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ERAFP - Etablissement de Retraite Additionnelle de la Fonction Publique Pension Scheme

PRI reporting framework 2020

You are in Direct - Fixed Income » Outputs and outcomes

Outputs and outcomes

FI 17. Financial/ESG performance

17.1. Indicate whether your organisation measures how your incorporation of ESG analysis in fixed income has affected investment outcomes and/or performance.

Select all that apply
SSA
We measure whether incorporating ESG impacts portfolio risk.
We measure whether incorporating ESG impacts portfolio returns.
We measure the ESG performance/profile of portfolios (relative to the benchmark).
None of the above

17.2. Describe how your organisation measures how your incorporation of ESG analysis in fixed income has affected investment outcomes and/or ESG performance. [OPTIONAL]

Every six month the ESG performance of the sovereign bond portfolio is updated and reported by ERAFP's ESG third party provider (Vigeo). The portfolio's ESG performance is compared to a benchmark and over time. ESG ratings are also communicated to ERAFP's risks team which includes them in their analysis.

17.3. Additional information.[OPTIONAL]


FI 18. Examples - ESG incorporation or engagement

18.1. Provide examples of how your incorporation of ESG analysis and/or your engagement of issuers has affected your fixed income investment outcomes during the reporting year.

ESG issue and explanation

Aside from the integration of best in class ESG criteria the Board of Directors decided to add three specific exclusion criteria for sovereign bonds. Are excluded from the investment universe, countries which:
- have not abolished the death penalty,
- practice torture,
- have recourse to child soldiers

Impact on investment decision or performance

As previous years, in 2019, sovereign bonds issuers for which ERAFP directly invests and are involved in at least one exclusion criteria are not invested.
For instance, ERAFP is not allowed to subscribe US sovereign bonds.

ESG issue and explanation

ESG review and dialogue with issuers of ERAFP's service provider

Impact on investment decision or performance

For public bonds evaluation, Vigeo, ERAFP's SRI provider, send a questionnaire in addition to public information they collect. After having received the questionnaire completed by local agencies, states services, ... they could dialogue with issuers to better understand their answers and encourage transparency. Vigeo could also dialogue with a public issuer to monitor and evaluate a controversy and the reactions. Dialogue with issuers impacts Vigeo's ESG evaluation. 

18.2. Additional information.

ERAFP also incorporates ESG analysis and engages with issuers for corporate fixed income. The management of corporate fixed income is fully delegated to asset managers selected by ERAFP but they have to apply ERAFP's SRI rules including ESG best in class and engagement with issuers. Applying best in class, asset managers exclude a part of universe reference on ESG basis. Moreover, they have to dialog with issuers for the improvement of their ESG performance and disclosure.

In 2019, asset managers report that on the companies engaged, a dozen changed or made a formal commitment to change. Some engagement on the corporate bonds portfolio have participated to reinforce the confidence in bond performance and, conversely, sometimes participated to sold as the engagement was not successful


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