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Citi Sustainable Multi-Thematic Equity Portfolio

Portfolios Which Promote Environmental and/or Social Characteristics

SFDR requires that information provided in a pre-contractual disclosure in respect of a portfolio which promotes environmental and/or social characteristics be published on a website. This disclosure is made for these purposes by the CIM division of Citibank Europe plc, in relation to clients of its Luxembourg branch.

This disclosure relates to the following portfolios:

  • Citi Sustainable Multi-Thematic Equity Portfolio (Citi SMT)
  • Tailored Discretionary Portfolios utilizing the investment process from the Citi SMT

The Citi SMT promotes environmental or social characteristics but does not have a sustainable investment objective. It uses a reference benchmark appropriate to the market and segment of investments selected by the portfolio manager, but the benchmark is not designated for the purpose of attaining the environmental or social characteristics promoted by the portfolio.

Whilst the Citi SMT portfolio’s name includes the word ‘sustainable’, it is not an Article 9 SFDR product, nor does it commit to making SFDR compliant ‘sustainable investments’.

What are the environmental and/or social characteristics promoted by the portfolio?

  • The Citi SMT invests in companies that have meaningful exposure to one or more sustainability themes selected by CIM. These themes are aligned to one or more UN Sustainable Development Goals.
  • The sustainability themes are highlighted in the Citi SMT sales deck.

How are those characteristics met?

  • The investment process uses a combination of proprietary research, positive screening, negative screening, and exclusion criteria to define an investment universe for the portfolio.
  • The portfolio management team identifies global publicly traded companies with a minimum of 30% revenue for their last completed fiscal year attributed to one or more of the Citi SMT themes. Any companies that do not meet this threshold, but where the portfolio management team have sufficient conviction that they may meet the threshold within three years, can be taken to a dedicated SMT investment forum, where a team of investment professionals will consider whether to hold the company on an exception basis. Exceptions based on this criterion can comprise up to 20% of the portfolio’s value, measured quarterly, as part of the Implementation Review Meeting (IRM).
  • The following exclusions (as defined by the UN Global Compact) are applied:
    • Derive revenue from the production, sale and/or transfer of antipersonnel landmines or cluster bombs.
    • Derive revenue from the production and/or manufacturing of tobacco.
  • The portfolio excludes companies that are ‘non-compliant’ with UN Global Compact Principles or UN Global Compact Violators. This is assessed by a third party ESG data vendor. The vendor is used to identify companies flagged as non-compliant based on their proprietary screening module. The module is subjective and as such, proprietary analysis is also applied and if an exception is required, it can be taken to the dedicated SMT investment forum. Exceptions based on this proprietary analysis can comprise up to 20% of the portfolio’s value measured quarterly, as part of the IRM. The percentage of the portfolio covered by the exception will be measured before each exception and reviewed at the quarterly IRM.

The investment strategy is implemented through a robust investment and review process that periodically refreshes the ESG data upon which CIM makes its investment decisions. 

What policy does CIM use to assess the good governance practices of investee companies?

  • The good governance practices of the investee companies are considered in the investment due diligence process. CIM’s determination as to whether an investee company follows good governance practices is based upon a rating produced by a third party ESG data provider.
  • The data provider considers a range of criteria to assess whether the investee companies follow good governance practices, including with respect to sound management structures, employee relations, remuneration of staff and tax compliance.
  • There may be securities in the portfolio in respect of which the data provider does not provide a governance score for the issuer. Where this is the case, the CIM equity team will use the same scoring methodology as that used by the data provider to assess whether the investee company follows good governance practices.
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