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United Nations Joint Staff Pension Fund

PRI reporting framework 2020

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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income » (C) Implementation: Integration

(C) Implementation: Integration

FI 10. Integration overview

10.1. Describe your approach to integrating ESG into traditional financial analysis.

ESG integration across the fixed income portfolio is a hybrid approach that sources multiple ESG sources and issuer information to better validate credit quality:

Internal Analysis 

  • Deal Size
  • Bond Currency
  • Bond Tenor / Time Horizon
  • Instrument Type
  • Guarantor
  • **Use of Proceeds: ESG KPI indicators for average sector credit profiles)***
  • CRA's  vs. ESG rating differential analysis relative historical fixed income performance 
  • Utilize MSCI ESG ratings across corporate (financials & non-financials) 
  • Country and sector risk (World Bank Governance Indicators)
  • Industry ESG materiality risk (MSCI ESG)
  • Corporate goverance rating (Corporate)
  • Project and operations risk (**SSA's)

10.2. Describe how your ESG integration approach is adapted to each of the different types of fixed income you invest in.

Corporate (financial)

​ESG integration across the fixed income corporate bonds portfolio is a hybrid approach that sources multiple ESG sources and issuer information to better validate credit quality:

Internal Analysis 

  • Deal Size
  • Bond Currency
  • Bond Tenor / Time Horizon
  • Instrument Type
  • Guarantor
  • **Use of Proceeds: ESG KPI indicators for average sector credit profiles)***
  • CRA's  vs. ESG rating differential analysis relative historical fixed income performance 
  • Utilize MSCI ESG ratings across corporate (financials & non-financials) 
  • Country and sector risk (World Bank Governance Indicators)
  • Industry ESG materiality risk (MSCI ESG)
  • Corporate goverance rating (Corporate)
  • Project and operations risk (**SSA's)

Corporate (non-financial)

​ESG integration across the fixed income corporate bonds portfolio is a hybrid approach that sources multiple ESG sources and issuer information to better validate credit quality:

Internal Analysis 

Deal Size
Bond Currency
Bond Tenor / Time Horizon
Instrument Type
Guarantor
**Use of Proceeds: ESG KPI indicators for average sector credit profiles)***
CRA's  vs. ESG rating differential analysis relative historical fixed income performance 
Utilize MSCI ESG ratings across corporate (financials & non-financials) 
Country and sector risk (World Bank Governance Indicators)
Industry ESG materiality risk (MSCI ESG)
Corporate goverance rating (Corporate)
Project and operations risk (**SSA's)

Securitised

UNJSPF's securitised portfolio comprises a sizeable allocation to loans disbursed by GNMA. A significant proportion of the loans comprises mortgages of first-time home buyers and starter homes that facilitate homeownership.

When researching, we focus mostly on the top rated 'AAA' securities and keep in mind that the underlying mortgages should be issued in a responsible lending manner. The issuers of underlying mortgages should not “churn” borrowers or practice predatory lending practices.

10.3. Additional information [OPTIONAL]


FI 11. Integration - ESG information in investment processes

11.1. Indicate how ESG information is typically used as part of your investment process.

Select all that apply
Corporate (financial)
Corporate (non-financial)
Securitised
ESG analysis is integrated into fundamental analysis
ESG analysis is used to adjust the internal credit assessments of issuers.
ESG analysis is used to adjust forecasted financials and future cash flow estimates.
ESG analysis impacts the ranking of an issuer relative to a chosen peer group.
An issuer`s ESG bond spreads and its relative value versus its sector peers are analysed to find out if all risks are priced in.
The impact of ESG analysis on bonds of an issuer with different durations/maturities are analysed.
Sensitivity analysis and scenario analysis are applied to valuation models to compare the difference between base-case and ESG-integrated security valuation.
ESG analysis is integrated into portfolio weighting decisions.
Companies, sectors, countries and currency and monitored for changes in ESG exposure and for breaches of risk limits.
The ESG profile of portfolios is examined for securities with high ESG risks and assessed relative to the ESG profile of a benchmark.
Other, specify in Additional Information

11.2. Additional information [OPTIONAL]


FI 12. Integration - E,S and G issues reviewed

12.1. Indicate the extent to which ESG issues are reviewed in your integration process.

Environment
Social
Governance
Corporate (financial)

Environmental

Social

Governance

Corporate (non-financial)

Environmental

Social

Governance

Securitised

Environmental

Social

Governance

12.2. Please provide more detail on how you review E, S and/or G factors in your integration process.

Corporate (financial)

Several factors are analyzed while analyzing investment opportunities:

Enviromental (Green Bonds):

  • Inclusive and Sustainable Development Plan 
  • Climate Change
  • Conservation of Natural Resources
  • ​Renewable Energy
  • Low Carbon Buildings & Energy Efficiency 
  • Clean Transport
  • Sustainable Land Use & Forestry
  • Sustainable Water Management 
  • Sustainable Waste Management

Social (IFC, IBRD, ADB & Soverigns):

  • SSA Social Bonds 
  • Gender Equality 
  • Assessment and management of environmental and social risks and impacts
  • Community, health, safety and security
  • Labor and working conditions 
  • Cultural heritage 
  • Land acquisition and involuntary resettlement 
  • Indigenous peoples
  • Resource efficiency and pollution prevention 

Governance:

  • World Bank Governance Indicators (WBGI)
  • Corporate goverance ratings
  • Project and operations risk
  • Country Systems

 

Corporate (non-financial)

Several factors are analyzed while analyzing investment opportunities:

Enviromental (Green Bonds):

Inclusive and Sustainable Development Plan 
Climate Change
Conservation of Natural Resources
​Renewable Energy
Low Carbon Buildings & Energy Efficiency 
Clean Transport
Sustainable Land Use & Forestry
Sustainable Water Management 
Sustainable Waste Management

Social (IFC, IBRD, ADB & Soverigns):

SSA Social Bonds 
Gender Equality 
Assessment and management of environmental and social risks and impacts
Community, health, safety and security
Labor and working conditions 
Cultural heritage 
Land acquisition and involuntary resettlement 
Indigenous peoples
Resource efficiency and pollution prevention 

Governance:

World Bank Governance Indicators (WBGI)
Corporate goverance ratings
Project and operations risk
Country Systems

Securitised

UNJSPF has a sizeable portfolio allocation in securitized products. Via these products, we have exposure to the loans that make a direct impact at the E, S, and G levels.

- Social: A high proportion of the underlying loans of these securitized products comprise loans to First time homebuyers and mortgages that finance underserved communities. Hence, these loans facilitate homeownership. 

- Environmental: Many of the underlying real-estate loans are for LEEDS (Leadership in Energy and Environmental Design) certified buildings. Hence, they promote sustainable environmental pratices.

- Governance: We deeply analyze the governance of issuers of our portfolio securities such as GNMA, Fannie Mae, etc. We make sure that our issuers follow strong governance practices.

12.3. Additional information.[OPTIONAL]


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