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Garcia Hamilton & Associates, L.P.

PRI reporting framework 2020

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
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%
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。

INTEGRATION

Since our founding, GH&A has included environmental, social and governance (ESG) considerations in our investment philosophy.  Our philosophy is nuanced and proactive and has evolved beyond negative screening processes. These factors are incorporated considerations in our portfolio construction, investment decision-making, investment analysis and due diligence.

GH&A’s investing policy seeks to incorporate ESG and responsible investing (RI) trends and metrics across our high-quality universe within our top-down macro framework. We continually evaluate corporate securities on their current ESG/RI initiatives and policies and evaluate their measurable improvement and implementation of these initiatives.

SCREENING

Negative Screening: Includes corporate liquidity criteria, ratings criteria, and the Firm’s long-standing exclusion of corporates with material ESG deficiencies

Positive Screening: Firm’s proprietary ESG overlay; quantitative scoring method of criteria including, but not limited to, sustainability, transparency, ESG risks and opportunities, governance, and integration

01.3. 補足情報 [任意]

ESG factors are addressed during the final phase of vetting investment ideas and potential holdings.

We first conduct our initial screening process of the universe of eligible issuers for portfolio inclusion and only invest in high-quality securities. Within the corporate sector, we screen for the largest issuers and companies rated A- or better by 2 of the 3 rating agencies. We then remove foreign companies/Yankees, alcohol, tobacco, gambling, and defense companies. After applying this screen, our investable corporate universe shrinks to approximately 80 issuers at the present time. All portfolios will hold either U.S. Treasuries, agency debentures, agency guaranteed MBS and/or high-quality corporate securities. For strategies that include corporate bonds, the corporate issue selection process incorporates a relative ranking of corporate issuers across the relevant ESG metrics for the relative industry within our high-quality universe. This ESG relative score is used to, not only identify issuers which maintain a high proprietary ESG internal score and trend, but, all things equal, greater consideration is given to securities with higher or trending higher ESG internal scores versus their conventionally valued peers within the portfolio construction process. 


FI 02. ESG issues and issuer research (Private)


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。

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 GH&A investment team formally meets once a week to primarily discuss the five key market factors, (i.e. sentiment, monetary, economic, valuation & inflation) that serve as the foundation of our investment process and fixed income strategy. During this meeting, the team discusses topics such as macroeconomic conditions, market trends, market outlook, headline news, portfolio performance, individual securities, and potential developments pertaining to our ESG assessment, and many other critical topics. An additional key component of this weekly meeting is the review and discussion of target portfolio characteristics. Sustainability risk and opportunities are documented in the Corporate Universe ESG Score and Rank spreadsheet that is produced for these meetings.

All GH&A investment professionals are physically located at the sole office of GH&A in Houston, TX, and sit together in an open trading floor, which leads to continuous daily communication between the team, including communication of ESG information and analysis.


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
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。

Negative Screening: Includes corporate liquidity criteria, ratings criteria, and the Firm’s long-standing exclusion of corporates with material ESG deficiencies

Positive Screening: Firm’s proprietary ESG overlay; quantitative scoring method of criteria including, but not limited to, sustainability, transparency, ESG risks and opportunities, governance, and integration

04.3. 補足情報 [任意]


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​
ポジティブ/業界最高のスクリーニング

06.2. 補足情報 [任意]

We use NorthPoint Trading Compliance rules manager in conjunction with the NorthPoint Order Management System from ACA Technology Solutions (division of ACA Compliance Group) to ensure that investments fall within firm and client investment guidelines.  The NorthPoint system supports the multiple attributes of fixed income debt securities and handles complex trade allocation scenarios.  The powerful rules-based compliance engine is user-configurable, including custom calculation capabilities that allow GH&A to set up internal guidelines based on concentration limits, eligibility parameters, restricted lists, and warning tolerances.

All account guidelines are reviewed by compliance and investment management to ensure that GH&A is managing an account in line with the client’s investment guidelines.  Guidelines are input into the NorthPoint Trading Compliance system by the Chief Compliance Officer, Chief Operating Officer or other members of the compliance team and cannot be overridden by the investment team. 


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。

ESG research is incorporated in our general research process. All firm-level ESG resources are available at the strategy level and have influenced our overall investment strategy since the Firm's inception (1988). GH&A’s internal resources consist of our initial screening process of the universe of eligible names for portfolio inclusion and only invest in high-quality securities. Within the corporate sector, we screen for the largest issuers and companies rated A- or better by 2 of the 3 rating agencies.  We then remove foreign companies/Yankees, alcohol, tobacco, gambling, and defense companies.  After applying this screen, our investable corporate universe shrinks to approximately 80 issuers.  All portfolios will hold either U.S. Treasuries, agency debentures, agency guaranteed MBS and high-quality corporate securities.

We utilize traditional financial and quantitative metrics analysis as well as qualitative assessments to identify ESG risks and opportunities and inform buy/sell/hold decisions. The Firm uses both internal and external resources to acquire data, information and analyses on sustainability factors facing our corporate universe.  GH&A collects historic and peer level data on our corporate securities including RobecoSAM, Sustainalytics Rank, ISS Quality Score, CDP Climate Score as well as Bloomberg ESG disclosure metrics.  The reports from these third-party providers assist the investment team in its overall evaluation process and provides a base to further study/research these securities for continued inclusion in our portfolio. Corporate securities are evaluated based on improving or declining adherence to PRI guidelines. If a security within our investment universe fails to maintain a positive ESG trajectory, it will receive diminished consideration for future investments.

ESG factors are addressed during the final phase of vetting investment ideas and potential holdings.

We first conduct our initial screening process of the universe of eligible issuers for portfolio inclusion and only invest in high-quality securities. Within the corporate sector, we screen for the largest issuers and companies rated A- or better by 2 of the 3 rating agencies. We then remove foreign companies/Yankees, alcohol, tobacco, gambling, and defense companies. After applying this screen, our investable corporate universe shrinks to approximately 80 issuers at the present time. All portfolios will hold either U.S. Treasuries, agency debentures, agency guaranteed MBS and/or high-quality corporate securities. For strategies that include corporate bonds, the corporate issue selection process incorporates a relative ranking of corporate issuers across the relevant ESG metrics for the relative industry within our high-quality universe. This ESG relative score is used to, not only identify issuers which maintain a high proprietary ESG internal score and trend, but, all things equal, initiate a positive screening methodology to discriminate among securities with comparable conventional relative values.

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

As stated in 10.1, our approach is fully integrated to each type of fixed income we invest in: SSA, Corporate (financial), Corporate (non-financial), and Securitized.

社債(金融)

As stated in 10.1, our approach is fully integrated to each type of fixed income we invest in: SSA, Corporate (financial), Corporate (non-financial), and Securitized.

社債(非金融)

As stated in 10.1, our approach is fully integrated to each type of fixed income we invest in: SSA, Corporate (financial), Corporate (non-financial), and Securitized.

証券化商品

As stated in 10.1, our approach is fully integrated to each type of fixed income we invest in: SSA, Corporate (financial), Corporate (non-financial), and Securitized.

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]


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

The investment team monitors ESG risks on a daily basis and communicate material ESG events  regularly, including during our weekly investment meetings. The team also sits on an open trading floor, which cultivates continuous dialogue and communication on our universe of SSA securities and the integration of ESG factors in the investment process. We limit the securities we select for our portfolios to only high-quality issues. This includes U.S. Treasuries, agency debentures, 15- and 20-year agency-guaranteed MBS, and high-quality corporate securities. We do not invest in non-dollar denominated bonds, including Yankee bonds, high yield securities, credits rated below single “A” by two of the major rating agencies, zero-coupon debt, derivatives or leverage.

社債(金融)

The investment team monitors ESG risks on a daily basis and communicate material ESG events  regularly, including during our weekly investment meetings. The team also sits on an open trading floor, which cultivates continuous dialogue and communication on our universe of corporate (financial) securities and the integration of ESG factors in the investment process. We limit the securities we select for our portfolios to only high-quality issues. This includes U.S. Treasuries, agency debentures, 15- and 20-year agency-guaranteed MBS, and high-quality corporate securities. In the case of corporate bonds, we typically invest in issues that are in the index and have a minimum issue size of $1 billion with a quality rating of A- or better and a maturity of 10 years or less. We do not invest in non-dollar denominated bonds, including Yankee bonds, high yield securities, credits rated below single “A” by two of the major rating agencies, zero-coupon debt, derivatives or leverage.

社債(非金融)

The investment team monitors ESG risks on a daily basis and communicate material ESG events  regularly, including during our weekly investment meetings. The team also sits on an open trading floor, which cultivates continuous dialogue and communication on our universe of corporate (non-financial) securities and the integration of ESG factors in the investment process. We limit the securities we select for our portfolios to only high-quality issues. This includes U.S. Treasuries, agency debentures, 15- and 20-year agency-guaranteed MBS, and high-quality corporate securities. In the case of corporate bonds, we typically invest in issues that are in the index and have a minimum issue size of $1 billion with a quality rating of A- or better and a maturity of 10 years or less. We do not invest in non-dollar denominated bonds, including Yankee bonds, high yield securities, credits rated below single “A” by two of the major rating agencies, zero-coupon debt, derivatives or leverage.

証券化商品

The investment team monitors ESG risks on a daily basis and communicate material ESG events  regularly, including during our weekly investment meetings. The team also sits on an open trading floor, which cultivates continuous dialogue and communication on securitized issues and the integration of ESG factors in the investment process. We limit the securities we select for our portfolios to only high-quality issues. This includes U.S. Treasuries, agency debentures, 15- and 20-year agency-guaranteed MBS, and high-quality corporate securities. With mortgage-backed securities, we invest in agency guaranteed 15- and 20-year MBS and do not purchase any illiquid mortgage derivatives. We do not invest in non-dollar denominated bonds, including Yankee bonds, high yield securities, credits rated below single “A” by two of the major rating agencies, zero-coupon debt, derivatives or leverage.

12.3. 補足情報 [任意]


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