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ASR Vermogensbeheer N.V.

PRI reporting framework 2019

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ESG issues in asset allocation

SG 13. ESG issues in strategic asset allocation

13.1. Indicate whether the organisation undertakes scenario analysis and/or modelling and provide a description of the scenario analysis (by asset class, sector, strategic asset allocation, etc.).

Describe Together with Ortec Finance to be prepared for future possible climate scenarios and related risks and to help a.s.r. work towards setting SBTs in line with Paris Agreement, a.s.r. has started pilot to integrate top down climate scenario analyses in its strategic asset allocation.

13.2. Indicate if your organisation considers ESG issues in strategic asset allocation and/or allocation of assets between sectors or geographic markets.

We do the following

13.3. Additional information. [OPTIONAL]


SG 13 CC.

13.4 CC. Describe how the organisation is using scenario analysis to manage climate-related risks and opportunities, including how the analysis has been interpreted, the results and any future plans.

Describe

In order to be prepared for future possible climate scenarios and related risks and to help a.s.r. work towards setting Science Based Targets in line with the Paris Agreement, AVB has engaged with Ortec Finance, other financial institutions and academia to integrate top down climate scenario analyses in its strategic asset allocation. The integration of these scenarios will enable a.s.r. to make better investment decisions for allocations to asset classes, regions and sectors, and therefore to construct a more climate resilient investment portfolio. Current analyses focus mostly on bottom-up climaterelated risk analyses and reporting and do not consider top-down integration via macro-economic (quantitative and qualitative) modelling. Considering a top-down analyses is important, however, because empirical research has shown that portfolio returns are determined to a large extent by investment decisions made at the strategic level. Linking scientific climate data to ALM/SAA tooling is a novel approach to mapping potential climate impacts on investment performance. It will enable us to report forward-looking, scenario-based disclosure along the lines of the framework set out by the TCFD.

13.5 CC. Indicate who uses this analysis.

13.6 CC. Indicate whether the organisation has evaluated the impacts of climate-related risk, beyond the investment time-horizon, on the organisations investment strategy.

Describe

See above

13.7 CC. Indicate whether a range of climate scenarios is used.

Indicate the climate scenarios the organisation uses.
Provider
Scenario used
IEA
IEA
IEA
IEA
IEA
IRENA
Greenpeace
Institute for Sustainable Development
Bloomberg
IPCC
IPCC
IPCC
IPCC
Other

Other (1) please specify:

          Cambridge Economics
        
Other

Other (2) please specify:

          CICERO
        
Other

Other (3) please specify:

          Carbon Delta
        

SG 14. Long term investment risks and opportunity

14.1. Some investment risks and opportunities arise as a result of long term trends. Indicate which of the following are considered.

14.2. Indicate which of the following activities you have undertaken to respond to climate change risk and opportunity

Specify the AUM invested in low carbon and climate resilient portfolios, funds, strategies or asset classes.

Total AUM
trillions billions millions thousands hundreds
Currency
Assets in USD
trillions billions millions thousands hundreds

Specify the framework or taxonomy used.

This refers to the climate scenarios project undertaken in partnership with Ortec, where a.s.r. investment portfolio for its internal insurance clients  - excluding mortgages and real estate -  is deemed to be "relatively robust positioned towards different climate change scenario's (1,5; 3; 4+ degrees)" as assessed in 2018, from a strategic asset allocation (top down) perspective. 

Additionally a.s.r. has taken other measures from the bottom up approach which include carbon restrictions and energy transitions scoring to position the portfolio as climate reslient.

This AUM provided represents only the top down perspective and it is provided as a prudent approach.

other description

          New exclusion/engagement criteria introduced regarding climate change, carbon footprint and energy transition. We are currently reviewing methodologies to measure our exposure to emissions.
        

14.3. Indicate which of the following tools the organisation uses to manage climate-related risks and opportunities.

14.4. If you selected disclosure on emissions risks, list any specific climate related disclosure tools or frameworks that you used.

We published a Climate positioning paper where we give transparency on our methodology and we publish regularly our current carbon footprint, which is aligned to the recommendations of PCAF

14.5. Additional information [Optional]


SG 14 CC.

14.6 CC. Please provide further details on these key metric(s) used to assess climate related risks and opportunities.

Metric Type
Coverage
Purpose
Metric Unit
Metric Methodology
Climate-related targets
          Full coverage In 2021
        
          % of AuM available carbon footprint
        
          PCAF
        
Carbon footprint (scope 1 and 2)
          Insight
        
          ton CO2 equivalent
        
          PCAF
        
Portfolio carbon footprint
          Insight
        
          ton CO2 equivalent
        
          PCAF
        
Total carbon emissions
          Insight
        
          ton CO2 equivalent
        
          PCAF
        
Carbon intensity
          Insight
        
          ton CO2 equivalent/euro invested and revenues
        
          PCAF
        
Exposure to carbon-related assets
          restricted or excluded exposure to high carbon emitters
        
          revenues of coal, tar sands and oil shale
        
          revenues of coal, tar sands and oil shale
        

14.7 CC. Describe in further detail the key targets.

Target type
Time Frame
Description
Attachments
          Not applicable
        
          Not applicable
        

          Not applicable
        
          Not applicable
        

          Not applicable
        
          Not applicable
        

          Not applicable
        
          Not applicable
        

          Not applicable
        
          Not applicable
        

14.8 CC. Indicate whether climate-related risks are integrated into overall risk management and explain the risks management processes for identifying, assessing, and managing climate-related risks.

Please describe

Currently in progress to include it on structural basis

14.9 CC. Indicate whether the organisation undertakes active ownership activities to encourage TCFD adoption.

Please describe

a.s.r. is involved in several climate-related engagements where SBT setting and disclosure on climate-related risks are included in the dialogue.

Reporting according to the TCFD recommendations is highly encouraged by ASR in the meetings with different stakeholders. Also, we had calls with peers already reporting to learn about their best practices and with providers to understand their offerings.

Also, a.s.r. will in principle vote in favour of TCFD related shareholder resolutions


SG 15. Allocation of assets to environmental and social themed areas (Private)


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