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Connor, Clark & Lunn Investment Management Ltd.

PRI reporting framework 2018

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ESG incorporation in actively managed fixed income

Implementation processes

FI 01. Incorporation strategies applied

01.1. Indicate 1) Which ESG incorporation strategy and/or combination of strategies you apply to your actively managed fixed income investments; and 2) The proportion (+/- 5%) of your total actively managed fixed income investments each strategy applies to.

Corporate (financial)
0 Screening alone
0 Thematic alone
100 Integration alone
0 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%
Corporate (non-financial)
0 Screening alone
0 Thematic alone
100 Integration alone
0 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%

01.2. Describe your reasons for choosing a particular ESG incorporation strategy and how combinations of strategies are used.

Within our Fixed Income portfolios, ESG criteria are generally factored into our process from a risk and return perspective in our company specific research and investment decisions. In terms of our corporate credit research process, we always assess management - usually through direct conversations. Considerations include how management is incentivized, 'self-dealing' issues, and general ethics and practices and then we assess if the business model might be impaired by unethical practices. Environmental issues are another risk factor considered as we focus on the risk of potential liability in the event of an environmental disaster.

01.3. Additional information [Optional].


FI 02. ESG issues and issuer research (Private)


FI 03. Processes to ensure analysis is robust

03.1. Indicate how you ensure that your ESG research process is robust:

03.2. Describe how your ESG information or analysis is shared among your investment team.

03.3. Additional information. [Optional]


(C) Implementation: Integration

FI 11. Integration overview

11.1. Describe your approach to integrating ESG into traditional financial analysis.

ESG has been added as an assessment criteria as we undertake corporate bond research. We systematically include the information as part of our process in evaluating the risks of a company, and include the result of our assessment in our company notes. The result of our assessment is incorporated into our spread forecast with other risk factors. We take the same approach to ESG integration whether the company is in the financial or non-financial sector.

11.2. Describe how your ESG integration approach is adapted to each of the different types of fixed income you invest in.

Corporate (financial)

We take the same approach to ESG Integration whether the company is in the financial or non-financial sector.

Corporate (non-financial)

We take the same approach to ESG Integration whether the company is in the financial or non-financial sector.

11.3. Additional information [OPTIONAL]


FI 12. Integration - ESG information in investment processes

12.1. Indicate how ESG information is typically used as part of your investment process.

Select all that apply
Corporate (financial)
Corporate (non-financial)
ESG analysis is integrated into fundamental analysis
ESG analysis is integrated into security weighting decisions
ESG analysis is integrated into portfolio construction decisions
ESG analysis is a standard part of internal credit ratings or assessment
ESG analysis for issuers is a standard agenda item at investment committee meetings
ESG analysis is regularly featured in internal research notes or similar
ESG analysis is a standard feature of ongoing portfolio monitoring
ESG analysis features in all internal issuer summaries or similar documents
Other, specify

12.2. Additional information [OPTIONAL]


FI 13. Integration - E,S and G issues reviewed

13.1. Indicate the extent to which ESG issues are reviewed in your integration process.

Environment
Social
Governance
Corporate (financial)

Environmental

Social

Governance

Corporate (non-financial)

Environmental

Social

Governance

13.2. Please provide more detail on how you review E, S and G factors in your integration process.

Corporate (financial)

ESG has been added as an assessment criteria as we undertake corporate bond research. We systematically include the information as part of our process in evaluating the risks of a company, and include the result of our assessment in our company notes. The result of our assessment is incorporated into our spread forecast with other risk factors.

Corporate (non-financial)

ESG has been added as an assessment criteria as we undertake corporate bond research. We systematically include the information as part of our process in evaluating the risks of a company, and include the result of our assessment in our company notes. The result of our assessment is incorporated into our spread forecast with other risk factors.

13.3. Additional information.[OPTIONAL]


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