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EUROBANK ASSET MANAGEMENT MFMC

PRI reporting framework 2020

You are in Organisational Overview » Asset class implementation gateway indicators

ゲートウェイ資産クラス実施指標

OO 10. Active ownership practices for listed assets

10.1. 報告年度において組織が実施した積極的な保有活動(アクティブ・オーナーシップ)を選択してください。

上場株式 – エンゲージメント

上場株式 – 議決権行使

10.3. 議決権を行使しない理由を示してください。

The allocation of our total AUM to listed equities amounts to 24% or to approximately EUR 755 million.  Of this amount, EUR 252 million are invested in the EM space, with approximately EUR 210 million invested directly and not through external managers.  Approximately 90% of this amount is directly invested in equities listed in the Athens Exchange. As our size in the global equity space is extremely limited, it would be impossible to cast votes for direct holdings we may have in the developed market space. 

However, our Company is the biggest asset and fund management company in Greece by means of AUM.  In this respect, and within our broader initiative of engaging responsibly and sustainably both on our corporate activities and our investment activities, and in order to become an active steward as per the principles of responsible investing we have to adhere to owing to our PRI membership, we decided to pursue this goal by submitting our application to become a member of the Council for Sustainable Growth of the Hellenic Federation of Industries (SEV), the local charter of the World Business Councial for Sustainable Development.  We boast to be the first asset and fund management company in Greece to take this initiative, which was welcomed by the Board of Directors of the said Council that approved our application.  With this honourable membership - which was endorsed at the end of 2019 - and our PRI membership, we will  embark in engaging directly with the member companies of SEV which are also listed in the Athens Exchange.  We hope to be able to cast our votes in General Assemblies of such companies within 2021. 

In the space of developed markets equities in which we heavily resort to external managers through their pooled funds, we tend to select ESG compliant equity funds for the following mandates: (1)  segregated mandates of Occupational Pension Funds that are obliged to incorporate ESG criteria into their investment decision process and in their investment portfolios according to the IORP II Directive which has been transposed into national law, and (2) the (LF) FOF ESG Focus fund, which is a Fund of Fund explicitly incorporating ESG criteria in its fund selection process.

債券SSA – エンゲージメント

直接的にエンゲージメントを行わず、組織外の運用会社がESG要因について企業とエンゲージメントをすることを要求しない理由を示してください。

          As already described in the previous section, the majority of our SSA holdings regard Greek Government Bonds.  The Hellenic Republic, due to the 10 year long financial and sovereign crisis the country went through, is striving to get back to the markets and re-finance its already huge, as a percentage of GDP, public debt.  In this respect, ESG factors cannot be readily applicable for the Greek sovereign space.  Regarding the rest of our holdings in the SSA space, our AUM are limited in size and therefore we cannot engage directly with the issuers (supranational or national governments) on the implementation of ESG factors regarding their bond issuance.  However, when we engage in direct bond selection of supranational issues, we tend to opt for such bonds that have been issued to be deployed for an ESG cause, such as the EIB CAB bonds.  Furthermore, when we resort to external managers through their pooled funds for our SSA holdings, we tend to select funds that are ESG compliant by means of use of proceeds. We have also noticed that ESG Ratings for Countries have started being available and we will review their credibility, timeliness and applicability to our investment process under this asset class.
        

債券 - 社債(金融) – エンゲージメント

直接的にエンゲージメントを行わず、組織外の運用会社がESG要因について企業とエンゲージメントをすることを要求しない理由を示してください。

          Our direct holdings in the Corporate Financial space are extremely limited, amounting to approximately EUR 158 mio.  The majority of such holdings pertains to issues of Greek systemic banks which have been issuing mainly due to balance sheet issues rather than due to financing "green" projects due to the extraordinary percentages of NPLs in their portfolios.  Up to the end of 2019, Greek Banks had an average NPL ratio of around 40%, so engaging with their management for incorporating ESG factors in their bond issuance would not have been constructive. 
Regarding our indirect holdings of Corporate financial instruments through pooled funds of our external managers, our exposure is extremely limited, amounting to approximately EUR 30 million which does not allow us to explicitly require our external managers to engage with Banks and insurance companies on ESG factors.  In this context, we rely upon the ESG initiatives taken by our external managers without submitting explicit requests to them.
        

債券 - 社債(非金融) – エンゲージメント


OO 11. ESG incorporation practices for all assets

11.1. 投資決定や積極的な保有の実務に(報告年度中に)ESGの組み入れを行った組織内で運用される資産クラスを以下から選択してください。

上場株式

債券 – SSA

債券 - 社債(金融)

債券 - 社債(非金融)

現金

短期金融市場商品

報告年度中に組織外の運用会社の選定、指名や、モニタリングプロセスにおいてESGの組み入れや積極的な保有に取り組んだ場合は、組織外で運用される資産クラスを選択してください。
アセット・クラス
組織外の運用会社の選定、指名や、モニタリングプロセスにおいてESGの組み入れや積極的な保有
上場株式

組織外の運用会社の選定、指名や、モニタリングプロセスにおいてESGの組み入れや積極的な保有

債券 – SSA

組織外の運用会社の選定、指名や、モニタリングプロセスにおいてESGの組み入れや積極的な保有

債券 – 社債 (金融)

組織外の運用会社の選定、指名や、モニタリングプロセスにおいてESGの組み入れや積極的な保有

債券 – 社債 (非金融)

組織外の運用会社の選定、指名や、モニタリングプロセスにおいてESGの組み入れや積極的な保有

コモディティ

組織外の運用会社の選定、指名や、モニタリングプロセスにおいてESGの組み入れや積極的な保有

短期金融市場商品

組織外の運用会社の選定、指名や、モニタリングプロセスにおいてESGの組み入れや積極的な保有

11.4. 投資マネジャーの選定、任命、モニタリングプロセスに、投資に関する考慮事項がどのように含まれているかを簡単に説明してください。

In this section we will provide you with a description of the fund selection processes that we follow for two distinct parts of our business: (1) fund selection incorporating ESG criteria for the management of portfolios of Occupational Pension Funds that have to observe the provision of the IORP II Directive regarding the incorporation of ESG criteria in the investment decision making process and the assessment of sustainability risks, and (2) fund selection incorporating ESG criteria for the management of Fund of Funds specifically set up for ESG incorporation.

(1) Fund Selection process for the management of portfolios of Occupational Pension Funds:  We employ a process that identifies the funds that use a dedicated ESG compliant investment process.  Thus, we invest in ESG compliant funds for the majority of our fund allocation.  As part of our qualitative fund selection process, we regularly conduct one-to-one meetings and conference calls with the dedicated fund managers to get an in-depth analysis of their ESG investment process and make sure that they stick to this process.  It is also noteworthy that we have organized dedicated meetings with some of our third party fund providers' ESG analysis teams that proceeded to deliver an extensive presentation of the ways they approach ESG incorporation with a special focus in the way they incorporate their own ESG criteria along with the weight that they apply to each of these criteria.  Moreover, some of our providers also exhibited the questionnaire they use when analysing a company for ESG factors and showcased the way they onload the respective answers to their systems in order to produce their in-house rankings that they then couple with rankings they get from other data providers.   In this context, we are quite confident that the ESG compliant funds offered by our third party providers are indeed incorporating in a meticulous and pedantic way ESG factors.  As a next step, we also do detailed look through into the ESG compliant funds that we choose in order to also enhance our investment idea generation process for individual stocks and bonds.

We also rely on the ESG ratings of the funds under selection that are issued by well trusted indpendent European and global organizations or government agencies.  We assign an ESG score of 100 to these funds.  The fund managers themselves also update a list with "ESG" integrated funds that do not have an independent third party ESG certification, but nonetheless have an investment process that is ESG focused and designed to systematically capture ESG risks and opportunities in the portfolios.  We assign an ESG score of 66 (2/3) to such funds.  We then update our third party funds database with all the relevant ESG funds in order to facilitate our sectorial ESG fund selection. 

Our IOPF ESG investment process entails investing mainly in ESG certified funds and ESG compliant funds in order to make sure that the funds we invest in have a pure ESG strategy with a dedicated ESG investment process. 

In addition to the above, we also use the following tools and systems to screen mutual funds in terms of their ESG compliance: (i) Mercer ESG rating that used to be available on Bloomberg and was applicable at the investment strategy level of each fund, (ii) Morningstar ESG ratios, and (iii) Eurobank AM Fund of Funds ESG process that will be described below.

(2) ESG Fund of Funds Selection and Investment Process: We start with a universe of UCITS available in Bloomberg, which comprises of approximately 1,500 funds.  First, we exclude all funds with a Mercer ESG rating of 3 and above (Mercer ESG ratings range from ESG1 to ESG4 being the lowest).  We then take the higher rated funds, ESG1 and ESG2 as well as all non-rated ones and create an Investment List in Morningstar Direct.  We take the Morningstar Sustainability Score (which incorporates Sustainalytics ESG data) of the portfolios and we exclude funds that are ranked below the 40th percentile in the Sustainability Score percent-rank.  It should be noted that Morningstar calculates the Portfolio Sustainability Score by combining a fund's Portfolio ESG Score with its Portfolio Controversy Score, by deducting one fifth of the Portfolio Controversy score from the Portfolio ESG one. The resulting score is displayed as a number between 0 and 100.  From a sustainability standpoint, higher scores are better than lower ones and indicate that a fund has, on average, more of its assets invested in companies that score well under Sustainalytics' ESG methodology.  The top 60% selected funds are then ranked with our Quantitative Model developed for Fund Selection adjusted for ESG.  From each of the six sub-universes (four for equity funds and two for fixed income funds) we take the 10 to 15 highest scores.  In the next step we apply a three factor (equal weight) ranking and sort them for max Momentum, low Volatility and Quality.  For ESG incorporation, Quality may include ESG and Governance scores (equity funds) or Environmental Scores (Fixed Income Funds).  In the final stage of portfolio construction we adjust the asset class exposure as well as the geographic/style allocation based on our assessment of the current market conditions and of the fund's or the account's specific mandate and investment guidelines.

 

 

 

 

 

11.5. 組織外で運用されるプール型ファンドについて、指名またはコミットメント・プロセスの一部として期待値を設定する他の仕組みについて記載してください(任意)。

As already explained in section 11.4, apart from relying on the quantitative fund selection model, our qualitative fund selection criteria and the ESG scoring provided by various well-respected and widely accepted providers, we do engage closely with the representatives of our third party fund providers who either arrange one-to-one meetings with the dedicated fund managers or with the ESG or Sustainability analysis team.  In both cases we engage actively with our counterparties in order to ensure that the ESG integration process they follow is of the essence and does not solely rely on scorings offered by data providers.   Moreover and what is of a primordial importance for our investment management teams is the evolution and progress exhibited in the ESG analysis space by the dedicated teams of our fund providers.  It is at this second aspect that we pay enormous attention in order to make sure that ESG is applied in progressively deeper manner that will eventually bring about change in the environment, the society and the way corporations operate.


OO 12. Modules and sections required to complete

12.1. 自主的な報告を希望される場合には、該当するするモジュールやセクションを以下のリストから選択して下さい。組織のAUMの10%以上を占める資産クラスについてのみ報告が義務付けられています。

中核的なモジュール

直接またはサービスプロバイダーを経由したRI実施

自己運用 - 上場株式の組入れ

自己運用 - 上場株式の積極的な保有

自己運用 – 債券

終了モジュール

12.2. 補足情報 [任意]


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