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AG Insurance

PRI reporting framework 2020

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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.
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 company's approach to sustainable and responsible investing, applied to all of its investments, is based on two pillars: exclusion of controversial activities and integration of environmental, social and governance factors. ESG factors might impact the risk profile of an issuer so we want to integrate these factors in our investment decision process. 

AG Insurance refers to a list of countries, sectors and activities to identify where investments are banned. The list is drawn up on the basis of statutory requirements and international treaties, which AG Insurance naturally upholds, as well as on the basis of its own convictions and values.

Through the entire investment activities of AG Insurance, the three Environmental, Social and Governance factors (ESG) are an integrated part of the investment process. The portfolio managers of AG Insurance take into account relevant ESG factors in all investment decisions to better evaluate the risk-return profile of an investment. Examples of such factors are renewable energy use, exposure to regulation or litigation, labour relations, human rights, product quality and safety, reputation, governance practices, executive compensation, diversity programmes, reporting and disclosure, community relations, energy costs, carbon emissions, carbon reserve and climate impact.

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
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

We have a consolidated blacklist which covers controversial weapons, financial embargo, tax haven, coal, tobacco, weapons. For the funds with a Towards sustainability label, this list is completed with exclusions based on the UN Global Compact.

04.3. Additional information. [Optional]


FI 05. Examples of ESG factors in screening process (Not Completed)


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
Norms-based screening

06.2. Additional information. [Optional]


(C) Implementation: Integration

FI 10. Integration overview

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

All portfolio managers have access to ESG data and research from Sustainalytics, a global provider of ESG data and corporate governance research and analysis, which enable them to integrate these factors in their investment analysis. However, the portfolio managers do not exclusively use data from Sustainalytics in their decision-making process. They also make use of their own proprietary analysis. Analyst reports, company presentations and other publicly available sources of information are used by portfolio managers to make their own judgement and take informed and better investment decisions.

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

SSA

We have a consolidated blacklist which covers financial embargo, tax haven. For the funds with a Towards sustainability label, this list is completed with exclusions based on the ESG risk score of the countries.

Corporate (financial)

We have a consolidated blacklist which covers controversial weapons, financial embargo, tax haven, coal, tobacco, weapons. For the funds with a Towards sustainability label, this list is completed with exclusions based on the UN Global Compact.

Corporate (non-financial)

We have a consolidated blacklist which covers controversial weapons, financial embargo, tax haven, coal, tobacco, weapons. For the funds with a Towards sustainability label, this list is completed with exclusions based on the UN Global Compact.

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

As in our SSA allocation we only invest in core countries (mainly european union), there is no systematic research of ESG issues at this time.

Corporate (financial)

A quarterly SRI Monitoring committee provides a monitoring on investments, including the integration approach. All high and severe ESG RR companies and not rated companies are reviewed. The committee can decide on asset sales for portfolios managed on behalf of the main account, segregated accounts and unit-linked portfolios

Corporate (non-financial)

A quarterly SRI Monitoring committee provides a monitoring on investments, including the integration approach. All high and severe ESG RR companies and not rated companies are reviewed. The committee can decide on asset sales for portfolios managed on behalf of the main account, segregated accounts and unit-linked portfolios

12.3. Additional information.[OPTIONAL]


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