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CBRE Investment Management

PRI reporting framework 2020

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ESG issues in asset allocation

SG 13. ESG issues in strategic asset allocation

13.1. Indicate whether the organisation carries out scenario analysis and/or modelling, and if it does, provide a description of the scenario analysis (by asset class, sector, strategic asset allocation, etc.).

Describe CBRE Global Investors is currently testing several approaches to scenario analysis: MSCI Carbon Delta, Carbon Risk Real Estate Monitor (“CRREM”) and GRESB/Verisk Maplecroft ESG Scorecard. MSCI Carbon Delta covers both transitional and physical risks from climate change, on a global scale, and is presently applicable to real estate and equity.
Describe MSCI Carbon Delta methodology calculates aggregated Value-at-Risk for 1.5, 2, and 3 degrees / NDC scenarios, as well as business-as-usual average and worst-case. Risks assessed include chronic and acute physical and regulatory transitional risks.

13.2. Indicate if your organisation considers ESG issues in strategic asset allocation and/or allocation of assets between sectors or geographic markets.

We do the following

          CBRE Global Investors deploys proprietary C.I.T.I.E.S. model.
        

13.3. Additional information. [OPTIONAL]

Governance: We stress test our assumptions when underwriting a property for acquisition, disposition and hold-sell analyses. We have a base case which is stress-tested against downside scenarios. We also produce one-off scenarios dependent on macro-political events. For example, we ran a bespoke No Deal Brexit scenario, and an alternate set of No Deal Brexit real estate forecasts, for use in our underwriting in the UK.

The C.I.T.I.E.S. model scores and ranks cities based on the strength of specific structural attributes. Variable selection and model weights are determined by a variable’s respective correlation to historical commercial real estate returns. The 13 input variables are organized into six themes: Commercial Real Estate, Infrastructure, Tourism, Innovation, Economy & Demographics and Sustainability. Input variables are scored on a scale from 1 to 5. These scores are then combined into a single weighted average Winning City score.


SG 13 CC.


SG 14. Long term investment risks and opportunity (Private)


SG 14 CC.


SG 15. Allocation of assets to environmental and social themed areas (Private)


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