Exploratory study into management of sustainability risks by management companies of Dutch collective investment companies

In the first phase of the exploratory study, the AFM requested information from fifteen management companies on specific themes related to sustainability risk management. In the second phase, in-depth interviews were conducted with four randomly selected management companies. The aim was to understand how management companies integrate sustainability aspects in their organisation and which choices they make in that regard.

Observations and insights

The AFM has identified several general observations and specific insights based on the data collected.

Observations:
1. There are major differences in the availability and quality of data.
2. The difference between sustainability objectives and sustainability risks is not clear for each party.
3. The majority of management companies have integrated processes regarding sustainability risk identification to a greater or lesser extent.

Insights:
1. There are differences in how ultimate responsibility for the management of sustainability risks is organised by management companies.
2. Most management companies adhere to the definition of sustainability risk that is laid down in the Sustainable Financial Disclosure Regulation (SFDR).
3. Just over half the management companies have established a Risk Appetite for sustainability risks.
4. Stress testing and scenario analyses are not widely applied in the process of managing sustainability risks at the moment.
5. Sustainability limits are monitored and there are hardly any examples of them being exceeded.

Possible follow-up study

In the coming period, the AFM will continue to pay attention to how management companies manage sustainability risk, including risk management in relation to the use of data from external providers. Further studies will also be carried out at the European level into the management of sustainability risks by management companies of collective investment companies.