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Information Classification: General
State Street USD Liquidity LVNAV Fund
Website disclosure for an Article 8 fund
A. Summary
The investment policy of the State Street USD Liquidity LVNAV Fund (“ Fund ”) is to combine a relative value approach to investing with credit qualit y analysis to identify securities that it believes will provide the greatest stability of capital and th e highest probability of repayment, consistent with the Fund’s investment objective. In implementin g this strategy, the Investment Manager adopts a best in class approach to ESG considerations and applies the negative and norms based ESG screens.
The Fund promotes environment al or social characteristics and whil e it does not have as its objective a sustainable investment, it will seek to invest the majority of its portfolio in sustainable investments under article 2(17) of SFDR using the Investm ent Manager’s proprietary assessment methodology and, for government and supra-national issuers, classi fied within the two highest categories of a third party ESG rating.
The Fund seeks to promote the foll owing environmental and social characteristics: (i) investment of the majority of the Fund’s net assets in sustai nable investments by seeking to identify issuers deemed to perform better as it relates to financia lly material ESG challenges facing the issuer’s industry using the Investment Manager’s proprie tary ESG score and a third party ESG rating for government and supra-national iss uers and (ii) avoidance of invest ments in issuers deemed in violation of UN Global Compact (“ UNGC ”) Principles or involved in controversial weapons, thermal coal, arctic drilling, oil sands, tobac co, civilian firearms as well as severe ESG controversies. Issuers deemed by the Investment Manager to not violate UNGC Principles are considered to exhibit good governance.
The Investment Manager, on behalf of the Fund, combi nes a relative value approach to investing with credit quality analysis to identify securities that it bel ieves will provide the greatest stability of capital and the highest probability of repayment, consistent with the Fund’s investment objective. In implementing this strategy, the Investment Manager adopts a best in class approach to ESG considerations by seeking to invest the majority of f the Fund’s portfolio in securities that are classified as sustainable investments under article 2(17) of f SFDR using the Investment Manager’s proprietary assessment methodology and, for government and supr a-national issuers, classified within the two highest categories of a third party ESG rating. In addition, the Investment Manager applies the negative and norms-based ESG screen prior to the cons truction of the portfolio of the Fund and on an ongoing basis.
The Investment Manager employs a binding ESG met hodology which aims to build a portfolio where at least 90% of the Fund’s assets are invested in securities which are aligned with environmental and social characteristics promoted by the Fund. It is intended that, within such portion of the portfolio, at least 51% of the Fund’s assets are invested in sustainable investments. The remaining portion (<10%) of the portfolio, consisting of cash as we ll as cash equivalents held at the Investment Manager’s discretion, will not be aligned with the pr omoted environmental and social characteristics.
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Information Classification: General
The Fund does not commit to making sustainable In vestments within the meaning of the Taxonomy Regulation.
The attainment of the environmental and social c haracteristics is measured through the % allocation of the portfolio to sustainable investments (which shall be at l east 51%) and securities that are within the two highest categories of the third party ESG rating. A f further attainment is measured through the % of the portfolio invested in securities that are included in the negative and norms based screen.
Sustainable investments made by the Fund are invested in securities that are classified as "Leaders" or "Outperformers” according to the ESG score of the Investment Manager's proprietary ESG scoring system. For government and supra-na tional issuers, the Investment Manager will use a third party ESG rating to select issuers in the two highest categories.
The Fund uses the following data sources: • Investment Manager’s proprietary ESG sc oring system for sustainable investments • Sustainalytics for third party ESG rating of government and supra-national issuers • MSCI and Sustainalytics for ESG screens
State Street Investment Managem ent implements an ongoing due dili gence process in relation to ESG data providers resulting in regular data qua lity reports and may engage with the relevant data providers in relation to any data issues identified by the State Street Investment Management teams.
ESG data may be based on certain assumptions, fo recasts, projections, views and opinions which may be based on current market trends or antic ipated future events. Given the developing and innovative nature of data models, methodologies and assumptions and the inherent uncertainty in predicting forward-looking events, it cannot be guar anteed that the ESG data is always accurate or correct or that the ESG data will satisfy the ai ms or requirements of any specific client or investor. Furthermore, there may be data that cannot be sourced due to the lack of availability of data sources. For certain markets and types of co mpanies or securities there may be significant limitations in the amount of screening data that is available or no screeni ng data may be available such that no screening is performed. In certain sit uations where screening data is not available for a company or a security, the screen provider may, as a proxy, use data relating to a different entity to the company, which presents a risk this data may not accurately reflect the sustainability or other characteristics of the relevant company.
Engagement policies are not directly embedded into t he Fund’s investment strategy. Proxy voting and engagement activities are conducted pursuant to the terms of the Sustainability Stewardship Service Proxy Voting and Engagement Policy.
For further information and details please refer to the relevant sections below, the Prospectus and Relevant Supplement.
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Information Classification: General
B. No sustainable investment objective
The Fund promotes environment al or social characteristics and whil e it does not have as its objective a sustainable investment, it will seek to invest the majority of its portfolio in sustainable investments under article 2(17) of SFDR using the Investm ent Manager’s proprietary assessment methodology and, for government and supra-national issuers, classi fied within the two highest categories of a third party ESG rating.
Additionally, the Investment Manager r will screen out securities of issuers identified as being non compliant with UNGC Principles relating to envir onmental protection, human rights, labour standards and anti-corruption, as well as controversial weapons and the issuers involved in thermal coal, arctic drilling, oil sands, tobacco, civilian firearms as well as severe ES G controversies. By applying the relevant negative and norms-based screen, the Investment Manager deems the Fund’s sustainable investments not to cause significant harm to any environmental or social sustainable investment objective.
The Fund pursues a reduction of negative external ities caused by the underlying investments and in that context considers principal adverse impacts (“ PAI ”) on sustainability factors as part of the consideration of sustainable investments to be held by the Fund and by applying the negative and norms-based ESG screen prior to the construction of the portfolio. Sp ecifically, the Fund considers:
• Greenhouse Gas emissions • Carbon footprint • Greenhouse gas intensity of investee companies • Exposure to companies active in the fossil fuel sector • Share of non-renewable energy consumption and production • Energy consumption intensity per high impact climate sector
• Activities negatively affecti ng biodiversity-sensitive areas
• Emissions to water
• Hazardous waste and radioactive waste ratio • Violations of UN Gl obal Compact Principles
• Unadjusted gender pay gap • Board gender diversity • Exposure to controversial weapons
The Fund excludes companies that the Investment Manager has deemed to viol ate UNGC principles as part of the negative screening utilised by the Fund. The OECD Guidelines for Multinational Enterprises and the UN Guiding Principles on Busines s and Human Rights are considered as part of the UNGC principles assessment.
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Information Classification: General
C. Environmental or social characteristics of the financial product
The Fund seeks to promote the following environmental and social characteristics:
- Investment of the majority of the Fund's net assets in sustainable investments; - The Investment Manager seeks to identify the issuers deemed to perform better as it relates to financially material ESG chall enges facing the issuer’s industry; - Avoidance of investment in issuers which show an involvement in activities which are deemed non-compliant with the Investment Manager's ESG criteria such as violations of UNGC Principles or involvement in controversial weapons; and - Exclusion of issuers involved in thermal coal , arctic drilling, oil sands, tobacco, civilian firearms as well as severe ESG controversies.
For the purposes of attaining the environmental and social characteri stics promoted by the Fund, the Investment Manager considers the ESG characteristics of individual securities using a proprietary ESG score to adopt a best in class approach by seek ing to invest the majority of the Fund’s portfolio in securities that are classified as sustainabl e investments and, for government and supra-national issuers, are within the two highes t categories using a third party ESG rating. In addition to this, a negative and norms-based screen is applied to scr een out securities based on an assessment of their adherence to certain ESG criteria listed abo ve. The Fund may use additional ESG screens from time to time in order to exclude securities based on their involvement with an activity that is deemed non-compliant with one or more of such ESG criteria.
For further details of the exclusions applied by the Investment Manager at any time please refer to Section G below.
D. Investment Strategy
The Investment Manager, on behalf of the Fund, combi nes a relative value approach to investing with credit quality analysis to identify securities that it bel ieves will provide the greatest stability of capital and the highest probability of repayment, consist ent with the Fund’s investment objective.
In implementing this strategy, the Investm ent Manager adopts a best in class approach to ESG considerations by seeking to invest the majority of f the Fund’s portfolio in securities that are classified as sustainable investments and, for government and s upra-national issuers, cla ssified within the two highest categories of a third party ESG rating.
In addition, the Investment Manager applies the negative and norms-based ESG screen prior to the construction of the portfolio of the Fund and on an ongoing basis.
Application of the ESG screens results in the exclus ion of any securities from the portfolio based on an assessment of their adherence to certain ESG criteria defined by the Investment Manager. The Fund will screen out securities i dentified as being non-compliant with UNGC Principles relating to environmental protection, human rights, labour standard s and anti-corruption, as well as controversial
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Information Classification: General
weapons and the issuers involved in thermal coal, arctic drilling, oil sands, t obacco, civilian firearms as well as severe ESG controversies. The Fund ma y use additional ESG screens from time to time in order to exclude securities based on their involvem ent with an activity that is deemed non-compliant with one or more of such ESG criteria.
The assessment of good governance practices is implemented through the negative screening utilised by the Fund. Companies deemed by the Inve stment Manager to not violate UNGC principles are considered to exhibit good governance.
E. Proportion of investments
The Investment Manager employs a binding ESG met hodology which aims to build a portfolio where at least 90% of the Fund’s assets are invested in securities which are aligned with environmental and social characteristics promoted by the Fund. It is intended that, within such portion of the portfolio, at least 51% of the Fund’s assets are invested in securities which are sustainable investments with environmental and / or social objectives. The remain ing portion (<10%) of the portfolio, consisting of cash as well as cash equivalents in place held at the Investment Manager’s discretion, will not be aligned with the promoted environmental and social characteristics. The Investment Manager may need to temporarily deviate from the targeted ESG be st in class allocation in exceptional market conditions, if necessary, to ensure that the Investment Objective is met at all times
The Fund does not commit to making sustainable investments within the meaning of the Taxonomy Regulation.
F. Monitoring of environmenta l or social characteristics
The attainment of the environmental and social c haracteristics is measured through the % allocation of the portfolio to sustainable investments (which s hall be at least 51%) and securities that are within the two highest categories of the third party ESG rating.
A further attainment of the environmental and so cial characteristics promoted by the Fund is measured through the portfolio exclus ions of securities that do not meet certain ESG criteria described i. As such, an additional sustainability indicator is the percentage of the Fund’s assets invested in securities that do not meet the rele vant ESG criteria disclosed in Section C above.
The environmental and social characteristics are embedded in the investment policy of the Fund and the associated sustainability indicators are m onitored by the Investment Manager through its investment oversight pr ogram including pre- and post-trade co mpliance monitoring for ESG screens and regular reviews by a sub-commi ttee of the Investment Manager.
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Information Classification: General
G. Methodologies
When selecting investments as determined by the In vestment Policy of the Fund, the Investment Manager will adopt a best in class approach to ESG c onsiderations by seeking to invest the majority of the Fund’s portfolio in securities that are clas sified as sustainable invest ments under article 2(17) of SFDR using the Investment Manager’s proprie tary assessment methodology and, for government and supra-national issuers, classified within the tw o highest categories of a third party ESG rating.
Additionally, when selecting investments, the In vestment Manager and/or Sub-Investment Manager will screen out securities of issuers identified as being non-compliant with UNGC Principles relating to environmental protection, human rights, labour standards and anti-corruption, as well as 6 controversial weapons and the issuers involved in t hermal coal, arctic drilling, oil sands, tobacco, civilian firearms as well as severe ESG controversies.
Sustainable investments made by the Fund are to invest in securities that are classified as "Leaders" or "Outperformers" according to the ESG score of the Investment Manager's proprietary ESG scoring system. The ESG scoring system developed by the Investment Manager leverages multiple data sources and aligns them to widely accepted, tran sparent materiality frameworks to generate a unique ESG score for listed companies. It measures the performance of a company’s business operations and governance as it relates to financially material ESG challenges facing the issuer’s industry.
In order for the security to qualify as a sustai nable investment, the company must be a “Leader” or “Outperformer” as determined by the Investment Manager using the ESG score generated by its proprietary process. Companies qualified as “Lead ers” or “Outperformers” are deemed to manage and mitigate long-term, financially-material sustai nable risks better than its peers and thus operate a more sustainable business model.
For government and supra-national issuers, the Inve stment Manager uses a third party ESG rating to select issuers classified with in the two highest category.
ESG Screens
The ESG screens applied to the Fund include the following: 1. Controversial Weapons 2. UNGC Violations 3. Thermal Coal 4. Arctic Drilling 5. Oil Sands 6. Severe ESG Controversies 7. Civilian Firearms 8. Tobacco
Further details on the methodologies used fo r the ESG screens is as follows:
1. Controversial Weapons: The following types of weapons are covered by State Street Investment Management’s screen:
• Cluster munitions
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Information Classification: General
• Antipersonnel mines and land mines • Biological and chemical weapons • Nuclear Weapons • Depleted Uranium • Incendiary weapons and white phosphorus • Blinding laser weapons • Non-detectable fragments
Indicator Definition Controversial weapons noted above for which: There is evidence of activity The weapon is a core weapon system or a core weapon activity The product has a dedicated scope The scope is key to the production of the weapon
The company is involved in the core weapon system, or components/ services of the core weapon system that are considered tailor-made and essential for the lethal use of the weapon.
Any controversial weapon for a subsidiary that the company has >= 50% ownership of
The company is involved, through corporate ownership, in the core weapon system, or componen ts/services of the co re weapon system that are considered tailor-made and essential for the lethal use of the weapon. Cluster Munitions Manufacturer = True
Companies that produce cluster munitions whole weapons systems, intended-use components, dual-use components, or delivery platforms. Land mines Manufacturer = True
Companies that produce whole weapons systems or essential intended or dual-use components for anti-personnel landmines and anti-vehicle landmines. Nuclear Weapons Manufacturer Maximum Revenue Percentage >= 10%
The company's reported revenue (or, where not disclosed, maximum estimated revenue) from nuclear weapons, intended and dual-use components for such products, delivery platforms capable of deploying nuclear weapons, essential components for such delivery platforms, and support services for such products as a percentage of total revenue in its most recently completed fiscal year. Depleted Uranium Manufacturer = True
Companies involved in the production of depleted uranium weapons, ammunition and armour. Incendiary Weapons (White Phosphorous) = True
Companies that produce incendiary weapons using white phosphorus.
Biological/Chemical Weapons Maximum Revenue Percentage >= 10%
The company’s reported revenue (or, where not disclosed, maximum estimated revenue) from the production of biological and chemical weapons and components for such products as a percentage of total revenue in its most recently completed fiscal year. Blinding laser weapons = True Companies that produce blinding laser weapons, that cause permanent blindness t Non-detectable fragments = True
Companies that produce weapons that use non-detectable fragments.
2. UNGC Principles: The UNGC is the world’s largest corporate sustainability initiative. It sets forth 10 responsible business principles for companies to follow. Companies who are in violation of the UNGC Principles are screened.
Human Rights
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Information Classification: General
Principle 1: Businesses should support and respect the protection of internationally proclaimed human rights.
Principle 2: They should make sure that they are not complicit in human rights abuses.
Labour
Principle 3: Businesses should uphold the freedom of association and the effective recognition of the right to collective bargaining.
Principle 4: They should promote the elimination of all form s of forced and compulsory labour.
Principle 5: They should endorse the effective abolition of child labour.
Principle 6: They should support the elimination of di scrimination in respect of employment and occupation.
Environment
Principle 7: Businesses should support a precau tionary approach to environmental challenges.
Principle 8: They should undertake initiatives to prom ote greater environmental responsibility.
Principle 9: They should encourage the development and diffusion of environmentally friendly technologies.
Anti-Corruption
Principle 10: Businesses should work against corruption in all its forms, including extortion and bribery.
Indicator Definition Global compact principles breached = Noncompliant
A company is assessed as Noncompliant when it is found to be responsible for egregious and severe violations of commonly accepted international norms related to human rights, labor rights, the environment and business ethics. In other words, a company is assessed as Noncompliant when it does not act in accordance with the UN Global Compact Principles and its associated standards, conventions and treaties. The data provider also assesses companies that facilitate third parties in huma n rights violations due to their involvement in weapons with disproportional and/or nondiscriminatory impact on citizens and society as Noncompliant (with Principle 2 of the UN Global Compact). However, this assessment is limited to companies involved in the production and development of antipersonnel mines, cluster munitions, and chemical and biological weapons, or producers of nuclear weapons who support their proliferation outside of the five designated nuclear states or who violate UN sanctions/ International Atomic Energy Agency rules.
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Information Classification: General
3. Thermal Coal: Companies involved in the extraction or r power generation of thermal coal are excluded.
Indicator Definition Thermal Coal Extraction >=10% The company derives revenue from thermal coal extraction Thermal Coal Power Generation >=10%
The company derives revenue from generating electricity from thermal coal.
4. Arctic Drilling: Companies involved in oil and gas exploratio n in the Arctic regions are excluded.
Indicator Definition Arctic Oil and Gas Exploration, level of involvement >=10%
The company derives revenue from oil and gas exploration and extraction in the Arctic.
5. Oil Sands: Companies for whom a meaningful portion of their average daily production comes from oil sands are excluded.
Indicator Definition Oil Sands Extraction, level of involvement >=10%
The company derives revenue from the extraction of oil sands.
6. Severe ESG Controversies: Companies involved in incidents/events that may pose business or reputational risk due to the potential impact on stakeholders, the environment, or the company’s operations are excluded.
Indicator Definition Category 5 — Severe Controversies
The event has a severe impact on the environment and society, posing serious business risks to the company. This category represents exceptionally egregious corporate behavior, high frequency of recurrence of incidents, very poor management of sustainability-relate d risks, and a demonstrat ed lack of willingness by the company to address such risks.
7. Civilian Firearms : Companies involved in the manufacturi ng and/or retailing of small arms and associated ammunition/components for civilian use are excluded.
Indicator Definition Small Arms, Civilian Customers, Assault Weapons, level of involvement >=10%
The company derives revenue from manufacturing and selling small arms to civilian customers.
Manufacture of key components, level of involvement >=10%
The company derives revenue from manufacturing and selling key components of small arms. Small Arms, Retail and Distribution of Assault Weapons, level of involvement >=10%
The company derives revenue from retailing and/or distribution of small arms.
Firearms Production Maximum Revenue >=10%
The company’s reported revenue (or, where not disclosed, maximum estimated revenue) from the production of firearms and small-arms ammunition intended for civilian markets as a percentage of total revenue in its most recently completed fiscal year. Firearms Retailer Maximum Revenue >=10%
The company’s reported revenue (or, where not disclosed, maximum estimated revenue) from the wholesale or retail
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Information Classification: General
distribution of firearms or small-arms ammunition intended for civilian use as a percentage of total revenue in its most recently completed fiscal year.
8. Tobacco : Companies that are involved in the production, manufacturing, retailing and/or distribution of tobacco and tobacco-related produ cts/services (including vaping, pipes and other related products) are excluded.
Indicator Definition Tobacco Production, Level of Involvement >=10%
The company derives revenue from the production of tobacco and tobacco-related products. Tobacco Production Maximum Revenue Percentage >= 10%
The company derives revenue from the distribution and/or retail sale of tobacco products. Tobacco products related products/services, level of involvement >= 25%
The company supplies tobacco-related products/services.
Tobacco production maximum revenue >= 10%
The company’s reported revenue (or, where not disclosed, maximum estimated revenue)from the production of tobacco products as a percentage of total revenue in its most recently completed fiscal year. Tobacco products include nicotine containing products, including traditional and alternative tobacco smoking products. Tobacco retailer maximum revenue >= 25%
The company’s reported revenue (or, where not disclosed, maximum estimated revenue) from the retail of tobacco products as a percentage of total revenue in its most recently completed fiscal year. Tobacco products include nicotine-containing products, including traditional and alternative tobacco smoking products. Tobacco distributor maximum revenue >= 25%
The company’s reported revenue (or, where not disclosed, maximum estimated revenue) from the distribution of tobacco products as a percentage of total revenue in its most recently completed fiscal year. Tobacco products include nicotine containing products, including traditional and alternative tobacco smoking products.
The exclusion list generated by the ESG scr eening process is updated once per quarter.
The ESG screen methodology and screeni ng criteria applied to the Fund are subject to State Street Investment Management ’s governance approval process.
H. Data sources and processing
The Fund utilises State Street In vestment Management’s proprietary ESG scoring system to define a sustainable investment.
This ESG scoring system draws on data from multiple ESG data providers and leverages the Sustainable Accounting Standards Board’s (“SASB” ) widely accepted, transparent materiality framework, as well as a corporate governance sco re, to generate the unique score that measures the performance of a company’s busine ss operations and governance as it relates to industry-specific
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Information Classification: General
ESG factors. The Fund utilises the Sustainalyti cs Sovereign Score for rating government and supra national issuers.
The Fund utilises the following data sources to derive the ESG screens:
Controversial Weapons State Street Investment Management receives universe-level data from two ESG screening data providers: Sustainalytics and MSCI. A screen is then applied to the data to generate lists from each data provid er of excluded securities for this category. State Street Investment Management determines the parameters that define the screen which are then approved by the firm’s Global Product & Investment Committee (“ GPIC ”). Companies are excluded if they appear on either or both of the list s from the two data providers.
UNGC Violations Data is sourced from Sustainalytics. A screen is then applied to the data to generate a list of excluded securities for this category. State Street Investment Management determines the parameters that define the scree n which are then approved by the firm’s GPIC.
Thermal Coal Data is sourced from Sustai nalytics. A screen is then applied to the data to generate a list of excluded securities for this category. State Street Investment Management determines the parameters that define the screen which ar e then approved by the firm’s GPIC.
Arctic Drilling Data is sourced from Sustainalytics. A sc reen is then applied to the data to generate a list of excluded securities for this category. State Street Investment Management determines the parameters that define the screen which ar e then approved by the firm’s GPIC.
Oil Sands Data is sourced from Sustainalytics. A scr een is then applied to the data to generate a list of excluded securities for this category. Stat e Street Investment Management determines the parameters that define the screen which are then approved by the firm’s GPIC.
Severe ESG Controversies Data is sourced from Sustainalytics. A screen is then applied to the data to generate a list of excluded securities for this category. State Street Investment Management determines the parameters that define the scree n which are then approved by the firm’s GPIC.
Civilian Firearms State Street Investment Management re ceives universe-level data from two ESG screening data providers: Sustainal ytics and MSCI. A screen is then applied to the data to generate lists from each data provider of f excluded securities for this category. State Street Investment Management determines the paramet ers that define the screen which are then approved by the firm’s GPIC. Companies are excluded if they appear on either or both of the lists from the two data providers.
Tobacco State Street Investment Management rece ives universe-level data from two ESG screening data providers: Sustainal ytics and MSCI. A screen is then applied to the data to generate lists from each data provider of excluded securities for this category. State Street Investment Management determines the paramet ers that define the screen which are then approved by the firm’s GPIC. Companies are excluded if they appear on either or both of the lists from the two data providers.
State Street Investment Management leverages mu ltisource data architecture for the ESG analysis and to generate its proprietary ESG scores, wher e applicable. State Street Investment Management receives ESG data from a wide variety of data prov iders covering various themes including, but not limited to, climate, controversies and governance.
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Information Classification: General
State Street Investment Managem ent implements an ongoing due dili gence process in relation to ESG data providers resulting in regular data qualit y reports. Such process tracks correlation and coverage dimensions of key ESG and climate metrics and scores between a selection of data providers over time for the covered universe. State Street Investment Management may engage with the relevant data providers in relation to any data issues identified by the State Street Investment Management teams.
I. Limitations to methodologies and data
Sustainable investing data may be based on certain assumptions, forecasts, projections, views and opinions which may be based on current market tr ends or anticipated future events. To assess company involvement in different activities and to es timate revenue shares as accurately as possible, data providers strive to obtain information dire ctly from companies and issuers. Sources of data include annual reports, regulatory filings, sustai nability reports, pres s releases, investor presentations, company websites, and other company disclosures. Given the developing and innovative nature of data models, methodologies and assumptions and the inherent uncertainty in predicting forward-looking events, it cannot be guaranteed that the sustainable investing data is always accurate or correct or that the sustainable investing data will satisfy fy the aims or requirements of any specific client or investor. Furthermore , there may be data that cannot be sourced due to the lack of availability of data sources. For certain markets and types of issuers, companies or securities there may be significant limitations in the amount of sustainable investing data that is available or no sustainable investing data may be available such that no screening is performed. In certain situations where screening data is not available for an issuer , an investee company or a security, the screen provider may, as a proxy, use data relating to a diffe rent entity to the issuer or the investee company, which presents a risk this data may not accurately re flect the sustainability or other characteristics of the issuer or the investee company. In certain si tuations, even where screening data is available it may not be used as part of the screen provider’s sc reening process. Such limitations may affect how the environmental and social char acteristics promoted by the Fund are met given that sustainable investing data for some issuers of corporat e bonds and / or money market instruments may be limited or not available.
J. Due diligence
The Investment Manager, on behalf of the Fund, combi nes a relative value approach to investing with credit quality analysis to identify securities that it bel ieves will provide the greatest stability of capital and the highest probability of repayment, consist ent with the Fund’s investment objective.
In implementing this strategy, the Investm ent Manager adopts a best in class approach to ESG considerations by seeking to invest the majority of f the Fund’s portfolio in securities that are classified as sustainable investments and, for government and s upra-national issuers, cla ssified within the two highest categories of a third party ESG rating.
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Information Classification: General
In addition, the Investment Manager applies the negative and norms-based ESG screen prior to the construction of the portfolio of the Fund and on an ongoing basis.
Application of the ESG screens results in the exclus ion of any securities from the portfolio based on an assessment of their adherence to certain ESG criteria defined by the Investment Manager. The Fund will screen out securities i dentified as being non-compliant with UNGC Principles relating to environmental protection, human rights, labour standard s and anti-corruption, as well as controversial weapons and the issuers involved in thermal coal, arctic drilling, oil sands, t obacco, civilian firearms as well as severe ESG controversies. The Fund ma y use additional ESG screens from time to time in order to exclude securities based on their involvem ent with an activity that is deemed non-compliant with one or more of such ESG criteria.
K. Engagement policies
Is engagement part of the environm ental or social investment strategy?
☐ Yes ☒ No
While engagement policies are not directly embedded into the Fund’s investment strategy, proxy voting and engagement activities in respect of securi ties held by the Fund are conducted pursuant to the terms of the Sustainabili ty Stewardship Service Proxy Voting and Engagement Policy (the “ Sustainability Policy ”). The Sustainability Policy focuses on risks and opportunities that may impact long-term value creation, wi th a focus on sustainability priorities such as climate change, nature, human rights and diversity.
L. Reference benchmark
Has a reference benchmark been designated fo r the purpose of attaining these characteristics promoted by the Fund?
☐ Yes ☒ No
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