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Loomis, Sayles & Company, L.P.

PRI reporting framework 2020

You are in Strategy and Governance » ESG issues in asset allocation

ESG issues in asset allocation

SG 13. ESG issues in strategic asset allocation

13.1. Indicate whether the organisation carries out scenario analysis and/or modelling, and if it does, provide a description of the scenario analysis (by asset class, sector, strategic asset allocation, etc.).

Describe In 2019, we began to assess scenario analysis using PACTA for both equity and fixed income portfolios. In 2020, we will assess other scenario analysis tools, including a wide variety of climate data from our vendors including MSCI, Sustainalytics and Bloomberg and the credit rating agencies.
Describe In 2019, we began to assess scenario analysis using PACTA for both equity and fixed income portfolios. In 2020, we will assess other scenario analysis tools, including a wide variety of climate data from our vendors including MSCI, Sustainalytics and Bloomberg, and the credit rating agencies.

13.2. Indicate if your organisation considers ESG issues in strategic asset allocation and/or allocation of assets between sectors or geographic markets.

We do the following

13.3. Additional information. [OPTIONAL]

We continue to assess third party vendors and tools that will enhance our scenario analysis tools and capabilities.  In addition to MSCI and Sustainalytics, we will be assessing Carbone 4, Carbon Delta, etc.  We also expect to conduct education in 2020 about the variety of vendors and data available to incorporate into our investment teams' processes where applicable.


SG 13 CC.

13.4 CC. Describe how your organisation is using scenario analysis to manage climate-related risks and opportunities, including how the analysis has been interpreted, its results, and any future plans.

Describe

Loomis Sayles has used PACTA climate scenario analysis tool as requested by certain clients.  There will be more in depth climate-related scenario analysis to be done aligned with the TCFD in 2020.

13.5 CC. Indicate who uses this analysis.

specify

          Our product managers and client service teams have worked with the ESG Committee to assess this analysis as part of a response to clients.
        

13.6 CC. Indicate whether your organisation has evaluated the potential impact of climate-related risks, beyond the investment time horizon, on its investment strategy.

Describe

Loomis Sayles has assessed the PACTA climate scenario analysis tool as requested by one of our clients.  We expect to be doing climate related scenario analysis aligned with the TCFD in 2020 where we intend to explore longer time horizons and additional scenario analysis tools.

13.7 CC. Indicate whether a range of climate scenarios is used.

13.8 CC. Indicate the climate scenarios your organisation uses.

Provider
Scenario used
IEA
IEA
IEA
IEA
IEA
IRENA
Greenpeace
Institute for Sustainable Development
Bloomberg
IPCC
IPCC
IPCC
IPCC
Other
Other
Other

SG 14. Long term investment risks and opportunity

14.1. Some investment risks and opportunities arise as a result of long term trends. Indicate which of the following are considered.

14.2. Indicate which of the following activities you have undertaken to respond to climate change risk and opportunity

14.3. Indicate which of the following tools the organisation uses to manage climate-related risks and opportunities.

14.4. If you selected disclosure on emissions risks, list any specific climate related disclosure tools or frameworks that you used.

MSCI, Sustainalytics

SASB Materiality Maps

PACTA

14.5. Additional information [Optional]


SG 14 CC.

14.6 CC. Provide further details on the key metric(s) used to assess climate-related risks and opportunities.

Metric Type
Coverage
Purpose
Metric Unit
Metric Methodology
Weighted average carbon intensity
          Assess portfolio exposure on an absolute and relative basis
        
          CO2e tons/$M sales
        
          3rd party vendors- MSCI and  Sustainalytics
        
Carbon footprint (scope 1 and 2)
          Assess portfolio exposure on an absolute and relative basis
        
          Weighted average carbon intensity and other metrics depending on vendor
        
          3rd party vendors- MSCI and  Sustainalytics
        
Portfolio carbon footprint
          Assess portfolio exposure on an absolute and relative basis
        
          Weighted average carbon intensity and other metrics depending on vendor; GHG protocol
        
          3rd party vendors- MSCI and  Sustainalytics
        
Total carbon emissions
          Assess portfolio exposure on an absolute and relative basis
        
          metric tons of CO2e
        
          3rd party vendors- MSCI and  Sustainalytics
        
Carbon intensity
          Assess portfolio exposure on an absolute and relative basis
        
          CO2e/Revenues $mm
        
          3rd party vendors- MSCI and  Sustainalytics
        
Exposure to carbon-related assets
          Assess portfolio exposure on an absolute and relative basis
        
          Percentage of portfolio
        
          3rd party vendors- MSCI and  Sustainalytics
        

14.8 CC. Indicate whether climate-related risks are integrated into overall risk management and explain the risk management processes used for identifying, assessing and managing climate-related risks.

Please describe

Loomis Sayles equips its investment teams with resources, tools and trainings to aid them in measuring, assessing and monitoring certain climate-related risks. It is up to each investment team to make a decision if climate change is material for each transaction or portfolio. Loomis Sayles continues to expand the development of expertise for our teams through trainings, the acquisition of new resources and tools, hiring experts, partnering with NGOs and peers.  

The Chief Investment Risk Officer is incorporating climate related data into his semi-annual reviews with each investment team.

14.9 CC. Indicate whether your organisation, and/or external investment manager or service providers acting on your behalf, undertake active ownership activities to encourage TCFD adoption.


SG 15. Allocation of assets to environmental and social themed areas

15.1. Indicate if your organisation allocates assets to, or manages, funds based on specific environmental and social themed areas.

15.2. Indicate the percentage of your total AUM invested in environmental and social themed areas.

1 %

15.3. Specify which thematic area(s) you invest in, indicate the percentage of your AUM in the particular asset class and provide a brief description.

Area

          Fixed income vehicles with a prohibition on issuers with revenue from alcohol, tobacco and firearms, and one focused on sustainable issuers.
        

Asset class invested

1 Percentage of AUM (+/-5%) per asset class invested in the area

Brief description and measures of investment

These products contain certain themes that reflect the wishes of investors, in particular, a prohibition on investing in issuers with revenue derived from munitions, alcohol and tobacco, and one focused on sustainable investments.

15.4. Please attach any supporting information you wish to include. [OPTIONAL]



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