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de Pury Pictet Turrettini & Cie

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.
Corporate (financial)
0 Screening alone
0 Thematic alone
0 Integration alone
0 Screening + integration strategies
100 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
0 Screening + integration strategies
100 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.

ESG aspects are in integral part of any investment selection.

We source the same ESG data as for our equity research - the results of our assessment based on raw ESG company data and our company engagement briefings.

We view the value of integrating ESG aspects into traditional fixed income assets as lesser impactful
(performance and ESG impact) as with equities. We therefore also focus on the selection of specific impact notes.

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]

ESG aspects are integral part of any investment selection.

We source the same ESG data as for our equity research - the results of our assessment based on raw ESG company data and our company engagement briefings.

We view the value of integrating ESG aspects into traditional fixed income assets as lesser impactful
(performance and ESG impact) as with equities. We therefore also focus on the selection of specific impact notes.

 


(B) Implementation: Thematic

FI 07. Thematic investing - overview

07.1. Indicate what proportion of your thematic investments are (totalling up to 100%):

1|100 %

07.2. Describe your organisation’s approach to thematic fixed income investing

PPT is a co-founder of Blue Orchard and evermore commited to fixed income strategies delivering positive impacts.

07.3. Additional information [OPTIONAL]


FI 08. Thematic investing - themed bond processes

08.1. Indicate whether you encourage transparency and disclosure relating to the issuance of themed bonds as per the Green Bonds Principles, Social Bond Principles, or Sustainability Bond Guidelines..

08.2. Describe the actions you take when issuers do not disburse bond proceeds as described in the offering documents.

In the absence of globally accepted standards, transparency of process and outcomes are our most important requirements.

08.3. Additional information. [Optional]


FI 09. Thematic investing - assessing impact

09.1. Indicate how you assess the environmental or social impact of your thematic investments.

09.2. Additional information. [Optional]

In the absence of globally accepted standards, transparency of process and outcomes are our most important requirements.

Essentially qualitative impact monitoring due to lack of standardized and credible quantitative measurements.


(C) Implementation: Integration

FI 10. Integration overview

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

ESG parameters are an integral part of the evaluation of the strength and longevity of a company's business model.

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

Corporate (financial)

ESG parameters are an integral part of the evaluation of each investment.

Depending on the time horizon of a potential investment, we evaluated if the underlying social and environmental impacts can also impact the financial performance of the investment.

Corporate (non-financial)

ESG parameters are an integral part of the evaluation of the strength and longevity of a company's business model.

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
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
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.

Corporate (financial)

ESG aspects are integral part of any investment selection.

We source the same ESG data as for our equity research - the results of our assessment based on raw ESG company data and our company engagement briefings.

We view the value of integrating ESG aspects into traditional fixed income assets as lesser impactful
(performance and ESG impact) as with equities. We therefore also focus on the selection of specific impact notes.

Corporate (non-financial)

ESG aspects are integral part of any investment selection.

We source the same ESG data as for our equity research - the results of our assessment based on raw ESG company data and our company engagement briefings.

We view the value of integrating ESG aspects into traditional fixed income assets as lesser impactful
(performance and ESG impact) as with equities. We therefore also focus on the selection of specific impact notes.

12.3. Additional information.[OPTIONAL]


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