Status under the EU Sustainable Finance Disclosure Regulation (SFDR)

Legal Entity Identifier: 635400TLEBYMVGAOUO19

A. Summary

The Sub-Fund is categorised as one which meets the provisions set out in Article 9 of SFDR as a product which has sustainable investment as its objective. It will make a 90% minimum of sustainable investments with an environmental objective in economic activities that do not qualify as environmentally sustainable under the EU Taxonomy. The sustainable investments do no significant harm to any environmental or social sustainable investment objective by considering certain principal adverse impacts and aligning with the OECD Guidelines for Multinational Enterprises and the UN Guiding Principles on Business and Human Rights.

The sustainable investment objective of the Sub-Fund is to reduce its carbon emissions, thereby aligning investments to the Paris Climate Agreement and assisting the adjustment towards a low carbon economy. The Sub-Fund aims to contribute to the environmental objective of climate mitigation.

The Sub-Fund is actively managed with reference to the Solactive ISS Paris Aligned Select Euro Corporate Bond Index, which meets the criteria for an EU Paris-aligned Benchmark (PAB) described in regulation (EU) 2020/1818. The reference benchmark is designed to have 50% lower greenhouse gas (GHG) emissions than the broad Euro investment grade bond market and a 7% year-on-year reduction in GHG emissions, while also incorporating a range of ESG exclusions. The methodology for the reference benchmark is available at documents.

To achieve its sustainable investment objective, the Sub-Fund will (a) limit its corporate bond investments to issuers whose bonds are constituents of the reference benchmark and (b) maintain weighted average GHG emissions lower than or equal to the GHG emissions of the reference benchmark. This ensures that the Sub-Fund meets the requirements for PABs in Commission Delegated Regulation (EU) 2020/1818. To further contribute to the objective of climate mitigation, the Sub-Fund invests primarily in bonds of issuers that are committed to the climate transition and also has a minimum allocation to issuers aligned with environmental solutions.

The Sub-Fund invests in an actively managed portfolio comprising primarily Euro investment grade corporate bonds. The Sub-Fund is actively managed with reference to the reference benchmark, targeting an ex-ante annualised tracking error of 0.2% to 1.0% over the long term.

To achieve its sustainable investment objective, the Sub-Fund aims to (a) limit its corporate bond investments to issuers whose bonds are constituents of the reference benchmark and (b) maintain weighted average greenhouse gas (“GHG”) emissions lower than or equal to the GHG emissions of the reference benchmark. This ensures that the Sub-Fund meets the requirements for PABs in Commission Delegated Regulation (EU) 2020/1818. To further contribute to the objective of climate mitigation, the Sub-Fund invests primarily in bonds of issuers that are committed to the climate transition and also has a minimum allocation to issuers aligned with environmental solutions.

The Investment Manager will select only bonds of issuers whose bonds are constituents of the reference benchmark, therefore ensuring the following exclusions are applied:

• Violation of social norms (including the UN Global Compact),Violation of social norms (including the UN Global Compact),
• Significant negative impact on environmental Sustainable Development Goals (12: Responsible Consumptions and Production, 13: Climate Action, 14: Life Below Water, 15: Life on Land)
• Fossil fuels: revenues from oil, gas, coal and energy intensive electricity generation above certain thresholds, plus any tie to thermal coal
• Tobacco cultivation and production
• Controversial weapons
• Other harmful activities including adult entertainment, alcohol, gambling, recreational cannabis, genetic engineering civilian firearms and weapons

Additional binding elements of the investment strategy are as follows:

• Weighted average GHG emissions lower than or equal to the reference benchmark
• Minimum of 80% of assets invested in bonds of issuers committed to the climate transition
• Minimum of 10% of assets invested in bonds of issuers with at least 25% of revenues aligned to environmental solutions such as clean energy, sustainable transport and water management

The Investment Manager uses ESG data from a variety of third-party sources, including but not limited to MSCI ESG. The reference benchmark administrator uses data sourced from ISS ESG. The Investment Manager acknowledges that there may be limitations to data provided by ESG data providers. Where third-party data is used to apply ESG exclusionary screens, the Investment Manager may only invest in companies that would be excluded by the screens if it believes, based on its own research and as approved by its ESG Oversight Committee, that the third-party data is insufficient or inaccurate. The Investment Manager also relies on the ESG and climate data provided to the benchmark administrator (Solactive), and the accuracy of the administrator in applying the reference benchmark methodology. Estimates may be used in the calculation of the reference benchmark.

The Investment Manager completes due diligence processes ahead of making any investment decisions, using internal and external tools and research. In addition, the Investment Manager’s Front Office Controls & Governance, Financial Risk and Investment Compliance teams conduct ongoing review and oversight.

The Investment Manager applies Janus Henderson’s firmwide Stewardship & Engagement and Proxy Voting policies, as described in section K.

The Sub-Fund is actively managed with reference to the Solactive ISS Paris Aligned Select Euro Corporate Bond Index, which meets the criteria for an EU Paris-aligned Benchmark (PAB) described in regulation (EU) 2020/1818. The methodology for the reference benchmark is available at documents.