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Groupama Asset Management

PRI reporting framework 2020

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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
Corporate (financial)
Corporate (non-financial)
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]

For SRI portfolios, the average ESG rating is compared to the benchmark, enabling us to follow the ESG performance of the fund. The fund's reputation is protected by excluding controversial companies.

Some specific ESG issues are also monitored.

First, we are still measuring the carbon footprint of SRI portfolio. This carbon footprint is monitored and has to be better than the benchmark.

Second : in 2016 we determined five ESG indicators in order to measure the ESG impacts in SRI portfolio of investment decisions. One indicator was chosen for Governance (% of Independent directors on Board), one for Environment (carbon footprint), two for Human capital (employees growth and number of training hours per employee) and one for Human Rights (publication of Human rights policy).

Since 2017 we measure the 5 ESG impacts in SRI portfolios compared to the benchmark.

All those indicators are now published monthly for all SRI portfolios.

- Concerning Fixed Income Government funds, we calculate its ESG score relative to the index and then we compare it to the score calculated for the same funds not impacted by ESG strategy.

17.3. Additional information.[OPTIONAL]

In 2016 we obtained for the first time the new French government-backed SRI Label for two of our SRI funds : Euro Capital Durable and Crédit Euro ISR. This Label was granted by a certifier after a challenging audit period. Once attributed, the label lasts for three years with a verification period each year to confirm that the main internal SRI processes haven't change.In 2017 and 2018 our labels were confirmed without restrictions.

In 2019 we have obtained this Label again without restrictions for our RSI funds. Morever, our new thematic fund "G Funds Future for Generation" has olso obtained this Label without restriction. In addition,  our new SRI impact fund "G Funds Global Green Bonds" has obtained the specific Greenfin Label this year.  


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

Groupama AM monitors a list of securities that are identified as comprising particularly high ESG risks, or the "list of Main ESG Risks".The list is composed of two subsets:1/ Companies having a controversies rating of 4 or 5 according to Sustainalytics, after validation by our internal Research team on the basis of our own criteria 2/ Companies whose governance is rated " --" by our analysts, according to our internal approach. This "double minus" is a sign of failing governance. 

The list is systematically reviewed : 

- every 6 months, during which all the exit triggers are assessed

- for each new controversy or new internal analysis concluding to a very poor governance

Our Main ESG Risks Committee has to approve each entrance or exit recommended by the Research team. This Committee is presided by our Chief Risk Officer and is meeting each time the list is reviewed. 

 

Impact on investment decision or performance

This list is systematically shared with all funds managers and has

  • Proprietary rating tool : the quantitative rating of companies targeted in ESG Risk is reduced to zero
  • A non-blocking alert is sent to the portfolio managers
  • These companies are excluded from SRI funds, thematic funds and impact investing funds
  • For money-market funds, the agreement given by the money-market Committee is limiting the investment in those companies, by authorising only instruments whose maturity is less than one year.

ESG issue and explanation

Groupama AM monitors a list of securities that are identified as comprising particularly high ESG risks, or the "list of Main ESG Risks".The list is composed of two subsets:1/ Companies having a controversies rating of 4 or 5 according to Sustainalytics, after validation by our internal Research team on the basis of our own criteria 2/ Companies whose governance is rated " --" by our analysts, according to our internal approach. This "double minus" is a sign of failing governance. 

The list is systematically reviewed : 

- every 6 months, during which all the exit triggers are assessed

- for each new controversy or new internal analysis concluding to a very poor governance

Our Main ESG Risks Committee has to approve each entrance or exit recommended by the Research team. This Committee is presided by our Chief Risk Officer and is meeting each time the list is reviewed. 

 

Impact on investment decision or performance

This list is systematically shared with all funds managers and has

  • Proprietary rating tool : the quantitative rating of companies targeted in ESG Risk is reduced to zero
  • A non-blocking alert is sent to the portfolio managers
  • These companies are excluded from SRI funds, thematic funds and impact investing funds
  • For money-market funds, the agreement given by the money-market Committee is limiting the investment in those companies, by authorising only instruments whose maturity is less than one year.

ESG issue and explanation

Issuers that are rated "Main Risk" in governance cannot receive a "positive outlook".

"Main Risk" is the lowest appreciation an analyst can have after a qualitative analysis. This "Main Risk" reflects a high governance risk according to our analysis and, in order to impose a coherence between the ESG and the financial opinion of the analyst, it is not possible to give a "BUY" recommendation to the issuer.

These issuers are therefore placed in our ESG Mains Risks List.

Impact on investment decision or performance

Incentive for portfolio managers not to be exposed to the issuer.

ESG issue and explanation

Issuers that are rated "Main Risk" in governance cannot receive a "positive outlook".

"Main Risk" is the lowest appreciation an analyst can have after a qualitative analysis. This "Main Risk" reflects a high governance risk according to our analysis and in order to have to a coherence between the ESG and the financial opinion of the analyst, it is not possible to give a "BUY" recommendation to the issuer.

These issuers are therefore placed in our ESG Mains Risks List.

Impact on investment decision or performance

Incentive for portfolio managers not to be exposed to the issuer.

ESG issue and explanation

Green bonds: an in-house "Green bonds" methodology (updated in 2019) is set up. This approach aims to assign an internal assessment to each green bond. Four criteria are analyzed: 1/ characteristics of the green bond (evaluation and selection process, management of proceeds, etc) 2/ environmental quality of the projects 3/ ESG strategy of the company 4/ transparency

The answer to the challenges of climate change for Groupama AM is thus to couple these approaches: to measure and control its carbon footprint, to monitor the share of investments in the energy transition, including through the part invested in Green Bonds while continuing to favor companies judged to be the most successful from an ESG perspective.

Impact on investment decision or performance

In the Global Green Bonds fund, analysis is carried out by our analysts prior to investment. If the bond does not qualify as a green bond according to our internal methodology, the manager may not invest in this bond.

If it is not possible to carry out this internal analysis beforehand, it shall be carried out no later than one month after the bond enters the sub-fund. If this bond is not classified as a green bond, the manager undertakes to sell the bond within three months of the analysis.

18.2. Additional information.


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