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United Nations Joint Staff Pension Fund

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
90 Screening alone
0 Thematic alone
0 Integration alone
0 Screening + integration strategies
0 Thematic + integration strategies
10 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%
Corporate (financial)
99 Screening alone
0 Thematic alone
0 Integration alone
0 Screening + integration strategies
1 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%
Corporate (non-financial)
99 Screening alone
0 Thematic alone
0 Integration alone
0 Screening + integration strategies
0 Thematic + integration strategies
1 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.

IPS Statement - Restricted Securities:

Investments in the tobacco industry: 
 
Investments in companies that derive any revenue from the production of tobacco and that primarily deal with manufacturing and distribution of tobacco and tobacco related products are prohibited. 
 
Investments in armaments or other military equipments: 

The Fund shall not invest in securities of companies that derive any revenue from the production of military weapons, weapons systems or weapons of mass destruction, including nuclear, chemical or biological weapons, or derive more than 10 per cent of their revenue from the production of customized components for purposes of the production of military weapons, weapons systems or weapons of mass destruction.

Special Considerations (SSA Fixed Income Portfolio - Social)
 
Pursuant to General Assembly Resolutions 31/197 in 1976 and 32/73 B in 1977, the General Assembly requests the Secretary-General to redouble his efforts in consultation with the Investments Committee, to ensure that, subject to careful observance of the requirements of safety, profitability, liquidity and convertibility, and in strict conformity with the Regulations of the UNJSPF, a larger proportion of the investment of the resources of the Fund is made in developing countries.

Dedicated Green Bond Portfolio (SSA Fixed Income Portfolio - Enviromental) 

 

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]

Created seperated ESG function to mark bespoke daily green bond pricing and ratings.


(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

IPS Statement - Restricted Securities:

Investments in the tobacco industry: 
 
Investments in companies that derive any revenue from the production of tobacco and that primarily deal with manufacturing and distribution of tobacco and tobacco related products are prohibited. 
 
Investments in armaments or other military equipments: 

The Fund shall not invest in securities of companies that derive any revenue from the production of military weapons, weapons systems or weapons of mass destruction, including nuclear, chemical or biological weapons, or derive more than 10 per cent of their revenue from the production of customized components for purposes of the production of military weapons, weapons systems or weapons of mass destruction.

Compuset Credit Rating 

The long term fixed income portfolio’s allocation to the BBB credit rating band must not exceed the BBB allocation within the prevailing fixed income benchmark by an amount of more than 300 basis points.  

 Green Bond Analysis

Issuer engagement on teh following parameters: currency denomination, valuation, sector and issuer analysis (ESG), duration, and SSA risk mitigation due diligence. 

 

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.

IPS Statement - Restricted Securities:

Investments in the tobacco industry: 
 
Investments in companies that derive any revenue from the production of tobacco and that primarily deal with manufacturing and distribution of tobacco and tobacco related products are prohibited. 
 
Investments in armaments or other military equipments: 

The Fund shall not invest in securities of companies that derive any revenue from the production of military weapons, weapons systems or weapons of mass destruction, including nuclear, chemical or biological weapons, or derive more than 10 per cent of their revenue from the production of customized components for purposes of the production of military weapons, weapons systems or weapons of mass destruction.

Compustat Credit Rating ESG Validation

The long term fixed income portfolio’s allocation to the BBB credit rating band must not exceed the BBB allocation within the prevailing fixed income benchmark by an amount of more than 300 basis points.  

 Green Bond Fixed Income Analysis

Issuer engagement on teh following parameters: currency denomination, valuation, sector and issuer analysis (ESG), duration, and SSA risk mitigation due diligence. 

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?
Positive/best-in-class screening
Norms-based 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..

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

Internal Fixed Income Investment Risk and Compliance:

  1. IMD Fixed Income Investment Committee Reviews Issuer Green Bond document
  2. ​Issuer review is logged with Risk and Compliance for due diligence review and validation
  3. Appropriate decision is made to sell down position and locate alternative/substitute issuer

 

 

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

10.2. Additional information. [Optional]


(C) Implementation: Integration

FI 11. Integration overview

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

ESG integration across the fixed income portfolio is a hybrid approach that sources multiple ESG sources and issuer information to better validate credit quality:

Internal Analysis 

  • Deal Size
  • Bond Currency
  • Bond Tenor / Time Horizon
  • Instrument Type
  • Guarantor
  • **Use of Proceeds: ESG KPI indicators for average sector credit profiles)***
  • CRA's  vs. ESG rating differential analysis relative historical fixed income performance 
  • Utilize MSCI ESG ratings across corporate (financials & non-financials) 
  • Country and sector risk (World Bank Governance Indicators)
  • Industry ESG materiality risk (MSCI ESG)
  • Corporate goverance rating (Corporate)
  • Project and operations risk (**SSA's)

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

Corporate (financial)

​ESG integration across the fixed income portfolio is a hybrid approach that sources multiple ESG sources and issuer information to better validate credit quality:

 

Internal Analysis 

  • Deal Size
  • Bond Currency
  • Bond Tenor / Time Horizon
  • Instrument Type
  • Guarantor
  • **Use of Proceeds: ESG KPI indicators for average sector credit profiles)***
  • CRA's  vs. ESG rating differential analysis relative historical fixed income performance 
  • Utilize MSCI ESG ratings across corporate (financials & non-financials) 
  • Country and sector risk (World Bank Governance Indicators)
  • Industry ESG materiality risk (MSCI ESG)
  • Corporate goverance rating (Corporate)
  • Project and operations risk (**SSA's)

11.3. Additional information [OPTIONAL]


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
Corporate (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
Corporate (financial)

Environmental

Social

Governance

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

Corporate (financial)

Enivromental (Green Bonds):

  • Inclusive and Sustainable Development Plan 
  • Climate Change
  • Conservation of Natural Resources
  • ​Renewable Energy
  • Low Carbon Buildings & Energy Efficiency 
  • Clean Transport
  • Sustainable Land Use & Forestry
  • Sustainable Water Management 
  • Sustainable Waste Management

Social (IFC, IBRD, ADB & Soverigns):

  • SSA Social Bonds 
  • Gender Equality 
  • Assessment and management of environmental and social risks and impacts
  • Community, health, safety and security
  • Labor and working conditions 
  • Cultural heritage 
  • Land acquisition and involuntary resettlement 
  • Indigenous peoples
  • Resource efficiency and pollution prevention 

Governance:

  • World Bank Governance Indicators (WBGI)
  • Corporate goverance ratings
  • Project and operations risk
  • Country Systems

 

13.3. Additional information.[OPTIONAL]


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