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

Zurich Insurance Group

PRI reporting framework 2017

You are in Strategy and Governance » Implementation not in other modules

Implementation not in other modules

SG 12. ESG issues in strategic asset allocation

New selection options have been added to this indicator. Please review your prefilled responses carefully.

12.1. Indicate if your organisation executes scenario analysis and/or modelling in which the risk profile of future ESG trends at portfolio level is calculated.

12.2. Indicate if your organisation considers ESG issues in strategic asset allocation and/or allocation of assets between sectors or geographic markets.

12.3. Additional information. [OPTIONAL]

The starting point in determining the investment strategy in insurance investment management is asset-liability management (ALM). This first step establishes a portfolio of investments that closely replicates the insurance liabilities, and consists primarily of duration-matched government bonds. This type of minimum-risk portfolio should ensure that market values of assets and liabilities move in line with fluctuations in interest rates.

The optimal mix of asset classes – or in other words, the strategic asset allocation – is then determined. It should offer the highest long-term expected investment return given Zurich’s liabilities, regulatory framework and allocated capital. To make this asset allocation, Group Investment Management distills all investable asset classes into a set of six easily-understandable and transparent risk factors: interest rate risk; credit risk; liquidity risk; equity and commodity risk; and inflation risk. Investment Management then works to determine the best combination of risk factors to maximize the risk-adjusted return for a given amount of capital.

Zurich has found no evidence that ESG issues are associated with a systematic market risk factor that could be reflected in our ALM-based strategic asset allocation process. Consequently, Zurich believes that ESG issues are best reflected at the level of individual security or asset selection.


SG 13. Long term investment risks and opportunity (Not Completed)


SG 14. Allocation of assets to environmental and social themed areas

New selection options have been added to this indicator. Please review your prefilled responses carefully.

14.1. Indicate if your organisation allocates assets to, or manages, funds based on specific environmental and social themed areas.

14.2. Specify which thematic area(s) you invest in, indicate the percentage of your AUM in the particular asset class and provide a brief description.

Area

1.1 % of AUM

Brief description and measures of investment

Through green bonds. See SG 14.3 for additional explanations.

14 % of AUM

Brief description and measures of investment

Through direct real estate investments and through green bonds. See SG 14.3 for additional explanations.

1.1 % of AUM

Brief description and measures of investment

Through green bonds. See SG 14.3 for additional explanations.

1.1 % of AUM

Brief description and measures of investment

Through green bonds. See SG 14.3 for additional explanations.

2.4 % of AUM

Brief description and measures of investment

Through impact private equity funds. See SG 14.3 for additional explanations.

2.4 % of AUM

Brief description and measures of investment

Through impact private equity funds. See SG 14.3 for additional explanations.

0.1 % of AUM

Brief description and measures of investment

Through use-of-proceeds social bonds. See SG 14.3 for additional explanations.

0.1 % of AUM

Brief description and measures of investment

Through use-of-proceeds social bonds. See SG 14.3 for additional explanations.

1.1 % of AUM

Brief description and measures of investment

Through impact private equity funds and green bonds. See SG 14.3 for additional explanations.

14.3. Additional Information [Optional]

          Please see SG 17 for more details on Zurich’s impact investment approach. While Zurich’s themed investments address most options provided in SG 14, the way in which its exposures to themed investments are monitored makes it difficult to provide breakdowns based on the categories provided here. In answering SG 14, a theme was selected if the area is addressed through our impact investments. But percentages were calculated based on the complete ‘themed’ allocation for a given asset class. For example, green bonds in SSA, financial and non-financial fixed income fund clean technologies. We estimate that biggest concentration of projects is in the SSA category. The percentage provided reflects green SSA securities relative to total SSA exposure.
        

SG 15. ESG issues for internally managed assets not reported in framework (Not Applicable)


SG 16. ESG issues for externally managed assets not reported in framework (Not Completed)


Top