基金名称挑战：匹配投资者需求与监管预期

Key findings Funds that use sustainability-related language in their names may soon have to determine how to excludespecific investments to adhere to the ESMA Guidelines.Fossil fuel-linked exclusion-criteria are based on the EU climate benchmarks regulations, but data shortcomingsmake their application in this new context challenging.Fund managers will have to make trade-offs — our ESMA PAB screen excludes nearly 11% of MSCI ACWI IMIconstituents by weight, with half of these from the energy sector. In May 2024, the European Securities and Markets Authority (ESMA) released its Guidelines on funds' names usingESG or sustainability-related terms ("Guidelines").As of Nov. 21, 2024, these Guidelines will apply to all newly-launched funds and, six months later, to all existing funds. These new rules will have a notable impact — in previousresearch, we estimated thatroughly 32% or EUR 2 trillion of self-labeled Sustainable Finance Disclosure Regulation(SFDR) Article 8 and 9 fundscould be affected. Many fund managers will need to either change their fund names orexclude certain constituents.[1] Setting the scene A key requirement of the Guidelines is that specific companies need to be excluded, depending on what a fundchooses to name itself. Exclusion criteria are derived from the EU's Paris-Aligned Benchmark (PAB) and ClimateTransition Benchmark (CTB) categories, as defined in Article 12(1) of the Commission Delegated Regulation (CDR).CTB criteria apply to "transition," "social" and "governance" terms and require screening for activities related totobacco and controversial weapons, or to violations of universal social norms. The PAB criteria are more extensiveand not only encompass the CTB criteria but also set thresholds for revenue from fossil-fuel-related businessactivities and apply to any reference to terms such as "sustainable," "green," "impact," "ESG" or "environmental" in afund name.ESMA isn't the first regulator to have applied the PAB exclusion criteria. The European BankingAuthority (EBA) has also referenced them in binding standards on Pillar 3 disclosures of ESG risk for banks to assessexposure to fossil-fuel-based activities.And while these exclusion criteria have already been functioning withinthe climate benchmarks context, their application within the context of the Guidelines may prove challenging.[2][3] It's harder than it looks Identifying companies based on their revenues from specific business activities may sound simple enough, but thereality is a lot more complicated. Companies do report revenue segments, but often not to the required level ofdetail. Estimations, interpolations and assumptions are often the only way to match revenue to specific activities,which still leaves challenges to overcome. Identifying the right approach also depends on what the end user needs. Fossil-fuel-based sub-set of PAB criteria and implementation challenges Implementation challenge Criteria CriteriaCompanies that derive 1% or moreof their revenues from exploration,mining, extraction, distribution orrefining of hard coal and lignite. Implementation challengeRevenue from coal production (or extraction) can largely be capturedfrom company disclosures. However, revenue from the distribution orrefining of coal remains elusive due to limited reporting. Criteria Companies that derive 10% or moreof their revenues from theexploration, extraction, distributionor refining of oil fuels.Companiesthat derive 50% or more of theirrevenues from the exploration,extraction, manufacturing ordistribution of gaseous fuels. Implementation challengeWhere companies report separate volumes of oil and gas producedand do not aggregate as "barrels of oil equivalent," oil and gas revenuecan be separated. However, for value chain activities, this can be morechallenging. For example, not all pipeline companies disclose abifurcation between the revenue they generate for oil versus gas. CriteriaCompanies that derive 50% or moreof their revenues from electricitygeneration with a greenhouse gas(GHG) intensity of more than100gCO2e/kWh. Individual power plant emissions and production data are largelyunavailable, hindering the use of production intensities consistentlyacross power-generation companies.It is possible to use averageproduction intensities based on GHG emissions across all operationsand electricity generation, but this can lead to overestimations of theintensity ratio in the case of diversified utilities or where powergeneration is not 100% of a company's operations. Table is based on ESMA fund-name guidelines, as detailed in endnote 2. Source: MSCI ESG Research Erring on the side of caution The Guidelines aim to address greenwashing risks for retail investors. Where precise, detailed company disclosuresare missing, fund managers may opt for a more cautious approach (i.e., more exclusions, rather than fewer) to meetregulatory expectations. Taking such conservative approach, we selected a single (10%) revenue thresh