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Stichting Spoorwegpensioenfonds

PRI reporting framework 2018

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ESG issues in asset allocation

SG 13. ESG issues in strategic asset allocation

New selection options have been added to this indicator. Please review your prefilled responses carefully.

13.1. Indicate if your organisation executes scenario analysis and/or modelling in which the risk profile of future ESG trends at portfolio level is calculated.

Is this scenario analysis based on a 2°C or lower scenario?

SG 13.1a CC. Pleased describe the resilience of your organisation’s strategy, considering different future climate scenarios.

Strategy affected Changes to strategy Description of scenario and time-horizon How analysis has been used

13.2. Indicate if your organisation considers ESG issues in strategic asset allocation and/or allocation of assets between sectors or geographic markets.

We do the following

13.3. Additional information. [OPTIONAL]

We do not have an official scenario analysis and modelling strategy. However, SPF Beheer does take into account ESG considerations that are integral to a specific asset class. Last year SPF has decided to divest from commodities. ESG characteristics of the asset class and the unknown future of especially the energy component of the commodity portfolio was part of the reasoning.

Additionally, SPF Beheer takes into account ESG considerations in their sector allocations. Although, due to the special investment strategy, over- or underweighing certain sectors is impossible, sectors can be excluded in its entirety or it can be decided not to invest in specific subparts of a sector. Already back in 2012 SPF Beheer has decided not to invest in the tobacco sector via the listed equity portfolio due to its negative effects on society and the reputational risk attached. Recently they have investigated the oil and gas sector and took the results into account in the composition of the internally managed equity portfolio. For 2018, an analysis of the effects of energy transition on different asset classes and sectors is scheduled.


SG 14. Long term investment risks and opportunity

14.1. Describe the process used to identify short, medium and long-term risks and opportunities that could have a material impact on your organisation and its activities.

The team of both financial and ESG analysts at SPF Beheer regularly analyse trends that might have a profound financial impact. This analysis contains an overview of how the different sectors could be affected by the trend (both in a positive as well as a negative way). Additionally, an estimation is made on the time horizon of these potential impacts. The results of the analyses are then applied to company level and for each company in our portfolio a (potential) impact analysis is made.

14.1 CC. Describe the processes used to determine which climate-related short, medium and long-term risks and opportunities could have a material impact on your organisation and its activities.

Please see the answer to the previous question. Climate change and the energy transition is one of the analysed trends.

14.2. Some investment risks and opportunities arise as a result of long term trends. Indicate which of the following you act on.

14.2a cc. Please describe how you define “short”, “medium” and “long term”, and describe your material climate-related issues over these time horizons.

Definition Description of material climate-related issues
Short term
Medium term
Long term

14.3. Indicate which of the following activities you have undertaken to respond to climate change risk and opportunity

14.4. Indicate which of the following tools you use to manage emissions risks and opportunities

14.4a CC. Please provide further details on these key metric(s) used to assess climate related risks and opportunities.

Metric Type Coverage Purpose Metric Unit Metric Methodology Metric Trend Limitations / Weaknesses
Weighted average carbon intensity
Carbon footprint (scope 1 and 2)
Portfolio carbon footprint

14.6. Additional information [Optional]

We have measured the carbon footprint and carbon intensity of all of our equity portfolios. Currently we are investigating what (which companies and which managers) are the main contributors to this footprint. Next step is to identify whether the results make sense and how the emissions could potentially be reduced. Due to limitations in the data used, our current strategy is one of dialogue instead of outright exclusion.

Our intention is to also measure the carbon footprint and intensity from our credit portfolios.

14.7 CC. Describe your risk management processes for identifying, assessing, and managing climate-related risks.

Please describe

Climate change is not an official part of the risk management processes. The portfolio managers and analysts do take this as a risk into account in their own analysis of sectors and companies.

14.8 CC. Describe your processes for prioritising climate-related risks.

Climate change risks are integrated into our ESG policy. As all other ESG risks, they are therefore taken into account in an integrated manner when analysing a sector or a company. Company analysis is mainly sector specific. To determine which risks are most profound for which sector we use the model of our data provider. This model is based on independent, external sources of information.

14.9 CC. Do you conduct engagement activity with investee companies to encourage better disclosure and practices around climate-related risks?

Please describe

We participate in several collaborative engagement processes on climate-change disclosure and practices

14.10 CC. Describe how you use data from climate-related disclosures.

We use a research provider that collects and aggregates climate-data of companies. We use this data to analyse our portfolio. Topics that we are specifically interested in are the carbon footprint, the carbon intensity, fossil fuel extraction and coal involvement. The results will be used in dialogue with companies.


SG 15. Allocation of assets to environmental and social themed areas

New selection options have been added to this indicator. Please review your prefilled responses carefully.

15.1. Indicate if your organisation allocates assets to, or manages, funds based on specific environmental and social themed areas.

15.2. Indicate the percentage of your total AUM invested in environmental and social themed areas.

8 %

15.3. Specify which thematic area(s) you invest in, indicate the percentage of your AUM in the particular asset class and provide a brief description.

Area

Asset class invested

1 % of AUM
1 % of AUM
6 % of AUM

Brief description and measures of investment

- Funds that invest in both "normal" infrastructure as well as renewable energy projects in the infrastructure portfolio

- Green bonds in our fixed income portfolios (SSA and non-financial). This is less than 1% of the entire fixed income portfolio.

Asset class invested

83 % of AUM

Brief description and measures of investment

The internally managed real estate portfolio observes a strict environmental policy. All buildings in our portfolio observe strict environmental criteria and renovations are conducted with respect for the environment. Instead of breaking buildings down, we, for example, have renovated buildings by completely stripping them and rebuilding it in a more environmentally friendly way.

Over 80% of all objects in our internally managed real estate portfolio have a green EPA label (A+ - C). Over 40% have EPA label A(+) or B.

Asset class invested

17 % of AUM

Brief description and measures of investment

Since 2015 SPF invests in a fund on sustainable agriculture in emerging markets. This fund is part of the impact portfolio.

Asset class invested

37 % of AUM

Brief description and measures of investment

SPF participates in several microfinance funds. The funds aim to include small self-employed entrepreneurs and farmers in developing countries in economic activity. The funds provide debt funding to MFIs in developing and transition countries. The MFIs in turn lend the money to end users - the micro-entrepreneurs and farmers. https://www.actiam.nl/en/product-services/microfinance-funds

Microfinance is part of the impact portfolio.

Asset class invested

46 % of AUM

Brief description and measures of investment

SPF Beheer has been involved in the setup of an sustainable agricultural SME fund. The Annona fund invests in Africa and Latin America in SMEs. http://www.annona.nl/en/ SPF currently has a stake in this fund.

Also SPF participates in another SME Finance Fund. This fund aims at channeling institutional investment capital to the SME sector in developing and emerging countries. SPF Beheer carries out the investments on behalf of the funds. https://www.actiam.nl/en/product-services/sme-finance-fund

SME financing is part of the impact portfolio.

Asset class invested

15 % of AUM

Brief description and measures of investment

Several property projects include social housing. It is hard to define the exact percentage of the total portfolio because in general social housing provision is part of a broader plan. Social houses, for example, are build on top of shopping centers.

Asset class invested

6 % of AUM

Brief description and measures of investment

The pension funds invest in schools and day-care centers, http://www.kidafo.com/


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