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SPF Beheer

PRI reporting framework 2018

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ESG incorporation in actively managed fixed income

Implementation processes

FI 01. Incorporation strategies applied

01.1. 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.

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

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

Our internally managed government bond portfolio solely focusses on developed countries. For these countries we only apply exclusionary screening.

Our credit portfolio is subject to the exclusion list (applicable to all asset classes). Besides this, before investing in a company, every company is screened based on financial metrics. The analyst team is shared between equity and FI. ESG related risk issues are also taken into account. Currently, we are working on a reinforcement of the process of ESG-integration in our credit portfolio. The ESG score of every company will be reviewed. In addition, extra in-depth information will be sought. Any ESG-risks that come out of this screening will be taken into account in the decision whether or not to accept the company in the portfolio. Too much ESG risk can be a reason not to invest in a company.

Additionally, we have some investments in green bonds in the portfolio. Green bonds are accepted in the portfolio on the same premises as all other investments.

01.3. Additional information [Optional].


FI 02. ESG issues and issuer research (Private)


FI 03. Processes to ensure analysis is robust

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

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

          Analysts conduct research for both credit and equity securities. They sit closely together with the portfoliomanagers credits and portfoliomanager SRI, wherefore information is shared naturally.
        

03.3. Additional information. [Optional]


(A) Implementation: Screening

FI 04. Types of screening applied

04.1. Indicate the type of screening you conduct.

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

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

Exclusionary policies, both on country as well as company basis, apply to all asset classes. For the credit portfolio an ESG screen is done before adopting a company into the portfolio.

04.3. Additional information. [Optional]


FI 05. Negative screening - overview and rationale

05.1. Indicate why you conduct negative screening.

SSA

SSA

Corporate (financial)

Corporate (fin)

Corporate (non-financial)

Corporate (non-fin)

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

Our exclusion policy contains companies that are involved in the production and/or sales of controversial weapons. In the Netherlands there are some legal restrictions towards investments in cluster munition. Our exclusion list was in place before these legal restrictions were introduced and goes much further than the legal restrictions. Also companies where engagement failed are placed on the exclusion list.

Additionally, we have a country exclusion list. This list contains countries listed on the UN sanction list, complemented with internal research.

05.3. Additional information. [Optional]


FI 06. Examples of ESG factors in screening process (Private)


FI 07. Screening - ensuring criteria are met

07.1. 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?
Norms-based screening

07.2. Additional information. [Optional]


(C) Implementation: Integration

FI 11. Integration overview

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

We apply a special investment strategy on our internally managed credit portfolio. All of the bonds are chosen via a selective procedure. The investment decisions are not based on a predefined benchmark. Instead, the portfolio contains a limited number of bond issues. This number is sufficient for differentiation purposes, but not too big to run out of control. For every company a full financial screening is made. As part of this screening attention is paid to ESG risks.

Currently we are strengthening our approach to ESG-integration in the FI portfolio. For every potential investment an ESG paragraph will be added to the investment proposal. This paragraph will contain an analysis of the ESG score of the company. The input is derived from an external research provider. The rationale behind the scoring, plus additional information, will be analysed by the analyst and recorded in the investment proposal. ESG risks can be a reason not to invest in a company.

The analysts responsible for the screening work for both the equity and FI portfolio. Additionally, there is a close cooperation between the FI and the equity team. Working knowledge on (ESG characteristics) of companies is shared between the teams.

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

Corporate (financial)

See 11.1

Corporate (non-financial)

See 11.1

11.3. Additional information [OPTIONAL]


FI 12. Integration - ESG information in investment processes

12.1. 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

12.2. Additional information [OPTIONAL]


FI 13. Integration - E,S and G issues reviewed

13.1. 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

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

Corporate (financial)

An SRI screening is made on every potential portfolio company. The SRI screening determines whether the company fulfils our minimum requirements in the field of SRI. The screening is mainly based on information from an external research provider, combined with additional research by analysts at SPF Beheer.

Corporate (non-financial)

See corporate (financial)

13.3. Additional information.[OPTIONAL]


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