This report shows public data only. Is this your organisation? If so, login here to view your full report.

Fonds de réserve pour les retraites - FRR

PRI reporting framework 2018

You are in Strategy and Governance » ESG issues in asset allocation

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
          Global portfolio
        
          SRI strategy for the next periode will be more precise regarding climate change than the last one.
        
          Relative to its theoretical trajectory (i.e. portfolio
made up of the same companies but behaving in
line with the sector trajectories as defined in the
IPCC/IEA/SDA scenarios), the portfolio
trajectory:
has higher emissions in 2010 than the theoretical
portfolio;
shows an improvement in its trajectory similar
to that of the theoretical portfolio and is
therefore unable to close the gap.
http://www.fondsdereserve.fr/documents/Report-2016-article-173-lte.pdf
        
          This analysis is used and commented during investment committees
        

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

          Sector exclusion.
        

13.3. Additional information. [OPTIONAL]


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 FRR has selected Trucost Ltd to analyse and measure the environmental footprint of the portfolio. Trucost Ltd is an expert in analysing and measuring portfolios’ carbon footprints. To assist it in its work and to meet all of the FRR’s needs, Trucost Ltd has delegated specific tasks to four highly specialised agencies: Beyond Ratings specialises in analysing sovereign bonds. Four Twenty Seven specialises in analysing physical and climate risks. Grizzly Responsible Investment specialises in aligning portfolios with a 2°C scenario. I Care & Consult specialises in analysing the green share of portfolios. The FRR relied on this panel of experts to obtain a comprehensive, accurate and fully integrated analysis.

Moreover FRR has selected Vigeo-Eiris that applies methodologies which are appropriate and specific to the different categories of controversies: those related to controversial weapons; those related to the Global Compact; those inherent in the tobacco industry. 

All the methodologies used are describe in the art. 173 LTE report, "The FRR and the climate challenge"

http://www.fondsdereserve.fr/documents/Report-2016-article-173-lte.pdf

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.

The FRR has selected Trucost Ltd to analyse and measure the environmental footprint of the portfolio. Trucost Ltd is an expert in analysing and measuring portfolios’ carbon footprints. To assist it in its work and to meet all of the FRR’s needs, Trucost Ltd has delegated specific tasks to four highly specialised agencies: Beyond Ratings specialises in analysing sovereign bonds. Four Twenty Seven specialises in analysing physical and climate risks. Grizzly Responsible Investment specialises in aligning portfolios with a 2°C scenario. I Care & Consult specialises in analysing the green share of portfolios. The FRR relied on this panel of experts to obtain a comprehensive, accurate and fully integrated analysis.

Moreover FRR has selected Vigeo-Eiris that applies methodologies which are appropriate and specific to the environemental criterias of the Global Compact. 

All the methodologies used are describe in the art. 173 LTE report, "The FRR and the climate challenge"

http://www.fondsdereserve.fr/documents/Report-2016-article-173-lte.pdf

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
Climate-related targets
          
        
          
        
          
        
          
        
          
        
          
        
Weighted average carbon intensity
          Majority of FRR's portfolio
        
          Measure the selectivity of asset managers
        
          CO2 equivalent (tCO2e)
per million euro in revenue
        
          The average footprint is calculated as the
arithmetic average of the carbon intensities of
companies in the portfolio weighted by their
share in the portfolio
        
          +22.82% from 2016 to 2017
        
          The weighted average
of the portfolio’s carbon footprints only evaluates
the portfolio’s exposure to emission-intensive
companies, and thus does not consider the
concept of responsibility
        
Carbon footprint (scope 1 and 2)
          Majority of FRR's portfolio
        
          Measure the volume
        
          CO2 equivalent (tCO2e)
        
          
        
          
        
          Portfolio carbon footprint measure the absolute emission. If AUM change, results can't be compared.
        
Portfolio carbon footprint
          Majority of FRR's portfolio
        
          Measure the volume of emissions of a portfolio
        
          CO2 equivalent (tCO2e)
        
          
        
          
        
          Portfolio carbon footprint measure the absolute emission. If AUM change, results can't be compared.
        
Total carbon emissions
          Majority of FRR's portfolio
        
          Give an idea of the emissions of the portfolio
        
          CO2 equivalent (tCO2e)
        
          
        
          
        
          At this stage, it difficult to consolidate emissions from bonds and equities because metrics are nos homogeneous.
        
Carbon intensity
          Majority of FRR's portfolio
        
          Assess the portfolio performance
        
          Those ratios are expressed in tonnes of CO2 equivalent (tCO2e) per million euro invested or/and  in tonnes of CO2 equivalent (tCO2e) per million euro in revenue
        
          The footprint in capital terms is calculated per million euro invested; the carbon footprint in terms of revenue is calculated by dividing companies’ annual CO2 emissions by the annual revenue generated by their activities
        
          +4.16% (turnover methode)
+4.80% (capital methode)
        
          Normalisation by capital or turnover generate volatility due to changes of the equity price and turnover evolutions.
        
Exposure to carbon-related assets
          Majority of FRR's equities portfolio
        
          Evaluate future emissions, stranded assets
        
          Tonnes of CO2eq/million € of capital
        
          Future emissions financed per million euro invested
        
          
        
          Evaluation of volume is complicated  and heterogenious. This is the reason why comparaison is difficult.
        

14.4b CC. Please describe in further detail your key targets.

Target type
Time Frame
Base Year
KPI
Target Methodology
Limitations / Weaknesses
Attachments
          2017
        
          No base year, it's a relative target.
        
          CO2 equivalent (tCO2e) per million euro in revenue
        
          FRR use the scope 1, 2 and 3 first cycle up stream.
Target : 50% reduction.
        
          FRR use the scope 1, 2 and 3 first cycle up stream.
A full scope 3 + scope 4 (avoided emissions) would be better.
        

          2017
        
          No base year, it's a relative target.
        
          CO2 equivalent (tCO2e) per million euro in capital.
        
          FRR use the P1 and 2 reserves.
Target : 50% reduction.
        
          A few sectors are concerned by reserves.
        

14.5. If you selected disclosure on emissions risks, list any specific climate related disclosure tools or frameworks that you used.

CO2 emissions/capital invested and /turnover + average intensity (equities and bonds), Climate risks, 2°c alignment and green share.

14.6. Additional information [Optional]

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

Please describe

The FRR has selected Trucost Ltd to analyse and measure the environmental footprint of the portfolio. Trucost Ltd is an expert in analyzing and measuring portfolios’ carbon footprints. To assist it in its work and to meet all of the FRR’s needs, Trucost Ltd has delegated specific tasks to four highly specialised agencies:

  • Beyond Ratings specialises in analysing sovereign bonds.
  • Four Twenty Seven specialises in analyzing physical and climate risks.
  • Grizzly Responsible Investment specialises in aligning portfolios with a 2°C scenario.
  • I Care & Consult specialises in analysing the green share of portfolios.

The FRR relied on this panel of experts to obtaina comprehensive, accurate and fully integrated analysis.

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

At this stage FRR prioritise carbone emissions and reserves (including coal) and works on new metrics. 

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

Please describe

GLOBAL INVESTOR LETTER TO THE G20 (JULY 2016 – APRIL 2017)
Along with 158 institutional investors, the FRR signed a letter addressed to the G20 and G7 leaders before the summits held in 2016 and 2017. This letter invited the G20 to adopt measures for combatting climate change.

INSTITUTIONAL INVESTORS GROUP ON CLIMATE CHANGE (IIGCC)
The IIGCC is a forum for investors to collaborate on climate change. The IIGCC provides its  members with a collaborative platform to encourage public policies, investment practices, and corporate behaviour that address long-term risks and opportunities associated with climate
change. 

PARIS PLEDGE
By joining the Pledge, businesses, cities, civil society groups, investors, regions, trade unions and other signatories promised to ensure that the ambition set out by the Paris Agreement is met or exceeded to limit global temperature rise to less than 2 degrees Celsius.

MANIFESTO TO DECARBONIZE EUROPE (2016)
The signatories of the manifesto call upon all European States to immediately implement policies aiming to achieve a level of greenhouse gas emissions close to zero by 2050!

SIGNATURE OF THE CLIMATE CHANGE DECLARATION AT THE UN SUMMIT HELD ON
23 SEPTEMBER 2014
In signing this initiative, the FRR committed to:

  • collaborate with the authorities to take measures that encourage financing of energy transition towards a low-carbon economy;
  • identify and assess low-carbon investment opportunities;
  • develop investors’ ability to assess risks and opportunities linked to climate change, and incorporate this into investment methodologies;
  • foster dialogue on the issue of climate change with companies included in the portfolios;
  • publish the initiatives taken and progress made.

THE MONTREAL PLEDGE
Signed by 35 institutional investors at the Principles for Responsible Investment conference in
Montreal on 25 September 2014, it is backed up by the PRI and United Nations Environment Programme Finance Initiative (UNEP-FI). The investors who signed the Montreal Pledge have
undertaken to publish the carbon footprint of their equity investments each year.

THE PORTFOLIO DECARBONIZATION COALITION (PDC)
Launched in September 2014, this collaborative initiative aims to reduce greenhouse gas emissions
by mobilising a critical mass of institutional investors committed to measuring and decarbonising their portfolios. The FRR is at the forefront of this coalition.
Olivier Rousseau, a member of the FRR’s Management Board, sits on the PDC’s steering committee.

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

Those data are confronted to asset managers reports and shared during managers' investment committee.


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.

1 %

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

Brief description and measures of investment

Asset class invested

1 % of AUM

Brief description and measures of investment

Asset class invested

3 % of AUM
5 % of AUM
1 % of AUM

Brief description and measures of investment

Asset class invested

1 % of AUM

Brief description and measures of investment

Asset class invested

1 % of AUM

Brief description and measures of investment


Top