Carbon report SEB Hållbarhetsfond Sverige Report created on: February 26, 2018 The carbon footprint provides a historic snapshot of the emissions from the companies that make up the fund s equity portfolio. The calculations are not comprehensive and do not include indirect emissions. The metric says nothing about how the portfolio contributes to a low-carbon society. For further information about the metric, see www.sebgroup.com.
Contents Executive Summary 3 Sector weighthing and relative carbon footprint 4 Relative Carbon Footprint Comparison 4 Sector Analysis & Stock selection 4 Attribution Analysis 5 Summary of 10 largest absolute contributors 6 Summary of 10 largest portfolio companies 6 Scope 3 overview 7 Company sector & breakdown 8-9 Carbon Barometer & Carbon Ranking 10 Carbon Report - SEB Hållbarhetsfond Sverige 2
Carbon Report SEB Hållbarhetsfond Sverige Report created on: Feb 26, 2018 Holdings Date: Dec 31, 2017 : SIX Return_Index Currency: SEK Industry Classification: GICS Company Breakdown Metrics: carbon intensity (tco2e / Mio. revenue) Value: 1'815'905'997.00 SEK Fund Management Company: SEB Investment Management AB Executive Summary Carbon emissions Scope 1-2 Total carbon emissions incl. Scope 3 Relative Carbon Footprint (kgco2e / SEK 1'000 invested) Carbon Intensity (kgco2e / SEK 1'000 revenue) Weighted Average Carbon Intensity (kgco2e / SEK 1'000 revenue) Disclosing Titles by Weight (market value) 4'969.4 13'476.0 2.5 5.0 3.5 73.2% 92.2% 8'829.0 28'110.9 4.6 8.2 5.8 33.1% 95.3% Total carbon emissions - measure the carbon footprint of a portfolio considering Scope 1-2 as well as Scope 3 emissions. *) - SEB Hållbarhetsfond Sverige is associated with greenhouse gas emissions of 4'969.4 tons per year. Relative carbon footprint - is a normalized measure of the portfolio's contribution. - It enables comparisons with a benchmark between multiple portfolios, over time and regardless of portfolio size. Carbon intensity - allows investors to measure how much carbon emissions per SEK of revenue are generated. - It therefore measures the carbon efficiency of a portfolio per unit of output. This report analyses the portfolio of securities in terms of the carbon emissions and other carbon related characteristics of the underlying portfolio companies, and compares this data to the performance of a relevant respectively chosen market benchmark. The portfolio s intensity is 39.0% lower than the benchmark. 120.0 100.0 100.0 100.0 80.0 60.0 61.0 56.3 40.0 20.0 The Sectors Materials, Industrials and Consumer Staples (per GICS classification) in the portfolio make up 50.2% of the weight vs. 91.2% of the contribution to emissions. 49.8% Sector Weight 5.7% 43.0% 25.1% Contribution to 8.5% 8.8% 57.5% Materials Industrials Consumer Staples All other Sectors 0.0 Carbon Intensity Carbon 1.4% 5 smallest contributors to the emissions of the fund are: emissions % of total Relative carbon footprint (kg CO2e / SEK 1'000 Invested) Investor B 0.0 0.0% 0.0 Nordax Group 0.2 0.0% 0.1 Swedbank A 1.2 0.0% 0.0 Hufvudstaden A 1.2 0.0% 0.0 Loomis B 1.6 0.0% 0.0 5 largest contributors to the emissions of the fund are: emissions % of total Relative carbon footprint (kg CO2e / SEK 1'000 Invested) Stora Enso R (SEK) 1'785.4 39.0% 33.5 Boliden 442.7 9.7% 13.2 SCA B 398.2 8.7% 49.5 Scandi Standard 358.6 7.8% 31.2 ABB (SEK) 259.3 5.7% 3.0 *) Scope 1 emissions are directly generated by company's operations, whereas indirect Scope 2 emissions are related to the company's energy consumption. Scope 3 emissions include other indirect emissions including e.g. business travel, use of company's products sold, investments, and goods and services purchased. Carbon Report - SEB Hållbarhetsfond Sverige 3
Sector weighting and relative carbon footprint Weight Rel. Carbon Footprint tco2e / Mio SEK invested vs. Materials 5.74% 4.36% 23.3 50.8-54.09% Industrials 43.04% 30.60% 1.4 3.8-64.60% Consumer Staples 1.42% 3.21% 13.9 3.8 266.18% Consumer Discretionary 5.39% 11.18% 1.4 2.9-51.84% Telecommunication Services 3.22% 4.26% 1.8 2.7-31.81% Health Care 7.90% 4.31% 0.6 1.1-45.74% Information Technology 1.07% 6.34% 1.2 0.7 73.29% Financials 21.39% 25.97% 0.0 0.6-95.19% Others 3.04% 4.05% 0.1 1.9-92.90% Relative Carbon Footprint Comparison 60.0 50.0 40.0 30.0 20.0 10.0 0.0 Materials Industrials Consumer Staples Consumer Discretionary Telecommunication Services Health Care Information Technology Financials Others Sector Analysis & Stock Selection The graph below shows how the carbon allocation in the portfolio differs from the average of each sector. Sectors have been defined using the GICS classification at the Supersector/Industry Group level. 40% 30% 20% 10% 0% Building Products Construction & Engineering Construction Machinery & Heavy Trucks Diversified Metals & Mining Diversified Support Services Electrical Components & Equipment Forest Products Household Appliances Industrial Machinery Integrated Telecommunication Services Multi-Sector Holdings Packaged Foods & Meats Paper Products Specialty Chemicals Trading Companies & Distributors GICS Sub-Industry, Average GICS Sub-Industry 4
Attribution Analysis The two principal reasons why the carbon exposure of the portfolio may differ from the benchmark are due to sector allocation as well as stock selection decisions. Sector allocation decision will cause the carbon intensity of the portfolio to diverge from the benchmark where the sectors are either carbon intensive or low carbon. If the portfolio is overweight in carbon intensive sectors the portfolio is likely to be more carbon intensive than the benchmark. However, if the stocks within a carbon intensive sector are the most carbon efficient companies, it is possible that the portfolio may still have a lower carbon footprint than the benchmark. Sector Allocation Sector Selection Sector Allocation Contribution to Out/ Underperformance Sector Allocation Contribution to Out/ Underperformance (%) Stock Selection Contribution to Out/ Underperformance Stock Selection Contribution to Out/ Underperformance (%) Energy -2.8-0.2% -2.8-0.2% Materials 73.3 6.3% -71.6-6.2% Industrials 341.8 29.5% -352.9-30.4% Consumer Discretionary -38.7-3.3% -58.1-5.0% Consumer Staples -4.5-0.4% 6.0 0.5% Health Care 3.8 0.3% 0.3 0.0% Financials -13.1-1.1% -84.7-7.3% Information Technology -4.9-0.4% -4.1-0.4% Telecommunication Services -2.3-0.2% -4.6-0.4% Utilities -0.0-0.0% -0.0-0.0% Others -1.5-0.1% -6.3-0.5% Total 351.1 30.3% -578.8-49.9% Explanation: The Outperformance of the portfolio is based on the effect of over/underweighting certain sectors and selecting more/less carbon intense stocks within each sector for each of the underlying holdings. A positive number indicates that the effect increased the greenhouse gas emission (in tons of CO2e) and a negative number indicated a decreasing effect. In this case, the sector weighting of SEB Hållbarhetsfond Sverige harmed 351.1 tco2e, while the stock selection saved 578.8 tco2e versus the benchmark. This explains a 30.3% underperformance through sector weighting and 49.9% carbon outperformance by stock picking. Interaction Effect: -138.7-12.0% Total 4'969.4 8'829.0 Carbon Outperformance 366.4 Carbon Outperformance (%) 31.6 Attribution Analysis - Graph 40% 20% 0% -20% -40% Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecommunication Services Utilities Others Sector Stock Total 5
Summary of 10 largest absolute contributors The tables below show the 10 largest greenhouse gas contributors and the 10 largest holdings respectively of the SEB Hållbarhetsfond Sverige. Carbon Data section explains your, i.e. the amount of greenhouse gases that the portfolio finances from the company s overall emissions, relative to company ownership. You can further see what % of the overall portfolio GHG emissions each company accounts for and if the company s GHG emission number was disclosed by the company or approximated. In the Analysis section, the emissions are stated and the Average Sector allow a comparison of the greenhouse gas intensity of a company against its respective sector, i.e. the amount of GHG emissions that an investment of the same size would have financed, would it have been invested in the overall sector rather than the specific company. The effect on the portfolio can be found under Contribution: This is a measurement of how much a specific holding raises or reduces the carbon footprint of the portfolio. Company GICS Sub-Industry % of total Weight Carbon Data Analysis carbon intensity (tco2e / Mio. revenue) Av. Sector Contribution Stora Enso R (SEK) Paper Products 2.7% 0.2% 39.0% 38.9 1'785.4 115.2 5'835.2-1'688.99 Boliden Diversified Metals & Mining 1.7% 1.1% 9.7% 26.6 442.7 287.0 3'797.8-357.25 SCA B Forest Products 0.4% 0.9% 8.7% 26.9 398.2 835.3 248.9-377.89 Scandi Standard ABB (SEK) Volvo B Packaged Foods & Meats Electrical Components & Equipment Construction Machinery & Heavy Trucks 0.6% 0.1% 7.8% 17.4 358.6 37.2 101.8-329.22 4.4% 1.8% 5.7% 5.0 259.3 102.9 354.9-25.30 7.4% 4.8% 3.5% 1.2 158.1 100.7 2'079.0 259.36 SKF B Industrial Machinery 1.1% 1.2% 3.1% 7.8 142.0 152.6 106.5-82.99 Trelleborg B Industrial Machinery 2.2% 0.8% 3.0% 5.7 135.7 45.8 210.3-17.54 Husqvarna B Household Appliances 1.9% 0.7% 2.7% 4.3 123.7 41.3 183.6-19.35 Telia Company Integrated Telecommunication Services 3.2% 2.4% 2.5% 3.7 116.3 82.5 347.6 59.16 Summary of 10 largest portfolio companies Company GICS Sub-Industry % of total Volvo B Construction Machinery & Heavy Trucks Weight Carbon Data Analysis carbon intensity (tco2e / Mio. revenue) Av. Sector Contribution 7.4% 4.8% 3.5% 1.2 158.1 100.7 2'079.0 259.36 Swedbank A Diversified Banks 7.2% 3.3% 0.0% 0.0 1.2 0.5 96.6 418.99 Atlas Copco A Industrial Machinery 6.1% 6.5% 1.0% 1.3 46.5 48.1 580.7 300.55 Investor B Multi-Sector Holdings 5.4% 4.3% 0.0% 0.0 0.0 0.0 443.3 310.81 SEB A Diversified Banks 5.4% 3.2% 0.1% 0.1 2.8 1.6 72.1 304.18 ABB (SEK) Electrical Components & Equipment 4.4% 1.8% 5.7% 5.0 259.3 102.9 354.9-25.30 Nordea Diversified Banks 3.3% 6.0% 0.2% 0.4 8.4 14.7 44.3 175.56 Telia Company Integrated Telecommunication Services F B Research & Consulting Services 3.2% 2.4% 2.5% 3.7 116.3 82.5 347.6 59.16 2.9% 0.2% 0.3% 0.2 11.7 0.8 85.7 149.09 Astrazeneca SEK Pharmaceuticals 2.9% 1.1% 1.1% 3.2 49.7 18.6 81.8 108.99 6
Scope 3 Overview The following section provides a top-down approximation of the financed scope 3 emissions from each sector. The purpose of this analysis is to give an order of magnitude of the emissions in the portfolio on a sector level and should not be used as a basis for comparing two individual companies. All emissions are in tco2e metrics. The following graph shows the financed Scope 1+2 emissions in relation to the Scope 3 emissions of the portfolio. 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials InformationTelecommunication Utilities Technology Services Scope 3 Scope 1&2 0 0 3'378 2'860 2'868 1'248 772 163 971 422 196 99 47 14 61 28 223 126 0 0 The graph below compares the total emissions (including Scope 1, Scope 2 and Scope 3) between portfolio and benchmark. 30000 25000 20000 15000 10000 5000 0 Scope 3 Scope 1&2 8'516 4'960 19'439 8'672 *) The methodology includes Scope 1, 2 and Scope 3 upstream and product use downstream. 7
Company Sector & Breakdown This table presents all holdings in the portfolio, sorted by sector, following the logic from the sections above. It shows how each company contributes to the overall portfolio footprint. It allows you to see which stocks are the greatest contributors to the portfolio s emission in absolute as well as relative terms. The -/+ signs on the far right indicate if a specific holding raises or reduces the carbon footprint of the portfolio. This helps with portfolio optimization and in managing the overall carbon portfolio footprint without comprising the chosen sector allocation. Weight Carbon Data Analysis Company % of total carbon intensity (tco2e / Mio. revenue) Av. Sector Contribution Specialty Chemicals 0.9% 0.4% 0.2% 1.6 10.9 4.9 723.0 39.0 + Hexpol 0.9% 0.4% 0.2% 1.6 10.9 4.9 723.0 39.0 Diversified Metals & Mining 1.7% 1.1% 9.7% 26.6 442.7 287.0 3'797.8-357.2 - Boliden 1.7% 1.1% 9.7% 26.6 442.7 287.0 3'797.8-357.2 Forest Products 0.4% 0.9% 8.7% 26.9 398.2 846.8 248.9-377.9 - SCA B 0.4% 0.9% 8.7% 26.9 398.2 835.3 248.9-377.9 Paper Products 2.7% 0.8% 39.0% 38.9 1'785.4 203.5 5'835.2-1'689.0 - Stora Enso R (SEK) 2.7% 0.2% 39.0% 38.9 1'785.4 115.2 5'835.2-1'689.0 Building Products 2.9% 3.7% 0.9% 1.7 42.0 112.4 1'543.8 118.5 + Assa Abloy B 1.0% 2.8% 0.6% 3.6 27.1 74.9 524.6 26.5 NIBE INDUSTRIER B 1.9% 0.6% 0.3% 0.9 14.9 4.4 1'019.3 90.4 Construction & Engineering 1.8% 2.1% 0.2% 0.4 9.2 252.1 649.2 88.7 + Sweco B 1.8% 0.3% 0.2% 0.4 9.2 1.6 649.2 88.7 Electrical Components & Equipment 4.4% 2.0% 5.7% 5.0 259.3 110.1 354.9-25.3 - ABB (SEK) 4.4% 1.8% 5.7% 5.0 259.3 102.9 354.9-25.3 Construction Machinery & Heavy Trucks 7.4% 5.0% 3.5% 1.2 158.1 114.0 2'079.0 259.4 + Volvo B 7.4% 4.8% 3.5% 1.2 158.1 100.7 2'079.0 259.4 Industrial Machinery 13.0% 12.9% 9.1% 3.8 418.0 386.6 1'242.8 328.8 + SKF B 1.1% 1.2% 3.1% 7.8 142.0 152.6 106.5-83.0 Trelleborg B 2.2% 0.8% 3.0% 5.7 135.7 45.8 210.3-17.5 Beijer Alma 1.2% 0.1% 0.2% 0.9 9.4 0.9 111.6 54.1 Sandvik 1.7% 2.7% 1.6% 5.0 71.8 108.4 164.7 21.4 Alfa Laval 0.7% 1.2% 0.3% 2.2 12.6 20.5 69.1 26.5 Atlas Copco A 6.1% 6.5% 1.0% 1.3 46.5 48.1 580.7 300.5 Trading Companies & Distributors 3.8% 1.3% 3.3% 3.0 152.0 166.2 1'013.1 54.7 + Indutrade 1.3% 0.4% 1.2% 4.7 55.0 16.3 350.5 15.9 AddTech 2.5% 0.2% 2.1% 2.5 96.9 6.9 662.6 37.8 Diversified Support Services 4.3% 0.9% 2.2% 2.1 99.2 18.5 1'581.8 141.1 + Intrum Justitia 2.9% 0.6% 0.4% 2.5 19.8 4.0 1'045.4 138.9 Bravida Holding 1.5% 0.2% 1.7% 2.0 79.3 8.7 536.4-0.1 Security & Alarm Services 2.6% 1.2% 0.0% 0.0 1.6 42.6 155.0 142.2 + Loomis B 2.6% 0.4% 0.0% 0.0 1.6 0.2 155.0 142.2 Research & Consulting Services 2.9% 0.2% 0.3% 0.2 11.7 3.5 85.7 149.1 + F B 2.9% 0.2% 0.3% 0.2 11.7 0.8 85.7 149.1 Household Appliances 1.9% 1.9% 2.7% 4.3 123.7 183.4 183.6-19.4 - Husqvarna B 1.9% 0.7% 2.7% 4.3 123.7 41.3 183.6-19.4 Leisure Products 2.0% 0.3% 0.4% 1.1 17.4 3.7 149.4 91.2 + Thule Group 2.0% 0.3% 0.4% 1.1 17.4 2.4 149.4 91.2 Apparel Retail 1.5% 4.2% 0.2% 0.4 9.6 29.8 61.3 70.8 + Hennes & Mauritz B 1.5% 4.2% 0.2% 0.4 9.6 26.3 61.3 70.8 Packaged Foods & Meats 0.6% 0.6% 7.8% 17.4 358.6 118.4 101.8-329.2 - Scandi Standard 0.6% 0.1% 7.8% 17.4 358.6 37.2 101.8-329.2 Personal Products 0.8% 0.3% 0.7% 2.4 30.9 10.5 32.4 14.4 + Oriflame Holding 0.8% 0.3% 0.7% 2.4 30.9 9.6 32.4 14.4 Health Care Distributors 1.8% 0.4% 0.1% 0.4 6.7 1.4 28.9 90.3 + Lifco 1.8% 0.4% 0.1% 0.4 6.7 1.4 28.9 90.3 8
Weight Carbon Data Analysis Company % of total carbon intensity (tco2e / Mio. revenue) Av. Sector Contribution Health Care Facilities 0.4% 0.1% 0.2% 0.6 7.8 17.2 25.7 11.6 + HUMANA 0.4% 0.0% 0.2% 0.6 7.8 0.9 25.7 11.6 Biotechnology 1.9% 1.1% 0.2% 1.8 10.7 6.4 14.3 91.2 + Swedish Orphan Biovitrum 1.9% 0.5% 0.2% 1.8 10.7 2.6 14.3 91.2 Pharmaceuticals 2.9% 1.3% 1.1% 3.2 49.7 34.0 81.8 109.0 + Astrazeneca SEK 2.9% 1.1% 1.1% 3.2 49.7 18.6 81.8 109.0 Life Sciences Tools & Services 1.0% 0.2% 0.4% 1.1 16.5 1.6 34.2 39.7 + Addlife 1.0% 0.1% 0.4% 1.1 16.5 1.0 34.2 39.7 Diversified Banks 16.0% 16.0% 0.3% 0.1 12.6 19.4 214.5 1'025.2 + SEB A 5.4% 3.2% 0.1% 0.1 2.8 1.6 72.1 304.2 Swedbank A 7.2% 3.3% 0.0% 0.0 1.2 0.5 96.6 419.0 Nordea 3.3% 6.0% 0.2% 0.4 8.4 14.7 44.3 175.6 Nordax Group 0.1% 0.1% 0.0% 0.4 0.2 0.2 1.5 5.6 Multi-Sector Holdings 5.4% 9.0% 0.0% 0.0 0.0 283.9 443.3 310.8 + Investor B 5.4% 4.3% 0.0% 0.0 0.0 0.0 443.3 310.8 Technology Distributors 1.1% 0.1% 0.6% 2.2 25.7 2.0 68.5 32.5 + Lagercrantz B 1.1% 0.1% 0.6% 2.2 25.7 1.9 68.5 32.5 Integrated Telecommunication Services 3.2% 2.4% 2.5% 3.7 116.3 82.5 347.6 59.2 + Telia Company 3.2% 2.4% 2.5% 3.7 116.3 82.5 347.6 59.2 Others 3.0% 4.0% 0.2% 1.6 8.3 150.0 0.0 160.7 + Hufvudstaden A 1.4% 0.4% 0.0% 0.7 1.2 0.3 0.0 77.5 Castellum 1.6% 0.6% 0.2% 2.0 7.0 2.4 0.0 80.5 Total portfolio 92.2% 95.3% 100.0% 5.0 4'582.5 8'414.4 0.0 Note that the weighting for the benchmark will not always total 100% as the stocks shown are only for those held by the portfolio. 9
Carbon Ranking This is a standardized ranking of the fund based on the productís weighted average carbon intensity using two peergroups. One consisting of all other funds in the database (global percentile) and one where the fund is ranked taking the specific Lipper Global Classification into account (peer percentile). The ranking is based on percentiles and ranges from 0 (worst) to 100 (best). Global Percentile 97 (n=4371) Peer Percentile 73 (Lipper Global Equity Sweden, n=51) The carbon footprint provides a historic snapshot of the emissions from the companies that make up the fund's equity portfolio. The calculations are not comprehensive and do not include indirect emissions. The metric says nothing about how the portfolio contributes a low-carbon society. For further information about the metric, see www.sebgroup.com. 10