Securitised products Indicator Type of indicator Dependent on Gateway to Disclosure Subsection PRI Principle FI 11 CORE OO 10 N/A PUBLIC Securitised products 1 How do you incorporate ESG factors into the financial analysis of securitised products? ◉ (A) We analyse ESG risks and returns for both the issuer or debtor and the underlying collateral or asset pool ○ (B) We perform ESG analysis that covers the issuer or debtor only ○ (C) We perform ESG analysis that covers the underlying collateral or asset pool only ○ (D) We do not incorporate ESG factors into the financial analysis of securitised products Post-investment phase ESG risk management Indicator Type of indicator Dependent on Gateway to Disclosure Subsection PRI Principle FI 12 CORE OO 10 N/A PUBLIC ESG risk management 1 Do your regular reviews incorporate ESG risks? (1) SSA (2) Corporate (3) Securitised (4) Private debt (A) Our regular reviews include quantitative information on ☑ ☑ ☑ ☐ material ESG risks specific to individual fixed income assets (B) Our regular reviews include aggregated quantitative ☑ ☑ ☑ ☐ information on material ESG risks at a fund level (C) Our regular reviews only highlight fund holdings where ☐ ☐ ☐ ☑ ESG ratings have changed 130