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

New York State Common Retirement Fund

PRI reporting framework 2019

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

ESG issues in asset allocation

SG 13. ESG issues in strategic asset allocation

13.1. Indicate whether the organisation undertakes scenario analysis and/or modelling and provide a description of the scenario analysis (by asset class, sector, strategic asset allocation, etc.).

Describe .The Fund participated in Mercer’s 2015 scenario study, which assessed the impact of climate change on the total portfolio

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

13.3. Additional information. [OPTIONAL]


SG 13 CC.

13.4 CC. Describe how the organisation is using scenario analysis to manage climate-related risks and opportunities, including how the analysis has been interpreted, the results and any future plans.

Describe

The 2015 Mercer analysis found that the impact of climate change on the total portfolio is potentially significant. The Fund’s public equity allocations heavily favored developed markets, which are expected to suffer most in the event of swift/strong policy action such as envisioned a 2 degree scenario. This led to the Fund’s construction of the Fund’s Low Emission Index and undertaking annual carbon footprint analysis.

13.5 CC. Indicate who uses this analysis.

13.6 CC. Indicate whether the organisation has evaluated the impacts of climate-related risk, beyond the investment time-horizon, on the organisations investment strategy.

Please explain the rationale

The Fund’s investment time horizon is long term and perpetual. The Mercer study focused on a 35 year timeframe from 2015 through 2050, which is within the Fund’s investment time horizon.

13.7 CC. Indicate whether a range of climate scenarios is used.

Indicate the climate scenarios the organisation uses.
Provider
Scenario used
IEA
IEA
IEA
IEA
IEA
IRENA
Greenpeace
Institute for Sustainable Development
Bloomberg
IPCC
IPCC
IPCC
IPCC
Other

Other (1) please specify:

          Mercer's proprietary climate scenarios
        
Other
Other

SG 14. Long term investment risks and opportunity

14.1. Some investment risks and opportunities arise as a result of long term trends. Indicate which of the following are considered.

other description (1)

          Climate regulations such as carbon pricing and fuel standards
        

other description (2)

          Physical impacts such as sea level rise
        

14.2. Indicate which of the following activities you have undertaken to respond to climate change risk and opportunity

Specify the AUM invested in low carbon and climate resilient portfolios, funds, strategies or asset classes.

Total AUM
trillions billions millions thousands hundreds
Currency
Assets in USD
trillions billions millions thousands hundreds

Specify the framework or taxonomy used.


Sustainable Investment Program
(PGS 15-18)
https://www.osc.state.ny.us/reports/esg-report-mar2017.pdf

14.3. Indicate which of the following tools the organisation uses to manage climate-related risks and opportunities.

other description

          Exposure to low carbon and sustainable investments
        

14.5. Additional information [Optional]


SG 14 CC.

14.6 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
Weighted average carbon intensity
          To inform investment decision, active ownership program
        
          Tons CO2e / US$ Market Cap
        
          Scope 1 and Scope 2 GHG emissions are allocated
based on portfolio weights
        
Carbon footprint (scope 1 and 2)
          To inform investment decision, active ownership program
        
          Tons CO2e / US$ Market Cap
        
          Scope 1 and Scope 2 GHG emissions are allocated
based on portfolio weights
        
Portfolio carbon footprint
          To inform investment decision, active ownership program
        
          Tons CO2e / US$ Market Cap
        
          Scope 1 and Scope 2 GHG emissions are allocated
based on portfolio weights
        
Exposure to carbon-related assets
          To inform investment decision, active ownership program
        
          US$ and % of investments in carbon related-assets
        
          US$ and % of investments in carbon related-assets
US $
        

14.8 CC. Indicate whether climate-related risks are integrated into overall risk management and explain the risks management processes for identifying, assessing, and managing climate-related risks.

Please describe

The Fund conducts comprehensive environmental, social and governance (ESG) assessments for all new investments and conducts an annual climate risk assessment by measuring the carbon footprint of the Fund’s public equity portfolio (which had an 8.8 percent lower overall emissions profile than its benchmark in 2018).

14.9 CC. Indicate whether the organisation undertakes active ownership activities to encourage TCFD adoption.

Please describe

The Fund has filed a number of shareholder proposals with energy and electric utility companies, resulting in agreements on enhanced disclosures including two degree scenario analysis and GHG emissions reduction targets, recommended by the TCFD. The Fund has been the lead investor of the Climate Action 100+ investor engagement groups, asking Exxon, American Electric Power, and Martin Marietta to adopt the TCFD recommendations


SG 15. Allocation of assets to environmental and social themed areas

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.

3.5 %

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

CAFR

https://www.osc.state.ny.us/retire/word_and_pdf_documents/publications/cafr/cafr_18.pdf

Press Release

https://www.osc.state.ny.us/press/releases/jan18/013118.htm

https://www.osc.state.ny.us/press/releases/jan18/013118.htm

https://www.osc.state.ny.us/press/releases/dec15/120415.htm

 

 

Asset class invested

1 % of AUM

Brief description and measures of investment

CAFR

https://www.osc.state.ny.us/retire/word_and_pdf_documents/publications/cafr/cafr_18.pdf

Press Release

https://www.osc.state.ny.us/press/releases/jan18/013118.htm

https://www.osc.state.ny.us/press/releases/jan18/013118.htm

https://www.osc.state.ny.us/press/releases/dec15/120415.htm

Asset class invested

1 % of AUM

Brief description and measures of investment

CAFR

https://www.osc.state.ny.us/retire/word_and_pdf_documents/publications/cafr/cafr_18.pdf

Press Release

https://www.osc.state.ny.us/press/releases/jan18/013118.htm

https://www.osc.state.ny.us/press/releases/jan18/013118.htm

https://www.osc.state.ny.us/press/releases/dec15/120415.htm

          Low Carbon
        

Asset class invested

2 % of AUM

Brief description and measures of investment

CAFR

https://www.osc.state.ny.us/retire/word_and_pdf_documents/publications/cafr/cafr_18.pdf

Press Release

https://www.osc.state.ny.us/press/releases/jan18/013118.htm

https://www.osc.state.ny.us/press/releases/jan18/013118.htm

https://www.osc.state.ny.us/press/releases/dec15/120415.htm

15.4. Please attach any supporting information you wish to include. [OPTIONAL]



Top