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Macquarie Asset Management

PRI reporting framework 2019

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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income

アクティブ運用している債券におけるESGの組み入れ

実施プロセス

FI 01. Incorporation strategies applied

以下を記載してください。 (1)組織でアクティブ運用する債券投資について、どのESG組み入れ戦略や組み合わせを使用しているか(2)各戦略が適用されるアクティブ運用債券投資合計の割合(+/- 5%)
SSA
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
100 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
社債(金融)
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
100 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
社債(非金融)
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
100 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
証券化商品
0 スクリーニングのみ
0 テーマのみ
100 統合のみ
0 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%

01.2. 特定のESG組み入れ戦略を選択している理由と、使用する戦略の組み合わせを説明してください。

We have a structure under which autonomous - or independent -- investment teams are supported by a global shared-services platform. Our teams have the autonomy to leverage their specialized skill sets and define their individual investment approaches and decision-making processes, whilst benefitting from a comprehensive operational support platform. The incorporation of ESG factors in the investment process varies by investment team as each team owns its own investment process.

Whereas we utilize integration methods and screening throughout the investment process, integration methods are our primary strategy of conducting analysis.

01.3. 補足情報 [任意]

The data provided in this survey represents a compilation of responses that were separately submitted by our independent investment teams.  We have utilized the additional information sections in questions where our teams’ responses are materially different from one another and/or if we felt the need to identify specific practices employed by an individual team.

Macquarie Asset Management (MAM) has a breadth of fixed income capabilities.  A central belief amongst all of our capabilities is a commitment to proprietary, in-depth fundamental research. Inherent in this commitment is a strong focus on the management of the downside, considering capital preservation to be paramount.  Aspects of our credit analysis may include an examination of industry dynamics, visits with company management, competitive positioning comparisons, and an analysis of both overall credit and ESG specific ratings trends.  Inherent to the investment process is an in-depth analysis of economic, competitive and other factors that may influence future revenues and earnings of the issuer, including factors that are considered as material from an ESG perspective.   


FI 02. ESG issues and issuer research

02.1. 発行体に対する分析の一部として体系的に調査するESG要因を明示してください。

SSA
社債(金融)
社債(非金融)
証券化商品
環境データ
社会的データ
ガバナンスデータ

02.2. 入ってくるESG情報のフォーマットと主な情報源を明示してください。

この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください

02.3. 使用されているESG情報を簡単に説明してください。ESG組み入れ戦略全体における情報源の違いを明らかにしてください。

The responses provided above represent an aggregate of different practices employed by our independent investment teams and do not necessarily indicate that each team employs all of these practices.

The majority of the ESG information that we use is obtained as part of our internal  research process where we gather information on all factors that are relevant to our credit analysis. 

We provide all of our investment teams with access to specialized ESG research. The investment teams determine how best to leverage this information in their investment process.

See below for additional information regarding some of our respective teams.

02.4. 補足情報 [任意]

The Macquarie Investment Management (MIM) Fixed Income research team has added ratings data from our external provider to their weekly data pack and analysts are required to delve into instances where a particular company’s ESG rating has experienced a recent upgrade or downgrade.

Macquarie Infrastructure Debt Investment Solutions (MIDIS), in addition to utilizing external research providers, also utilizes specialised in-house ESG research capabilities.  ESG factors initially assessed by their Investment Committee are (in part) inspired by a series of questions based on the International Finance Corporation (IFC) Performance Standards on Environmental and Social Sustainability as well as IFC Corporate Governance Progression Matrix.


FI 03. Processes to ensure analysis is robust

03.1. 組織のESG調査プロセスの堅牢性を確保する方法を記載してください。

具体的に記載してください

          Review and evaluation of external research providers
        

03.2. ESG情報または分析を投資チーム内で共有する方法を記載してください。

03.3. 補足情報 [任意]

The process of ensuring that ESG research is robust and the sharing of ESG information and analysis varies among our investment teams.  The responses provided above represent an aggregate of different practices employed by our independent investment teams and do not necessarily indicate that each team employs all of these practices.

MIM’s FI research team has added ratings data from our external provider to their weekly data pack and analysts are required to delve into instances where a particular company’s ESG rating has experienced a recent upgrade or downgrade.  ESG information is also available through the Bloomberg research terminals and can also be accessed via MSCI’s ESG Manager web site.  

MIDIS engages directly with borrowers and consultants on a wide range of issues. This includes ESG, which is a standing item in the Screening Papers and Approval Papers submitted to their Investment Committee. The ESG approach is documented and the ongoing learning culture of MIDIS ensures that information is cascaded to all staff through formal and informal learning sessions.

The review and evaluation of our external research providers is done on a firm level as those resources are shared by all of the investment teams within MIM. 


A) 実施:スクリーニング

FI 04. Types of screening applied

04.1. 実施するスクリーニングの種類を記載してください。

当てはまる項目を全てを選択してください
SSA
社債(金融)
社債(非金融)
ネガティブ/ 排他的スクリーニング
ポジティブ/業界最高のスクリーニング
基準に基づくスクリーニング

04.2. 組織内でアクティブ運用している債券に適用するスクリーニングのアプローチを記載してください。

Screening criteria vary by investment team.  See below for examples

04.3. 補足情報 [任意]

Exclusionary screens are also used for client-specific mandates which restrict the inclusion of companies involved in identified prohibited activities.

The MIM Fixed Income research team has as an exclusionary screen for tobacco across strategies managed for Australian investors.  The team believes that screening out tobacco companies from these portfolios is an appropriate response to enhanced client interest in ethical investments. 

The MIM FI research team also emphasizes the use of corporate governance criteria as a means of identifying issuers to be excluded from their investable universe.

MIDIS investments are governed by its ESG policy which excludes certain specific sectors from investment.


FI 05. Examples of ESG factors in screening process (Private)


FI 06. Screening - ensuring criteria are met

06.1. 債券投資においてファンドスクリーニングの基準に違反がないことを確認するために組織が使用しているシステムを記載してください。

スクリーニングの種類
ネガティブ/排他的スクリーニング​

06.2. 補足情報 [任意]

The responses provided above represent an aggregate of different practices employed by our independent investment teams and do not necessarily indicate that each team employs all of these practices.

MSCI KLD Social restricted lists are loaded into MIM’s trading system on a monthly basis.  Traders entering trades in prohibited securities will receive a notification that the bond is restricted for those specific accounts with restrictions.


C) 実施:ESG問題の統合

FI 10. Integration overview

10.1. ESGを従来の財務分析に統合するアプローチを説明してください。

We have a structure under which autonomous - or independent -- investment teams are supported by a global shared-services platform. Our teams have the autonomy to leverage their specialized skill sets and define their individual investment approaches and decision-making processes, whilst benefitting from a comprehensive operational support platform. The incorporation of ESG factors in the investment process varies by investment team as each team owns its own investment process.

A central belief amongst all of our capabilities is a commitment to proprietary, in-depth fundamental research. Inherent in this commitment is a strong focus on the management of the downside, considering capital preservation to be paramount.  As such, ESG issues may be considered throughout the credit selection process as we recognize the potential of ESG issues to negatively impact creditworthiness.  Aspects of our credit analysis may include an examination of industry dynamics, visits with company management, competitive positioning comparisons, and an analysis of both overall credit and ESG specific ratings trends.

10.2. 投資する債券の各種類に対してESG統合アプローチをどのように調整するのか説明してください。

SSA

Each of our investment teams employs a consistent ESG integration approach across all types of fixed income instruments in which that particular team invests.

社債(金融)

Each of our investment teams employs a consistent ESG integration approach across all types of fixed income instruments in which that particular team invests.

社債(非金融)

Each of our investment teams employs a consistent ESG integration approach across all types of fixed income instruments in which that particular team invests.

証券化商品

Each of our investment teams employs a consistent ESG integration approach across all types of fixed income instruments in which that particular team invests.  For securitised instruments, credit analysis includes a focus on the risks associated with adverse behaviour of issuers regarding environmental, social and governance factors.

10.3. 補足情報 [任意]


FI 11. Integration - ESG information in investment processes

11.1. ESG情報が、通常、投資プロセスの一部としてどのように使用されるのか記載してください。

当てはまるものをすべて選択してください
SSA
社債(金融)
社債(非金融)
証券化商品​
ESG分析をファンダメンタル分析に組み込んでいる
ESG分析が発行体の内部信用評価を調整するために利用される
ESG分析が予想財務業績および将来キャッシュフロー予測を調整するために利用される
ESG分析が発行体の同業グループと比較したランキングに影響する
発行体のESG債スプレッドおよび同セクター企業に対するその相対価値が、すべてのリスクが織り込まれているか否かを把握するために分析される
各種デュレーション/満期の発行体債券へのESG分析の影響が分析される。
感度分析およびシナリオ分析が、ベースケースとESG組み込み証券評価の差を比較する評価モデルに適用される
ESG分析が、ポートフォリオのウェイティング決定に組み込まれている
会社、セクター、国、通貨が、ESGエクスポージャーの変化およびリスク制限の違反についてモニタリングされる
ESGリスクが大きい証券についてポートフォリオのESGプロファイルが検討され、ベンチマークのESGプロファイルと比較して評価される
その他(具体的に記載してください)

11.2. 補足情報 [任意]

The responses provided above represent an aggregate of different practices employed by our independent investment teams and do not necessarily indicate that each team employs all of these practices.

Specific examples of our use of ESG information in the investment process is provided in section FI 13.


FI 12. Integration - E,S and G issues reviewed

12.1. 組織の統合プロセスでESG問題をどのように検討するか示してください。

E(環境)
S(社会)
G(ガバナンス)
SSA

E(環境)

S(社会)

G(ガバナンス)

社債(金融)

E(環境)

S(社会)

G(ガバナンス)

社債(非金融)

E(環境)

S(社会)

G(ガバナンス)

証券化商品

E(環境)

S(社会)

G(ガバナンス)

12.2. 組織の統合プロセスでE/S/G要因を検討する方法を詳しく説明してください。

SSA

All of our independent investment teams recognize ESG factors as a part of their investment analysis but their approach towards reviewing ESG information in the integration process varies by investment team.  See below for specific examples.

社債(金融)

All of our independent investment teams recognize ESG factors as a part of their investment analysis but their approach towards reviewing ESG information in the integration process varies by investment team.  See below for specific examples.

社債(非金融)

All of our independent investment teams recognize ESG factors as a part of their investment analysis but their approach towards reviewing ESG information in the integration process varies by investment team.  See below for specific examples.

証券化商品

All of our independent investment teams recognize ESG factors as a part of their investment analysis but their approach towards reviewing ESG information in the integration process varies by investment team.  See below for specific examples.

12.3. 補足情報 [任意]

Our fixed income teams incorporate the analysis of ESG factors into their fundamental issuer credit analysis, which is consistent with the teams’ investment philosophy of avoiding downside risks.  Inherent to the teams’ investment process is an in-depth analysis of economic, competitive and other factors that may influence future revenues and earnings, including factors that have been identified as material from an ESG perspective.                

Following are a few examples of the many ESG factors that have been reviewed in the integration process.  Specific examples of our use of ESG information in the investment process is provided in section FI 18.

  • Review of all companies covered that have performed poorly on ESG from a bondholder perspective
  • Jurisdiction risk assessment to help identify corruption risk, especially for emerging markets
  • Evaluation of the independence of an issuer’s board by checking for the percentage of unaffiliated board members
  • Analysis of the environmental remediation and liability concerns including coal ash cleanup, nuclear asset retirement obligations, and wildfires for utility companies
  • Investigation of litigation against chemical companies stemming from environmental/health concerns
  • Requirement of super majority vote needed for budget passage or to raise revenues for US states
  • Analysis of nuclear construction risks for US-based public utilities
  • Determination of the percentage of loans in a security that are dedicated to senior and/or low-income housing
  • Comparison of governance practices of a particular issuer of a securitization instrument relative to peers.

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