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FIM Asset Management

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.).

13.3. Additional information. [OPTIONAL]

Climate change / ESG related scenario analysis is at such an early stage that we have not seen a great rationale to do this at this stage. Moreover, as the asset managers typically have tens or hundreds or even more portfolios, different scenario analyses are not as effective as they are in case of an asset owner with fewer, in many cases just one, portfolio.


SG 13 CC.


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

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.

For climate change related reasons, we exclude mining companies that derive over 20% of their revenues from thermal coal. Additionally, based on our own analysis, we exclude around 20 utilities whose energy generation’s CO2 intensity is high and that’s explained by the usage of coal as a fuel (we see gas ‘less bad’ at this point). Please note that we have calculated the intensity for the generation business, not for the company as a whole as that is misleading in some cases. When it comes to scenario analysis, we haven’t done that so far. We want the methods to develop further. When it comes to carbon footprint calculation, we calculate and report that in four different ways. The calculations are based on MSCI data on scope 1 and scope 2 emissions. We can report the carbon footprint as xx tons per invested million dollars, emissions owned xx tons CO2 (the share of companies’ emission owned by the fund, based on the ownership data), CO2 intensity xx (tons CO2 / mln $ sales) and weighted average CO2 intensity xx (tons CO2 / mln $ sales). Figures are available on our website for all the funds where data covers over 50% of investments. It is good to note that not all the methodologies mentioned are suitable for funds containing fixed income securities.

14.5. Additional information [Optional]


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
Weighted average carbon intensity
          What is my portfolio's exposure to carbon-intensive companies.
        
          Tons CO2e / M$ sales
        
          Weighted average of each portfolio company's CO2e/ it's revenue. This metric also suits for fixed income securities.
        
Carbon footprint (scope 1 and 2)
          To be able to consider each company's emissions and to be able to calculate emission metrics for portfolios as this input is needed in one way or another.
        
          Tons CO2e
        
          Sum of company's scope 1 and scope 2 emissions.
        
Portfolio carbon footprint
          What is my portfolio's exposure to high carbon footprint companies. This metric can be normalised per 1 million dollar investment, which enables to compare with for example a benchmark.
        
          Tons CO2e
        
          Sum of portfolio companies' owned emissions normalised to 1 million dollars invested.
        
Total carbon emissions
          What is my portfolio's total carbon footprint.
        
          Tons CO2e
        
          To calculate the portfolio carbon emissions, we sum up all the emissions in
the portfolio based on the investor's ownership share. The metric can also be
expressed as per dollar invested.
        
Carbon intensity
          How efficient is my portfolio in terms of total carbon emissions per unit of output.
        
          Tons CO2e / M$ sales.
        
          Carbon intensity is the ratio of portfolio carbon emissions normalized by the
investor’s claims on sales. This can only be calculated for equity investments as the ownership figure is needed.
        

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

Calculating and reporting different carbon figures for portfolios is not integrated into our overall risk management yet.  We do publish these figures for our mutual funds. Risk management in climate related issues is done on a portfolio level by 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

We participate in Climate Action 100+ and TCFD adoption is one aspect of the engagement programme.


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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