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You are in Strategy and Governance » ESG issues in asset allocation

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 commissioned a report by 427 to undertake a physical climate change risk analysis of our Portfolio to identify assets that may be at risk under physical climate scenarios. We also asked Willis Towers Watson to undertake an initial scenario analysis on our portfolio.

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]


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

Scenario analysis can be used to understand the impact of climate-related scenarios on portfolio and asset class returns.

It is important to consider a range of different scenarios to determine how resilient the Fund’s portfolio is to different potential outcomes. The main focus of the analysis should be on identifying risks that would be particularly damaging to the Fund’s portfolio and to consider what actions might mitigate the impact of these events. The TCFD recommends that organisations include a “2 degree scenario” given the agreed international climate change commitments, as well as a “business as usual” scenario, or other challenging scenarios most relevant to an organisations circumstances.

The two scenarios that we have examined are outlined below and described in more detail on the following pages:

Global Co-ordinated Action: this scenario is consistent with the Paris Agreement aim of limiting global average temperature increases to less than 2°C above pre-industrial levels. In this scenario we assume that policy makers agree on and implement policies to reduce emissions and companies and consumers take action to capture opportunities to reduce emissions.
Least Common Denominator: this scenario is consistent with a “business as usual” outcome where emissions as well as social, economic and technological trends do not shift markedly from historical patterns. In this scenario the global average temperature increase is likely to be above 2°C, but less than 4°C above pre-industrial levels.

We note that the above scenarios do not represent the full range of outcomes, nor do they necessarily capture the most adverse possible scenario. We do however believe that analysis of these scenarios provides the Fund with a useful understanding of the potential behavior of the Fund’s investment portfolio in different outcomes.

13.5 CC. この分析をだれが利用するか記述してください。

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。

Our investment strategy is generally focussed on a ten year period. Our physical climate change risk analysis was based on a 2050 time period. The scenario analysis undertaken by WTW was undertaken with a time horizon to 2030. See more information below:

We note that the impacts of the climate change megatrend will take time to manifest and that more material outputs of this megatrend may only be evident over longer time horizons (for example, from 2050 onwards).

For the period to 2030, FSS is placing high importance on consideration of when climate-related impacts on particular assets could start to see discounted in market pricing. This timing is one of the key uncertainties in translating economic costs of climate change to asset class returns and could potentially be quite rapid, severe and possibly a number of decades in advance of the actual manifestation of the physical impacts of climate change.

Therefore, scenario analysis for the period to 2030 will need to include consideration of much longer-term outcomes in order to capture this effect. To focus only on the changes expected within the time horizon to 2030 will miss the vast majority of asset class return impacts under certain assumptions.

We use the period to 2030 as it is most useful for our clients with 10 to 15 year investment objectives and also the period where the most accurate research is available. We seek to capture the impacts beyond 2030 through our terminal value assumptions at 2030 and beyond (e.g. for equities we assume economic losses continue to increase beyond 2030 and under a Least Common Denominator scenario the market over-extrapolates these impacts by repricing downwards).

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 (1) 具体的に記入してください:

          WTW Global Coordinated Action
        
その他

その他 (2) 具体的に記入してください:

          WTW Least Common Denominator
        
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。

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

We have used the MSCI ESG Manager screening tool to identify companies that contribute to alternative energy; energy efficiency; green buildings; pollution prevention or sustainable water. 

For infrastructure (including debt and equity) we have investments in renewable energy projects which are identified as low carbon solutions.  No specific taxonomy is used.

 

具体的に記入してください

          EOS at Federated Hermes engages companies specifically with a view to enhance disclosure, integrate actions and policies around climate-related risks and investments.
        

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。

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。

MSCI Carbon Analytics

14.5. 補足情報 [任意]

Some pitfalls of carbon footprinting :

Operated vs equity share data issue:

Many projects are often held in joint ventures or other joint ownership structures. Typically the operator reports 100% of the emissions and the other owners report 0%, however there is often inadequate date to show emissions data in terms of equity ownership. Making this more problematic is the fact that financial data, such as revenues or sales, used to calculate emissions intensity clearly relates to equity share of projects or operations. Thus the numerator and denominator entries are inconsistent and particularly for companies most material in a carbon footprinting exercise energy or materials.

Problems with “revenue” used as the denominator in intensity calculations:

Some companies reported revenue as the net income it receives from associates or subsidiaries, whereas other use underlying revenue. Using reported revenue (likely lower than underlying) will lead to high intensity figures.

Emissions intensities may rise with improved and more complete reporting:

The more broadly companies start to report on emissions, the more likely it will raise their emissions.

Outsourcing:

Emission from a company will be heavily influenced by which activities they conduct inhouse rather than outsourcing. E.g. do hey manufacture or purchase their raw materials?

Estimates for companies who do not report may be erroneous if based on peer group:

 They need to be based on the physical activities of that company, not peers. Eg a peer group may contain raw steelmakers, cement makers and other companies that primarily process raw materials purchased from others.

A portfolio carbon footprint might change from year to year for other reasons outside of holdings or company activities:

Upward movements in commodity prices will increase revenues, exchange rates will affect revenues.  Revisions by company to do more comprehensive reporting and the equity share data issue.

Scope 3 emissions are generally excluded from reporting:

Generally these are excluded due to inconsistencies from definitions and reporting.

Multiple counting:

We may be double or treble counting. Eg a coal miners scope 3, could be the power generators scope 1 and the industrial electricity users scope 2 emissions, and the aluminium can makers scope 3 emissions.  These emissions might be 1005 attributed to equity investors, or inadvertently counted in debt portfolio footprint,


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
          Reduce carbon intensity and invest in opportunities related to climate change
        
          Various
        
          Various
        
加重平均炭素濃度
          Measures a portfolio’s exposure to carbon intensive companies. Can serve as a proxy for a portfolio’s exposure to potential climate change-related risks relative to other portfolios or relative to a benchmark.
        
          tons CO2e / $M sales
        
          The Weighted Average Carbon Intensity measures a portfolio’s exposure to carbon intensive companies. Since companies with higher carbon intensity are likely to face more exposure to carbon related market and regulatory risks, this metric can serve as a proxy for a portfolio’s exposure to potential climate change-related risks relative to other portfolios or relative to a benchmark.
Calculating a portfolio’s Weighted Average Carbon Intensity is simple, achieved by calculating the carbon intensity (Scope 1 + 2 Emissions / $M Sales) for each portfolio company and calculating the weighted average by portfolio weight. Unlike the Portfolio Carbon Intensity, carbon emissions are apportioned based on portfolio weights / exposure, rather than the investor’s ownership share of emissions or sales.
        
カーボンフットプリント(スコープ1と2)
          Measure scope 1 ﹠ 2 carbon footprint
        
          tons CO2e / $M invested
        
          Scope 1: All direct GHG emissions from sources owned or controlled by the company. Some examples include emissions from fossil fuels burned on site, emissions from entity-owned or leased vehicles.
Scope 2: Indirect GHG emissions from consumption of purchased electricity, heat, or steam, and the transmission and distribution (T&D) losses associated with some purchased utilities.
        
ポートフォリオのカーボンフットプリント
          Measure total carbon footprint
        
          tons CO2e / $M invested
        
          Scope 1: All direct GHG emissions from sources owned or controlled by the company. Some examples include emissions from fossil fuels burned on site, emissions from entity-owned or leased vehicles.
Scope 2: Indirect GHG emissions from consumption of purchased electricity, heat, or steam, and the transmission and distribution (T&D) losses associated with some purchased utilities.
        
総炭素排出量
          Measures the absolute tons of CO2e (Scope 1+2) for which an investor is responsible.
        
          tons CO2e
        
          Total Carbon Emissions measures the absolute tons of CO2e (Scope 1 + 2)4 for which an investor is responsible. It is apportioned to the investor based on an equity ownership perspective, and can be explained with a simple example:
If an investor’s position in a company is equal to 1% of the company’s total market capitalization, then the investor owns 1% of the company, and is consequently responsible for 1% of the company’s carbon emissions (tons CO2e).
Calculating the “owned” emissions from each position in the portfolio and summing those emissions yields the total carbon emissions for the portfolio.
        
炭素濃度
          Allows measurement of the volume of carbon emissions per dollar of sales generated by portfolio companies over a specific time period
        
          tons CO2e / $M sales
        
          Carbon Intensity expresses the carbon efficiency of the portfolio and allows institutional investors to measure the volume of carbon emissions per dollar of sales generated by portfolio companies over a specified time frame. This metric adjusts for company size and is a more accurate measurement of the efficiency of output, rather than a portfolio’s absolute footprint.
Although efficiency at the company level is best measured using industry-specific measures of output (e.g. per tons of steel, miles flown, MWh of power generated, etc.), sales are used in the portfolio context as the best available measure of output when comparing across industries.
Portfolio Carbon Intensity is calculated by dividing the portfolio’s total Carbon Emissions (apportioned by the investor’s ownership share) by the portfolio’s total Sales over that same period of time (also apportioned by the investor’s ownership share).
        

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
          2019
        
          2020
        
          Reduce equity portfolio intensity by up to 50%
        

          2019
        
          2020
        
          Invest in renewables or other low carbon investments
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

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。

First State Super undertook a research project in 2015/16 to understand the climate related risks and opportunities.  This resulted in our Board approved Climate Change Adaptation Plan (CCAP).  The CCAP has taken a total fund view as opposed to individual investment strategies as climate related risks exist across the total portfolio.   

Risks identified include: direct (loss of earnings; physical asset damage and stranded asset risk); indirect (supply chain disruption; resource scarcity and specie extinctions and direct member impacts (health effects; wealth effects and loss of purchasing power). Key short term risks and key medium to long term risk were also identified. Our CCAP describes the impact of climate-related risks including: geographical/regional impacts; sector impacts; asset specific impacts of policy or technology driven changes.

A high-level framework has been adopted for assessing and managing climate change risk.  This has three key parts – information and monitoring (inputs), scenario analysis and portfolio risk assessment (output) and, finally, a response plan.  The response plan is around adaptation (weatherproofing and engagement) and mitigation (investing in renewables and related technologies and participation in the public policy debate.

Building on this the Fund has recently approved an updated Climate Change Portfolio Transition Plan (CCPTP).  This CCPTP sets out how the fund will transition its portfolio to manage climate change risk. 

Key initiatives include:

1. Advocate for an economy-wide emissions reduction target and implement sector by sector portfolio targets

2. Investigate strategies to lower carbon intensity of listed equity portfolios and SRI product offerings

3. Measure carbon intensity of Real Asset Investments and investigate strategies to lower intensity of the portfolio

4. Expand and diversify investment in traditional and emerging renewable energy technologies, clean tech, energy efficiency and other low carbon and carbon-lowering investments, including exploration of a green / low carbon bond investment strategy

5. Devise and implement a process to incorporate cost of carbon scenario analysis into investment due diligence and asset analysis for internal purposes.    

ESG risk (which includes climate change) is also part of the Fund’s overall risk management framework which has identified specific Investment related risks. Key risk indicators and mitigants have been identified and we report against those metrics quarterly as part of our Fund wide risk management framework.

 

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。

First State Super is part of the Climate Action 100+ initiative and is the lead investor for three ASX listed companies.  One of the key outcomes of the collaborative initiative is to encourage companies to report under the TCFD's.

Our external ESG provider, ACSI, uses company engagement and proxy voting advice for ASX-listed companies as tools for managing climate change risks and opportunities.

ACSI has been engaging with ASX companies for years on the disclosure and integration of climate-related risks and opportunities. ACSI engages with a broad range of companies on climate risk and also prioritises particular companies given their materiality and exposure. For 2019, there were 20 companies which ACSI focused on TCFD adoption as a primary concern.

ACSI is also actively supporting members’ efforts in the Climate Action 100+ initiative, directly engaging companies alongside members who are lead investors and providing other insights like briefing members on discussions to date.

ACSI also uses proxy voting advice as a mechanism to create engagement on climate-related resolutions and as a tool for signalling where improvement on climate-related issues can be made.

Hermes Eos are also part of the initiative as well as undertaking their own engagement activities with companies where they encourage companies to report under the TCFDs.

Our internal engagement program also focusses on encouraging companies to report under the TCFDs.

To date we have seen a number of companies commit to using the TCFD framework and provide their reports publicly.


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。

1 %

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

1 % (AUMの)

簡潔な説明および投資尺度

Our listed equities portfolio contains companies that derive a majority of their revenue from energy efficiency and related technologies.

Our Socially Responsible Equities and Diversified SRI investment options contain investments in equities; infrastructure; property and fixed income that are positively selected for clean technology, green buildings and those which demonstrate the most socially and environmentally sustainable performance outcomes in sectors such as education and training, health care, renewable energy, waste management and transport.

投資している資産クラス

1 % (AUMの)
8 % (AUMの)
50 % (AUMの)

簡潔な説明および投資尺度

Our infrastructure portfolio and our Impact portfolio contain investments in renewable energy including wind; solar and hydro in Australia, the US, Brazil, South East Asia and Europe.

投資している資産クラス

40 % (AUMの)

簡潔な説明および投資尺度

Our Socially Responsible Equities and Diversified SRI investment options contain investments in equities; infrastructure; property and fixed income that are positively selected for clean technology, green buildings and those which demonstrate the most socially and environmentally sustainable performance outcomes in sectors such as education and training, health care, renewable energy, waste management and transport. 

Our Property manager, Lend Lease, invests in buildings that meet green sustainability criteria.

投資している資産クラス

2 % (AUMの)

簡潔な説明および投資尺度

First State Super has invested in almond farms and water rights.

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

First State Super has launched a pilot in affordable housing, acquiring sites across three metropolitan Sydney suburbs.  Investments in Epping, Waterloo and Hurstville will provide supply of at least 103 units for rent to key workers at 80% of the market average rent for the area.  This has been expanded to Victoria. 

 

投資している資産クラス

2 % (AUMの)

簡潔な説明および投資尺度

First State Super has a specific mandate with a manger relating to Australian water entitlements.

 

 

 

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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