The combination of screening and integration of ESG factors is a critical component to identifying and managing the credit risk associated with our fixed income holdings. Screening from our vendors provides an initial high level overview of ESG issues with specific issuers. As we delve deeper into potential investment opportunities integration becomes a more critical component of our process and allows us to identify further issues that are sometimes missed by the initial screening.
For mortgage holdings, we have developed a risk rating process that incorporates ESG factors as a contributor to the evaluation and pricing methodologies when identifying and managing credit risk. This process continues to evolve as new information becomes available. Integration of new strategies are tested and reviewed before implementation.