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CNP Assurances

PRI reporting framework 2018

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ESG incorporation in actively managed fixed income

Implementation processes

FI 01. Incorporation strategies applied

01.1. 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
100 Screening alone
0 Thematic alone
0 Integration alone
0 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%
Corporate (financial)
0 Screening alone
0 Thematic alone
0 Integration alone
0 Screening + integration strategies
0 Thematic + integration strategies
100 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%
Corporate (non-financial)
0 Screening alone
0 Thematic alone
0 Integration alone
0 Screening + integration strategies
0 Thematic + integration strategies
100 Screening + thematic strategies
0 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.

SSA : The ESG screen excludes non-democratic countries, those where freedom is infringed as rated by Freedom House, and countries poorly rated by Transparency International.

We do not invest in tax havens and countries under embargo.

Corporate :

For our screening strategy, we exclude anti-personnel mines and cluster munition manufacturers. We exclude companies that do not respect the Global Compact and we do not invest in mining companies companies that derive more than 15% of their turnover from coal as well as utilities with over 15% of coal-sourced power plants. We also exclude countries that are considered as sensitive (see SSA).

CNP Assurances has made contributing to the environmental and energy transition a strategic priority. In late 2017, the Group devoted €1362 million in green bonds.

01.3. Additional information [Optional].


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]

Since 2011, a quarterly portfolio scoring was set up with our asset managers and their SRI research team. One of the asset manager provides us with controversies on the worst rated issuers, and the result of the dialogue with these issuers. CNP Assurances compares the information with the other asset managers and makes the decision to exclude or limit. We do not notify.

We have two information providers that work on the same perimeter. They regularly update their methodology and ratings. One of them is Mirova. It has been elected best ISR management company in 2014 by Thomson Reuters and by the British Association of finance and sustainable investment.


(A) Implementation: Screening

FI 04. Types of screening applied

04.1. Indicate the type of screening you conduct.

Select all that apply
SSA
Corporate (financial)
Corporate (non-financial)
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

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

Since 2008, CNP Assurances has excluded manufacturers of cluster munitions and anti-personnel mines. Since 2012 , bonds have been excluded or limited on the basis of issuer compliance with ESG and Global Compact principles. We also exclude SSA and corporate bonds from countries that we consider as sensitive (level of democracy and freedom , perception of corruption, tax heaven, non-cooperative states and territories, known as NCSTs, and embargoed states, countries subject to counter measures by the FATF. We exit coal of our portfolio :

CNP Assurances has set two limits. Excluding the acquisition of new financial assets: companies mining coal or producing coal-based energy when more than 15% of their revenue is derived from thermal coal. Exclusion from the portfolio of financial assets: companies mining coal or producing coal-based energy when more than 25% of their revenue is derived from thermal coal.

04.3. Additional information. [Optional]


FI 05. Negative screening - overview and rationale

05.1. Indicate why you conduct negative screening.

SSA

SSA

Corporate (financial)

Corporate (fin)

Corporate (non-financial)

Corporate (non-fin)

05.2. Describe your approach to ESG-based negative screening of issuers from your investable universe.

SSA: we conduct negative screening for legal reasons (countries under embargo and non-cooperating countries) and for non legal reasons (ESG criterias: non-democratic countries, those where freedom is infringed as rated by Freedom House, and countries poorly rated by Transparency International. We also exclude tax havens)

Corporate (financial): for the same reason than SSA. we also conduct negative screening for non-legal reasons (we do not invest in companies that do not respect the Global Compact principles)

Corporate (non financial): for the same reason than SSA . we also conduct negative screening for legal reasons (we exclude cluster munitions and anti-personnel mines manufacturers) and for non legal reasons (coal, global compact).

05.3. Additional information. [Optional]


FI 06. Examples of ESG factors in screening process (Private)


FI 07. Screening - ensuring criteria are met

07.1. 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?

07.2. Additional information. [Optional]


(B) Implementation: Thematic

FI 08. Thematic investing - overview (Private)


FI 09. Thematic investing - themed bond processes

09.1. 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..

          In our mandate, asset managers analyse bonds and conclude if they disburse bond proceeds as described in the offering documents.
        

09.2. Describe the actions you take when issuers do not disburse bond proceeds as described in the offering documents.

Our AM are in charge of following the bond proceeds.

09.3. Additional information. [Optional]


FI 10. Thematic investing - assessing impact

10.1. Indicate how you assess the environmental or social impact of your thematic investments

          we ensure that our asset managers apply our environment Policy.
        

10.2. Additional information. [Optional]


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