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Status under the EU Sustainable Finance Disclosure Regulation (SFDR) - Strategic Bond Fund

Janus Henderson Horizon Fund – Strategic Bond Fund

Legal entity identifier: 213800MABR4GJROFPI91

A. Summary

The Fund is categorised as one which meets the provisions set out in Article 8 of SFDR as a product which promotes environmental and/or social characteristics and invests in companies with good governance practices. Whilst the Fund does not have as its objective a sustainable investment, it will have a minimum proportion of 10% of sustainable investments with a social objective and an environmental objective in economic activities that do not qualify as environmentally sustainable under the EU Taxonomy. See “B. No Sustainable Investment Objective” below for further details.

The Fund promotes climate change mitigation and support for the UNGC principles (which cover matters including human rights, labour, corruption, and environmental pollution, avoid investments in sovereign issuers that have not ratified the Paris Agreement, and avoids investments in certain activities with the potential to cause harm to human health and wellbeing. The Fund does not use a reference benchmark to attain its environmental or social characteristics. In addition, the Fund invests a minimum of 10% of its net asset value in sustainable investments.

This Fund seeks a combination of capital and income returns through exposure to a broad range of global fixed income asset classes.  The exclusionary screens are implemented on both a pre and post trade basis enabling the sub investment advisor to block any proposed transactions in an excluded security and identify any changes to the status of holdings when third-party data is periodically updated. The binding elements of the investment strategy described below are implemented as exclusionary screens within the Investment Manager’s order management system utilising third-party data provider(s) on an ongoing basis. One binding element is not included as an exclusionary screen within the order management system, this is “the corporate bond portion of the Fund will aim to have a lower carbon intensity than its relevant reference universe on a monthly basis”. This commitment is monitored on a monthly basis by comparing the carbon intensity number of the portfolio and its relevant reference universe as calculated by a third-party data provider.

The Investment Manager uses specific screens to help achieve some of the promoted characteristics. For example- to promote climate change mitigation, screens are applied to avoid investment in certain high carbon activities, and it is expected that this will result in the fund having a lower carbon profile.  Another example is that to promote support for the UNGC Principles, screens are applied so that the Fund does not invest in issuers that are in breach of the UNGC Principles based on third party data and/or internal research. The Investment Manager applies screens to exclude direct investment in corporate issuers based on their involvement in certain activities. Specifically, issuers are excluded if they derive more than 10% of their revenue from oil and gas generation and production, oil sands extraction, shale energy extraction, thermal coal extraction and power generation, Arctic oil and gas extraction, tobacco, fur, adult entertainment, gambling or controversial weapons. Issuers are also excluded if they are deemed to have failed to comply with the UNGC Principles (which cover matters including human rights, labour, corruption, and environmental pollution). Further, the Investment Manager uses a pass/fail test to determine investments which are deemed sustainable investments, meaning that each holding must meet all three of the requirements below:

  1. based on revenue mapping to UN Sustainable Development Goals or having a carbon emissions target approved by the Science Based Targets initiative (SBTi), it contributes to an environmental or social objective or in the case of Green, Social and Sustainability Bonds 100% of the proceeds must be exclusively and formally applied for the financing or refinancing of projects with social and/or environmental benefits;
  2. it does not cause significant harm to any environmental or social sustainable investment objective; and
  3. it follows good governance practices.

The Investment Manager identifies Green, Social and Sustainability Bonds by using third party data and/or analysis, including the Bloomberg Sustainable Bond Instrument methodology. The Bloomberg Sustainable Bond Instrument methodology seeks to identify and label bonds as Green, Social or Sustainable only where an issuer has outlined that either 100% of the bond’s net proceeds, or a sum of an equivalent monetary value are used exclusively for the financing or refinancing of projects with social and/or environmental outcomes, and/or transitional outcomes.

The corporate bond portion of the Fund will aim to have a lower carbon intensity than its relevant reference universe on a monthly basis.

The Investment Manager excludes from the Fund sovereign bond issuers that have been sanctioned under the EU Global Human Rights Sanctions Regime or the UN sanctions regime and/or have not attained a sufficiently high score (e.g., ‘free’) under the Freedom House Index that promotes political rights and civil liberties (or other such similar index as determined by the Investment Manager). Under normal market conditions, the Investment Manager will also exclude sovereign bond issuers that have not ratified the Paris Agreement. Should the US choose to exit the Paris Agreement during a future political cycle, the Investment Manager will consider whether excluding US Treasuries from the Fund would be excessively detrimental to returns and/or whether it would change the risk-return profile of the Fund.

For the purposes of the AMF doctrine, the extra-financial analysis or rating as described above is higher than:

  1. 90% for equities issued by large capitalisation companies whose registered office is located in "developed" countries, debt securities and money market instruments with an investment grade credit rating, sovereign debt issued by developed countries;
  2. 75% for equities issued by large capitalisations whose registered office is located in "emerging" countries, equities issued by small and medium capitalisations, debt securities and money market instruments with a high yield credit rating and sovereign debt issued by "emerging" countries.

The Investment Manager may only invest in companies that would be excluded by the screens described above if the Investment Manager believes, based on its own research and as approved by its ESG Oversight Committee, that the third-party data used to apply the exclusions is insufficient or inaccurate.

The Investment Manager may consider that the data is insufficient or inaccurate if, for example, the third-party data provider research is historic, vague, based on out of date sources, or the investment manager has other information to make them doubt the accuracy of the research.  If the Investment Manager wishes to challenge the third-party data, then the challenge is presented to a cross-functional ESG Oversight Committee who must sign off on the “override” of the third-party data.  If a third party data provider does not provide research on a specific issuer or excluded activity, the Investment Manager may invest if, through its own research, it is satisfied that the issuer is not involved in the excluded activity.

The Fund also applies the Firmwide Exclusions Policy (see “Firmwide Exclusions” in the "JHI Responsible Investment Policy”), which includes controversial weapons, as detailed below.

JHI has chosen MSCI’s as its primary data source for ESG (Environmental, Social and Governance) research. Where coverage gaps are identified, specialist ESG Data vendors or inhouse research may be used to complement the ESG research. This ensures helps ensure that consistent data and methodologies are used given an ESG measure per security type and hence can be compared correctly in the portfolio construction process. The JHI Responsible Investment Policy, which incorporates JHI’s Sustainability Risk Policy, sets out the firmwide approach to ESG Integration Principles, including JHI’s Responsible Investment Principles for long-term investment success, our approaches to Stewardship and Engagement and Baseline Exclusions applied to investee companies.


B. No Sustainable Investment Objective

This financial product promotes environmental or social characteristics and whilst it does not have as its objective a sustainable investment, it will have a minimum proportion of 10% of sustainable investments with a social objective and an environmental objective in economic activities that do not qualify as environmentally sustainable under the EU Taxonomy.

The Investment Manager uses a pass/fail test meaning that each sustainable investment must meet all three of the requirements below:

  1. based on revenue mapping to UN Sustainable Development Goals or having a carbon emissions target approved by the Science Based Targets initiative (SBTi), it contributes to an environmental or social objective;
  2. it does not cause significant harm to any environmental or social sustainable investment objective; and
  3. it follows good governance practices.

This Fund invests a minimum of 10% of its net asset value in sustainable investments in pursuit of its investment objective. All sustainable investments will be assessed by the Investment Manager to comply with its sustainable investment methodology.

The sustainable investments held by the Fund may contribute to addressing a range of environmental and/or social issues set out in the UN Sustainable Development Goals. An investment will be determined to make a positive contribution to an environmental or social objective where its business activity or practices positively contribute to environmental and/or social objectives.

Sustainable investments meet the do no significant harm requirements, as defined by applicable law and regulation. Investments considered to be causing significant harm do not qualify as sustainable investments. The Investment Manager identifies investments which negatively impact sustainability factors and cause significant harm by using third party data and/or analysis, including the MSCI ESG Controversies methodology.

The Investment Manager uses third-party data and/or proprietary analysis, including the MSCI ESG Controversies methodology, to assess the principal adverse impacts on sustainability factors as set out in table 1 of Annex I of the Commission Delegated Regulation (EU) 2022/1288 as amended from time to time. Investments considered to have negatively impacted sustainability factors and cause significant harm are not considered as sustainable investments.

The MSCI ESG Controversies methodology aligns with certain principal adverse indicators to create specific exclusions. Whilst the principal adverse indicators do not provide specific thresholds for harm they can be leveraged in identifying potentially the most significant harm. This framework is subject to ongoing review, particularly as the availability, and quality, of the data evolves.

The Investment Manager uses third-party data and/or proprietary analysis, including the MSCI ESG Controversies methodology, to assess alignment with the OECD Guidelines for Multinational Enterprises and the UN Guiding Principles on Business and Human Rights. Investments considered to have violated these principles are not considered as sustainable investments. This framework is subject to ongoing review, particularly as the availability, and quality, of the data evolves.

C. Environmental or social characteristics of the financial product

The Fund promotes climate change mitigation and support for the UNGC principles (which cover matters including human rights, labour, corruption, and environmental pollution, avoid investments in sovereign issuers that have not ratified the Paris Agreement, and avoids investments in certain activities with the potential to cause harm to human health and wellbeing.

In addition, the Fund invests a minimum of 10% of its net asset value in sustainable investments.

The Fund does not use a reference benchmark to attain its environmental or social characteristics.

D. Investment Strategy

This Fund seeks a combination of capital and income returns through exposure to a broad range of global fixed income asset classes. The exclusionary screens are implemented on both a pre and post trade basis enabling the sub investment advisor to block any proposed transactions in an excluded security and identify any changes to the status of holdings when third-party data is periodically updated.

The binding elements of the investment strategy described below are implemented as exclusionary screens within the Investment Manager’s order management system utilising third-party data provider(s) on an ongoing basis. One binding element is not included as an exclusionary screen within the order management system, this is “the corporate bond portion of the Fund will aim to have a lower carbon intensity than its relevant reference universe on a monthly basis”. This commitment is monitored on a monthly basis by comparing the carbon intensity number of the portfolio and its relevant reference universe as calculated by a third-party data provider.

The companies in which investments are made are assessed by the Investment Manager to follow good governance practices.

The good governance practices of investee companies are assessed prior to making an investment and periodically thereafter in accordance with the Sustainability Risk Policy (“Policy”).

The Policy sets minimum standards against which investee companies will be assessed and monitored by the Investment Manager prior to making an investment and on an ongoing basis. Such standards may include, but are not limited to: sound management structures, employee relations, remuneration of staff and tax compliance.

The Policy can be found at www.janushenderson.com/esg-governance.

The Investment Manager uses third-party data and/or analysis, including the MSCI ESG Controversies methodology, to assess good governance practices of the investee companies. Accordingly, an MSCI ESG Rating of BB or higher generally indicates good governance.

In addition, the Investment Manager is a signatory to the UN Principles for Responsible Investment (UNPRI). As a signatory, the good governance practices of investee companies are also assessed by having regard to the UNPRI principles prior to making an investment and periodically thereafter.

E. Proportion of investments

A minimum of 70% of the investments of the financial product are used to meet the environmental or social characteristics promoted by the financial product. In addition, the Fund invests a minimum of 10% of its net asset value in sustainable investments. Other assets, which are not used to meet the environmental or social characteristics, may include cash or cash equivalents, securitised assets, derivatives for the purposes of efficient portfolio management, or derivatives for investment purposes other than those used to gain exposure to direct issuers.

F. Monitoring of environmental or social characteristics

The sustainability indicators used to measure the attainment of each of the environmental or social characteristics promoted by this financial product are:

  • Ratification of the Paris Agreement on Climate Change (“Paris Agreement”) by sovereign issuers.
  • Carbon Intensity Scope 1&2
    This represents the company's most recently reported or estimated Scope 1 + Scope 2 greenhouse gas emissions normalized by sales, which allows for comparison between companies of different sizes
  • Overall UNGC Compliance Status
  • ESG exclusionary screens - see “G. Methodologies for environmental or social characteristics?” below for details on the exclusions below for details on the exclusions.
  • Overall Freedom House Index status

The Front Office Controls & Governance team provide ongoing assurance where required, that we can evidence investment products being managed in line with documented sustainability commitments where automated controls and/or 3rd party data are not available. Financial Risk review and challenge investment management in light of ESG-related risks, alongside traditional market risk metrics, and embed sustainability risk into the risk profiles. nvestment Compliance implement exclusionary screening and monitor this on an ongoing basis in addition to elements of manual oversight where relevant.

G. Methodologies for environmental or social characteristics

The Investment Manager uses specific screens to help achieve some of the promoted characteristics. For example- to promote climate change mitigation, screens are applied to avoid investment in certain high carbon activities, and it is expected that this will result in the fund having a lower carbon profile.  Another example is that to promote support for the UNGC Principles, screens are applied so that the Fund does not invest in issuers that are in breach of the UNGC Principles based on third party data and/or internal research.

The Investment Manager applies screens to exclude direct investment in corporate issuers based on their involvement in certain activities. Specifically, issuers are excluded if they derive more than 10% of their revenue from oil and gas generation and production, oil sands extraction, shale energy extraction, thermal coal extraction and power generation, Arctic oil and gas extraction, tobacco, fur, adult entertainment, gambling or controversial weapons. Issuers are also excluded if they are deemed to have failed to comply with the UNGC Principles (which cover matters including human rights, labour, corruption, and environmental pollution). Further, the Fund holds a minimum of 10% of its net asset value in sustainable investments. The Investment Manager uses a pass/fail test applied to the issuer or issuance to assess that each holding must meet all three of the requirements below:

  1. based on revenue mapping to UN Sustainable Development Goals or having a carbon emissions target approved by the Science Based Targets initiative (SBTi), it contributes to an environmental or social objective or in the case of Green, Social and Sustainability Bonds 100% of the proceeds of the issuance must be exclusively and formally applied for the financing or refinancing of projects with social and/or environmental benefits;
  2. it does not cause significant harm to any environmental or social sustainable investment objective; and
  3. it follows good governance practices.

The Investment Manager identifies Green, Social and Sustainability Bonds by using third party data and/or analysis, including the Bloomberg Sustainable Bond Instrument methodology.

The Bloomberg Sustainable Bond Instrument methodology seeks to identify and label bonds as Green, Social or Sustainable only where an issuer has outlined that either 100% of the bond’s net proceeds, or a sum of an equivalent monetary value are used exclusively for the financing or refinancing of projects with social and/or environmental outcomes, and/or transitional outcomes.

The Fund also applies the Firmwide Exclusions Policy (see “Firmwide Exclusions” in the "JHI Responsible Investment Policy”), which includes controversial weapons.

The corporate bond portion of the Fund will aim to have a lower carbon intensity than its relevant reference universe on a monthly basis.

The Investment Manager excludes from the Fund sovereign bond issuers that have been sanctioned under the EU Global Human Rights Sanctions Regime or the UN sanctions regime and/or have not attained a sufficiently high score (e.g., ‘free’) under the Freedom House Index that promotes political rights and civil liberties (or other such similar index as determined by the Investment Manager).

Under normal market conditions, the Investment Manager will also exclude sovereign bond issuers that have not ratified the Paris Agreement. Should the US choose to exit the Paris Agreement during a future political cycle, the Investment Manager will consider whether excluding US Treasuries from the Fund would be excessively detrimental to returns and/or whether it would change the risk-return profile of the Fund.

The Investment Manager may only invest in companies that would be excluded by the screens described above if the Investment Manager believes, based on its own research and as approved by its ESG Oversight Committee, that the third-party data used to apply the exclusions is insufficient or inaccurate.

The Investment Manager may consider that the data is insufficient or inaccurate if, for example, the third-party data provider research is historic, vague, based on out of date sources, or the investment manager has other information to make them doubt the accuracy of the research.

If the Investment Manager wishes to challenge the third-party data, then the challenge is presented to a cross-functional ESG Oversight Committee who must sign off on the “override” of the third-party data.

If a third party data provider does not provide research on a specific issuer or excluded activity, the Investment Manager may invest if, through its own research, it is satisfied that the issuer is not involved in the excluded activity.

H. Data sources and processing

The Fund has chosen MSCI as its primary data source for ESG (Environmental, Social and Governance) research.

Where coverage gaps are identified, specialist ESG Data vendors or inhouse research may be used to complement the ESG research in an effort to provide consistent data and methodologies per security type enabling them to be compared correctly in the portfolio construction process.

JHI has built a centralised proprietary research alignment process; The central research alignment process aligns data at three different levels:

  1. Entity Level,
  2. Position Level, and
  3. Fund Level.

The research alignment and mapping capability is critical to JHI's ESG methodology, as we recognize a security could inherit the ESG information from the issuing legal entity, however, some ESG risks will be instrument specific.

JHI applies a series of Data Quality rules to ensure the integrity of the data being ingested into the central research alignment solution. JHI data that is not aligned correctly to the definition as provided by the data vendor is not ingested into the central cloud-based data warehouse and exceptions are raised. . Remediation includes challenging the data provider or internal operations supporting internally managed Systems of Records. Where appropriate the Data Owner responsible and accountable for the data is notified through the internal Data Governance process to resolve outstanding exceptions.

JHI receives weekly automated data feeds from external ESG Data vendors, which are ingested into a cloud-based data warehouse.

Some data used to support binding criteria as received from external providers may be estimated data. For positions not covered by the external data provider, proprietary research may be used. This could range from proprietary research alignment against the external data vendor to written confirmation from the issuing entity that it aligns to the binding criteria. The appropriateness of the evidence provided is assessed by an independent body at JHI .

I. Limitations to methodologies and data

Data coverage is directly driven by the coverage of the underlying ESG Data Provider.

JHI’s internal data structure provides sufficient flexibility to incorporate proprietary evidence or adapt evaluations to future requirements.

JHI is aware of data gaps in ESG Research for non-traditional asset classes compared to mainstream asset classes such as equities and debt instruments.

J. Due diligence

The JHI Responsible Investment Policy, which incorporates JHI’s Sustainability Risk Policy, sets out the firmwide approach to ESG Integration, including JHI’s Responsible Investment Principles for long-term investment success, our approaches to Stewardship and Engagement and Baseline Exclusions applied to investee companies. These exclusions are based on classifications provided by third-party data ESG data providers. This classification is subject to an investment research override in cases where sufficient evidence exists that the third-party field is not accurate or appropriate.

Each Investment desk completes their own due diligence processes ahead of making any investment decisions within their article 8 funds, using internal and external tools and research.

The Front Office Controls & Governance team provide ongoing assurance where required, that we can evidence investment products being managed in line with documented sustainability commitments where automated controls and/or 3rd party data are not available. Financial Risk review and challenge investment management in light of ESG-related risks, alongside traditional market risk metrics, and embed sustainability risk into the risk profiles. Investment Compliance ensure that ESG-related activities are managed in line with regulatory requirements and expectations and considered within our compliance framework.

K. Engagement Policies

In addition to the binding elements of the investment strategy described above, stewardship forms an integral and natural part of Janus Henderson’s long-term, active approach to investment management. Details of JHI’s approach to Engagement can be found in the ‘Responsible Investment Policy ’ published under the 'ESG Resource Library’ on the Janus Henderson website.

The Firm supports a number of stewardship codes and broader initiatives around the world and is a signatory to the UK Stewardship Code.

Janus Henderson has a Proxy Voting Committee, which is responsible for establishing positions on major voting issues and creating guidelines overseeing the voting process. The Committee is comprised of representatives of investments portfolio management, corporate governance, accounting, legal and compliance. Additionally, the Proxy Voting Committee is responsible for monitoring and resolving conflicts of interest with respect to proxy voting .

L. Designated Reference Benchmark

The Fund does not use a reference benchmark to attain its environmental or social characteristics.

Principal adverse impacts (PAIs)

As at 14 May 2025, the Investment Manager considers the following principal adverse impacts on sustainability factors ("PAIs") for this Fund:

Adverse Sustainability Indicator Metric How is PAI considered
Greenhouse gas emissions GHG emissions Scope 1 GHG emissions Exclusionary screen
Scope 2 GHG emissions Exclusionary screen
Carbon footprint Carbon footprint Exclusionary screen
GHG Intensity of investee companies HG intensity of investee companies Exclusionary screen
Exposure to companies active in the fossil fuel sector Share of investments in companies active in the fossil fuel sector Exclusionary screen
Social and employee matters Share of investments in investee companies involved in the manufacture or selling of controversial weapons Exposure to controversial weapons (anti-personnel mines, cluster munitions, chemical weapons and biological weapons) Exclusionary screen
Violations of UN Global Compact principles and Organisation for Economic Cooperation and Development (OECD) Guidelines for Multinational Enterprises Share of investments in investee companies that have been involved in violations of the UNGC principles or OECD Guidelines for Multinational Enterprises Exclusionary screen

'Where the translated version of this disclosure text differs from the English version, the original English version prevails'