BNP Paribas Asset Management Multi-Factor Credit Funds Target Carbon Footprint Reduction

September 8, 2020

BNP Paribas Asset Management (‘BNPP AM’) announces the implementation of a 50% carbon footprint reduction mechanism for two multi-factor fixed income funds managed by its Multi Asset, Quantitative & Solutions (‘MAQS’) investment division.

BNP Paribas Euro Multi-Factor Corporate Bond and BNP Paribas US Multi-Factor Corporate Bond, offering exposure to euro and US dollar credit respectively, now apply additional targets to halve their carbon footprints relative to their benchmark indices, based on CO₂ emissions data scope 1 and 2[1].  This complements the carbon reduction commitments made by BNPP AM in 2018 for its factor-based equity funds.

The carbon footprint reduction of these multi-factor funds is in line with BNPP AM's desire to offer its clients investment solutions that meet their environmental expectations, combining performance objectives, responsible investment and the fight against global warming.

Both funds have previously been granted French SRI certification due to the integration of ESG (‘Environmental, Social and Governance’) criteria, consisting of:

  • Improving[2] the portfolios' ESG scores relative to those of their benchmarks;
  • Excluding the bottom 10% of issuers with the worst ESG ratings; and
  • Integrating normative and sector-based exclusions as defined by BNPP AM, in line with BNP Paribas Group sector policies

The multi-factor management approach targets investors seeking to better control their risks within a diversified portfolio, and is based on quantitative analysis of fundamental indicators and market data.  It aims to identify those securities with the best return prospects with a risk profile equivalent to that of the benchmark index over the long term[3].

Isabelle Bourcier, Head of Quantitative and Index Management at BNPP AM, comments:

“By integrating clear and quantifiable ESG and decarbonisation criteria within these multi factor funds, BNP Paribas Asset Management reaffirms its commitment to sustainable investment by being one of the first asset managers to be able to offer such a comprehensive range covering the main equity and credit markets.”

BNPP AM is among the pioneers of multi-factor management in France, with assets managed on a quantitative basis totalling more than EUR 15 billion (as at 30 June 2020).  Initially aimed at institutional investors through segregated mandates, assets in BNPP AM’s multi-factor credit strategies have more than doubled since being made available in open-ended UCITS form in 2019.

Investments in funds are subject to market fluctuations and the risks inherent in investments in transferable securities.  The value of investments and the income they generate may go down as well as up and it is possible that investors will not recover their initial outlay.  The funds described present a risk of capital loss.  For a more complete definition and description of risks, please refer to the funds’ prospectus and KIID.  Before subscribing, investors are urged to read the most recent version of the prospectus and KIID, which are available free of charge on our website www.bnpparibas-am.com.

Fund characteristics: BNP Paribas US Multi-Factor Corporate Bond

ISIN codes                                                   I shares: LU1664649941
                                                                     Privilege shares: LU1664649784
                                                                     Classic shares: LU1664649354

Legal structure                                             Sub fund of BNP Paribas Funds SICAV
                                                                     registered in Luxembourg

Management company                                BNP Paribas Asset Management
                                                                     Luxembourg

Delegated management company              BNP Paribas Asset Management France

Benchmark                                                  ICE BofAML US Corporate (USD) RI

Launch date                                                27 June 2019

Capital guaranteed                                     No

Ongoing charges (estimated)                     I shares: 0.18%
                                                                   Privilege shares: 0.25%
                                                                   Classic shares: 0.60%

Maximum subscription charge                   I shares: none
                                                                   Privilege shares: 3% (max)
                                                                   Classic shares: 3% (max)

Redemption charge                                   None

SRRI* (scale of 1 (lowest) to 7 (highest))  2

Credit risk                                                  Yes

Liquidity risk                                              Yes

* Synthetic Risk and Reward Indicator score

Fund characteristics: BNP Paribas Euro Multi-Factor Corporate Bond

ISIN codes                                                I shares: LU1664648976
                                                                  Privilege shares: LU1664648893
                                                                  Classic shares: LU1664648208

Legal structure                                          Sub fund of BNP Paribas Funds SICAV
                                                                  registered in Luxembourg

Management company                             BNP Paribas Asset Management
                                                                  Luxembourg

Delegated management company            BNP Paribas Asset Management France

Benchmark                                                ICE BofAML Euro Corporate (EUR) RI

Launch date                                              24 January 2018

Capital guaranteed                                   No

Ongoing charges (estimated)                   I shares: 0.18%
                                                                 Privilege shares: 0.25%
                                                                 Classic shares: 0.63%

Maximum subscription charge                  I shares: none
                                                                  Privilege shares: 3% (max)
                                                                  Classic shares: 3% (max)

Redemption charge                                   None

SRRI* (scale of 1 (lowest) to 7 (highest))  2

Credit risk                                                  Yes

Liquidity risk                                              Yes

* Synthetic Risk and Reward Indicator score

Footnotes

  1. ^ [1] Scope 1: direct emissions from companies; Scope 2: emissions from their energy consumption.
  2. ^ [2] The portfolio's weighted average ESG rating may under no circumstances be lower than the weighted ESG rating of the fund's initial investment universe or that of the benchmark or of the benchmark after eliminating the 20% of the worst stocks.
  3. ^ [3] Benchmark indexes are: ICE BofAML Euro Corporate (EUR) RI (for BNP Paribas Funds Euro Multi-Factor Corporate Bond) and ICE BofAML US Corporate (USD) RI (for BNP Paribas Funds US Multi-Factor Corporate Bond).

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