The Climate Impact of the SEB ETHICAL SWEDEN Fund 15 October 2014

Dr. Maximilian Horster – Partner, South Pole Group

This report is solely for the use of client personnel. No part of it may be circulated, quoted, or reproduced for distribution outside the client organization without prior written approval from South

Pole Carbon Asset Management Ltd. This material was used by South Pole Carbon Asset Management Ltd during an oral presentation; it is not a complete record of the discussion.

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South Pole Group – Measuring and reducing impact About us

• 2006: Incorporation in Zurich /

Switzerland

• 2014: present on all continents

• 110 carbon pros from 22 countries

• 250+ projects in over twenty-five

countries

• Swiss Social Entrepreneur of the Year

• 2011 to 2014: Best Project Developer

• 1’000+ corporate and public clients

• Numerous health and education benefits

• 20’000 new jobs in developing countries

• 17’000 hectares of forest saved

Our impact for our clients

• 50 million+ tonnes of CO2 savings

• EUR 6bn renewable energy investments

• 35’000 Gwh renewable energy

1’000+ South Pole Group references:

Some Clients and Partners from the financial industry

4

• Investment Impact on the Agenda

• Application

• SEB Funds

5

Every Euro invested either

finances or reverses Climate

Change

Portfolio Decarbonisation Coalition (PDC)

Leading institutional

investors have joined

forces to substantially

reduce the carbon

footprint of US$100

billion of institutional

investment worldwide.

23. September 2014

at the UN Climate Summit 2014

Montreal Carbon Pledge

“We need to put the Montréal

Carbon Pledge on steroids”.

Christina Figueres, Executive Secretary of

UNFCCC, 26. September 2014

“US$ 3 trillion of portfolio transparency commitment in time for the

UN Climate Change Conference in Paris in December 2015”

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• Investment Impact on the Agenda

• The Business Case

• Application and SEB Funds

It makes financial sense:Climate Risks &

Opportunities of Investments

Source: CDP

• Climate Change effects and policies put your

investments at risk

• Your investees might be part of the problem or the

solution to Climate Change challenges

• Companies prepared for Climate Change effects

can outperform the market

10

• Investment Impact on the Agenda

• The Business Case

• Application and SEB Funds

Climate Impact Assessment & Action

Page 11

South Pole Group

measures the

climate impact of

SEB’s investments

SEB manages

investment climate

impact and reports to

stakeholders

Our Offering

13

SEB Ethical Sweden: Investment GHG Footprint

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Approach

• Climate Impact of SEK 475m invested in the

SEB ETHICAL SWEDEN Fund

• Investing the same amount of EUR managed also into the respective

benchmark SBX ETHICAL Sweden

• QUANTITATIVE approach

Source: South Pole

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SEB ETHICAL Sweden 20% climate friendlier than

benchmark

Financed annual Scope 1 & 2 greenhouse gas emissions of SEK 475m invested:

SEB ETHICAL SWEDEN Fund: 1’798 tCO2e

SBX ETHICAL Benchmark: 2’241 tCO2e

Difference: 20%

NB: The average Swedish person emitts 10.6 tCO2e/ year

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Sector Analysis

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Attribution Analysis

• Sector allocation helped with a climate outperformance of 6.3%.

• Stock picking contributed 16.5% to the portfolio’s climate outperformance

-66 -2.9%

-254 -11.3%

196 8.8%

-3 -0.1%

11 0.5%

-45 -2.0%

56 2.5%

-17 -0.7%

2 0.1%

-22 -1.0%

- 0.0%

-140 -6.3% -370

Interaction Effect: 68

Portfolio Carbon Outperformance (tCO2e)

Portfolio Carbon Outperformance (%)

-443

-19.8%

Sector Allocation

Contribution to

Out/

Underperformance

(tCO2e)

Sector Allocation

Contribution to Out/

Underperformance

(%)

0.0%

Stock selection Contribution

to Out/ Underperformance (

% )

4.8%

-24.9%

-0.8%

-1.6%

0.1%

-16.5%

3.0%

Stock Selection Contribution

to Out/ Underperformance

(tCO2e)

108

-557

-18

-35

3

-45

139

-2.0%

6.2%

0.2%

0.0%

1.4%

Energy

4

0

32

-

Industrials

Materials

Consumer Staples

Financials

Health Care

Consumer Discretionary

Information Technology

Utilities

Telecommunication Services

Cash/Others

Total

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The top ten ghg contributors to the SEB Ethical fund

Weight in

Portfolio

CO2e In

portfolio

(t)

% of Total Source

0.62% 339 19% Disclosed

2.11% 307 17% Disclosed

2.00% 277 15% Disclosed

5.79% 142 8% Disclosed

1.48% 113 6% Disclosed

1.16% 110 6% Disclosed

2.55% 76 4% Disclosed

2.51% 62 3% Disclosed

3.08% 57 3% Disclosed

8.96% 39 2% Disclosed

REZIDOR HOTEL GROUP AB

SVENSKA CELLULOSA AB-B SHS

SANDVIK AB

HENNES & MAURITZ AB-B SHS

Company

BILLERUD AKTIEBOLAG

ABB LTD-REG

NCC AB-A SHS

ICA GRUPPEN AB

SKF AB-B SHARES

AUTOLIV INC

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In terms of transparency, the Index performs slightly

better

SEB Ethical Benchmark

44%

22%

22%

12%

Sources of Emissions (Per Company)

CDP

CSR

Approx

Bloomberg

88%

6% 6%

Weighted Disclosure of Money Invested

Disclosed

Approximated

Non-Equity

57%16%

16%

11%

Sources of Emissions (Per Company)

CDP

CSR

Approx

Bloomberg

95%

3% 2%

Weighted Disclosure of Money Invested

Disclosed

Approximated

Non-Equity

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Holdings versus their sector

Company TickerEmissions (tCO2e)

/Revenue Millions

Quartile Relative to

Peers

(emissions/employ

ees)

BILLERUD AKTIEBOLAG BILL SS Equity 23.9 Q1

ABB LTD-REG ABBN VX Equity 6.0 Q4

ATLAS COPCO AB-A SHS ATCOA SS Equity 1.1 Q1

SANDVIK AB SAND SS Equity 5.2 Q3

SKF AB-B SHARES SKFB SS Equity 7.4 Q3

ALFA LAVAL AB ALFA SS Equity 2.4 Q1

SECURITAS AB-B SHS SECUB SS Equity 1.3 Q1

ASSA ABLOY AB-B ASSAB SS Equity 4.0 Q1

SKANSKA AB-B SHS SKAB SS Equity 3.2 Q1

NCC AB-A SHS NCCA SS Equity 4.2 Q3

SVENSKA CELLULOSA AB-B SHS SCAB SS Equity 36.0 Q4

AUTOLIV INC ALV US Equity 3.9 Q2

MEKONOMEN AB MEKO SS Equity 4.4 Q3

ORIFLAME COSMETICS SA-SDR ORI SS Equity 2.3 Q2

ASTRAZENECA PLC AZN LN Equity 3.2 Q3

ELEKTA AB-B SHS EKTAB SS Equity 0.6 Q1

MEDA AB-A SHS MEDAA SS Equity 1.6 Q1

SWEDISH ORPHAN BIOVITRUM AB SOBI SS Equity 3.9 Q3

MODERN TIMES GROUP-B SHS MTGB SS Equity 0.5 Q1

AXFOOD AB AXFO SS Equity 0.5 Q1

REZIDOR HOTEL GROUP AB REZT SS Equity 49.0 Q4

CDON GROUP CDON SS Equity 0.7 Q1

HENNES & MAURITZ AB-B SHS HMB SS Equity 2.7 Q2

TELE2 AB-B SHS TEL2B SS Equity 4.6 Q3

ETRION CORP ETX CN Equity 0.7 Q1

NORDEA BANK AB NDA SS Equity 0.4 Q2

SVENSKA HANDELSBANKEN-A SHS SHBA SS Equity 0.1 Q1

SKANDINAVISKA ENSKILDA BAN-A SEBA SS Equity 0.1 Q1

SWEDBANK AB - A SHARES SWEDA SS Equity 0.6 Q3

HUFVUDSTADEN AB-A SHS HUFVA SS Equity 3.4 Q1

JM AB JM SS Equity 0.6 Q1

ERICSSON LM-B SHS ERICB SS Equity 1.1 Q1

TIETO OYJ TIE1V FH Equity 1.4 Q2

MILLICOM INTL CELLULAR S.A. MIICF US Equity 4.6 Q1

INVESTOR AB-B SHS INVEB SS Equity 0.0 Q1

INTRUM JUSTITIA AB IJ SS Equity 4.5 Q4

ICA GRUPPEN AB ICA SS Equity 108.1 Q3

ARISE AB ARISE SS Equity 1.9 Q1

CAVOTEC SA CCC SS Equity 4.1 Q3

CONCENTRIC AB COIC SS Equity 5.8 Q3

RECIPHARM AB-B SHS RECIB SS Equity 4.4 Q1

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SEB Ethos Fund: Climate Impact Assessment

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Approach

• Climate Impact of part of the

SEB ETHOS Fund

• Investing the same amount of EUR managed also into the respective

benchmark SIX PX SWEDEN

• QUANTITATIVE vs QUALITATIVE approach

Source: South Pole

Title and Sector Analysis ETHOS

The SEK 2.9 billion invested in ETHOS account for annual

greenhouse gas emissions (Scope 1-2) of 17’980 tonnes of CO2e.

Investing the same amount in the SIX PX would amount 24’500

tonnes of CO2e.

Supply chain and product usage (Scope 3) adds about 4 times the

CO2e emissions.

Forward - looking Analysis

Board/ executive level

oversight of climate

change issues

Monetary incentives

related to climate

change targets

Climate Change

integrated into

business strategy

• Setting Climate Targets

• Progress towards Climate Targets

• Engagement with Supply Chain

• Reductions achieved

Other Indicators

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Risk/Opportunity Management (example)

Source: CDP

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Communicate

Engage on Transparency and Performance

Ticker Company Comment Source of comment

GB0006091408 A & J Mucklow Group Plc Decline to report to CDP CDP

GB00B6774699 Abcam Plc No publicly available GHG data South Pole

GB0000595859 ARM Holdings

Did not achieve emission reductions due to emission reduction

activities in 2012 CDP

GB0000536739 Ashtead Group Poor reporting South Pole

GB0000536739 Ashtead Group Weak reporting of risks and opportunities CDP

GB0000536739 Ashtead Group

Did not demonstrate that climate change issues are integrated into

the overall business strategy CDP

GB0000536739 Ashtead Group

Did not achieve emission reductions due to emission reduction

activities in 2013 CDP

GB0000536739 Ashtead Group Does not report any emission reduction target CDP

LU0552383324 Az Electronic Materials S.A. Decline to report to CDP CDP

LU0552383324 Az Electronic Materials S.A. No publicly available GHG data South Pole

GB00B02L3W35 Berkeley Group

Did not achieve emission reductions due to emission reduction

activities in 2014 CDP

AU000000BHP4 BHP Billiton

Did not achieve emission reductions due to emission reduction

activities in 2015 CDP

AU000000BHP4 BHP Billiton Does not report any emission reduction target CDP

GB0007980591 BP Does not report any emission reduction target CDP

GB00B1P6ZR11 Brown (N) Group Plc Poor reporting South Pole

GB00B0744B38 Bunzl Plc Poor reporting South Pole

GB0031743007 Burberry Group

Did not demonstrate that climate change issues are integrated into

the overall business strategy CDP

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Establish low carbon investment guidelines

• Offset GHG emissions with high quality emission

reduction project in a country the portfolio is

invested in.

• GHG emissions are being reduced locally. Local

population experiences important social and

health improvements.

• Offsetting SEB ETHOS costs 6.8 basis points,

SEB ETHICAL SWEDEN costs 3.8 basis points.

Price in Externalities

Offsetting Costs of Selected Benchmarks

Index Country Offsetting in BPS

MSCI UK ALL

CAP UK 25.3

FTSE ALL

WORLD GLOBAL 33.3

STOXX 50 EUROPE 56.9

SMI SWITZERLAND 11

SIX PX SWEDEN 9.4

Many thanks!

Maximilian Horster m.horster@southpolecarbon.com

Nicole Neghaiwi n.neghaiwi@southpolecarbon.com

+41 43 501 35 50