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PRI reporting framework 2019

Basic information [OO 01 - 09] Asset class implementation gateway indicators [OO 10 - 12] Peering questions [OO LE 01 - HF 01]

Strategy and Governance

Investment policy [SG 01 - 04] Objectives and strategies [SG 05 - 06] Governance and human resources [SG 07 - 08] Promoting responsible investment [SG 09 - 11] Outsourcing to fiduciary managers and investment consultants [SG 12] ESG issues in asset allocation [SG 13 - 15] Innovation [SG 18] Communication [SG 19]

Direct - Listed Equity Incorporation

ESG incorporation in actively managed listed equities [LEI 01 - 10] Implementation processes [LEI 01 - 10] (A) Implementation: Screening [LEI 04 - 06] (B) Implementation: Thematic [LEI 07] (C) Implementation: Integration of ESG factors [LEI 08 - 10] Outputs and outcomes [LEI 12 - 13]

Direct - Listed Equity Active Ownership

Overview [LEA 01] Engagement [LEA 02 - 08] Outputs and outcomes [LEA 09 - 11] (Proxy) voting and shareholder resolutions [LEA 12 - 21]

Direct - Fixed Income

ESG incorporation in actively managed fixed income [FI 01 - 12] Implementation processes [FI 01 - 03] (B) Implementation: Thematic [FI 07 - 09] (C) Implementation: Integration [FI 10 - 12] Fixed income - Engagement [FI 14 - 16] Outputs and outcomes [FI 17 - 18]

Confidence building measures

Confidence building measures [CM1 01 - 07]

Export Public Responses

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

We assess companies and not the financial instrument in itself. As such, our methodology for fixed income is the same as equity.

Our ESG analysis is based on a combined analysis of the ESG risks the company faces (the "Responsibility" rating) and the sustainable investment opportunities it is positioned to tap into (the exposure to the sustainable economic transition).

Our "Responsibility" rating is built on the assessment of 4 pillars: governance, environment, labour and society. It results in a rating out of 10 and a recommendation on the level of responsibility risk. Our "Sustainable Transition" assessment is based on the company's exposure to the sustainable transition themes that we have identified in the 4 transitions we follow (demographic, medical, economic, lifestyle, ecological).

We also exclude from our SRI funds companies facing high level of controversies, that we consider as being in breach with international norms (UNGC, OECD, ILO, UNGP).

Then, we do have a strict exclusion of controversial weapons for every funds; and we apply sector/activity exclusions for SRI strategies (tobacco, coal, unconventional oil and gas, defence).

04.3. Additional information. [Optional]

FI 05. Examples of ESG factors in screening process

05.1. Provide examples of how ESG factors are included in your screening criteria.

Example 1

Type of fixed income

Corporate (financial)

Corporate (non-financial)

ESG factors

Environmental

Social

Governance

Screening

Negative/ exclusionary

Positive/ best-in-class

Norms-based

Description of how ESG factors are used as the screening criteria

Due to a poor human resources management and lack of transparency on social issues we decided to divest from a French media company. Several controversies on labour issues and fatal accidents resulted in a poor ESG rating, highlighting the high level of ESG risks.

Example 2

Type of fixed income

Corporate (financial)

Corporate (non-financial)

ESG factors

Environmental

Social

Governance

Screening

Negative/ exclusionary

Positive/ best-in-class

Norms-based

Description of how ESG factors are used as the screening criteria

In coordination with the Fixed Income team, we reinforced our investment in a pure recycling play in France, as both the financials and the ESG/Sustainable transition assessments were good (pure player in the Ecological transition).

Example 3

Type of fixed income

Corporate (financial)

Corporate (non-financial)

ESG factors

Environmental

Social

Governance

Screening

Negative/ exclusionary

Positive/ best-in-class

Norms-based

Description of how ESG factors are used as the screening criteria

In the banking sector, there are very few examples of companies that are positively exposed to the sustainable transition. We selected an Italian bank that in addition to having a good management of ESG risks, derived an estimated 5.2% of revenues from SME lending. This is a good example of exposure to Access to Financial Services, which is one of our Sustainable Transition themes.

Example 4

Example 5

05.2. Additional information.

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?	Analysis is performed to ensure that issuers meet screening criteria We ensure that data used for the screening criteria is updated at least once a year. Automated IT systems prevent our portfolio managers from investing in excluded issuers or bonds that do not meet screening criteria Audits of fund holdings are undertaken yearly by internal audit or compliance functions Other, specify None of the above
Positive/best-in-class screening	Analysis is performed to ensure that issuers meet screening criteria We ensure that data used for the screening criteria is updated at least once a year. Automated IT systems prevent our portfolio managers from investing in excluded issuers or bonds that do not meet screening criteria Audits of fund holdings are undertaken yearly by internal audit or compliance functions Other, specify None of the above
Norms-based screening	Analysis is performed to ensure that issuers meet screening criteria We ensure that data used for the screening criteria is updated at least once a year. Automated IT systems prevent our portfolio managers from investing in excluded issuers or bonds that do not meet screening criteria Audits of fund holdings are undertaken yearly by internal audit or compliance functions Other, specify None of the above

06.2. Additional information. [Optional]

Pre-trade controls have been put in place by the internal control and risk team on controversial weapons (across all funds) and on ESG criteria for our SRI funds. Stocks that do not meet the relevant criteria/threshold cannot be traded. This is the first line of defence to avoid any breach.

The internal control and risk team has also established post-trade alerts. If breaches are identified, the department of internal control and risk send a formal alert to the portfolio manager, the head of the Responsible Investment team and the CIO. Breaches have to be explained and regularised within a week.

An assessment of all the breaches identified is made regularly to correct processes, if needed

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