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J.P. Morgan Asset Management

PRI reporting framework 2020

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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 For selected number of investment strategies, we currently use the Paris Agreement Capital Transition Assessment (PACTA) Tool to access our portfolios’ exposure to climate change-related risks which is predominately based on the different pathways suggested by the IEAs and IPCC.

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]

As mentioned above, we currently use the (PACTA) Tool to access some of our portfolios' exposure to climate change-related risks which is predominately based on the different pathways suggested by the IEAs and IPCC. The tool uses the breakdown of exposure to different climate relevant sectors to calculate the effect of climate stress on the value of the portfolio. The Sustainable Investing team together with other investment teams including our Fixed Income investment colleagues are building in-house stress test capabilities, which can be used to analyse clients' portfolios.

In the first quarter of 2019, our Macro strategy within Multi Asset Solutions Group formalised the consideration of ESG risks in our asset allocation process and built an ESG module specific to the macro approach in our common global technology platform, SpectrumTM. Before investment, the portfolio managers review each security's ESG score using third-party data to ensure that potential risks are captured. Where the security's score is below that of the investment universe, the team carries out additional ESG research. As such, ESG risks can impact our asset allocation decision-making and may lead to the inclusion of a security at smaller size or not at all.


SG 13 CC.


SG 14. Long term investment risks and opportunity (Private)


SG 14 CC.


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


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