Bonus Pensionskasse, the Austrian multi-employer pension fund owned by Zürich and Generali, will look to expand its impact investments this year, according to its annual report for 2022.

The scheme will also reinforce its ESG monitoring mechanism, while integrating data into the system in line with requirements of the EU taxonomy and Sustainable Finance Disclosure Regulation (SFDR), it said.

Last year, the pension fund financed projects in the field of renewable energy (wind turbines) and social infrastructure (nursing homes), sharpening the sustainable and impact investment profile of its investment portfolio, the report added.

It analysed ESG and climate aspects of its asset portfolios sticking to the 10 UN Global Compact principles, assessing the share its CO2-exposed assets, and measuring its carbon footprint particularly in the equity portfolio.

The share of the CO2-exposed assets last year stood between 0.35% and 4.80%, and the carbon footprint of its equity fund of funds was 72.0 tonnes CO2 per million invested, against a benchmark of 82.5 tonnes CO2, it said.

The report also revealed that the scheme received an overall positive feedback from the climate stress test conducted by the Financial Market Authority (FMA), recoding an “above-average” ESG investment performance and “above average” level of transparency in reporting key ESG data.

The European Insurance and Occupational Pensions Authority (EIOPA) had found that German and Austrian schemes can lose up to 14% of their assets as a result of climate-related risks.

The Pensionskasse also adjusted its business continuity management to include a “blackout” scenario as a result of an energy supply crunch.

The FMA conducted a stress test – officially called Blackout Maturity Level Assessment – with Austrian Pensionskassen, in the third quarter of last year, to see if the schemes can withstand such a shock.

Tactical adjustments

Bonus returned -8.7% last year, compared with a positive 7.76% in 2021, the report disclosed, adding that looking at the market of multi-employer pension funds the decline was somewhat acceptable.

Assets under management for the fund totalled €1.68bn last year, down from €1.85bn in 2021. Assets invested came to €1.58bn.

According to its strategic asset allocation, Bonus invests 38% of its total assets in euro-denominated bonds, 28% in equities, 10% in hold-to-maturity bonds, loans and money market funds, 3% in foreign bonds, 5% in convertible bonds, and 16% in other investments.

The scheme dealt with a challenging 2022 by underweighting equities from last spring, after the start of the war in Ukraine, temporarily mitigating losses.

It cut the underweight in the fourth quarter, mainly increasing the exposure to European equities, benefitting from the outperformance of the asset class towards the end of the year.

The scheme kept for the whole year a low interest rate risk in its bond portfolio compared with the benchmark, which led to partially fending off the impact of rising interest rates.

It reduced the allocation to convertible and subordinated bonds over the course of the year, and to real estate in Q4 last year, while increasing the share of alternative investments, according to the report.

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