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PREVI - Caixa de Previdência dos Funcionários do Banco do Brasil

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.
SSA
0 Screening alone
0 Thematic alone
0 Integration alone
0 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
100 No incorporation strategies applied
100%
Corporate (financial)
100 Screening alone
0 Thematic alone
0 Integration alone
0 Screening + integration strategies
0 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
100 Screening + integration strategies
0 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.

The investment assumptions are defined in the investment policy of pension fund benefit plans.

In the scope of Sovereigns, Supranationals and Agencies (SSA), the investments ‘internally managed’ are only in Brazilian government bonds and represent more than 40% of the portfolio, but we may also hold SSA bonds ‘externally managed’ through investment funds abroad.

Financial Corporate, in addition to the investment policy, respects the allocation limits defined by the Risk area of Previ.

All investments proposed in non-financial and securitized credit securities or in fixed income investment funds, in addition to the Investment Policy, are subject to ESG and Integrity (ESGI) assessments. This ESGI report comprises a Technical Note that is sent by the competent authority for investment approval.

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]


(A) Implementation: Screening

FI 04. Types of screening applied

04.1. Indicate the type of screening you conduct.

Select all that apply
Corporate (financial)
Corporate (non-financial)
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

04.2. Describe your approach to screening for internally managed active fixed income

Investments in companies that are engaged in the sale of tobacco or weapons are prohibited.

04.3. Additional information. [Optional]


FI 05. Examples of ESG factors in screening process (Private)


FI 06. Screening - ensuring criteria are met

06.1. Indicate which systems your organisation has to ensure that fund screening criteria are not breached in fixed income investments.

Type of screening
Checks
Negative/exclusionary screening
Norms-based screening

06.2. Additional information. [Optional]


(C) Implementation: Integration

FI 10. Integration overview

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

Investment assumptions are defined in the investment policy of pension fund benefit plans.

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

Corporate (non-financial)

All investments proposed in Fixed Income in non-financial companies, in addition to the Investment Policy, are subject to the ESG and Integrity (ESGI) evaluation. This ESGI report composes the Technical Note that is submitted to the competent authority to approve the investment.

10.3. Additional information [OPTIONAL]

PREVI, when analysing fixed income investments, takes into account environmental, social and governance (ESG) aspects, and observes criteria pertinent to integrity theme of the issuing companies or the investment funds.


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 (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]

In corporate and securitized credit or fixed income investment funds, ESG and integrity analyses results in a score for the issuer that implies a premium or discount on the market credit spread curve that may impact the relative value of the securities.


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 (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 (non-financial)

The ESGI questionnaire is occasionally revised to aggregate criteria that have not been addressed or that have gained more relevance to the investment decision.

12.3. Additional information.[OPTIONAL]


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