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Eurizon Capital SGR

PRI reporting framework 2020

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ESG incorporation in actively managed listed equities

Implementation processes

LEI 01. Percentage of each incorporation strategy

01.1. Indicate which ESG incorporation strategy and/or combination of strategies you apply to your actively managed listed equities; and the breakdown of your actively managed listed equities by strategy or combination of strategies.

ESG incorporation strategy (select all that apply)

Percentage of active listed equity to which the strategy is applied — you may estimate +/- 5%
0.9 %
Percentage of active listed equity to which the strategy is applied — you may estimate +/- 5%
90 %
Percentage of active listed equity to which the strategy is applied — you may estimate +/- 5%
9.1 %
Total actively managed listed equities 200%

01.2. Describe your organisation’s approach to ESG incorporation and the reasons for choosing the particular strategy/strategies.

As an overarching strategy, we adopt a screening approach for companies involved in the production or distribution of cluster bombs, landmines, anti-personnel mines, depleted uranium, biological and chemical weapons, nuclear weapons, cluster munitions, blinding lasers,white phosphorus, non-detectable fragments, incendiary weapons, convinced that they undermine the fundamental human rights.

This exclusion is applied to all our active funds, while for funds with a benchmark, the fund managers cannot invest exceeding the percentage of the benchmark itself.

We believe that ESG issues are often materially reflected in the stock price and the sustainability of the business of our invested companies. Therefore, we took an approach of integrating environmental, social and governance (ESG) issues into investment analysis and decision-making across the full range of assets.

ESG principles are applied to all active management funds, both benchmark-based and flexible. These include specialised ESG products, which consider specific factors and use an appropriate internal ESG rating system, and ethical products with dedicated benchmarks that are managed in respect of strict criteria in selecting positive and negative issuers. ESG criteria are not applied to passive/index-linked products, and to so-called "wrapper" products (such as, for instance, funds of funds, retail and unit-linked portfolios). Every three months, the SRI Committee (chaired by the CEO) discussed about the lowest rated issuers in our portfolios, deciding about the escalation process to apply. Issuers are then subject to an 18 months engagement timeframe and a potential voting at the AGM. Subsequently, without evidence of the issuer's improving ESG profile, they are divested from all products.

Previously, in 2018 Eurizon launched a Green Bond Fund, characterized by a thematic approach. In total, we have launched 34 ESG prodcuts (12 in 2019).

01.3. If assets are managed using a combination of ESG incorporation strategies, briefly describe how these combinations are used. [Optional]


LEI 02. Type of ESG information used in investment decision (Private)


LEI 03. Information from engagement and/or voting used in investment decision-making (Private)


(A) Implementation: Screening

LEI 04. Types of screening applied

04.1. Indicate and describe the type of screening you apply to your internally managed active listed equities.

Type of screening

Screened by

Description

Anti-personnel mines, Depleted Uranium, Biological and Chemical weapons, Nuclear Weapons, Cluster munitions, Blinding Lasers, White Phosphorus, Non-detectable Fragments, Incendiary Weapons.are included in a specific "controvertial weapons" internal policy; while the internal escalation process is applied to all the issuers with the poorest ESG rating if after 18 months of engagement they fail to improve their ESG profile. Hence, the exclusion of such issuers from our products.

Screened by

Description

In 2019 launched 3 ESG thematic funds.

Screened by

Description

Lowest ESG ratings

04.2. Describe how you notify clients and/or beneficiaries when changes are made to your screening criteria.

Quarterly, an exclusion list with all companies involved in the production and/or distribution of Anti-personnel mines, Depleted Uranium, Biological and Chemical weapons, Nuclear Weapons, Cluster munitions, Blinding Lasers, White Phosphorus, Non-detectable Fragments, Incendiary Weapons is provided to all analysts and portfolio manager. All the products without a benchmark cannot invest in the listed stocks, while funds with a benchmark cannot hold a position that exceeds the benchmark weight. Quarterly, a list of critical ESG stocks is provided to the investment teams for their integration of analysis.

Every quarter the SRI Committee (chaired by the CEO) analyses and ratifies the list of issuers subject to engagement and the subsequent escalation process. Such action might bring the issuer to be excluded from our portfolios if after 18 months of engagement there are no concrete signs of improvement of the issuer's ESG profile.


LEI 05. Processes to ensure screening is based on robust analysis

05.1. Indicate which processes your organisation uses to ensure ESG screening is based on robust analysis.

05.2. Indicate the proportion of your actively managed listed equity portfolio that is subject to comprehensive ESG research as part your ESG screening strategy.

05.3. Indicate how frequently third party ESG ratings are updated for screening purposes.

05.4. Indicate how frequently you review internal research that builds your ESG screens.

05.5. Additional information. [Optional]


LEI 06. Processes to ensure fund criteria are not breached (Private)


(B) Implementation: Thematic

LEI 07. Types of sustainability thematic funds/mandates

07.1. Indicate the type of sustainability thematic funds or mandates your organisation manages.

07.2. Describe your organisation’s processes relating to sustainability themed funds. [Optional]


(C) Implementation: Integration of ESG factors

LEI 08. Review ESG issues while researching companies/sectors

08.1. Indicate the proportion of actively managed listed equity portfolios where E, S and G factors are systematically researched as part of your investment analysis.

ESG issues

Proportion impacted by analysis
Environmental

Environmental

Social

Social

Corporate Governance

Corporate Governance

08.2. Additional information. [Optional]


LEI 09. Processes to ensure integration is based on robust analysis

09.1. Indicate which processes your organisation uses to ensure ESG integration is based on robust analysis.

09.2. Indicate the proportion of your actively managed listed equity portfolio that is subject to comprehensive ESG research as part your integration strategy.

09.3. Indicate how frequently third party ESG ratings that inform your ESG integration strategy are updated.

09.4. Indicate how frequently you review internal research that builds your ESG integration strategy.

09.5. Describe how ESG information is held and used by your portfolio managers.

09.6. Additional information. [Optional]


LEI 10. Aspects of analysis ESG information is integrated into (Private)


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