and then processed through a series of quality control and completeness checks which seeks to ensure that data is high-quality data before being made available for use downstream within BlackRock systems and applications, such as Aladdin. BlackRock strives to capture as much reported data from companies via 3rd party data providers as practicable, however, industry standards around disclosure frameworks are still evolving, particularly with respect to forward looking indicators. As a result, in certain cases we rely on estimated or proxy measures from data providers to cover our broad investible universe of issuers.

BlackRock continues to monitor developments in the EU's ongoing implementation of its framework for sustainable investing and its investment methodologies seeking to ensure alignment as the regulatory environment changes. ESG data sets are constantly changing and improving as disclosure standards, regulatory frameworks and industry practice evolve. BlackRock continues to work with a broad range of market participants to improve data quality. Sustainable investing and understanding of sustainability is evolving along with the data environment. Industry participants face challenges in identifying a single metric or set of standardized metrics to provide a complete view on a company or an investment. BlackRock has therefore established a framework to identify sustainable investments taking into account the regulatory requirements.

BlackRock applies a high standard of due diligence in the selection and ongoing monitoring of investments made by the Fund for the purpose of compliance with the investment, liquidity and risk guidelines of the Fund, as well as the sustainability risk and ESG criteria and general performance.

Engagement with companies in which we invest our clients’ assets occurs at multiple levels within BlackRock. Where investment teams choose to leverage engagement, this can take a variety of forms but, in essence, the portfolio management team would seek to have regular and continuing dialogue with executives or board directors of engaged investee companies to advance sound governance and sustainable business practices targeted at the identified ESG characteristics and principal adverse indicators, as well as to understand the effectiveness of the company’s management and oversight of activities designed to address the identified ESG issues. Engagement also allows the portfolio management team to provide feedback on company practices and disclosures.

There is no specific index designated as a reference benchmark to meet the sustainable investment objective of the Fund.

B. No significant harm to the sustainable investment objective

Sustainable Investments meet the DNSH requirements, as defined by applicable law and regulation. BlackRock has developed a set of criteria across all Sustainable Investments to assess whether an issuer or investment does significant harm. Investments considered to be causing significant harm do not qualify as Sustainable Investments.

The indicators for adverse impacts on sustainability factors for each type of investment are assessed using BlackRock’s Sustainable Investments proprietary methodology. BlackRock uses third-party data and/or fundamental analysis to identify investments which negatively impact sustainability factors and cause significant harm.

Sustainable Investments are assessed to consider any detrimental impacts and ensure compliance with international standards of the OECD Guidelines for Multinational Enterprises and the UN Guiding Principles on Business and Human Rights, including the principles and rights set out in the eight fundamental conventions identified in the Declaration of the International Labour Organisation on Fundamental Principles and Rights at Work and the International Bill of Human Rights. Issuers deemed to have violated these conventions are not considered as Sustainable Investments.

C. Sustainable investment objective of the financial product

The Fund seeks to invest at least 80% of its total assets in a relatively concentrated global portfolio of “Green, Social and Sustainability” (GSS) bonds issued by governments and agencies of, and companies domiciled or exercising the predominant part of their economic activity in, emerging markets, where the proceeds of such GSS bonds are tied to green and socially responsible projects.

The Fund invests in “impact” investments which are those made with the intention to generate positive, measurable social and/or environmental impact alongside a financial return.

The Fund invests a minimum of 80% of its total assets in Sustainable Investments, across environmental and social objectives. The minimum for each Sustainable Investment objective is set out in the box above. BlackRock defines Sustainable Investments as investments in issuers or securities that contribute to an environmental or social objective, do not significantly harm any of those objectives and where investee companies follow good governance practices. BlackRock refers to relevant sustainability frameworks to identify the alignment of the investment to environmental or social objectives.

BlackRock invests in Sustainable Investments which contribute to a range of environmental and / or social objectives which may include but are not limited to, alternative and renewable energy, energy efficiency, pollution prevention or mitigation, reuse and recycling, health, nutrition, sanitation and education and the UN Sustainable Development Goals (“Environmental and Social Objectives”).

An investment will be assessed as contributing to an Environmental and/or Social Objective where:
a) minimum proportion of the issuer’s business activity contributes to an Environmental and/or Social Objective; or
b) the issuer’s business practices contribute to an Environmental and/or Social Objective; or
c) the use of proceeds is assessed as contributing to an Environmental and/or Social Objective such as green bonds, social bonds, and sustainability bonds; or
d) the fixed income securities are aligned with an Environmental and/or Social Objective.

The Fund applies a set of exclusionary screens.

The Investment Adviser intends to limit direct investment in securities of issuers which, in the opinion of the Investment Adviser: have any exposure to, or ties with, controversial weapons; derive more than five per cent of their revenue from the production, distribution, licensing, retail or supply of tobacco or tobacco-related products; the production or distribution of firearms or small arms ammunitions intended for retail civilians; are deemed to have failed to comply with one or more of the ten United Nation Global Compact Principles, which cover human rights, labour standards, the environment and anti-corruption.

D. Investment strategy

The Fund invests in a relatively concentrated global portfolio of “Green, Social and Sustainability” (GSS) bonds issued by governments and agencies of, and companies domiciled or exercising the predominant part of their economic activity in, emerging markets, where the proceeds of such GSS bonds are tied to green and socially responsible projects.

The Fund invests in “impact” investments which are those made with the intention to generate positive, measurable social and/or environmental impact alongside a financial return. More than 90% of the issuers of securities the Fund invests in are ESG rated or have been analysed for ESG purposes.

For the selection of GSS bonds, the Investment Adviser will analyse the use of proceeds of the issues and the issuer framework for alignment of the bonds with the Green Bond Principles (GBP), Social Bond Principles (SBP), and Sustainability Bond Guidelines (SBG) of the International Capital Markets Association to determine suitability within the investment universe.

For the entire portfolio, the Investment Adviser will base investment decisions on issuer specific research (such as sovereign and credit analysis comprising a multi factor framework assessing global, country and issuer specific risk to determine issuers’ ability and willingness to pay over the long term) to identify and select the GSS bonds and other fixed income securities that, in the opinion of the Investment Adviser, have the potential to produce attractive long-term returns whilst also being consistent with the United Nations Sustainable Development Goals (“UN SDGs”). The UN SDGs are a series of goals published by the United Nations which recognise that ending poverty and other deprivations must go hand-in-hand with improvements in health, education, and economic growth, and a reduction in inequalities, all whilst tackling climate change and working to preserve the planet’s oceans and forests. For further details see the UN website: https://www.un.org/sustainabledevelopment/sustainable-development-goals).

For the selection of non-GSS bonds, including emerging market corporate bonds and sovereign bonds, the Investment Adviser will only invest in highly rated ESG bonds.

The Investment Adviser also intends to limit direct investment in securities of issuers which, in the opinion of the Investment Adviser: have any exposure to, or ties with, controversial weapons; derive more than five per cent of their revenue from the production, distribution, licensing, retail or supply of tobacco or tobacco-related products; the production or distribution of firearms or small arms ammunitions intended for retail civilians; are deemed to have failed to comply with one or more of the ten United Nation Global Compact Principles (“UNGC”), which cover human rights, labour standards, the environment and anti-corruption.

The binding elements of the strategy are as follows:
1. Maintain that all of the Fund's investments will be Sustainable Investments (save for instruments used for the purposes of liquidity management and/or hedging, which will not exceed 20% of the Fund's total assets). In relation to such Sustainable Investments, at least 15% of the Fund’s total assets will be invested in Sustainable Investments with environmental objectives that are not aligned with the EU Taxonomy, and at least 1% of the Fund’s total assets will be invested in Sustainable Investments with a social objective.
2. Apply the exclusionary screens.
3. Maintain that the investment strategy reduces the investment universe of the Fund by at least 20%. For the purposes of measuring this reduction only, a combination of the JP Morgan Emerging Markets Bond Index and JPMorgan Corporate Emerging Markets Bond Index is used to define the investment universe.
4. Ensure that more than 90% of the issuers of securities in which the Fund invests (excluding money market funds) shall be ESG rated or have been analysed for ESG purposes.

Consideration of principal adverse impacts on sustainability factors

This Fund takes into account the PAIs through BlackRock's DNSH standard for Sustainable Investments. This Fund will provide information on the PAIs in its annual report.

Good governance policy

BlackRock assesses good governance practices of the investee companies by combining proprietary insights and shareholder engagement by the Investment Adviser, with data from external ESG research providers. BlackRock uses data from external ESG research providers to initially identify issuers which may not have satisfactory governance practices in relation to key performance indicators (KPIs) related to sound management structure, employee relations, remuneration of staff and tax compliance.

Where issuers are identified as potentially having issues with regards to good governance, the issuers are reviewed to ensure that, where the Investment Adviser agrees with this external assessment, the Investment Adviser is satisfied that the issuer has either taken remediation actions or will take remedial actions within a reasonable time frame based on the Investment Adviser’s direct engagement with the issuer. The Investment Adviser may also decide to reduce exposure to such issuers.

E. Proportion of Investments

All of the Fund’s investments will be Sustainable Investments or instruments used for the purposes of liquidity management and/or hedging. Investments used for the purposes of liquidity management and/or hedging will not exceed 20% of the Fund's total assets.

A minimum of 80% of the Fund’s total assets will be invested in Sustainable Investments.In relation to these Sustainable Investments, at least 15% of the Fund’s total assets will be invested in Sustainable Investments with environmental objectives that are not aligned with the EU Taxonomy, and at least 1% of the Fund’s total assets will be invested in Sustainable Investments with a social objective. The remainder of the Fund’s Sustainable Investments may fluctuate between these types of Sustainable Investment.  

The Fund may invest up to 20% of its total assets in other investments. 

Where derivatives are used for investment purposes, they are assessed against the criteria for Sustainable Investments. Derivatives may also be used for limited other purposes such as liquidity and hedging, and any ESG rating or analyses referenced above will apply only to the underlying investment in respect of such derivatives.

The Fund does not currently commit to investing more than 0% of its assets in Sustainable Investments with an environmental objective aligned with the EU Taxonomy, however, these investments may form part of the portfolio.  

The Fund does not currently commit to invest in fossil gas and/or nuclear energy related activities that comply with the EU Taxonomy, however, these investments may form part of the portfolio.

The Fund does not commit to making investments in transitional and enabling activities, however, these investments may form part of the portfolio.  

The Fund does not commit to making investments in transitional and enabling activities, however, these investments may form part of the portfolio.  

A minimum of 15% of the Fund’s total assets will be invested in Sustainable Investments with environmental objectives that are not aligned with the EU Taxonomy.

The Fund invests in Sustainable Investments that are not aligned with the EU Taxonomy for the following reasons: (i) it is part of the investment strategy of the Fund; (ii) data to determine EU Taxonomy-alignment may be unavailable; and / or (iii) underlying economic activities may not be eligible under the EU Taxonomy's available technical screening criteria or may not comply with all requirements set out in such technical screening criteria. 

A minimum of 1% of the Fund’s total assets will be invested in Sustainable Investments with a social objective.

Other holdings are limited to 20% and may include derivatives, cash and near cash instruments and shares or units of CIS and fixed income transferable securities (also known as debt securities) issued by governments and agencies worldwide.

The use of such investments does not affect the delivery of the sustainable investment objective, as these investments are used for the purposes of liquidity management and/or hedging.

No other holdings are considered against minimum environmental or social safeguards.

F. Monitoring of sustainable investment objective

BlackRock has developed a highly automated compliance process to help ensure that the Fund is managed in accordance with its stated investment guidelines and applicable regulatory requirements. This includes monitoring of the environmental or social characteristics of the Fund in accordance with the relevant methodology as described in ‘Section G – Methodologies’.

Portfolio Managers have the primary responsibility for complying with the contractual terms of the prospectus and other governing documents for the Fund and are supported by Aladdin, BlackRock’s portfolio and risk management software.

The Portfolio Compliance Group (“PCG”), a group within BlackRock’s Business Operations, is responsible for the coding of the Fund’s investment restrictions, that are capable of being coded, within BlackRock’s pre and post trade compliance monitoring system in Aladdin. Where an investment restriction cannot be coded, a manual process is established for guidelines testing.

Pre-Trade & Post Trade Monitoring

When a trade or order is created, the transaction is reviewed against the Fund’s investment guidelines by the front-end compliance system on a real time basis prior to execution. If a non-compliant condition is detected, the trade or order will be unable to progress further.

Compliance tests are also run on a post trade basis overnight based on the end-of-day positions and reported on a T+1 basis. Compliance exceptions and warnings are identified and escalated for investigation to relevant investment professionals, who will engage with relevant subject matter experts as appropriate to resolve. Identification and investigation of potential items is recorded on an electronic system that contains a comprehensive workflow which provides an audit trail. Appropriate corrective action will be taken as needed to resolve exceptions.

The monitoring of certain ESG characteristics may not be able to be automated due to system functionality or data limitations. Such ESG characteristics are subject to periodic review and monitoring, to ensure that the product adheres to the related commitments.

Breaches are reported as required under our regulatory obligations to the revelant management company, auditor, depositary and regulator.

Where BlackRock delegates part of the management of a Fund to a third-party manager, the third-party manager is responsible for ensuring compliance with the investment guidelines and investment restrictions as per the agreed Investment Management Agreement in place, including those pertaining to the environmental or social characteristics for the Fund. The investment restrictions pertaining to the environmental or social characteristics are generally communicated to the third-party manager which may updated by BlackRock from time to time in line with the environmental and social characteristics of the Fund. When the third-party manager runs a passive strategy, the third-party manager may also monitor whether the environmental or social characteristics are met by tracking a benchmark index embedding these characteristics in its methodology. BlackRock receives a daily feed of the positions held by the third-party manager and runs post-trade compliance checks in accordance with the back-end compliance process previously described. BlackRock also undertakes periodic due diligence on third party manager to ensure the monitoring frameworks in place remain appropriate.

G. Methodologies

BlackRock has adopted the following methodologies in respect of this Fund:

Sustainable Investments Methodology

BlackRock has developed a proprietary methodology for determining Sustainable Investments which is broken down into a four-part assessment:
(i) Economic activity contribution to environmental and/or social objectives;
(ii) Do no significant harm;
(iii) Meets minimum safeguards; and
(iv) Good governance (where relevant).

It is necessary for an investment to meet all four limbs of this test to be considered a Sustainable Investment. Sustainable Investments are subject to a robust oversight process to ensure that regulatory standards are met.

(i) Economic activity contribution to environmental and/or social objectives

Environmental and social objectives
The Fund invests in Sustainable Investments which contribute to a range of environmental and / or social objectives which may include but are not limited to alternative and renewable energy, energy efficiency, pollution prevention or mitigation, reuse and recycling, health, nutrition, sanitation and education and the UN Sustainable Development Goals (“Environmental and Social Objectives”).

Economic activity assessment
An investment will be a Sustainable Investment (subject to it satisfying the other three limbs):

Business activity
• Where more than 20% of its revenue attributable to products and/or services is systematically mapped as contributing to Environmental and/or Social Objectives using third-party vendor data. Fundamental analysis may also be used to assess a company where there is no third-party vendor data or where an analyst determines that the data is inaccurate or that there is a more appropriate materiality metric than revenue for identifying a company’s contribution such as capital expenditure or recycled inputs.

Business practices
• Where the issuer has set a de-carbonization target in accordance with the Science Based Targets initiatives as validated by third-party vendor data or by way of fundamental assessment.
• Demonstrable leadership attribute that evidences a company’s critical role as an enabler of sustainable practices.

Fixed income securities
• A use-of-proceeds bond will be a Sustainable Investment where the use of proceeds substantially contributes to an Environmental and/or Social Objective as determined by fundamental assessment
• Other fixed income securities will be a Sustainable Investment where the security is aligned with Environmental and/or Social Objectives as determined by fundamental assessment such as environmental and/or social asset-backed and mortgage-backed securities issued by supranational entities committed to the promotion of UN SDGs

(ii) Do no significant harm (DNSH)

Sustainable Investments meet the DNSH requirements, as defined by applicable law and regulation. BlackRock has developed a set of criteria across all Sustainable Investments to assess whether an investment does significant harm which consider both third party data points as well as fundamental insights. Investments are screened against these criteria using system-based controls and any which are considered to be causing significant harm do not qualify as Sustainable Investments. BlackRock assesses the indicators for adverse impacts on sustainability factors for each type of investment as defined by the regulation.

Climate principal adverse impact indicators will be assessed using BlackRock’s proprietary Heightened Scrutiny Framework which identifies investments which present significant climate-related risk by assessing: (i) carbon emissions; (ii) readiness for the net zero transition; and (iii) climate-related disclosures.

All other indicators for adverse impacts are assessed using third-party vendor data on controversies to exclude investments which BlackRock has determined are harmful to sustainability indicators subject to limited exceptions, for example, where the data is determined to be inaccurate or not up to date.

Where no data is available, or it is substantially incomplete, fundamental analysis will be undertaken using reasonable efforts to identify impacts which BlackRock determines to be harmful to the sustainability indicators.

(iii) Meet minimum safeguards

Sustainable Investments are assessed using third party data provider information to consider compliance with international standards of the OECD Guidelines for Multinational Enterprises and the UN Guiding Principles on Business and Human Rights, including the principles and rights set out in the eight fundamental conventions identified in the Declaration of the International Labour Organisation on Fundamental Principles and Rights at Work and the International Bill of Human Rights. Issuers deemed to have violated these conventions are not considered as Sustainable Investments.

(iv) Good Governance

In respect of its good governance assessment BlackRock uses data from external third-party ESG research providers to initially identify issuers which may not have satisfactory governance practices in relation to key performance indicators (KPIs) related to the criteria outlined above. Where issuers are identified as potentially having issues with regards to good governance, the issuers are reviewed to ensure that, where the Investment Advisor/Manager agrees with this external assessment, the Investment Advisor/Manager is satisfied that the issuer has either taken remediation actions or will take remedial actions within a reasonable time frame based on the Investment Advisor’s/Manager’s direct engagement with the issuer. The Investment Advisor/Manager may also decide to reduce exposure to such issuers. Funds’ indirect exposures to issuers with good governance failings are limited to de minimis levels by internal controls and are also monitored on a periodic basis to ensure that this indirect exposure remains at de minimis levels

Other methodologies

In addition, the following methodologies are used to measure the attainment of the sustainable investment objective:
1. The Fund applies a set of exclusionary screens. Further details on the methodology of the exclusionary screens are set out in 'Section C – Environmental or social characteristics' above.

The Fund via the environmental and/or social characteristics of its strategy has been assessed as considering a set of principal adverse impact indicators (PAIs) as defined within the SFDR Regulatory Technical standards. We have assessed whether and how these are fully or partially considered and outline how those characteristics map to those PAIs in our pre contractual and periodic reporting.

H. Data sources and processing

Data Sources

BlackRock Portfolio Managers have access to research, data, tools, and analytics to integrate ESG insights into their investment process. Aladdin is the operating system that connects the data, people, and technology necessary to manage portfolios in real time, as well as the engine behind BlackRock’s ESG analytics and reporting capabilities. BlackRock’s Portfolio Managers use Aladdin to make investment decisions, monitor portfolios and to access material ESG insights that can inform the investment process to attain ESG characteristics of the Fund.

ESG datasets are sourced from external third-party data providers, including but not limited to MSCI, Sustainalytics, Refinitiv, S&P and Clarity AI. These datasets may include headline ESG scores, carbon emissions data, business involvement metrics or controversies and have been incorporated into Aladdin tools that are available to Portfolio Managers and employed in BlackRock investment strategies. Such tools support the full investment process, from research, to portfolio construction and modelling, to reporting.

Measures taken to ensure Data Quality

BlackRock applies a comprehensive due diligence process to evaluate provider offerings with highly targeted methodology reviews and coverage assessments based on the sustainable investment strategy (and the environmental and social characteristics or sustainable objective) of the product. Our process entails both qualitative and quantitative analysis to assess the suitability of data products in line with regulatory standards as applicable.

We assess ESG providers and data across five core areas outlined below:
1. Data Collection: this includes but is not limited to assessing the data providers underlying data sources, technology used to capture data, process to identify misinformation and use of machine learning or human data collection approaches. We will also consider planned improvements
2.Data Coverage: our assessment includes but is not limited to the extent to which a data package provides coverage across our investible universe of issuers and asset classes. This will include consideration of the treatment of parent companies and their subsidiaries as well as use of estimated data or reported data
3. Methodology: our assessment includes but is not limited to consideration of the third-party providers methodologies employed, including considering the collection and calculation approaches, alignment to industry or regulatory standards or frameworks, materiality thresholds and their approach to data gaps.
4. Data Verification: our assessment includes but is not limited to the third party providers’ approaches to verification of data collected and quality assurance processes including their engagement with issuers
5. Operations: we assess a variety of aspects of a data vendors operations, including but not limited to their policies and procedures (including consideration of any conflicts of interest) the size and experience of their data research teams, their training programs, and their use of third-party outsourcers

Additionally, BlackRock, actively participates in relevant provider consultations regarding proposed changes to methodologies as they pertain to third party data sets or index methodologies and submits considered feedback and recommendations to data provider technical teams. BlackRock often has ongoing engagement with ESG data providers including index providers to keep abreast of industry developments.

How data is processed

At BlackRock, our internal processes are focused on delivering high-quality standardized and consistent data to be used by investment professionals and for transparency and reporting purposes. Data, including ESG data, received through our existing interfaces, and then processed through a series of quality control and completeness checks which seeks to ensure that data is of a high-quality before being made available for use downstream within BlackRock systems and applications, such as Aladdin. BlackRock’s integrated technology enables us to compile data about issuers and investments across a variety of environmental, social and governance metrics and a variety of data providers and make those available to investment teams and other support and control functions such as risk management.

Use of Estimated Data

BlackRock strives to capture as much reported data from companies via 3rd party data providers as practicable, however, industry standards around disclosure frameworks are still evolving, particularly with respect to forward looking indicators. As a result, in certain cases we rely on estimated or proxy measures from data providers to cover our broad investible universe of issuers. Due to current challenges in the data landscape, while BlackRock relies on material amount of estimated data across our investible universe, the levels of which may vary from data set to data set, we seek to ensure that use of estimates is in line with regulatory guidance and that we have necessary documentation and transparency from data providers on their methodologies. BlackRock recognizes the importance in improving its data quality and data coverage and continues to evolve the data sets available to its investment professionals and other teams. Where required by local country-level regulations, funds may state explicit data coverage levels.

I. Limitations to methodologies and data

Limitations to Methodology

Sustainable investing is an evolving space, both in terms of industry understanding but also the regulatory frameworks on both a regional and global basis. BlackRock continues to monitor developments in the EU's ongoing implementation of its framework for sustainable investing and is seeking to evolve its investment methodologies to ensure alignment as the regulatory environment changes. As a result, BlackRock may update these disclosures, and the methodologies and sources of data used, at any time in the future as market practice evolves or further regulatory guidance becomes available.

The UN Sustainable Development Goals and sub-targets are used by BlackRock as a list of environmental and/or social objectives. Any assessment will be undertaken strictly in accordance with the methodology set out in the Prospectus. Assumptions associated with the conventional use of the SDGs are not considered as part of the assessment including but not limited to applicable geographical limitations and those commitments that may be limited by time or scope, such as goals that may be applicable only to governments.

Limitations in relation to the data sources are noted below.

Limitations to Data

ESG data sets are constantly changing and improving as disclosure standards, regulatory frameworks and industry practice evolve. BlackRock continues to work with a broad range of market participants to improve data quality.

Whilst each ESG metric may come with its own individual limitations, data limitations may broadly be considered to include, but not be limited to:
• Lack of availability of certain ESG metrics due to differing reporting and disclosure standards impacting issuers, geographies or sectors
• Nascent statutory corporate reporting standards regarding sustainability leading to differences in the extent to which companies themselves can report against regulatory criteria and therefore some metric coverage levels may be low
• Inconsistent use and levels of reported vs estimated ESG data across different data providers, taken at varied time periods which makes comparability a challenge.
• Estimated data by its nature may vary from realized figures due to the assumptions or hypothesis employed by data providers.
• Differing views or assessments of issuers due to differing provider methodologies or use of subjective criteria
• Most corporate ESG reporting and disclosure takes place on an annual basis and takes significant time to produce meaning that this data is produced on a lag relative to financial data. There may also inconsistent data refresh frequencies across different data providers incorporating such data into their data sets.
• Coverage and applicability of data across asset classes and indicators may vary
• Forward looking data, such as climate related targets may vary significantly from historic and current point in time metrics

For more information about how metrics that are presented with sustainability indicators are calculated, please see the Fund's annual report.

Sustainable Investments and Environmental and Social criteria

Sustainable investing and understanding of sustainability is evolving along with the data environment. Industry participants face challenges in identifying a single metric or set of standardized metrics to provide a complete view on a company or an investment. BlackRock has therefore established a framework to identify sustainable investments, taking into account the regulatory requirements.

BlackRock uses third-party vendor data in assessing whether investments cause significant harm and have good governance practices. There may be some circumstances where data is unavailable, incomplete, or inaccurate, in which case fundamental assessments may be undertaken, taking a proportionate approach and using reasonable efforts, to identify issues likely to have a significant impact. Despite reasonable efforts, information may not always be available in which case a subjective assessment will be made based on BlackRock's knowledge of the investment or industry. In certain cases data may reflect actions that issuers may have taken only after the fact, and do not reflect all potential instances of significant harm.

J. Due Diligence

BlackRock applies a high standard of due diligence in the selection and ongoing monitoring of investments made by the Fund for the purpose of compliance with the investment, liquidity and risk guidelines of the Fund, as well as the sustainability risk and ESG criteria and general performance. Portfolio Managers are subject to pre and post trade controls within the investment platform where the funds promote environmental or social characteristics, integrate sustainability into the investment process in a binding manner or have a sustainable investment objective. The Investment Oversight team conducts due diligence engagement with the portfolio managers and oversees internal restrictions that may expand upon requirements set out in the fund prospectus. The Portfolio Managers also comply with related EMEA policies, including Investment Due Diligence policies which have been updated to integrate sustainability risk. Legal and Compliance have implemented a framework to ensure that the relevant policies and procedures are adopted and complied with by all employees, including Portfolio Managers.

The Investment Adviser integrates sustainability risks  into the investment due diligence process of the Fund. The portfolio managers of the Fund are primarily responsible for considering sustainability risks. They are subject to an oversight framework within the Investment Adviser and BlackRock's risk management function, RQA group also provides independent reviews of sustainability risks and the compliance team provides further oversight and monitors the ESG requirements relevant to each fund and the investment restrictions for each fund. RQA, serves as the second line of defence in BlackRock’s risk management framework. RQA is responsible for BlackRock’s Investment and Enterprise risk management framework which includes oversight of sustainability-related investment risks. RQA Investment Risk conducts regular reviews with portfolio managers to ensure investment teams are advised of relevant sustainability risks, complementing the first-line monitoring and oversight of sustainability considerations across our investment platform. RQA also has a dedicated Sustainability Risk Team that partners with risk managers and businesses to reinforce this constructive engagement. RQA collaborates with working groups throughout the Investments Platform and with Aladdin Sustainability Lab to advance the firm’s sustainability toolkit through consultation on firmwide data, modelling, methodologies, and analytics. In addition, BlackRock makes data relating to principal adverse impacts (PAI) available to all portfolio managers. Please note that at present PAI data coverage varies in respect of markets, asset class and sectors.  BlackRock as part of its implementation of ESG regulatory requirements including SFDR is working closely with data providers and investment teams to ensure that robust and reliable information goes through appropriate due diligence processes and is made available where possible. For further information, please see section ‘Section D – Investment strategy’ above.

K. Engagement Policies

The Fund

The Fund does not use engagement as a means of meeting its binding commitments to environmental or social characteristics or sustainable investment objectives. Engagement may form part of the Due Diligence carried out by the portfolio management team for funds pursuing Fixed Income investment strategies in order to assess how companies manage ESG risks and opportunities and how these impact companies financials. Where applicable, we use engagement to discuss concerns, understand opportunities and share constructive feedback, based on the view that material ESG issues are intractably tied to a business’s long term strategy and fundamental value. Engagement may be undertaken in collaboration with the Business Investment Stewardship team however, this is not always the case and can be undertaken directly. The Fixed Income portfolio management team may also use engagement with corporate treasurers when they are in the process of issuing green and social bonds to ensure a robust issuance.

General

Engagement with companies in which we invest our clients’ assets occurs at multiple levels within BlackRock. 

Where engagement is specifically identified by a particular portfolio management team as one of the means by which they seek to demonstrate a commitment to environment, social and governance issues within the context of SFDR, the methods by which the effectiveness of such engagement policy and the ways in which such an engagement policy may be adapted in the event that they do not achieve the desired impact (usually expressed as a reduction in specified principal adverse indicators) would be described in the prospectus and website disclosures particular to that fund. 

Where investment teams chooses to leverage engagement, this  can take a variety of forms but, in essence, the portfolio management team would seek to have regular and continuing dialogue with executives or board directors of engaged investee companies to advance sound governance and sustainable business practices targeted at the identified ESG characteristics and principal adverse indicators, as well as to understand the effectiveness of the company’s management and oversight of activities designed to address the identified ESG issues. Engagement also allows the portfolio management team to provide feedback on company practices and disclosures.

Where a relevant portfolio management team has concerns about a company’s approach to the identified ESG characteristics and/or principal adverse indicators, they may choose to explain their expectations to the company’s board or management and may signal through voting at general meetings that they have outstanding concerns, generally by voting against the re-election of directors they view as having responsibility for improvements in the identified ESG characteristics or principal adverse indicators.

Separate from the activities of any particular portfolio management team, at the highest level, as part of its fiduciary approach, BlackRock has determined that it is in the best long-term interest of its clients to promote sound corporate governance as an informed, engaged shareholder. At BlackRock, this is the responsibility of BlackRock Investment Stewardship. Principally through the work of BIS team, BlackRock meets the requirements in the Shareholder Rights Directive II (‘SRD II”) relating to engagement with public companies and other parties in the investment ecosystem.  A copy of BlackRock’s SRD II engagement policy can be found at https://www.blackrock.com/corporate/literature/publication/blk-shareholder-rights-directiveii-engagement-policy-2022.pdf.

BlackRock’s approach to investment stewardship is outlined in the BIS Global Principles and market-level voting guidelines. The BIS Global Principles set out our stewardship philosophy and our views on corporate governance and sustainable business practices that support long-term value creation by companies. We recognize that accepted standards and norms of corporate governance differ between markets; however, we believe there are certain fundamental elements of governance practice that are intrinsic globally to a company’s ability to create long-term value. Our market-specific voting guidelines provide detail on how BIS implements the Global Principles – taking into consideration local market standards and norms – and inform our voting decisions in relation to specific ballot items for shareholder meetings.  BlackRock’s overall approach to investment stewardship and engagement can be found at: https://www.blackrock.com/uk/professionals/solutions/shareholder-rights-directive and https://www.blackrock.com/corporate/about-us/investment-stewardship

In undertaking its engagement, BIS may focus on particular ESG themes, which are outlined in BlackRock’s voting priorities https://www.blackrock.com/corporate/literature/publication/blk-stewardship-priorities-final.pdf

L. Attainment of the sustainable investment objective

There is no specific index designated as a reference benchmark to determine whether this financial product is aligned with the sustainable investment objective that it promotes.

Business Involvement

Business Involvement

Business Involvement metrics can help investors gain a more comprehensive view of specific activities in which a fund may be exposed through its investments.


Business Involvement metrics are not indicative of a fund’s investment objective, and, unless otherwise stated in fund documentation and included within a fund’s investment objective, do not change a fund’s investment objective or constrain the fund’s investable universe, and there is no indication that an ESG or Impact focused investment strategy or exclusionary screens will be adopted by a fund. For more information regarding a fund's investment strategy, please see the fund's prospectus.


Review the MSCI methodology behind the Business Involvement metrics, using links below.

MSCI - Controversial Weapons
as of 30.Sept2024
0,00%
MSCI - Nuclear Weapons
as of 30.Sept2024
0,00%
MSCI - Civilian Firearms
as of 30.Sept2024
0,00%
MSCI - Tobacco
as of 30.Sept2024
0,00%
MSCI - UN Global Compact Violators
as of 30.Sept2024
0,00%
MSCI - Thermal Coal
as of 30.Sept2024
0,00%
MSCI - Oil Sands
as of 30.Sept2024
0,00%

Business Involvement Coverage
as of 30.Sept2024
55,70%
Percentage of Fund not covered
as of 30.Sept2024
43,52%
BlackRock business involvement exposures as shown above for Thermal Coal and Oil Sands are calculated and reported for companies that generate more than 5% of revenue from thermal coal or oil sands as defined by MSCI ESG Research. For the exposure to companies that generate any revenue from thermal coal or oil sands (at a 0% revenue threshold), as defined by MSCI ESG Research, it is as follows: Thermal Coal 0,00% and for Oil Sands 0,00%.

Business Involvement metrics are calculated by BlackRock using data from MSCI ESG Research which provides a profile of each company’s specific business involvement. BlackRock leverages this data to provide a summed up view across holdings and translates it to a fund's market value exposure to the listed Business Involvement areas above.


Business Involvement metrics are designed only to identify companies where MSCI has conducted research and identified as having involvement in the covered activity. As a result, it is possible there is additional involvement in these covered activities where MSCI does not have coverage. This information should not be used to produce comprehensive lists of companies without involvement. Business Involvement metrics are only displayed if at least 1% of the fund’s gross weight includes securities covered by MSCI ESG Research.

ESG Integration

ESG Integration

ESG integration is the practice of incorporating financially material environmental, social and governance (ESG) data or information into the investment decision process with the objective of enhancing risk-adjusted returns of our clients’ portfolios. Unless otherwise stated in Fund documentation or included within the Fund's investment objective, inclusion of this statement does not imply that the Fund has an ESG-aligned investment objective or strategy, but rather describes how ESG data or information is considered as part of the overall investment process.

The Fund manager includes ESG considerations in combination with other information in the research phase of the investment process. This may include relevant third-party insights, as well as internal engagement commentary and input from BlackRock Investment Stewardship on governance issues. The Fund manager conducts regular portfolio reviews with the Risk and Quantitative Analysis group and with the Chief Investment Officers. These reviews include discussion, where appropriate, of the portfolio's exposure to material ESG risks, as well as exposure to sustainability-related business involvements, climate-related metrics, and other factors.

Risk Labeling

Risk Indicator

Risk Indicator

1
2
3
4
5
6
7
Low Risk High Risk
Typically low rewards Typically high rewards

Ratings

Holdings

Holdings

as of 30.Sept2024
Name Weight (%)
FONDO MIVIVIENDA SA RegS 4.625 04/12/2027 2,84
SERBIA (REPUBLIC OF) MTN RegS 1 09/23/2028 2,72
CHILE (REPUBLIC OF) 2.75 01/31/2027 2,50
BANCO DO BRASIL SA (CAYMAN ISLANDS MTN RegS 6.25 04/18/2030 2,50
ENGIE ENERGIA CHILE SA RegS 6.375 04/17/2034 2,38
Name Weight (%)
BAHIA SUL HOLDINGS GMBH RegS 5.75 07/14/2026 2,36
STAR ENERGY GEOTHERMAL DARAJAT II RegS 4.85 10/14/2038 2,31
COLOMBIA (REPUBLIC OF) 8 11/14/2035 2,29
MERCADOLIBRE INC 2.375 01/14/2026 2,29
EMPRESA NACIONAL DE TELECOMUNICACI RegS 3.05 09/14/2032 2,25
Holdings subject to change

Exposure Breakdowns

Exposure Breakdowns

as of 30.Sept2024

% of Market Value

Type Fund
as of 30.Sept2024

% of Market Value

Type Fund
as of 30.Sept2024

% of Market Value

Type Fund
as of 30.Sept2024

% of Market Value

Type Fund
as of 30.Sept2024

% of Market Value

Type Fund
Negative weightings may result from specific circumstances (including timing differences between trade and settle dates of securities purchased by the funds) and/or the use of certain financial instruments, including derivatives, which may be used to gain or reduce market exposure and/or risk management. Allocations are subject to change.

Pricing & Exchange

Pricing & Exchange

Investor Class Currency NAV NAV Amount Change NAV % Change NAV As Of 52wk High 52wk Low ISIN
Class I3 Hedged EUR 10,07 0,00 0,00 11.Oct2024 10,16 10,00 LU2860231856
Class X2 Hedged EUR 11,24 0,00 0,00 11.Oct2024 11,32 10,03 LU2494466969
Class I3 Hedged CHF 10,02 -0,01 -0,10 11.Oct2024 10,13 10,00 LU2860231773
Class Z2 USD USD 9,99 0,00 0,00 11.Oct2024 10,06 8,80 LU2337646041
Class D2 EUR Hedged EUR 9,29 -0,01 -0,11 11.Oct2024 9,37 8,34 LU2337646124
Class I2 Hedged GBP 11,07 0,00 0,00 11.Oct2024 11,15 9,80 LU2657676214
Class X6 USD 10,41 -0,01 -0,10 11.Oct2024 10,50 9,56 LU2469414598
Class X2 USD USD 10,11 -0,01 -0,10 11.Oct2024 10,18 8,88 LU2337645829
Class D2 USD USD 9,93 0,00 0,00 11.Oct2024 10,00 8,76 LU2337645589
Class A2 USD USD 9,78 -0,01 -0,10 11.Oct2024 9,86 8,67 LU2337645407
Class ZI2 USD 12,20 0,00 0,00 11.Oct2024 12,29 10,73 LU2533726134
Class I2 Hedged CHF 10,63 0,00 0,00 11.Oct2024 10,72 9,75 LU2657676305
Class I2 USD USD 10,00 0,00 0,00 11.Oct2024 10,07 8,81 LU2337645746
Class I2 EUR hedged EUR 9,34 -0,01 -0,11 11.Oct2024 9,42 8,38 LU2337646397

Portfolio Managers

Portfolio Managers

Michel Aubenas
Michel Aubenas
Amer Bisat
Managing Director, Head of Emerging Markets Fixed Income

Amer Bisat, PhD., Managing Director, is Head of Emerging Markets Fixed Income and a member of the Fundamental-GFI Executive Committee.

Celina Merrill
Celina Merrill
Ashley Schulten
Managing Director, Head of Responsible Investing for Global Fixed Income

  

PRIIPs Performance Scenarios

PRIIPs Performance Scenarios

The EU Packaged Retail and Insurance-Based Products Regulation (PRIIPs) prescribes the calculation methodology, and publication of the outcomes, of four hypothetical performance scenarios regarding how the product may perform under certain conditions and for such to be published on a monthly basis. The figures shown include all the costs of the product itself, but may not include all the costs that you pay to your advisor or distributor. The figures do not take into account your personal tax situation, which may also affect how much you get back. What you will get from this product depends on future market performance. Market developments in the future are uncertain and cannot be accurately predicted. The unfavourable, moderate, and favourable scenarios shown are illustrations using the worst, average, and best performance of the product, which may include input from benchmark(s) / proxy, over the last ten years.
Recommended holding period : 3 years
Example Investment EUR 10.000
Scenario
If you exit after 1 year
If you exit after 3 years

Minimum

There is no minimum guaranteed return. You could lose some or all of your investment.

Stress

What you might get back after costs
Average return each year
8.140 EUR
-18,6%
6.330 EUR
-14,1%

Unfavourable

What you might get back after costs
Average return each year
8.140 EUR
-18,6%
8.820 EUR
-4,1%

Moderate

What you might get back after costs
Average return each year
10.470 EUR
4,7%
11.270 EUR
4,1%

Favourable

What you might get back after costs
Average return each year
11.750 EUR
17,5%
12.260 EUR
7,0%

The stress scenario shows what you might get back in extreme market circumstances.



Literature

Literature

 
Please access the document library in order to find the KID/KIID in local language.