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New York State Common Retirement Fund

PRI reporting framework 2020

You are in Strategy and Governance » ESG issues in asset allocation

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 The Fund participated in Mercer’s 2015 scenario study, which assessed the impact of climate change on the total portfolio under different climate change scenarios.

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

Mercer’s analysis found that the impact of climate change on the total portfolio is potentially significant. Our public equity allocations were heavily weighted toward developed markets, which are expected to suffer most in the event of swift/strong policy action such as a 2 degree scenario. This finding led to the development of our low emissions index.

Describe

Various scenarios, including multiple temperature rise, regulatory and policy, and technological advancement scenarios, inform the Fund’s Climate Action Plan, which provides for the assessment of climate risks and opportunities across the portfolio, including analysis of new investments, as well as utilizing minimum standards to assess portfolio companies’ readiness for the transition to a low carbon economy.  

Describe

Scenario analysis informs our active ownership activities—we ask companies to develop robust risk assessments and business planning under different scenarios. For example, we ask utilities to undertake a robust climate scenario analysis including the latest IPCC’s 1.5 degree scenario to inform their resource planning.

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.

Please explain the rationale

The Fund’s investment time horizon is long term and perpetual. The Mercer study focused on a 35 year timeframe from 2015 through 2050, which is within the Fund’s investment time horizon.

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:

          Mercer's proprietary climate scenarios
        
Other
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.

Sustainable Investment and Climate Solutions Program

The New York State Common Retirement Fund actively seeks out managers that integrate ESG considerations in their investment process, and offer large-scale sustainable investment opportunities around the globe that meet its risk, return and thematic requirements, with a particular focus on climate solutions.

CRF Sustainability Themes

Resources and Environment

Climate and environment – Reducing the effects of climate change through low carbon initiatives.

Resource efficiency – Making the most of available natural resources.

Pollution and waste management – Minimizing pollution and improving conditions for local communities.

Human Rights & Social Inclusion

Education – Improving the quality of and access to education, particularly for underserved groups.

Demographic empowerment – Ensuring access for diverse groups among critical decision-making  bodies.

Health and wellbeing – Improving conditions to support human health, nutrition, and quality of life.

Economic Development

Financial inclusion – Expanding access to banking, credit, and other vital financial services.

Sustainable infrastructure – Funding infrastructure that expands economic opportunity and meets standards for environmental management.

Affordable housing – Creating equal housing opportunity for low-income families and communities that are chronically underserved.

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

other description

          Minimum Standards to measure company's transition readiness
        

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 identify low carbon opportunities
        
          US$
        
          Capital allocation to the Sustainable-Investment Climate Solutions program
        
Weighted average carbon intensity
          To inform investment decision, active ownership program
        
          Tons CO2e / US$ Market Cap
        
          Scope 1 and Scope 2 GHG emissions are allocated
based on portfolio weights
        
Carbon footprint (scope 1 and 2)
          To inform investment decision, active ownership program
        
          Tons CO2e / US$ Market Cap
        
          Scope 1 and Scope 2 GHG emissions are allocated
based on portfolio weights
        
Portfolio carbon footprint
          To inform investment decision, active ownership program
        
          Tons CO2e / US$ Market Cap
        
          Scope 1 and Scope 2 GHG emissions are allocated
based on portfolio weights
        
Exposure to carbon-related assets
          To inform investment decision, active ownership program
        
          US$ and % of investments in carbon related-assets
        
          US$ and % of investments in carbon related-assets
US $
        

14.7 CC. Describe in further detail the key targets.

Target type
Baseline year
Target year
Description
Attachments
          2019
        
          2019
        
          Low Emissions Index’s 70% reduction of portfolio emission intensity compared to the benchmark
        
          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

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

We review climate science, investment research, and regulatory trends on a regular basis, which informs our views on climate change.

We measure the majority of our portfolio’s carbon emissions annually, and are developing transition assessments and minimum standards to measure a company’s transition readiness in the high impact sectors defined by TCFD.

We also conduct manager evaluations and ESG assessments for all new investments managers , which includes assessing climate risk management capabilities, and engaging with existing managers on TCFD reporting and enhanced climate risk management.

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 actively engage with companies in the high impact sectors defined by TCFD on transition strategies, enhanced disclosures including two degree and below two degree scenario analysis and GHG emissions reduction targets, recommended by the TCFD. We filed a number of shareholder resolutions related to climate disclosure in line with TCFD. We have been the lead investor of the Climate Action 100+ investor engagement groups, asking Exxon, American Electric Power, and Martin Marietta to adopt the TCFD recommendations
 


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.

4.25 %

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

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

Brief description and measures of investment

CAFR

https://www.osc.state.ny.us/retire/word_and_pdf_documents/publications/cafr/cafr_19.pdf

Press Release

https://www.osc.state.ny.us/press/releases/feb20/021320.htm

https://www.osc.state.ny.us/press/releases/jan18/013118.htm

https://www.osc.state.ny.us/press/releases/dec15/120415.htm

 

 

Asset class invested

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

Brief description and measures of investment

CAFR

https://www.osc.state.ny.us/retire/word_and_pdf_documents/publications/cafr/cafr_19.pdf

Press Release

https://www.osc.state.ny.us/press/releases/feb20/021320.htm

https://www.osc.state.ny.us/press/releases/jan18/013118.htm

https://www.osc.state.ny.us/press/releases/dec15/120415.htm

Asset class invested

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

Brief description and measures of investment

CAFR

https://www.osc.state.ny.us/retire/word_and_pdf_documents/publications/cafr/cafr_19.pdf

Press Release

https://www.osc.state.ny.us/press/releases/feb20/021320.htm

https://www.osc.state.ny.us/press/releases/jan18/013118.htm

https://www.osc.state.ny.us/press/releases/dec15/120415.htm

          Low Carbon
        

Asset class invested

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

Brief description and measures of investment

CAFR

https://www.osc.state.ny.us/retire/word_and_pdf_documents/publications/cafr/cafr_19.pdf

Press Release

https://www.osc.state.ny.us/press/releases/feb20/021320.htm

https://www.osc.state.ny.us/press/releases/jan18/013118.htm

https://www.osc.state.ny.us/press/releases/dec15/120415.htm

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



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