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"BlueBay LLP’s investment activities: This risk exposure would potentially be through the investment portfolios managed by BlueBay LLP, as they may include debt exposure to issuers in sectors and markets (given the firm manages debt strategies spanning all sectors and all regions globally), where this can be a high-risk issue.

 Since 2013, BlueBay LLP has had an Environmental, Social & Governance (ESG) investment policy in place, which seeks to consider ESG investment risks as part of the investment process, and manage this accordingly. The primary ESG investment strategy applied is ESG integration, which focuses on evaluating investment material risks, which can be a function of many factors, such as the nature of the products or services a company is involved in, its geographical presence, as well as its management of key ESG risks.

 Our ESG investment management framework is overseen by an in-house ESG investment team, who work actively with investment team professionals to share insights as well as build ongoing awareness, knowledge and understanding of material ESG risks associated with investments.

 During August 2018, BlueBay rolled out a formal issuer ESG evaluation process among its public debt teams. This initiative will enable systematic consideration and documentation of material ESG risks to ensure these are factored into the investment analysis decisions. In some instances, with regards some investments, human rights issues such as slavery and human trafficking may be considered investment material, and/or considered to present a reputational risk issue. Our new process will alert the ESG function and investment teams to this where it is the case so that it can be addressed."