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PRI reporting framework 2018

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

(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

Screening criteria is established on an annual basis for each sub-type of fixed income, and a periodical control is undergone.

As first approach to SRI, we have chosen screening, since it enable us relatively simply and quickly to select the assets we are more interested in according to ESG terms.

How ESG criteria are incorporated varies depending on the asset type:

Fixed income (Excluding ETFs and Funds): This is 80% of the data reported in this module):

-SSA: exclusion by country.

-Corporate (financial/non-financial): We exclude by country and we do norm-based exclusion. Additionally, we use the ESG rankings published by Sustainalytics and RobecoSAM to analyze companies and position them in regards to their comparable companies.

-Securitised: Requirement for minimum ESG criteria for issuing entities.

Fixed income ETFs and Funds: : (This is 20% of the data reported in this module) the management entity is evaluated by analyzing the ESG policies they use in their funds, and their subscriptions in different initiatives such as UNPRI, UN Global Compact, etc. We also conduct a research to ensure that the Management Entity is not involved in high level controversy and that it meets UN Global Compact principles.

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.

1) Fixed income (excluding Funds and ETF):

Exclusion by country: minimum 95% issued by countries with high o very high HDI

Norm-based exclusion: An analysis of controversies is performed and it is ensured that none of the companies breaches any of the UN Global Compact principles. If an entity is involved in a serious controversy level (4 or 5 according to Sustainalytics) or if a company breaches any of the of the UN Global Compact principles, automatically that security will be in an observation period. In general basis, the positions of these securities will not be increased. The investment team along with management would decide if the security should be considered not suitable to keep it in the portfolio. In this case, the positions would be disposed as soon as possible.
In 2017: Positions on securities with 5 level of controversy or non-compliance of UN Global Compact were disposed.

2) Funds and ETF:
Norm-Based exclusion: An analysis of controversies is performed and it is ensured that none of the Management Entities breaches any of the UN Global Compact principles.
In 2017: We did not invest through Managing Entites with 5 level of controversy or/and non-compliance of UN Global Compact principles.

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

07.2. Additional information. [Optional]