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S-Bank Plc.

PRI reporting framework 2020

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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(金融)
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
80 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
20 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
80 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
20 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。

​We consider responsible investing as a part of our fiduciary duty. Responsibility assessment can provide information on the risks and opportunities that could potentially affect the company’s financial performance in the future, for example, through changes in sales or expenses. These impacts can be triggered by, among other things, changes in legislation or consumption habits that result from a phenomenon or activity associate with responsibility. 

Following the identification of substantial ESG issues, the purpose of ESG integration is to assess a company's ability to take into consideration the risks and opportunities associated with these and to assess whether the price of the company's securities reflect these factors. Portfolio managers are supported in ESG integration by high-quality ESG assessments and ratings produced by third parties. In addition to assessments carried out by third parties, our country analysis utilises country-specific ESG factors included in our own country-risk model.

Some portfolios include themed investments like green bonds.

Screening is part of the process and excluded companies are taken away from the investment universe. We are interested in the performance of our investments in terms of initiatives and principles concerning general international business practices and responsibility-related norms, like for example, the UN Global Compact.

01.3. 補足情報 [任意]


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

          Conclusions of the research provider are continuously challenged internally among fund managers. Feedback is given to research provider to improve the quality of the research.
        

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。

03.3. 補足情報 [任意]


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(金融)
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。

Screening doesn't differ too much between internally managed equity and fixed income asset classes. We screen corporate issuers for both exclusion strategy that covers all internal investments and do norms-based screening. Latter is based on external service provider's analysis and classification, whereas the former is based on our internal exclusion list. However, majority of the items on the exclusion list are on the list because of the business involvement screening done by the ESG research provider. In SSA category, we run internal screening that ranks lowest scoring countries off from the investment universe.The scoring incorporates factors that relate to countries' social issues, among other things. Agencies and supranationals are subject to norm based screening.

04.3. 補足情報 [任意]


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​

その他

          ESG reports are generated and checked  to ensure there are only issuers that comply with our screening criteria.
        
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​

その他

          ESG reports are generated and checked  to ensure there are only issuers that comply with our screening criteria.
        

06.2. 補足情報 [任意]


B) 実施:テーマ

FI 07. Thematic investing - overview

07.1. テーマ投資の割合を示してください。

100 %

07.2. テーマ債券投資に対する組織のアプローチについて説明してください。

Thematic fixed income investing is concentrated in a mutual fund that invests in greenbonds. We use MSCI ESG Research's definition of greenbonds. The evaluation is based on green bond principles, but has some variations to that. Currently the fund invests at least 50% of it's capital to greenbonds and the amount will probably increase over time as the greenbond market grows further. Also, currently the issuers are not spread evenly between sectors. That causes some limitations as the investment universe is somehow skewed.

07.3. 補足情報 [任意]


FI 08. Thematic investing - themed bond processes

08.1. グリーン債原則に従ったテーマ債券の発行に関連する透明性や開示を奨励しているかどうか示してください。社会貢献債原則またはサステナビリティ債ガイドライン。

08.2. 発行体が提供文書の記載に従って、債券収益を配分していないときに取るべき対応策を説明してください。

If the issuer doesn't fulfill the obligations set out in the offering documents, it will most probably lose the green bond status the third party we use had given to the bond. In this case the bond will be sold from the portfolio.

08.3. 補足情報 [任意]


FI 09. Thematic investing - assessing impact

09.1. 組織のテーマ投資の環境的または社会的影響を評価する方法を示してください。

09.2. 補足情報 [任意]

The reporting requirement is part of the green bond classification criteria we use. This is where the requirement comes from.


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。

We consider ESG because we think we can increase financial return and / or improve risk-return ratio by integrating ESG. We find responsibility as a competition factor for companies. RI staff has planned the integration process and made sure all the relavant tools are available for fund managers. Integrating ESG into traditional analysis starts with idenfication of relevant ESG risks and opportunities. Once the identification is done, we try to estimate how the company in question is prepared to take advantage of the opportunities and how the company is prepared to face the risks. Company's strategy and / or risk management processes can shed more light on the company's capability to tackle the negative issues and profit from the opportunities. Once the analysis is done, we try to estimate what consequences these might have on for example the costs and revenue. Also, depending on the financial health of the company in question, further analysis can be done on the balance sheet and capital structure etc. In many ways ESG consideration can be said to be more relevant if a company's financial health is poor, as such companies have less opportunities to cope with downside risks.

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

In sovereign space we have a proprietary model that ranks countries according to several data points. ESG related data points constitute one-third of the weight in the model. This information, in addition to countries' ESG ratings are being used in investment decision.

社債(金融)

When analysing financial sector's fixed income securities from ESG point of view, there is quite often information asymmetry present. Due to the nature of banks' business, like bank secrecry, complicated financial structures, off-balance sheet items and possibly large loanbook pose challenges the evaluation of banks. What can be done in analysing banks is to consider if they operate in geographical areas where there are elevated risks for money loundering and corruption. Also, as banks loan books can be large, it is important for us to be able to evaluate ESG risks that are actually in their loan books.  

社債(非金融)

ESG integration approach in corporate (non-financial) fixed income securities is very similar to the one done in equity side. Integrating ESG into traditional analysis starts with idenfication of relevant ESG risks and opportunities. Once the identification is done, we try to estimate how the company in question is prepared to take advantage of the opportunities and how the company is prepared to face the risks. Company's strategy and / or risk management processes can shed more light on the company's capability to tackle the negative issues and profit from the opportunities. Once the analysis is done, we try to estimate what consequences these might have on for example the costs and revenue. Also, depending on the financial health of the company in question, further analysis can be done on the balance sheet and capital structure etc. In many ways ESG consideration can be said to be more relevant if a company's financial health is poor, as such companies have less opportunities to cope with downside risks.

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(金融)
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(金融)

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

In Sovereign space we do have country ESG ratings availbale for portfolio managers. These ratings are used in combination with our internal country risk model that has about one-third weight on ESG related inputs.

社債(金融)

In general, first step is to identify relevant ESG factors in each case. This is done with the help of external ESG research and portfolio managers' own knowledge on companies, countries and critical issues. After identifying relevant issues, it is the duty of fund managers to analyse how these factors might affect companies in question. In climate change related issues, portfolio managers are analysing how climate change affects companies and if this effect is already reflected in the price of a bond. We started to use TCFD framework as a tool for more systematic evaluation in 2019.

社債(非金融)

In general, first step is to identify relevant ESG factors in each case. This is done with the help of external ESG research and portfolio managers' own knowledge on companies, countries and critical issues. After identifying relevant issues, it is the duty of fund managers to analyse how these factors might affect companies in question. In climate change related issues, portfolio managers are analysing how climate cange affects companies and if this effect is already reflected in the price of a bond. We started to use TCFD framework as a tool for more systematic evaluation in 2019.

12.3. 補足情報 [任意]


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