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Storebrand ASA

PRI reporting framework 2020

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ESG issues in asset allocation

SG 13. ESG issues in strategic asset allocation

13.1. Indicate whether the organisation carries out scenario analysis and/or modelling, and if it does, provide a description of the scenario analysis (by asset class, sector, strategic asset allocation, etc.).

Describe Storebrand Asset Management has utilised the PACTA tool to assess climate risk and opportunity in its portfolios. In 2019 a PACTA scenario analysis was done sperately on the following fund groups. Storebrand Funds, SPP Funds and Delphi Funds.

13.2. Indicate if your organisation considers ESG issues in strategic asset allocation and/or allocation of assets between sectors or geographic markets.

We do the following

13.3. Additional information. [OPTIONAL]

The PACTA reports that were generated seperately on Storebrand, SPP and Delphi funds indicate portfolio exposure to sectors such as oil and gas, coal, renewable energy and low emissions vehicles. On the basis of the analysis generated we are able to make strategic decisions on asset allocation on a sector basis.

 


SG 13 CC.

13.4 CC. Describe how your organisation is using scenario analysis to manage climate-related risks and opportunities, including how the analysis has been interpreted, its results, and any future plans.

Describe

The results of the climate risk assessment have been shared and discussed with investment managers. The results, where credible, have been included in sustainability analysis of specific funds. We have also given feedback on methodology where results have been confusing or inexplicable. In our opinion the methodology of these analysis needs to be improved before they are able to more effectively inform investment decision making.

Describe

The results of the scenario analysis confirmed our own analyses and strategies regarding coal. This has led us to ramp up our active ownership efforts towards energy companies with coal in their fuel mix. Storebrand has been a vocal critic also in the media, towards companies we beleive aren't transitioning to sustainable energy forms quickly enough. 

13.5 CC. Indicate who uses this analysis.

13.6 CC. Indicate whether your organisation has evaluated the potential impact of climate-related risks, beyond the investment time horizon, on its investment strategy.

Please explain the rationale

For Storebrand ASA, the investment timeframe is long term, 30-40 years since we have obligations to pay pensions over this period. This takes us up to 2050. Identifying risk beyond this timeframe is so fraught with policy, political and technological uncertainty that it would be irrelevant to investment decision-making

13.7 CC. Indicate whether a range of climate scenarios is used.

13.8 CC. Indicate the climate scenarios your organisation uses.

Provider
Scenario used
IEA
IEA
IEA
IEA
IEA
IRENA
Greenpeace
Institute for Sustainable Development
Bloomberg
IPCC
IPCC
IPCC
IPCC
Other
Other
Other

SG 14. Long term investment risks and opportunity

14.1. Some investment risks and opportunities arise as a result of long term trends. Indicate which of the following are considered.

other description (1)

          Changing consumer preferences, for environmentally friendly Products and services. Risks for Companies as a result of implementation of the Paris Accord & UN Sustainable Development Goals.
        

14.2. Indicate which of the following activities you have undertaken to respond to climate change risk and opportunity

Specify the AUM invested in low carbon and climate resilient portfolios, funds, strategies or asset classes.

Total AUM
trillions billions millions thousands hundreds
Currency
Assets in USD
trillions billions millions thousands hundreds

Specify the framework or taxonomy used.

Our fossil free range of investment products was established in 2016 and has since expanded rapidly, both in terms of AUM and fund products available.

The Pluss funds are fossil free, have a low carbon footprint relative to their respective indexes and have a high average sustainability rating relative to index. In addition these funds dedicate 5-10% of their assets to "solution companies", that is companies that through their business models contribute to a low carbon economy.

The Pluss fund range encompasses both index near equities funds as well as a Global Fixed Income offering.

The funds have been hugely successful, especially among the institutional market in the Nordics.

All our assets are managed according to strict sustainability criteria. In addition, nearly one third of assets under management – NOK 277 billion – was invested in fossil free funds at the end of 2019. All assets under management in SPP Fonder are now fossil free.

As of 31.12.2019 12,4 billion NOK was invested in Green Bonds and 17 billion NOK was invested in certified green property.

14.3. Indicate which of the following tools the organisation uses to manage climate-related risks and opportunities.

14.4. If you selected disclosure on emissions risks, list any specific climate related disclosure tools or frameworks that you used.

Integration of Carbon Footprint data

Storebrand uses carbon data from data provider Trucost to calculate the carbon footprint of our holdings in both equities and bond funds. If we have carbon information covering less than 75% of the market share of the fund's equity holdings we will not report on that fund's carbon footprint. Less than 75% coverage may result in a faulty or tilted result.

As of today, there is no global standard on how to calculate Carbon Intensity, though the TCFD framework has gained significant momentum globally. Since both methods and data are continuously adjusted and refined, the Storebrand Group is following the developments and adjusting reporting guidelines accordingly. Data is not always available for individual companies, and there are still quality issues with the data and the methods of calculation. Therefore, the carbon intensity results should be seen as indicative, and they should be used together with a broader forward-looking sustainability analysis.

Method of Calculation

The Storebrand Group applies the Weighted Average Carbon Intenx|sity as recommended by the TCFD . This formula describes a portfolio’s exposure to carbon-intensive companies, expressed in tons CO2 equivalents relative to Fund Currency M Sales Revenue. Storebrand reports on carbon dioxide equivalents, which is a measurement that includes carbon dioxide and equivalent greenhouse gases. The reporting includes Scope 1 and Scope 2 emissions as defined by the Green House Gas Protocol (www.ghgprotocol.org),), meaning company’s direct emissions from owned or controlled sources and indirect emissions from purchased energy. Storebrand acquires carbon data of individual companies from data provider Trucost. For more information please see https://www.trucost.com/publication/carbon-energy-transition-metrics/

Quarterly reports on the carbon footprint of Storebrands equity funds are available here.

https://www.storebrand.no/en/asset-management/sustainable-investments/document-library

 

 

 

14.5. Additional information [Optional]

Storebrand has signed the Montreal Pledge and is a member of the Portfolio Decarbonisation Coalition and has therefore committed to reducing the carbon intensity of selected equities portfolios.

Storebrand produces its own sustainability rating on 4000 listed equities. 

 


SG 14 CC.

14.6 CC. Provide further details on the key metric(s) used to assess climate-related risks and opportunities.

Metric Type
Coverage
Purpose
Metric Unit
Metric Methodology
Climate-related targets
          Percentage of AUM in fund Portfolios that are fossil free
        
          Percent of total AUM
        
          AUM in dedicated fossil free products
        
Weighted average carbon intensity
          Being developed to be able to provide carbon footprint data also on Fixed Income products
        
          Tonn emissions per million revenue
        
          Emissions pr Revenue adjusted to Portfolio weighting
        
Portfolio carbon footprint
          Client Reporting and measure carbon risk per fund
        
          Climate Intensity in Tonn CO2 from scope 1&2 per million in sales
        
          Weighted Average: Emissions per revnue adjusted to percentage holdings of company in fund
        
Carbon intensity
          Client Reporting and measure total carbon risk
        
          Climate Intensity in Tonn CO2 from scope 1 &2 per million in sales
        
          Emissions per revenue adjusted to ownership of company
        
Exposure to carbon-related assets
          Stimulate Investment in low carbon technologies
        
          Percentage of AUM invested
        
          AUM in defined clean Technology sectors and renewable energy
        

14.7 CC. Describe in further detail the key targets.

Target type
Baseline year
Target year
Description
Attachments
          year on year
        
          
        
          Increase in percentage of AUM
        

          quarter by quarter
        
          
        
          Reduction over time
        

          quarter by quarter
        
          
        
          Reduction over time
        

          year on year
        
          
        
          Reduction over time
        

          2020 and 2025
        
          
        
          8% target in 2020 and 15% in 2025
        

14.8 CC. Indicate whether climate-related risks are integrated into overall risk management and explain the risk management processes used for identifying, assessing and managing climate-related risks.

Please describe

The integration of climate related risks varies from fund to fund. How climate risks are assessed against other types of risks will depend on the financial relevance of the climate related risks. This depends on the duration of the funds investments, the geographical exposure of the fund and the sector spread. One risk that has emerged for funds exposed to European companies is the fluctuation and increase in the carbon price during 2019. this risk resulted in a re-balancing of the portfolios of certain funds.

On a total portfolio level, Storebrand Asset Management utilises our range of index-near fossil free funds to reduce overall exposure to the oil and gas sector.

14.9 CC. Indicate whether your organisation, and/or external investment manager or service providers acting on your behalf, undertake active ownership activities to encourage TCFD adoption.

Please describe

Engagement with an International Energy Company: Equinor

We have together with Equinor defined an ambitious pathway which will see the company play an even more active role in the transition to a low carbon economy. Equinor’s commitments, as detailed in the joint statement with investors, include:

- Reviewing existing climate-related targets up to 2030 and setting new ambitions beyond 2030. Targets currently cover operating emission reductions, methane intensity and upstream carbon intensity, as well as a 2020 target for low-carbon R&D expenditure.


- Further strengthening the link between climate related targets and remuneration for senior executives and employees. Equinor will seek to align remuneration for executives and employees across its business with updated short, medium and long-term climate-related targets and ambitions, once these are defined in 2020.


- Undertaking a comprehensive review of industry association memberships that hold an active position on climate and energy policy. This includes seeking to disclose any material inconsistencies and potential actions taken in that regard by the first quarter of 2020.


- To report in line with final recommendations of the Task Force on Climate-related Financial Disclosures.


- From 2020, report overall estimated carbon intensity of energy products and services provided and explore additional approaches to drive de-carbonization along the company’s value chain and the end use of products (scope 3 emissions).

- To assess its portfolio, including new material capital expenditure investments, in relation to a well below 2°C scenario from 2019 onwards.

We will continue engagement with Equinor to support the company and ensure delivery of the commitments made.


SG 15. Allocation of assets to environmental and social themed areas

15.1. Indicate if your organisation allocates assets to, or manages, funds based on specific environmental and social themed areas.

15.2. Indicate the percentage of your total AUM invested in environmental and social themed areas.

36.8 %

15.3. Specify which thematic area(s) you invest in, indicate the percentage of your AUM in the particular asset class and provide a brief description.

Area

Asset class invested

9.3 Percentage of AUM (+/-5%) per asset class invested in the area
2.9 Percentage of AUM (+/-5%) per asset class invested in the area
41 Percentage of AUM (+/-5%) per asset class invested in the area

Brief description and measures of investment

The following funds have all considerable assets dedicated to clean technology solutions. Storebrand analyses and identifies pure play clean tech companies outside of main indexes in addition to large cap equities with a considerable clean tech focus.

Listed Equities:

Storebrand Global ESG Plus
 Storebrand Global ESG
 Storebrand Norge Fossilfri
 Storebrand/SPP Global Solutions
 SPP Sverige Plus:
 SPP Global Plus:
 SPP Tillväkstmarknad Plus:
 SPP GodFond Sverige och världen:

Storebrand Future Cities 

Storebrand Renewable Energy 

Fossil free funds

Additonally all our fossil free funds (Funds with Plus in the name) have the following criteria

- exclusion of all companies with over 5% of revenue from fossil fuels and/or significant fossil fuel reserves.

- higher average sustainability rating than reference index

- significantly lower carbon footprint than reference index

- Between 5-10% of AUM invested in pure play clean tech or renewables companies

Fixed Income

Primarily through project financing in green bonds, issued by corporates, government, local government and International Development Banks. The majority of the projects financed by Green Bonds issuances have a renewable enrgy component. Additional investments in Green Bonds are also made through other conventional fixed income products.

SPP Grön obligationsfond:

Storebrand Global Kreditt IG

SPP Foretaksobligationsfond

Asset class invested

5 Percentage of AUM (+/-5%) per asset class invested in the area

Brief description and measures of investment

Both through Real Estate/Property and Green Bonds.

Storebrand has a strong commitment to Green Buildings and certification of portfolio buildings according to international standards such as BREEAM.

All existing buildings are certified to BREAAM NOR In use

All rehabilitation projects are certified to BREAAM NOR Very Good as a minimum criteria.

All new buildings  are certified to BREAAM NOR Excellent as a minimum criteria.

Low emissions materials, energy efficient solutions and local energy are used extensively in new projects.

Asset class invested

0.001 Percentage of AUM (+/-5%) per asset class invested in the area

Brief description and measures of investment

AUM: approximately NOK 500 million Asset classes: mainly private equity and fixed income - other, Storebrand made its first investments in microfinance in 2005, investing mainly through fund-of-funds.

The objectives of the investments in this sector are twofold, to obtain a competitive rate of returnon the investments and to contribute to social and economic development in emerging/frontier markets. We target institutions with a clear social mission and a profitable business model.

Geographical reach includes Asia, Africa and Latin America. Our portfolio includes investments in collaboration with significant players such as Womens World Banking, Global Health Investment Fund, and the Norwegian Microfinance Initiative.

15.4. Please attach any supporting information you wish to include. [OPTIONAL]



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