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Storebrand ASA

PRI reporting framework 2020

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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income

アクティブ運用している債券におけるESGの組み入れ

実施プロセス

FI 01. Incorporation strategies applied

以下を記載してください。 (1)組織でアクティブ運用する債券投資について、どのESG組み入れ戦略や組み合わせを使用しているか(2)各戦略が適用されるアクティブ運用債券投資合計の割合(+/- 5%)
SSA
100 スクリーニングのみ
0 テーマのみ
0 統合のみ
0 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
社債(金融)
0 スクリーニングのみ
5 テーマのみ
0 統合のみ
95 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%

01.2. 特定のESG組み入れ戦略を選択している理由と、使用する戦略の組み合わせを説明してください。

Screening: Storebrand has chosen a comprehensive screening approach that covers all fixed income investments to reduce the risk of being involved in or supporting unethical/irresponsible business practices. See explanation below for corporate and sovereign bonds

Thematic: Storebrand has developed a market leading approach to investments in Green Bonds to enable our clients to invest in climate/social solutions. A European first Green Bond fund was launched in Sweden in March 2015. In addition other Fixed Income strategies also include investments in Green Bonds where this is possible. As of 31.12.2019 Storebrand has 12.4 billion NOK invested in Green Bonds, or 3.1% of total fixed income investments

Integration: The Sustainable Investment team has, together with portfolio managers identified risk based issues that are most relevant to global bond markets. As a result, tailored corruption analyses are delivered from the sustainability team to PM's. In addition Green Bonds are an integral part of the holdings of many of our Fixed Income funds and are priorotised when making investment decisions.

01.3. 補足情報 [任意]

Screening for Corporate Bonds

Corporate Bonds are covered by the Storebrand Standard which has been explained earlier in the equities sections.

Screening for Soveregn Bonds

Storebrand aims to invest in corporations and countries that contribute actively to sustainable development. We believe such practices – when integrated in core business – will be financially rewarded. Based on this, Storebrand will not invest in government bonds from countries that

Are systematically corrupt
Systematically suppress basic political and civil rights
Are subject to sanctions imposed by the UN Security Council

As a responsible long term investor, with a geographically diverse investment portfolio, it is in Storebrand’s interests to promote good governance, stability and the maintenance of basic political and civil rights. Therefore Storebrand’s goal is to avoid purchasing bonds from governments that are systematically corrupt, unstable and/or oppressive. To achieve this goal, Storebrand utilizes two corruption indexes, a political and civil rights index and the list of countries subject to UN Security Council sanctions. The indexes and lists chosen are issued by reliable and well respected sources, are methodically rigorous and are updated regularly.

Corruption indexes

Transparency International’s Corruption Perceptions Index (CPI), published annually since 1995, has been widely credited for putting the issue of corruption on the international policy agenda. The CPI ranks almost 200 countries in terms of perceived levels of corruption, as determined by expert assessments and opinion surveys. These assessments and surveys include questions relating to bribery of public officials, kickbacks in public procurement, embezzlement of public funds, and questions regarding the strength and effectiveness of public sector anti-corruption efforts.  http://www.transparency.org/policy_research/surveys_indices/cpi

The World Bank Worldwide Governance Indicators; Control of Corruption Index has been published annually since 1996. The index captures perceptions of the extent to which public power is exercised for private gain, including both petty and grand forms of corruption and "capture" of the state by elites and private interests. Information to put together the index is obtained from business providers, surveys of firms and households, non-governmental organisations and public sector data providers. Exclusion criterion: Countries ranking among the 10 percent worst performers on the Transparency International CPI index and/or the World Bank Control of Corruption index will be excluded from investments at Storebrand. The 10 percent threshold includes any country with the same numerical score as the best performer of the group.

 

Political and Civil Rights Index

Freedom House Freedom in the World index has been published annually since 1972 and ranks over 200 countries and disputed territories countries according to political and civil rights and freedom. To compile the index, analysts used a broad range of sources of information, including foreign and domestic news reports, academic analyses, non-governmental organizations and visits to the region.Exclusion criterion: Countries and territories which are given the lowest rating of 7 will be excluded from investments at Storebrand. Countries are given a rating of 7 when political and civil rights are absent or virtually nonexistent and the nature of the regime is characterised by severe oppression.

UN Sanctions

Under Article 41 of the UN Charter, the UN Security Council may call upon Member States to apply measures not involving the use of armed force in order to maintain or restore international peace and security. Such measures are commonly referred to as sanctions. Current practice at the UN Security Council is to impose targeted measures aimed at removing the circumstances that have led to a threat to, or breach of, international peace and security. Exclusion criterion: Countries that are subject to sanctions imposed by the UN Security Council will be excluded from investments at Storebrand. Countries will not be excluded in cases where sanctions are targeted specifically at independent groups within a country and not at the government of the country.


FI 02. ESG issues and issuer research

02.1. 発行体に対する分析の一部として体系的に調査するESG要因を明示してください。

SSA
社債(金融)
環境データ
社会的データ
ガバナンスデータ

02.2. 入ってくるESG情報のフォーマットと主な情報源を明示してください。

この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください

具体的に記載してください

          Publically available ESG country information. World Bank Governance indicators, Freedom In the World social indicators and Transparency International Corruption Perceptions Index are examples of this.
        

02.3. 使用されているESG情報を簡単に説明してください。ESG組み入れ戦略全体における情報源の違いを明らかにしてください。

Corporate Fixed Income:

Corporate Issuers are included in Storebrand's In-house ratings system that rates over 4000 issuers on a scale of 0-100. Some issuer groups lie outside the scope of the ratings sytem (which covers MSCI_ACWI). For these issuer groups: Norwegian Regional Banks, Swedish Covered Bonds, Norwegian/Swedish communes an internal model has been developed in 2015 to estimate the rating of these groups. The estimate is based on ratings information from the Financials sector analysis.

Government Fixed Income:

Government Bonds screening is based on publically available indexes and information

- Transparency International Corruption Perceptions Index

- World Bank Control of Corruption Index

- Freedom House Freedom in the World Index

- UN Sanctions list

02.4. 補足情報 [任意]


FI 03. Processes to ensure analysis is robust

03.1. 組織のESG調査プロセスの堅牢性を確保する方法を記載してください。

03.2. ESG情報または分析を投資チーム内で共有する方法を記載してください。

03.3. 補足情報 [任意]

Both exclusion lists and ESG ratings are read into company databases quarterly and are available to all investment staff.

Formal fund review meetings are conducted annually where sustainability indicies are a central part of the discussion. Portfolio Managers are required to explain investment in poor ESG performers and the fund's overall sustainbility rating is assessed relative to peers.

ESG ratings are available also in "Asset Manager" a Front Office platform. The Sustainability team has developed an SDG materiality framework, available to fund managers which identifies the most material SDG's for investments.


A) 実施:スクリーニング

FI 04. Types of screening applied

04.1. 実施するスクリーニングの種類を記載してください。

当てはまる項目を全てを選択してください
SSA
社債(金融)
ネガティブ/ 排他的スクリーニング
ポジティブ/業界最高のスクリーニング
基準に基づくスクリーニング

04.2. 組織内でアクティブ運用している債券に適用するスクリーニングのアプローチを記載してください。

Negative and Norm based screening

The Storebrand Standard applies to all internally managed funds and portfolios, including all Fixed Income investments, and covers:

1) Product related exclusions: controversial weapons (landmines, cluster munitions, nuclear weapons, chemical/biological weapons) and tobacco

2) Controversial issues: human rights and international humanitarian law, corruption and economic crime, environmental degradation

3) Sector specific exclusions: lowest performing companies in high risk industries + climate related (companies with over 25% of revenues from coal or planned coal fired plants over 1000MW, oil sand companies, palm oil companies causing deforestation).

As of Q4 2019 182 companies were excluded.

Positive/Best in Class screening

The Storebrand Sustainability rating covering 4000 companies also includes fixed income funds and portfolios. Ratings are on a 1-100 scale and capture whether companies are contributing positively or negatively to financially material Sustainable Development Goals. Analyses leading to the rating are theme/SDG based. Some types of bonds (Norwegian regional banks, Swedish Covered Bonds and Bonds issued by Norwegian/Swedish communes are given a group score based on ratings from the Financial sector in these countries.

On the basis of this sustainability rating, fixed income funds are rated on a scale of 1-10.

04.3. 補足情報 [任意]


FI 05. Examples of ESG factors in screening process

05.1. スクリーニング条件に含まれているESG要因の例を挙げてください。

種類

ESG要因

スクリーニング

スクリーニングの説明

1. Transparency International's Corruption Perceptions Index (CPI), published annually

2. The World Bank Worldwide Governance Indicators; Control of Corruption Index, published annually since 1996.

Exclusion criterion: Countries ranking among the 10 percent worst performers on the Transparency International CPI index and/or the World Bank Control of Corruption index will be excluded from investments at Storebrand. The 10 percent threshold includes any country with the same numerical score as the best performer of the group.

3. Freedom House Freedom in the World index, published annually since 1972

Exclusion criterion: Countries and territories which are given the lowest rating of 7 will be excluded from investments at Storebrand. Countries are given a rating of 7 when political and civil rights are absent or virtually nonexistent and the nature of the regime is characterised by severe oppression.

4. UN Sanctions:

Exclusion criterion: Countries that are subject to sanctions imposed by the UN Security Council will be excluded from investments at Storebrand. Countries will not be excluded in cases where sanctions are targeted specifically at independent groups within a country and not at the government of the country.

種類

ESG要因

スクリーニング

スクリーニングの説明

The Storebrand Standard applies to all Fixed Income products. In the areas of Social and Governance the standard comprises the following criteria

International Law and Human Rights: Storebrand will not invest in companies that contribute to serious violations of international law. This includes serious humanitarian law violations as well as violations of basic human rights.

Corruption: Storebrand will not invest in companies that are involved in grand corruption. The criterion is based on, among others, the United Nations Convention against Corruption.

Controversial weapons: Storebrand will not invest in companies involved in the development and/or production of controversial weapons including Landmines, Cluster Munitions or Nuclear weapons.

Tobacco: Storebrand will not invest in companies where the sale of tobacco products, or components exclusively designed for such products, exceeds 5 percent of total sales.

種類

ESG要因

スクリーニング

スクリーニングの説明

The Storebrand Standard applies to all Fixed Income products. In the area of Climate and Environment, the standard comprises the following criteria:

Environmental damage: Storebrand will not invest in companies involved in activities that cause serious environmental damage. The criterion is based on, among others, The UN Convention on Biological Diversity and The UN Framework Convention on Climate Change.

In addition the environmental damage criteria includes Palm Oil, Oil Sands and revenues from Coal.

種類

ESG要因

スクリーニング

スクリーニングの説明

Fossil Fuel exclusions

A number of our Fixed Income products are also fossil free which means that theyexclude companies that derive more than 5% of their revenues from the production and/or distribution of fossil fuels.

05.2. 補足情報 [任意]


FI 06. Screening - ensuring criteria are met

06.1. 債券投資においてファンドスクリーニングの基準に違反がないことを確認するために組織が使用しているシステムを記載してください。

スクリーニングの種類
ネガティブ/排他的スクリーニング​

その他

          Compliance on the Storebrand standard and other relevant exclusion criteria is conducted daily and eventual breaches are reported to the board.
        
ポジティブ/業界最高のスクリーニング

その他

          In house sustainability rating updated continually and used as input in fund management.
        
基準に基づくスクリーニング​

その他

          Compliance on the Storebrand standard and other relevant exclusion criteria is conducted daily and eventual breaches are reported to the board.
        

06.2. 補足情報 [任意]


B) 実施:テーマ

FI 07. Thematic investing - overview (Private)


FI 08. Thematic investing - themed bond processes

08.1. グリーン債原則に従ったテーマ債券の発行に関連する透明性や開示を奨励しているかどうか示してください。社会貢献債原則またはサステナビリティ債ガイドライン。

08.2. 発行体が提供文書の記載に従って、債券収益を配分していないときに取るべき対応策を説明してください。

All aquisitions of Green Bonds are done in accordance with the Green Bond Principles. All Green Bonds are verified by a 3rd party. These 3rd parties have most often been Cicero through their "Shades of Green" methodology or DNV_GL.

A misuse of bond proceeds would prompt direct contact with the issuer by the fund manager.

08.3. 補足情報 [任意]


FI 09. Thematic investing - assessing impact

09.1. 組織のテーマ投資の環境的または社会的影響を評価する方法を示してください。

09.2. 補足情報 [任意]

Storebrand requires annual reporting from issuers of Green Bonds in line with the Green Bond Principles.


C) 実施:ESG問題の統合

FI 10. Integration overview

10.1. ESGを従来の財務分析に統合するアプローチを説明してください。

The sustainability team rates over 4000 issuers with an ESG rating of 0-100. Each issuer is rated on 70 to 100 individual indicators. These indicators form the basis for integration of ESG issues into traditional financial analyses. Storebrand seeks to tailor the ESG input to Portfolio Managers according to the unique set of risks and opportunities that are relevant for portfolio companies.

In 2019 Storebrand has implemented fossil free criteria to three fixed income funds. Definition of these criteria is the responsibility of the Sustainability team while implementation lies with fund managers. Compliance is run daily on these exclusions.

In addition the sustainability team has, through the course of 2019, been called upon to assess investment in large infrastructure projects (such as gas pipelines) from an ESG perspective. Here the focus has been on identifying ESG risk factors (environmental effects of the project and/or relations with affected communities) that may have a financial effect on the viability of the project.

10.2. 投資する債券の各種類に対してESG統合アプローチをどのように調整するのか説明してください。

社債(金融)

Coprorate risk is focused heavily on Governance issues. The Storebrand sustainability team has, together with portfolio managers, identified corruption as a key financially material ESG factor in corporate bonds and delivers specific corruption analysis on portfolio companies in specific funds. By using the analysis provided portfolio managers are able to limit exposure to companies classified as high risk.

10.3. 補足情報 [任意]


FI 11. Integration - ESG information in investment processes

11.1. ESG情報が、通常、投資プロセスの一部としてどのように使用されるのか記載してください。

当てはまるものをすべて選択してください
社債(金融)
ESG分析をファンダメンタル分析に組み込んでいる
ESG分析が発行体の内部信用評価を調整するために利用される
ESG分析が予想財務業績および将来キャッシュフロー予測を調整するために利用される
ESG分析が発行体の同業グループと比較したランキングに影響する
発行体のESG債スプレッドおよび同セクター企業に対するその相対価値が、すべてのリスクが織り込まれているか否かを把握するために分析される
各種デュレーション/満期の発行体債券へのESG分析の影響が分析される。
感度分析およびシナリオ分析が、ベースケースとESG組み込み証券評価の差を比較する評価モデルに適用される
ESG分析が、ポートフォリオのウェイティング決定に組み込まれている
会社、セクター、国、通貨が、ESGエクスポージャーの変化およびリスク制限の違反についてモニタリングされる
ESGリスクが大きい証券についてポートフォリオのESGプロファイルが検討され、ベンチマークのESGプロファイルと比較して評価される
その他(具体的に記載してください)

11.2. 補足情報 [任意]


FI 12. Integration - E,S and G issues reviewed

12.1. 組織の統合プロセスでESG問題をどのように検討するか示してください。

E(環境)
S(社会)
G(ガバナンス)
社債(金融)

E(環境)

S(社会)

G(ガバナンス)

12.2. 組織の統合プロセスでE/S/G要因を検討する方法を詳しく説明してください。

社債(金融)

All ESG factors are systematically reviewed for financial relevance by the sustainable investment team. However Governance factors have been selected for further development because of the growing body of literature that points to the specific relevance of this pillar in fixed income management.In particular corruption risk has been isolated and presented to Fixed Income managers as a stand alone metric. The basis for this move is the assumption that corruption risk is one of the most material ESG issues for fixed income investments.

As described earlier, investments in large infrastructure projects, such as pipelines are reguarly assessed by the Sustainability team with regards to possible material ESG risks.

12.3. 補足情報 [任意]


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