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Fonds de réserve pour les retraites - FRR

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 FRR integrated extra-financial indices in its asset allocation and exclusions.

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

FRR integrate ESG indices into its asset allocation and mandate guidelines.

FRR integrate extra financial criterias (ESG, climate change ....) into its mandates.

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

FRR evaluates , every year, the impacts of climate-related risks beyond time-horizon (physical risks, transition risks, 2° alignment, green share...)

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:

          IEA Energy Technology Perspectives (ETP)
        
Other

Other (2) please specify:

          IEA New Policy Scenario
        
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.

other description (1)

          Physical risks
        

other description (2)

          Transition risks
        

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.

CO2 emissions/capital invested and /turnover, average intensity, transition investments and investment in green solutions.

Green bonds

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.

CO2 emissions/capital invested and /turnover + average intensity (equities and bonds), Climate risks, 2°c alignment and green share.

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
          Measure the green share
        
          
        
Weighted average carbon intensity
          Measure the selectivity of asset managers
        
          CO2 equivalent (tCO2e) 
per million euro in revenue
        
          The average footprint is calculated as the 
arithmetic average of the carbon intensities of 
companies in the portfolio weighted by their 
share in the portfolio
        
Carbon footprint (scope 1 and 2)
          Measure the volume
        
          CO2 equivalent (tCO2e)
        
          
        
Portfolio carbon footprint
          Measure the volume of emissions of a portfolio
        
          CO2 equivalent (tCO2e)
        
          
        
Total carbon emissions
          Give an idea of the emissions of the portfolio
        
          CO2 equivalent (tCO2e)
        
          
        
Carbon intensity
          Assess the portfolio performance
        
          Those ratios are expressed in tonnes of CO2 equivalent (tCO2e) per million euro invested or/and  in tonnes of CO2 equivalent (tCO2e) per million euro in revenue
        
          The footprint in capital terms is calculated per million euro invested; the carbon footprint in terms of revenue is calculated by dividing companies’ annual CO2 emissions by the annual revenue generated by their activities
        
Exposure to carbon-related assets
          Evaluate future emissions, stranded assets
        
          Tonnes of CO2eq/million € of capital
        
          Future emissions financed per million euro invested
        

14.7 CC. Describe in further detail the key targets.

Target type
Baseline year
Target year
Description
Attachments
          Immediate
        
          
        
          Carbon emissions reduction per million of turnover, million invested, average intensity
        

          Immediate
        
          
        
          Green share
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

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

ESG score are integreted into overall 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

TCFD support is integrated in the FRR's selection questionnaire.


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.

29 %

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

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

Brief description and measures of investment

Investments in energy efficiency and clean technologies companies.

Asset class invested

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

Brief description and measures of investment

Investments in Renewable energy companies.

Asset class invested

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

Brief description and measures of investment

% of AUM

Asset class invested

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

Brief description and measures of investment

Investments in green agriculture.

Asset class invested

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

Brief description and measures of investment

Investments in green companies based on our asset managers' proprietary models.

Asset class invested

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

Brief description and measures of investment

Investments taking into account social based on our asset managers' proprietary models.

Asset class invested

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

Brief description and measures of investment

Investments taking into account Water based on our asset managers' proprietary models.

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



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