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Lord Abbett

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
99 統合のみ
1 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
99 統合のみ
1 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
99 統合のみ
1 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。

Lord Abbett has maintained a singular focus on the management of money since its founding in 1929. As a firm that is investment-led and investor-focused, we evaluate every decision from an investment perspective in our efforts to achieve superior, long-term, risk-adjusted performance on behalf of our clients. We take seriously our fiduciary responsibility in helping our clients meet their investment objectives, and we believe sustainability can have a tangible impact on an investment’s risk profile and its ability to generate returns over the long term; therefore, we take Environmental, Social and Governance (“ESG”) factors into consideration in our investment analysis. We also believe a responsible investment approach can result in positive impact beyond the financial return of a particular security and, thus, we believe that ESG integration can serve investors at large over the long term.

01.3. 補足情報 [任意]


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]


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(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。

Lord Abbett utilizes screening strategies when required by client-imposed guidelines. The client will typically provide a list of restricted securities or general criteria, which will be incorporated into the investment management guidelines for that particular separate account. 

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​

06.2. 補足情報 [任意]


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。

Lord Abbett has maintained a singular focus on the management of money since its founding in 1929. As a firm that is investment-led and investor-focused, we evaluate every decision from an investment perspective in our efforts to achieve superior, long-term, risk-adjusted performance on behalf of our clients. We take seriously our fiduciary responsibility in helping our clients meet their investment objectives, and we believe sustainability can have a tangible impact on an investment’s risk profile and its ability to generate returns over the long term; therefore, we take Environmental, Social and Governance (“ESG”) factors into consideration in our investment analysis. We also believe a responsible investment approach can result in positive impact beyond the financial return of a particular security and, thus, we believe that ESG integration can serve investors at large over the long term.

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

When performing research on a particular issuer within the SSA category, our credit analysts provide a bottom-up credit view that includes traditional analysis as well as ESG data from Sustainalytics and their views on ESG factors. Investing in the SSA segment has always required significant analysis of factors such as governance, board structure, inter-related transactions, product governance, and many more. Thus, our analysts constantly engage with companies and sovereign issuers on ESG issues as part of their regular management discussions. ESG information may impact weightings in particular securities, industries, or sectors within our portfolios. In each instance, the extent to which ESG information influences portfolio construction will be determined by our fundamental views and the extent to which we believe the integration of such information will help us realize our clients' investment objectives. 

For municipal bond funds, we utilize a proprietary scoring system to rank each obligor. In developing this approach, we have identified approximately 80 explicit factors within the scope of environmental, social and governance, which are evaluated based upon materiality within particular sectors. Credit Analysts then use this information to formulate a single ESG score for each obligor. The team meets monthly to review these inputs, ratings and best practices in an effort to neutralize the inherent subjectivity of the process and facilitate greater consistency among scoring across sectors. 

社債(非金融)

When performing research on a particular issuer within the Corporate (non-financial) category, we look for qualities that will translate directly to alpha generation for our clients. Certain industry and company dynamics may be considered as we evaluate investment opportunities within various sectors. For example, within Corporates, ESG factors are integrated in different ways. During our process of researching chemical companies, environmental factors are routinely considered as the regulatory construct may restrict certain practices. In the event these practices are violated by a corporation, the entity may be forced to pay fines or undertake other remedial measures, thereby resulting in a potentially negative financial impact on the company.  

証券化商品

When performing research on a particular issuer within the Securitized category, our team will use Sustainalytics in order to obtain an ESG score for all corporate entities within the securitized products market – including the issuer, sponsor and servicer. Our goal is to identify factors with regards to ESG issues while conducting fundamental research on securities or deals.

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(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(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

With regard to ESG integration within emerging markets sovereign bonds, our portfolio managers assess historical data and evaluate the trajectory of numerous variables for each country under consideration. These variables include, but are not limited to, climate change resilience, greenhouse emissions, renewable energy usage, GDP per unit of energy, gender equality, women labor participation, literacy rate, ease of doing business, rule of law, regulatory, and political stability.

Our portfolio managers incorporate ESG risk factor discussions into the broader bottom-up sovereign risk assessment which includes traditional financial and macroeconomic variables. In an effort to identify all risks associated with a particular emerging market sovereign issuer and assess claims-paying ability, we conduct an in-depth analysis of the country’s political and economic environment, as well as any historical, current, or future structural reforms that have the potential to significantly impact the country’s creditworthiness and standing in international financial markets.

For municipal bond funds, we utilize a proprietary scoring system to rank each obligor. In developing this approach, we have identified approximately 80 explicit factors within the scope of environmental, social and governance, which are evaluated based upon materiality within particular sectors. Credit Analysts then use this information to formulate a single ESG score for each obligor. The team meets monthly to review these inputs, ratings and best practices in an effort to neutralize the inherent subjectivity of the process and facilitate greater consistency among scoring across sectors.          

社債(非金融)

With regard to ESG integration within our emerging markets corporate debt strategy, our credit analysts provide bottom-up credit opinions including their views on ESG factors. Additionally, we subscribe to in-depth ESG research by Sustainalytics. This research is a supplemental aspect of our research process and is integrated into our proprietary credit analytics platforms. Our analysts constantly engage with companies on ESG issues as part of their management discussions. During the investment process, our portfolio managers will overlay each country’s sovereign bottom-up and ESG view when considering a corporate issuer for inclusion in our portfolio. We seek to utilize our rigorous and extensive research process in the pursuit of outperformance and to calibrate the overall risk of our portfolios, supplemented further by our quantitative models which incorporate ESG factors

When performing research on a particular issuer within the Corporate (non-financial) category, we look for qualities that will translate directly to alpha generation or risk mitigation for our clients. Certain industry and company dynamics may be considered as we evaluate investment opportunities within various sectors. For example, within Corporates, ESG factors are integrated in different ways. During our process of researching chemical companies, environmental factors are routinely considered as the regulatory construct may restrict certain practices. In the event these practices are violated by a corporation, the entity may be forced to pay fines or undertake other remedial measures, thereby resulting in a potentially negative financial impact on the company.  

証券化商品

Within the asset-backed securities sector, one thematic example of our engagement and integration approach is our avoidance of issuers with social or governance concerns. We avoid bad actors that mislead consumers and avoid lenders that charge up-front origination fees to borrowers as a primary driver of profit. In terms of governance, we require all of our subprime auto lenders to disclose financials and we perform a Consumer Financial Protection Bureau (CFPB) check. We make sure all lenders are in good standing and have no “Truth in Lending” violations or outstanding lawsuits.

12.3. 補足情報 [任意]

For municipal bond funds, we utilize a proprietary scoring system to rank each obligor. In developing this approach, we have identified approximately 80 explicit factors within the scope of environmental, social and governance, which are evaluated based upon materiality within particular sectors. Credit Analysts then use this information to formulate a single ESG score for each obligor. The team meets monthly to review these inputs, ratings and best practices in an effort to neutralize the inherent subjectivity of the process and facilitate greater consistency among scoring across sectors.


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