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Metzler Asset Management GmbH

PRI reporting framework 2019

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ESG incorporation in actively managed fixed income

Implementation processes

FI 01. Incorporation strategies applied

Indicate (1) Which ESG incorporation strategy and/or combination of strategies you apply to your actively managed fixed income investments; and (2) The proportion (+/- 5%) of your total actively managed fixed income investments each strategy applies to.
Corporate (financial)
0 Screening alone
0 Thematic alone
0 Integration alone
100 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%
Corporate (non-financial)
0 Screening alone
0 Thematic alone
0 Integration alone
100 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%
Securitised
0 Screening alone
0 Thematic alone
0 Integration alone
100 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%

01.2. Describe your reasons for choosing a particular ESG incorporation strategy and how combinations of strategies are used.

For all of the above fixed-income investments, exclusionary screening is applied based on 120 international norms and conventions. The data stems mostly from MSCI ESG Research. In cases of "very severe controversies", i.e. serious infringements of these standards, companies are excluded from our investment universe. Upon client request, we also take other aspects into account in the investment process, such as conclusions drawn from data provided by ISS-oekom.
ESG integration is a specific strategy for more sustainable investments aimed at improving fund performance by integrating sustainability aspects into the traditional investment analysis process.

01.3. Additional information [Optional].


FI 02. ESG issues and issuer research (Private)


FI 03. Processes to ensure analysis is robust

03.1. Indicate how you ensure that your ESG research process is robust:

03.2. Describe how your ESG information or analysis is shared among your investment team.

03.3. Additional information. [Optional]


(A) Implementation: Screening

FI 04. Types of screening applied

04.1. Indicate the type of screening you conduct.

Select all that apply
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

For all corporate-bond investments, exclusionary screening is applied based on 120 international norms and conventions. The data stems mostly from MSCI ESG Research. In cases of "very severe controversies", i.e. serious infringements of these standards, companies are excluded from our investment universe.
Upon client request, we also take other aspects into account in the investment process, such as negative/best-in-class screenings drawn from data provided by ISS-oekom. 

04.3. Additional information. [Optional]


FI 05. Examples of ESG factors in screening process (Private)


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?
Positive/best-in-class screening
Norms-based screening

06.2. Additional information. [Optional]

The Fund Risk Controlling department is implementing and controlling client-specific, contractual, legal and internal restrictions. There are ex-post as well as ex-ante controlling processes.
With MIG21 (GX Compliance) we possess an automatic controlling system to check the compliance of legal, contractual, client specific and internal restrictions. Such controlling is carried out ex ante that means before the order for the particular mandate is placed in the market by the Trading Desk. In addition, we conduct a daily ex-post compliance check of our holdings with the applicable restrictions. Therefore, it is nearly impossible, that violations of investment guidelines occur. If violations occur, they will be displayed to portfolio management automatically via MIG21 (GX Compliance). The portfolio manager is obliged to comment on any guideline breaches and to take immediate action to correct the violation. In case of breaches of contractual constraints due to market movements, we discuss with the client how to proceed, keeping the best interest of our clients in mind. Fund Risk Controlling is monitoring this process.
Depending on the significance of the breaches, managing directors are informed as well. Our escalation procedures are clearly defined within our organizational handbook.


(C) Implementation: Integration

FI 10. Integration overview

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

ESG integration is a specific strategy for more sustainable investments aimed at improving fund performance by integrating sustainability aspects into the traditional investment analysis process.
For example, we evaluate the economic impact of the following aspects on a company's business success:

  • ESG scores issued by MSCI ESG Research
  • Sector-specific key performance indicators (KPIs)
  • ESG aspects of company business models. 

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

Corporate (financial)

Our approach is the same for Corporate (financial), Corporate (non-financial) and Securitised.

Corporate (non-financial)

Our approach is the same for Corporate (financial), Corporate (non-financial) and Securitised.

Securitised

Our approach is the same for Corporate (financial), Corporate (non-financial) and Securitised.

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)
Securitised
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

Securitised

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 approach is the same for Corporate (financial), Corporate (non-financial) and Securitised.
The integration of sustainability criteria takes place throughout the entire investment process. The main goal here is to avoid exposure to material risks, while at the same time enhancing performance over the long term. 

Corporate (non-financial)

Our approach is the same for Corporate (financial), Corporate (non-financial) and Securitised.

Securitised

Our approach is the same for Corporate (financial), Corporate (non-financial) and Securitised.

12.3. Additional information.[OPTIONAL]


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