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PRI reporting framework 2019

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. Examples of ESG factors in screening process (Private)

FI 06. Screening - ensuring criteria are met

06.1. 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

06.2. Additional information. [Optional]

An analysis on a quarterly basis is performed to ensure that issuers meet screening criteria. If any security does not meet our SRI policy, the investment committee have a discussion about the issuer company and if it is declared unfit to keep in the portfolio, the assets are sold during the next quarter.