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Altrafin Group

PRI reporting framework 2020

You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income

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.
SSA
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 (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%

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

The ESG strategy is based on a negative/exclusionary screening list and on a ratings regime based on third party data and a self-developed analysis tool of that data incorporating environmental, social and governance factors.

The leading analyst is responsible to comply with the ESG regime and only suggest securities that match the ESG criteria set out. The PM will have the final call and is ultimately responsible for the security selection, also regarding ESG. The risk management function checks constantly that only securities that match the criteria are part of the portfolios.

The ESG strategy and criteria are the same for each security and do not differ by country, region, sector, etc.

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:

specify description

          In-House ESG research is undertaken by the leading analyst before an Investments and ad-hoc if deemed necessary using all publicly available sources.
        

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
SSA
Corporate (financial)
Corporate (non-financial)
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

04.2. Describe your approach to screening for internally managed active fixed income

Excluded from a direct investment are companies that violate international standards or local laws regarding heavy discrimination, child labour, corruption, human rights violations, pornography and forced labour.

Altrafin Group also follows the applicable exclusion lists regarding sanctions against countries, companies and individuals.

The screening process is continuously performed.

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

other description

          Audits of fund holdings are undertaken yearly by risk management as well
        
Positive/best-in-class screening

other description

          Audits of fund holdings are undertaken yearly by risk management as well
        

06.2. Additional information. [Optional]


(C) Implementation: Integration

FI 10. Integration overview

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

Altrafin has integrated ESG factors (incl. screening + integration) into the investment process.

The leading analyst is responsible to comply with the ESG regime and only suggest securities that match the ESG criteria set out. The PM will have the final call and is ultimately responsible for the security selection, also regarding ESG. The risk management function does check constantly that only securities that match the criteria are part of the portfolios.

The ESG strategy and criteria are the same for each security and do not differ by country, region, sector, etc.

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

SSA

Altrafin only invests in this type of assets from the Western Europe, North America, Japan ans Australia, New Zealand. These are the most developed regions in the world.

 

Corporate (financial)

There is no adaptation of the process. The investment team has to follow the identical process regarding ESG for equities and fixed income. The exception is SSA fixed income.

Corporate (non-financial)

There is no adaptation of the process. The investment team has to follow the identical process regarding ESG for equities and fixed income. The exception is SSA fixed income.

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
SSA
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 in Additional Information

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
SSA

Environmental

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.

SSA

In this areas Altrafin mainly considers G as a factors. Due to the lack of data in teh other areas and the fact that Altrafin only invests in Western Europe, North America, Japan, Australia nd New Zealand in this partiular area.

Corporate (financial)

All factors are considered in devoloping an ESG Score for each single company. The score considers E, S and G while each of the three consists of various sub-factors.

Sub-factors:

E: resource use, emissions, innovation

G: management, shareholders, CSR strategy

S: workforce, human rights, community, product responsibility

To fill these sub-factors 400+ measures are taken into account.

Plus, the factors are benchmarked against the sector data of the factor.

Corporate (non-financial)

All factors are considered in devoloping an ESG Score for each single company. The score considers E, S and G while each of the three consists of various sub-factors.

Sub-factors:

E: resource use, emissions, innovation

G: management, shareholders, CSR strategy

S: workforce, human rights, community, product responsibility

To fill these sub-factors 400+ measures are taken into account.

Plus, the factors are benchmarked against the sector data of the factor.

.  

12.3. Additional information.[OPTIONAL]


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