Post on 16-Apr-2022
Combined TCFD report
– Article 173Rothschild & Co Asset Management Europe
December 2020
Article 173 (VI) of the french Law on Energy Transition for a greener growth provides a regulatory framework on climate
change risk management and the integration of environmental, social and governance (ESG) issues in investment policy. It
encourages companies to take a transparent approach to investors on their alignment for a low carbon transition.
The decree governing its entry into force was published on December 31st 2015.
The purpose of this report is to present the initiatives of Rothschild & Co Asset Management Europe responsible investment
initiatives.
This report has two goals:
1. To comply with the obligations related to the "Article 173 VI" decree
2. To integrate the recommendations of the Task Force on Climate-Related Financial Disclosures (CRFD)
In both cases, the required information relates to additional aspects of sustainability issues and their integration into our
investment process. Through TCFD, we focus on climate-related risks and opportunities, while Article 173 also integrates
environmental, social and governance (ESG) aspects.
In order to converge towards both, the structure of this report is based on the TCFD guidelines:
1. Governance
2. Strategy
3. Risk management
4. Indicators
1
Our responsible investment approach has been progressively strengthened since 2011, when Rothschild & Co Asset Management Europe
became a signatory to the UN Principles for Responsible Investment (UN-PRI). It relies on two main pillars:
1) The integration of ESG criteria in fundamental analysis
Extra-financial performance trajectory analysis has gradually become a comprehensive part of our investment decision process. It integrates our usual
analysis grids : assessment of the credibility and the ambitions of the management team, evaluation of the means implemented and the capacity to finance
future developments, analysis of the level of transition of the business model, understanding of the competitive environment. It is therefore a central element
that allows us to apprehend the risk premium, challenge the valuation forecasts, and appreciate the convexity of our investment choices.
2) An active engagement policy
We favour engagement to any mechanism of systematic exclusions (excluding regulatory exclusions): raise awareness amongst management teams of
best practices in their sector, draw their attention to controversies, and use our shareholder leverage alone and/or through collaborative engagement
initiatives and identify the transition levers is part of our role as a responsible investor both vis-à-vis our shareholders and all our stakeholders.
The years 2019 and 2020 have been a milestone in strengthening our ESG integration process, engagement policy and ESG products offering.
Once the integration of ESG criteria across all asset classes under management finalized, we took a further step forward in 2019 with the launch of the
4Change funds range. It is structured around targeted sustainable investment themes and complies with higher minimum ESG standards, like the R-co
4Change Climate Credit Euro and R-co 4Change Climate Equity Europe funds focusing on climate change. Through this new funds range, we have started
to monitor more carefully specific KPIs relating to the negative and positive impacts of our investments and developed new reading grids, focusing on both
the materiality and the additionality of our investments, particularly with the launch of our R-co 4Change Green Bonds fund.
We have also strengthened our engagement policy regarding climate change in 2019 by joining the Climate 100+ initiative, which targets a constructive
dialogue with the biggest GHG emissions emitters regarding their governance of climate issues and their adoption of credible plans to reduce their
environmental impact.
The adoption of common investment principles relating to thermal coal across all the investment business lines of the Group is another important step in our
engagement to fight climate change at both R&Co Asset Management Europe and R&Co levels.
Géraldine Gouges
Group Head of Responsible Investment, Rothschild & Co
Introduction
The responsible approach of
the Rothschild & Co group
1
Rothschild & Co
Corporate Responsability
1.1
Our corporate responsibility strategy sets out a clear commitment regarding the conduct of our activities and presents our
ambitions around 5 pillars:
Rothschild & Co Corporate responsibility
6Source: Rothschild & Co Asset Management Europe – 31/12/20
900,000+ young people helped, collectively, by
the charities that have benefited from
our contributions
of the group's electricity
comes from certified
renewable sources
employees, who make up
the diversity of our teams
decrease in Scope 1
emissions in 2019
(vs. 2018)
of employees have
carried out community
involvement activities
Our priorities
Cultivate a
responsible human
resources culture
Our community
involvement
Promote responsible
business practices
Promote sustainable
investment solutions
Assume our
responsibilities
regarding the
environment
We attach great importance to good conduct, personal
responsibility and involvement in the work both between
employees and with our clients.
Our aim is to attract and retain the most talented people
from a variety of backgrounds, cultures and experiences,
creating an environment that enables our people to develop,
perform and excel.
We want to actively contribute to the evolution of business
practices and the orientation of financial flows towards a
more sustainable economy.
We are determined to contribute to a more environmentally
sustainable economy and to limit our impact on the
environment.
We support young people from underprivileged
backgrounds in carrying out their projects, so that everyone
can build and develop themselves thanks to their abilities
and potential, whatever the environment.
We continually pay attention to the risks and opportunities inherent in the Corporate Responsibility business model.
Corporate Responsibility Strategy
A working group consisting of
members of the Executive Board
carried out an in-depth assessment
of Corporate Responsibility issues.
The objective was to identify the
social, environmental and
governance issues that are most
important to our stakeholders and
likely to create opportunities or
risks for the Group's various
businesses.
The significance matrix presents the
main non-financial risks and
opportunities related to Corporate
Responsibility that have been
assessed and, among these, those
that we considered to be the most
significant. They form the basis for the
development of the Group's Corporate
Responsibility strategy.
The findings of this evaluation
highlight five main areas of
responsibility that represent
important non-financial priorities for
our work.
Methodology: Through discussions with divisional and Group management teams, regulatory texts and recognised
NGO executives, we have identified a long list of potential Corporate Responsibility issues for the Group. Then,
together with the management teams, we prioritised the most significant areas based on regular feedback from
customers, investors, suppliers and our staff, secondary market research and experts within the Group to ensure
regulatory compliance. These views on priorities have been incorporated into the significance matrix of the Group's
Corporate Responsibility issues. The Group's strategy and the resulting priorities were defined by the Group's
Executive Committee and validated by Rothschild & Co Gestion.
Source: Rothschild & Co Asset Management Europe – 31/12/20 7
Materiality matrix
RELEVANCE TO OUR KEY STAKEHOLDERS WITHIN THE BUSINESS LINES
Imp
ort
an
ce
fo
r s
tak
eh
old
ers
Significance for the Group
Biodiversity
Contributions to civil society
Waste management
Responsible consumption
Climate change & GHGHuman rights
Management of the Group's capital
Community Involvement
Responsible/active impact investment
ESG risk and opportunity
management
Employee
development
and well-being
Governance structure
Culture and compliance schemes
Confidentiality
Payroll issues
Social impact
Responsible Investment
Integrity of the company
Environmental management
CORPORATE RESPONSIBILITY ISSUES THAT PRESENT SIGNIFICANT RISKS / OPPORTUNITIES WITHIN THE GROUP
At the heart of our activities and steered by managers at the highest level of the Management and the Supervisory Board
Corporate Responsibility Governance
Our Corporate Responsibility strategy and policy is initiated, defined
and steered by the Group Executive Committee ("GEC"). A member
of this Committee is responsible for all of our global initiatives in this
area. The GEC shall, if necessary, decide on Corporate Responsibility
issues at its ordinary meetings and present the strategy to the
Supervisory Board at least once a year.
In 2019, topics related to Corporate Responsibility were discussed
in 50% of meetings. In 2019, the GEC appointed a Group Corporate
Responsibility Director to help coordinate Group-wide initiatives and
provide consolidated data on the Group's performance with regard to
our strategic objectives. The Group's Corporate Responsibility
Director reports to the responsible GEC member and to one of the
Managing Partners. It is supported by experts related to our priority
areas and works closely with the various Group Management
Committees dedicated to the management and operational
implementation of our initiatives in all our business lines.
Thanks to this integrated approach, we ensure the proper
implementation of our Corporate Responsibility strategy at all
levels and business lines.
8Source: Rothschild & Co Asset Management Europe – 31/12/20
Group’s Responsible
Investment Committee
World Committee
for Equality and
Inclusion
World Committee
for Community
Engagement
Environment, Health
and Safety Committee
of the Group
Gro
up
Dir
ecto
r o
f C
orp
ora
te
Re
sp
on
sib
ilit
y
Supervisory
Board
CR Committee
Rothschild & Co
Management
Human resources
Legal and
compliance
Financial management
Risk management
Internal audit
Group
Executive
Committee
Overview of the 4 committees supporting the Executive Committee of the Group
Responsibility
1Group’s
Responsible
Investment
Committee
• By being a committed
investor and offering
sustainable investment
products, we are working
on a Group-wide ESG
integration strategy to
influence the
transformation of
industries towards
sustainable practices.
2World Committee
for Equality and
Inclusion
• Rothschild & Co provides
long-term opportunities
for our talents and
promotes a diverse,
inclusive and flexible
environment that enables
all employees to achieve
their personal and
professional aspirations.
3World Committee
for Community
Engagement
• We define and drive the
Group's community
engagement strategy to
achieve our overall
mission: to make a
meaningful difference for
disadvantaged children
and young people.
4Environment,
Health and Safety
Committee of the
Group
• Through our activities,
products and services,
we are committed to
offering added value to
our businesses and our
customers' activities, by
adopting a sustainable
and environmentally
friendly approach to the
planet's natural resources
conservation and
protection.
9Source: Rothschild & Co Asset Management Europe – 31/12/20
A contribution to a more sustainable economy
Environmental management strategy
Through our activities, products and services, we strive to adopt a sustainable and environmentally friendly approach to contribute to
the planet's natural resources conservation and protection.
We seek to actively contribute to four Sustainable Development Goals (SDGs) through all our entities and actions: Affordable and Clean
Energy (SDG 7); Responsible Consumption and Production (SDG 12); Climate Action (SDG 13); Life On Land (SDG 15).
GREENHOUSE GAS EMISSIONS AND CLIMATE CHANGE
RESPONSIBLE CONSUMPTION AND COMMITMENT
MANAGEMENT OF RESOURCES
Our immediate objective is to reduce
Rothschild & Co.'s “corporate”
emissions as much as possible.
We have set a target to purchase
100% renewable electricity for all
our offices by 2025* and to reduce
GHG (greenhouse gas) emissions
per FTE (full time equivalent
employee) by 10% by 2025*.As part of our corporate culture, we
encourage waste reduction, circular
economic practices and the
development of recycling. We aim to
achieve a collective recycling rate
of 80% by 2025*.Responsible resource management is
part of the improvement actions
associated with the Plan. We have set
ourselves the following targets:
reducing office energy consumption
by 10% and paper consumption by
25% per FTE by 2025*.
*vs. 2018
10Source: Rothschild & Co Asset Management Europe – 31/12/20
We believe that the protection of environment and strategic partnerships go hand in hand. They
will be increasingly necessary to limit environmental damage and carbon emissions into our
atmosphere.
• Since 2017, the Rothschild & Co Group has been a signatory of the Carbon Disclosure Project
(CDP), of which it became a member in 2019. After disclosing our climate change data, our Group
was given an A- rating in 2020 (B in 2019). CDP is a global non-profit organisation that brings
together investors, businesses and cities to discuss urgent measures to build a truly sustainable
economy by measuring and understanding their impact on the environment.
• To help protect the world's natural resources, biodiversity and the communities that depend on them,
we have chosen to partner with "Cool Earth". Cool Earth is a non-profit organisation that works
alongside rainforest communities to stop deforestation and its impact on climate change.
• The carbon neutrality objective of our financial activities is certified: The Rothschild & Co group has
been awarded the "Climate Neutral Operations for Financial Services" label by South Pole for 2019
and 2020.
Strategic partnerships for the protection of the environment
Environmental management strategy
11Source: Rothschild & Co Asset Management Europe – 31/12/20
Responsible investment at
Rothschild & Co
1.2
A Group-wide ESG integration strategy to influence the transformation of industries towards sustainable practices
Responsible Investment Governance
1Supervision
• The Group Executive
Committee ("GEC") validates
and commits to common
ambitions and guidelines.
• The GEC validates the main
decisions and commitments
in terms of responsible
investment.
• The Co-Chairman of the GEC
is the Chairman of the
Responsible Investment (RI)
Committee of the Group.
2Coordination
• Coordination is carried out
transversally for all Group
entities in order to ensure a
coherent approach.
• The Responsible Investment
Committee includes members
from all investment business
lines and all central functions
involved.
• Overall coordination takes
place at Group level, with the
Responsible Investment (RI)
Group team reporting directly
to the Co-Chairman of the
GEC.
• A dedicated project team at
Group level is carrying out
additional work on TCFD and
the Disclosure Regulation.
3Implementation
• In addition to the overall
Responsible Investment
framework defined at Group
level, each entity applies its
own Responsible Investment
strategy according to its
business and client
constraints.
• Dedicated governance and
resource allocation are
decided at entity level.
13Source: Rothschild & Co Asset Management Europe – 31/12/20
One objective: to build a responsible, uniform and robust investment framework over the next three years and to integrate all our
investment businesses into it by 2022
Responsible Investment priorities and roadmap
1The definition of a coherent
responsible investment
framework covering all of
our investment expertises
• Respect a common minimum
exclusion framework
• Use a consistent scoring approach
when possible
• Monitor key ESG indicators to
assess the Group's exposure to non-
financial risks and measure our
positive impact
• Ensure strong governance of
sustainable issues within the Group
2The strengthening of our
engagement policy
• Reinforce the involvement of
Rothschild & Co Responsible
Investment initiatives
• Reinforce our voting policy
• Promote and maintain sustainable
investment practices
3The strengthening of our
offer
• Involve all of our investment
business lines and support functions
in those matters.
• Develop innovative sustainable
investment products
Our responsible investment action plan is built around three main priorities.
14Source: Rothschild & Co Asset Management Europe – 31/12/20
15
A roadmap to gradually integrate all the business lines into this project
TCFD Project – State of affairs
Rothschild & Co recognises that the recommendations of the Taskforce on Climate Related Financial Disclosure ("TCFD") facilitate the
identification of climate-related risks and opportunities in our business. The group has committed to start communicating on alignment with
TCFD's recommendations in its next annual report. During the year 2020, Rothschid & Co carried out several actions in order to support the
achievement of this objective.
• The Responsible Investment Committee works to implement tools, group policies and
engagement initiatives in favour of a better integration of climate risks and opportunities
into investment businesses.
• The Environment / Safety / Health Committee of the Group is working on the
implementation of an environmental roadmap for the Group's "corporate" perimeter.
• The CSR Committee of the Supervisory Board is kept informed of the Group's progress in
integrating Climate risks and opportunities and the progress of the TCFD project.
• A working group dedicated to the TCFD project brings together senior members from the
business lines and operational divisions; is working in particular to define an appropriate
governance structure.
• Organisation of a workshop with specialized consultants on climate risks and opportunities
and the Group's exposure for our top management.
• Various training sessions on ESG issues for Group and business line Compliance teams
took place in 2020.
Governance
• Progress on the Group's responsible investment roadmap with,
in particular, the adoption of an investment guidelines for
thermal coal sector, common to all of the Group's investment
businesses.
• Continued improvement of the Group’s engagement policy.
• Most of Rothschild & Co's investment businesses have
developed sustainable investment products that put ESG and
climate related criteria at the heart of their investment process.
Strategy
• Gradual implementation of Climate risk management tools within business lines
• Training of Compliance teams on sustainable finance topics
Risk management
• Common ESG/Climate indicators are being developed to
provide a consolidated view of the investment business of these
risks.
Indicators
Source: Rothschild & Co Asset Management Europe – 31/12/20
1
For companies and financial market participants - both issuers and investors - the economic, operational, legal and reputational risks
induced by climate change are becoming increasingly real.
Take the example of Pacific Gas & Electric (PG&E), California's largest utility, which filed for bankruptcy protection in January 2019 after
accumulating an estimated USD 30 billion in liability for fires caused by its poorly maintained equipment.
An analysis carried out by the Economist Intelligence Unit in 2015 (the cost of inaction), pointed out that global warming of about 4°C could
result in a loss of USD 4.2 trillion in present value of financial assets worldwide, a warming of 5°C could result in a USD 7 trillion loss in
present value, while a warming of 6°C could result in a USD 13.8 trillion loss in present value.
As an indication, the impact of human activities on global warming calculated by the difference between current temperature levels and
those prior to the industrial revolution is estimated to be around 1°C. Strict compliance with the commitments of the Paris Agreement, made
on 12 December 2015, would already lead us to a warming of 3°C by the end of the century.
However, although the focus is on climate risks, opportunities may also arise. According to a research paper published in 2019 by the
Global Commission on Adaptation, investing USD 1.8 trillion worldwide from 2020 to 2030 in key sectors to accelerate the transition could
generate USD 7.1 trillion in total net profits.
Article published in 2020 by the TCFD / Disclosure working group to raise awareness of the Rothschild & Co Group's teams
Climate issues at the heart of our sustainable approaches
16
17
• Physical risks are those resulting from climate volatility, extreme events and long-term changes in climate trends.
2. Physical risks
• Transition risks arise from the policy and technology-driven adjustment process towards a greener, low-carbon
economy.
1. Transition risks
Identification of the main "climate" risk factors for companies
“Climate” risk management strategy
Extreme meteorological conditions have increased
sharply over the past two decades and are expected to
continue, causing enormous and disproportionate
human and economic losses worldwide.
Policy developments can lead to abrupt changes in
cost structures, such as the introduction or increase in
the cost of the carbon tax per ton emitted.
Technological innovation leads to a sharp drop in the
cost of renewable energies and thus strengthens their
pricing power compared to fossil fuels.
18
How does this translate into financial risks and opportunities for banks and investors?
“Climate” risk management strategy
Obviously, financial institutions can be
directly exposed to climate-related risks
through the location of offices in flood-risk
areas.
• Nevertheless, the main environmental risks they face
are indirect via the exposure of their businesses to
activities likely to cause or be affected by
environmental degradation (air pollution, water
pollution and freshwater scarcity, soil contamination,
loss of biodiversity and deforestation).
• Environmental risks therefore increase the credit,
market and liquidity risks to which they are already
exposed.
Climate risks
Physical risks
Transition
risks
Source: use of NGFS report - April 2019
According to our analyses, there is a three-
fold exposure to climate risks and
opportunities for Rothschild & Co:
1. As a company, it invests its balance sheet in liquid
and less liquid assets exposed to climate-related
risks and opportunities.
2. As a stock exchange listed company, sensitive to
investor sentiment and expectations
3. Through its various businesses, which are exposed
to climate-related risks and opportunities
Transmission Financial risks
Financial opportunities
MicroImpact on
businesses and
households
MacroConsolidated
impacts on the
economy
Credit Market
Operational Liquidity
Reputational
Innovative
products
Financial
performance
Attraction/retention
of talent
Incoming flows
Advisory
mandates
Financing needs
Increase in ESG
ratings
Common principles for all Group's investment businesses
Investment guidelines for thermal coal sector
Our goals
• Scope and definition: enterprises directly engaged in the production,
exploration, mining and processing of thermal coal and the
production of electricity from thermal coal.
• We will no longer lend or invest in companies involved in projects to
develop new thermal coal mines or coal-fired power plants.
• No further investment will be made and no new financing will be
granted to companies where:
– more than 30% of turnover comes from thermal coal
activities;
– more than 30% of the energy mix (per MWh generated) is
based on coal.
• No further investment will be made and no new financing will be
granted to companies where:
– the annual production of thermal coal exceeds 20 MT per
year,
– the installed coal-fired capacities are greater than 10
GW.
The efforts of actors who have put in place or are in the process of
formalising a credible coal phase-out policy, after analysis and
possible commitment, will be accompanied and supported.
These principles were implemented from October 2020. The thresholds
apply until the end of 2020 and will be reviewed in 2021.
Our investment principles
relating to thermal coal• Support the transition to a low-
carbon economy.
• Contribute to the improvement of
environmental practices.
• Direct financial flows and give
priority to actors who have adopted
sustainable strategies.
These principles are integrated in our
responsible investment framework and
are:
• Representative of our willingness to
contribute to the transition to a
more sustainable economy,
• A contribution to the response being
developed regarding climate change
related risks in order to better
protect our investors,
• In line with our approach of
integrating extra-financial criteria
into our investment strategies,
• An additional means of action in
favour of our active engagement
policy.
These principles apply to
the discretionary
investment activities of:
✓ Asset management,
✓ Private Banking and
✓ Capital Investment
These are implemented:
✓ on all new and existing
investments,
✓ on open-ended fund
ranges.
Dedicated funds:
Discussions regarding
each client’s conviction
in order to consider
investment guidelines
application
Application
framework
19Source: Rothschild & Co Asset Management Europe – 31/12/20
Responsible investment promotion initiatives and
partnerships
Our key initiatives
Sustainable finance
UNPRIRothschild & Co AM Europe / Wealth Management UK / Wealth
Management (Switzerland) / Merchant Banking
Robeco Sustainable Private Banking Circle Rothschild Martin Maurel
AFG - RI Group Rothschild & Co Asset Management Europe
FBF Climate Commission Rothschild & Co
Green Finance Commission OCBF Rothschild & Co
Swiss Sustainable Finance Wealth Management (Switzerland)
Environmental protection
CDP Rothschild & Co
Climate 100+ Rothschild & Co Asset Management Europe
IC20 Merchant Banking
TCFD Rothschild & Co
Impact
GIIN Merchant Banking
Labels
French SRI label Rothschild & Co Asset Management Europe
Towards sustainability Rothschild & Co Asset Management Europe
NGOs
EPIC
Up2Green Reforestation
Duo For a Job
At group level or via its entities, Rothschild & Co is involved in market initiatives to promote responsible investment and forge partnerships.
Source: Rothschild & Co Asset Management Europe – 31/12/20 20
Rothschild & Co Asset
Management Europe’s approach to
responsible investment
2
Governance
2.1
History
Our pragmatic responsible investment approach has been building up since 2011, when we became signatories to the UN Principles
for Responsible Investment.
We are convinced that the environmental, social and governance (ESG) issues facing our societies require an adaptation of economic
models.
We wish to be part of this transformation by influencing the companies in our investment universe to change their practices and by
participating in the orientation of financial flows towards players who integrate the measurement of these challenges into their strategy and
provide concrete solutions.
Sustainability issues are sources of opportunities and risk factors. Integrating them into our investment allows us to apprehend their
materiality and proves to be an essential reading grid for the generation of performance
Our approach as a responsible investor is expressed through:
• The integration of ESG and financial criteria, at the service of our conviction expertise supporting enhanced analysis of the issuers in which
we invest,
• and the implementation of an engagement policy that enables us to have an impact on the issuers in our investment universe.
Our responsible investment action plan is in line with the three priorities defined at the Group level.
The definition of a coherent
responsible investment framework
covering all of our investment
expertises
1The strengthening of our innovative
sustainable products offering
The strengthening of our engagement
policy
2 3
23Source: Rothschild & Co Asset Management Europe – 31/12/20
24
A look back at the history of our responsible investment
approach
2011
• Rothschild & Co AM Europe,
UNPRI signatory
Equity (2011), Bonds (2015),
open architecture (2012)
• Implementation of an SRI
voting policy
Promoting responsible
investment principles (ISS)
2012
• First ESG notation tool
Development of our rating notation
tool on the basis of non-financial
criteria
2015
• Work on the Carbon trajectory
Development of portfolio’s
carbon trajectory assessment or
evaluation
2018
• “Low Carbon”
institutional
mandate
2017
• Change of ESG data provider
• The Rothschild & Co Group
becomes a CDP signatory
• Creation of a Sustainable
Investment team
2019
• Launch of the R-Co 4Change range by
Rothschild & Co AM Europe
• Rothschild & Co AM Europe joins Climate Action
100+
• Up2Green Reforestation partnership
• Creation of a responsible investment committee
Rothschild & Co Group
2020
• Guidelines for thermal coal sector at
Group level
• Institutional mandate dedicated to the
4 pillars of the Church
• Launch of a Green Bonds fund
• Duo for a Job Partnership
Source: Rothschild & Co Asset Management Europe – 31/12/20
Up2Green Reforestation partnership within the scope of
Rothschild & Co Asset Management Europe Corporate Responsability
Beyond the objectives and initiatives led by the Rothschild & Co Group and aware of the growing expectations regarding invested
companies, Rothschild & Co Asset Management Europe has developed in 2019 a 5 year partnership whose objective is to promote
the reforestation and development of local communities in Colombia.
Up2Green Reforestation is an NGO founded in 2009 and whose main activities are reforestation, ecosystem preservation and
sustainable sector development. Its intervention in Colombia is at a national level, but it particularly targets the south-eastern region of
Colombia where the preservation of the ecosystem is essential, since access to drinking water depends on it.
Since 2016, 150,000 trees have been planted by the NGO Up2Green Reforestation. Rothschild & Co Asset Management Europe is
now participating in this reforestation effort. 11,000 trees per year will be planted by Rothschild & Co Asset Management Europe over
the next 5 years.
The support of Rothschild & Co Asset Management Europe made it possible from 2019 to develop a beekeeping project to combine
the restoration of ecosystems with the economic resilience of local populations.
25Source: Rothschild & Co Asset Management Europe – 31/12/20
Agroforestry at the heart of the
local community programme
approach
16 beehives in
4 communities through the
beekeeping project
55K trees over 5 years
11K trees per year: theoretical
number of trees to capture a
year of CO2 emissions from
R&Co AM Europe
Responsible Investment is taken into account in our Group governance bodies
The governance of Responsible Investment challenges
Rothschild & Co members
Asset Management Europe
Rothschild & Co
Supervisory Board
Responsible Investment
Committee
World Committee
for Equality and
Inclusion
Environment,
Health and Safety
Committee of the Group
World Committee for
Community
Engagement
Group Executive Committee
President: Managing Partner | Co-President of the Executive Committee
Members: representatives of all investment business lines and central teams involved in RI (Group Responsible Investment, Risk & Compliance,
CSR, Investor Relations, etc.)
Pierre Baudard
Managing Partner
Ludivine de Quincerot
Manager for ESG and
Financial Analysis
Source: Rothschild & Co Asset Management Europe – 31/12/20 26
A dedicated team within Rothschild & Co Asset Management Europe supported by an experienced team at Group level and
Responsible Investment representatives
A collaborative approach to support the ESG effort
Responsible Investment advisors within each of
Rothschild & Co Asset Management Europe's areas of
expertise:
ESG and Financial Analysis team at Rothschild & Co AM Europe:
Support from an experienced responsible investment
team at Group level
Rothschild & Co in charge of:
✓ Disseminating best practices within Rothschild & Co Asset
Management Europe
✓ Creating the link between the ESG and Financial Analysis team
and their investment management
Thomas Vincent
Financial engineer
Ludivine de Quincerot
Head of ESG and
Financial Analysis team
Andrea Sekularac
Sustainable Investment
Project Manager
Gabriel Hors
Senior analyst
Marie-Ange Riggio
Junior analyst
Natacha Rousset
Senior analyst
Nicolas
Racaud
Valérie
Oelhoffen
Anthony
Bailly
Linh
Mansion
Edward Luu
Analyst
27Source: Rothschild & Co Asset Management Europe – 31/12/20
✓ Coordination of the Group's Responsible Investment (RI) topics
✓ Monitoring regulatory developments, trends and procedures
✓ Supporting entities in their responsible investment
developments
✓ Leading the RI Group committee
Géraldine Gouges
Group Head of
Responsible Investment
Responsible Investment
Officer
In the process of
recruitment
Strategy
2.2
As an asset manager, we are exposed to different climate risks and opportunities.
Specific steering of climate risks and opportunities
Our exposure to "climate" risks
Financial risks Reputational risks Other risks Opportunities
Climate Risks and
Opportunities -
Rothschild & Co
Asset Management
Europe
Assets under
management facing
underperformance
risks (credit/liquidity
risks, etc.)
Exposure to
controversial
activities/companies
could affect our
customer
relationships
Younger generations
are concerned about
climate issues / not
integrating them well
is a business risk
Out of conviction
and driven by the
regulations on
sustainable finance,
institutional investors
are increasingly
demanding in terms
of climate issues
integration/
sustainability
Very strong
attractiveness of
sustainable/climate
funds
Europe is at the
forefront of
sustainable finance,
which is a
competitive
advantage
Through:
- our approach to
integrating
sustainability
issues,
- the product
strategy
implemented,
- our engagement
policy,
- and CSR
initiatives,
We make every effort
to manage them.
Source: Rothschild & Co Asset Management Europe – 31/12/2029
3 strategic axes: exclusions, the integration of E-S-G* criteria and a engagment policy that provides a common basis for all of our
investment management activities
Approach to responsible investment
We have chosen to integrate ESG criteria into fundamental analysis to reinforce our assessment of the companies in which we invest and to
stregethen our analysis.
Our ESG integration process is supported by an engagement policy based on a voting policy respectful of responsible investment principles, a
dialogue with the companies we meet on sustainable issues and our involvement in collaborative initiatives.
Regulatory and discretionary
exclusions of Rothschild & Co Asset
Management Europe
1• Exclusion of controversial weapons / international sanctions
• Fundamental principles
• Rothschild & Co Group investment guidelines for thermal coal
sector
• Other specific filters relating to the investment strategy
The integration of sustainability-related
challenges
2 • The selection of stocks and funds in the portfolio is based on an
analysis of ESG criteria in addition to financial analysis
• For our direct management, we have set ourselves a BBB
average rating as a minimum target
Our engagement policy3 • Dialogue with companies and asset management companies
• A voting policy that respects responsible investment principles
• Adherence to responsible investment promotion initiatives
STRENGTHENING
OUR CONVICTION
MANAGEMENT
WORKING FOR A
POSITIVE IMPACT
RESPECTING OUR
CONVICTIONS
AND SUPPORTING
THE TRANSITION
* Environment, Social, Governance
According to an adapted process and in the respect of the expertise of the managers 30Source: Rothschild & Co Asset Management Europe – 31/12/20
Focus on the MSCI ESG Research methodology
Integration of sustainability related criteria
We have an ESG rating tool
that is based on the external
rating framework of our
service provider MSCI ESG
Research.
• All the issuers are
covered and analysed in
terms of governance
issues and criteria.
• For each sector, MSCI
ESG Research identifies
3 to 8 material
sustainability issues,
belonging to the Social
and Environmental
pillars.
• The final score calculated
is based on the analysis
of Governance and the
positioning of each
company on these
respective materiality
issues, harmonised
within the studied sector.
Absolute notation1
From its analysis grid, ESG Research selects 3 to 8 key issues depending on the company's sector. The E, S and
G criteria are then weighted according to the relevance of each pillar to the industry.
Environment
Climate
change
Natural
resources
Pollution and
waste
Environmental
opportunities
Carbon
emissions
Carbon footprint
Financing
environmental
impact
Responsiveness
to climate
change
Hydric stress
Biodiversity
and soil
protection
Use of raw
materials
Toxic
emissions and
waste
Packaging
Electricity
consumption
Clean tech
Eco-construction
Renewable
energies
Social
Human
capital
Product
reliability
Opposition to
governanceOpportunities
Management
Health & Safety
Human capital
development
Supply chain
Product quality
Chemical
safety
Safety of
financial
products
Controversies
Access to
communication
services
Access to
financing
Access to
medical care
Private data
security
Responsible
Investment
Risk insurance
Nutrition &
Health
Governance
Corporate
governance
Corporate
behaviour
Executive
Committee
Salaries
Shareholding
Accounting
Ethics
Anti-competitive
practice
Corruption &
Instability
Instability of the
Financial
Department
Fiscal
transparency
The top rated On average The lowest rated
Relative rating: Best-in-Class approach2
In a second step, the companies in each sector are ranked in order to identify the best and worst players in each
industry. No sectoral bias introduced into investment management through this approach.
AAA AA A BBB BB B CCC
Source: MSCI ESG Research, Rothschild & Co Asset Management Europe – 31/12/2020 31
32
Our priority: the dialogue with companies on sustainable issues
Our engagement approach
We have chosen to favour dialogue rather than excluding a certain number of sectors or players from our investment universe.
Our engagement policy is built around 4 main lines of action:
• The dialogue with companies and asset management companies:
• From our investable universe to better understand the sustainable risks and opportunities associated with issuers from our investable
universe and to raise awareness among management teams
• In the framework of the implementation of our exclusion policies
• The exercise of voting rights: our voting policy intends to follow the principles of socially responsible investment. To this end, we entrusted the
analysis of the resolutions to the specialised company Institutional Shareholder Services (ISS) (https://www.issgovernance.com)
• The contributing to working groups to take part in raising the awareness of economic actors on a larger scale (Climate 100+, etc.)
• The preparation of ESG reports on a regular basis, a real transparency tool
Goals
Why
Targets
How
Raising awareness and encouraging the improvement of responsible corporate practices
Participation in the adaptation of our economic model to the social and environmental
challenges we face
With companies and asset management
Individual
commitments
Exclusion
policy
Collective
engagement
Voting
policy
4Change
range
Source: Rothschild & Co Asset Management Europe – 31/12/20
33
5 strategic pillars: taking into account sustainability issues within companies and business
models
Our engagement strategy
Individual
engagements
Exclusion
policy
4Change
range
Collective
engagements
Voting
policy
1,300 dialogues
conducted with
issuers
Sending
questionnaires to
asset management
companies regarding
their sustainable
practices
Promotion of
responsible
investment through
dedicated events and
publications
Specific discussions
(energy transition,
human capital
management, etc.)
Application of the
guidelines for thermal
coal sector
Respect of
fundamental
principles
R-co 4Change
Climate Equity
Europe
R-co 4Change Human
Values
R-co 4Change
Climate Credit Euro
UN PRI: signatory
since 2011
Member of Climate
Action 100+
Support for TCFD
recommendations
Carbon Disclosure
Project: Rothschild &
Co Group is a
member since 2019
Compliance with
responsible
investment
principles via ISS
R-co 4Change
Green Bond
R-co 4Change
Moderate Allocation
Source: Rothschild & Co Asset Management Europe – 31/12/20
1
On the basis of our developments and achievements, we wanted to develop a range of products dedicated to specific
environmental themes:
Focus on Climate funds
The R-co 4Change Climate Equity Europe and R-co 4Change Climate Credit Euro funds, developed and managed by our asset
management teams, have been designed to offer clients with investment products combining a dynamic transition strategy with an active
"low carbon" management.
The carbon intensity of Climate funds must remain below that of their respective benchmarks and follow a downward trajectory, while
investing in all sectors.
These funds offer enhanced protection against certain environmental risks through the implementation of specific climate filters.
The stock selection process also favours companies that best integrate climate issues into their activities and governance.
Part of the management fees are redistributed to the NGO Up2Green Reforestation, which develops social reforestation and agroforestry
programmes.
The funds R-co 4Change Climate Equity Europe and R-co 4Change Climate Credit Euro have been awarded with the French government's
SRI label, a guarantee of the quality and credibility of the implemented investment processes.
Focus on Green Bonds
The fixed income management team also launched a corporate Green Bonds fund in 2020 to help finance the energy and ecological
transition by seeking to contribute to a diverse range of environmental projects.
Our 4Change range to go further on transition support
Source: Rothschild & Co Asset Management Europe – 31/12/2034
Risk management
2.3
Main missionsPlayers involved
Integration of sustainability risks and opportunities throughout the investment process
Our teams are mobilised to best integrate ESG criteria
Equity and Credit Analysts• Integration of sustainability topics in their research work and in their discussions
with companies
Investment Managers
Reporting
Risk and compliance
• Raising awareness and involvement in sustainable issues, in particular by
identifying "ESG" advisors within each management expertise
• Making managers responsible for the proper integration of the responsible
investment approach established by the company for their funds
• Active contribution to the development of efficient and reliable monitoring tools
• Automation of ESG reporting and data integration
• Elaboration of solutions for the control and verification of ESG requirements
commitments
Source: Rothschild & Co Asset Management Europe – 31/12/2036
37
3 levels of control: Risk & Compliance, Internal Control and Internal Audit
Monitoring device
In addition to the first-level controls carried out by the investment management teams, three other teams continuously monitor compliance with
ESG requirements and sustainability risk management.
Further information
Level Teams Nature of controls
1st level control Risks and compliance
• So-called "regulatory" lists to comply with the Ottawa and Oslo conventions
on cluster munitions and APM
• Lists of so-called "international sanctions" aimed at complying with OFAC,
EU, countries under sanctions
• "Discretionary" list to comply with the Fundamental Principles and
investment guidelines for thermal coal sector
• Systematic checks are carried out to ensure that actions meet the fund's
selection criteria
• Automated IT systems prevent management teams from investing in
excluded shares or shares that do not meet the defined criteria
• The 4Change funds are subject to specific controls
• Audits of the funds held are carried out by the internal audit function
• The 4Change funds are subject to a specific audit plan
2nd level control Internal control
3rd level control Internal audit
Source: Rothschild & Co Asset Management Europe – 31/12/20
38
Integration of ESG topics into the existing risk committee
Risk Committee
The Risk Committee meets on a monthly basis. The services and people present are as follows:
• Risk team
• Middle Office
• Internal Control and Compliance
• Investment management team
• Group Risk Director
• Global COO Rothschild & Co Asset Management Europe
The ESG topics covered are as follows:
• All the constraints related to SRI funds
• ESG Indicators
• Carbon trajectory for 4change Climate funds
• Raising awareness with regard to the settings in our control tools: anticipating updates
Source: Rothschild & Co Asset Management Europe – 31/12/20
39
List of external sources
• Controversial weapons: ISS, MSCI ESG Research
• Regulatory sanctions: Tresor, Bloomberg
• Fundamental principles: external lists of trusted third parties (Norges Bank, etc.)
• Investment guidelines for thermal coal sector: Urgewald
• ESG rating: MSCI ESG Research
• Carbon intensity: MSCI ESG Research, companies
• UNGC / ILO compliance: MSCI ESG Research
• Controversies: MSCI ESG Research
• Voting recommendations: ISS
• Analysis support: brokers’ research papers (Kepler, Natixis, ODDO, etc.), NGO reports, academic findings, financial and
extra-financial reports of companies (CSR reports / sustainability reports), open source data (SBTi / TPI)
• Impact indicators: MSCI ESG Research, Bloomberg
In order to carry out our analyses and controls and to ensure their quality and completeness, we capitalise on
tools and market data providers, in addition to our internal system.
Source: Rothschild & Co Asset Management Europe – 31/12/20
40
Escalation process
Depending on its monitoring frequency, if an investment constraint is not respected, the Risk Management
team informs the portfolio manager of the overrun.
If the overrun persists, the Risk Management team triggers the escalation procedure, which consists of 3
steps:
1. Compliance and the head of investment management are informed of the overrun. The Risk Management
team systematically indicates in the body of the mail the number of days it has been exceeded
2. The Global Chief Operating Advisory is kept informed of the overrun
3. The Chairman of the Management Committee is kept informed of the overrun.
The escalation procedure differentiates between the treatment of active and passive overruns.
All overruns are presented to the Risk Committee on a monthly basis.
This escalation procedure ensures a good distribution of information at all levels of the organisation in terms
of control and monitoring of limits.
Source: Rothschild & Co Asset Management Europe – 31/12/20
Indicators & Tools
2.4
42
% of assets net total of portfolio
Source: Rothschild & Co Asset Management Europe – 31/12/20
20Billion EUR
Total Rothschild & Co Asset
Management Europe AuM
at the end of 2020
18+Billion EUR
AuM covered by an integration of
sustainable issues at the end of 2020
+121%
18+ Billion EUR
289 Mil. EUR
December 2020
205 Mil. EURof AuM dedicated to
environmental
themes
• 3 open-ended
UCIs
• 1 dedicated UCI
9 Mil. EUR
of AuM dedicated to
social themes
• 1 open-ended
UCI
76 Mil. EUR
of AuM focusing on
both environmental
& social challenges
• 1 open-ended UCI
• 1 dedicated UCI
AuM covered by an SRI strategy vs. end 2019
AuM covered by an
integration of
sustainable issues at
the end of 2020
AuM covered by SRI
strategies at the end of 2020
Our assets under managements covered by an integration of
sustainable issues
43
On a quarterly basis, we produce ESG reports integrating:
List of ESG indicators
The average ESG rating of the portfolio: we make sure that the portfolio's rating is above the BBB minimum target rating
Rating
Rating
Score /10
Score /10
G
% of assets net total of portfolio
ESG Rating
Portfolio
Benchmark
Scores E,S,G (out of 10)
E S
Rate of coverage
Number of securities held 54
Number of securities rated 54
8.4AA
7.4AA
7.2 6.7 6.1
100%
AAAAAABBBBB
Funds Index
Distribution of ratings (% out of liquidities)
Synthesis of the ESG ratings
Source: Rothschild & Co Asset Management Europe – 31/12/20
44
On a quarterly basis, we produce ESG reports integrating:
List of ESG indicators
Portfolio ESG Rating evolution: trend in ratings over 12 months rolling at isoperimeter
Rating Trends(12 months)
Sector WeightUnrat
edCCC B BB BBB A AA AAA
Consumer goods 11.6% - - - - - 35.2% 17.4% 47.3%
Energy 1.8% - - - - - - 100.0% -
Financial 19.1% - - - - - 9.1% 42.1% 48.7%
Industry 16.2% - - - - - 8.5% 57.1% 34.4%
Basic materials 9.6% - - - - - 85.5% - 14.5%
Health 15.8% - - - - - 44.9% 23.5% 31.7%
Utilities 6.1% - - - - - 38.9% - 61.1%
Consumer services 3.7% - - - - - - - 100.0%
Technology 11.8% - - - - - - 21.7% 78.3%
Telecommunications 2.1% - - - - - - 100.0% -
UCIs 2.2% - - - - - - 100.0% -
Distribution of ratings per sector (% excluding cash)
Source: Rothschild & Co Asset Management Europe – 31/12/20
Upward Stable Downward
45
On a quarterly basis, we produce ESG reports that integrating:
List of ESG indicators
Calculation of carbon intensity, analysis of differences with the benchmark and a particular focus on the five most important carbon contributors in the portfolio
Coverage rate : Carbon intensity of portfolio :tons of CO2 per million euros of
turnover
Issuers WeightCarbon
intensity
Contribution to
carbon intensity
(%)
Basic materials 9.6% 107.3 48%
Industry 16.2% 50.1 22%
Utilities 6.1% 48.1 21%
Top 3 31.9% 205.4 91%
Rating
Carbon intensity expressed in tons of CO2 per million euros of turnover
Issuers Weight ESG Rating Score E
Score for transition to
a low-carbon
economy
Annual
emissionsCarbon intensity
Contribution to
carbon intensity
(%)
AIR LIQUIDE SA 3.4% A 4.9 7.1 27 812 000 46.2 20.5%
Linde PLC 2.2% A 5.2 6.3 24 900 000 43.3 19.2%
CRH PLC 2.0% AAA 7.7 6.2 38 100 000 29.3 13.0%
ENEL SPA 1.5% AAA 8.8 7.4 100 310 000 21.4 9.5%
EVONIK INDUSTRIES AG 2.6% A 5.1 6.6 8 670 680 15.7 7.0%
Top 5 11.7% 199 792 680 155.9 69.1%
Rating
Carbon intensity expressed in tons of CO 2 (scopes 1 and 2) per million euros of turnover
Carbon intensity (tons of CO2 per million euros of turn over) Main sectors contributing to the fund’s carbon intensity
Carbon intensity (scopes 1 and2)
100% 225
Main issuers contributing to carbon intensity
Source: Rothschild & Co Asset Management Europe – 31/12/20
Funds Index
46
Our flagship funds and related ESG indicators
* Diversified fund without a benchmark index, so comparison with 2 indices
Source: Rothschild & Co Asset Management Europe – 31/12/20
N/A
AA
AA
AA
Dec 2019
R-co Valor*
RMM Trésorerie
R-co Conviction Credit Euro
RMM Short Term
R-co Conviction Credit 12M
R-co Conviction Credit SD
R-co Thematic Real Estate
R-co 4Change Climate Equity Euro
R-co 4Change Climate Credit Euro
R-co 4Change Human Values
R-co 4Change Green Bonds N/A N/A N/A N/A
AA
AA
AA
N/A
A
A
BBB
A
A
BBB
A
MSCI World
iBoxx Corp
iBoxx Corp
iBoxx Corp
iBoxx Corp
iBoxx Corp
Boxx Corp
Euronext IEIF REIT Europe
Stoxx 600
iBoxx Corp
Stoxx 600
N/A N/A
A
A
A
A
A
A
A
A
AA
A
AA
N/A N/A
Funds Benchmark or comparison index
Benchmark or comparison index Funds
Coverage rate (%)
- carbon intensity
Coverage rate (%)
- carbon intensity
Carbon intensity
Scopes 1&2
(TCO2/mil EUR
revenue)
Carbon intensity
Scopes 1&2
(TCO2/mil EUR
revenue)
Coverage rate (%)
- ESG
Coverage rate (%)
- ESG
RatingAUM (mil
EUR)ESG rating
(of 10)
ESG rating
(of 10) RatingAUM (mil
EUR)
Benchmark or
comparison index
Benchmark or
comparison index
ESG score
(of 10)
ESG score
(of 10)
Rating
Rating
Carbon intensity
Scopes 1&2
(TCO2/mil EUR
revenue)
Carbon intensity
Scopes 1&2
(TCO2/mil EUR
revenue)
Dec 2020
R-co Valor*
RMM Trésorerie
R-co Conviction Credit Euro
RMM Short Term
R-co Conviction Credit 12M
R-co Conviction Credit SD
R-co Thematic Real Estate
R-co 4Change Climate Equity Euro
R-co 4Change Climate Credit Euro
R-co 4Change Human Values
R-co 4Change Green Bonds
AA
AA
AA
AA
A
AA
A
AA
A
A
A
MSCI World
iBoxx Corp
iBoxx Corp
iBoxx Corp
iBoxx Corp
iBoxx Corp
Boxx Corp
Euronext IEIF REIT Europe
Stoxx 600
iBoxx Corp
Stoxx 600
N/A
A
A
A
A
A
A
A
A
AA
A
AA
A
1
Installed last September in Union Square, at the heart of New York, during “Climate Week”, the “Climate Clock” aims to raise
awareness among world leaders regarding the need to intensify their efforts in order to fight against climate warning. Taking the form
of a countdown, this clock indicates the time remaining before we have completely exhausted the carbon budget that we must stay
within in order not to exceed the global warming target of 1.5° C. Why this level and what are its impacts? What commitments do we
make, as investors and as an asset management company? Explanations by Géraldine Gouges, Group Head of Responsible
Investment at Rothschild & Co.
+ 1.5° C, + 2° C, + 3° C… Why every half-degree matters
As an indication, the impact of human activities on global warming calculated by the difference between current temperature levels and those of
the pre-industrial era is estimated to be around 1°C. If greenhouse gas emissions continue at the current rate, global warming is expected to
rapidly reach 1.5°C between 2030 and 2050 and strict compliance with the Paris Agreement of December 2015 would already lead us to a
warming of 3°C by the end of the century!
However, according to the scientific community, a warming of +1.5°C would already have a significant impact on natural and human systems
(degradation of biodiversity, increase in the frequency and intensity of droughts and climatic disturbances, rise in sea level, etc.).
Current studies also show that climate risks are not linear. There would be biological and technical thresholds whose crossing could lead to
disproportionate effects: these are the "tipping points". Once reached, these “tipping points” would dramatically accentuate the transformations
underway, thus giving rise to new climatic realities, very likely to be irreversible. These include the melting of the Greenland ice sheet, which
would reduce or interrupt the North Atlantic drift and the Gulf Stream(1) current, or the thawing of permafrost, the part of the ground permanently
frozen in the polar regions, which would lead, among other things, to massive methane emissions, with a global warming potential several
times that of CO2. A vicious circle would then set in, hence the urgency of acting today.
The consequences of global warming, already significant at +1.5°C, could therefore become catastrophic at +2°C with an irreversible chain of
events. Conversely, according to the projections presented in the IPCC(2) report, keeping global warming below +1.5°C would have a very clear
positive impact, particularly on biodiversity and the socio-economic situation.
(1) Ocean current originating between Florida and the Bahamas.
(2) Intergovernmental Panel on Climate Change, a group of independent international experts working under the auspices of the World Meteorological Organization and the United Nations Environment Programme.
Transition to a low-carbon economy: why is it essential to steer investments’
carbon trajectory" of one's investments?
Article published in December 2020 - Géraldine Gouges, Group Head of Responsible Investment
47
1
But how to achieve +1.5 degrees?
The IPCC report proposes different theoretical scenarios, all of which have one thing in common: a massive reduction in CO2 emissions. This
reduction will have to take place in all sectors, and will in fact require technical innovations and structural changes in behaviour.
“Carbon budget” and “carbon trajectory”?
Reducing greenhouse gas emissions is the most effective way to limit the rise in global temperature. To achieve this, we must collectively
preserve our “carbon budget”, a concept which describes the maximum amount of CO2 that can be emitted so that global warming does not
exceed a certain level.
Consequently, the difference between the total amount of CO2 emitted to date and the carbon budget makes it possible to calculate the
volumes of CO2 that can still be emitted before crossing a critical threshold. According to the IPCC, the objective of limiting the rise in
temperatures to +1.5°C by 2050 would impose on us a cumulative "carbon budget" of 420 gigatons of CO2 for the next thirty years, i.e. about 14
gigatons per year. By comparison, current emissions are of about 40 gigatons per year!
Other estimates show that if no measures are taken to limit our CO2 emissions, we could exceed 60 gigatons per year (or more than 1,700
gigatons of CO2 by 2050, in cumulative terms), which would cause a temperature rise of +5°C! In this context, it is essential to be able to
manage the "carbon budget", but also to put it in perspective with a horizon of 10, 20, 30 or more years, in order to fully understand its effects
on the environment and on humanity. This is called the "carbon trajectory".
What role can companies play?
For businesses, the stakes are twofold. They are societal, with a common objective of steering the rise in global temperature, but also
economic, with the need to maintain and develop activity, to adapt, innovate and transform. All sectors are concerned but first and foremost, of
course, the largest emitters of CO2.
Companies can achieve this, provided that they are innovative and agree to change not only their business models (by working on all their
value chains) but also their energy mix and production methods. They may even decide to follow a carbon trajectory that meets the ambitious
+1.5°C target, or have their greenhouse gas emission reduction targets validated by independent bodies such as the Science Based Target
initiative(3). Investors also have a key role to play in actively supporting this transformation.
(3) The Science Based Target initiative (SBTi) is an international initiative bringing together several NGOs that act in favour of the climate. The SBTi assists companies in setting targets for reducing their greenhouse
gas emissions by developing clear methodologies and auditing the targets set. To date, 1,040 companies have set targets in line with the recommendations of the SBTi and 498 have targets approved by the SBTi.
48
1
Our commitment across our 4Change funds range
Since 2015, Rothschild & Co Asset Management Europe has been both calculating carbon intensity and analysing the profile and "carbon
trajectory" of the main contributors to CO2 emissions in a large majority of its portfolios. For some of our institutional clients, we have been
building tailor-made "climate" solutions for several years now, such as for example managing the carbon intensity of a mandate below a
dynamic average. We regularly share with our customers our studies on energy transition challenges and on the emissions outlooks for certain
sectors.
We took another step forward in 2019, by creating a range of funds which proactively managed their carbon intensity. We launched the
R-co 4Change Climate Equity Europe and R-co 4Change Climate Credit Euro funds, with the aim of making carbon trajectory a stock selection
tool. In 2019, these two funds obtained the SRI label, created and supported by the French Ministry of Economy, Finance and Recovery and
awarded to responsible and sustainable investment products.
They are managed with the aim to steer the carbon intensity of the portfolios, for each company its direct greenhouse gas emissions ("Scope
1", covering emissions directly linked to the manufacturing of the product) and indirect emissions ("Scope 2", linked to the energy consumption
required for production) are taken into account, assessed and monitored.
Our management teams wish to go even further taken into account, assessed and monitored "Scope 3" emissions corresponding to the entire
life cycle of the product (e.g. emissions linked to supply, transport, use, end of life of the product or its recycling, etc.).
To do so, we use all the tools at our disposal to make the 4Change Climate funds as comprehensive as possible: companies' CO2 emissions
data, their emissions trajectory projections, IPCC trajectory targets, qualitative indicators for analysing the transition initiated within companies,
Open source(4) data such as those of the Transition Pathway Initiative(5) and the Science Based Target initiative on companies’ climate
trajectory.
Our engagement policy has also been strengthened by our contribution to the Climate 100+ initiative, and the development of engagement
questionnaires focused on the transition challenges.
Finally, we have established a partnership with the NGO Up2Green Reforestation, to which we redistribute part of Climate funds management
fees to contribute, through concrete micro-actions, to conserving biodiversity and developing natural carbon sinks.
(4) Data in free access.
(5) The Transition Pathway Initiative (TPI) is a global initiative launched in 2017 led by asset owners and supported by asset managers. As of October 2020, 87 international investors supported TPI, representing
USD 22.5 trillion in assets under management and/or advice. Aimed at investors and openly accessible, the TPI provides independent research to assess the alignment of international companies from polluting
sectors with the objectives of the Paris Agreement.
49
Focus on funds over EUR 500
million at 31/12/2020 and 4Change
funds
2.5
51
1.1 An ESG & Financial Analysis team at the heart of our
management
Emmanuel Petit
Head of Fixed
Income
Thomas Vincent
Financial engineer
Ludivine de Quincerot
Head of ESG and
Financial Analysis
Andrea Sekularac
Sustainable investment
Project manager
Gabriel Hors
Senior analyst
Marie-Ange Riggio
Junior analyst
Natacha Rousset
Senior analyst
Edward Luu
Analyst
ESG and Financial analysis team
Conviction Team
Open Architecture Team
Valor team Thematic team
Damien Bas
Florence de Roux
Julien Boy
Kristell Agaësse
Nicolas Racaud
Philippe Lomné
Yann Roux
Benjamin Fagu Henry Ndong
Jérôme Loire
Yoann Ignatiew
R-co Valor
manager
Marc Terras
Management Director
Open Architecture
Mathieu Six
Stéphane de Kermoal
Sylvie Havard-Duclos
Thomas Ayache
Jade Weill
Linh Mansion
Morgane Wespieser
Pierre Hauvette
Thierry Rigaudière
Head of Thematic
Management
Alban Seydoux
Nathalie Bourdoncle
Thierry Combes
Valérie Oelhoffen
Anthony Bailly
Equity Fund
Manager
Vincent Iméneuraët
Paul Reuge
Charles-Edouard Bilbault
Elsa Fernandez
Henri Captier
Louise Li
Didier Bouvignies
Managing Associate
Head of Management
Ludivine de
Quincerot
Diversified Fund
Manager
Esther Skrhak
Source: Rothschild & Co Asset Management Europe – 31/12/20
A team made up of 7 people with two divisions, the division for financial and ESG analysis, and the "Projects" division, which provides:
✓ Financial analysis for European Equities
✓ ESG analysis on European securities
✓ Expertise in all ESG subjects (fund labelling, calls for tender, implementation of French and European doctrines, reflections on the range,
launch of new products, etc...)
✓ Coordination with the "Group Responsible Investment" team and with "ESG Advisors" defined within each investment management teams.
✓ Disseminating best practices within Rothschild & Co Asset
Management Europe
✓ Creating the link between the ESG and Financial Analysis team
and their investment management
✓ Coordination of the Group's Responsible Investment (RI) topics
✓ Monitoring regulatory developments, trends and procedures
✓ Supporting entities in their Responsible Investment Developments
✓ Leading the RI Group committee
52
A collaborative approach
1.2 Specific resources to support the ESG effort
Responsible Investment advisors
within each of Rothschild & Co
Asset Management Europe's areas of expertise:
ESG and Financial Analysis team at Rothschild & Co Asset Management Europe:
Support from an experienced responsible investment
team at Group level
Rothschild & Co in charge of:
Géraldine Gouges
Head of Responsible Investment
In the
process of
recruitmentNicolas
Racaud
Valérie
Oelhoffen
Anthony
Bailly
Linh
Mansion
Source: Rothschild & Co Asset Management Europe – 31/12/20
53
Inclusion of ESG criteria in our investment process
1.3 Investment process
• Strong investment choices
• Regulatory filters and common discretionary exclusions for the
Rothschild & Co Group
• Inclusion of ESG criteria (MSCI ESG Research provider)
• Use of specific research: brokers' reports, NGO reports, open
source data (TPI/SBTi), academic research
• Internal financial and ESG analyses integrating growth and
valuation indicators
• Analysis of competitive positioning
Exclusions • Controversial weapons + international sanctions
• Fundamental principles
• Investment guidelines for thermal coal sector
Simultaneous integration of
ESG criteria
Convexity analysis
+ 360°C vision
Conviction
Source: Rothschild & Co Asset Management Europe – 31/12/20
54
R-co Valor (1/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
Coverage rate*: 93%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10)iBoxx
AA
Above our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
55% of the portfolio has a rating >=A
ESG Rating Momentum
Upward Stable Downward
A trend towards improved ratings
In number of issuers: 5 upgrade(s) / 1 downgrade(s)
AAA AA A BBB BB B CCC
No companies have a CCC rating
Energy
Basic materials
Utilities
Industry
Consumer services
Telecommunications
Healthcare
Technology
Consumer goods
UCIs
Source: MSCI ESG Research
6.1 4.8 5.0
For information purposes
MSCI World
A5.9
Financial
55
R-co Valor (2/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co Valor is higher than that of the Stoxx 600 Ⓡ (C) index
R-co Valor Stoxx 600 Ⓡ (C)
Weight Contribution to
carbon intensityWeight Contribution to
carbon intensity
Contribution
gapstCO2 / mil EUR
revenue
Utilities
Materials
Basic consumer goods
Consumer discretionary
Healthcare
Real estate
Telecommunication services
Finance
Information technology
Industry
Energy
UCIs
TOTAL
% Contribution by sector Carbon intensity highly concentrated Breakdown by # issuers
Industry
18%
Materials 32%
Energy 35%
In a small number of sectors
-3 sectors make up 85% of the carbon intensity (7% of the portfolio’s
investments): Energy, Materials, Industry
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs)
contributing to 68% of the carbon intensity are: Air Liquide SA,
Canadian Natural Ressources Ltd, Suncor Energy Inc, Ivanhoé
Mines Ltd, Canadian Pacific Rai
- And the top 10 contributors in terms of carbon intensity account
for 85% of the carbon intensity
Others 15
%
Top
10
85%
Source: MSCI ESG Research
56
R-co Valor (1/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
AA
Coverage rate*: 93%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) iBoxx
AA
Superior to our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
55% of the portfolio has a rating >=A
ESG Rating Momentum
Upward Stable Downward
A stable trend in ratings
In number of issuers: 8 upgrade(s) / 5 downgrade(s)
AAA AA A BBB BB B CCC
No companies have a CCC rating
Energy
Basic materials
Utilities
Industry
Consumer services
Telecommunications
Healthcare
Technology
Consumer goods
UCIs
Source: MSCI ESG Research
MSCI World
A
AAA AA A BBB BB B CCC
(*) ESG coverage as % of net assets
Financial
57
R-co Valor (2/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co Valor is in line with that of the MSCI World index
R-co Valor MSCI World
Weight Contribution to
carbon intensityWeight Contribution to
carbon intensity
Contribution
gapstCO2 / mil EUR
revenue
Basic materials
Energy
Industry
Utilities
Healthcare
Telecommunications
Technology
Financial
Consumer goods
Utilities
UCIs
TOTAL
% Contribution by sector Carbon intensity concentrated Breakdown by # issuers
Industry 17%
Basic materials
45%
Energy 35%
In a small number of sectors
-3 sectors make up 83% of the carbon intensity (32% of the
portfolio’s investments): Basic materials, Energy, Industry
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs)
contributing to 53% of the carbon intensity are: Air Liquide SA,
Canadian Natural Resources Ltd, Teck Resources Ltd,
Canadian Pacific Railway Ltd, Pertium Res
- And the top 10 contributors in terms of carbon intensity
account for 80% of the carbon intensity
Others 20
%
Top
10
80%
Coverage rate*: 90%
Source: MSCI ESG Research(*) Carbon coverage as % of net assets
58
R-co Conviction Credit Euro (1/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
Coverage rate: 80%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) iBoxx
ABBB
in line with our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
47% of the portfolio companies have a rating >= a A
ESG Rating Momentum
Upward Stable Downward
A trend towards improved ratings
AAA AA A BBB BB B CCC
5 issuers have CCC ratings
Consumer discretionary
Basic consumer goods
Energy
Finance
Healthcare
Information technology
Materials
Real estate
Utilities
Funds
Source: MSCI ESG Research
A
AAA AA A BBB BB B CCC
Sovereign wealth funds
Industry
(General Motors, Prosegur Cia de Seguridad
Volkswagen, Wells Fargo & Co, Zimmer Biomet)
Telecommunication services
59
R-co Conviction Credit Euro (2/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co Euro Credit is lower than that of the iBoxx index
R-co Euro Credit iBoxxContribution
gapsWeightContribution to
carbon intensityWeight
Contribution
to carbon
intensitytCO2 / mil EUR revenue
Utilities
Energy
Telecommunication services
Materials
Consumer discretionary
Basic consumer goods
Information technology
Healthcare
Finance
Industry
Real estate
UCITS
TOTAL
% Contribution by sector Carbon intensity concentrated to a medium degree Breakdown by # issuers
Industry
9%
Materials
26%
Utilities 39%
In a small number of sectors
- 3 sectors make up 73% of the carbon intensity (9% of the portfolio’s
investments): Utilities, Materials, Industry
In a limited number of issuers
- The 5 largest issuers in the portfolio (excluding UCIs) contributing up to 47% of
the carbon intensity are: ArcelorMittal SA, Teollisuuden Voima OYJ, Fortum Oyj,
EP Infrastructure AS, Anglo American PLC
- And the top 10 contributors in terms of carbon intensity account for 64% of the
carbon intensity
Others
36%
Top
10
64%
60
R-co Conviction Credit Euro (1/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
Coverage rate*: 82%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) iBoxx
AA
Above our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
51% of the portfolio has a rating >=A
ESG Rating Momentum
Upward Stable Downward
A trend towards improved ratings
In number of issuers: 27 upgrade(s) / 9 downgrade(s)
AAA AA A BBB BB B CCC
3 issuers have CCC ratings
Energy
Basic materials
Utilities
Industry
Consumer services
Telecommunications
Healthcare
Technology
Consumer goods
UCIs
End of December 2020
A
AAA AA A BBB BB B CCC
(*) ESG coverage as % of net assets
Confidential document with no time limit Source: MSCI ESG Research
Financial
61
R-co Conviction Credit Euro (2/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of the R-co Conviction Credit Euro is higher than that of the iBoxx index.
R-co Conviction Credit
EuroiBoxx
Contribution
gapsWeight
Contribution to
carbon intensityWeight
Contribution
to carbon
intensity
tCO2 / mil EUR
revenue
Basic materials
Financial
Industry
Consumer services
Technology
Consumer goods
Healthcare
Telecommunications
Energy
Utilities
UCITS
TOTAL
% Contribution by sector Carbon intensity concentrated to a medium degree Breakdown by # issuers
Industry 22%
Basic
materials 26%
Utilities 24%
In a small number of sectors
-3 sectors make up 70% of the carbon intensity (20% of the portfolio’s
investments): Basic materials, Utilities, Industry
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs) contributing up to
61% of the carbon intensity are: Heidelberg Cement AG, ArcelorMittal SA,
Teollisuuden Voima OYJ, EP Infrastructure AS, Digital Dutch Finco BV
- And the top 10 contributors in terms of carbon intensity account for 57%
of the carbon intensity
Source: MSCI ESG Research
End of December 2020
Others
43%
Top 10
57%
(*) Carbon coverage as % of net assets
Confidential document with no time limit
Coverage rate*: 79%
62
R-co Conviction Credit 12M (1/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
Coverage rate: 94%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) iBoxx
AA
Superior to our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
54% of the portfolio is rated >=A
ESG Rating Momentum
Upward Stable Downward
A stable trend in ratings
In number of issuers: 14 upgrade(s) / 11 downgrade(s)
AAA AA A BBB BB B CCC
3 issuers have CCC ratings
Energy
Consumer discretionary
Utilities
Industry
Telecommunication services
Finance
Healthcare
Information technology
Basic consumer goods
Sovereign wealth funds
Source: MSCI ESG Research
A
AAA AA A BBB BB B CCC
Real estate
Funds
Basic Materials
63
R-co Conviction Credit 12M (2/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co Credit Horizon 12M is higher than that of the iBoxx index
R-co Credit Horizon 12M iBoxxContribution
gapsWeight Contribution to
carbon intensityWeight
Contribution
to carbon
intensity
tCO2 / mil EUR
revenue
Materials
Utilities
Industry
Consumer discretionary
Energy
Finance
Healthcare
Basic consumer goods
Telecommunication services
Real estate
Information technology
UCIs
TOTAL
% Contribution by sector Carbon intensity concentrated Breakdown by # issuers
Industry
7%
Basic
Materials
42%Utilities 33%
In a small number of sectors
-3 sectors make up 82% of the carbon intensity (30% of the portfolio’s investments):
Materials, Utilities, Industry
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs) contributing up to 68% of
the carbon intensity are: Heidelberg Cement AG, Fortum Oyj, CEZ AS, Ryanair
Holdings PLC, A2A SpA
- And the top 10 contributors in terms of carbon intensity account for 80% of the
carbon intensity
Source: MSCI ESG Research
Others
20%
Top 10
80%
64
R-co Conviction Credit 12M (1/2)
ESG reports - December 2020
(*) ESG coverage as % of net assets
Coverage rate*: 94%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) iBoxx
A
Superior to our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
51% of the portfolio has a rating >=A
ESG Rating Momentum
Upward Stable Downward
A trend towards improved ratings
In number of issuers: 31 upgrade(s) / 8 downgrade(s)
AAA AA A BBB BB B CCC
3 issuers have CCC ratings
Energy
Consumer services
Utilities
Industry
Telecommunications
Financial
Healthcare
Technology
Consumer goods
Source: MSCI ESG Research
A
AAA AA A BBB BB B CCC
UCIs
R-co Conviction Credit 12M
Euro1.1 Portfolio Rating
Base materials
65
R-co Conviction Credit 12M (2/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of the R-co Conviction Credit 12M Euro is lower than that of the iBoxx index
R-co Conviction Credit
12M EuroiBoxx
Contribution
gapsWeight Contribution to
carbon intensity Weight
Contribution to
carbon
intensity
tCO2 / mil EUR
revenue
Consumer services
Utilities
Technology
Telecommunications
Healthcare
Basic materials
Consumer goods
Financial
Energy
Industry
UCITS
TOTAL
% Contribution by sector Carbon intensity concentrated to a medium degree Breakdown by # issuers
Consumer
services 19%
Basic materials
9%
Utilities 59%
In a small number of sectors
-3 sectors make up 86% of the carbon intensity (14% of the portfolio’s
investments): Utilities. Consumer services. Basic materials
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs) contributing up to
64% of the carbon intensity are: Fortum Oyj, Ryanair Holdings PLC,
ArcelorMittal, A2A SpA, Carnival Corp
- And the top 10 contributors in terms of carbon intensity account for 66% of
the carbon intensity
Source: MSCI ESG Research
Others
34%
Top 10
66%
Coverage rate*: 94%
(*) Carbon coverage as % of net assets
66
R-co Conviction Credit SD (1/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
Details of relative ratings (universe covered by MSCI ESG Research)
Coverage rate: 92%
Gross ratings by section
(base/10)Portfolio ratings (base/10) iBoxx
E S G
6.1 4.9 5.3
5.6 BBB A
Consideration of relative ratings In line with our BBB goal
ESG Rating Distribution Distribution of ratings within sectors
ESG Rating Momentum
55% of the portfolio has a rating >=A
AAA AA A BBB BB B CCC
Upward Stable Downward
A trend towards improved ratings
In number of issuers: 18 upgrade(s) / 9 downgrade(s)
7%
15%
33%
19%
12%11%
3%
11%
83%
6%
AAA AA A BBB BB B CCC
20% 40% 60% 80% 100%
Consumer discretionary
Basic consumer goods
Energy
Finance
Healthcare
Industry
Information technology
Materials
Real estate
Telecommunication services
Funds
Sovereign wealth funds
Utilities
4 issuers have CCC ratings
Source: MSCI ESG Research
67
R-co Conviction Credit SD (2/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co Credit Horizon 1-3 is higher than that of the iBoxx index
R-co Credit Horizon 1-3 iBoxxContribution
gapsWeight
Contribution to
carbon
intensityWeight
Contribution
to carbon
intensity
tCO2 / mil EUR
revenue
Basic Materials
Utilities
Industry
Energy
Consumer discretionary
Healthcare
Finance
Real estate
Telecommunication services
Basic consumer goods
Information technology
UCIs
TOTAL
% Contribution by sector Carbon intensity concentrated to a medium degree Breakdown by # issuers
Utilities 23%
Industry 10%
Basic
Materials
48%
In a small number of sectors
-3 sectors make up 81% of the carbon intensity (29% of the portfolio’s
investments): Basic Materials, Utilities, Industry
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs) contributing up to
58% of the carbon intensity are: Heidelberg Cement AG, Fortum Oyj,
ArcelorMittal SA, Air France-KLM, Teillisuuden Voima Oyj
- And the top 10 contributors in terms of carbon intensity account for 69% of
the carbon intensity
Source: MSCI ESG Research
Others
31%
Top
10
69%
68
R-co Conviction Credit SD (1/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
Details of relative ratings (universe covered by MSCI ESG Research)
Coverage rate*: 89%
Gross ratings by section
(base/10)Portfolio ratings (base/10) iBoxx
E S G
6.5 4.6 4.8
5.9 A
Consideration of relative ratings Above our BBB goal
ESG Rating Distribution Distribution of ratings within sectors
ESG Rating Momentum
49% of the portfolio has a rating >=A
AAA AA A BBB BB B CCC
Upward Stable Downward
A trend towards improved ratings
In number of issuers: 28 upgrade(s) / 8 downgrade(s)
AAA AA A BBB BB B CCC
Consumer goods
Energy
Financial
Healthcare
Industry
Technology
Basic materials
UCIs
Telecommunications
Consumer services
Utilities
3 issuers have CCC ratings
Source: MSCI ESG Research
A
(*) ESG coverage as % of net assets
69
R-co Conviction Credit SD (2/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
Source: MSCI ESG Research
The carbon intensity of the R-co Conviction Credit SD Euro is lower than that of the iBoxx index
R-co Conviction Credit SD
EuroiBoxx
Contribution
gapsWeight
Contribution to
carbon
intensity
WeightContribution
to carbon
intensity
tCO2 / mil EUR
revenue
Basic materials
Consumer services
Healthcare
Technology
Consumer goods
Telecommunications
Financial
Energy
Industry
Utilities
UCITS
TOTAL
% Contribution by sector Low carbon intensity Breakdown by # issuers
Utilities 38%
Energy 8%
Basic materials
19%
In a small number of sectors
-3 sectors make up 65% of the carbon intensity (7% of the portfolio’s
investments): Utilities, Basic materials, Energy
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs) contributing up to
50% of the carbon intensity are: Fortum Oyj, ArcelorMittal SA,
Teollisuuden Voima Oyj, Celanese Corp, EDP FINANCE BV
- And the top 10 contributors in terms of carbon intensity account for 46%
of the carbon intensity
Others
54%
Top
10
46%
(*) Carbon coverage as % of net assets
Confidential document with no time limit
Source: MSCI ESC Research
End of December 2020
70
RMM Trésorerie (1/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
Details of relative ratings (universe covered by MSCI ESG Research)
Coverage rate: 77%
Gross ratings by section
(base/10)Portfolio ratings (base/10) iBoxx
E S G
6.8 5.1 5.6
7.0 A A
Consideration of relative ratings Above our BBB goal
ESG Rating Distribution Distribution of ratings within sectors
ESG Rating Momentum
80% of the portfolio companies have a rating >= a A
AAA AA A BBB BB B CCC
Upward Stable Downward
A trend towards a downgrading of ratings
In number of issuers: 8 upgrade(s) / 8 downgrade(s)
AAA AA A BBB BB B CCC
Consumer discretionary
Basic consumer goods
Energy
Finance
Healthcare
Industry
Information technology
Basic Materials
Real estate
Telecommunication services
Funds
Sovereign wealth funds
Utilities
1 issuer has a CCC rating
(Volkswagen)
Source: MSCI ESG Research
71
RMM Trésorerie (2/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co Treasury is lower than that of the iBoxx index.
R-co Tresorerie iBoxx
Contribution
gapsWeight
Contribution to
carbon
intensity
WeightContribution
to carbon
intensity
tCO2 / mil EUR
revenue
Utilities
Consumer discretionary
Real estate
Information technology
Finance
Energy
Healthcare
Telecommunication services
Basic consumer goods
Industry
Basic Materials
UCIs
TOTAL
% Contribution by sector Carbon intensity highly concentrated Breakdown by # issuers
Utilities 71%
Energy 9%
In a small number of sectors
- 2 sectors make up 80% of the carbon intensity (21% of the portfolio’s
investments): Utilities, Energy
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs) contributing up to
75% of the carbon intensity are: Engie SA, Veolia Environnement SA,
Endesa SA, Repsol SA, Accor SA
- And the top 10 contributors in terms of carbon intensity account for 92%
of the carbon intensity
Others
8%
Top
10
92%
Source: MSCI ESG Research
72
RMM Trésorerie (1/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
Financial
AAA AA A BBB BB B CCC
Coverage rate*: 71%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) iBoxx
AAA
Superior to our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
86% of the portfolio has a rating >=A
ESG Rating Momentum
Upward Stable Downward
A trend towards improved ratings
In number of issuers: 16 upgrade(s) / 5 downgrade(s)
(*) ESG coverage as % of net assets
AAA AA A BBB BB B CCC
1 issuer has a CCC rating
Energy
Base materials
Utilities
Industry
Consumer services
Telecommunications
Healthcare
Technology
Consumer goods
UCIs
Source: MSCI ESG Research
73
RMM Trésorerie (2/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of RMM Trésorerie is lower than that of the iBoxx index.
RMM Trésorerie iBoxxContribution
gapsWeight
Contribution to
carbon
intensity
WeightContribution
to carbon
intensity
tCO2 / mil EUR
revenue
Technology
Healthcare
Consumer services
Financial
Telecommunications
Consumer goods
Energy
Basic materials
Industry
Utilities
UCIs
TOTAL
% Contribution by sector Carbon intensity highly concentrated Breakdown by # issuers
Utilities 65%
Energy 20%
In a small number of sectors
-3 sectors make up 94% of the carbon intensity (82% of the portfolio’s
investments): Utilities, Energy, Financial
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs) contributing up to
79% of the carbon intensity are: VEOLIA ENVIRONNEMENT,
IBERDROLA INTL BV, ENI FINANCE INTL SA, REPSOL INTL FINANCE
BV, Fortum Oyj
- And the top 10 contributors in terms of carbon intensity account for 90%
of the carbon intensity
Others
10%
Top
10
90%
Source: MSCI ESG Research(*) Carbon coverage as % of net assets
74
RMM Court Terme (1/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
Details of relative ratings (universe covered by MSCI ESG Research)
Coverage rate: 91%
Gross ratings by section
(base/10)Portfolio ratings (base/10) iBoxx
E S G
A A
Consideration of relative ratings Above our BBB goal
Distribution of ratings within sectors
ESG Rating Momentum
85% of the portfolio has a rating >=A
AAA AA A BBB BB B CCC
Upward Stable Downward
A trend towards a downgrading of ratings
In number of issuers: 4 upgrade(s) / 6 downgrade(s)
AAA AA A BBB BB B CCC
Consumer discretionary
Basic consumer goods
Energy
Finance
Healthcare
Industry
Information technology
Basic Materials
Real estate
Telecommunication services
Utilities
Funds
Sovereign wealth funds
2 issuers have CCC ratings
Source: MSCI ESG Research
ESG Rating Distribution
75
RMM Court Terme (2/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co Short Term is lower than that of the iBoxx index.
R-co Court Terme iBoxxContribution
gapsWeight
Contribution to
carbon
intensity
WeightContribution
to carbon
intensity
tCO2 / mil EUR
revenue
Utilities
Energy
Basic Materials
Basic consumer goods
Consumer discretionary
Real estate
Finance
Industry
Telecommunication services
Information technology
Healthcare
UCIs
TOTAL
% Contribution by sector Carbon intensity concentrated Breakdown by # issuers
Utilities 69%
Energy 8%
In a small number of sectors
- 2 sectors make up 80% of the carbon intensity (21% of the portfolio’s
investments): Utilities, Energy, Basic Materials
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs) contributing up to
57% of the carbon intensity are: Endesa SA, Engie SA, Veolia
Environnement SA, IBERDROLA INTL BV, SA de Gestion de Stocks de
Sec
- And the top 10 contributors in terms of carbon intensity account for 81%
of the carbon intensity
Others
19%
Top
10
81%
Source: MSCI ESG Research
Basic
Materials 5%
76
RMM Court Terme (1/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
Details of relative ratings (universe covered by MSCI ESG Research)
Coverage rate*: 74%
Gross ratings by section
(base/10)Portfolio ratings (base/10) iBoxx
E S G
AA A
Consideration of relative ratings Above our BBB goal
Distribution of ratings within sectors
ESG Rating Momentum
88% of the portfolio has a rating >=A
AAA AA A BBB BB B CCC
Upward Stable Downward
A trend towards improved ratings
In number of issuers: 10 upgrade(s) / 6 downgrade(s)
AAA AA A BBB BB B CCC
Energy
Basic materials
Utilities
Industry
Consumer services
Telecommunications
Healthcare
Technology
Financial
Consumer goods
UCIs
1 issuer has a CCC rating
Source: MSCI ESG Research(*) ESG coverage as % of net assets
ESG Rating Distribution
77
RMM Court Terme (2/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of RMM Court Terme is lower than that of the iBoxx index
RMM Court Terme iBoxx
Weight Contribution to
carbon intensity
Weight Contribution to
carbon intensity
Contribution
gapstCO2 / mil EUR
revenue
Technology
Telecommunications
Healthcare
Consumer goods
Utilities
Financial
Energy
Utilities
Basic materials
Industry
UCIs
TOTAL
% Contribution by sector Carbon intensity concentrated Breakdown by # issuers
Financial 4%
Utilities 60%
Energy 12%
In a small number of sectors
-3 sectors make up 76% of the carbon intensity (65% of the
portfolio’s investments): Utilities, Energy, Industry
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs)
contributing up to 70% of the carbon intensity are: VEOLIA
ENVIRONNEMENT, ENERGIE SA, ENDESA SA, ENI
FINANCE INTL SA, IBERDROLA INTL BV
- And the top 10 contributors in terms of carbon intensity
account for 77% of the carbon intensity
Others
23%
Top
10
77%
Coverage rate*: 65%
Source: MSCI ESG Research(*) Carbon coverage as % of net assets
78
R-co Thematic Real Estate (1/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
Coverage rate*: 80%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) Euronext IEIF REIT Euro
AA
Above our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
74% of the portfolio companies have a rating >= a A
ESG Rating Momentum
Upward Stable Downward
A trend towards improved ratings
In number of issuers: 4 upgrade(s) / 0 downgrade(s)
AAA AA A BBB BB B CCC
No companies have a CCC rating
Consumer discretionary
Basic consumer goods
Energy
Finance
Healthcare
Information technology
Basic Materials
Real estate
Utilities
Funds
Source: MSCI ESG Research
A
AAA AA A BBB BB B CCC
Sovereign wealth funds
Industry
Telecommunication services
79
R-co Thematic Real Estate (2/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
R-co Thematic Real Estate carbon intensity is higher than that of the Euronext index IEIF REIT Euro
R-co Thematic Real
EstateEuronext IEIF REIT Euro
Weight Contribution to
carbon intensity
Weight Contribution to
carbon intensity
Contribution
gapstCO2 / mil EUR
revenue
Real estate
UCITS
TOTAL
% Contribution by sector Carbon intensity concentrated Breakdown by # issuers
Utilities 0%
Real estate
86%
In a small number of sectors
-2 sectors make up 86% of the carbon intensity (95% of the
portfolio’s investments): Real estate utilities
In a limited number of issuers
- - The 5 largest emitters in the portfolio (excluding UCIs)
contributing up to 49% of the carbon intensity are: Deutsche
Wohnen SE, Klepierre SA, LEG Immobilier AG, Merlin
Properties Socimi SA, ADLER Real Estate AG
- - And the top 10 contributors in terms of carbon intensity
account for 72% of the carbon intensity
Others
28%
Top
10
72%
Source: MSCI ESG Research
80
R-co Thematic Real Estate (1/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
Coverage rate*: 80%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10)Euronext IEIF REIT
Euro
AA
Above our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
69% of the portfolio has a rating >=A
ESG Rating Momentum
Upward Stable Downward
A trend towards a downgrading of ratings
In number of issuers: 2 upgrade(s) / 3 downgrade(s)
AAA AA A BBB BB B CCC
No companies have a CCC rating
Energy
Basic materials
Utilities
Industry
Telecommunications
Healthcare
Technology
Consumer goods
A
AAA AA A BBB BB B CCC
UCIs
Consumer services
Financial
Source: MSCI ESG Research(*) ESG coverage as % of net assets
81
R-co Thematic Real Estate (2/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co Thematic Real Estate is lower than that of the Euronext IEIF REIT Euro index
R-co Thematic Real EstateEuronext IEIF REIT
Euro
Weight Contribution to
carbon intensityWeight Contribution to
carbon intensity
Contribution
gapstCO2 / mil EUR
revenue
TOTAL
% Contribution by sector Carbon intensity concentrated Breakdown by # issuers
Consumer
goods 0%
Financial 95%
In a small number of sectors
-3 sectors make up 95% of the carbon intensity (97% of the
portfolio’s investments): Financials, Consumer Goods, Technology
In a limited number of issuers
- - The 5 largest emitters in the portfolio (excluding UCIs)
contributing up to 62% of the carbon intensity are: Deutsche
Wohnen SE, LEG Immobilier AG, Klepierre SA, ADO
Properties SA, Unibail-Rodamaco-Westfield
- - And the top 10 contributors in terms of carbon intensity
account for 79% of the carbon intensity
Others
21%
Top
10
79%
Technology 0%
Coverage rate*: 80%
Consumer goods
Technology
Healthcare
Telecommunications
Consumer services
Industry
Utilities
Basic materials
Energy
Financial
UCIs
Source: MSCI ESG Research(*) Carbon coverage as % of net assets
82
R-co 4Change Climate Equity Euro (1/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
Coverage rate*: 97%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) Stoxx 600
AAAA
in line with our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
80% of the portfolio has a rating of A or above
ESG Rating Momentum
Upward Stable DownwardAAA AA A BBB BB B CCC
No companies have a CCC rating
Healthcare
Energy
Finance
Industry
Basic Materials
Real estate
Telecommunication services
Funds
A
AAA AA A BBB BB B CCC
Sovereign wealth funds
Information technology
Basic consumer goods
Consumer discretionary
Utilities
Source: MSCI ESG Research
83
R-co 4Change Climate Equity Euro (2/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co 4Change Climate Equity is lower than that of the Stoxx 600 Ⓡ (C) index
R-co 4Change Climate
EquityStoxx 600 Ⓡ (C)
Weight Contribution to
carbon intensity
Weight Contribution to
carbon intensity
Contribution
gapstCO2 / mil EUR
revenue
TOTAL
% Contribution by sector Carbon intensity concentrated Breakdown by # issuers
Utilities 39%
Financial 14%
In a small number of sectors
-3 sectors make up 67% of the carbon intensity (28% of the
portfolio’s investments): Utilities, Basic Materials, Energy
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs)
contributing up to 54% of the carbon intensity are Enel Spa,
Veolia Environnement SA, Sakvay SA, Cie de Saint-Gobain,
Electricite de France SA
- And the top 10 contributors in terms of carbon intensity
account for 74% of the carbon intensity
Others
26%
Top
10
74%
Basic Materials
15%
Basic Materials
Healthcare
Consumer goods
Real estate
Finance
Utilities
Telecommunication services
Industry
Energy
Information technology
Discretionary consumption
UCIs
Source: MSCI ESG Research
84
R-co 4Change Climate Equity Euro (1/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
Coverage rate*: 100%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) Stoxx 600
AAA
Superior to our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
80% of the portfolio has a rating >=A
ESG Rating Momentum
Upward Stable Downward
AAA AA A BBB BB B CCC
No companies have a CCC rating
Healthcare
Energy
Financial
Industry
Basic materials
Telecommunications
Consumer services
UCIs
AA
AAA AA A BBB BB B CCC
Technology
Consumer goods
A trend towards a downgrading of ratings
In number of issuers: 7 upgrade(s) / 6 downgrade(s)
Utilities
Source: MSCI ESG Research(*) Carbon coverage as % of net assets
85
R-co 4Change Climate Equity Euro (2/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co 4Change Climate Equity is lower than that of the Stoxx 600 index
R-co 4Change Climate
Equity EuropeStoxx 600
Weight Contribution to
carbon intensity
Weight Contribution to
carbon intensity
Contribution
gapstCO2 / mil EUR
revenue
TOTAL
% Contribution by sector Carbon intensity concentrated Breakdown by # issuers
Basic materials
15%
Industry 14%
In a small number of sectors
-3 sectors make up 62% of the carbon intensity (23% of the
portfolio’s investments): Utilities, Basic materials, Energy
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs)
contributing up to 54% of the carbon intensity are: Enel SpA,
Solvay SA, EDP – Energias de Portugal SA, Electricite de
France SA, TOTAL SA
- And the top 10 contributors in terms of carbon intensity
account for 73% of the carbon intensity
Others
27%
Top
10
73%
Utilities 34%
Energy
Consumer goods
Technology
Telecommunication
Consumer services
Healthcare
Financial
Utilities
Industry
Basic materials
UCIs
Coverage rate*: 100%
Source: MSCI ESG Research(*) Carbon coverage as % of net assets
86
R-co 4Change Climate Credit Euro (1/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
Coverage rate*: 100%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) iBoxx
AAA
in line with our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
87% of the portfolio companies have a rating >= a A
ESG Rating Momentum
Upward Stable DownwardAAA AA A BBB BB B CCC
No companies have a CCC rating
Healthcare
Energy
Finance
Industry
Basic Materials
Real estate
Telecommunication services
Funds
A
AAA AA A BBB BB B CCC
Sovereign wealth funds
Information technology
Basic consumer goods
Consumer discretionary
Utilities
Source: MSCI ESG Research
87
R-co 4Change Climate Credit Euro (2/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co 4Change Climate Euro Bords is lower than that of the iBoxx index
R-co 4Change Climate Euro
BordsiBoxx
WeightContribution
to carbon
intensity
Weight
Contribution
to carbon
intensity
Contribution
gapstCO2 / mil EUR
revenue
TOTAL
% Contribution by sector Carbon intensity concentrated to a medium degree Breakdown by # issuers
UCITS 12%
Energy 7%
In a small number of sectors
- 3 sectors contribute to 72% of the carbon intensity: Utilities, Basic
Materials, Energy
-These sectors make up 15% of the portfolio’s investments
compared to 18% in the index
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs)
contributing with 45% of the carbon intensity are: EDP –
Energias de Portugal SA, Vattenfall AB, Veolia Envronnement
SA, Enel SpA, ERG SpA
- And the top 10 contributors in terms of carbon intensity
account for 65% of the carbon intensity
Others
35%
Top
10
65%
Utilities 57%
Basic
Materials
8%
Basic Materials
Utilities
Energy
Basic consumer goods
Healthcare
Telecommunication services
Consumer discretionary
Financial
Industry
Real estate
Information technology
UCIs
Source: MSCI ESG Research
88
R-co 4Change Climate Credit Euro (1/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
Coverage rate*: 98%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) iBoxx
AAA
Superior to our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
83% of the portfolio has a rating >=A
ESG Rating Momentum
Upward Stable DownwardAAA AA A BBB BB B CCC
No companies have a CCC rating
Healthcare
Energy
Financial
Industry
Basic materials
Telecommunications
Consumer services
UCIs
AAA AA A BBB BB B CCC
Technology
Consumer goods
A trend towards improved ratings
In number of issuers: 20 upgrade(s) / 12 downgrade(s)
Utilities
Source: MSCI ESG Research(*) ESG coverage as % of net assets
89
R-co 4Change Climate Credit Euro (2/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
R-co 4Change Climate
Credit EuroIBoxx
Weight
Contribution
to carbon
intensityWeight
Contribution
to carbon
intensity
Contribution
gapstCO2 / mil EUR
revenue
TOTAL
% Contribution by sector Low carbon intensity Breakdown by # issuers
Utilities 66%
In a small number of sectors
-3 sectors make up 80% of the carbon intensity (24% of the
portfolio’s investments): Utilities, Basic materials, Consumer
services
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs)
contributing up to 47% of the carbon intensity are: EDP –
Energias de Portugal SA, Vattenfall AB, Engie SA, Enel SpA,
ERG SpA
- And the top 10 contributors in terms of carbon intensity
account for 46% of the carbon intensity
Others
54%
Top
10
46%
Consumer
services 5%
Basic materials
10%
Coverage rate*: 93%
Utilities
Consumer goods
Telecommunications
Technology
Healthcare
Financial
Consumer goods
Basic materials
Energy
Industry
UCIs
Source: MSCI ESG Research(*) Carbon coverage as % of net assets
90
R-co 4Change Human Values (1/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
Coverage rate over the modelable universe: 100%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) Stoxx 600
AAAA
in line with our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
100% of the portfolio has a rating >=A
ESG Rating Momentum
Upward Stable DownwardAAA AA A BBB BB B CCC
No companies have a CCC rating
Healthcare
Energy
Finance
Industry
Basic Materials
Real estate
Telecommunication services
Funds
A
AAA AA A BBB BB B CCC
Sovereign wealth funds
Information technology
Basic consumer goods
Consumer discretionary
Utilities
Source: MSCI ESG Research
91
R-co 4Change Human Values (2/2)
ESG reports - December 2019
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co 4Change Human Values is higher than that of the Stoxx 600 index
R-co 4Change Human
ValuesStoxx 600
Weight
Contribution
to carbon
intensityWeight
Contribution
to carbon
intensity
Contribution
gapstCO2 / mil EUR
revenue
TOTAL
% Contribution by sector Carbon intensity highly concentrated Breakdown by # issuers
Industry 9%In a small number of sectors
-3 sectors make up 88% of the carbon intensity (13% of the
portfolio’s investments): Basic Materials, Utilities, Industry
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs)
contributing up to 68% of the carbon intensity are: Linde PLC,
Air Liquide SA, CRH PLC, Enel SpA, Red Electrica Corp SA
- And the top 10 contributors in terms of carbon intensity
account for 88% of the carbon intensity
Others
12%
Top
10
88%
Utilities 20%
Basic
Materials
59%
Energy
Consumer discretionary
Utilities
Basic consumer goods
Financial
Information technology
Telecommunication services
Real estate
Healthcare
Industry
Basic Materials
UCIs
Source: MSCI ESG Research
92
R-co 4Change Human Values (1/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
Coverage rate*: 99%
Gross ratings by section
(base/10)
E S G
Consideration of relative ratings
Portfolio ratings (base/10) Stoxx 600
AAAA
Above our BBB goal
Details of relative ratings (universe covered by MSCI ESG Research)
Distribution of ratings within sectorsESG Rating Distribution
100% of the portfolio has a rating >=A
ESG Rating Momentum
Upward Stable DownwardAAA AA A BBB BB B CCC
No companies have a CCC rating
Healthcare
Energy
Financial
Industry
Basic materials
Telecommunications
Consumer services
UCIs
AAA AA A BBB BB B CCC
Technology
Consumer goods
A trend towards improved ratings
In number of issuers: 7 upgrade(s) / 0 downgrade(s)
Utilities
Source: MSCI ESG Research(*) ESG coverage as % of net assets
93
R-co 4Change Human Values (2/2)
ESG reports - December 2020
Source: Rothschild & Co Asset Management Europe – 31/12/20
The carbon intensity of R-co 4Change Human Values is higher than that of the Stoxx 600 index
R-co 4Change
Human ValuesStoxx 600
Weight Contribution to
carbon intensityWeight Contribution to
carbon intensity
Contribution
gapstCO2 / mil EUR
revenue
TOTAL
% Contribution by sector Carbon intensity highly concentrated Breakdown by # issuers
Basic materials
47%Industry 24%
In a small number of sectors
-3 sectors account for 90% of the carbon intensity (32% of the
portfolio's investments), Basic materials, Industry, Utilities
In a limited number of issuers
- The 5 largest emitters in the portfolio (excluding UCIs)
contributing up to 68% of the carbon intensity are: Air Liquide
SA, Linde PLC, CRH PLC, Evonik Industries AG, Enel SpA
- And the top 10 contributors in terms of carbon intensity
account for 88% of the carbon intensity
Others
12%
Top
10
88%
Utilities 19%
Coverage rate*: 99%
Basic materials
Industry
Healthcare
Technology
Telecommunications
Consumer services
Consumer goods
Financial
Energy
Utilities
UCIs
Source: MSCI ESG Research(*) Carbon coverage as % of net assets
By the end of December 2020
Our flagship funds and related ESG indicators
* Diversified fund without a benchmark index, so comparison with 2
indices
Source: Rothschild & Co Asset Management Europe – 31/12/2094
Coverage rate (%)
- carbon intensity
Carbon intensity
Scopes 1&2
(TCO2/mil EUR
revenue)
Dec 2020
R-co Valor*
RMM Trésorerie
R-co Conviction Credit Euro
RMM Short Term
R-co Conviction Credit 12M
R-co Conviction Credit SD
R-co Thematic Real Estate
R-co 4Change Climate Equity Euro
R-co 4Change Climate Credit Euro
R-co 4Change Human Values
R-co 4Change Green Bonds
AA
AA
AA
AA
A
AA
A
AA
A
A
A
MSCI World
iBoxx Corp
iBoxx Corp
iBoxx Corp
iBoxx Corp
iBoxx Corp
Boxx Corp
Euronext IEIF REIT
Stoxx 600
iBoxx Corp
Stoxx 600
Global Green Bold Corp
A
A
A
A
A
A
A
A
AA
A
AA
A
Funds Benchmark or comparison index
Coverage rate (%)
- carbon intensity
Carbon intensity
Scopes 1&2
(TCO2/mil EUR
revenue)
Coverage rate (%)
- ESGRating
AUM (mil
EUR)ESG rating
(of 10)
Benchmark or
comparison indexESG score
(of 10) Rating
Carbon intensity
Scopes 1&2
(TCO2/mil EUR
revenue)
MSCI ESG Research rating conversion table
Rating Score /10
AAA 8.6 - 10.0
AA 7.1 - 8.6
A 5.7 - 7.1
BBB 4.3 - 5.7
BB 2.9 - 4.3
B 1.4 - 2.9
CCC 0.0 - 1.4
Source: Rothschild & Co Asset Management Europe – 31/12/2095
96
Disclaimer
Source: Rothschild & Co Asset Management Europe – 31/12/20
• MSCI ESG Research:
Although Rothschild & Co Asset Management Europe information providers, including without limitation, MSCI ESG Research LLC and
its affiliates (the "ESG Parties"), obtain information (the "Information") from sources they consider reliable, none of the ESG Parties
warrants or guarantees the originality, accuracy and/or completeness of any data herein and expressly disclaim all express or implied
warranties, including those of merchantability and fitness for a particular purpose.
The Information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a
basis, or a component of, any financial instruments or products or indices. Further, none of the Information can in and of itself be used to
determine which securities to buy or sell or when to buy or sell them. None of the ESG Parties shall have any liability for any errors or
omissions in connection with any data herein, or any liability for any direct, indirect, special, punitive, consequential or any other damages
(including lost profits) even if notified of the possibility of such damages.
• Rothschild & Co Asset Management Europe:
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The information/opinions/data contained in this document, considered to be legitimate and correct on the day of their publication, in
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