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Alberta Investment Management Corporation

PRI reporting framework 2020

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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
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(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
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%

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。

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. 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。

具体的に記載してください

          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. 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。

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

03.3. 補足情報 [任意]

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) 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。

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. 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​

その他

          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. 補足情報 [任意]

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) 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 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. 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

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.

社債(金融)

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.

社債(非金融)

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.  

証券化商品

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. 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

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.

社債(金融)

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).

社債(非金融)

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).

証券化商品

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. 補足情報 [任意]


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