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ACTIAM

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
80 スクリーニングのみ
0 テーマのみ
0 統合のみ
20 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
0 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
100 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
0 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
100 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%
証券化商品
5 スクリーニングのみ
0 テーマのみ
0 統合のみ
0 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
95 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 chose to use a combination of screening, integration and/or thematic strategies for meeting our ESG goals. This enables us not only to identify the companies that violate our Fundamental Investment Principles (screening), but also to include ESG-considerations in our investments, evaluating companies according to their performance and capacity to transition towards the so-called 'safe and just space' (integration). Additionally, we focus on the themes climate, water and land, building up each company's score. Our inhouse developed methodology combines sustainable and financial materiality. 

Likewise our equities approach, we exclude or start engagement (if viable) with companies that violate our ESG policies. We invest in sustainable activities (for example through green bonds) to actively contribute to the transition to a low carbon and sustainable economy. Via the ESG-score introduction we have a thematic approach to climate, water and land. We measure and report on results of the first two themes. In 2019, we have renewed our policy, introducing a framework where companies are categorized as 'non-adaptive', 'at risk' or 'adaptive', determining the most suitable investment strategy. Finally, the ACTIAM ESG Score and its process is applicable for both Fixed Income as well as Listed Equity. 

01.3. 補足情報 [任意]


FI 02. ESG issues and issuer research

02.1. 発行体に対する分析の一部として体系的に調査するESG要因を明示してください。

SSA
社債(金融)
社債(非金融)
証券化商品
環境データ
社会的データ
ガバナンスデータ

02.2. 入ってくるESG情報のフォーマットと主な情報源を明示してください。

この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください

02.3. 使用されているESG情報を簡単に説明してください。ESG組み入れ戦略全体における情報源の違いを明らかにしてください。

ACTIAM uses several sources of information. First of all, we use external data providers for both qualitative and quantitative ESG information, which is used for our screening and integration strategies. Secondly, we have an in-house ESG team that collects and provides information, including data for the thematic overlay. In addition, we use external specialised data providers for carbon emissions data in order to calculate the carbon footprint of our portfolios. For our impact alignment (SDGs) we have an exclusive partnership with an external company. We also team up with NGOs that have specific data or background on companies (FSC, GreenPeace, BBFAW amongst others). In-house FI portfolio manager and sell-side information is used in the investment decision process.

02.4. 補足情報 [任意]


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

          ESG scores are integrated into our administrative system. External audit is done on the annual report including ESG information as water, carbon footprint and ESGscore
        

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。

          Internal committees, including CEO&CIO, evaluate the ESG policies and proposals for exclusion and inclusion, changes in the ESG scores, as well as engagement information
        

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)
証券化商品
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。

All investments and current holdings are screened based on the ACTIAM Sustainable Policy, which includes both our Fundamental Investment Principles  and Fundamental Material Drivers assessments, covering both norms-based and negative/exclusionary screening (see throughout this report). Furthermore, positive screening is applied to a selection of portfolios and based on several themes: climate change, water, land, health and vitality. Our green, social and sustainability bonds framework of assessments also configures a positive screening.

04.3. 補足情報 [任意]


FI 05. Examples of ESG factors in screening process

05.1. スクリーニング条件に含まれているESG要因の例を挙げてください。

種類

ESG要因

スクリーニング

スクリーニングの説明

Companies with exposure to renewable energy production receive a positive analyst score, which increases the companies' ESG score. In our active portfolios, where we steer on an ESG score that is as high as possible, this makes the companies more attractive for investment. We already started with this approach in 2016 and further integrated this into our processes.

種類

ESG要因

スクリーニング

スクリーニングの説明

ACTIAM's assessment of SSA builds upon its Sovereigns Policy, where exclusionary screening criteria include being listed on a UN or EU weapons embargo list; being indicates as 'not free' in Freedom House reports; and being part of the lowest ranked countries in the World Bank Governance Indicators list. Furthermore, a country being defined 'partly free' is individually assessed.

種類

ESG要因

スクリーニング

スクリーニングの説明

Issuers of green, social or sustainable bonds are analysed according to our own Green Bonds Policy and framework. If the bond is considered 'green' (meaning grean, social or sustainable) by ACTIAM, the bond is assessed according to our framework, resulting in an ACTIAM ESG score for each bond. In average, this score is higher than the score of a "grey" bond from the same issuer. The framework can be found on our website: https://www.actiam.com/4a751b/siteassets/4_verantwoord/documenten/en/esg-integration-in-green-and-social-bonds_assessment-proces.pdf

種類

ESG要因

スクリーニング

スクリーニングの説明

Our Fundamental Investment Principals for companies apply to all investments and cover several international norms and standards and other ethical criteria, including UNGC, OECD guidelines, UNESCO conventions and others. In 2019, with an update to our Sustainable Investment Policy, we have introduced our Fundamental Material Drivers assessment, also applicable to all investments. In it, several ESG topics are applied to individual companies evaluation, following seven different drivers: from human capital development to biodiversity, businesss ethics to chemicals use. The practices and performance of companies are assessed to define to which extent these are prepared on their way to the transition towards a safe and just space. Companies are then categorized as 'non adaptive', 'at risk' or 'adaptive', indicating such preparedness. Companies indicated as 'non-adaptive' are considered for exclusion, and those 'at risk' may face an ESG Score downgrade. Portfolio managers strive for a high ESG Score for every portfolio, overcoming at least the ESG Score of the benchmark. 

種類

ESG問題および説明

スクリーニング

スクリーニングの説明

Companies with high performance on E, S and G issues receive a high(er) ESG score, which increases the attractiveness (under similar risk and returns) for investment in our active portfolios.

05.2. 補足情報 [任意]


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

          In case of new mandates and structured loans, additional (desk) research is done
        
ポジティブ/業界最高のスクリーニング

その他

          Regular annual reassessments monitor companies' development and any material ESG-related changes by the issuer evaluated. These may result in downgrades, upgrades or exclusions.
        
基準に基づくスクリーニング​

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。

73 %
7 %
20 %

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。

A combination of environmental and social themes is applied to our actively managed strategies, i.e. climate change, water, and land. ACTIAM identifies companies that contribute negatively and positively to these themes. The negative contributors are excluded from investment in the actively managed fund; the positive contributors receive an upgrade in their ACTIAM ESG score, thereby increasing the likelihood of being selected for investment.
ACTIAM has a specific policy for green, social and sustainable bonds. This policy requires bonds to be issued according to the Green Bond Principles, as well as a set of criteria for the use of proceeds, reporting and the ambitiousness and achievability of the projects and targets. The policy includes a blacklist of activities that we do not finance through sustainable bonds. Social or environmental impact needs to be measured through credible indicators, such as CO2 reduction, avoided CO2, health care equipment built, or units of affordable housing created. ACTIAM wants to prevent the locking in of money in less ambitious projects. As part of our Sustainable Investment policy, we use green bonds to stimulate socially and environmentally impactful activities. Bonds that are labelled 'green' by the in-house ESG team receive an ACTIAM ESG score of 75, 85 or 100. The score depends on the level of positive impact and whether the bond meets the ACTIAM future proof business test. For more, see: https://www.actiam.com/en/SysSiteAssets/4_verantwoord/documenten/en/esg-integration-in-green-and-social-bonds_assessment-proces.pdf

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。

          Asking issuers to formulate/disclose targets (as CO2 reduction targets); encouraging issuers to issue green, social, sustainability bonds; also engaging on progress of sustainability performance
        

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。

ACTIAM's pre-assessment of every green/social/sustainable bond aims to prevent investment in non-credible issuances. We also consider whether the issuer makes real efforts, for example, towards an energy transition and more sustainability, in order to avoid green washing. The bond needs to meet the criteria of ACTIAM's green bond policy at the minimum. These criteria go beyond GBP or CBI principles. If this is not the case, the bond will not be registered as a green bond in ACTIAM's system, thereby decreasing the likelihood that this bond will be bought - if the bond is still bought.

Cases where disbursement is different than initial commitment, or asset reallocation occuring during holding period, will be reviewed by the ESG Team and the actual practice is assessed. A downgrade of ESG Score or loss of the ACTIAM green stamp can be applied in case we believe the allocation is less ambitious or not compatible at all with our standards. Both adjustments impact the decision-making by portfolio managers, since these must keep the portfolios ESG Score equal or above the benchmark.

08.3. 補足情報 [任意]

Portfolio Managers and ESG Analysts often attend Green, Social and Sustainable bonds roadshows, and also hold one-on-one meetings with issuers and banks. During such meetings, ACTIAM focus in discussing the whole bond framework, use of proceeds, strategy and ambitions of the issuer as a whole. The final decision of the internal 'Green Bond' mark and the ACTIAM ESG Score is a responsibility of the ESG team. 


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]

Part of our green and social bond policy is that issuers need to report at least annually. These requirements are different for the other thematic bonds, as they are excluded or upgraded based on the analysis of the issuer, not the bond. We track progress on the (reporting) targets and impact of the projects/activities that are financed.

For our focus themes climate, water and land we have set long term targets. Twice a year we measure the progress on water and climate and we report on this. We have an independent audit conducted on the carbon and water footprint of our FI (and equities) investment funds.


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。

An ACTIAM ESG score is assigned to all assets in the investment universe plus an ESG score is determined at portfolio level. The aim is to achieve the highest possible ESG score. Since 2018, this aim is further specified with a target ESG score which is either in the upper quartile of the spectrum or at least 10 points higher than the ESG score of the related benchmark. This benchmark can vary per strategy. 

The minimum requirement is that the portfolio must be constructed in such a way that the ESG score of the portfolio is aimed to be at least higher than the ESG score of the benchmark at all times. In order to realise the ESG objectives, the portfolio managers will prefer bonds issued by companies which are actively contributing to the SDGs. In that context, the managers will aim to keep at least 10% of the portfolio in Green, Social and/or Sustainable Bonds.

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

For sovereigns, we have an adapted ESG score that is constructed of indicators relevant for sovereigns as opposed to companies. However, the process is the same. First a screening is conducted based on the ACTIAM Sustainable Investment Policy, which leads to the exclusion of non-compliant sovereigns, and an ESG score is attributed to the remaining sovereigns. For determining the ESG score we look at different data sources like contribution to the SDGs (see SDGindex.org for more information).  

社債(金融)

The process is the same as described in FI 10.1, other criteria apply for determining the ACTIAM ESG score, such as financial product safety and quality, governance, among others.

社債(非金融)

The process is the same as described in FI 10.1, other criteria apply for determining the ACTIAM ESG score, such as carbon and water footprint, among others.

証券化商品

The process is the same as described in FI 10.1, other criteria apply for determining the ACTIAM ESG score. For examples, see above.

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)
証券化商品​
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)

証券化商品

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

The ESG information is systematically incorporated into our systems and is applicable to all portfolios. Hereby, the portfolio manager has an ESG score for all the issuers that can be invested in. These scores are reviewed and updated on a regular basis. The portfolio manager is required to take the ESG information into account, as the ESG score of his/her portfolio needs to be higher than the ESG score of the benchmark at the minimum (dependent on the specifics of the fund or mandate). Next to that there is a target to have to portfolio score as high as possible. This is a KPI for the portfolio managers. The scores are also tracked by the Fund Management Committee.

社債(金融)

Please see above as the ACTIAM process for ESG integration is independent of type of fixed income instrument

社債(非金融)

Please see above as the ACTIAM process for ESG integration is independent of type of fixed income instrument

証券化商品

Please see above as the ACTIAM process for ESG integration is independent of type of fixed income instrument

12.3. 補足情報 [任意]

The ESG scores are available for all portfolios, however the implementation of a minimum score for the portfolio is not currently applicable to a mandates. Our Fundamental Investment Principles are.


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