Status under the EU Sustainable Finance Disclosure Regulation (SFDR) – Total Return Bond Fund

B. No Sustainable Investment Objective

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

C. Environmental or social characteristics of the financial product

The Fund uses ESG exclusions to promote 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 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.

D. Investment Strategy

This Fund seeks a combination of capital and income returns, exceeding that of cash (over a rolling 3-year period) through exposure to a broad range of global fixed income asset classes. Investors should read this section in conjunction with the Fund’s investment strategy (as set out in the section ‘Funds’ of the Prospectus).

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.

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 incorporated within Janus Henderson’s “ESG Investment Policy” in the “About Us - Environmental, Social and Governance (ESG)” section of the website at www.janushenderson.com.

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 50% of the investments of the financial product are used to meet the environmental or social characteristics promoted by the financial product. Other assets 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. No minimum environmental or social safeguards are applied to such investments.

The Fund may have some indirect exposure to investee companies through the use of single-name derivatives that are used to meet the environmental and/or social characteristics promoted by the financial product. The proportion of investments used to meet the environmental and/or social characteristics promoted by the Fund that is made up of these indirect exposures to investee companies through the use of single-name derivatives is expected to be in the range of 0% -20%. Figures quoted are on the basis of Fund exposure.

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:

Binding elements of the investment strategy are implemented as exclusionary screens within the Investment Manager’s order management system utilising third-party data provider(s) on an ongoing basis. The following binding elements are applied:

• Carbon - Carbon Intensity Scope 1&2
• Ratification of the Paris Agreement on Climate Change (“Paris Agreement”) by sovereign issuers
• Overall UN GC Compliance Status
• ESG exclusionary screens - see “G. Methodologies for environmental or social characteristics?” below for details on the exclusions.

The Front Office Controls & Governance team provide ongoing assurance that investment products are managed in line with documented sustainability commitments. 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 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 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 sands extraction, arctic oil and gas, thermal coal extraction, tobacco or adult entertainment. 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).

The Fund also applies the Firmwide Exclusions Policy, which includes controversial weapons, as detailed under paragraph 10.15 of the section entitled “Investment Restrictions” in the Prospectus.

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.

Exclusionary screens are not applied to securitized assets.

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 criteria, where the Investment Manager believes that the third-party data is insufficient or inaccurate.

H. Data sources and processing

JHI 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. This ensures consistent data and methodologies are used given an ESG measure per security type and hence can 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 (Environmental, Social and Governance) 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. These exceptions are monitored and remediated by a central support team. 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. Once the data is ingested and Data Quality checks have been performed the raw data is mapped to JHI’s internal taxonomy structure. This ensures that all ESG data from the data warehouse is made available consistently across all downstream JHI applications supporting the different stages in the investment process.

The proportion of data for a Financial Product that is estimated constantly evolving.

Some data used to support binding criteria may be estimated data as received by external providers.

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

As detailed in the above ‘Methodologies for Environmental and Social Characteristics’ section, 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 sands extraction, arctic oil and gas, thermal coal extraction, tobacco or adult entertainment. 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).

The Fund also applies the Firmwide Exclusions Policy, which includes controversial weapons, as detailed under paragraph 10.15 of the section entitled “Investment Restrictions” in the Prospectus.

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.

Exclusionary screens are not applied to securitized assets.

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 criteria, where the Investment Manager believes that the third-party data is insufficient or inaccurate.

The JHI Sustainability Risk Policy sets out the firmwide ESG Integration Principles, Sustainable Investment Principles 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 that investment products are managed in line with documented sustainability commitments. Financial Risk review and challenge investment management in light of ESG-related risks, alongside traditional market risk metrics. Investment Compliance implement exclusionary screening and monitor this on an ongoing basis in addition to elements of manual oversight where relevant.

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 ‘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.

L. Designated Reference Benchmark

No index has been designated as a reference benchmark to meet the environmental or social characteristics promoted by this Article 8 Financial Product.

M. Principal adverse impacts (PAI)

PAIs are considered at the product level.¹ The table below sets out where PAI is considered through the use of exclusionary screens:

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

¹ This was effective as of 31 October 2022 and periodic reporting will commence from 1 January 2023 for the first reference period from 31 October 2022.

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