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Pensioenfonds Metaal en Techniek

PRI reporting framework 2020

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Organisational Overview
Basic information [OO 01 - 09] Asset class implementation gateway indicators [OO 10 - 12] Peering questions [OO LE 01 - HF 01]
Strategy and Governance
Investment policy [SG 01 - 04] Objectives and strategies [SG 05 - 06] Governance and human resources [SG 07 - 08] Promoting responsible investment [SG 09 - 11] Outsourcing to fiduciary managers and investment consultants [SG 12] ESG issues in asset allocation [SG 13 - 15] Asset class implementation not reported in other modules [SG 16 - 17] Innovation [SG 18] Communication [SG 19]
Indirect – Manager Selection, Appointment and Monitoring
Listed Equity and Fixed Income Strategies [SAM 01] Selection [SAM 02 - 03] Appointment [SAM 04] Monitoring [SAM 05 - 07] Outputs and outcomes [SAM 08 - 09]
Direct - Listed Equity Incorporation
ESG incorporation in actively managed listed equities [LEI 01 - 10] Implementation processes [LEI 01 - 10] (A) Implementation: Screening [LEI 04 - 06] (C) Implementation: Integration of ESG factors [LEI 08 - 10] ESG incorporation in passively managed listed equities [LEI 11] Outputs and outcomes [LEI 12 - 13]
Direct - Listed Equity Active Ownership
Overview [LEA 01] Engagement [LEA 02 - 08] Outputs and outcomes [LEA 09 - 11] (Proxy) voting and shareholder resolutions [LEA 12 - 21]
Direct - Fixed Income
ESG incorporation in actively managed fixed income [FI 01 - 12] Implementation processes [FI 01 - 03] (A) Implementation: Screening [FI 04 - 06] (C) Implementation: Integration [FI 10 - 12] Fixed income - Engagement [FI 14 - 16] Outputs and outcomes [FI 17 - 18]
Direct - Property
Overview [PR 01] Pre-investment (selection) [PR 04 - 06] Post-investment (monitoring and active ownership) [PR 08 - 14] Overview [PR 08] Property monitoring and management [PR 09 - 10] Property developments and major renovations [PR 11] Occupier engagement [PR 12 - 13] Community engagement [PR 14] Outputs and outcomes [PR 15 - 16]
Confidence building measures
Confidence building measures [CM1 01 - 07]
Export Public Responses
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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
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
100 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
0 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
100 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
0 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。

SSA (DM): We use negative screening based on UN PRI principals and European sovereign bonds investments we score the countries by looking at several governance indicators. We look at three areas for our inclusion: economic, financial, and governance indicators. Only the countries that score sufficient are eligible for inclusion. We take into account Governance data from the World Bank Worldwide Governance Index. 

SSA (EMD): We use negative screening based on UN PRI principals and ESG criteria (based on a set of ESG indices such as ND-GAIN, Human Development Index, WB Gov indicators etc., which are updated yearly) to provide a minimum level of ESG standards in the portfolio. This results in excluding around 50% of the amount of countries. When we’ve established the investable universe, we do a deep-dive in each country that we are allowed to invest in and we take into account data that covers E, S and G. The analysis done is updated regularly and consists indicators like United Nations Human Development Index, World Bank Worldwide Governance Index, Heritage Index of Economic Freedom, World Bank Ease of Doing Business Index, environmental data to analyze countries.

Corporates (Fin and non-Fin), see FI 01.3.

01.3. 補足情報 [任意]

Corporates (Fin and non-Fin): Apart from a company specific ESG paragraph, we construct specific ESG sector reports for sector which are most sensitive to these factors, such as Utilities, Climate, Energy and Tobacco. In these sector ESG reports, we explain what subsectors/group of companies are preferred from a risk perspective, which serves as an important input factor for our bottom-up company analysis. We use negative screening based on UN PRI principals and on specific ESG risks which we have identified on a sector basis for sectors which are most prone to those risks. We use positive screening in instrument selection (green bonds). Subsequently, we (analyst is in the lead, but portfolio managers are also involved) perform a downside risk analysis which is most important to bondholders. Risks and opportunities with respect to environmental, social and governance issues are explicitly taken into account and fully integrated in our analysis. As it could have impact on credit quality or even threaten the viability of a company's business model. Thematic is used when all companies within a sector are heavily exposed to a certain trend and therefore the risk is more systemic.

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 

          Discuss with other asset managers key ESG challenges/how to leverage our combined knowledge; - organize and participate in internal Education sessions regarding specific ESG themes.

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。 

          We keep track of our ESG activities, discuss the progress on climate issues from the cross-asset Climate Task Force. Furthermore, ESG is regularly discussed

03.3. 補足情報 [任意]

SSA: Our investable universe is determined by either positive (Rates) or negative (EMD) screening. After the investable universe is determined we incorporate multiple ESG indicators and multiple providers of ESG research, into the overall bottom-up analysis of countries we invest in, and use this to determine the most efficient allocation of our clients' funds. As such ESG is an integral part of our investment decision/process and can take on different forms depending on the country at hand. To determine that ESG research is robust we use different providers for similar ESG indicators to check for consistency. We participate in country visits to determine if the 'on the ground' situation is reflected in the reported ESG criteria.

Corporates (Fin and non-Fin): our investable universe is determined by negative screening. Subsequently, we use various ESG indicators, depending on sector and issuer specific characteristics and use various ESG sources (primarily from MSCI and CRA's if available) and use recent ESG specific news flow for determining the most imminent issues. We also compare ESG performance within heterogeneous sectors and assess whether or not we see risks for credit quality and if so when (short or long term) this could materialize.

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（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。

SSA (DM): In European sovereign bonds investments we score the countries by looking at several governance indicators. Only the countries that score sufficient are eligible for inclusion. We take into account Governance data from the World Bank Worldwide Governance Index.

SSA (EMD): We use negative screening based on UN PRI principles and ESG criteria (based on a set of ESG indices such as ND-GAIN, HDI etc., which are updated yearly) to provide a minimum level of ESG standards in the portfolio. This results in excluding around 50% of the amount of countries. Norms-based screening is done via Global Compact Violators 

Corporates (Fin and non-Fin), see FI 04.3

04.3. 補足情報 [任意]

Corporates (Fin and non-Fin): we use an exclusion list for negative screening. As of 2017 Emerging market Corporates are excluded due to concerns on Governance. The exclusion criteria UN PRI are reviewed on a quarterly basis and/or if a material ESG risk materializes. Furthermore, for sectors with high ESG risks, we arrive at a preference for various subsectors or group of companies and use positive/best-in-class screening. In terms of norm-based screening, we analyze each corporate that is part of our investable universe and we require certain minimum standards regarding environment, social and governance, disclosure and business practice.

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]

B) 実施:テーマ

FI 07. Thematic investing - overview (Not Applicable)

FI 08. Thematic investing - themed bond processes (Not Applicable)

FI 09. Thematic investing - assessing impact (Not Applicable)

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。

SSA (DM): In our evaluation of sovereign risk we identify 3 main sources of risk: financial, economic and governance. We use the normalized scores published by the World Bank on their 5 governance indicators. Research has shown there is a strong relationship between governance and the probability of default. Governance has a 1/3 weight in our overall sovereign risk assessment. Environmental and Social aspects are monitored but not directly incorporated in the model, a downward risk adjustment can be included should we deem these risks substantial.

SSA (EMD): All countries we invest in are analyzed bottom-up. We take into account Environmental (for example the effect of Climate Change on the country), Social (for example poverty indicators, education, healthcare, inequality) and Governance (for example corruption, rule of law, government effectiveness etc). In order to analyze the countries we use different data sources as well as visit the country in order to build a complete picture. We dedicate a specific part of our country report to ESG analysis. Concerns/opportunities on ESG can result in an underweight, neutral or overweight recommendation. Databases we use take into account data that covers E, S and/or G, like United Nations Human Development Index, World Bank Worldwide Governance Index, Heritage Index of Economic Freedom, World Bank Ease of Doing Business Index, World Bank Dependency Ratio, MSCI environmental data.

Within Corporates (Fin and non-Fins), we fully integrate ESG in our bottom-up credit analysis (100% of our investable universe) as these can translate into higher credit risk by weakening a company's business profile and/or financial profile. Furthermore, we conduct a separate ESG analysis on a sector level ( or more top-down) for "high profile" or ESG sensitive sectors and arrive at a ranking for subsectors/groups of companies based on our ESG risk assessment. Each sector analyst assesses the key ESG risks which are separately reported in the credit analysis and weighed in the investment recommendation (UW, Neutral or OW). Apart from using external research providers, company data, analysts consult the internal Responsible Investment & Governance team if more information is required regarding companies we actively engage with, with regard to specific themes (Climate, Tax principles, Social eg) or to flag our worries regarding a specific company. 

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

SSA (EMD): All countries we invest in are analyzed bottom-up. We take into account Environmental (for example the effect of Climate Change on the country), Social (for example poverty indicators, eduction, healthcare, inequality) and Governance (for example corruption, rule of law, government effectiveness etc). In order to analyze the countries we use different data sources as well as visit the country in order to build a complete picture. We dedicate a specific part of our country report to ESG analysis. Concerns/opportunities on ESG can result in an underweight, neutral or overweight recommendation. Databases we use take into account data that covers E, S and/or G, like United Nations Human Development Index, World Bank Worldwide Governance Index, Heritage Index of Economic Freedom, World Bank Ease of Doing Business Index, World Bank Dependency Ratio, MSCI environmental data.

SSA (DM): Given the high quality nature of the sovereigns we look at we see little value in exclusions and a lot of value in integration. Exclusions is aimed at avoiding the worst performers while typically not differentiating between the best performers. Given our focus on Euro Sovereigns, which score very high in a global context, we feel an integration approach is more appropriate for our asset class.

社債（非金融）

In Corporates (Fin and non-Fin), the weight/importance of certain ESG factors may vary by sector and/or company depending on our risk assessment on the company's credit quality. One sector where ESG risks are much more explicit (and could potentially be a risk for the existence of the company) is the utilities sector. Therefore the weight/importance of ESG factors should be much higher versus various other sectors. We take the ESG factors/weights and scores from MSCI as a starting point, but prioritize, add or exclude ESG factors and/or scores. Examples of Environmental issues comprise carbon intensity (total value chain approach, thus including suppliers as well), Water & Energy efficiency, Recycling, Renewable energy use (utilities, responsible sourcing (palm oil, agriculture); Examples of Social factors include privacy & Data protection, Product Safety and accessibility, Responsible marketing, Nutritional benefits, Process/Production Safety (Production related sectors like Healthcare, Food & Beverage, Industrials, Chemicals, Oil&Gas. It comprises the occurance of Injuries, risk of contamination, HACCP certificate, recalls). Labor standards can be particularly an issue in Retail, Personal & Household goods; Examples of Governance factors (all sectors) comprise data disclosure and transparency, shareholder structure, Controversies/Fraud, consistency with regard to strategy.

10.3. 補足情報 [任意]

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（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（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

SSA: The ESG opinion on E, S and G from MSCI and Governance Indicators will determine our investable universe. Within the investable universe further ESG analysis is systematically used as input for investment decisions.

社債（非金融）

Corporates (Fin and non-Fin): E, S and G are standard elements of our analysis of corporates and is updated regularly, we use it as input into our investment decision.We also distinguish specific ESG trends on a sector basis which is used as input for issuer specific analysis. When material ESG issues arise, a more in depth view is developed. Our inhouse ESG analyst regularly researches ESG issues and risks and obtains raw data to fully understand the ESG performance of different issuers.

12.3. 補足情報 [任意]

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