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ACTIAM

PRI reporting framework 2020

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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 (financial)
Corporate (non-financial)
Securitised
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

04.2. Describe your approach to screening for internally managed active fixed income

All investments and current holdings are screened based on the ACTIAM Sustainable Policy, which includes both our Fundamental Investment Principles  and Fundamental Material Drivers assessments, covering both norms-based and negative/exclusionary screening (see throughout this report). Furthermore, positive screening is applied to a selection of portfolios and based on several themes: climate change, water, land, health and vitality. Our green, social and sustainability bonds framework of assessments also configures a positive screening.

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.

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

Companies with exposure to renewable energy production receive a positive analyst score, which increases the companies' ESG score. In our active portfolios, where we steer on an ESG score that is as high as possible, this makes the companies more attractive for investment. We already started with this approach in 2016 and further integrated this into our processes.

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

ACTIAM's assessment of SSA builds upon its Sovereigns Policy, where exclusionary screening criteria include being listed on a UN or EU weapons embargo list; being indicates as 'not free' in Freedom House reports; and being part of the lowest ranked countries in the World Bank Governance Indicators list. Furthermore, a country being defined 'partly free' is individually assessed.

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

Issuers of green, social or sustainable bonds are analysed according to our own Green Bonds Policy and framework. If the bond is considered 'green' (meaning grean, social or sustainable) by ACTIAM, the bond is assessed according to our framework, resulting in an ACTIAM ESG score for each bond. In average, this score is higher than the score of a "grey" bond from the same issuer. The framework can be found on our website: https://www.actiam.com/4a751b/siteassets/4_verantwoord/documenten/en/esg-integration-in-green-and-social-bonds_assessment-proces.pdf

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

Our Fundamental Investment Principals for companies apply to all investments and cover several international norms and standards and other ethical criteria, including UNGC, OECD guidelines, UNESCO conventions and others. In 2019, with an update to our Sustainable Investment Policy, we have introduced our Fundamental Material Drivers assessment, also applicable to all investments. In it, several ESG topics are applied to individual companies evaluation, following seven different drivers: from human capital development to biodiversity, businesss ethics to chemicals use. The practices and performance of companies are assessed to define to which extent these are prepared on their way to the transition towards a safe and just space. Companies are then categorized as 'non adaptive', 'at risk' or 'adaptive', indicating such preparedness. Companies indicated as 'non-adaptive' are considered for exclusion, and those 'at risk' may face an ESG Score downgrade. Portfolio managers strive for a high ESG Score for every portfolio, overcoming at least the ESG Score of the benchmark. 

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

Companies with high performance on E, S and G issues receive a high(er) ESG score, which increases the attractiveness (under similar risk and returns) for investment in our active portfolios.

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

other description

          In case of new mandates and structured loans, additional (desk) research is done
        
Positive/best-in-class screening

other description

          Regular annual reassessments monitor companies' development and any material ESG-related changes by the issuer evaluated. These may result in downgrades, upgrades or exclusions.
        
Norms-based screening

06.2. Additional information. [Optional]


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