This report shows public data only. Is this your organisation? If so, login here to view your full report.

Alberta Investment Management Corporation

PRI reporting framework 2020

Export Public Responses
Pdf-img

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.
SSA
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 (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
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%

01.2. Describe your reasons for choosing a particular ESG incorporation strategy and how combinations of strategies are used.

ESG screening was chosen as it best satisfies the goals and criteria contained within each client's respective statement of investment policy and goals. This document may include geographic or investment grade restrictions. In addition, exclusionary screens are applied to all assets under management as required by AIMCo's Exclusions Guidelines.

AIMCo integrates the analysis of ESG issues into security selection and portfolio construction. Internal credit analysts conduct research and flag ESG issues through a bottom-up analytical approach and access to management.

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:

specify description

          Our internal credit research captures ESG and such issues are flagged through a bottom-up analytical approach and in our discussions with corporate management teams
        

03.2. Describe how your ESG information or analysis is shared among your investment team.

          Our internal research is independently produced by each analyst and is proprietary
        

03.3. Additional information. [Optional]

We employ a holistic approach to ESG. Analysts conduct research and will be the first to detect material ESG issues. They bring these issues to the attention of PMs, with an informed opinion as to the severity of the matter and whether this is sufficient to affect our investment thesis.


(A) Implementation: Screening

FI 04. Types of screening applied

04.1. Indicate the type of screening you conduct.

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

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

All internally managed active corporate fixed income investments undergo screening in accordance with the AIMCo Exclusions Guidelines which covers Excluded Industries and Statutory Investment Restrictions. AIMCo does not invest directly in tobacco manufacturers, or in manufacturers of landmines, nuclear explosive devices or cluster munitions, in accordance with client investment protocols, statutory investment restrictions and international treaties signed by Canada. AIMCo does not invest in high risk geographic areas excluded by the Special Economic Measures Act (Canada) and is subject to the United Nations Act (Canada). Investments that do not meet investment grade criteria are naturally excluded from the investment universe in alignment with client statement(s) of investment policy and goals.

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

other description

          Weekly reconciliations between our IT systems as well as a review of our holdings to determine if any issuers are currently held at AIMCo
        

06.2. Additional information. [Optional]

If a breach of fund screening criteria is identified, the AIMCo compliance department would be notified. The investment would have to be exited by the end of the same fiscal quarter for restricted industries and immediately for statutory investment restrictions.


(C) Implementation: Integration

FI 10. Integration overview

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

The AIMCo Fixed Income team integrates the analysis of ESG issues into security selection and portfolio construction. Internal credit analysts evaluate ESG issues (independent of rating agencies). Our internal credit research will capture ESG factors and such issues are flagged through a bottom-up analytical approach and access to management. ESG information obtained from rating agencies or ESG data providers serves as reference only.

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

SSA

AIMCo's sovereign investments are mainly Canadian federal, provincial, municipal and related entities. Internal credit analysts evaluate sovereign issuers in the context of its financial institutions given that a sovereign issuer's credit is inextricably linked to that of its domestic banking system. AIMCo's Fixed Income team prioritizes analyzing lower rated corporate credits where ESG factors have a larger impact. Governance issues for municipal and quasi sovereign credits (e.g. universities, school boards, hospitals, transportation authorities) are considered more frequently.

Corporate (financial)

The AIMCo Fixed Income team integrates the analysis of ESG issues into security selection and portfolio construction. Our internal credit research will capture ESG. Such issues are flagged through a bottom-up analytical approach and access to management. These issues are incorporated into our internal notional ratings which portfolio managers use to select securities and construct portfolios.

Corporate (non-financial)

The AIMCo Fixed Income team integrates the analysis of ESG issues into security selection and portfolio construction. Our internal credit research will capture ESG. Such issues are flagged through a bottom-up analytical approach and access to management. These issues are incorporated into our internal notional ratings which portfolio managers use to select securities and construct portfolios.  

Securitised

The AIMCo Fixed Income team integrates the analysis of ESG issues into security selection and portfolio construction. Our internal credit research will capture ESG. Such issues are flagged through a bottom-up analytical approach and access to management. These issues are incorporated into our internal notional ratings which portfolio managers use to select securities and construct portfolios. ESG risks are evaluated to the extent that such risks affect servicers, counterparties or specific obligors.

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
SSA
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
SSA

Environmental

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.

SSA

AIMCo's sovereign investments are mainly Canadian federal, provincial, municipal and related entities. Internal credit analysts evaluate sovereign issuers in the context of its financial institutions given that a sovereign's credit is inextricably linked to that of its domestic banking system. AIMCo's Fixed Income team prioritizes analyzing lower rated corporate credits where ESG factors have a larger impact. Governance issues for municipal and quasi sovereign credits (e.g. universities, school boards, hospitals, transportation authorities) are considered more frequently. Environmental and Social issues are typically reviewed when contingent liabilities are present.

Corporate (financial)

We integrate the analysis of governance issues into our security selection and portfolio construction. Internal credit analysts develop independent notional ratings and evaluate governance issues for the corporate bond issuers in our investing universe. Examples of typical governance issues include:

1) Board independence and oversight of CEO;

2) Level and nature of executive compensation (alignment of incentives); and

3) Independence of audits and quality of internal controls.

AIMCo also considers the advice of rating agencies on governance issues (e.g. S&P). Environmental and Social issues are evaluated on a case by case basis if relevant to an individual issuer (e.g. potential environmental remediation or labour issues and their related impact).

Corporate (non-financial)

We integrate the analysis of governance issues into our security selection and portfolio construction. Internal credit analysts develop independent notional ratings and evaluate governance issues for the corporate bond issuers in our investing universe. Examples of typical governance issues include:

1) Board independence and oversight of CEO;

2) Level and nature of executive compensation (alignment of incentives); and

3) Independence of audits and quality of internal controls.

AIMCo also considers the advice of rating agencies on governance issues (e.g. S&P). Environmental and Social issues are evaluated on a case by case basis if relevant to an individual issuer (e.g. potential environmental remediation or labour issues and their related impact).

Securitised

We integrate the analysis of ESG issues into our security selection and portfolio construction. Internal credit analysts develop independent notional ratings and evaluate ESG risks to the extent that such risks affect servicers, counterparties or specific obligors.

12.3. Additional information.[OPTIONAL]


Top