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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 » (C) Implementation: Integration

(C) Implementation: Integration

FI 10. Integration overview

10.1. Describe your approach to integrating ESG into traditional financial analysis.

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. Describe how your ESG integration approach is adapted to each of the different types of fixed income you invest in.

Corporate (financial)

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. Additional information [OPTIONAL]


FI 11. Integration - ESG information in investment processes

11.1. Indicate how ESG information is typically used as part of your investment process.

Select all that apply
Corporate (financial)
ESG analysis is integrated into fundamental analysis
ESG analysis is used to adjust the internal credit assessments of issuers.
ESG analysis is used to adjust forecasted financials and future cash flow estimates.
ESG analysis impacts the ranking of an issuer relative to a chosen peer group.
An issuer`s ESG bond spreads and its relative value versus its sector peers are analysed to find out if all risks are priced in.
The impact of ESG analysis on bonds of an issuer with different durations/maturities are analysed.
Sensitivity analysis and scenario analysis are applied to valuation models to compare the difference between base-case and ESG-integrated security valuation.
ESG analysis is integrated into portfolio weighting decisions.
Companies, sectors, countries and currency and monitored for changes in ESG exposure and for breaches of risk limits.
The ESG profile of portfolios is examined for securities with high ESG risks and assessed relative to the ESG profile of a benchmark.
Other, specify in Additional Information

11.2. Additional information [OPTIONAL]


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

12.1. Indicate the extent to which ESG issues are reviewed in your integration process.

Environment
Social
Governance
Corporate (financial)

Environmental

Social

Governance

12.2. Please provide more detail on how you review E, S and/or G factors in your integration process.

Corporate (financial)

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. Additional information.[OPTIONAL]


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