This report shows public data only. Is this your organisation? If so, login here to view your full report.

Swiss Re Ltd

PRI reporting framework 2020

Export Public Responses
Pdf-img

You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income

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
95 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
5 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.

Our portfolio of FI investments is an integral part of our prudent asset-liability management approach. This portfolio is reviewed against relevant ESG rating and factor level considerations at country level. Swiss Re's Financial Risk Management department performs the screening of the internally managed FI portfolio against the ESG ratings and factors on a monthly basis. If any positions are identified which fall below a pre-defined ESG rating threshold, the portfolio manager has to provide further analysis to the nature and rationale for the investment.

The complete analysis is periodically presented for review to the Asset Management Investment Committee (AM IC) chaired by the Group Chief Investment Officer as well as to the ESG Advisory Board.

In addition, Swiss Re applies the Sustainable Business Risk Framework, consisting of two umbrella policies on human rights and environmental protection, and eight guidelines on sensitive sectors or issues. Each of these policies and guidelines contain a number of predefined criteria and qualitative standards that may lead to the exclusion of a company or a country from the (re-)insurance and investment universe.

01.3. Additional information [Optional].

In addition to the general framework described above, Swiss Re has incorporated ESG considerations as an integral part of its investment process and continues to actively invest in themes that are directly related to sustainability.

The green bond holdings in FI have significantly grown since the previous submission. In 2018, we reached our green bond target of at least USD 1.5 billion by holding USD 1.6 billion per year-end. We were holding USD 1.8 billion in green bonds as of year-end 2019. To further expand our thematic investments, we also include social and sustainability bonds in our allocation. Overall, we increased our target for our green, social and sustainability bond mandate to USD 4 billion to be achieved in the next five years. 


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]

The majority of SSA investments are related to securities issued by countries with high ESG ratings such as the US, UK, Germany, Canada and France.

ESG information is held within a centralised database that is accessible to all investment staff and is carefully considered, especially concerning investments in countries with lower ESG ratings.


(A) Implementation: Screening

FI 04. Types of screening applied

04.1. Indicate the type of screening you conduct.

Select all that apply
SSA
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

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

See FI 01.2 and FI 02.3 for approach

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

other description

          Automated IT systems monitors our portfolio on a daily basis that it is compliant with defined exclusion criteria
        
Norms-based screening

other description

          Automated IT systems monitors our portfolio on a daily basis that it is compliant with defined exclusion criteria
        

06.2. Additional information. [Optional]


(B) Implementation: Thematic

FI 07. Thematic investing - overview

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

96.7 %
3.3 %

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

A bond can be considered for our green, social and sustainability bond mandate if:
 1) The issuer is not on Swiss Re's exclusion list,
 2) Internal ESG rating of the country of the issuer meets Swiss Re's criteria,
 3) The issuer follows the Green Bond Principles (GBP), Social Bond Principles (SBP), as well as the Sustainability Bond Guidelines (SBG),
 4) Further sustainability bonds only on internal pre-approval basis

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.

We do not qualify them as green bonds, social bonds and sustainability bonds. With that, we do not consider them in our green, social and sustainability bond mandate.

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.

          We focus on issuers that follow the Green Bond Principles, Social Bond Principles and Sustainability Bond Guidelines from ICMA
        

09.2. Additional information. [Optional]

The Green Bond Principles, Social Bond Principles and Sustainability Bond Guidelines from ICMA have four components which focus on

 a. Use of Proceeds,

 b. Project Evaluation and Selection Process,

 c. Management of Proceeds and

 d. Reporting.

Collectively, they promote integrity of issuance, along with transparency and disclosure on the use of the financings.


(C) Implementation: Integration

FI 10. Integration overview

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

Country screening is undertaken on a monthly basis. Any existing or potential new investments in countries which score below the threshold of BB require a rationale. Typically the only instances where this occurs is pure Asset-Liability matching, and not active positioning. ESG assessment of countries and issuers is carefully considered by portfolio managers when making decisions about active positioning in the portfolios.

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

SSA

Internally developed ESG ratings and the dynamics of the underlying factors are monitored and followed by portfolio managers and constitute a firm component of a standard analysis conducted by portfolio managers when making active decisions. Given, however, that most of the active risk taking occurs in the high quality ESG space of the major developed market sovereign bonds, the ESG analysis does not typically affect the outcomes of the fundamental analysis to a large degree. For sovereign bonds held in countries with a low ESG rating, portfolio managers monitor the ESG developments and seek opportunities to improve the ESG scores when opportunities arise.

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
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
SSA

Environmental

Social

Governance

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

SSA

Internally developed ESG ratings as well as the underlying ESG factors are tracked and analysed on a monthly basis and the changes are analysed across all three E, S and G dimensions. ESG ratings are carefully considered by portfolio managers when making active decisions.

12.3. Additional information.[OPTIONAL]


Top