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ACTIAM

PRI reporting framework 2019

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Outputs and outcomes

FI 17. Financial/ESG performance

17.1. Indicate whether your organisation measures how your incorporation of ESG analysis in fixed income has affected investment outcomes and/or performance.

Select all that apply
SSA
Corporate (financial)
Corporate (non-financial)
Securitised
We measure whether incorporating ESG impacts portfolio risk.
We measure whether incorporating ESG impacts portfolio returns.
We measure the ESG performance/profile of portfolios (relative to the benchmark).
None of the above

17.2. Describe how your organisation measures how your incorporation of ESG analysis in fixed income has affected investment outcomes and/or ESG performance. [OPTIONAL]

We measure and report on the ESG scores of our investments (versus the ESG Score of the benchmarks). Since we have targets on the relative and absolute ESG scores of most of the portfolios, there is a measurable impact (like % of the BM that is not investable). Plus, we measure and report on the carbon and water footprints of our investments (versus the footprints of the benchmarks). We also relate this to our overall targets.

17.3. Additional information.[OPTIONAL]


FI 18. Examples - ESG incorporation or engagement

18.1. Provide examples of how your incorporation of ESG analysis and/or your engagement of issuers has affected your fixed income investment outcomes during the reporting year.

ESG issue and explanation

We have a policy on the sale of (hand)guns to consumers, see also https://www.actiam.com/siteassets/4_verantwoord/documenten/en/ri_fundamental_investment_principles_companies.pdf

By this policy, we exclude companies that are active in selling these weapons. During 2018, we have reviewed the current excluded companies and one of these confirmed to us that they are no longer selling (hand)guns to consumers. Hereby, the company is no longer in violation with our policy and we have included it again in our investment universe. 

Impact on investment decision or performance

By including this company again, we have increased the investable universe. 

ESG issue and explanation

A company newly entering a benchmark, is analysed and found to be in violation with our policy. The company has been accused of corruption and money laundering involving inflated acquisition and contractor costs, and tax disputes with multiple Brazilian state authorities and federal governments. 

Impact on investment decision or performance

Given the controversies described above, the company is excluded from our investable universe and therefore not bought when it entered the benchmark.

ESG issue and explanation

A large bank issued a green bond under its exciting green bond framework. We have previously assessed the framework and the company. A review of this, including assessing the current status and level of ambition of the financial, brought us to label the bond as "green" and providing it with a score of 75.

Impact on investment decision or performance

Given the label of this bond as "green" and the score of 75, it is more attractive for portfolio management to buy this bond (versus its grey version). 

ESG issue and explanation

While screening the universe, a company is found to have very low product quality standards and is hereby not in line with the believes of ACTIAM. ACTIAM has started engagement with the aim that the company will improve product quality standards. I.e. expand certification to a widely accepted product safety / quality standard

Impact on investment decision or performance

By starting engagement with this company, the ESG score is automatically adjusted to 20. Hereby, it is no longer very attractive for the portfolio managers to invest in the company.

ESG issue and explanation

When screening new entries to the benchmark, a subsidiary of an already excluded company is found. As this new entry does not meet the criteria for an individual assessment by ACTIAMs affiliates policy, the exclusion status is also applied on this company. 

Impact on investment decision or performance

Given the description above, the company is excluded from our investable universe and therefore not bought when it entered the benchmark.

18.2. Additional information.


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