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Pensioenfonds Metaal en Techniek

PRI reporting framework 2020

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

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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