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NN Investment Partners

PRI reporting framework 2019

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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

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
89 スクリーニングのみ
0 テーマのみ
0 統合のみ
10 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
1 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
99 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
1 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
99 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
1 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 basis for NN IP's responsible investment approach is NN Group's Responsible Investment Framework policy. Following this policyNN IP incorporates the following in its Fixed Income approach:

NN IP applies the restricted list of NN Group. This includes Countries: Sovereign issuers involved in severe and systematic violations of Human Rights, against which arms embargoes have been issued by the UN Security Council

Based on NN’s exclusion list, NN IP also does not invest in controversial weapons, arms trade entities that are subject to embargoes and tobacco production, as well as oil sands involved companies.

We use ESG integration because we strongly believe the incorporation of ESG factors can enhance the risk-return profile of our investments.

For clients who want to take Responsible Investments a step further, we offer specialized Sustainable and Impact funds and tailor-made solutions.

In the Green Bond fund and the collaboration with FMO, the SDG's also play a role in determining the investment universe 

01.3. 補足情報 [任意]

 

 

 


FI 02. ESG issues and issuer research (Private)


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。

具体的に記載してください

          ESG committee meets on quarterly basis, with representatives from all investment teams to discuss current status of ESG incorporation, and potential improvements
        

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。

          ESG awareness throughout the entire investment culture
        

03.3. 補足情報 [任意]

Comprehensive research is undertaken/sourced to determine issuers’ ESG performance. Mentality regarding ESG awareness is embedded in the NN IP culture to such an extent that responsible investing has become common sense investing. Detailed ESG information is readily available throughout the organization.


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)
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。

The basis for NN IP's responsible investment approach is NN Group's Responsible Investment policy framework. NN IP applies the restricted list of NN Group. This includes Countries: Sovereign issuers involved in severe and systematic violations of Human Rights, against which arms embargoes have been issued by the UN Security Council. Based on NN’s exclusion list, NN IP also does not invest in controversial weapons, arms trade entities that are subject to embargoes and tobacco production. NN IP’s RI approach is a reflection of our investment beliefs, the organisation’s values, relevant laws, and internationally recognized standards such as the United Nations Global Compact and OECD Guidelines for Multinational Enterprises (hereafter: OECD Guidelines), based on which minimum requirements have been developed that have to be adhered to in the investment process. NN Group entities comply with all applicable sanction laws and regulations. For our Sustainable corporate bond funds, negative screening is based on controversial behaviour (norms-based screening) as well as exclusion of certain sectors  (gambling, adult entertainment, fur and specialty leather and weapons). NN IP applies positive screening for the Euro Green Bond fund on top of the already restrictive Green Bond Principles criteria.

 

04.3. 補足情報 [任意]


FI 05. Examples of ESG factors in screening process (Private)


FI 06. Screening - ensuring criteria are met

06.1. 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​
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​

06.2. 補足情報 [任意]

Information is reviewed on a regular basis, just as changes to the restricted list of companies and countries. The restricted companies and countries fall under NN IP's pre-trade compliance checks, resulting in automatically blocking trades in them. Regular post-trade compliance checks are in place as well. The ESG committee reviews changes to the restricted list on a quarterly basis.

In addition, KPMG audits sustainble fixed income strategies and mandates for the annual report of NN  Group 


B) 実施:テーマ

FI 07. Thematic investing - overview (Private)


FI 08. Thematic investing - themed bond processes

08.1. グリーン債原則に従ったテーマ債券の発行に関連する透明性や開示を奨励しているかどうか示してください。社会貢献債原則またはサステナビリティ債ガイドライン。

08.2. 発行体が提供文書の記載に従って、債券収益を配分していないときに取るべき対応策を説明してください。

If issuers are not disbursing  bond proceeds as committed to, we would  initially engage with them to understand why this has been the case. In case this will not lead to a full disbursement as has been committed to in the short run, the bond will be re-assessed in NN IP’s monthly green bond workstream and could lead to removing the eligibility label of the bond. If unlabelled the bond will have to be sold within 3 months.

08.3. 補足情報 [任意]


FI 09. Thematic investing - assessing impact

09.1. 組織のテーマ投資の環境的または社会的影響を評価する方法を示してください。

09.2. 補足情報 [任意]


C) 実施:ESG問題の統合

FI 10. Integration overview

10.1. 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。

As an integral part of our research process, ESG analysis is carried out by NN IP's mainstream analysts. Analysts have access to several independent ESG databases, including Sustainalytics, ISS, Bloomberg, Refinitiv and others. This includes information on how each company scores on different ESG factors compared to its sector average and if there are any structural issues or controversies from ESG perspective. ESG factors covered include, amongst others, environmental damage and climate change, bribery and corruption, human rights, health and safety and corporate governance. These data are also used for our dedicated Sustainable funds. The analysts incorporate the results of their analysis into fixed income research templates, called score cards, ensuring they have looked at all material aspects. This process is quite similar to the ESG integration process on the equity side, but with more emphasis being put on the downward risks. Portfolio managers at NN IP take the score cards into account when making investment decisions. NN IP also has a partnership with Climate Bond Initiative which provides access to their database on the green bond market.

10.2. 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

We consider the biggest ESG risks to be in the Emerging Markets space, in particular in regards to governance and human rights concerns. Our EMD investment process includes ESG integration, where our focus is primarily on the Governance factor. We measure Governance in our proprietary sovereign risk model, through a quantitative assessment of inter alia institutional quality and competitiveness. We believe a well-functioning government as well as a competitive legislative framework assist in allowing companies and individuals to invest and grow, and support in earning foreign exchange. Our research shows that institutional quality (e.g. Governance) matters on a 3-5 year horizon. Data do, in our view, not always capture, the incremental improvement (deterioration) in governance performance that can occur. The newly elected president in Pakistan, for example, might (by only looking at historical data) be punished for the policies of his predecessors, while we believe that he has the intention and support to achieve positive change going forward. We therefore do not rely solely on the quantitative data that our Sovereign Country Credit Model produces, our analysts and portfolio managers always add a qualitative opinion to that. We incorporate Governance because we believe it is leading in defining the state of ESG and has the most predicative power when it comes to spread levels.

社債(金融)

ESG research is conducted in-house by our credit analyst teams, who explicitly score companies on their performance on Environmental, Social and Governance factors as part of their research process. The result of our in-house credit analysis, including the assessment of the company's performance on ESG factors, is documented into a company score card for each issuer under coverage. Our in-house ESG specialists support the ESG analysis conducted by our credit analyst teams.

社債(非金融)

ESG research is conducted in-house by our credit analyst teams, who explicitly score companies on their performance on Environmental, Social and Governance factors as part of their research process. The result of our in-house credit analysis, including the assessment of the company's performance on ESG factors, is documented into a company score card for each issuer under coverage. Our in-house RI specialists support and guide this effort.

10.3. 補足情報 [任意]

NN IP has partnered with ECCE (European Centre for Corporate Engagement, linked to University of Maastricht) and conducted research of the link between ESG and performance. We published white papers on the materiality of ESG factors on the performance of equities. The main outcome of this extensive work on equities was that scores momentum and controversy levels were the most relevant factors. NN IP and ECCE are now strengthening their collaboration to span research on credit issuers as well. This academic research is used to gain new insights related to the link between ESG factors and the financial performance of issuers.


FI 11. Integration - ESG information in investment processes

11.1. 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)
ESG分析をファンダメンタル分析に組み込んでいる
ESG分析が発行体の内部信用評価を調整するために利用される
ESG分析が予想財務業績および将来キャッシュフロー予測を調整するために利用される
ESG分析が発行体の同業グループと比較したランキングに影響する
発行体のESG債スプレッドおよび同セクター企業に対するその相対価値が、すべてのリスクが織り込まれているか否かを把握するために分析される
各種デュレーション/満期の発行体債券へのESG分析の影響が分析される。
感度分析およびシナリオ分析が、ベースケースとESG組み込み証券評価の差を比較する評価モデルに適用される
ESG分析が、ポートフォリオのウェイティング決定に組み込まれている
会社、セクター、国、通貨が、ESGエクスポージャーの変化およびリスク制限の違反についてモニタリングされる
ESGリスクが大きい証券についてポートフォリオのESGプロファイルが検討され、ベンチマークのESGプロファイルと比較して評価される
その他(具体的に記載してください)

11.2. 補足情報 [任意]


FI 12. Integration - E,S and G issues reviewed

12.1. 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)

12.2. 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

ESG research is carried out by the investment analysts who, depending on the portfolio, use Sustainalytics or the EMD governance scorecard for sovereign issuers. This information gives the analyst great insights to determine how each sovereign issuer scores on different factors. The results of these scores are incorporated in investment process.

社債(金融)

ESG research is carried out by the investment analysts who use Sustainalytics, information provided by the company, Bloomberg, and other sources. This information gives the analyst a framework to determine how each company scores on different ESG factors. The results of this research are incorporated in each score card. Key in this process is to determine how material the underlying issues are.

社債(非金融)

ESG research is carried out by the investment analysts who use Sustainalytics, information provided by the company, Bloomberg, and other sources. This information gives the analyst a framework to determine how each company scores on different ESG factors. The results of this research are incorporated in each score card. Key in this process is to determine how material the underlying issues are.

12.3. 補足情報 [任意]


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