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AG Insurance

PRI reporting framework 2020

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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.

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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