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Eurizon Capital SGR

PRI reporting framework 2017

Export Public Responses

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ESG incorporation in actively managed fixed income

Implementation processes

FI 04. Incorporation strategies applied

04.1. Indicate 1) Which ESG incorporation strategy and/or combination of strategies you apply to your actively managed fixed income investments; and 2) The proportion (+/- 5%) of your total actively managed fixed income investments each strategy applies to.

Corporate (financial)
0 Screening alone
0 Thematic alone
0 Integration alone
0 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
100 All three strategies combined
0 No incorporation strategies applied
100%
Corporate (non-financial)
0 Screening alone
0 Thematic alone
0 Integration alone
0 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
100 All three strategies combined
0 No incorporation strategies applied
100%

04.2. Describe your reasons for choosing a particular ESG incorporation strategy and how combinations of strategies are used.

As an overarching strategy, we adopt a screening approach for companies involved in the production or distribution of cluster bombs and landmines, convinced that they undermine the fundamental human rights.

This exclusion is applied to all our active funds, while for funds with a benchmark, the fund managers cannot invest exceeding the percentage of the benchmark itself.

We believe that ESG issues are often materially reflected in the stock price and the sustainability of the business of our invested companies. Therefore, we took an approach of integrating  environmental, social and governance (ESG) issues into investment analysis and decision-making across the full range of assets.

On a monthly base,  the ESG Quant Team and the Sustainability office issue a list of companies with very low ESG rating and or with sever controversies deemed able to affect the reputational and risk-reward profile of each company. The list is made public internally on the internet and it is used by all our portfolio managers and analysis to make investment decisions. ESG considerations and rating are also embedded in our investment cases documents. This way, our buy, sell and hold decisions are linked to our investment philosophy pillars.

04.3. Additional information [Optional].


FI 05. ESG issues and issuer research (Private)


FI 06. Processes to ensure analysis is robust

06.1. Indicate how you ensure that your ESG research process is robust:

06.2. Describe how your ESG information or analysis is shared among your investment team.

          On a monthly base, the ESG Quant Team and the Sustainability office issue a list of companies with very low ESG rating
        

06.3. Additional information. [Optional]


(A) Implementation: Screening

FI 07. Types of screening applied

07.1. Indicate the type of screening you conduct.

Select all that apply
Corporate (financial)
Corporate (non-financial)
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

07.2. Describe your approach to screening for internally managed active fixed income

On a monthly base,  the ESG Quant Team and the Sustainability office issue a list of companies with very low ESG rating and or with sever controversies deemed able to affect the reputational and risk-reward profile of each company. The list is made public internally on the intranet and it is used by all our portfolio managers and analysis to make investment decisions. ESG considerations and rating are also embedded in our investment cases documents.

07.3. Additional information. [Optional]


FI 08. Negative screening - overview and rationale (Not Applicable)


FI 09. Examples of ESG factors in screening process (Not Completed)


FI 10. Screening - ensuring criteria are met

10.1. Indicate which systems your organisation has to ensure that fund screening criteria are not breached in fixed income investments.

Type of screening
Checks
Norms-based screening

10.2. Additional information. [Optional]


(B) Implementation: Thematic

FI 11. Thematic investing - overview (Private)


FI 12. Thematic investing - themed bond processes

12.1. Indicate whether you encourage transparency and disclosure relating to the issuance of themed bonds as per the Green Bonds Principles:

12.2. Describe the actions you take when issuers do not disburse bond proceeds as described in the offering documents.

we promtply act in accordance with law to protect the interest of our clients

12.3. Additional information. [Optional]


FI 13. Thematic investing - assessing impact

13.1. Indicate how you assess the environmental or social impact of your thematic investments

13.2. Additional information. [Optional]


(C) Implementation: Integration

FI 14. Integration overview

14.1. Describe your approach to integrating ESG into traditional financial analysis.

On a monthly base,  the ESG Quant Team and the Sustainability office issue a list of companies with very low ESG rating and or with sever controversies deemed able to affect the reputational and risk-reward profile of each company. The list is made public internally on the internet and it is used by all our portfolio managers and analysis to make investment decisions. ESG considerations and rating are also embedded in our investment cases documents. This way, our buy, sell and hold decisions are linked to our investment philosophy pillars.

14.2. Describe how your ESG integration approach is adapted to each of the different types of fixed income you invest in.

Corporate (financial)

we do not differenciate among types

Corporate (non-financial)

we do not differenciate among types

14.3. Additional information [OPTIONAL]


FI 15. Integration - ESG information in investment processes

15.1. Indicate how ESG information is typically used as part of your investment process.

Select all that apply
Corporate (financial)
Corporate (non-financial)
ESG analysis is integrated into fundamental analysis
ESG analysis is integrated into security weighting decisions
ESG analysis is integrated into portfolio construction decisions
ESG analysis is a standard part of internal credit ratings or assessment
ESG analysis for issuers is a standard agenda item at investment committee meetings
ESG analysis is regularly featured in internal research notes or similar
ESG analysis is a standard feature of ongoing portfolio monitoring
ESG analysis features in all internal issuer summaries or similar documents
Other, specify

15.2. Additional information [OPTIONAL]

On a monthly base,  the ESG Quant Team and the Sustainability office issue a list of companies with very low ESG rating and or with sever controversies deemed able to affect the reputational and risk-reward profile of each company. The list is made public internally on the internet and it is used by all our portfolio managers and analysis to make investment decisions. ESG considerations and rating are also embedded in our investment cases documents. This way, our buy, sell and hold decisions are linked to our investment philosophy pillars. Ethic Funds are managed with stricter SRI rules (please refer to FI 11.4).


FI 16. Integration - E,S and G issues reviewed

16.1. Indicate the extent to which ESG issues are reviewed in your integration process.

Environment
Social
Governance
Corporate (financial)

Environmental

Social

Governance

Corporate (non-financial)

Environmental

Social

Governance

16.2. Please provide more detail on how you review E, S and G factors in your integration process.

Corporate (financial)

On a monthly base,  the ESG Quant Team and the Sustainability office issue a list of companies with very low ESG rating and or with sever controversies deemed able to affect the reputational and risk-reward profile of each company. The list is made public internally on the internet and it is used by all our portfolio managers and analysis to make investment decisions. ESG considerations and rating are also embedded in our investment cases documents. This way, our buy, sell and hold decisions are linked to our investment philosophy pillars. We use the fine scores relative to the KPIs we receive from our independent research providers. the weight associated to each KPI include its "materiality" (how it can affect medium term profitability) and its "consistency"  (the measurement reliability of our providers over time). We periodically internally check Materiality and Consistency of each KPI. ETHIC FUNDS are managed with stricter SRI rules (please refer to FI 11.4)

Corporate (non-financial)

On a monthly base,  the ESG Quant Team and the Sustainability office issue a list of companies with very low ESG rating and or with sever controversies deemed able to affect the reputational and risk-reward profile of each company. The list is made public internally on the internet and it is used by all our portfolio managers and analysis to make investment decisions. ESG considerations and rating are also embedded in our investment cases documents. This way, our buy, sell and hold decisions are linked to our investment philosophy pillars. We use the fine scores relative to the KPIs we receive from our independent research providers. the weight associated to each KPI include its "materiality" (how it can affect medium term profitability) and its "consistency"  (the measurement reliability of our providers over time). We periodically internally check Materiality and Consistency of each KPI. ETHIC FUNDS are managed with stricter SRI rules (please refer to FI 11.4)

16.3. Additional information.[OPTIONAL]


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