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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
0 Screening alone
0 Thematic alone
0 Integration alone
100 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
100 Screening + integration strategies
0 Thematic + integration strategies
0 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
100 Screening + integration strategies
0 Thematic + integration strategies
0 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.

The objective is risk mitigation, both in terms of financial risks and reputationnnal risks.

01.3. Additional information [Optional].

The RI strategy for SSA is very much influenced by other allocation rules. 80% of the portfolio is
French debt.


FI 02. ESG issues and issuer research

02.1. Indicate which ESG factors you systematically research as part of your analysis on issuers.

Select all that apply
SSA
Corporate (financial)
Corporate (non-financial)
Environmental data
Social data
Governance data

02.2. Indicate what format your ESG information comes in and where you typically source it

Indicate who provides this information  

Indicate who provides this information  

Indicate who provides this information  

Indicate who provides this information  

Indicate who provides this information  

02.3. Provide a brief description of the ESG information used, highlighting any differences in sources of information across your ESG incorporation strategies.

-Trucost data on coal exposure (screening)
-MSCI reports
-Corporate disclosures and statements
-Sovereigns' NDC on GHGs
-Sell side analysis
E&S factors systematically analyzed for part of the sovereign and credit portfolios only.

02.4. Additional information. [Optional]


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]


(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

Exclusionary screening of utilities and mining companies with a turnover deriving from thermal
coal superior to 20%, of companies producing mines and cluster munitions, of tobacco.

04.3. Additional information. [Optional]


FI 05. Negative screening - overview and rationale

05.1. Indicate why you conduct negative screening.

SSA

SSA

Corporate (non-financial)

Corporate (non-fin)

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

Strict compliance with Group-wide exclusion lists (voluntary).

05.3. Additional information. [Optional]


FI 06. Examples of ESG factors in screening process

06.1. Provide examples of how ESG factors are included in your screening criteria.

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

Sovereign that do not comply with a pre-defined set of international treaties are ex ante excluded
from eligible investments
Sovereign subjet to threats of sanctions (e.g. EU treaty art. 7) are excluded from further purchases

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

Issuers turnover exposure to thermal coal is assessed and leads to the definition of a coprorate
exclusion list. We exclude any issuer for which thermal coal represent more than 20% of sales.

Type of fixed income

ESG factors

Screening

Description of how ESG factors are used as the screening criteria

We exclude the tobacco industry

06.2. Additional information.


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]


(C) Implementation: Integration

FI 11. Integration overview

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

ESG parameters are considered as risk factors that can impact issuers' financial performance.
For part of the portfolio (SSA ): an ESG score is calculated internally by our portfolio managers, with different weights assigned to E,S and G criteria depending on the sectors. With the help of this ESG appraisal, the PM will decide to increase/decrease the allocation on a given issuers vs its peers.
For the full of the portfolio, a separated ESG score is used by the risk department to adjust issuers limits.

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

SSA

An ESG score is calculated internally by our portfolio managers, with different weights assigned to E,S and G criteria depending on the sectors. With the help of this ESG appraisal, the PM will decide to increase/decrease
the allocation on a given issuers.

GHG emissions trajectory are also monitored relying on published NDCs.

For the full the portfolio, a separated ESG score is used by the risk department to adjust issuers limits.

Corporate (financial)

An ESG score is used by the risk department to adjust issuers limits, without additional formalized integration of ESG issues by fund managers in 2017.

Corporate (non-financial)

GHG emissions and emission reductions are monitored, notably based on CDP disclosed information.
A separated ESG score is used by the risk department to adjust issuers limits, without additional formalized integration of ESG issues by fund managers in 2017

11.3. Additional information [OPTIONAL]

The investment team invests in green bond in the core protfolios, without it being a specific thematic mandate. Responses from FI 11 below are implemented, though not declared in the section as not being formally part of a thematic strategy.
- We require that themed bond proceeds are only allocated to environmentally or socially beneficial
projects.,
- We require the issuer (or third-party assurer) to demonstrate a process which determines the eligibility of projects to which themed bond proceeds are allocated,
- We require issuers to demonstrate a systematic and transparent process of disbursing themed bond proceeds to eligible projects until all funds are allocated,
- We require issuers to report at least once per year on the projects to which proceeds have been allocated, including a description of those projects.


FI 12. Integration - ESG information in investment processes

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

Select all that apply
SSA
Corporate (financial)
Corporate (non-financial)
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

12.2. Additional information [OPTIONAL]


FI 13. Integration - E,S and G issues reviewed

13.1. 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

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

SSA

Applicable to all portfolio : ESG analysis are updated by risk analysts for each credit review and
then integrated by the relative score in limits.
For part of the SSA portfolio invested in emerging countries an ESG score is calculated internally by our portfolio managers, with different weights assigned to E,S and G criteria, and run annually. With the help of this ESG appraisal, the PM will decide to increase/decrease the allocation on a given issuers vs its peers.

Corporate (financial)

Applicable to all portfolio : ESG analysis are updated by risk analysts for each credit review and then integrated by the relative score in limits.

Corporate (non-financial)

Applicable to all portfolio : ESG analysis are updated by risk analysts for each credit review and then integrated by the relative sector score in limits

13.3. Additional information.[OPTIONAL]


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