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VBV Vorsorgekasse AG

PRI reporting framework 2020

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

資産配分におけるESG問題

SG 13. ESG issues in strategic asset allocation

13.1. 貴社組織がシナリオ分析および/またはモデリングを実施するか記述してください。実施する場合、 シナリオ分析について説明してください(資産クラス別、セクター別、戦略的資産配分等)。

25語以内で説明してください 。 In 2019 we got engaged with third party service providers and an Austrian University on ESG solutions for the future and climate-aligned risks and opportunities. We think that E (environment) will have an increasing role in determining which sectors are profitablle to invest in in the future.
25語以内で説明してください 。 VBV has conducted a scenario analysis of climate-related risks and opportunities in 2019, resulting in a sectoral heatmap. Moreover there is an internal project team which evaluates climate risk models in order to integrate this information in the strategic asset allocation process in the nearby future.

13.2. 組織が戦略的な資産配分やセクターまたは地理的な市場間での資産の配分においてESG問題を考慮しているかどうかを記載してください。

以下を行っている

13.3. 補足情報 [任意]

So far we categorize our strategic asset allocation in traditional asset classes. ESG issues are taken into account when it comes to the selections of managers and before investments are made.

In practice, we can control/avoid our exposure to some climate-damaging sectors through:

-our SRI investment guidelines

-we are very careful when it comes to invest in small caps and in Emerging Market Debt and Emerging Market Equities, where we have a lower exposure than most of international asset owners.

 


SG 13 CC.

13.4 CC. 貴社組織が気候関連のリスクおよび機会を管理するためにどのようにシナリオ分析を利用しているかについて(分析がどのように解釈されているか、その結果、将来の計画等)、記述してください。

500語以内で自由に記載

In 2019 we got engaged with a leading  Austrian University and third party service providers on  climate-related risks and opportunities. We conducted a heat map scenario analysis of climate-related risks and opportunities for our invested securities with assistance from pwc Germany. The scenario analysis tested the resilience of our equity portfolio against a climate-related scenario of 2° Celsius or lower. The 2° Celsius scenario has been based on International Energy Agency with the time horizons 2025 and 2030. The result of the analysis for the time horizon 2025 showed that overall, under a 2° C pathway, the portfolio would be mostly resilient regarding transition risks. Until 2030, the portfolio might become less resilient and the geographic differences more profound. A deep dive into sectors showed that some sectors and sub sectors are more exposed to transition risks.

We acknowledged that most of the climate risk in a typical equity portfolio is very concentrated into fossile fuels.

Since 2016 we have no investment in coal in our portfolio and we are monitoring our holdings in oil & gas to keep them low and reducing them when we see the opportunity to do so.

13.5 CC. この分析をだれが利用するか記述してください。

具体的に記入してください

          SRI investment guidelines: valid for all our AUM.
Some of our external managers are divesting from upstream fossile fuels 
Findings from service providers: internal
        

13.6 CC. 貴社組織がその投資戦略について、投資期間を超えて、気候関連リスクの影響を評価しているか記述してください。

500語以内で自由に記載してください。

As severance-pay fund, we have a very long time horizon and we have been evaluating the potential impact of climate-related risks since our foundation and beyond our investment time horizon.

Therefore it is our aim to integrate climate-risk models in the strategic asset allocation and ALM process.

13.7 CC. 一定の範囲の気候シナリオを利用しているか記述してください。

13.8 CC. 貴社組織が用いる気候シナリオについて記述してください。

提供者
使用するシナリオ
IEA
IEA
IEA
IEA
IEA
IRENA
グリーンピース
持続的発展研究所
ブルームバーグ
IPCC
IPCC
IPCC
IPCC
その他

その他 (1) 具体的に記入してください:

          PACTA
        
その他
その他

SG 14. Long term investment risks and opportunity

14.1. 一部の投資リスクと機会は長期トレンドの結果として発生します。貴社では、以下のどの項目について考慮するか明示してください。

14.2. 気候に関するリスクと機会に対応して組織で実施されている活動を選択してください。

低炭素関連および気候変動に強いポートフォリオ、ファンド、戦略または資産クラスに投資されている運用資産(AUM)を明示してください

Total AUM
10億 100万
Currency
Assets in USD
10億 100万

使用された枠組みまたは分類法を明示してください

Our investment criteria provide a sufficient framework to favour low carbon investments.

 

14.3. 次のツールの中から気候関連リスクと機会の管理に組織が用いているものを選択してください。

14.4. 排出量リスクの開示を選択した場合、採用している開示方法またはそのフレームワークの中で気候関連のものを挙げてください。

Our reports are written by external parties and analyse our equity portfolio in terms of the carbon emissions and other carbon related characteristics of the underlying portfolio companies. They compare this data to the performance of a relevant respectively chosen market benchmark.  Metrics provide absolute and relative figures for portfolio carbon emissions and intensity measures: the total carbon emission answers the main question “What is my portfolio’s total carbon footprint?” as it measures the carbon footprint of a portfolio taking scope 1-2 emissions into account. The relative carbon footprint is a normalized measure of a portfolio’s contribution and is defined as the total carbon emissions of the portfolio per million EUR invested. It enables comparisons with a benchmark, between multiple portfolios, over time and regardless of portfolio size. Carbon intensity is expressed as the total carbon emissions per million EUR of revenue. It therefore measures the carbon efficiency of a portfolio per unit of output.

Together with PWC Germany we did a scenario anlysis:

• Two portfolios were analysed for transition risks in a 2°C global warming world (IEA), with
~1600 corporate titles (MSCI Portfolio) and ~400 titles VBV test portfolio. ~50% for MSCI and
~60% for VBV test of the overall titles in sectors that potentially are more exposed to climate related
risks and opportunities
• Risk position: Both portfolios would experience growth in a 2°C , the weighted MSCI
portfolio slightly higher (~1% p.a.)
• Portfolio management: However, an unweighted view shows material potential for
active portfolio management, leveraging the potential in transportation and agriculture, and
managing risks in the energy as well as materials and buildings sectors
• Company management: For active portfolio management, it is paramount to look into
sub-sectors and regional split
• Process integration and reporting: As the financial impacts result from fundamental
market, price, technology and competitive changes, the analysis can easily be integrated
into the existing company analysis and risk management, and provides the basis for the
TCFD integration roadmap and reporting as well as for strategy guidance

 

14.5. 補足情報 [任意]


SG 14 CC.

14.6 CC. 気候に関連するリスクと機会を評価するために使用されるこれらの重要な指標についての詳細を記入してください。

指標の種類
カバレッジ
目的
指標の単位
方法
気候関連の目標
          contribute to climate goals
        
          no investment in coal since 2016
        
          no investment in coal since 2016
        
加重平均炭素濃度
          contribute to climate goals
        
          Equity: 104,5 tCO2e/EUR mn invested
        
          Equity: 104,5 tCO2e
/EUR mn invested
        
カーボンフットプリント(スコープ1と2)
          know how much our investments emit per EUR invested
        
          Equity: 79,2 tCO2e/EUR mn invested
        
          pro-rata share of equity based on ownership
        
ポートフォリオのカーボンフットプリント
          know how much our investments emit per EUR invested
        
          Equity: 79,2 tCO2e/EUR mn invested
        
          pro-rata share of equity based on ownership
        
総炭素排出量
          know how much we emit through our investments
        
          Equity: 48.604,6 tCO2e (scope 1&2)
        
          pro-rata share of equity based on ownership
        
炭素濃度
          measure how much are carbon emissions per EUR
of revenue are generated
        
          Equity: 114,2 tCO2e/EUR MIo Revenue
        
          pro-rata share of equity based on ownership
        
炭素関連資産へのエクスポージャー
          no investment in coal
        
          no investment in coal
        
          no investment in coal
        

14.7 CC. 主要目標についてさらに詳しく記入してください。

目標の種類
基準年度
目標年度
内容
添付書類
          2019
        
          2019
        
          Carbon footprint 30% below MSCI World
        
          2020
        
          2020
        
          Carbon footprint 30% below MSCI World
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

14.8 CC. 気候関連のリスクが全体のリスク管理に組み込まれているかどうか記述してください。また、気候関連リスクを特定、評価、管理するために利用されたリスク管理プロセスについて説明してください。

500語以内で自由に記述。

We make use of the definitions of climate risks given by Carbon Tracker and IEA. Climate risk is part of our risk classification framework, as it has been ranked by our shareholders as one of the most important concern for our business. We took actions by actively investing into climate-friendly investment opportunities and by eliminating companies deriving more than 5% of their revenues from coal from our investment universe. We do consider existing and regulatory requirements related to climate change.

As VBV is working on fully integrating climate-related risks into risk management going forward, an internal project, with members from the risk management and the asset management department, has already been started in 2019.

 

 

14.9 CC. 貴社組織がTCFD採用を促すアクティブオーナーシップ活動を行うか記述してください。

説明してください。

PWC Germany produced a heatmap analysis for us, where an output was a development towards TCFD adoption:

Process integration and reporting: As the financial impacts result from fundamental
market, price, technology and competitive changes, the analysis can easily be integrated
into the existing company analysis and risk management, and provides the basis for the
TCFD integration roadmap and reporting as well as for strategy guidance.


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

15.1. 貴社にて、特定の環境および社会をテーマとする分野に基づいてファンドに資産を配分したり、ファンドを運用しているかどうかについて明示してください。

15.2. 環境および社会をテーマとする分野に投資された合計運用資産(AUM)の割合を明示してください。

15.5 %

15.3. 貴社が投資しているテーマ分野を明示のうえ、AUMに対する特定の資産クラスの割合を記載し、その内容を簡潔に説明してください。

分野

投資している資産クラス

1.5 % (AUMの)

簡潔な説明および投資尺度

We are invested in a mutual fund that specifically addresses renewables energy stocks and we directly also manage a basket of renewable energy titles.

投資している資産クラス

5.8 % (AUMの)

簡潔な説明および投資尺度

Sustainable real estate funds, both manadates and mutual funds.

投資している資産クラス

1.4 % (AUMの)

簡潔な説明および投資尺度

Loans to a municipal company providing social housing.

          Impact Investing, social bonds, green bonds, senior housing
        

投資している資産クラス

3.0 % (AUMの)
1.0 % (AUMの)
1.0 % (AUMの)
0.6 % (AUMの)
1.2 % (AUMの)

簡潔な説明および投資尺度

-dedicated global impact bond fund.

-green bonds and social bonds

-senior housing

-social infrastructure

 

15.4. 含めたい補足情報があれば、添付してください。 [任意] 


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