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Bank of America Global Wealth and Investment Management

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.

IP/MAA:  MAA does not calculate the impact of ESG issues on performance.

 

CIO:  The S2I team screens our fixed income team’s prefered issuer corporate list to identify leading ESG performers. The Social Innovation screen seeks to find companies that are leaders across the three focus areas within the screening process: Environmental Stewardship, Human Capital Engagement, and Corporate Governance. We also employ a Performance Review which is designed to measure how effectively corporations implement the policies and procedures described and evaluated in the previous step, and whether the company capitalizes on external incentives for good corporate behavior.

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

SSA

See response to FI 10.1

Corporate (financial)

See response to FI 10.1

Corporate (non-financial)

See response to FI 10.1

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]

CIO – The selections above only apply to the CIO Socially Innovative Fixed Income customization.


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

CIO: The portfolio management team leverages approximately ESG data points, provided by third party data providers, that are incorporated into the social innovation positive screening process. This process only applies to the CIO Socially Innovative Fixed Income strategies.

Corporate (financial)

CIO: The portfolio management team leverages approximately ESG data points, provided by third party data providers, that are incorporated into the social innovation positive screening process. This process only applies to the CIO Socially Innovative Fixed Income strategies.

Corporate (non-financial)

CIO: The portfolio management team leverages approximately ESG data points, provided by third party data providers, that are incorporated into the social innovation positive screening process. This process only applies to the CIO Socially Innovative Fixed Income strategies.

12.3. Additional information.[OPTIONAL]


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