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ACTIAM

PRI reporting framework 2017

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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income » (A) Implementation: Screening

(A) Implementation: Screening

FI 07. Types of screening applied

07.1. Indicate the type of screening you conduct.

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

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

All investments are screened based on the ACTIAM Fundamental Investment Principles, which constitute a negative and norms-based screening method. Positive screening is applied to a selection of portfolios and based on several themes: climate change, water, land, living and health, and vitality.

07.3. Additional information. [Optional]


FI 08. Negative screening - overview and rationale

08.1. Indicate why you conduct negative screening.

SSA

SSA

Corporate (financial)

Corporate (fin)

Corporate (non-financial)

Corporate (non-fin)

Securitised

Securitised

08.2. Describe your approach to ESG-based negative screening of issuers from your investable universe.

Our data provider executes an exclusionary screening every quarter, based on our Fundamental Investment Principles which incorporate Environmental, Social, and Governance issues. We exclude several products and activities, for instance nuclear weapons or riverine tailings disposal. For a number of specific active funds, an additional thematic overlay is added which leads to further exclusions, based on products, activities or ESG practices. In addition, a sector-based score is integrated into the final ESG score, which downgrades companies that are active in certain sectors, such as the oil& gas sector. A similar approach is taken for sovereign bonds in specific funds. The ESG score methodology differs from the corporate ESG score methodology as both have different relevant indicators.

08.3. Additional information. [Optional]


FI 09. Examples of ESG factors in screening process

09.1. Provide examples of how ESG factors are included in your screening criteria.

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

In 2016, we updated our sovereigns policy. Exclusionary screening criteria include being listed on a UN or EU weapons embargo list, being 'not free' in Freedom House reports, result of Transparency International Corruption Perceptions Index, and World Bank governance indicators.

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

Companies with exposure to renewable energy production receive a positive analyst score, which increases the companies' ESG score. In our active portfolios where we steer on an ESG score that is as high as possible, this makes the companies more attractive for investment.

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

Companies that issue a green bond are analysed according to our green bonds policy. If the bond is considered green by ACTIAM, the bond receives a +20 ESG score. If the bond is green but we see a need for engagement on the energy transition strategy of the issuer, the bond receives a +10 analyst score and engagement is conducted.

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

Our Fundamental Investment Principles for companies apply to all investments and cover all UNGC as well as additional criteria.

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

Companies with high performance on E, S and G issues receive a high(er) ESG score, which increases the attractiveness for investment in our active portfolios.

09.2. Additional information.


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
Negative/exclusionary screening?
Positive/best-in-class screening
Norms-based screening

10.2. Additional information. [Optional]


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