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Sompo Asset Management Co., Ltd.

PRI reporting framework 2019

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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income » (C) Implementation: Integration

(C) Implementation: Integration

FI 10. Integration overview

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

In the past, we have been analyzing corporates' credits based on their financial data. Specifically, using ”Credit Spread model” that we create, we score credit risks based on their financial data. And we measure corporates’ credit risks according to the score. Judging from several factors, we score credit risks based on their financial data and we create our own original credit spread model. In addtion to the above traditional original approach, we have started to utilise ESG scores provided by our group ESG research company, Sompo Risk Management Inc..

Firstly, we calcurate ESG score based on ESG data provided by our group ESG research company for ESG integration. Secondly, We add the ESG score to a score derived from credit spread model. Through this ESG integaration, we can get the credit evaluation for our investment. We add the score we receive from the company to the score we get from our own credit spread model. Through this ESG integaration, we get the credit evaluation for our investment .

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

Corporate (financial)

The way we integrate ESG into our investment is the same as FI10.1.

Corporate (non-financial)

The way we integrate ESG into our investment is the same as FI10.1.

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
Corporate (financial)
Corporate (non-financial)
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

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
Corporate (financial)

Environmental

Social

Governance

Corporate (non-financial)

Environmental

Social

Governance

12.2. Please provide more detail on how you review E, S and/or G factors in your integration process.

Corporate (financial)

Our ESG research group company, Sompo Risk Management Inc., evaluates companies in respect of Environment, Social and Governance in each category.

We think that Governance is an especially important factor to consider among all the ESG element for fixed income investment. Thus, we place more weight on the governance score. For only high ranking corporation, we integrate ESG factor into the financial analysis through adding ESG score to the evaluation that we gained from the financial analysis. 

Corporate (non-financial)

Our ESG research group company, Sompo Risk Management Inc., evaluates companies in respect of Environment, Social and Governance in each category.

We think that Governance is an especially important factor to consider among all the ESG element for fixed income investment. Thus, we place more weight on the governance score. For only high ranking corporation, we integrate ESG factor into the financial analysis through adding ESG score to the evaluation that we gained from the financial analysis. 

12.3. Additional information.[OPTIONAL]


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