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AP2

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
100 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 (non-financial)
0 Screening alone
0 Thematic alone
100 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%

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

AP2 has integrate ESG issues into fixed income investments (SSA) through investing in Green and Social Bonds. ESG factors are integrated into the investment process for emerging markets fixed income securities. Corporate bonds are exluded if the corporation is excluded from AP2's equity investment universe due to breached of international conventions. AP2 divest from corporate bonds emitted by a company that AP2 has assessed as having high financial climate risks.

01.3. Additional information [Optional].


FI 02. ESG issues and issuer research

02.1. Indicate which ESG factors you systematically research as part of your analysis on issuers.

Select all that apply
SSA
Corporate (non-financial)
Environmental data
Social data
Governance data

02.2. Indicate what format your ESG information comes in and where you typically source it

Indicate who provides this information  

Indicate who provides this information  

02.3. Provide a brief description of the ESG information used, highlighting any differences in sources of information across your ESG incorporation strategies.

In the selection of green and social bonds an assessmeent is made by in-house investment professional. In the analysis for emerging market fixed income securities, social and governance data are from a research provider. Exclusions of corporate bonds due to breaches of international conventions are based on analysis from both in-house ESG team and ESG research provider. Divestment of corporate bonds due to financial climate risks are based on analysis from various sources including in-house ESG team and ESG research provider.

02.4. Additional information. [Optional]


FI 03. Processes to ensure analysis is robust

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

specify description

          Econometric back-testing
        

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

03.3. Additional information. [Optional]


(C) Implementation: Integration

FI 11. Integration overview

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

ESG is integrated into the fixed income portfolio for developed market by investing in green and social bonds. These bonds are evaluted the same way as other bonds. AP2 also follow-up the reporting of green and social bonds.

ESG factors are integrated into the evaluation model used for analysis emerging market fixed-income securities.

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

SSA

See above.

Corporate (non-financial)

Corporate bonds are exluded if the corporation is excluded from AP2's equity investment universe due to breached of international conventions. AP2 divest from corporate bonds emitted by a company that AP2 has assessed as having high financial climate risks.

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
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]

Divesting bonds emitted by corporations that AP2 has assesed as companies with high financial climate risk.


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 (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

AP2 has a strategic allocation to green bonds. Assessment of ESG factors are a part of the investment process. For Green and Social bonds, environmemtal and social issues are reviewed. In the investment model for emerging market securities focus is on social and governance issues.

Corporate (non-financial)

For corporate bonds the focus is on financial climate risk.

13.3. Additional information.[OPTIONAL]


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