The Sub-Fund promotes environmental, social and governance practices by adopting a two-layer selection process: the first layer is determined by the identification of the Sub-Fund’s investable universe by means of criteria of exclusion on the securities selection process. The second layer is represented by an active asset selection seeking to invest mainly in companies which deem to have good or improving ESG characteristics and good governance practices as defined by SFDR.
The Sub-Fund’s portfolio invests at least 80% of its assets, net of cash, ancillary liquid assets and derivatives, in companies and countries with an ESG rating equal to or higher than B. The weighted average ESG rating of the portfolio cannot be lower than BBB. The Sub-Fund’s portfolio does not invest in companies and countries with ESG rating below B.
The ESG ratings measure the company-level capacity to manage environmental and social risks and opportunities that could materially impact business performance, positively or negatively.
The ESG ratings are attributed at the investment level and then aggregated at the portfolio level. For the attribution of the ESG ratings seven different levels are used, from the best rating of AAA to the worst rating of CCC, which are derived from a normalized ESG score, which ranges from 0 (worst performance) to 10 (best performance).
Involvement of companies in environmental, social and governance controversies: The Sub-Fund’s portfolio does not invest in companies involved in very severe environmental, social and governance controversies, which correspond to a 0 score.
Involvement of companies in socially controversially activities: it is assessed by the share of company revenues generated by the following socially controversial activities: civilian and military weapons, controversial weapons, tobacco, gambling, and non-responsible alcohol. The Sub-Fund’s portfolio does not invest in companies with a revenue share equal to or greater than 5% being generated by such activities, except for controversial activities, with respect to which any revenue-based involvement leads to exclusion from the Sub-Fund’s portfolio.
Democratic level of countries: it is assessed by the PAI indicator “average rule of law score”. A low democratic level corresponds to a country-level performance with respect to the average rule of law score below the 50th percentile of all countries for which data are available. The Sub-Fund’s portfolio does not invest in countries with a low democratic level.
Taxonomy alignment indicator: the Sub-Fund pursues the objective of investing in sustainable investments contributing to climate change mitigation and climate change adaptation, as per Regulation (EU) 2020/852 (“EU Taxonomy”). The Management Company considers that a targeted minimum of 10% of the underlying investments selected for the Sub Fund’s portfolio, net of cash, ancillary liquid assets and derivatives, will be aligned with the first two objectives of the EU Taxonomy, climate change mitigation and climate change adaptation. The Sub-Fund does not commit to a minimum share of investments in transitional and enabling activities; however, these investments may form part of the portfolio. The degree of EU Taxonomy alignment of a given investment is measured according to the EU Regulations 2020/852 and 2022/1288.