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Folksam

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 Yes as part of our work with TCFD we have made a scenario analysis for our equity portfolio.

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]


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

As part of the TCFD work we have done a climate scenario analysis of the fossil sector. 

Describe

During the year we have remodelled the foreign equity portfolio. As a result we removed all the companies with more than 10 percent of it's revenue from oil sands. We also removed half the energy sector compared to relevant index. 

Describe

The last two years we have asked questions about TCFD and climate risks and opportunities at the Swedish Annual General Meetings. We are also involved in Net Zero Asset Owner Alliance which focus on engagement. 

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.

Describe

We are a long term investor and the investments we do reflect this. We have excluded certain sectors based on the climate-related risks. We do not invest in coal (30% threshold), oilsands (10% threshold) and we have reduced the energy sector by half compared with the relevant index. 

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 (1) please specify:

          Engaged Tracking
        
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.

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.

Folksam Group has invested 25 billion SEK in green and social bonds. Since our fixed income base is mostly in Sweden and our government has set up strict climate targets we consider it to be climate resilient. According to our scenario analysis our equity portfolio is also climate resilient. Our real estate portfolio has set up climate targets and work in line with these. On our alternative side we have different kinds of investments and for example an investment in a forestry fund. 

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.

TCFD

14.5. Additional information [Optional]

Folksam has a index based investment approach.


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
          
        
          
        
          
        
Weighted average carbon intensity
          Monitoring/targets
        
          tons CO2/SEKM
        
          Weaknesses for all methodologies is the lack of relevant reporting from the companies.
        
Carbon footprint (scope 1 and 2)
          Monitoring
        
          According to TCFD recommendation
        
          Our data is from MSCI
        
Portfolio carbon footprint
          
        
          
        
          
        
Total carbon emissions
          Monitoring
        
          According to TCFD recommendation
        
          
        
Carbon intensity
          Monitoring
        
          According to TCFD recommendation
        
          
        
Exposure to carbon-related assets
          
        
          
        
          
        

14.7 CC. Describe in further detail the key targets.

Target type
Baseline year
Target year
Description
Attachments
          2019
        
          2019
        
          the new foreign equity portfolio had the target of 20 percent less CO2. We reached 30 percent. (weighted average)
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

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

We have started the process of integrating climate-related risks and opportunities into the risk management, with a focus on TCFD.

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

During the Swedish AGM season 2019 we asked the CEOs' about climate related risks and opportunites and encouraged the companies to adopt the recommendations.


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.

5.5 %

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

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

Brief description and measures of investment

Investment in Swedish grid and electricity operator Ellevio which invests in new smart grids. Also investment of 200 million SEK during 2019 in the Swedish company Northvolt which manufactures green lithium-ion batteries. 

Asset class invested

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

Brief description and measures of investment

On the Fixed Income side we have not yet been able to aggregate the level of investments in green buildings due to limited reporting, however we have serveral investmens in green bonds with the purpose of development of green real estate or green buildings. 

Asset class invested

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

Brief description and measures of investment

Forestry fund

Asset class invested

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

Brief description and measures of investment

Folksam has invested in bonds issued by the World Bank to highlight the UN Sustainable Development Goals and education is included in the development programs supported by the World bank. 

https://nyhetsrum.folksam.se/en/2018/02/12/the-folksam-group-invests-usd-350-million-in-world-bank-bonds/

https://www.worldbank.org/en/news/press-release/2018/10/11/folksam-group-partners-with-world-bank-to-reach-green-bond-investment-target

Asset class invested

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

Brief description and measures of investment

Folksam invested in a social bond from the World bank focused on food waste. 

https://youtu.be/JDOgmouWVxQ 

https://nyhetsrum.folksam.se/sv/2019/03/20/folksamgruppen-investerar-28-miljarder-i-obligation-for-att-minska-matsvinn/

 

Asset class invested

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

Brief description and measures of investment

Folksam invested 400 million SEK in a blue bond in 2019. 

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



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