DORVAL CONVICTIONS...DORVAL CONVICTIONS CLIMATE IMPACT ASSESSMENT 31st of December 2019 Public...

DORVAL CONVICTIONS CLIMATE IMPACT ASSESSMENT 31st of December 2019

Public limited company with share capital of €303,025 Paris Trade and Companies Register No. B 391 392 768 – APE 6630 Z – AMF accreditation No. GP 93-08

© 2020 Institutional Shareholder Services 1 of 10

Dorval ConvictionsClimate Impact Assessment

DATE OF HOLDINGS31 DEC 2019

AMOUNT INVESTED214,365,213 EUR

PORTFOLIO TYPEEQUITY

COVERAGE100%

BENCHMARK USEDEurostoxx 50 DNR

Portfolio Overview

DisclosureNumber/Weight

Emission ExposuretCO₂e

Relative Emission ExposuretCO₂e/Mio EUR Revenue

Climate PerformanceWeighted Avg

Share of Disclosing Holdings Scope 1 & 2 Incl. Scope 3 Relative Carbon Footprint

Carbon Intensity

Weighted Avg Carbon Intensity Carbon Risk Rating

Portfolio 95.2% / 7�.2% ��,221 1��,�0� 31� 327 270 35

Benchmark 100% / 100% 31,�51 127,3�5 149 1�9 274 44

Net Performance -4.� p.p. / -21.� p.p. -114.2% -4�.2% -114.2% -73.1% 1.5% —

Emission Exposure Analysis

Emissions Exposure (tCO₂e)

Portfolio Benchmark0

50,000

100,000

150,000

Scope 1 Scope 2 Scope 3

Sector Contributions to Emissions

Energy 5%

Industrials 2%

Materials 5%

Utilities 89%

1 Note: Carbon Risk Rating data is current as of the date of report generation.2 Emissions contributions for all other portfolio sectors is less than 1% for each sector.

OVERVIEW

Carbon Metrics 1 of 3

1

2


Climate Impact Assessment

Dorval Convictions

Emission Exposure Analysis (continued)

Top 10 Contributors to Portfolio Emissions

Issuer Name Contribution to Portfolio Emission Exposure (%) Portfolio Weight (%) Emissions Reporting Quality Carbon Risk Rating

Veolia Environnement SA 39.01% 4.70% Strong Outperformer

ENGIE SA 27.03% 4.32% Moderate Outperformer

ENEL SpA 19.22% 4.5�% Strong Outperformer

CGG 1.91% 2.94% Strong Laggard

Total SA 1.59% 1.4�% Strong Medium Performer

Linde Plc 1.54% 1.19% Strong Medium Performer

CRH plc 1.53% 0.3�% Strong Medium Performer

Eni SpA 1.0�% 0.3�% Strong Medium Performer

Osram Licht AG 1.0�% 5.1�% Strong Medium Performer

Iberdrola SA 0.97% 0.��% Strong Outperformer

Total for Top 10 94.93% 25.74%

Emission Attribution Analysis

Emission Attribution Analysis examines the extent to which higher or lower GHG exposure between the portfolio and the benchmark can be attributedto sector allocation versus issuer selection. A portfolio with a larger amount of assets allocated to an emissions-intense sector will ultimately havehigher GHG emissions exposure. However, this can be offset by the selection of less emissions-intense issuers from that sector. This analysis relatesto the carbon footprint of the portfolio, specifically the Emissions Scope 1 & 2 (tCO₂e) and Relative Carbon Footprint (tCO₂e/Mio Invested) metrics.

The subsequent table identifies the most emissions-intense issuers in the analysis, the comparative weight for each issuer between the portfolio andbenchmark, as well as the sector allocation and issuer selection effects. A positive (green) number represents less greenhouse gas exposure for theissuer in the portfolio relative to the benchmark.

Top Sectors to Emission Attribution Exposure vs.Benchmark

Sector Portfolio Weight

Benchmark Weight Difference Sector Allocation Effect Issuer Selection Effect

Communication Services �.9�% 4.72% 2.24%

Consumer Discretionary 7.��% 14.15% -�.47%

Consumer Staples 3.21% 10.13% -�.91%

Energy 4.79% �.29% -1.51%

Financials 5.1�% 17.5�% -12.37%

Health Care 2.5�% �.51% -5.93%

Industrials 15.3�% 13.29% 2.09%

Information Technology 31.92% 10.94% 20.9�%

Materials 2.�7% 9.3�% -�.49%

Real Estate 5.1�% 0% 5.1�%

Utilities 14.24% 5.05% 9.2%

Cumulative Higher (-) and Lower (+) Emission Exposure vs. Benchmark

Higher (-) / Lower (+) Net Emission Exposure vs. Benchmark


-0.44% -0.18%

0.76% -0.37%

1.44% -0.07%

4.66% 5.04%

0.27% 0%

1.25% 0.01%

-0.43% -0.71%

-0.45% -0.58%

22.47% -0.24%

0% -0.21%

-69.78% -76.64%

-40.24% -73.94%

-114%



Dorval Convictions

Emission Attribution Analysis (continued)

Highest Emission-Intense Issuers in Combined Portfolio & Benchmark Universe

Issuer Name Sector Emission Exposure Scope 1 & 2 (tCO₂e) Carbon Risk Rating Portfolio Under (-) / Overexposure (+)

1. Veolia Environnement SA Utilities 2,�41.24 Outperformer

2. ENGIE SA Utilities 1,992.91 Outperformer

3. CRH plc Materials 1,353.19 Medium Performer

4. ENEL SpA Utilities 1,341.19 Outperformer

5. Eni SpA Energy ��2.9� Medium Performer

6. Air Liquide SA Materials 4�7.�1 Outperformer

7. Iberdrola SA Utilities 4�4.49 Outperformer

8. Linde Plc Materials 413.59 Medium Performer

9. Total SA Energy 345.77 Medium Performer

10. BASF SE Materials 342.91 Medium Performer

11. CGG Energy 20�.3 Laggard

12. Deutsche Post AG Industrials 15�.35 Medium Performer

13. Royal Ahold Delhaize NV Consumer Staples 145.2� Medium Performer

14. Volkswagen AG Consumer Discretionary 95.57 Medium Performer

15. DEUTZ AG Industrials �2.�4 -

Greenhouse Gas Emission Intensity

Weighted Avg Greenhouse Gas Intensity Sector ContributiontCO₂e/ Mio EUR Revenue

Benchmark

Portfolio

0 50 100 150 200 250

Communication Services Consumer DiscretionaryConsumer Staples EnergyFinancials Health CareIndustrials Information TechnologyMaterials Real EstateUtilities

Top 10 Emission Intense Companies (tCO₂e Scope 1 & 2/Revenue Millions)

Issuer Name Emission Intensity Peer Group Avg Intensity

1. Linde Plc 3,325.74 1,379.91

2. CRH plc 1,421.29 7,395.�9

3. Veolia Environnement SA 1,340.2� 1,000.�9

4. Air Liquide SA 1,323.2� 1,379.91

5. ENEL SpA 1,317.94 5,43�.��

6. ENGIE SA 1,141.�� 1,754.44

7. Iberdrola SA 773.09 5,43�.��

8. Eni SpA 5�0.3� 979.13

9. CGG 41�.99 193.44

10. BASF SE 33�.34 471.30

4.7%

3.31%

-0.69%

2.5%

-0.95%

-1.57%

-1.31%

-2.62%

-3.5%

-1.62%

2.94%

-0.87%

-0.54%

-0.85%

0.39%




Dorval Convictions

In order to transition, holdings need to commit to align with the international climate goals and progress on those in the future. Currently, 29.47% ofthe portfolio’s value is committed to such a goal. While this is not a guarantee to reach this goal, the currently 21.8% of the portfolio without a goal iscertainly unlikely to transition and should receive special attention from a climate risk conscious investor.

Portfolio Compliance with Emission Budget per Scenario

2019 2020 2030 2040 2050

2° ��.39% �5.27% 7�.35% 134.74% 129.94%

4° �4.4�% �3.0�% 4�.77% 3�.�3% 31.�2%

6° 5�% 55.7% 3�.59% 24.�7% 1�.5�%

2035 Until the year 2035, portfolio is aligned with a 2° Celsius warming scenario.

Climate Strategy Assessment (% Portfolio Weight)

0%10%20%30%40%50%

22%

0%

15%

6% 5%0%

28%

41%

29%

51%

No Strategy Weak Strategy Moderate Strategy Robust Strategy 2ºC - Committment

Portfolio

Benchmark

Scenario Analysis

The climate scenario environment alignment compares current and future portfolio greenhouse gas emissions with the carbon budgets for a below 2degree Celsius scenario as well as warming scenarios of 4 degrees and 6 degrees Celsius until 2050.

The Dorval Convictions strategy in its current state will be misaligned with a 2 degree Celsius scenario by 2035. Only by re-allocating investments orby helping holdings to transition, a longer-lasting 2 degree alignment can be achieved.

Portfolio Emission Pathway vs. Climate Scenarios

Thou

sand

s (t

CO₂e

)

20

40

60

80

100

120

140

160

180

2019

2020

2021

2022

2023

2024

2025

202�

2027

202�

2029

2030

2031

2032

2033

2034

2035

203�

2037

203�

2039

2040

2041

2042

2043

2044

2045

204�

2047

204�

2049

2050

Emission Budget 6°C Emission Budget 4°C Emission Budget 2°C Portfolio Emissions

Climate Scenario Analysis 1 of 2



Dorval Convictions

To contain average global warming to below 2 degrees Celsius, portfolio holdings in certain sectors are still aligned (-), while others are alreadybeyond (+) the emission budget for a 2 degrees Celsius pathway.

Portfolio Emissions vs. Emission Budget per Sector - Under (-)/Outperformance (+) of the 2°C Scenario Requirements

Ten

Thou

sand

(tCO

₂e)

-4.5-4

-3.5-3

-2.5-2

-1.5-1

-0.500

0.501

1.52

2.5 2.2

1.7

1.2

-4.5

-2.6

-0.54

0.18 0.14 0.17 0.10 0.12 0.16

-0.16 -0.09

0.04

-0.51 -0.47 -0.32

Multiutilities (excl.Electric)

Mixed Electricity ConventionalElectricity

Integrated Oil & Gas Oil & Gas Equipment& Services

CementManufacturers

2019

2030

2050

Sector Emissions vs. 2°C Emission Budget for 2019

Ten

Thou

sand

(tCO

₂e)

00.50

11.5

22.5

33.5

44.5

55.5

66.5

2.3

0.07

1.8

6.2

1.3 1.2

0.17 0.07 0.11 0.27 0.10

0.60

Multiutilities(excl.

Electric)

MixedElectricity

ConventionalElectricity

IntegratedOil & Gas

Oil & GasEquipment &

Services

CementManufacturers

Sector Emissions vs. 2°C Emission Budget for 2050

Ten

Thou

sand

(tCO

₂e)

00.100.200.300.400.500.600.700.800.90

11.11.2

1.2

0.04

0.47

1

0.37

0.190.23

0.070.15

0.11 0.10

0.42

Multiutilities(excl.

Electric)

MixedElectricity

ConventionalElectricity

IntegratedOil & Gas

Oil & GasEquipment &

Services

CementManufacturers

Emission Budget

Percentage of Holdings 2°C Aligned in 2019, 2030, and 2050

0%

20%

40%

60%

80%

100%

0% 0% 0%

100% 100% 100%

50% 50%

0% 0% 0% 0%

100% 100%

0%

100% 100% 100%

Multiutilities (excl.Electric)

Mixed Electricity ConventionalElectricity

Integrated Oil & Gas Oil & Gas Equipment& Services

CementManufacturers

2019

2030

2050

Climate Scenario Analysis 2 of 2



Dorval Convictions

Rising temperature levels, even if limited to 2° Celsius, will result in changes of the climate system resulting in physical risks. Physical risks can beclassified into long term weather changes and extreme weather events such as storms, floods, or droughts. Companies’ exposure to these two typesof physical risk depends on two main factors: their sector as well as the geographical region they are active in.

Sector Exposure: Chronic and Acute Physical Risk

Physical Risk: Chronic

Communication Services 7%

Consumer Discretionary 8%

Consumer Staples 3%

Energy 5%

Financials 5%

Health Care 3%

Industrials 15%Information Technology 32%

Materials 3%

Real Estate 5%

Utilities 14%

Physical Risk: Acute

Communication Services 7%

Consumer Discretionary 8%

Consumer Staples 3%

Energy 5%

Financials 5%

Health Care 3%

Industrials 15%Information Technology 32%

Materials 3%

Real Estate 5%

Utilities 14%

Percent of Holdings Directly Exposed to Geographic & Associated Sector Risk

Physical Climate Risk Analysis

Europe100%

Low Risk Medium Risk High Risk



Dorval Convictions

A decarbonized world needs to address both the demand side (for example Utilities burning fossil fuels) and the supply side (i.e. fossil reserves) offuture emissions. For Utilities, it matters whether the power generated and power generation planned for the future stem from renewable (green) orfossil (brown) sources. For fossil reserve owning companies, potential future greenhouse gas emissions might indicate stranded asset risk. TheCarbon Risk Rating (1-100) provides a view on how well the respective portfolio and benchmark holdings are managing such risks.

Transition Analysis Overview

Power Generation Reserves Climate Performance

% Installed Capacity Green Share

% Installed Capacity Brown Share

% Investment Exposed to Fossil Fuels

Total Potential Future Emissions (GtCO₂)

Weighted Avg Carbon Risk Rating

Portfolio 2�.41% �5.79% 2.52% 151.42 35

Benchmark 30.�1% 59.9�% �.5�% 517.�3 44

Power Generation

Power Generation Exposure(Portfolio vs. Benchmark vs. Climate Target)

Portfolio Benchmark 2 DegreeScenario 2030

2 DegreeScenario 2050

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

66%60%

41%

7%

8%9%

15%

17%

26% 31%

40%

63%

0% 0% 4%

13%

For a decarbonized future economy, it is key to transition the energygeneration mix from fossil to renewable sources. Utilities relying onfossil power production without a substitute plan might run a higherrisk of getting hit by climate change regulatory measures as well asreputational damages. The graph on the left compares the energygeneration mix of the portfolio with the benchmark and a 2 degreeCelsius compatible mix in 2020 and 2050, according to theInternational Energy Agency. Below, the 5 largest Utility holdings canbe compared on fossil versus renewable energy production capacity,their contribution to the overall portfolio greenhouse gas emissionexposure and their production efficiency for 1 GWH of electricity.

Fossil Fuels Nuclear Renewables Other

Top 5 Utilities’ Fossil vs. Renewable Energy Mix

Issuer Name % Fossil Fuel Capacity % Renewable Energy Capacity

% Contribution to Portfolio Emissions

Emissions tCO₂e Scope 1 & 2 /GWh

Veolia Environnement SA - - 39.01% -

ENGIE SA ��.�% 27% 27.03% 1�4.77

ENEL SpA 50.3% 45.�% 19.22% 3�5.14

Iberdrola SA 31.�% �1.5% 0.97% 1��.3

Transition Climate Risk Analysis 1 of 3



Dorval Convictions

For fossil reserve owning companies, potential future greenhouse gas emissions might indicate stranded asset risk, as about 80% of those reservesneed to stay in the ground to not exceed 2 degrees Celsius of warming. The portfolio contains 151,416 tCO₂ of potential future emissions, of which0% stem from Coal reserves, 100% from Oil and Gas reserves. Investor focus is often on the 100 largest Oil & Gas and 100 largest Coal reserveowning companies, to understand the exposure to these top 100 lists.

Portfolio151,416 tCO₂ Potential Future Emissions

Oil & Gas

Reserves 100%

Benchmark517,628 tCO₂ Potential Future Emissions

Oil & Gas

Reserves 100%

Exposure to the 100 Largest Oil & Gas and Coal Reserve Owning Assets

Issuer Name Contribution to Portfolio Potential Future Emissions Oil & Gas Top 100 Rank Coal Top 100 Rank

Total SA �4.93% 11 -

Eni SpA 25.9% 17 -

BASF SE 9.17% 47 -

Solutions 30 SE 0% - -

Orange SA 0% - -

Unconventional and controversial energy extraction such as “Fracking” and Arctic Drilling is a key focus for investors, both from a transition and areputation risk perspective.

Exposure to Controversial Business Practices

Issuer Name Portfolio Weight Arctic Drilling Hydraulic Fracturing Oil Sands Shale Oil and/or Gas

Veolia Environnement SA 4.7% - Services - Services

CGG 2.94% - Services Services Services

Total SA 1.4�% - Production Production Production

Siemens AG 1.19% - Services - Services

Linde Plc 1.19% - Services Services Services




Dorval Convictions

Portfolio Carbon Risk Rating

The Carbon Risk Rating (CRR) assesses how an issuer is exposed to climate risks and opportunities, and whether these are managed in a way toseize opportunities, and to avoid or mitigate risks. It provides investors with critical insights into how issuers are prepared for a transition to a lowcarbon economy and is a central instrument for the forward-looking analysis of carbon-related risks at portfolio and issuer level.

CRR Distribution Portfolio vs. Benchmark

0%

20%

40%

60%

3%0%

8%

2%

59%

64%

30%34%

0% 0%

Not Covered Laggard(0 - 24)

MediumPerformer(25 - 49)

Outperformer(50 - 74)

Leader(75 - 100)

Portfolio Benchmark

Avg Portfolio CRR and Spread for Selected ISS ESG Rating Industries

ISS ESG Rating Industry Average Carbon Risk Rating

Utilities/Electric Utilities �1

Financials/Commercial Banks &Capital Markets 4�

Food & Beverages 47

Electronic Components 45

Transport & Logistics 44

Machinery 43

Oil, Gas & Consumable Fuels 2�

Oil & Gas Equipment/Services 23

Renewable Energy (Operation) &Energy Efficiency Equipment -

Transportation Infrastructure -

Top 5 Country ISS ESG Rating Industry CRR Portfolio Weight (consol.)

Iberdrola SA Spain Utilities/Electric Utilities �4 0.��%

Sanofi France Pharmaceuticals & Biotechnology �1 1.12%

L'Oreal SA France Household & Personal Products �1 0.7%

SAP SE Germany Software & IT Services 59 1.41%

Industria de Diseno Textil SA Spain Textiles & Apparel 59 0.3�%

Bottom 5 Country ISS ESG Rating Industry CRR Portfolio Weight (consol.)

Fnac Darty SA France Retail 19 3.45%

Teleperformance SA France Commercial Services & Supplies 20 2.74%

Wirecard AG Germany Software & IT Services 22 3.7�%

CGG France Oil & Gas Equipment/Services 23 2.94%

Safran SA France Aerospace & Defence 23 0.52%

Climate Laggard (0 - 24) Climate Medium Performer (25 - 49) Climate Outperformer (50 - 74) Climate Leader (75 - 100)

1 The proprietary ISS ESG Rating industry Classification is intended to group companies from an ESG perspective and might differ from other classification systems.2 Multiple issuers may have the same CRR value. In the event the Top 5 and Bottom 5 tables have more than one issuer in the last position due to a tie in CRR values, the weight of the issuers in the

portfolio will determine the issuer assigned to the table.


1

0 50 100

2

2



Dorval Convictions

The issuers that are subject to this report may have purchased self-assessment tools and publications from ISS Corporate Solutions, Inc. (“ICS”), awholly-owned subsidiary of ISS, or ICS may have provided advisory or analytical services to an issuer. No employee of ICS played a role in thepreparation of this report. If you are an ISS institutional client, you may inquire about any issuer’s use of products and services from ICS by [email protected].

This report has not been submitted to, nor received approval from, the United States Securities and Exchange Commission or any other regulatorybody. While ISS exercised due care in compiling this report, it makes no warranty, express or implied, regarding the accuracy, completeness orusefulness of this information and assumes no liability with respect to the consequences of relying on this information for investment or otherpurposes. In particular, the research and data provided are not intended to constitute an offer, solicitation or advice to buy or sell securities nor arethey intended to solicit votes or proxies.

ISS is an independent company owned by entities affiliated with Genstar Capital (“Genstar”). ISS and Genstar have established policies andprocedures to restrict the involvement of Genstar and any of Genstar’s employees in the content of ISS’ reports. Neither Genstar nor their employeesare informed of the contents of any of ISS’ analyses or reports prior to their publication or dissemination. The issuer(s) that is the subject of thisreport may be a client(s) of ISS or ICS, or the parent of, or affiliated with, a client(s) of ISS or ICS.

Disclaimer

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