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Gestión de Previsión y Pensiones E.G.F.P

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
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.

We have considered integration as the most complete and efficient tool for considering non-financial information in the investment process. With this approach we are able to consider both fundamental and ESG analysis, maximizing the risk-return of our portfolios. As mentioned in previous modules, GPP also applies the exclusion as a consequence of the "Rule of Conduct in Defence". Thus, we apply a combination of strategies (exclusion + integration).

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]

Gestión de Previsión y Pensiones, E.G.F.P., S.A. incorporates ESG criteria in sovereign fixed income by collecting non-financial information provided by our external researcher. This information is then incorporated to the financial information in investment decision making. The proprietary model was implemented during 2013.


(A) Implementation: Screening

FI 04. Types of screening applied

04.1. Indicate the type of screening you conduct.

Select all that apply
SSA
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

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

Gestión de Previsión y Pensiones, E.G.F.P., S.A. incorporates ESG criteria in sovereign fixed income by collecting non-financial information provided by our external researcher. As previously explained in different modules and for all our asset classes, one of the strategies applied, is the negative screening based in our internal Rules of Conduct, which is based on a list of exclusions updated quarterly and integrated within our systems to monitorized the rule in real time.

04.3. Additional information. [Optional]


FI 05. Negative screening - overview and rationale

05.1. Indicate why you conduct negative screening.

SSA

SSA

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

We conduct negative screening, as previously explained in other modules, because of the norm aproved by BBVA Group.

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?
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.

From the exclusion policy perspective, we are based on the Rules of Conduct in Defence: The BBVA Defence Rule applies to all units and subsidiaries of the BBVA Group Worldwide and to all financial services. For the purposes of this policy, BBVA uses exclusion lists of companies and countries, prepared and regularly updated with the help of independent experts. The document is publicly available in the following URL: http://bancaparatodos.com/wp-content/uploads/2010/10/Rules-of-Conduct-in-Defense.pdf
This criteria is quarterly reviewed by an independent third party (Sustainalytics). We are provided with a list of exclusions, classified based on the following criteria:
• Anti-personnel mine.
• Biological weapons
• Chemical weapons
• Cluster weapons
• Nuclear weapons
From integration point if view, the process is the same thta we have explain in the equity module already. We receive the raw information from our service provider and this informations is moved within our proprietary model in which data is normalized and adapted to our investment universe.

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

SSA

As the investible universe is different (government in this case), the raw information used is also different. However, the procedure is similar to the one followed for listed equity.

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
SSA
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
SSA

Environmental

Social

Governance

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

SSA

We review each pillar any time we receive raw data from our research provider.

 

13.3. Additional information.[OPTIONAL]


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