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ASR Vermogensbeheer N.V.

PRI reporting framework 2019

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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%

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

As part of ASR SRI policy

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:

specify description

          ESG research is based on external, independent research by Vigeo in accordance with Arista standards. Furthermore, independent external certification is provided semiannually by Forum Ethibel
        

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

          a.s.r. formalised a dedicated governance with an ESG Comittee 1x per quarter to discuss in depth ESG issues
        

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)
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

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

Please refer to ASR website and Annual report

https://www.asrnederland.nl/over-asr/duurzaam-ondernemen

 

https://www.asrnederland.nl/investor-relations/jaarverslagen

04.3. Additional information. [Optional]


FI 05. Examples of ESG factors in screening process (Not Completed)


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?
Positive/best-in-class 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.

Please refer to ASR website and Annual report

https://www.asrnederland.nl/over-asr/duurzaam-ondernemen

https://www.asrnederland.nl/investor-relations/jaarverslagen

 

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

SSA

ASR SRI policy knows a distinction between companies and countries.

For companies the same assessment criteria applies, in all three cases: Equities, Corporate credtis (financials) and Corporate Credits (not financials). Only for equities there are additional ESG tools as the proxy voting, which are not usable for Corporate Credits. All other tools (ESG integration, best in class assessment, impact investing for example via green bonds, or engagement) are fully applicable for the fixed income corporate credits portfolios.

For countries we have a different policy. ESG integration is here done using a different indicator namely the SDG ranking score for the countries.

Corporate (financial)

See above

Corporate (non-financial)

See above

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)
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

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

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

SSA

ESG factors are integrated in the Sovereign portfolio according to the SRI policy for Countries via de SDG country rankings

Corporate (financial)

ESG factors in the corporate credits (financials) are integrated according to the SRI policy for comanies

https://www.asrnederland.nl/over-asr/duurzaam-ondernemen

Corporate (non-financial)

ESG factors in the corporate credits (non-financials) are integrated according to the SRI policy for comanies

https://www.asrnederland.nl/over-asr/duurzaam-ondernemen

12.3. Additional information.[OPTIONAL]


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