Etica Funds has developed a proprietary method for calculating the impact of the Social Bonds issued by the European Commission.
The fundamental points are the following:
- Each calculation is based on the latest reports made available by the issuer;
- Priority is given to any report on the individual issue (identified by the ISIN). Otherwise, the generic report for all the issuer’s issues is used.
The method follows what was done for the green bonds; however, the focus is only on the Social Bonds in the Impatto Clima and Linea Valori Responsabili funds, not including the SICAV portfolio. These unique Social Bonds were issued by the European Commission in 2020 and 2021 to finance the SURE programme.
The data are collected from the reports on the programme, the sole purpose of the issue of Social Bonds by the Commission.
The amounts invested in the Etica Funds Impatto Clima and Linea Valori Responsabili fund portfolios are calculated starting from the weight of each exposure on the NAV of the various portfolios, multiplied by the sum of the tel quel value of all the positions in the related portfolio.
The geographical allocation data are collected for each issue in the portfolio, available in the Commission’s official documents but approximated to the billion euros invested. It was not possible to collect more detailed information in this regard.
Unlike what was done with green bonds, for EU Social Bonds, the amounts invested are categorised not by activity or sector (e.g. green buildings) but by eligible expenditures.
The methodology for allocating the income from EU Social Bonds is structured as follows:
- the issuer’s classification is considered; the percentage figure per eligible expenditure is taken and multiplied by the amount invested by Etica Funds in euros;
- The amount invested by Etica Funds is obtained for all eligible expenditures;
- the classification made by the issuer is considered; the percentage for country is taken and multiplied by the amount invested by Etica Funds in euros;
- The amount invested by Etica Funds is obtained for each country.
The calculations for the impact metrics are based on the information contained in the final report for the entire SURE programme, published by the European Commission. Three main impact metrics contained in this report are used.
As impact data related to the individual issues in the portfolio are not available, the contribution of the bonds in the portfolio to the entire SURE programme is calculated with this procedure:
EMPLOYEES COVERED BY SURE IN 2020-2021
the total number of employees covered by the SURE funds in 2020-2021 is taken and divided by the total issued in the form of Social Bonds and invested to finance the SURE programme;
the figure obtained (employees covered per € invested) is multiplied by the amount invested by Etica Funds for each position in the portfolio;
the contributions calculated are added together to obtain the figure for employees covered by Etica’s investment in 2020-2021.
SELF-EMPLOYED WORKERS COVERED BY SURE IN 2020-2021
the total number of self-employed workers covered by the SURE funds in 2020-2021 is taken and divided by the total issued in the form of Social Bonds and invested to finance the SURE programme;
the figure obtained (self-employed workers covered per € invested) is multiplied by the amount invested by Etica Funds for each position in the portfolio;
the contributions calculated are added together, to obtain the figure for self-employed workers covered by Etica’s investment in 2020-2021.
PREVENTED UNEMPLOYMENT IN 2020
the total number for prevented unemployment in 2020 is taken and divided by the total issued in the form of Social Bonds and invested to finance the SURE programme;
the figure obtained (prevented unemployment in 2020 per € invested) is multiplied by the amount invested by Etica Funds for each position in the portfolio;
the contributions calculated are added together to obtain the figure for prevented unemployment in 2020 by Etica’s investment.