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Swiss Re Ltd

PRI reporting framework 2020

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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.

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]


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