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ACTIAM

PRI reporting framework 2019

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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income » (C) Implementation: Integration

(C) Implementation: Integration

FI 10. Integration overview

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

An ACTIAM ESG score is assigned to all assets in the investment universe plus an ESG score is determined at portfolio level. The aim is to achieve the highest possible ESG score. From February 22, 2018 onwards, this aim is further specified with a target ESG score which is either in the upper quartile of the spectrum or at least 10 points higher than the ESG score of the related benchmark. This benchmark can vary per strategy. 

The minimum requirement is that the portfolio must be constructed in such a way that the ESG score of the portfolio is aimed to be at least higher than the ESG score of the benchmark at all times. In order to realise the ESG objectives, the portfolio managers will prefer bonds issued by companies which are actively contributing to the SDGs. In that context, the managers will aim to keep at least 10% of the portfolio in Green, Social and/or Sustainable Bonds.

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

SSA

For sovereigns, we have an adapted ESG score that is constructed of indicators relevant for sovereigns as opposed to companies. However, the process is the same. First a screening is conducted based on the ACTIAM Fundamental Investment Principles, which leads to the exclusion of sovereigns, and an ESG score is attributed to the remaining sovereigns. For determining the ESG score we look at different data sources like contribution to the SDGs (see SDGindex.org for more information).  

Corporate (financial)

The process is the same as described in FI 10.1, other criteria apply for determining the ACTIAM ESG score. 

Corporate (non-financial)

The process is the same as described in FI 10.1, other criteria apply for determining the ACTIAM ESG score. 

Securitised

The process is the same as described in FI 10.1, other criteria apply for determining the ACTIAM ESG score. 

10.3. Additional information [OPTIONAL]


FI 11. Integration - ESG information in investment processes

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

Select all that apply
SSA
Corporate (financial)
Corporate (non-financial)
Securitised
ESG analysis is integrated into fundamental analysis
ESG analysis is used to adjust the internal credit assessments of issuers.
ESG analysis is used to adjust forecasted financials and future cash flow estimates.
ESG analysis impacts the ranking of an issuer relative to a chosen peer group.
An issuer's ESG bond spreads and its relative value versus its sector peers are analysed to find out if all risks are priced in.
The impact of ESG analysis on bonds of an issuer with different durations/maturities are analysed.
Sensitivity analysis and scenario analysis are applied to valuation models to compare the difference between base-case and ESG-integrated security valuation.
ESG analysis is integrated into portfolio weighting decisions.
Companies, sectors, countries and currency and monitored for changes in ESG exposure and for breaches of risk limits.
The ESG profile of portfolios is examined for securities with high ESG risks and assessed relative to the ESG profile of a benchmark.
Other, specify

11.2. Additional information [OPTIONAL]


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

12.1. 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

Securitised

Environmental

Social

Governance

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

SSA

The ESG information is systematically incorporated into our systems and is applicable to all portfolios. Hereby, the portfolio manager has an ESG score for all the issuers that can be invested in. These scores are reviewed and updated on a regular basis. The portfolio manager is required to take the ESG information into account, as the ESG score of his/her portfolio needs to be higher than the ESG score of the benchmark at the minimum (dependent on the specifics of the fund or mandate). Next to that there is a target to have to portfolio score as high as possible. This is a KPI for the portfolio managers. The scores are also tracked by the Fund Management Committee.

Corporate (financial)

Please see above as the ACTIAM process for ESG intergation is independent of type of fixed income instrument

Corporate (non-financial)

Please see above as the ACTIAM process for ESG intergation is independent of type of fixed income instrument

Securitised

Please see above as the ACTIAM process for ESG intergation is independent of type of fixed income instrument

12.3. Additional information.[OPTIONAL]

The ESG scores are available for all portfolios, however the implementation of a minimum score for the portfolio is not currently applicable to a mandates. Our Fundamental Investment Principles are.


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