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ABN AMRO Bank N.V.

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.

Corporate (financial)
0 Screening alone
0 Thematic alone
0 Integration alone
0 Screening + integration strategies
0 Thematic + integration strategies
100 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.

For all our Discretionary Portfolio Management (“DPM”) investment process a “financial performance first and a best-in-class sustainability” approach is in place. This means that in case of similar scores on key financial performance drivers, the preference for selection in client portfolios resides on companies that offer the highest sustainability ratings. This selection methodology, which is based on exclusion and selection of investments should translate into portfolios that are above benchmark in terms of sustainability. The overall sustainability of the portfolio is monitored periodically (at least annually) to safeguard above benchmark levels of sustainability. For our Sustainable Mandates additional criteria apply.

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.

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
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

For all our Discretionary Portfolio Management (“DPM”) investment process a “financial performance first and a best-in-class sustainability” approach is in place. This means that in case of similar scores on key financial performance drivers, the preference for selection in client portfolios resides on companies that offer the highest sustainability ratings. This selection methodology, which is based on exclusion and selection of investments should translate into portfolios that are above benchmark in terms of sustainability. The overall sustainability of the portfolio is monitored periodically (at least annually) to safeguard above benchmark levels of sustainability. For our Sustainable Mandates additional criteria apply.

04.3. Additional information. [Optional]


FI 05. Negative screening - overview and rationale

05.1. Indicate why you conduct negative screening.

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.

Companies and countries mentioned on exclusion lists may be banned from all investment products and solutions, as explained in the Sustainability Risk Policy. ABN AMRO has implemented several exclusion lists, of which the Controversial Weapons List and Investment Exclusion List (“IEL”) apply for investments. The Executive Committee (“ExCo”) decides on the composition of these lists. After a decision investment managers have a three month period to 1) sell the companies occurring on the exclusion lists, 2) to modify its advisory tools and services and 3) to contact clients for selling their positions in these companies. ABN AMRO has limited possibilities to force third party investment products to sell these companies from their portfolios, unless it is forbidden by law.

05.3. Additional information. [Optional]


FI 06. Examples of ESG factors in screening process (Not Completed)


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

07.2. Additional information. [Optional]


(B) Implementation: Thematic

FI 08. Thematic investing - overview (Private)


FI 09. Thematic investing - themed bond processes

09.1. Indicate whether you encourage transparency and disclosure relating to the issuance of themed bonds as per the Green Bonds Principles, Social Bond Principles, or Sustainability Bond Guidelines..

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

N/A

09.3. Additional information. [Optional]


FI 10. Thematic investing - assessing impact

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

10.2. Additional information. [Optional]


(C) Implementation: Integration

FI 11. Integration overview

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

Financial performance is the first criterion and guiding principle for investment selection in most investment services concepts. After that, a best-in-class sustainability approach is to be followed. This selection methodology is applicable for both equity and bond investments and intends to translate into portfolios that are at or above benchmark in terms of sustainability.

In order to facilitate the best-in-class sustainability selection, a sustainability indicator has been developed exclusively for ABN AMRO. This indicator provides transparency on the level of sustainability of a certain investment security based on a large number of ESG measurements, exposure of companies to controversies and lack of relevant policies in high risk sectors and certain countries and/or geographies.

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

Corporate (non-financial)

There are no differences.

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 (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 (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 (non-financial)

See ESG integration process.

13.3. Additional information.[OPTIONAL]


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