Status under the EU Sustainable Finance Disclosure Regulation (SFDR) – Pan European Fund

Janus Henderson Fund – Pan European Fund

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.

A. Summary

This financial product promotes environmental or social characteristics but does not have as its objective sustainable investment.

The Fund promotes climate change mitigation and avoiding issuers with a high carbon intensity, and which do not have a credible transition strategy. The Fund also seeks to avoid investments in certain activities with the potential to cause harm to human health and wellbeing by applying binding exclusions. The Fund does not use a reference benchmark to attain its environmental or social characteristics.

The binding elements of the investment strategy described below are implemented as exclusionary screens within the Investment Manager’s order management system utilising a third-party data provider on an ongoing basis.

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”).

In addition, the Investment Manager is a signatory to the UN Principles for Responsible Investment (UNPRI).

A minimum of 85% of the investments of the financial product are used to meet the environmental or social characteristics promoted by the financial product.

All investments of the financial product that are used to meet the environmental and/or social characteristics promoted by the financial product are direct investments.

• Carbon – Carbon Intensity Scope 1&2
• % issuers within the portfolio identified as having a credible transition strategy in accordance with the Investment Manager’s proprietary methodology.
• ESG Exclusionary screens – see “G. Methodologies for environmental or social characteristics?” below for details on the exclusions.

The Investment Manager applies screens to exclude direct investment in issuers based on their involvement in certain activities.

The Fund also applies the Firmwide Exclusions Policy, (which includes controversial weapons) as detailed under the section entitled “Investment Restrictions” of Appendix 2 of the Prospectus.

The Investment Manager may invest in issuers with a high carbon intensity¹ (other than those excluded as described above) if it determines that such issuers have a credible transition strategy, based on its proprietary methodology described below.

In accordance with the Investment Manager’s proprietary methodology, a company will only be considered as having a credible transition strategy if it has at least one of the following:

• a science-based emissions target or a verified commitment to adopt a science-based emissions target²;

or

• an ESG rating of AA or higher³; or
• In the specific case of the airlines sector, made significant aircraft fleet investment to reduce carbon output (that is to have a younger than average fleet age); or
• has committed 30% of future gross capex and/or research and development to sustainability aligned projects, in accordance with the Investment Manager’s methodologies.

Additional criteria may also be applied in assessing the validity of the transition strategy.

For the purposes of the AMF doctrine, the extra-financial analysis or rating 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 include positions in the Fund that, based on third-party data or screens appear to fail the above exclusionary criteria where the Investment Manager believes that the data is insufficient or inaccurate.

The Fund has chosen MSCI’s ESG Manager 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.

Positions allocated may be estimated or reported data received from the external data vendor. For positions not covered by the external data provider, proprietary research may be used.

The appropriateness of the evidence provided is assessed by an independent body at JHI.

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.

The JHI Sustainability Risk Policy sets out the firmwide ESG Integration Principles, Sustainable Investment Principles and Baseline Exclusions applied to investee companies.

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.

Details of JHI’s approach to Engagement can be found in the ‘ESG 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.

^1. High carbon intensity refers to the 5% of highest emitting companies in the Western Europe (EX UK) stocks above EUR1bn market cap .
² Approved or verified by SBT – https://sciencebasedtargets.org, or equivalent
^3. Rating by MSCI – https://www.msci.com/or equivalent.