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CDC - Caisse des dépôts et consignations

PRI reporting framework 2018

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

(C) Implementation: Integration

FI 11. Integration overview

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

ESG parameters are considered as risk factors that can impact issuers' financial performance.
For part of the portfolio (SSA ): an ESG score is calculated internally by our portfolio managers, with different weights assigned to E,S and G criteria depending on the sectors. With the help of this ESG appraisal, the PM will decide to increase/decrease the allocation on a given issuers vs its peers.
For the full of the portfolio, a separated ESG score is used by the risk department to adjust issuers limits.

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

SSA

An ESG score is calculated internally by our portfolio managers, with different weights assigned to E,S and G criteria depending on the sectors. With the help of this ESG appraisal, the PM will decide to increase/decrease
the allocation on a given issuers.

GHG emissions trajectory are also monitored relying on published NDCs.

For the full the portfolio, a separated ESG score is used by the risk department to adjust issuers limits.

Corporate (financial)

An ESG score is used by the risk department to adjust issuers limits, without additional formalized integration of ESG issues by fund managers in 2017.

Corporate (non-financial)

GHG emissions and emission reductions are monitored, notably based on CDP disclosed information.
A separated ESG score is used by the risk department to adjust issuers limits, without additional formalized integration of ESG issues by fund managers in 2017

11.3. Additional information [OPTIONAL]

The investment team invests in green bond in the core protfolios, without it being a specific thematic mandate. Responses from FI 11 below are implemented, though not declared in the section as not being formally part of a thematic strategy.
- We require that themed bond proceeds are only allocated to environmentally or socially beneficial
projects.,
- We require the issuer (or third-party assurer) to demonstrate a process which determines the eligibility of projects to which themed bond proceeds are allocated,
- We require issuers to demonstrate a systematic and transparent process of disbursing themed bond proceeds to eligible projects until all funds are allocated,
- We require issuers to report at least once per year on the projects to which proceeds have been allocated, including a description of those projects.


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
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
SSA

Environmental

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.

SSA

Applicable to all portfolio : ESG analysis are updated by risk analysts for each credit review and
then integrated by the relative score in limits.
For part of the SSA portfolio invested in emerging countries an ESG score is calculated internally by our portfolio managers, with different weights assigned to E,S and G criteria, and run annually. With the help of this ESG appraisal, the PM will decide to increase/decrease the allocation on a given issuers vs its peers.

Corporate (financial)

Applicable to all portfolio : ESG analysis are updated by risk analysts for each credit review and then integrated by the relative score in limits.

Corporate (non-financial)

Applicable to all portfolio : ESG analysis are updated by risk analysts for each credit review and then integrated by the relative sector score in limits

13.3. Additional information.[OPTIONAL]


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