ICAV (UCITS compliant)

L&G ESG Emerging Markets Government Bond (Local Currency) Index Fund

ISIN

Price95.97p

As at22 Oct 2021

Price98.62c

As at22 Oct 2021

Price87.45c

As at22 Oct 2021

Price96.86c

As at22 Oct 2021

Price91.80p

As at22 Oct 2021

Price99.08c

As at22 Oct 2021

Price96.85p

As at22 Oct 2021

Price99.72c

As at22 Oct 2021

Price100.54c

As at22 Oct 2021

Price97.03p

As at22 Oct 2021

Price100.17c

As at22 Oct 2021

Price98.57c

As at22 Oct 2021

Fund facts

Fund size
$1,222.4m
Base currency
USD
Launch date
31 Jan 2019
Domicile
Ireland
Share class launch

7 Jun 2019

11 Jun 2020

21 Mar 2019

13 Dec 2019

21 Mar 2019

31 Oct 2019

31 Jan 2019

27 Mar 2020

12 Apr 2019

4 Mar 2019

10 Apr 2019

2 Jul 2019

Statistics

Modified duration
5.10 years
Gross redemption yield (unhedged)
5.09%

As at 30 Sep 2021

Fund aim

The investment objective of the Fund is to provide investors with a return in line with the Emerging Markets government bond market, as represented by the JPMorgan ESG GBI-EM Global Diversified Local Currency Index (the “Index”).

Benchmark

JPMorgan ESG GBI-EM Global Diversified Local Currency Index

What does it invest in? Invests primarily in bonds issued in the relevant national currency by governments of developing countries as determined by the index. These bonds will be a mixture of sub-investment grade (higher risk), investment grade (lower risk) and non-rated bonds. The index includes only bonds that meet the index provider’s socially responsible investing (“SRI”) requirements and environmental, social and governance (“ESG”) rating criteria. The Fund may also use derivatives.
How does it invest? Passively managed, aiming to replicate the performance of the index.
Does it promote sustainability characteristics? The Fund promotes a range of environmental and social characteristics which are met by tracking the Index. Further information on how such characteristics are met by the Fund can be found in the Fund Supplement.

Performance

Source: Lipper

Performance (%)

Change

Performance summary (%)

To month-end
To quarter-end

As at 30 Sep 2021

Cumulative	Fund
1 month	-1.90
6 months	1.02
Year to date	-2.14
3 years	-
5 years	-
Since launch	-6.13

Annualised	Fund
1 year	2.57
3 years	-
5 years	-
Since launch	-3.45

As at 30 Sep 2021

Cumulative	Fund
Quarterly	-1.43
Year to date	-2.14
3 years	-
5 years	-
Since launch	-6.13

Annualised	Fund
1 year	2.57
3 years	-
5 years	-
Since launch	-3.45

Rolling 12-month performance

Calendar year performance

Monthly performance

Annualised performance

Rolling 12-month performance to last quarter end (%)

12 months to 30 September	2017	2018	2019	2020	2021
Fund	-	-	-	-	2.57

Calendar year performance (%)

	2016	2017	2018	2019	2020
Fund	-	-	-	-	-4.99

Monthly performance (%)

To month-end
To quarter-end

Annualised performance (%)

	1 year	3 years	5 years	Since launch
Fund	2.57	-	-	-3.45

Annualised performance (%)

	1 year	3 years	5 years	Since launch
Fund	2.57	-	-	-3.45

Performance for the C EUR (Unhedged) Acc unit class in EUR, launched on 07 June 2019. Source: Lipper. Performance assumes all fund charges have been taken and that all income generated by the investments, after deduction of tax, remains in the fund.

Past performance is not a guide to the future.

Performance for the C GBP (Unhedged) Acc unit class in GBP, launched on 11 June 2020. Source: Lipper. Performance assumes all fund charges have been taken and that all income generated by the investments, after deduction of tax, remains in the fund.

Past performance is not a guide to the future.

Performance for the I EUR (Unhedged) Acc unit class in EUR, launched on 21 March 2019. Source: Lipper. Performance assumes all fund charges have been taken and that all income generated by the investments, after deduction of tax, remains in the fund.

Past performance is not a guide to the future.

Performance for the I EUR (Unhedged) Inc unit class in EUR, launched on 13 December 2019. Source: Lipper. Performance assumes all fund charges have been taken and that all income generated by the investments, after deduction of tax, remains in the fund.

Past performance is not a guide to the future.

Performance for the I GBP (Unhedged) Acc unit class in GBP, launched on 21 March 2019. Source: Lipper. Performance assumes all fund charges have been taken and that all income generated by the investments, after deduction of tax, remains in the fund.

Past performance is not a guide to the future.

Performance for the I USD Acc unit class in USD, launched on 31 October 2019. Source: Lipper. Performance assumes all fund charges have been taken and that all income generated by the investments, after deduction of tax, remains in the fund.

Past performance is not a guide to the future.

Performance for the K EUR (Unhedged) Acc unit class in EUR, launched on 31 January 2019. Source: Lipper. Performance assumes all fund charges have been taken and that all income generated by the investments, after deduction of tax, remains in the fund.

Past performance is not a guide to the future.

Performance for the K EUR (Unhedged) Inc unit class in EUR, launched on 27 March 2020. Source: Lipper. Performance assumes all fund charges have been taken and that all income generated by the investments, after deduction of tax, remains in the fund.

Past performance is not a guide to the future.

Performance for the K GBP (Unhedged) Acc unit class in GBP, launched on 12 April 2019. Source: Lipper. Performance assumes all fund charges have been taken and that all income generated by the investments, after deduction of tax, remains in the fund.

Past performance is not a guide to the future.

Performance for the Z EUR (Unhedged) Acc unit class in EUR, launched on 04 March 2019. Source: Lipper. Performance assumes all fund charges have been taken and that all income generated by the investments, after deduction of tax, remains in the fund.

Past performance is not a guide to the future.

Performance for the Z GBP (Unhedged) Acc unit class in GBP, launched on 10 April 2019. Source: Lipper. Performance assumes all fund charges have been taken and that all income generated by the investments, after deduction of tax, remains in the fund.

Past performance is not a guide to the future.

Performance for the Z USD Acc unit class in USD, launched on 02 July 2019. Source: Lipper. Performance assumes all fund charges have been taken and that all income generated by the investments, after deduction of tax, remains in the fund.

Past performance is not a guide to the future.

Portfolio

As at 30 Sep 2021. All data source LGIM unless otherwise stated. Totals may not sum due to rounding. In order to minimise transaction costs, the Fund will not always own all the assets that constitute the index and on occasion it will own assets that are not in the index.

PLN	9.9
IDR	9.9
MXN	8.8
THB	8.1
BRL	7.7
MYR	7.6
ZAR	7.5
RUB	7.3
CZK	7.2
Other	26.0

Years to maturity (%)

	0 - 5 Years	45.6
	5 - 10 Years	33.5
	10 - 15 Years	11.0
	15 - 20 Years	5.6
	20 - 25 Years	1.9
	25 - 30 Years	2.3
	Not Classified	0.2

AA	6.8
AA-	0.4
A+	4.6
A	22.0
BBB+	0.2
BBB	48.7
BBB-	0.4
BB	15.7
B+	0.6
Other	0.6

	Top 10 holdings	11.9
	Rest of portfolio	88.1

Top 10 holdings (%)

Brazil 0% 2024	1.9
South Africa Gov Bond 10.5% 21-Dec-2026	1.4
Poland 2.5% 25-Jul-2026	1.2
Poland 2.5% 25-Jan-2023	1.2
Czech Republic Gov Bond 0.45% 2023	1.1
Mexico Bonos 7.5% 2027	1.0
Brazil 0% 01 Jul 2023	1.0
Brazil 10.0% 01 Jan 2027	1.0
Brazil 10.0% 01 Jan 2025	1.0
South Africa Gov Bond 8% 2030	1.0

Country (%)

	Poland	9.9
	Indonesia	9.9
	Mexico	8.8
	Thailand	8.1
	Brazil	7.7
	Malaysia	7.6
	South Africa	7.5
	Russia	7.3
	Czech Republic	7.2
	Other	26.0

Sustainability

Sustainability disclosures

The Sustainable Finance Disclosure Regulation (SFDR) is an EU regulation that came into force on 10 March 2021, and imposes disclosure requirements for EU financial products. These requirements include disclosing sustainability-related information for funds that (i) promote (among other characteristics) environmental or social characteristics (Article 8 products), or (ii) have a sustainable investment objective (Article 9 products), both as defined under SFDR.

SFDR categorisation: Article 8Article 8: These funds promote environmental and/or social characteristics

Environmental and social characteristics
Pre-contractual disclosure

The Fund promotes a range of environmental and social characteristics as described below. These are met by tracking the Index which applies:

Stock selection

Carbon intensity

Future World Protection List

Climate Impact Pledge

Exclusions

Issuers are excluded from the index based on the below criteria, as determined by J.P. Morgan:

Issuers with revenue from the Thermal Coal sector
Issuers not in compliance with UN Global Compact principles
Issuers with J.P. Morgan (JESG) scores less than 20, these issuers are not eligible for index re-inclusion for 12 months
Issuers associated to tobacco or weapons industries are also excluded

Tilting

The Index applies JESG issuer scores to adjust the market value of index constituents from the baseline J.P. Morgan GBI-EM Global Diversified index. JESG issuer scores are a 0-100 percentile rank calculated based on normalized raw ESG scores from third-party research providers, including Sustainalytics and RepRisk. An issuer’s finalized JESG score incorporates a 3-month rolling average. Quasi-Sovereign issuers with no coverage from either third-party research provider default to their sovereign JESG score. The JESG scores are divided into five bands that are used to scale each issue’s baseline index market value, with the band rebalance occurring on a quarterly basis.

JESG Score Bands Scalar

Band 1: Score > 80 1.00

Band 2: 60 < Score <= 80 0.80

Band 3: 40 < Score <= 60 0.60

Band 4: 20 < Score <= 40 0.40

Band 5: Score <= 20 0.00

Issuers in Band 5 will be excluded from the index and will not be eligible for twelve months. If an instrument is categorized as a “green bond” by the Climate Bonds Initiative, the security will receive a one-band upgrade. Green bonds upgrades may happen intra quarter. Green bonds by issuers already in Band 1 will not receive any further upgrades.

Green bonds are bonds which are created to fund projects that have positive environmental and/or climate benefits.

Further information on the index methodology can be found on the J.P. Morgan website.

Paris-aligned benchmark optimisation

ESG integration

The Index Provider, J.P. Morgan, determines the constituents of the Index. The Index Provider uses external data sources.

Courtesy of J.P. Morgan Securities LLC, Copyright 2021

Further information on the index methodology can be found at: https://www.jpmorgan.com/insights/research/index-research/composition-docs

The above information in respect of the Index has been derived by us from methodologies, statements and disclosures of the index provider for purposes of satisfying our disclosure requirements under SFDR. The information is, therefore, not the property of LGIM and is provided “as is” and “as available”. We seek to ensure the information in respect of the Index is up to date, however there is no guarantee or representations made as to the accuracy or completeness of the information at all times. On that basis, and to the maximum extent permitted by law, no liability is accepted by us in respect of this information.

A description of the extent to which the environmental and social characteristics are met will likely be made available as part of the annual report published in 2022 as required by SFDR. The Fund’s most recent annual report does not include any information pursuant to SFDR.

Pre-contractual disclosure

The Fund promotes a range of environmental and social characteristics. The characteristics promoted by the Fund are met by tracking an Index that (i) excludes issuers with revenue from thermal coal and United Nations Global Compact violators, as determined by the Index providers methodology, (ii) positively tilts towards issuers ranked higher on ESG criteria and green bond issues and (iii) underweights and excludes lower ranking issuers. The Index is consistent with the environmental and social characteristics of the fund by providing exposure to such securities of issuers in accordance with the Index methodology as set out above.

The Investment Manager aims to ensure that (where applicable) the issuers in which the Fund is invested follow good governance practices by 1) setting its expectations with issuers' management with regard to good governance practices; 2) actively engaging with the issuers; and 3) supporting policymakers and legislators to ensure there is strong regulation and standards. Active engagement with the issuers is used as a tool to drive progress and influence positive change and is conducted independently and in collaboration with industry peers and broader stakeholders. Engagement activities normally focus on specific material ESG issues and involve formulating an engagement strategy with regard to such issues with the aim to track and review the progress of the issuers during this process. The Investment Manager also provides regular reporting on the outcomes of its engagement. This can be made available on request or can be found at: www.lgim.com.

Governance practices

The ways in which we ensure that investee companies follow good governance practices are set out below.

Setting expectations

A number of policies and processes guide the engagement activities, set out the approach to investment stewardship, and outline the expectations of investee issuers. The Global Corporate Governance and Responsible Investment Principles set out the approach and expectations with respect to key topics that are essential for an efficient governance framework, and for building a sustainable business model. We expect all issuers on a global scale to closely align with our principles which set out the fundamentals of corporate governance. We also take into account market specificities and take a tailored approach to voting on some topics in various markets. Further related policies can be found on the Investment Stewardship section of the LGIM website.

Active engagement

Active engagement with the issuers is used as a tool to drive progress and influence positive change and is conducted independently and in collaboration with industry peers and broader stakeholders. Engagement activities normally focus on specific material ESG issues and involve formulating an engagement strategy with regard to such issues with the aim to track and review the progress of the issuers during this process.

Voting

Supporting policymakers and legislators

LGIM's Investment Stewardship team actively engages with policy makers and legislators to ensure there is strong regulation and standards in regards to governance practices.

Management Team

The Index Fund Management team comprises 25 fund managers, supported by two analysts. Management oversight is provided by the Global Head of Index Funds. The team has average industry experience of 15 years, of which seven years has been at LGIM, and is focused on achieving the equally important objectives of close tracking and maximising returns.

LGIMIndex Fund Management Team

Literature

Fact sheets

2021Change date

Legal documents

UK EMT costs and charges

European EMT costs and charges

Incorporation Document

First Addendum to Prospectus

Second Addendum to Prospectus (German) (German)

Report and accounts

2021Change year

Annual Report and Accounts

Annual Report and Accounts

Annual Report and Accounts

Annual Report and Accounts

Interim Report and Accounts

Interim Report and Accounts

Interim Report and Accounts

Trading information

Non-Trading Days

Prices