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PRI reporting framework 2019

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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
SSA
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

SSA: In European sovereign bonds investments we rank the countries by looking at several governance indicators. Only the top 25% ranking countries are eligible for inclusion. We take into account Governance data from the World Bank Worldwide Governance Index.
EMD: We use negative screening based on UN PRI principals and ESG criteria (based on a set of ESG indices such as ND-GAIN, HDI etc., which are updated yearly) to provide a minimum level of ESG standards in the portfolio. This results in excluding around 50% of the amount of countries.

EMD: Norms-based screening is done via Global Compact Violators an

Corporates (Fin and nonFins), we use an exclusion list for negative screening. As of 2017 Emerging market Corporates are excluded due to concerns on Governance. The exclusion criteria are reviewed on a quarterly basis and/or if a material ESG risk materializes. Furthermore, for sectors with high ESG risks, we arrive at a preference for various subsectors or group of companies and use positive/best-in-class screening. In terms of norm-based screening, we analyze each corporate that is part of our investable universe and we require certain minimum standards regarding environment, social and governance, disclosure and business practice.

 

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

06.2. Additional information. [Optional]

Our benchmarks are customised to include our negative or positive screening criteria which are updated yearly. Every quarter our excluded companies are updated. Our compliance department monitors daily whether our mandates requirements are met (which includes restrictions on positive and negative screening on ESG). In addition our systems prevents our portfolio managers from investing outside their investable universe.


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