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Robeco

PRI reporting framework 2020

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ESG issues in asset allocation

SG 13. ESG issues in strategic asset allocation

13.1. Indicate whether the organisation carries out scenario analysis and/or modelling, and if it does, provide a description of the scenario analysis (by asset class, sector, strategic asset allocation, etc.).

Describe Our multi-asset team uses scenario analysis and modelling. The team analyses for the Robeco Multi-Asset Sustainable strategy whether the sustainable universe has an impact on the explanation of portfolio returns if you focus entirely on sustainability and whether we can then distil ESG as an explanatory factor.
Describe Robeco/RobecoSAM developed a prototype for climate scenario analysis using MSCI Barra to be finalized in 2020. The approach puts companies into ten risk buckets using emissions data (Scope 1, 2 & 3), economic sensitivity of the sector to climate risks, a climate risk preparedness score, and green/brown revenue share.

13.2. Indicate if your organisation considers ESG issues in strategic asset allocation and/or allocation of assets between sectors or geographic markets.

We do the following

          Please see answer 13.1
        

13.3. Additional information. [OPTIONAL]


SG 13 CC.

13.4 CC. Describe how your organisation is using scenario analysis to manage climate-related risks and opportunities, including how the analysis has been interpreted, its results, and any future plans.

Describe

Outcomes of scenario analysis related to climate related risks and opportunities can be included in our investment analysis. This specifically is done for companies in high carbon industries.

Describe

In our engagement with carbon intensive companies we discuss how those companies use scenario analysis in their strategy towards dealing with the energy transition.

specify

          Prototype of scenario analysis tool developed in 2019, and will be implemented in 2020.
        

Describe

In 2019, Robeco and RobecoSAM worked together to develop a prototype for climate-related risk and opportunity scenario analysis. The tool is operationally controlled by the Financial Risk Management team at Robeco. They use MSCI Barra for risk measurement, and follow the Dutch National Bank's climate stress test guidelines. DNB requires four scenarios: Policy Shock, Technology Shock, and Double Shock (combination of the prior two), and Confidence Shock. RobecoSAM has provided data and scores to put specific companies into ten risk buckets. The buckets are determined using Scope 1, 2 & 3 emissions, industry risk scores based on the ability of the industry to adapt to climate change, a climate risk score based on several Smart ESG criterion/questions we have available, and green/brown revenue share.

In 2020 we plan to finalize the bucketing approach and start monitoring of all portfolios. Most of our strategies should be low risk given they are either: 1) naturally low carbon (e.g., Healthy Living fund), decarbonize (e.g., European Sustainable Stars has 20% lower footprint than benchmark, and should be reduced further when we add Scope 3), or focus on solution providers which benefit from the climate transition (e.g., Smart Energy and Smart Mobility).

In 2019, Robeco and RobecoSAM worked together to develop a prototype for climate-related risk and opportunity scenario analysis. The tool is operationally controlled by the Financial Risk Management team at Robeco. They use MSCI Barra for risk measurement, and follow the Dutch National Bank's climate stress test guidelines. DNB requires four scenarios: Policy Shock, Technology Shock, and Double Shock (combination of the prior two), and Confidence Shock. RobecoSAM has provided data and scores to put specific companies into ten risk buckets. The buckets are determined using Scope 1, 2 & 3 emissions, industry risk scores based on the ability of the industry to adapt to climate change, a climate risk score based on several Smart ESG criterion/questions we have available, and green/brown revenue share.

In 2020 we plan to finalize the bucketing approach and start monitoring of all portfolios. Most of our strategies should be low risk given they are either: 1) naturally low carbon (e.g., Healthy Living fund), decarbonize (e.g., European Sustainable Stars has 20% lower footprint than benchmark, and should be reduced further when we add Scope 3), or focus on solution providers which benefit from the climate transition (e.g., Smart Energy and Smart Mobility).

13.5 CC. Indicate who uses this analysis.

13.6 CC. Indicate whether your organisation has evaluated the potential impact of climate-related risks, beyond the investment time horizon, on its investment strategy.

Describe

We evaluate the potential impact of climate related risk via the proprietary Environmental Impact Monitoring Tool and a broad range of company data sets to assess the climate change resilience of companies, among other sustainability issues. Key factors researched are reporting levels of emissions and the company’s internal price for carbon. 

More info via the following article https://www.robeco.com/en/insights/2019/11/understanding-climate-change-risk-in-portfolios.html 

13.7 CC. Indicate whether a range of climate scenarios is used.

13.8 CC. Indicate the climate scenarios your organisation uses.

Provider
Scenario used
IEA
IEA
IEA
IEA
IEA
IRENA
Greenpeace
Institute for Sustainable Development
Bloomberg
IPCC
IPCC
IPCC
IPCC
Other

Other (1) please specify:

          Four Dutch Central Bank scenarios
        
Other

Other (2) please specify:

          Inhouse developed scenarios risk management
        
Other

SG 14. Long term investment risks and opportunity

14.1. Some investment risks and opportunities arise as a result of long term trends. Indicate which of the following are considered.

14.2. Indicate which of the following activities you have undertaken to respond to climate change risk and opportunity

Specify the AUM invested in low carbon and climate resilient portfolios, funds, strategies or asset classes.

Total AUM
trillions billions millions thousands hundreds
Currency
Assets in USD
trillions billions millions thousands hundreds

Specify the framework or taxonomy used.

For all Robeco sustainability funds and indices the environmental footprint should be 20% lower than the benchmark. This is based on GHG equivalent emissions per enterprise value or sales. Furthermore energy use, waste production and water use are also taken into account.

other description

          Robeco has a climate change policy 
As a supporter of the Taskforce on Climate related Financial Disclosures (TCFD), Robeco commenced the implementation of its recommendations.
        

14.3. Indicate which of the following tools the organisation uses to manage climate-related risks and opportunities.

14.4. If you selected disclosure on emissions risks, list any specific climate related disclosure tools or frameworks that you used.

In our carbon accounting we are compliant with the TCFD recommendations and the PCAF.

14.5. Additional information [Optional]

Additional information.

Megatrends are described in the SI big book of Robeco.  In addition to this, for all industries relevant ESG themes are identified in the materiality research.

Robeco has a climate change policy consisting of five pillars:

  • Integrating ESG into the investment process: climate related risks and opportunities are incorporated in all decision making processes in equity, fixed income and private equity.
  • Using active ownership to effect change: Robeco has a long track record of engaging with companies on their sustainability practices, in an effort to improve them. This includes engagements with greenhouse gas-intensive industries such as oil and gas, utilities, automotive, extractive, cement and real estate. Robeco encourages the implementation of proactive and ambitious environmental strategies, the pursuit of operational excellence, the creation of asset portfolio resilience, the innovation of business models, and responsible participation in the public policy debate.
  • Decarbonizing portfolios: All Robeco Sustainability Investing Focus funds will optimize their carbon footprint by having a carbon reduction target of at least 20% versus the benchmark.
  • Divesting carbon-intensive thermal coal: SI Focus funds are divested from mining companies with more than 10% of revenues derived from thermal coal, and from power producers with more than 20% of thermal coal-related revenues. Robeco recognizes that meeting the Paris Agreement ambition requires continual reduction in greenhouse gas emissions. Consistent with this, these thresholds for thermal coal exclusions are set to be lowered in the coming years.
  • Reducing our own carbon footprint: Robeco compensates its carbon emissions on an annual basis and is certified 'CarbonNeutral' in accordance with The CarbonNeutral Protocol.

In addition to the above  in the fixed income portfolio’s there is an option to incorporate green bonds to invest in sustainable development. In the European Sustainable Credit portfolio the target in green bonds is between 5 and 10%.

 


SG 14 CC.

14.6 CC. Provide further details on the key metric(s) used to assess climate-related risks and opportunities.

Metric Type
Coverage
Purpose
Metric Unit
Metric Methodology
Climate-related targets
          Lower exposure to thermal coal; lower carbon emission than the benchmark
        
          position relative to benchmark
        
          position relative to benchmark
        
Weighted average carbon intensity
          
        
          
        
          
        
Carbon footprint (scope 1 and 2)
          measurement of absolute emissions
        
          Tons of CO2 equivalent
        
          GHG Protocol on scope 1 & 2 emissions
        
Portfolio carbon footprint
          emissions per unit of enterprise value
        
          Tons of CO2 equivalent / enterprise value
        
          Platform Carbon Accounting Financials
        
Carbon intensity
          emissions per unit of revenue
        
          Tons of CO2 equivalent / revenue
        
          TCFD
        
Exposure to carbon-related assets
          Risk identification
        
          All of the above: Absolute, relative and intensity metrics
        
          GHG protocol, PCAF and TCFD
        
Other emissions metrics
          
        
          
        
          
        

14.7 CC. Describe in further detail the key targets.

Target type
Baseline year
Target year
Description
Attachments
          2020
        
          2030
        
          Reduction of the carbon emissions from investments by 50% in 2030
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

14.8 CC. Indicate whether climate-related risks are integrated into overall risk management and explain the risk management processes used for identifying, assessing and managing climate-related risks.

Please describe

In their annual plan 2019, Robeco’s Financial Risk Management (FRM) included the set-up of a ESG/climate risk monitoring framework. To monitor these ESG/Carbon risks FRM has developed a methodology based on stress testing under various scenarios and implemented the necessary measurement tools.

The rationale for involvement by FRM to test the sensitivities of portfolios towards climate scenarios is both internally driven as well as due to the continuing trend in the market on climate risk-related disclosures by companies and investors.

The main added value from FRM does not come from carbon emission monitoring (as referred to above), but comes from designing climate change scenarios. FRM created pragmatic scenarios that distinguish between companies with high and low carbon exposures.

FRM has set up a climate risk framework by providing follow up to the CO2 exposure – and climate risk stress test activity, by creating internal awareness and potentially setting risk targets. This information has been used as input to our Risk Deep Dive sessions with portfolio managers.

14.9 CC. Indicate whether your organisation, and/or external investment manager or service providers acting on your behalf, undertake active ownership activities to encourage TCFD adoption.

Please describe

Robeco's engagement program includes various engagement themes and cases that related to elements of the TCFD via a broad range of engagement with companies with high carbon emissions. Most notably, we are a member of the Climate Action 100+ initiative and a lead investor for a number of companies, like Royal Dutch Shell and Enel. We are encouraging companies with high carbon footprints in our engagements to TCFD adoption. Next to this we are also an active supporter of the Transition Pathway initiative (TPI); TPI assesses the preparedness of high-carbon producers for moving to a low-carbon economy.


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

15.1. Indicate if your organisation allocates assets to, or manages, funds based on specific environmental and social themed areas.

15.4. Please attach any supporting information you wish to include. [OPTIONAL]



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