Questo documento è un estratto del Rapporto sul cambiamento climatico in linea con le raccomandazioni della Task Force on Climate-related Financial Disclosures (TCFD[1]) elaborato dalla società ISS ESG per Etica Sgr in relazione al posizionamento dei fondi della Linea Valori Responsabili.
Tutti i titoli sono stati analizzati secondo le raccomandazioni della TCFD, così suddivisi: Portafoglio azionario; Portafoglio delle obbligazioni societarie e Portafoglio delle obbligazioni governative.
In questo documento sono riportati i risultati ottenuti alla fine dell’anno 2019 e, di seguito, sono riportati i parametri di valutazione delle emissioni di carbonio utilizzati nell’analisi dei tre Portafogli dei fondi della Linea Valori Responsabili (per ulteriori informazioni consultare l’Appendice):
- Relative Carbon Footprint: una misura normalizzata, definita come somma delle emissioni totali di carbonio del Portafoglio per milione di euro investiti. Qualsiasi riferimento ai parametri della Relative Carbon Footprint nell’analisi è inteso in base alla formula tCO2e/milione di euro investiti;
- Weighted Average Carbon Intensity (WACI) è il parametro espressamente consigliato dalla TCFD per gli asset manager. La WACI assegna le emissioni di gas serra Scope 1 e 2 in base alle ponderazioni del Portafoglio ed ha tra i suoi aspetti positivi il fatto che è semplice da calcolare e facile da comunicare agli investitori e, soprattutto, può essere applicata a tutte le asset class in quanto non si basa sull’approccio della titolarità. Qualsiasi riferimento alla Carbon Intensity nell’analisi è inteso come tCO2e/milione di euro di ricavi.
Le metriche utilizzate per l’analisi dei dati, oltre a comprendere la valutazione dell’impronta di carbonio sulla base delle misure tradizionali di Relative Carbon Footprint, Carbon Intensity e Weighted Average Carbon Intensity – WACI, hanno visto l’integrazione di indicatori che permettono di valutare rischi e opportunità legati al cambiamento climatico in una prospettiva di medio-lungo periodo.
Tali parametri sono[2]: il carbon risk rating di ISS-ESG, l’analisi di scenario climatico per il mantenimento del riscaldamento climatico entro una certa soglia, il rischio di transizione climatica verso un’economia a basso impatto di carbonio e, la valutazione dell’esposizione al rischio climatico fisico.
[1] Launched after the 2015 Paris Agreement by the Financial Stability Board (FSB), the Task Force on Climate-related Financial Disclosure (TCFD – https://www.fsb-tcfd.org/) considers climate transparency as a crucial factor for the stability of financial markets. The objective of the TCFD is therefore to improve climate transparency in financial markets through recommendations on disclosure. These recommendations provide a “consistent framework that improves the ease of both producing and using climate-related financial disclosures”. The TCFD aims to create a unique standard for both corporate and investment disclosure, understanding that local regulatory frameworks may require different compliance levels.
[2] The metrics mentioned in the list refer to equity and corporate bonds portfolios. For sovereign bonds portfolios the risk-related metrics are limited to physical risk exposure of countries.
[3] The benchmark used in the Data Analysis is ISHARES MSCI ACWI ETF as a proxy of the MSCI World Net Total Return (in Euro).
[4] CRR is based on a scale of 0 (very poor performance) to 100 (excellent performance) and allows to categorise companies according to their carbon-related performance into four groups: Climate Laggards, Climate Underperformers, Climate Performers, and Climate Leaders. For more details, please refer to Appendix.
[5] The GHG emission pathway and carbon budget of the Portfolio are the result of the aggregation of company-level data. The GHG emission trajectories at the company-level include both historical (i) and forward-looking indicators (ii) to project the emission intensity profile of a company from now until year 2050:
- The scenario analysis utilises 5 years of the ISS ESG historical, high-quality emission intensity data to create a trend for each company included in the analysis.
- The historical trend is then combined with forward looking emission reduction commitments and targets to estimate future emissions.
For a specific company to be in line with either the 2°C, 4°C and 6°C climate scenario, the allocated carbon budget per year need to be higher than the estimated direct emissions for the same company. The emissions and carbon budget at the company-level are then aggregated to get a Portfolio 2°C, 4°C and 6°C scenario alignment.
[6] Further details on the methodology are reported in the Appendix.
[7] Further details on the methodology are reported in the Appendix.
[8] The benchmark used in the Data Analysis is ISHARES MSCI ACWI ETF as a proxy of the MSCI World Net Total Return (in Euro).
[9] CRR is based on a scale of 0 (very poor performance) to 100 (excellent performance) and allows to categorise companies according to their carbon-related performance into four groups: Climate Laggards, Climate Underperformers, Climate Performers, and Climate Leaders. For more details, please refer to Appendix.
[10] The GHG emission pathway and carbon budget of the Portfolio are the result of the aggregation of company-level data. The GHG emission trajectories at the company-level include both historical (i) and forward-looking indicators (ii) to project the emission intensity profile of a company from now until year 2050 :
- The scenario analysis utilises 5 years of the ISS ESG historical, high-quality emission intensity data to create a trend for each company included in the analysis.The historical trend is then combined with forward looking emission reduction commitments and targets to estimate future emissions.
- For a specific company to be in line with either the 2°C, 4°C and 6°C climate scenario, the allocated carbon budget per year need to be higher than the estimated direct emissions for the same company. The emissions and carbon budget at the company-level are then aggregated to get a Portfolio 2°C, 4°C and 6°C scenario alignment.
[11] Further details on the methodology are reported in the Appendix.
[12] Further details on the methodology are reported in the Appendix.
[13] For the Sovereign bonds portfolios two benchmarks are used: AMUNDI INDEX JPM EMU GOVIES ETF as a proxy of the benchmark JP Morgan EMU and the index Invesco Euro Government Bonds 1 – 3 Year UCITS ETF EUR Inav as a proxy of the benchmark ICE BofAML Euro Treasury Bill Index.
[14] In the Sovereign Bonds section of this report, Figure 11 displays the “Sovereign Emissions Exposure” of the Portfolio taking Scope 1 & 2 emissions into account. The “Relative Carbon Footprint” is a normalised measure, defined as the total carbon emissions of the Portfolio per million EUR invested. “The Weighted Average Carbon Intensity” differs from the one calculated for non-sovereign portfolios because the GDP of the country is used instead of the revenue of the company.
[15] Adjusted Enterprise Value is calculated as Total Market Cap + Total Debt. For non-listed entities where MCap is not available, total debt only is used.
[16] For sovereign bonds the revenue is replaced by the GDP of the country.
[17] The PCAF is a coalition of twelve Dutch financial institutions launched via the Dutch Carbon Pledge at the COP-21 Summit in Paris and is led by ASN Bank. The objective of this coalition is to develop a standard that enables financial institutions to set targets for carbon emissions and measure the extent to which these targets are achieved, which was presented in a December 2017 report (http://carbonaccountingfinancials.com/).
[18] Data availability limits the implementation of the exact methodology in practice. Data scarcity consists of (i) lack of data based on the same sector classifications for emissions and for expenditure, resulting in inaccuracies when matching the two data sets; and (ii) lack of sector-based expenditure data for many countries, particularly developing countries.
