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Skandia

PRI reporting framework 2020

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ESG incorporation in actively managed fixed income

Implementation processes

FI 01. Incorporation strategies applied

Indicate (1) Which ESG incorporation strategy and/or combination of strategies you apply to your actively managed fixed income investments; and (2) The proportion (+/- 5%) of your total actively managed fixed income investments each strategy applies to.
SSA
0 Screening alone
0 Thematic alone
0 Integration alone
100 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%
Corporate (financial)
0 Screening alone
0 Thematic alone
0 Integration alone
100 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%
Corporate (non-financial)
0 Screening alone
0 Thematic alone
0 Integration alone
100 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%
Securitised
0 Screening alone
0 Thematic alone
0 Integration alone
100 Screening + integration strategies
0 Thematic + integration strategies
0 Screening + thematic strategies
0 All three strategies combined
0 No incorporation strategies applied
100%

01.2. Describe your reasons for choosing a particular ESG incorporation strategy and how combinations of strategies are used.

Skandia's ambition is to apply its ownership policy on all portfolio assets. When investing in corporate bonds and credits assessing sustainability issues is an integrated part of the standard credit analysis. Regarding SSA, all green/social bonds are analysed. Skandia only invests in sovereign bonds issued by countries in developed markets which we assess as having good governance, at the moment we are only invested Swedish  sovereign bonds. An exclusion list applies as a minmium threshold. Covered bonds are assessed as having low ESG related risks. Screening based on Skandia's exclusion criteria is made on all portfolios biannually.

01.3. Additional information [Optional].


FI 02. ESG issues and issuer research (Private)


FI 03. Processes to ensure analysis is robust

03.1. Indicate how you ensure that your ESG research process is robust:

03.2. Describe how your ESG information or analysis is shared among your investment team.

03.3. Additional information. [Optional]


(A) Implementation: Screening

FI 04. Types of screening applied

04.1. Indicate the type of screening you conduct.

Select all that apply
SSA
Corporate (financial)
Corporate (non-financial)
Securitised
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

04.2. Describe your approach to screening for internally managed active fixed income

Screening is done regurlarly according to the Skandia ownership policy by external service providers. Exclusions apply to companies involved in controversial weapons, tobacco production, cannabis, thermal coal and severe cases of norms violations. The screening result is continously discussed with the PM team. The country list for sovereign bonds is updated on an annual basis.

04.3. Additional information. [Optional]


FI 05. Examples of ESG factors in screening process (Private)


FI 06. Screening - ensuring criteria are met

06.1. Indicate which systems your organisation has to ensure that fund screening criteria are not breached in fixed income investments.

Type of screening
Checks
Negative/exclusionary screening
Norms-based screening

06.2. Additional information. [Optional]


(C) Implementation: Integration

FI 10. Integration overview

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

Skandia expects the companies that we invest in to manage both risks and opportunities associated with ESG aspects in order to deliver long term returns. Risks and opportunties are therefore analysed and can affect investment decisions when considered material.

 

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

SSA

As regards sovereign bonds, Skandia does not invest in bonds issued from countries that are subject to UN or EU sanctions or countries that do not respect fundamental human rights. We only invest in soveriegn bonds issued from countries that we assess having good governance. 

We analyse all green and/or social bonds, for example issued by the Worldbank, and invests when we consider the bond to be attractive both in terms of ESG and financially. 

 

Corporate (financial)

Skandia expects the companies that we invest in to manage both risks and opportunities associated with ESG aspects in order to deliver long term returns. Skandia has an internal databse where companies are rated both on ESG conduct and product. The rating is based on both external input and Skandia's internal ESG research. The database is accessible for all portfolio managers.  

Skandia expects the companies that we invest in to comply with UN Global Compact principles. All holdings are screened regurlarly for norms based violations. Based on the screening result, as well as the severity of the breach and ownership share, we initiate an engagement. In case a company isn't able to demonstrate a credible action plan, the company might ultimately be subject for exclusion. In addition, Skandia does not invest in companies that produce tobacco, cannabis or produce and/or develop controversial weapons nor involved in thermal coal extraction.

Corporate (non-financial)

Skandia expects the companies that we invest in to manage both risks and opportunities associated with ESG aspects in order to deliver long term returns. Skandia has an internal databse where companies are rated both on ESG conduct and product. The rating is based on both external input and Skandia's internal ESG research. The database is accessible for all portfolio managers.  

Skandia expects the companies that we invest in to comply with UN Global Compact principles. All holdings are screened regurlarly for norms based violations. Based on the screening result, as well as the severity of the breach and ownership share, we initiate an engagement. In case a company isn't able to demonstrate a credible action plan, the company might ultimately be subject for exclusion. In addition, Skandia does not invest in companies that produce tobacco, cannabis or produce and/or develop controversial weapons nor involved in thermal coal extraction.

Securitised

We invest in covered bonds. We assess the ESG related risks of covered bonds to be relatively small, but are constantly monitoring the area. We analyse all green and/or social bonds and invests when we consider the bond to be attractive both in terms of ESG and financially. 

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
SSA
Corporate (financial)
Corporate (non-financial)
Securitised
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
SSA

Environmental

Social

Governance

Corporate (financial)

Environmental

Social

Governance

Corporate (non-financial)

Environmental

Social

Governance

Securitised

Environmental

Social

Governance

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

SSA

ESG factors are considered in the due diligence and monitoring process of investments. 

Corporate (financial)

ESG factors are considered in the due diligence and monitoring process of investments. 

Corporate (non-financial)

ESG factors are considered in the due diligence and monitoring process of investments. 

Securitised

ESG factors are considered in the due diligence and monitoring process of investments. 

12.3. Additional information.[OPTIONAL]


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