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Swiss Re Ltd

PRI reporting framework 2020

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Organisational Overview
Basic information [OO 01 - 09] Asset class implementation gateway indicators [OO 10 - 12] Peering questions [OO LE 01 - HF 01]
Strategy and Governance
Investment policy [SG 01 - 04] Objectives and strategies [SG 05 - 06] Governance and human resources [SG 07 - 08] Promoting responsible investment [SG 09 - 11] Outsourcing to fiduciary managers and investment consultants [SG 12] ESG issues in asset allocation [SG 13 - 15] Asset class implementation not reported in other modules [SG 16 - 17] Innovation [SG 18] Communication [SG 19]
Indirect – Manager Selection, Appointment and Monitoring
Listed Equity and Fixed Income Strategies [SAM 01] Selection [SAM 02 - 03] Appointment [SAM 04] Monitoring [SAM 05 - 07] Outputs and outcomes [SAM 08 - 09]
Direct - Fixed Income
ESG incorporation in actively managed fixed income [FI 01 - 12] Implementation processes [FI 01 - 03] (A) Implementation: Screening [FI 04 - 06] (B) Implementation: Thematic [FI 07 - 09] (C) Implementation: Integration [FI 10 - 12] Outputs and outcomes [FI 17 - 18]
Direct – Private Equity
Overview [PE 01 - 02] Pre-investment (selection) [PE 05 - 08] Post-investment (monitoring) [PE 09 - 13] Outputs and outcomes [PE 14 - 15]
Direct - Property
Overview [PR 01] Pre-investment (selection) [PR 04 - 06] Selection, appointment and monitoring third-party property managers [PR 07] Post-investment (monitoring and active ownership) [PR 08 - 14] Overview [PR 08] Property monitoring and management [PR 09 - 10] Property developments and major renovations [PR 11] Occupier engagement [PR 12 - 13] Community engagement [PR 14] Outputs and outcomes [PR 15 - 16]
Confidence building measures
Confidence building measures [CM1 01 - 07]
Export Public Responses
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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income

アクティブ運用している債券におけるESGの組み入れ

実施プロセス

FI 01. Incorporation strategies applied

以下を記載してください。 （1）組織でアクティブ運用する債券投資について、どのESG組み入れ戦略や組み合わせを使用しているか（2）各戦略が適用されるアクティブ運用債券投資合計の割合（+/- 5%）
SSA
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
95 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
5 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%

01.2. 特定のESG組み入れ戦略を選択している理由と、使用する戦略の組み合わせを説明してください。

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. 補足情報 [任意]

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. 組織のESG調査プロセスの堅牢性を確保する方法を記載してください。

03.2. ESG情報または分析を投資チーム内で共有する方法を記載してください。

03.3. 補足情報 [任意]

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) 実施:スクリーニング

FI 04. Types of screening applied

04.1. 実施するスクリーニングの種類を記載してください。

当てはまる項目を全てを選択してください
SSA
ネガティブ/ 排他的スクリーニング
ポジティブ/業界最高のスクリーニング
基準に基づくスクリーニング

04.2. 組織内でアクティブ運用している債券に適用するスクリーニングのアプローチを記載してください。

See FI 01.2 and FI 02.3 for approach

04.3. 補足情報 [任意]

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

FI 06. Screening - ensuring criteria are met

06.1. 債券投資においてファンドスクリーニングの基準に違反がないことを確認するために組織が使用しているシステムを記載してください。

スクリーニングの種類
ネガティブ/排他的スクリーニング​

その他 

          Automated IT systems monitors our portfolio on a daily basis that it is compliant with defined exclusion criteria
基準に基づくスクリーニング​

その他 

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

06.2. 補足情報 [任意]

B) 実施:テーマ

FI 07. Thematic investing - overview

07.1. テーマ投資の割合を示してください。

96.7 %
3.3 %

07.2. テーマ債券投資に対する組織のアプローチについて説明してください。

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. 補足情報 [任意]

FI 08. Thematic investing - themed bond processes

08.1. グリーン債原則に従ったテーマ債券の発行に関連する透明性や開示を奨励しているかどうか示してください。社会貢献債原則またはサステナビリティ債ガイドライン。

08.2. 発行体が提供文書の記載に従って、債券収益を配分していないときに取るべき対応策を説明してください。

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. 補足情報 [任意]

FI 09. Thematic investing - assessing impact

09.1. 組織のテーマ投資の環境的または社会的影響を評価する方法を示してください。 

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

09.2. 補足情報 [任意]

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) 実施:ESG問題の統合

FI 10. Integration overview

10.1. ESGを従来の財務分析に統合するアプローチを説明してください。

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. 投資する債券の各種類に対してESG統合アプローチをどのように調整するのか説明してください。

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. 補足情報 [任意]

FI 11. Integration - ESG information in investment processes

11.1. ESG情報が、通常、投資プロセスの一部としてどのように使用されるのか記載してください。

当てはまるものをすべて選択してください
SSA
ESG分析をファンダメンタル分析に組み込んでいる
ESG分析が発行体の内部信用評価を調整するために利用される
ESG分析が予想財務業績および将来キャッシュフロー予測を調整するために利用される
ESG分析が発行体の同業グループと比較したランキングに影響する
発行体のESG債スプレッドおよび同セクター企業に対するその相対価値が、すべてのリスクが織り込まれているか否かを把握するために分析される
各種デュレーション／満期の発行体債券へのESG分析の影響が分析される。
感度分析およびシナリオ分析が、ベースケースとESG組み込み証券評価の差を比較する評価モデルに適用される
ESG分析が、ポートフォリオのウェイティング決定に組み込まれている
会社、セクター、国、通貨が、ESGエクスポージャーの変化およびリスク制限の違反についてモニタリングされる
ESGリスクが大きい証券についてポートフォリオのESGプロファイルが検討され、ベンチマークのESGプロファイルと比較して評価される
その他（具体的に記載してください）

11.2. 補足情報 [任意]

FI 12. Integration - E,S and G issues reviewed

12.1. 組織の統合プロセスでESG問題をどのように検討するか示してください。

E（環境）
S（社会）
G（ガバナンス）
SSA

E（環境）

S（社会）

G（ガバナンス）

12.2. 組織の統合プロセスでE/S/G要因を検討する方法を詳しく説明してください。

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. 補足情報 [任意]

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