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ACTIAM

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 Scenario analysis on the topic of water stress is incorporated into our ESG Score. Companies are judged for their adaptation capacity to water stress scenarios. Those with high value-at-risk due to high exposure to physical risks receive a lower ESG score. This is again integrated in investment decisions.
Describe Scenario analysis (of 1.5 and 2 degrees scenarios) are incorporated into our ESG Score. If companies show a significantly high value-at-risk due to exposure to physical climate risks, these receive a lower ESG score. This is again integrated in investment decisions.

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

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

Scenario analysis are incorporated into ESG Scores of all companies, which is an important element of investment decision. ACTIAM considered the capacity of companies to adapt to the transition in the process of investment, both at pre-investment and regular monitoring phases. 

specify

          ACTIAM uses data from providers to interpret whether a company is at risk under a 1.5 degree scenario.
        

Describe

ACTIAM uses data from external parties who developed a forward-looking picture, analysing climate-related risks and opportunities for companies. ACTIAM uses this data to interpret whether a company is at risk under a 1.5 degree scenario. The outcome of such scenario is integrated into our investment policy: companies with more than 10% of value-at-risk are categorized 'at risk'. Towards such companies, several instruments can be used: ESG Score downgrading, resulting on exclusion of the company for certain strategies; engagements; or exclusion in case companies show not to respond to engagement nor progress in the path to transition. ACTIAM continues researching more uses of scenario analysis in order to manage climate-related risk and opportunities, blending economic modeling with climate science in order to reduce risks, identify new opportunities, and build resilience in the face of climate change. 

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 implement such analysis in our sustainability framework and investment policy. Companies may be excluded from sustainable funds based on this analysis and/or engaged towards a transition path.

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:

          1.5° Scenario - AIM-CGE
        
Other

Other (2) please specify:

          2°C SSP1/2 - GCAM4
        
Other

Other (3) please specify:

          2° SSP1/2 Scenarios - IMAGE
        

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.

other description (1)

          Water risk
        

other description (2)

          Deforestation
        

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.

ACTIAM set focus themes based on medium- to long-term trends and the possible material impact for our investments. We recognize that the world population is growing, prosperity is rising, and the planetary boundaries are increasingly reached or passed. This puts pressure on our natural resources and on the way that we produce and consume. For this reason, ACTIAM as translated the planetary boundaries and societal foundations into seven material business drivers: fossil fuel use, water use, land use, chemicals use, social capital management, human capital management and organisational behaviour. ACTIAM assesses to what extent companies are capable and on the process of changing their behaviour to operate within the safe and just space. Additionally, targets have been set for the themes climate, water and land, guiding the responsible investment approach of ACTIAM.

More input at additional remarks through the report.

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

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
Climate-related targets
          To steer our investments towards alignment with the Paris Agreement
        
          CO2 equivalent
        
          https://www.actiam.com/siteassets/4_verantwoord/documenten/nl/vb_co2.pdf
        
Weighted average carbon intensity
          
        
          
        
          
        
Carbon footprint (scope 1 and 2)
          To steer our investments towards alignment with the Paris Agreement
        
          CO2 equivalent
        
          https://www.actiam.com/siteassets/4_verantwoord/documenten/nl/vb_co2.pdf
        
Portfolio carbon footprint
          To steer our investments towards alignment with the Paris Agreement
        
          CO2 equivalent
        
          https://www.actiam.com/siteassets/4_verantwoord/documenten/nl/vb_co2.pdf
        
Total carbon emissions
          To steer our investments towards alignment with the Paris Agreement
        
          CO2 equivalent
        
          https://www.actiam.com/siteassets/4_verantwoord/documenten/nl/vb_co2.pdf
        
Carbon intensity
          To steer our investments towards alignment with the Paris Agreement
        
          CO2 equivalent
        
          https://www.actiam.com/siteassets/4_verantwoord/documenten/nl/vb_co2.pdf
        
Exposure to carbon-related assets
          To identify current violators of ACTIAM’s climate change policy + companies with climate-related risks on the short term
        
          62 companies excluded due to violation of our Environmental policies
        
          Screening through data provider
        
Other emissions metrics
          'Value-at-risk' to identify the financial risks companies are exposed to, based on a 1,5 and 2 degree scenario.
        
          VAR (Value-at-risk)
        
          Carbon Delta Methodology on climate value-at-risk
        

14.7 CC. Describe in further detail the key targets.

Target type
Baseline year
Target year
Description
Attachments
          2010
        
          2030
        
          In support of the climate neutrality target by 2050, ACTIAM's intermediate target is reduction of GHG emmissions of 30% by 2030, compared to 2010.
        

          2010
        
          2030
        
          Water-neutrality across portfolios by 2030.
        

          2010
        
          2030
        
          No net deforestation and no net biodiversity loss.
        

          
        
          
        
          
        

          
        
          
        
          
        

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

While screening our investment universe and periodically reviewing our investment versus our policies, climate-related risks are considered. In case companies are found to present too high value-at-risk, several instruments can be used: ESG Score downgrading, which blocks investment in such companies through our sustainable strategies; engagement processes to push companies towards the adequate practices and mitigation of climate-related risks; and ultimately exclusion, in case companies do not present capacity or plans to perform a transition. Thede decision are made by the ACTIAM ESG committee, upon advice from the ESG team.

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

TCFD adoption is encouraged in engagements related to the use of fossil fuels and climate change. For example:

·       In responsive climate-related engagements, one of the goals of the engagement is for the companies to develop and publish a 2 degree scenario analysis.

·       We participate in the Climate Action 100 engagement, in which adoption of / alignment with TCFD is one of the objectives.

·       In a proactive engagement with six companies on energy efficiency, one of the objectives is for the companies to perform and publish conduct scenario analyses that include a 2 degree scenario?

Target companies for active ownership are identified through their risk exposure and management (mitigation) score in light of the transition 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.

15.2. Indicate the percentage of your total AUM invested in environmental and social themed areas.

1 %

15.3. Specify which thematic area(s) you invest in, indicate the percentage of your AUM in the particular asset class and provide a brief description.

Area

Asset class invested

100 Percentage of AUM (+/-5%) per asset class invested in the area

Brief description and measures of investment

Please see inclusive finance module

Asset class invested

100 Percentage of AUM (+/-5%) per asset class invested in the area

Brief description and measures of investment

Please see inclusive finance module

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



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