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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
95 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
5 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
95 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
5 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
95 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
5 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
0 統合のみ
95 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
5 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。

The fixed income breakout above reflects Calvert as well as the collaboration of EVM's Investment Grade Fixed Income team.

The Calvert Principles for Responsible Investment guide their selection of companies not only for all Responsible indexed investment strategies but also for many of their actively managed strategies. We believe that most corporations deliver a net benefit to society, through their products and services, creation of jobs and the sum of their behaviors. As a responsible investor, Calvert seeks to invest in companies that provide positive leadership in the areas of their business operations and overall activities that are material to improving societal outcomes, including those that will affect future generations. Calvert seeks to invest in companies that balance the needs of financial and nonfinancial stakeholders and demonstrate a commitment to the global commons as well as to the rights of individuals and communities. More details can be found at: https://www.calvert.com/the-calvert-principles.php

01.3. 補足情報 [任意]

Companies are assessed using the Calvert Research System (CRS), which is their proprietary platform that is optimally engineered to capture multiple sources of ESG data and evaluate this information through the perspectives of Calvert’s analysts' deep ESG expertise. Calvert applies a streamlined investment decision-making process that integrates both financial and sustainability insights and compares companies across these metrics. Calvert’s team of ESG research analysts leads this process and works closely with fixed income analysts to identify the most material ESG factors and data indicators.

EVM”s Investment Grade Fixed Income team collaborates with Calvert’s ESG research analysts to review how ESG themes/metrics are specifically relevant to a company given its sector and would affect the credit drivers of spread performance. The ESG research analysts examine ESG themes and related metrics that span across governance and ethics, environment, workplace, product safety, human rights, Indigenous People's rights, and community relations, depending on the sector, and assess their potential impact on a company's credit profile and ultimately to its valuation.

The Calvert Green Bond Fund seeks to invest in companies and other enterprises that demonstrate positive ESG performances as it addresses sustainability challenges that are primarily "green" investments. These include securities of companies that develop or provide products or services that address environmental solutions and/or demonstrate leadership in their efforts to reduce their own environmental footprint; bonds that support environmental projects; structured securities that are collateralized by assets supporting environmental themes; and securities that, in the opinion of the Fund's Adviser, have no more than a negligible direct environmental impact, which may include securities issued by the U.S. Government or its agencies, and U.S. Government-sponsored entities. In order to manage this fund effectively, ESG review, integration and thematic strategies are all incorporated.

The Calvert Absolute Return Bond Fund falls into the popular "go anywhere" non-traditional bond fund category. Unconstrained funds are not typically managed against a benchmark index, but rather strategically and tactically re-allocate to be best positioned in changing markets. This is the only mutual fund in the non-traditional bond category to feature the incorporation of environmental, social and governance (ESG) analysis in its investment process.

Additionally, Calvert has worked with academic partners on understanding how ESG and event risks are tied to credit risks, and are forming additional academic partnerships to build on their understanding around financially material ESG issues in the public debt space.


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。

Calvert relies greatly on the expertise of their in-house ESG Research team to provide intelligence on how a given company performs across certain ESG factors specific to the sector to which it belongs through the Calvert Research System (CRS), a proprietary platform that allows us to integrate both financial and sustainability insights, while comparing companies across metrics. ESG research analysts also share insights based on conversations with management, NGO reports, trade union reports, and other sources. Their findings are shared across various venues, including an information sharing platform for primary issues (which they refer to as the new issue evaluation process) and regular meetings and informal interactions. Calvert's fundamental portfolio managers and analysts are also well-versed in understanding the material ESG risks and opportunities for each debt issuance, and collaborate with thier respective ESG analyst on both buy and sell decisions.

02.4. 補足情報 [任意]


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

          Calvert's 3RC Committee oversees all aspects of the ESG research process, including fixed-income issuances.
        

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。

          ESG assessments for fixed income issuers are shared among the Calvert ESG research team and fixed-income portfolio managers leading to joint interactions and discussions.
        

03.3. 補足情報 [任意]

The responses above reflects Calvert as well as the collaboration of EVM's Investment Grade Fixed Income team.


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)
証券化商品
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。

 

Please see FI 04.3 for the answer

04.3. 補足情報 [任意]

The information in this section reflects Calvert as well as the collaboration of EVM's Investment Grade Fixed Income team.

The Calvert Research System (CRS) is Calvert’s proprietary platform that is optimally engineered to capture multiple sources of ESG data and evaluate information through the perspectives of their ESG analysts' deep ESG expertise. Calvert applys a streamlined investment decision-making process that integrates both financial and sustainability insights and compares companies across these metrics. During the reporting period, Calvert’s team of ESG research analysts led this process and worked closely with fixed income and equity investment analysts to identify the most material ESG factors and data indicators for each sub-industry.

Calvert collaboration of EVM's Investment Grade Fixed Income team uses detailed scoring models that incorporate the best available information to review each potential investment. They then rate and rank companies within their sub-industries and normalize these results to include several relative ESG risk factors, ultimately producing an assessment that reflects both peer-relative and absolute performance in a defined index universe. Only companies that satisfy the team's standards for ESG performance are included in Calvert’s mutual funds and separate accounts that seek to follow the Calvert Principles.

As part of this process, the team bases their investments on the Calvert Principles for Responsible Investment, which encompasses positive screening as well as norms-based screening. These Principles guide the team's selection of companies for all Calvert’s Responsible Indexed investment strategies, and many of their actively managed strategies. They seek to invest in companies that provide positive leadership in the areas of their business operations and overall activities that are material to improving societal outcomes, including those that will affect future generations. Specifically, they address advancing sustainability and resource efficiency; contributing to equitable societies and respecting human rights; and seek accountable governance and building transparency. The applications generally preclude companies with poor ESG performance. Full details can be found at: https://www.calvert.com/the-calvert-principles.php

Additional Information: The Calvert Principles for Responsible Investment take into account norms of the Universal Declaration of Human Rights and the International Labour Organization Conventions as part of their review when assessing a company. Calvert also considers the Treaty on Conventional Armed Forces and UN Register on Convention Arms as part of its analysis for weapons.


FI 05. Examples of ESG factors in screening process

05.1. スクリーニング条件に含まれているESG要因の例を挙げてください。

種類

ESG要因

スクリーニング

スクリーニングの説明

French Green OAT- CUSIP BEV2B6930
 

Issued by French Treasury to support French commitments under the Paris Climate Agreement

This issuance covers a particularly wide array of green projects because it generally supports the French Government's environmental objectives. Broadly it supports renewable energy research, green buildings, low-carbon transportation infrastructure, and natural capital preservation, among other categories.

The governance on this issuance is naturally very strong, and the country's national commitments give confidence that green funds will be impactful:

  • Emit 40% less greenhouse gas emissions by 2030 (1990 Baseline)
  • Reduce final energy consumption 20% by 2030 and 50% by 2050 (2012 Baseline)
  • Reduce fossil fuel consumption by 30% as of 2030 (2012 Baseline)
  • Increase the share of renewables to 40% of electricity generation by 2030

種類

ESG要因

スクリーニング

スクリーニングの説明

Citigroup Inc- CUSIP BEV3B4LX3

This is a part of Citigroup's initiative to lend, invest, and facilitate $100 billion from 2014-2024 towards environmental solutions and activities in an effort to reduce the impact of climate change

Proceeds from Citi's Green Bond Issuances support investments in assets of projects in the following categories:

  • Renewable Energy
  • Energy Efficiency
  • Sustainable Transportation
  • Water Quality & Conservation
  • Green Buildings (included LEED Gold & Platinum)

Recent company impact reporting states 83% of the company's green bond asset portfolio falls under renewable energy, another 11% under sustainable transportation (mass transit in developing countries)

種類

ESG要因

スクリーニング

スクリーニングの説明

Terraform Power Operating LLC- CUSIP 88104LAG8
 Issuer is wholly owned by a yieldco that derives 100% of its revenue from renewable energy generation. The Parent, TerraForm Power Inc, owns and operates 4,066 MW of renewable capacity (58.8% Wind and 41.2% Solar) mainly in the US

The entirety of this issuance was used as cash on hand in the financing of an acquisition deal which provided TerraForm with 930MW of wind power, suggesting that around 142 MW of capacity is attributable to the proceeds raised from this issuance.

05.2. 補足情報 [任意]

The information in this section reflects Calvert as well as the collaboration of EVM's Investment Grade Fixed Income team.


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
基準に基づくスクリーニング​

06.2. 補足情報 [任意]


B) 実施:テーマ

FI 07. Thematic investing - overview

07.1. テーマ投資の割合を示してください。

8.3 %
1.7 %
0.6 %

07.2. テーマ債券投資に対する組織のアプローチについて説明してください。

Please see FI 1.3.

07.3. 補足情報 [任意]


FI 08. Thematic investing - themed bond processes

08.1. グリーン債原則に従ったテーマ債券の発行に関連する透明性や開示を奨励しているかどうか示してください。社会貢献債原則またはサステナビリティ債ガイドライン。

08.2. 発行体が提供文書の記載に従って、債券収益を配分していないときに取るべき対応策を説明してください。

The portfolio manager researches the supporting documentation with the ESG research team and if necessary, engages with the issuer to gather additional information and context. The team will then reassess this information relative to their initial analysis to determine if the security still meets Calvert’s acceptable criteria. If it is determined the security no longer meets their acceptable criteria, the team will liquidate in the best interest of their clients.

The Calvert Green Bond Fund seeks to invest primarily in "green" investments. The Fund has its own definition of "green" investments, which takes a broader approach than the "labelled" green bond market. For "green" project-based investments, they encourage issuers to increase transparency in terms of disclosing the eligibility process for project themes and selection; the process for disbursing proceeds until all funds are allocated; and annual reporting that includes project selection, proceeds allocation, and any impact reporting as available. When an issuer has stated that it will offer annual reporting but it is not readily available, they will contact the issuer to request the reporting for their assessment of the security.

08.3. 補足情報 [任意]

The information in this section reflects Calvert as well as the collaboration of EVM's Investment Grade Fixed Income team.


FI 09. Thematic investing - assessing impact

09.1. 組織のテーマ投資の環境的または社会的影響を評価する方法を示してください。

09.2. 補足情報 [任意]

The information in this section reflects Calvert as well as the collaboration of EVM's Investment Grade Fixed Income 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。

The information in this section reflects Calvert as well as the collaboration of EVM's Investment Grade Fixed Income team.

Once Calvert has defined the investable universe (based on the CRS) for their actively managed portfolios, Calvert performs an integrated relative value assessment of both fundamental and ESG risks at the sector and security selection level. Calvert's relative value framework is predicated upon their belief that ESG factors are most influential on spread performance for companies that exhibit combined outlier fundamental and ESG characteristics, i.e. an overweight stance on companies with both an improving fundamental and ESG profile, and an underweight stance on companies with both a deteriorating fundamental and ESG profile. Therefore, Calvert believes that ESG factors may not affect spread performance when a company's strong (weak) ESG profile is juxtaposed against a weak (strong) fundamental profile.

Credit analysts rely upon the primary research conducted by Calvert's in-house team of ESG Research analysts for ESG reviews and upon their own research. Both teams also leverage a wide variety of external sources, including ESG ratings provided by third party providers, Bloomberg ESG analytics, NGO reports, and the annual U.S. Department of State Country Reports regarding human rights abuses. Other resources include regulatory filings, bond offering documents, websites for companies or other entities issuing securities, and news reports. Credit and ESG research analysts review the material and evaluate the company's ESG profile in the context of our sustainability reviews. During the reporting period, portfolio managers, credit and sustainability analysts had discussions on ESG issues pertinent to specific securities or across sectors through ongoing dialogues as well as more formal meetings. ESG-related research (third party ratings and ESG Research team opinions) was communicated to credit analysts and portfolio managers and stored on an information sharing platform, which acted as a new issue evaluation process.

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

Calvert's credit team rely upon the primary research conducted by its in-house team of ESG Research analysts for ESG reviews and upon their own research. Both teams also leverage a wide variety of external sources, including ESG ratings provided by third party providers, Bloomberg ESG analytics, NGO reports, and the annual U.S. Department of State Country Reports regarding human rights abuses. Other resources include regulatory filings, bond offering documents, websites for companies or other entities issuing securities, and news reports. Credit and ESG research analysts review the material and evaluate the company's ESG profile in the context of our sustainability reviews. During the reporting period, portfolio managers, credit and sustainability analysts had discussions on ESG issues pertinent to specific securities or across sectors through ongoing dialogues as well as more formal meetings. ESG-related research (third party ratings and ESG Research team opinions) was communicated to credit analysts and portfolio managers and stored on an information sharing platform, which acted as a new issue evaluation process.

社債(金融)

Calvert's credit team collaborates with in-house ESG Research analysts to review what ESG themes/metrics may be relevant to a company given its sector, potentially affecting its credit profile and ultimately its valuation. Depending on the sector, the analysts examine ESG factors in the areas of governance and ethics, the environment, supply chain, product safety, human rights, Indigenous People's rights, and community relations-- assessing their potential impact on a company's credit profile and, ultimately, spread performance implications. In the final relative value analysis, the team combine the fundamental and ESG assessments to ascertain whether the security's yield and return profile is commensurate with the risks identified. Calvert assesses the fairness of the valuation for the issuer/security versus its peers, relative to different instruments (including loans, credit default swaps, and credit-equity volatility relationship), and its position along the maturity curve.

社債(非金融)

Calvert's credit team collaborates with in-house ESG Research analysts to review what ESG themes/metrics may be relevant to a company given its sector, potentially affecting its credit profile and ultimately its valuation. Depending on the sector, the analysts examine ESG factors in the areas of governance and ethics, the environment, supply chain, product safety, human rights, Indigenous People's rights, and community relations -- assessing their potential impact on a company's credit profile and, ultimately, spread performance implications. In the final relative value analysis, the team combine the fundamental and ESG assessments to ascertain whether the security's yield and return profile is commensurate with the risks identified. Calvert assesses the fairness of the valuation for the issuer/security versus its peers, relative to different instruments (including loans, credit default swaps, and credit-equity volatility relationship), and its position along the maturity curve.

 

証券化商品

Calvert employs a proprietary matrix to assess ESG risks and opportunities for securitized assets, which include consumer and commercial asset-backed securities (ABS), agency and non-Agency mortgage-backed securities (MBS), and commercial mortgage-backed securities (CMBS). Calvert's matrix is comprised of four broad assessment groups which define materiality and outline categories of research. Assessment groups are based on characteristics of the sponsoring entity (or entities) and collateral type. This guides ESG research analysts, credit analysts, and portfolio managers in determining where the material underlying ESG risks and opportunities lie in a specific securitization. Further research is performed on one or many entities and if necessary, the collateral pool. Calvert's process ensures that all securitized asset holdings meet the Calvert Principles for Responsible Investment.

10.3. 補足情報 [任意]

The information in this section reflects Calvert as well as the collaboration of EVM's Investment Grade Fixed Income team.

 


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 information in this section reflects Calvert as well as the collaboration of EVM's Investment Grade Fixed Income team.


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 information in this section reflects Calvert as well as the collaboration of EVM's Investment Grade Fixed Income team.

Once Calvert has defined the investable universe for their actively managed portfolios, they perform an integrated relative value assessment of both fundamental and ESG risks at the sector and security selection level. Calvert's relative value framework is predicated upon their belief that ESG factors are most influential on spread performance for companies that exhibit combined outlier fundamental and ESG characteristics, i.e. an overweight stance on companies with both an improving fundamental and ESG profile, and an underweight stance on companies with both a deteriorating fundamental and ESG profile. Therefore, Calvert's believe that ESG factors may not affect spread performance when a company's strong (weak) ESG profile is juxtaposed against a weak (strong) fundamental profile.

Credit analysts rely upon the primary research conducted by its in-house team of ESG Research analysts for ESG reviews and upon their own research. Both teams also leverage a wide variety of external sources, including ESG ratings provided by third party providers, Bloomberg ESG analytics, NGO reports, and the annual U.S. Department of State Country Reports regarding human rights abuses. Other resources include regulatory filings, bond offering documents, websites for companies or other entities issuing securities, and news reports. Credit and ESG research analysts review the material and evaluate the company's ESG profile in the context of their sustainability reviews. During the reporting period, portfolio managers, fundamental credit and ESG analysts had discussions on ESG issues pertinent to specific securities or across sectors through ongoing dialogues as well as more formal meetings. ESG-related research (third party ratings and ESG Research team opinions) was communicated to credit analysts and portfolio managers and stored on an information sharing platform, which acted as a new issue evaluation process.

The Investment Grade Fixed Income credit team collaborates with in-house ESG Research analysts to review what ESG themes/metrics may be relevant to a company given its sector, potentially affecting its credit profile and ultimately its valuation. Depending on the sector, the analysts examine ESG factors in the areas of governance and ethics, the environment, supply chain, product safety, human rights, Indigenous People's rights, and community relations-- assessing their potential impact on a company's credit profile and, ultimately, spread performance implications. In the final relative value analysis, Calvert combines the fundamental and ESG assessments to ascertain whether the security's yield and return profile is commensurate with the risks identified. Calvert assess the fairness of the valuation for the issuer/security versus its peers, relative to different instruments (including loans, credit default swaps, and credit-equity volatility relationship), and its position along the maturity curve.

社債(金融)

Once Calvert has defined the investable universe for their actively managed portfolios, they perform an integrated relative value assessment of both fundamental and ESG risks at the sector and security selection level. Calvert's relative value framework is predicated upon their belief that ESG factors are most influential on spread performance for companies that exhibit combined outlier fundamental and ESG characteristics, i.e. an overweight stance on companies with both an improving fundamental and ESG profile, and an underweight stance on companies with both a deteriorating fundamental and ESG profile. Therefore, Calvert's believe that ESG factors may not affect spread performance when a company's strong (weak) ESG profile is juxtaposed against a strong (weak) fundamental profile.

Credit analysts rely upon the primary research conducted by its in-house team of ESG Research analysts for ESG reviews and upon their own research. Both teams also leverage a wide variety of external sources, including ESG ratings provided by third party providers, Bloomberg ESG analytics, NGO reports, and the annual U.S. Department of State Country Reports regarding human rights abuses. Other resources include regulatory filings, bond offering documents, websites for companies or other entities issuing securities, and news reports. Credit and ESG research analysts review the material and evaluate the company's ESG profile in the context of their sustainability reviews. During the reporting period, portfolio managers, fundamental credit and ESG analysts had discussions on ESG issues pertinent to specific securities or across sectors through ongoing dialogues as well as more formal meetings. ESG-related research (third party ratings and ESG Research team opinions) was communicated to credit analysts and portfolio managers and stored on an information sharing platform, which acted as a new issue evaluation process.

The Investment Grade Fixed Income credit team collaborates with in-house ESG Research analysts to review what ESG themes/metrics may be relevant to a company given its sector, potentially affecting its credit profile and ultimately its valuation. Depending on the sector, the analysts examine ESG factors in the areas of governance and ethics, the environment, supply chain, product safety, human rights, Indigenous People's rights, and community relations-- assessing their potential impact on a company's credit profile and, ultimately, spread performance implications. In the final relative value analysis, Calvert combines the fundamental and ESG assessments to ascertain whether the security's yield and return profile is commensurate with the risks identified. Calvert assess the fairness of the valuation for the issuer/security versus its peers, relative to different instruments (including loans, credit default swaps, and credit-equity volatility relationship), and its position along the maturity curve.

社債(非金融)

Once Calvert has defined the investable universe for their actively managed portfolios, they perform an integrated relative value assessment of both fundamental and ESG risks at the sector and security selection level. Calvert's relative value framework is predicated upon their belief that ESG factors are most influential on spread performance for companies that exhibit combined outlier fundamental and ESG characteristics, i.e. an overweight stance on companies with both an improving fundamental and ESG profile, and an underweight stance on companies with both a deteriorating fundamental and ESG profile. Therefore, Calvert's believe that ESG factors may not affect spread performance when a company's strong (weak) ESG profile is juxtaposed against a strong (weak) fundamental profile.

Credit analysts rely upon the primary research conducted by its in-house team of ESG Research analysts for ESG reviews and upon their own research. Both teams also leverage a wide variety of external sources, including ESG ratings provided by third party providers, Bloomberg ESG analytics, NGO reports, and the annual U.S. Department of State Country Reports regarding human rights abuses. Other resources include regulatory filings, bond offering documents, websites for companies or other entities issuing securities, and news reports. Credit and ESG research analysts review the material and evaluate the company's ESG profile in the context of their sustainability reviews. During the reporting period, portfolio managers, fundamental credit and ESG analysts had discussions on ESG issues pertinent to specific securities or across sectors through ongoing dialogues as well as more formal meetings. ESG-related research (third party ratings and ESG Research team opinions) was communicated to credit analysts and portfolio managers and stored on an information sharing platform, which acted as a new issue evaluation process.

The Investment Grade Fixed Income credit team collaborates with in-house ESG Research analysts to review what ESG themes/metrics may be relevant to a company given its sector, potentially affecting its credit profile and ultimately its valuation. Depending on the sector, the analysts examine ESG factors in the areas of governance and ethics, the environment, supply chain, product safety, human rights, Indigenous People's rights, and community relations-- assessing their potential impact on a company's credit profile and, ultimately, spread performance implications. In the final relative value analysis, Calvert combines the fundamental and ESG assessments to ascertain whether the security's yield and return profile is commensurate with the risks identified. Calvert assess the fairness of the valuation for the issuer/security versus its peers, relative to different instruments (including loans, credit default swaps, and credit-equity volatility relationship), and its position along the maturity curve.

証券化商品

Once Calvert has defined the investable universe for their actively managed portfolios, they perform an integrated relative value assessment of both fundamental and ESG risks at the sector and security selection level. Calvert's relative value framework is predicated upon their belief that ESG factors are most influential on spread performance for companies that exhibit combined outlier fundamental and ESG characteristics, i.e. an overweight stance on companies with both an improving fundamental and ESG profile, and an underweight stance on companies with both a deteriorating fundamental and ESG profile. Therefore, Calvert's believe that ESG factors may not affect spread performance when a company's strong (weak) ESG profile is juxtaposed against a weak (strong) fundamental profile.

Credit analysts rely upon the primary research conducted by its in-house team of ESG Research analysts for ESG reviews and upon their own research. Both teams also leverage a wide variety of external sources, including ESG ratings provided by third party providers, Bloomberg ESG analytics, NGO reports, and the annual U.S. Department of State Country Reports regarding human rights abuses. Other resources include regulatory filings, bond offering documents, websites for companies or other entities issuing securities, and news reports. Credit and ESG research analysts review the material and evaluate the company's ESG profile in the context of their sustainability reviews. During the reporting period, portfolio managers, fundamental credit and ESG analysts had discussions on ESG issues pertinent to specific securities or across sectors through ongoing dialogues as well as more formal meetings. ESG-related research (third party ratings and ESG Research team opinions) was communicated to credit analysts and portfolio managers and stored on an information sharing platform, which acted as a new issue evaluation process.

The Investment Grade Fixed Income credit team collaborates with in-house ESG Research analysts to review what ESG themes/metrics may be relevant to a company given its sector, potentially affecting its credit profile and ultimately its valuation. Depending on the sector, the analysts examine ESG factors in the areas of governance and ethics, the environment, supply chain, product safety, human rights, Indigenous People's rights, and community relations-- assessing their potential impact on a company's credit profile and, ultimately, spread performance implications. In the final relative value analysis, Calvert combines the fundamental and ESG assessments to ascertain whether the security's yield and return profile is commensurate with the risks identified. Calvert assess the fairness of the valuation for the issuer/security versus its peers, relative to different instruments (including loans, credit default swaps, and credit-equity volatility relationship), and its position along the maturity curve.

12.3. 補足情報 [任意]

The information in this section reflects Calvert as well as the collaboration of EVM's Investment Grade Fixed Income team.


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