Status under the EU Sustainable Finance Disclosure Regulation (SFDR)

B. No sustainable investment objective

The Sub-Fund does not have a sustainable investment objective.

C. Environmental or Social (“E/S”) characteristics of the financial product

The Sub-Fund aims to provide exposure with improved broad environmental, social and governance (ESG) characteristics relative to the wider Asia ex-Japan USD high yield bond market, as follows:

• Exclusion of issuers involved with very severe environmental, social or governance controversies
• Exclusion of issuers in violation of the United Nations Global Compact principles
• Exclusion issuers involved with certain business activities (alcohol, tobacco, gambling, adult entertainment, genetically modified organisms, nuclear power, controversial weapons, nuclear weapons, civilian firearms or recreational cannabis, subject to certain revenue thresholds (see reference benchmark methodology for more information)
• Exclusion of issuers with revenues from thermal coal over 30%
• Overweighting of issuers with good or improving ESG ratings and underweighting of issuers with poor or declining ESG ratings
• Exclusion of issuers without an ESG rating

Note that these criteria are built into the methodology of the reference benchmark

D. Investment strategy

The Sub-Fund invests in a portfolio of fixed income securities that reflects the composition of the reference benchmark as far as practicable. The Sub-Fund may use optimisation techniques to select securities. However, it is intended that the Sub-Fund will only invest in bonds of issuers that meet the ESG-related selection criteria described above and in the reference benchmark methodology.

E. Proportion of investments

The Sub-Fund allocates the majority of its assets to investments aligned with the environmental and social characteristics that it promotes. It may also hold a small Cash Component for the purposes of efficient portfolio management and may invest in FX forwards for currency hedging purposes. The asset allocation is summarised as follows:

 

F. Monitoring of E/S characteristics

The reference benchmark is rebalanced monthly by its benchmark administrator (S&P Dow Jones Indices Gmbh). At each rebalance, bonds are selected and weighted using ESG data from MSCI as of two days prior to rebalance. The Investment Manager also checks on a monthly basis that the Sub-Fund is achieving the E/S characteristics described above and that any issuers excluded from the reference benchmark are also excluded from the Sub-Fund.

Annual periodic reports, as required under SFDR, will be published at www.janushenderson.com.

G. Methodologies

The Sub-Fund tracks a reference benchmark designed specifically to attain the E/S characteristics. The reference benchmark methodology is available at documents.

H. Data sources and processing

The reference benchmark administrator uses data sourced from MSCI ESG Research.

I. Limitations to methodologies and data

The Sub-Fund is designed to track the performance of the reference benchmark. As such, it relies on the ESG data provided to the benchmark administrator (S&P Dow Jones Indices Gmbh), and the accuracy of the benchmark administrator in applying the reference benchmark methodology.

Further information is available in the reference benchmark methodology, available at www.janushenderson.com.

J. Due diligence

The Investment Manager has conducted due diligence on MSCI ESG Research, which was selected by the benchmark administrator as the data provider for the reference benchmark. Factors considered included the following:

• Availability of data for the Sub-Fund’s investment universe (note that coverage of fixed income issuers is typically poorer than for equity issuers)
• Detailed review of metrics required under SFDR
• Data sourcing and calculations

The Investment Manager endeavours to review its benchmark administrators and data providers on a regular basis and engages where necessary to improve both the quality of benchmarks and the metrics used to calculate those benchmarks.

K. Engagement policies

Engagement is not formally part of the Sub-Fund’s investment objective. However, the Investment Manager does engage with issuers via its membership of the Institutional Investors Group on Climate Change and Climate Action 100+. Tabula is actively involved with collaborative engagements via both these organisations and aims to further the objectives of both the Paris Agreement and the Task Force on Climate-Related Financial Disclosures. Engagement targets can include both investee companies and companies that are in the broader investment universe but currently excluded from the Sub-Fund.

L. Designed reference benchmark

The reference benchmark is the iBoxx MSCI Scored & Screened Tilted USD Asia ex-Japan High Yield Capped TCA Index. Its methodology is available at www.janushenderson.com.