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APG Asset Management

PRI reporting framework 2020

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資産配分におけるESG問題

SG 13. ESG issues in strategic asset allocation

13.1. 貴社組織がシナリオ分析および/またはモデリングを実施するか記述してください。実施する場合、 シナリオ分析について説明してください(資産クラス別、セクター別、戦略的資産配分等)。

25語以内で説明してください 。 We map risks for increasing technological developments and improvements through deterministic scenarios under the title “good globalization" (similar to a 2-degree scenario). In ALM studies this scenario shows lower investment risks and substantially increases in the coverage ratio of the pension fund, allowing for a yearly inflation indexation.
25語以内で説明してください 。 See question 13.4 for an elaborate discussion on climate change scenario analysis undertaken.

13.2. 組織が戦略的な資産配分やセクターまたは地理的な市場間での資産の配分においてESG問題を考慮しているかどうかを記載してください。

以下を行っている

13.3. 補足情報 [任意]

APG works with pie-charts to score asset classes on various characteristics (e.g. return, risk, diversification, interest rate hedge and inflation hedge factors, costs, complexity and liquidity). In response to client request, APG has also developed a pie-chart characteristic for responsible investment and applies this to all asset classes. APG Fiduciary Manager developed a methodology that provides insights into the potential of asset classes to contribute to the objectives of the sustainable and responsible investment policies of our clients. These results are included in the review of the Strategic Investment Plans. In addition, they are part of the mandating cycle, particularly as part of the Framework.


SG 13 CC.

13.4 CC. 貴社組織が気候関連のリスクおよび機会を管理するためにどのようにシナリオ分析を利用しているかについて(分析がどのように解釈されているか、その結果、将来の計画等)、記述してください。

500語以内で自由に記載

In 2018, we have mapped climate risks and opportunities in the portfolio by using scenario analysis. We have used both a 'business-as-usual' scenario and a '2-degrees' scenario. On a sector level, we have assessed the most significant climate factors, and how these may impact on growth and cost levels in the sector. We have done this for 26 economic sectors covering roughly half of the portfolio, using the time horizons 2022 - 2030 - 2040. In 2019, this analysis has been extended to cover sovereign debt. The majority of countries within the investable universe have been assessed using a similar setup and similar time horizons.

The image that arises from this analysis is that the effects of climate change are large and comprehensive in 2040. In the run-up to 2040, the transition is gradual for a global and diversified portfolio such as APG's portfolio. However, the transition can be accompanied by disruptive changes and unexpected inflection points that we will have to monitor closely.

Before 2030, we see major transitions already taking place in the 2-degree scenarios, with corresponding risks and opportunities, in particular for the following sectors: utilities, real estate, cement, oil & gas, aerospace, food and consumer goods, automotive, semi-conductors and electrical equipment, agriculture, chemicals and the construction sector.

Sectors that are especially vulnerable, but also show opportunities, for the physical impact of climate change are in particular: agriculture, forestry, real estate, oil & gas, food processing, road and rail transport, mining, utilities, health care, construction and water utilities.

From the analysis on climate risks in sovereign debt, we have concluded that exposure to countries with a high climate risk (physical and transition) is very limited and roughly equal to the exposure of the benchmark.

Apart from mapping the sector effects, we have also included climate factors in the macro-economic models that have been used in the strategic investment plan. Two scenarios in particular ('the climate trap' and 'good globalization') have included the possible effects of climate change for growth, inflation and other economic variables.

We will perform a second iteration of the scenario analysis in 2020.  

500語以内で自由に記載

As part of our active, long-term approach to investing, portfolio managers integrate climate factors into their investment processes, Some examples are: Accounting for carbon pricing, reduced volumes of fossil fuels and other financial impacts in investment cases, e.g. a 15% annual reduction in coal transport for investments in US rail transport companies.

  • In illiquid asset classes, an investment rationale focused on next-generation assets. Long-term risks are included in due diligence and subject to sign-off by the GRIG team.
  • Analysis of companies' transition strategies and capex plans, particularly in transition sectors such as oil& gas and automobiles.

500語以内で自由に記載

For many years APG has been engaging with companies on climate change and the energy transition. The scenario analysis has highlighted climate related risks and opportunities in other sectors which are perhaps less obvious, such as food and agriculture. These insights will be used in our further engagement with companies and investments on the impacts of climate change.

13.5 CC. この分析をだれが利用するか記述してください。

具体的に記入してください

          Risk Management / clients
        

13.6 CC. 貴社組織がその投資戦略について、投資期間を超えて、気候関連リスクの影響を評価しているか記述してください。

500語以内で自由に記載してください。

Depending on the specific investment strategy, the time horizon of the investment is shorter than the time horizon used in the scenario analysis (up until 2040).

13.7 CC. 一定の範囲の気候シナリオを利用しているか記述してください。

13.8 CC. 貴社組織が用いる気候シナリオについて記述してください。

提供者
使用するシナリオ
IEA
IEA
IEA
IEA
IEA
IRENA
グリーンピース
持続的発展研究所
ブルームバーグ
IPCC
IPCC
IPCC
IPCC
その他
その他
その他

SG 14. Long term investment risks and opportunity

14.1. 一部の投資リスクと機会は長期トレンドの結果として発生します。貴社では、以下のどの項目について考慮するか明示してください。

その他(具体的に記入してください)(1)

          political action and global collaboration
        

14.2. 気候に関するリスクと機会に対応して組織で実施されている活動を選択してください。

低炭素関連および気候変動に強いポートフォリオ、ファンド、戦略または資産クラスに投資されている運用資産(AUM)を明示してください

Total AUM
10億 100万
Currency
Assets in USD
10億 100万

使用された枠組みまたは分類法を明示してください

This reflects a target exposure to renewable energy. No specific framework of taxonomy is used.

14.3. 次のツールの中から気候関連リスクと機会の管理に組織が用いているものを選択してください。

その他(具体的に記入してください)

          Overall energy exposure of the portfolio, climate dashboard with 20 indicators indicating speed of the low-carbon transition.
        

14.4. 排出量リスクの開示を選択した場合、採用している開示方法またはそのフレームワークの中で気候関連のものを挙げてください。

APG and its clients have signed the Montreal Pledge and as such we are committed to measuring publicly disclosing the carbon footprint of our investment portfolios on an annual basis.

APG and our clients are committed to TCFD-style reporting and in the 2019 Responsible Investment Report we have published an annex containing TCFD disclosures.

Together with a group of other Dutch Financial Institutions (PCAF) we have contributed to writing a report about approaches to carbon footprinting in various asset classes. The way we calculate our carbon footprint for the Listed Equity portfolio is largely compatible with the PCAF report. This report is available via http://www.carbonaccountingfinancials.com/

14.5. 補足情報 [任意]

Apart from the tools described in SG 14.3, we are tracking a set of 20 indicators to gain insight in the speed of the transition to a lower-carbon economy. Examples of indicators that are tracked are: oil and gas demand, investment in renewable energy, number of EV's etc.


SG 14 CC.

14.6 CC. 気候に関連するリスクと機会を評価するために使用されるこれらの重要な指標についての詳細を記入してください。

指標の種類
カバレッジ
目的
指標の単位
方法
気候関連の目標
          To achieve desired exposure to climate-related opportunities
        
          Exposure (NAV) to renewable energy
        
          The total NAV of investments that have exposure towards renewable energy
        
ポートフォリオのカーボンフットプリント
          Achieve reduction of carbon footprint (is taken into account in investment decision)
        
          Absolute emissions / Normalized Invested Value
        
          The absolute carbon footprint is defined as the share (equity stake) of APG in the scope 1+2 emissions of the companies in which is invested. The denominator is invested value. We correct the invested value to avoid the impact of large changes in market value of the portfolio as well as client allocation decisions on our carbon footprint.
        
その他の排出量指標
          Monitor climate/energy exposure of portfolio
        
          NAV exposure to various energy sources (e.g. coal, oil, gas, renewables) / NAV of energy investments
        
          Metric applies to the energy investments only The metric is based on a look-through analysis of the portfolio. Where relevant data is available, we have further split up our position within companies towards the various fuel sources (e.g. in integrated Oil ﹠ Gas or Utilities)
        

14.7 CC. 主要目標についてさらに詳しく記入してください。

目標の種類
基準年度
目標年度
内容
添付書類
          2015
        
          2020
        
          Renewable Energy
        

          2015
        
          2020
        
          Carbon Footprint
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

14.8 CC. 気候関連のリスクが全体のリスク管理に組み込まれているかどうか記述してください。また、気候関連リスクを特定、評価、管理するために利用されたリスク管理プロセスについて説明してください。

500語以内で自由に記述。

We have established a Climate Risk Policy which describes the climate risk approach. The APG AM Climate Risk Policy covers the entire investment process, from investment beliefs towards evaluation. Climate related considerations are included in the Strategic Asset Allocation, mandating process, portfolio management and in the Annual Mandate Review cycle. This policy is dependent on the availability of tooling and measurements, which is a field still very much in development.

The traffic light model and the climate dashboard are the primary tools for measuring climate related risks and opportunities. These tools are available to the portfolio managers of the different asset classes managed by APG. Investments that are made in areas of the portfolio who are designated ‘high risk’ by the traffic light model, are required to pay explicit attention to climate risk in the investment case, including a rationale why we are prepared to take the risk and how the investment impacts the climate targets of APG and its clients.

14.9 CC. 貴社組織がTCFD採用を促すアクティブオーナーシップ活動を行うか記述してください。

説明してください。

APG is in active dialogue with companies around TCFD adoption. We do this amongst others in the collaborative Climate 100+ engagement. In 2019, we have been able to achieve success in our dialogue with Nestlé. This company announced in October 2019 that it aims to become climate neutral in 2050. The food industry and associated land use are responsible for a quarter of the global emissions. In addition, Oil & Gas company Repsol announced one of the most ambitious climate goals in the sector thus far. The company aims to reduce its net emissions to zero in 2050, which covers not only their own emissions but also those of their clients. Finally, Oil & Gas company BP agreed to enhanced climate disclosure and developing a Paris aligned strategy.


SG 15. Allocation of assets to environmental and social themed areas

15.1. 貴社にて、特定の環境および社会をテーマとする分野に基づいてファンドに資産を配分したり、ファンドを運用しているかどうかについて明示してください。

15.2. 環境および社会をテーマとする分野に投資された合計運用資産(AUM)の割合を明示してください。

15 %

15.3. 貴社が投資しているテーマ分野を明示のうえ、AUMに対する特定の資産クラスの割合を記載し、その内容を簡潔に説明してください。

分野

投資している資産クラス

15 % (AUMの)

簡潔な説明および投資尺度

APG actively seeks out attractive investments that deliver products and services that contribute to the UN SDGs (so-called Sustainable Development Investments). For this purpose, we denote the investments contributing to SDG 7 – Affordable & Clean Energy.

投資している資産クラス

15 % (AUMの)

簡潔な説明および投資尺度

APG actively seeks out attractive investments that promote sustainability such as renewable energy. We measure our investments in renewable energy and clients have established a target to increase the exposure to Renewable Energy investments to €5 bln in 2020.

投資している資産クラス

50 % (AUMの)

簡潔な説明および投資尺度

APG considers Real Estate investments with a 4 & 5 star rating in the GRESB model as Green building portfolios/investments.  

投資している資産クラス

100 % (AUMの)

簡潔な説明および投資尺度

Our forestry investments have to meet minimum requirements addressed by standards of the FSC or a comparable forestry certification scheme.

投資している資産クラス

100 % (AUMの)

簡潔な説明および投資尺度

All of our farmland investments adhere to the Responsible Farmland Principles. In addition, all of our farmland managers have signed a zero-conversion policy.

投資している資産クラス

5 % (AUMの)

簡潔な説明および投資尺度

As part of a client target to contribute to education, we measure education related investments in real estate and infrastructure. A large part of these investments are in student education and school infrastructure.

投資している資産クラス

5 % (AUMの)

簡潔な説明および投資尺度

APG actively seeks out attractive investments that deliver products and services that contribute to the UN SDGs (so-called Sustainable Development Investments). For this purpose, we denote the investments contributing to SDG 3 – Good Health & Wellbeing

          communication technology
        

投資している資産クラス

10 % (AUMの)

簡潔な説明および投資尺度

As part of a client target to contribute to education, we measure communication technology related investments in infrastructure.

15.4. 含めたい補足情報があれば、添付してください。 [任意] 



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