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MAPFRE, SA

PRI reporting framework 2020

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.

For corporates, the same methodology as described in the equities section. For SSA's, see below.

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

SSA

We add an aditional layer to the classical economic research based, mainly, on macroeconomic figures and crossed guarantees. For such layer we gather publicly available data for which we set a minimum standard. For example:

% government spending in education: government spending in education must be at least 5% of total government spending.
% government spending in health: public issuers must spend at least 10% of total government spending in health matters.
% government spending in defense: public issuers will have to spend at most 10% of total government spending in military matters.
% government spending over GDP: government spending must be at least 35% of GDP.
EPI score: the score given by Yale University about Environmental Performance Index has to be at least a 70/100.

After ranking each country based on its score, we have established three levels: fully complying countries will be part of our investment universe and are assigned a level 1. Countries missing at most 1 requirement will be included a level 2. Finally, countries missing more than one requirement are given a level 3.

There are no further investment limitations than the legal ones (percentage weight of total portfolio) for Level 1 countries. In order to be conservative, we have established a limit of up to 3% of the fixed income portfolio for Level 2 countries. These companies will have a limitation to represent as a whole a 20% of the fixed income portfolio.

Please, notice that this methodology is still on its first version. It's evolving very quickly, so its second version will available during 2019.

Corporate (financial)

Same as equities, with the added layer of controversies and amount.

Corporate (non-financial)

Same as equities, with the added layer of controversies and amount.

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

The data for SSA's is composed of official statistics, publicly available data by academic institutions and ESG providers. For the first two, they are re-checked on a monthly basis, whereas the ESG provider database is readily available.

Corporate (financial)

Data is checked for on a monthly basis, though changes are usually less frequent.

Corporate (non-financial)

Data is checked for on a monthly basis, though changes are usually less frequent.

12.3. Additional information.[OPTIONAL]


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