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New York State Common Retirement Fund

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.

We typically conduct further in-house research to supplement the research provided by third parties across ESG strategies. We use industry and issuer research from multiple sources including company filings, ESG data providers, managers, media reports, NGOs, and the Corporate Governance team, among others. We are in the process of integrating ESG data into the fixed income team’s central data and risk modelling system, which informs our fundamental analysis. We also regularly invite expert speakers on key climate change and sustainability trends for our investment team.  

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

Corporate (financial)

We typically conduct further in-house research to supplement the research provided by third parties across ESG strategies. We use industry and issuer research from multiple sources including company filings, ESG data providers, managers, media reports, NGOs, and the Corporate Governance team, among others. We are in the process of integrating ESG data into the fixed income team’s central data and risk modelling system, which informs our fundamental analysis.

 

We take a sector-based approach by identifying material ESG factors for fundamental credit analysis.

 

Corporate (non-financial)

We typically conduct further in-house research to supplement the research provided by third parties across ESG strategies. We use industry and issuer research from multiple sources including company filings, ESG data providers, managers, media reports, NGOs, and the Corporate Governance team, among others. We are in the process of integrating ESG data into the fixed income team’s central data and risk modelling system, which informs our fundamental analysis.

 

We take a sector-based approach by identifying material ESG factors for fundamental credit analysis.

Securitised

We typically conduct further in-house research to supplement the research provided by third parties across ESG strategies. We use industry and issuer research from multiple sources including company filings, ESG data providers, managers, media reports, NGOs, and the Corporate Governance team, among others. We are in the process of integrating ESG data into the fixed income team’s central data and risk modelling system, which informs our fundamental analysis.

 

We take a sector-based approach by identifying material ESG factors for fundamental credit analysis.

10.3. Additional information [OPTIONAL]

We largely invest in US Treasuries and Federal Agency housing bonds to preserve our capital while receiving a dependable income stream, and our exposure to municipal and other sovereign debts is minimal. We look to invest in best-in-class municipal bonds and thematic bonds such as affordable housing consistent with fiduciary duty


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
Corporate (financial)
Corporate (non-financial)
Securitised
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]

We measure carbon footprint of corporate fixed income investments and conduct an attribution analysis


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
Corporate (financial)

Environmental

Social

Governance

Corporate (non-financial)

Environmental

Social

Governance

Securitised

Environmental

Social

Governance

12.2. Please provide more detail on how you review E, S and/or G factors in your integration process.

Corporate (financial)

We consider financially material ESG factors in fundamental credit analysis. For the financial sector issuers, we assess their governance and risk management practices, and how issuers evaluate social and environmental risks in their loan underwriting practices. We also started evaluating banks’ risk assessment related to climate risks and opportunities. 

Corporate (non-financial)

We consider financially material ESG factors in fundamental credit analysis. For the financial sector issuers, we assess their governance and risk management practices, and how issuers evaluate social and environmental risks in their loan underwriting practices. We also started evaluating banks’ risk assessment related to climate risks and opportunities. 

Securitised

We consider financially material ESG factors in fundamental credit analysis. For the financial sector issuers, we assess their governance and risk management practices, and how issuers evaluate social and environmental risks in their loan underwriting practices. We also started evaluating banks’ risk assessment related to climate risks and opportunities. 

12.3. Additional information.[OPTIONAL]


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