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ACTIAM

PRI reporting framework 2017

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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income » (C) Implementation: Integration

(C) Implementation: Integration

FI 14. Integration overview

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

For the active funds that incorporate all three strategies, the following steps are taken:

First, a screening is conducted based on the ACTIAM Fundamental Investment Principles. Companies that are excluded from investment can be found on our website: http://www.actiam.nl/en/sustainability/exclusions.

Second, we allocate an "ESG score", which aggregates policy and conduct of several ESG indicators, a sector-based score and an analyst score, to all remaining companies in the universe. This is the score that any bond issued by that issuer will receive.

And third, we add a thematic overlay based on material themes, such as climate change, water, health and land. The worst performers per theme are excluded from investment in the active fund, for example companies that are too dependent on coal mining and therefore a negative contributor to climate change. Companies that are considered positive contributors, such as renewable energy producers, are positively selected by upgrading their ESG score. Engagements can be set up in case these companies deliver a sustainable core product but are lagging in their ESG score due to, for example, a relatively low level of disclosure.

Both the ESG team and the portfolio management team are responsible for this combination of strategies.

 

For the active funds that incorporate two strategies, screening and integration, only the first two above steps are taken.

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

SSA

For sovereigns, we have an adapted ESG score that is constructed of indicators relevant for sovereigns as opposed to companies. However, the process is the same. First a screening is conducted based on the ACTIAM Fundamental Investment Principles, which leads to the exclusion of sovereigns, and an ESG score is attributed to the remaining sovereigns.

Corporate (financial)

The process is the same as described in FI 14.1.

Corporate (non-financial)

The process is the same as described in FI 14.1.

Securitised

The process is the same as described in FI 14.1.

14.3. Additional information [OPTIONAL]


FI 15. Integration - ESG information in investment processes

15.1. Indicate how ESG information is typically used as part of your investment process.

Select all that apply
SSA
Corporate (financial)
Corporate (non-financial)
Securitised
ESG analysis is integrated into fundamental analysis
ESG analysis is integrated into security weighting decisions
ESG analysis is integrated into portfolio construction decisions
ESG analysis is a standard part of internal credit ratings or assessment
ESG analysis for issuers is a standard agenda item at investment committee meetings
ESG analysis is regularly featured in internal research notes or similar
ESG analysis is a standard feature of ongoing portfolio monitoring
ESG analysis features in all internal issuer summaries or similar documents
Other, specify

15.2. Additional information [OPTIONAL]


FI 16. Integration - E,S and G issues reviewed

16.1. Indicate the extent to which ESG issues are reviewed in your integration process.

Environment
Social
Governance
SSA

Environmental

Social

Governance

Corporate (financial)

Environmental

Social

Governance

Corporate (non-financial)

Environmental

Social

Governance

Securitised

Environmental

Social

Governance

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

SSA

The ESG information is systematically incorporated into our systems (applicable to all portfolios), so the investment manager has an ESG score for all the issuers that he/she can invest in. These scores are reviewed and updated on a regular basis. The investment manager is required to take the ESG information into account, as the ESG score of his/her portfolio needs to be higher than the ESG score of the benchmark at the minimum (dependent on the specifics of the mandate).

Corporate (financial)

The ESG information is systematically incorporated to our systems (applicable to all portfolios), so the investment manager has an ESG score for all the issuers that he/she can invest in. These scores are reviewed and updated on a regular basis. The investment manager is required to take the ESG information into account, as the ESG score of his/her portfolio needs to be higher than the ESG score of the benchmark at the minimum (dependent on the specifics of the mandate).

Corporate (non-financial)

The ESG information is systematically incorporated to our systems (applicable to all portfolios), so the investment manager has an ESG score for all the issuers that he/she can invest in. These scores are reviewed and updated on a regular basis. The investment manager is required to take the ESG information into account, as the ESG score of his/her portfolio needs to be higher than the ESG score of the benchmark at the minimum (dependent on the specifics of the mandate).

Securitised

The ESG information is systematically incorporated to our systems (applicable to all portfolios), so the investment manager has an ESG score for all the issuers that he/she can invest in. These scores are reviewed and updated on a regular basis. The investment manager is required to take the ESG information into account, as the ESG score of his/her portfolio needs to be higher than the ESG score of the benchmark at the minimum (dependent on the specifics of the mandate).

16.3. Additional information.[OPTIONAL]

The ESG scores are available for all portfolios, however the implementation of a minimum score for the portfolio is not currently applicable to all portfolios


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