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Nykredit Realkredit Group

PRI reporting framework 2018

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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income

アクティブ運用している債券におけるESGの組み入れ

実施プロセス

FI 01. Incorporation strategies applied

01.1. 以下を記載してください。 (1)組織でアクティブ運用する債券投資について、どのESG組み入れ戦略や組み合わせを使用しているか(2)各戦略が適用されるアクティブ運用債券投資合計の割合(+/- 5%)

SSA
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
100 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
社債(金融)
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
100 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
社債(非金融)
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
100 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
証券化商品
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
100 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%

01.2. 特定のESG組み入れ戦略を選択している主な理由と、使用する戦略の組み合わせを説明してください。

The most advanced ESG-integration approach is used for SSA. This involves using ratings and internally produced evaluation based on input from numerous governmental organisation and NGO's. This is used to termine if the SSA should be excluded, but is also used in dialogue with external manager, who have their own analytical tool to integrate ESG in the investment decision.

For financial and non-financial corporates the ESG-data is mainly used for risk-surveilance and analysis. The research and procedures capture a number of ESG-elements, but Nykredit has yet to launch a systemtic approach to use ESG data as part of the valuation of a specific company. Nykredit is working on a model for this. These corporate bond portfolios all have ESG-ratings above their benchmarks.

The securitised bond are the most challenging in this context. The issuers are screened and rated. As there are only few Danish issuers of these, this is not challenging. The bond rating companies are working on incorporating ESG, and naturally this rating plays a vital role in our proces. The credit rating procedures of the individual issuers are also analyzed and used together with the ESG-rating. 

01.3. 補足情報 [任意]

The really challenging part is integrating ESG in the securitised bonds. The big issue is the proceeds/ loans pooled and financed by the issued bond. Most of these finance a variety elements - housing and small businesses - in the Danish society. Most frequently we use the Danish society as a proxy for the ESG-aspects of the bond. However this is does not satisfy us and thus we are in dialogue with the two largest issuers on the possibilities better data insights to the ESG loan characteristica behind the bonds.


FI 02. ESG issues and issuer research

02.1. 発行体に対する分析の一部として体系的に調査するESG要因を明示してください。

SSA
社債(金融)
社債(非金融)
証券化商品
環境データ
社会的データ
ガバナンスデータ

02.2. 入ってくるESG情報のフォーマットと主な情報源を明示してください。

この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください

02.3. 使用されているESG情報を簡単に説明してください。ESG組み入れ戦略全体における情報源の違いを明らかにしてください。

The main source of ESG-data is our dataprovider MSCI ESG-research. Nykredit uses Bloomberg for carbon foot printing. This is supplemented by sell side research and data from NGO's.

For corporates the approach is quite similar to our approach to listed equities. The data is used for quarterly screens and ESG-risk assessments. And the data is used by the PM's, however not as systematically as on listed equities.

For SSA the data is sourced from OECD, UN and a number of NGO's to construction in-house custom made screen and ratingapproach used for the analysis of the SSA. The approach has a high emphasis on political freedoms and democratic procedures.

The securitized bonds have a number of sources. The issuers are rated, but Nykredit also uses the credit approach. The bond rating agencies play a vital role. Nykredit is in dialogue with the two largest issuers to get better data from the underlying loans/proceeds behind the issued bonds.

 

02.4. 補足情報 [任意]


FI 03. Processes to ensure analysis is robust

03.1. 組織のESG調査プロセスの堅牢性を確保する方法を記載してください。

03.2. ESG情報または分析を投資チーム内で共有する方法を記載してください。

03.3. 補足情報 [任意]

All funds are screened and rated each quarter. This is part of the ongoing dialogue between the CIO, PM and ESG-teams. Biannually the CIO, PM and ESG-teams discuss each portfolio.

All data are up dated weekly to the PM's systems. 

Nykredit uses a critical approach to all the data and does own analysis as part of assurance. All data providers are reevaluated every three years, where the quality of data is compared to peers. 


A) 実施:スクリーニング

FI 04. Types of screening applied

04.1. 実施するスクリーニングの種類を記載してください。

当てはまる項目を全てを選択してください
SSA
社債(金融)
社債(非金融)
証券化商品
ネガティブ/ 排他的スクリーニング
ポジティブ/業界最高のスクリーニング
基準に基づくスクリーニング

04.2. 組織内でアクティブ運用している債券に適用するスクリーニングのアプローチを記載してください。

All funds are screened quarterly against norms breaches. The Nykredit exclusion list, which consists of companies in breach with conventions on weapons as well as breaches og Global Compact principles, which engagement has not been able to change, also applies.

Two fund, a HY and an IG, also excludes fossil fuels and controversial companies i.e. alcohol, tobacco and breaches of international norms.

Nykredit will engage which any company in a portfolio that breaches a norm. 

Nykredit has set up systems that block any issuance from the excluded companies. The negative screening list are up dated weekly. The system is set up identifying the issuer and so also excluding new issuance. Benchmarks are also screened as a precautionary measure.

SSA is also screened quarterly and the exclusion list is revisited ongoing and at least evaluated biannually.

04.3. 補足情報 [任意]


FI 05. Negative screening - overview and rationale

05.1. ネガティブスクリーニングを実行する理由を明示してください。

SSA

SSA

社債(金融)

社債(金融)

社債(非金融)

社債(非金融)

証券化商品

証券化商品

05.2. 投資ユニバースから発行体についてESGベースのネガティブスクリーニングを行うアプローチについて説明してください。

The SSA approach screens out the sanctioned countries eventhough the bonds might not be mentioned directly. The screen also excludes countries with a low and decreasing ESG-performance. A country could have a low rating, but it would need to have a positive outlook og positive ESG-performance to past few years.

The HY and IG funds exclude fossil fuels. These are innovated from direct customer demand. Some of the customers wants to exclude fossil fuels from a risk perspective, while others find fossil fuel investments in conflict with the defined goals of their organisations. 

05.3. 補足情報 [任意]


FI 06. Examples of ESG factors in screening process

06.1. スクリーニング条件に含まれているESG要因の例を挙げてください。

種類

ESG要因

スクリーニング

スクリーニングの説明

Venezuela SSA is excluded, because of the deteriorating basic political freedoms and negative democratic development.

種類

ESG要因

スクリーニング

スクリーニングの説明

Wells Fargo is excluded from some funds because of the several cases of fradulent behavior towards customers and investors.

種類

ESG要因

スクリーニング

スクリーニングの説明

Ecolab is excluded because of its revenues deriving from servicing fossil fuel companies.

種類

ESG要因

スクリーニング

スクリーニングの説明

Nutrien is excluded for breaches of international norms through its continued sourcing of phosphate rock from occupied Western Sahara, without the consent of the Sahwhari people as described in the agreement between Marocco and the Polisario/ UN.

06.2. 補足情報 [任意]


FI 07. Screening - ensuring criteria are met

07.1. 債券投資においてファンドスクリーニングの基準に違反がないことを確認するために組織が使用しているシステムを記載してください。

スクリーニングの種類
ネガティブ/排他的スクリーニング​
基準に基づくスクリーニング​

07.2. 補足情報 [任意]


C) 実施:ESG問題の統合

FI 11. Integration overview

11.1. ESGを従来の財務分析に統合するアプローチを説明してください。

Nykredit believes that companies caring about their customers, employees and rest of society are more profitable. A company who decides to be part of the solution rather than the problem will have reduced their risk and improved opportunities all other things being equal.

When applied to bonds the improved risk assesment is at the forefront, but the future should capture the opportunity part as well.

 

11.2. 投資する債券の各種類に対してESG統合アプローチをどのように調整するのか説明してください。

SSA

The SSA issuer focussing on improved education, reduction of corruption og freedom of speech could be a be good opportunity. 

社債(金融)

The strong governance of the financial corporate issuance is a strong way to reduce risk. Access to finance could be an opportunity. And risk assesment related to the TCFD will soon be a must.

社債(非金融)

The corporate issuer deeply rooted in the oil industri and with a strong balance sheet has huge risks related to green transition. 

証券化商品

Whereas the issuer of securitised bonds with a very strong credit policy and a loan book a high porportion of ecological farmers and climate friendly housing might have reduced risks compared to traditional analysis.

11.3. 補足情報 [任意]


FI 12. Integration - ESG information in investment processes

12.1. ESG情報が、通常、投資プロセスの一部としてどのように使用されるのか記載してください。

当てはまるものをすべて選択してください
SSA
社債(金融)
社債(非金融)
証券化商品​
ESG分析をファンダメンタル分析に組み込んでいる
ESG分析を証券ウェイト判断に組み込んでいる
ESG分析をポートフォリオ構築判断に組み込んでいる
ESG分析は組織内の信用格付けまたは評価の標準要素になっている
発行体のESG分析が、投資委員会の標準議題になっている
組織内の調査レポートまたは同様文書で定期的にESG分析が取り上げられる
ESG分析は、進行中のポートフォリオ監視の標準項目に入っている
ESG分析は、すべての組織内の発行体概要または同様文書に含まれる
その他(具体的に記載してください)

12.2. 補足情報 [任意]


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

13.1. 組織の統合プロセスでESG問題をどのように検討するか示してください。

E(環境)
S(社会)
G(ガバナンス)
SSA

E(環境)

S(社会)

G(ガバナンス)

社債(金融)

E(環境)

S(社会)

G(ガバナンス)

社債(非金融)

E(環境)

S(社会)

G(ガバナンス)

証券化商品

E(環境)

S(社会)

G(ガバナンス)

13.2. 組織の統合プロセスでE/S/G要因を検討する方法を詳しく説明してください。

SSA

The E is focused on a combination of reliance on fossil fuels/fossil fuel production, polution and biodiversity. This is captured in some of the rating methodology, but also more in detail on the specific country.

The S is basic developmental meterics as education, unemployment rates, crime and health as well as demographics.

The G is democratic governance, basic freedoms and human rights. Another very important G-KPI is anti corruption.

社債(金融)

Governance is at the hearth of this analysis. And this is governance in a very broad sense. From board level to procedures. All are exposed to potential customer covered by international sanction, but some more than others. This is just one more example to highlight to importance of good governance in an industry deeply effected by malpractise and the resulting fines. Part of this metric is also finansial stability.

The S is related to financial product safety and access to finance. Privacy and human capital are very important as well.

Financing environmental impact is the natural E. Could be combined with aspects og green bonds.

社債(非金融)

The E, S and G depends of the specific sector the issuers are doing business in. However the G is naturally very important.

証券化商品

The governance of issuer is equally as important here as with financial coporates. So is the part it plays in the finansial stability. Access to finance and financing environmental impact could be a signal towards the use of proceeds. More interesting is however to look into what the proceeds themselves are financing and naturally the credit policy.

13.3. 補足情報 [任意]


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