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Stichting Shell Pensioenfonds

PRI reporting framework 2020

You are in Direct - Listed Equity Incorporation » ESG incorporation in actively managed listed equities

ESG incorporation in actively managed listed equities

Implementation processes

LEI 01. Percentage of each incorporation strategy

01.1. Indicate which ESG incorporation strategy and/or combination of strategies you apply to your actively managed listed equities; and the breakdown of your actively managed listed equities by strategy or combination of strategies.

ESG incorporation strategy (select all that apply)

Percentage of active listed equity to which the strategy is applied — you may estimate +/- 5%
100 %
Total actively managed listed equities 200%

01.2. Describe your organisation’s approach to ESG incorporation and the reasons for choosing the particular strategy/strategies.

SSPF uses custom ESG benchmarks for a significant part of its listed equity portfolio. ESG considerations specific to SSPF are integrated in the construction methodology of these benchmarks.

Furthermore, all SAMCo Equity portfolio managers have access to MSCI ESG data. This includes ESG Ratings, Controversy Scores, Climate Change Metrics and Research. The data is used as an input for portfolio monitoring - with both internal & external portfolios in scope - and is considered as part of the risk/return analysis when making investment decisions. Practical implementation differs depending on the type of equity portfolio. For fundamental portfolios, this will entail a review and discussion of the available data points and research reports, potentially combined with company engagement. For quantitative portfolios, the focus will be on data analyses. As an example, quant portfolio managers use SAMCo-developed rebalancing software to analyse the ESG positioning impact (loadings ‘before’ and ‘after’) of a potential trade.

In addition, Hermes EOS will monitor the companies in which SSPF invests in order to ensure that they are taking appropriate steps to produce sustainable financial returns for shareholders. Hermes EOS will also seek to identify any situation where long-term shareholder value may be compromised due to unsatisfactory environmental, social and ethical performance or the risk of governance or strategic failure. Hermes EOS will also take account of the extent to which companies are demonstrating alignment with the general principles of the United Nations Global Compact. Where concerns are raised through the monitoring processes, or through another channel, Hermes EOS will consider engagement with the company in question.

Finally, SSPF has an exclusion list that consists of companies involved in the manufacture, sale or distribution of cluster munitions and anti-personnel landmines, as well as companies that are divested/excluded because of controversial conduct/UNGC non-compliance combined with unsuccessful engagement (ultimum remedium). 

01.3. If assets are managed using a combination of ESG incorporation strategies, briefly describe how these combinations are used. [Optional]


LEI 02. Type of ESG information used in investment decision (Private)


LEI 03. Information from engagement and/or voting used in investment decision-making (Not Completed)


(A) Implementation: Screening

LEI 04. Types of screening applied

04.1. Indicate and describe the type of screening you apply to your internally managed active listed equities.

Type of screening

Screened by

Description

SSPF does not invest in companies involved in the manufacture, sale or distribution of cluster munitions and anti-personnel landmines.

Screened by

Description

Governance positioning is taken into account in the custom ESG benchmark methodology that is used for a significant part of the listed Equity portfolio.

Screened by

          Shell General Business Principles
        

Description

Companies can be divested/excluded because of controversial conduct/UNGC non-compliance combined with unsuccessful engagement (ultimum remedium). The Shell General Business Principles are aligned with the United Nations Global Compact (UNGC). Although there is no hard compliance check (as available with the UNGC), the UNGPs, ILO, UNCAC and OECD Guidelines on Responsible Business Conduct are taken into account (directly or indirectly) as well. 

04.2. Describe how you notify clients and/or beneficiaries when changes are made to your screening criteria.

The screening criteria, as well as the international codes/principles used as guidelines, are described in the RI policy, which is available on the SSPF website.


LEI 05. Processes to ensure screening is based on robust analysis

05.1. Indicate which processes your organisation uses to ensure ESG screening is based on robust analysis.

05.2. Indicate the proportion of your actively managed listed equity portfolio that is subject to comprehensive ESG research as part your ESG screening strategy.

05.3. Indicate how frequently third party ESG ratings are updated for screening purposes.

05.4. Indicate how frequently you review internal research that builds your ESG screens.

05.5. Additional information. [Optional]


LEI 06. Processes to ensure fund criteria are not breached (Not Completed)


(C) Implementation: Integration of ESG factors

LEI 08. Review ESG issues while researching companies/sectors

08.1. Indicate the proportion of actively managed listed equity portfolios where E, S and G factors are systematically researched as part of your investment analysis.

ESG issues

Proportion impacted by analysis
Environmental

Environmental

Social

Social

Corporate Governance

Corporate Governance

08.2. Additional information. [Optional]


LEI 09. Processes to ensure integration is based on robust analysis

09.1. Indicate which processes your organisation uses to ensure ESG integration is based on robust analysis.

09.2. Indicate the proportion of your actively managed listed equity portfolio that is subject to comprehensive ESG research as part your integration strategy.

09.3. Indicate how frequently third party ESG ratings that inform your ESG integration strategy are updated.

09.5. Describe how ESG information is held and used by your portfolio managers.

09.6. Additional information. [Optional]


LEI 10. Aspects of analysis ESG information is integrated into (Private)


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