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Norwegian Government Pension Fund Norway (Norwegian Ministry of Finance and Folketrygdfondet)

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
100 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
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
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（非金融）
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%

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。

In the fixed income portfolios, we have chosen integration as our ESG incorporation strategy because it fits best with our goal of achieving increased returns over time through responsible investment. In our view, the way an issuer handles environmental and social matters can provide an indication of credit risk. We therefore aim to integrate ESG considerations into our ongoing credit assessment procedures. We do this by making use of the ESG analyses that are available for companies that are also in the equity portfolios. For high yield issuers unlikely to be covered by ESG ratings providers, Folketrygdfondet uses an internally developed sector-based ESG framework to assess risk. These analyses are, in turn, incorporated into the credit rating we assign that issuer. We also screen 100% of the corporate issuers in our fixed income portfolios against exposure to ESG controversies. If the external service provider that carries out the normative screening alerts Folketrygdondet to an issuer involved in questionable, unethical, or unsustainable business practices, we incorporate this information into our assessment of the creditworthiness of the company in question. 

Folketrygdfondet's Nordic portfolio is subject to decisions regarding the exclusion of companies from the investment universe of the Government Pension Fund Global.

01.3. 補足情報 [任意]

Folketrygdfondet's principles for responsible investment cover all asset classes. For SSA, investments are limited to sovereign bonds and municipal bonds in the Nordic market. Hence, financial risk due to issuers' management of ESG issues is minimal. We nevertheless review annually potential adjustements to our approach to ESG integration per asset class in response to changes in the underlying risk. Thus far, given the risk profile, our integration of ESG into SSA investing does not extend beyond this initial review. 

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）
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

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。

Screening: Folketrygdefondet's Nordic portfolio is subject to the decisions regarding the exclusion of companies from the investment universe of the Government Pension Fund Global.

Integration: Folketrygdfondet subscribes to an ESG controversy news service that alerts investors of potential breaches of international norms on ESG issues. If a potential breach of such norms is discovered at any of the companies or issuers in Folketrygdfondet's portfolios, we receive an alert notifying us of the incident. This information is incorporated into our evaluation of the company or issuer. Folketrygdfondet conducts its own analyses for issuers in the high-yield portfolio, based on a framework that the dedicated ESG resource and FI portfolio managers developed together. The FI portfolio managers use primarily information from the company, including both reporting and one-to-one meetings as a basis for analysis. Sell-side analyses sometimes include ESG information, for example, regarding new environmental regulations. In our experience, however, ESG integration in sell-side analyses is more common on the equity side.

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。

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。 

          The FI high yield investment team conducts issuer ESG analyses, based on an internal framework developed in collaboration with the dedicated ESG resource.

03.3. 補足情報 [任意]

As noted in the previous section, Folketrygdfondet obtains ESG information from several sources, such that the answers to 03.1 and 03.2 are not applicable to every individual source of ESG information. 

Folketrygdfondet's internal ESG frameworks are used by the FI portfolio managers in the high yield space before investing, to identify issues that may affect creditworthiness. We would not share these internal credit assessments, although we address outstanding ESG concerns with issuers directly.

After an investment decision is made, Folketrygdfondet undertakes a new ESG assessment if warranted by a change in the issuer's circumstances. Folketrygdfondet uses an ESG controversy alert service for news articles that link an issuer to controversial activities. 

Folketrgydfondet reports regularly to investment committee meetings on ESG. However, issuer-specific ESG information would only be discussed under extraordinary circumstances as the investment committee discussions typically involve a more overarching approach to the portfolio. 

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
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。

Folketrygdefondet's Nordic portfolio is subject to Norges Bank's decisions regarding the exclusion of companies from the investment universe of the Government Pension Fund Global. An overview of companies excluded from our investment universe is available here: http://www.folketrygdfondet.no/dialog/category338.html

Folketrygdfondet also subscribes to an ESG controversy alert service that notifies subscribers of potential breaches of international norms on ESG issues. This information is incorporated into our evaluation of the company or issuer.

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

Folketrygdfondet may not invest in companies that have been excluded pursuant to the Guidelines for observation and exclusion of companies from the Government Pension Fund Global.


The following companies are excluded from the investment universe of the Government Pension Fund Norway:

Swedish Match AB (19 January 2010)

 

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​
基準に基づくスクリーニング​

06.2. 補足情報 [任意]

As noted in the previous responses, Folketrygdfondet is not involved in the screening process leading to Norges Bank's decisions on exclusion. Those decisions follow a comprehensive research process, as outlined in the previously provided links. The question seems to presume that Folketrygdfondet is responsible for assessing the quality of the research used to carry out this proceess. That is incorrect. Please refer to https://etikkradet.no/en/ for more information on the Council on Ethics' organizational structure.

Folketrygdfondet also uses an external service provider to screen all investments for ESG controversies.

B) 実施:テーマ

FI 07. Thematic investing - overview (Not Applicable)

FI 08. Thematic investing - themed bond processes (Not Applicable)

FI 09. Thematic investing - assessing impact (Not Applicable)

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。

In the Norwegian and Nordic fixed income portfolios, we have chosen integration as our ESG incorporation strategy as it fits best with our goal of achieving increased returns over time through responsible investment. In our view, the way an issuer handles material ESG risks may affect creditworthiness. We therefore aim to integrate ESG considerations into our ongoing credit assessment procedures. We do this by making use of the ESG analyses that are produced in-house. These are incorporated into the credit rating we assign that issuer.

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

Folketrygdfondet's principles for responsible investment cover all asset classes. For SSA, investments are limited to sovereign bonds and municipal bonds in the Nordic market. Hence, financial risk due to issuers' management of ESG issues is minimal. We nevertheless review annually potential adjustements to our approach to ESG integration per asset class in response to changes in the underlying risk. Thus far, given the risk profile, our integration of ESG into SSA investing does not extend beyond this initial review. 

社債（金融）

We prioritize ESG analysis and engagement with issuers before investing, as we have the greatest influence at this stage. Folketrygdfondet's fixed income investments in the financial sector are in investment grade issuers. As a result, the risk of material ESG events is generally lower than for other sectors.

社債（非金融）

A common challenge for fixed income ESG analysis is the lack of data on issuers. Folketrygdfondet's fixed income investments include small and/or unlisted companies without comprehensive reporting or analyst coverage. As a result, Folketrygdfondet uses internally developed sector-based ESG risk guides to analyze issuers for material sustainability risks. We focus primarily on the high yield sector, where the risks are determined to be greatest.

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

For SSA, the various ESG factors are assessed at an overarching level in the annual assessment of Folketrygdfondet's approach to responsible investment. Should developments in the asset class ESG risk profile warrant greater scrutiny, that would be incorporated into our day-to-day investment processes.

社債（金融）

We review the potential significance of ESG issues and investigate them accordingly. The information derives from in-house ESG research and analysis. For the financial sector, which consists primarily of investment grade issuers, Folketrygdfondet incorporates ESG information into the investment process when likely to be material.

In addition, in order to develop a common understanding of ESG-related issues, Folketrygdfondet includes ESG-related information as a fixed agenda item for the daily morning meeting in the front office (both equity and fixed income investment teams). Folketrygdfondet's dedicated ESG resource also presents information of particular relevance to the fixed income portfolio at the fixed income team's monthly strategy meetings.

 

社債（非金融）

We review the potential significance of ESG issues and investigate them accordingly. The information derives from in-house ESG research and analysis. Folketrygdfondet prioritizes ESG analysis of high yield issuers prior to investment. For investment grade issuers, Folketrygdfondet incorporates ESG information into the investment process when likely to be material.

In addition, in order to develop a common understanding of ESG-related issues, Folketrygdfondet includes ESG-related information as a fixed agenda item for the daily morning meeting in the front office (both equity and fixed income investment teams). Folketrygdfondet's dedicated ESG resource also presents information of particular relevance to the fixed income portfolio at the fixed income team's monthly strategy meetings.

12.3. 補足情報 [任意]

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