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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 » Implementation processes

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.


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