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Daintree Capital

PRI reporting framework 2020

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

ESG incorporation in actively managed fixed income

Implementation processes

FI 01. Incorporation strategies applied

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
0 Integration alone
100 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
0 Integration alone
100 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%
Securitised
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.

We have utilised a mixture of screening methods and integration for Corporate and Financial bonds because we have access to sufficient data that allows us to implement a robust and repeatable process. We undertake a mixture of negative screens and norms-based screening, with the norms-based screening having been client-led. We implement a reduced form of integration when it comes to Securitised assets, due to limitations in relevant data. Securitised assets are typically residential mortgage backed securities or asset-backed securities secured by consumer loans.

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]


(A) Implementation: Screening

FI 04. Types of screening applied

04.1. Indicate the type of screening you conduct.

Select all that apply
Corporate (financial)
Corporate (non-financial)
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

04.2. Describe your approach to screening for internally managed active fixed income

In terms of negative screening, we have two main classes. The first is full exclusion, which include norms-based factors (currently whaling and cannabis), and for industries such as tobacco. The second is exclusion subject to a revenue threshold, which in our case has been set at no more than 5% of total revenue. Examples include alcohol production, gambling, fossil fuel extraction and uranium extraction.

04.3. Additional information. [Optional]


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


FI 06. Screening - ensuring criteria are met

06.1. Indicate which systems your organisation has to ensure that fund screening criteria are not breached in fixed income investments.

Type of screening
Checks
Negative/exclusionary screening
Norms-based screening

06.2. Additional information. [Optional]


(C) Implementation: Integration

FI 10. Integration overview

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

We have not yet settled on a process to integrate ESG into traditional financial analysis. 

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

Corporate (financial)

We have not yet settled on a process to integrate ESG into traditional financial analysis. 

Corporate (non-financial)

We have not yet settled on a process to integrate ESG into traditional financial analysis. 

Securitised

We have not yet settled on a process to integrate ESG into traditional financial analysis. 

10.3. Additional information [OPTIONAL]


FI 11. Integration - ESG information in investment processes

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

Select all that apply
Corporate (financial)
Corporate (non-financial)
Securitised
ESG analysis is integrated into fundamental analysis
ESG analysis is used to adjust the internal credit assessments of issuers.
ESG analysis is used to adjust forecasted financials and future cash flow estimates.
ESG analysis impacts the ranking of an issuer relative to a chosen peer group.
An issuer`s ESG bond spreads and its relative value versus its sector peers are analysed to find out if all risks are priced in.
The impact of ESG analysis on bonds of an issuer with different durations/maturities are analysed.
Sensitivity analysis and scenario analysis are applied to valuation models to compare the difference between base-case and ESG-integrated security valuation.
ESG analysis is integrated into portfolio weighting decisions.
Companies, sectors, countries and currency and monitored for changes in ESG exposure and for breaches of risk limits.
The ESG profile of portfolios is examined for securities with high ESG risks and assessed relative to the ESG profile of a benchmark.
Other, specify in Additional Information

11.2. Additional information [OPTIONAL]


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

12.1. 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

Securitised

Environmental

Social

Governance

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

Corporate (financial)

The review starts before a new issuer is added to the portfolio, with a thorough screen for a range of ESG risk factors. Once included, we have quantitative and qualitative measures to monitor ESG performance. An example of a quantitative measure includes following the trend in rating scores provided by our third-party researcher. A qualitative measure includes monitoring of newsflow for that particular issuer or the sector to which it belongs.

Corporate (non-financial)

The review starts before a new issuer is added to the portfolio, with a thorough screen for a range of ESG risk factors. Once included, we have quantitative and qualitative measures to monitor ESG performance. An example of a quantitative measure includes following the trend in rating scores provided by our third-party researcher. A qualitative measure includes monitoring of newsflow for that particular issuer or the sector to which it belongs.

Securitised

We review the purpose of the loand underlying the trnaches of a securitised asset. For example, we identified a tranche of an ABS that funds rooftop solar installations, which helped us build a case for why that tranche should be included in our portfolios as a "green" asset.

12.3. Additional information.[OPTIONAL]


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