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California Public Employees' Retirement System CalPERS

PRI reporting framework 2019

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

(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

We primarily use the integration strategy as it is consistent with our portfolio objective, which is to outperform our benchmark index while maintaining a high level of diversification within a risk-controlled environment. Integration of risk factors, including ESG risks where material, have always been a part of our credit analysis.

 

The primary reason we use the screening strategy is because of decisions made by our governing body which has excluded investments in the following: tobacco, firearms, thermal coal, Sudan and Iran

04.3. Additional information. [Optional]


FI 05. Examples of ESG factors in screening process

05.1. Provide examples of how ESG factors are included in your screening criteria.

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

Tobacco Screen: the tobacco screen applies to those firms with more than 51% of revenue, operating income or assets derived from or committed to the tobacco industry

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

CalPERS is prohibited from investing in compaines with specified business activities in Iran, per the California Publice Divest from Iran Act

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

CalPERS is prohibited from investing in companies with specified business activities in Sudan, per
the California Public Divest from Sudan Act

 

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

CalPERS is required to identify, engage, and potentially divest from companies meeting the definition of "thermal coal companies" as identified by the California Public Divestiture of Thermal Coal Companies Act

05.2. Additional information.


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?

06.2. Additional information. [Optional]


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