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ASR Nederland N.V.

PRI reporting framework 2020

Basic information [OO 01 - 09] Asset class implementation gateway indicators [OO 10 - 12] Peering questions [OO LE 01 - HF 01]

Strategy and Governance

Investment policy [SG 01 - 04] Objectives and strategies [SG 05 - 06] Governance and human resources [SG 07 - 08] Promoting responsible investment [SG 09 - 11] Outsourcing to fiduciary managers and investment consultants [SG 12] Asset class implementation not reported in other modules [SG 16 - 17] Innovation [SG 18] Communication [SG 19]

Indirect – Manager Selection, Appointment and Monitoring

Listed Equity and Fixed Income Strategies [SAM 01] Selection [SAM 02 - 03] Appointment [SAM 04] Monitoring [SAM 05 - 07] Outputs and outcomes [SAM 08 - 09]

Direct - Listed Equity Incorporation

ESG incorporation in actively managed listed equities [LEI 01 - 10] Implementation processes [LEI 01 - 10] (A) Implementation: Screening [LEI 04 - 06] (C) Implementation: Integration of ESG factors [LEI 08 - 10] Outputs and outcomes [LEI 12 - 13]

Direct - Listed Equity Active Ownership

Overview [LEA 01] Engagement [LEA 02 - 08] Outputs and outcomes [LEA 09 - 11] (Proxy) voting and shareholder resolutions [LEA 12 - 21]

Direct - Fixed Income

ESG incorporation in actively managed fixed income [FI 01 - 12] Implementation processes [FI 01 - 03] (A) Implementation: Screening [FI 04 - 06] (C) Implementation: Integration [FI 10 - 12] Fixed income - Engagement [FI 14 - 16] Outputs and outcomes [FI 17 - 18]

Direct - Property

Overview [PR 01] Pre-investment (selection) [PR 04 - 06] Post-investment (monitoring and active ownership) [PR 08 - 14] Overview [PR 08] Property monitoring and management [PR 09 - 10] Property developments and major renovations [PR 11] Occupier engagement [PR 12 - 13] Community engagement [PR 14] Outputs and outcomes [PR 15 - 16]

Confidence building measures

Confidence building measures [CM1 01 - 07]

Export Public Responses

You are in Strategy and Governance » ESG issues in asset allocation

ESG issues in asset allocation

SG 13. ESG issues in strategic asset allocation

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

Yes, in order to assess future ESG factors

Yes, in order to assess future climate-related risks and opportunities

Describe Together with Ortec Finance, a.s.r. has integrated top down climate scenario analyses in its strategic asset allocation. Write up is included in the 2019 Annual Report.

No, our organisation does not currently carry out scenario analysis and/or modelling

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

Allocation between asset classes

Determining fixed income duration

Allocation of assets between geographic markets

Sector weightings

Other, specify

We do not consider ESG issues in strategic asset allocation

13.3. Additional information. [OPTIONAL]

SG 13 CC.

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

Initial assessment

Incorporation into investment analysis

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. A detailed write up is included in the 2019 a.s.r. Annual Report.

Inform active ownership

Other

13.5 CC. Indicate who uses this analysis.

Board members, trustees, C-level roles, Investment Committee

Portfolio managers

Dedicated responsible investment staff

External managers

Investment consultants/actuaries

Other

13.6 CC. Indicate whether your organisation has evaluated the potential impact of climate-related risks, beyond the investment time horizon, on its investment strategy.

Yes

Describe

See above

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

Analysis based on a 2°C or lower scenario

Analysis based on an abrupt transition, consistent with the Inevitable Policy Response

Analysis based on a 4°C or higher scenario

No, a range is not used

13.8 CC. Indicate the climate scenarios your organisation uses.

Provider	Scenario used
IEA	Beyond 2 Degrees Scenario (B2DS)
IEA	Energy Technology Perspectives (ETP) 2 Degrees scenario
IEA	Sustainable Development Scenario (SDS)
IEA	New Policy Scenario (NPS)
IEA	Current Policy Scenario (CPS)
IRENA	RE Map
Greenpeace	Advanced Energy [R]evolution
Institute for Sustainable Development	Deep Decarbonisation Pathway Project (DDPP)
Bloomberg	BNEF reference scenario
IPCC	Representative Concentration Pathway (RCP) 8.5
IPCC	RPC 6
IPCC	RPC 4.5
IPCC	RPC 2.6
Other	Other (1)	Other (1) please specify: Cambridge Economics
Other	Other (2)	Other (2) please specify: CICERO
Other	Other (3)	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.

Changing demographics

Climate change

Resource scarcity

Technological developments

Other, specify(1)

Other, specify(2)

None of the above

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

Established a climate change sensitive or climate change integrated asset allocation strategy

Targeted low carbon or climate resilient investments

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

Total AUM
Total AUM	trillions	billions	millions	thousands	hundreds
Currency
Assets in USD
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 the average impact on the Solvency II ratio of a.s.r. investment portfolio for its internal insurance clients - excluding mortgages and real estate - is less than 2% which is considered limited.

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.

Phase out your investments in your fossil fuel holdings

Reduced portfolio exposure to emissions intensive or fossil fuel holdings

Used emissions data or analysis to inform investment decision making

Sought climate change integration by companies

Sought climate supportive policy from governments

Other, specify

other description

          New exclusion/engagement criteria introduced regarding climate change, carbon footprint and energy transition.

None of the above

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

Scenario analysis

Disclosures on emissions risks to clients/trustees/management/beneficiaries

Climate-related targets

Encouraging internal and/or external portfolio managers to monitor emissions risks

Emissions-risk monitoring and reporting are formalised into contracts when appointing managers

Weighted average carbon intensity

Carbon footprint (scope 1 and 2)

Portfolio carbon footprint

Total carbon emissions

Carbon intensity

Exposure to carbon-related assets

Other emissions metrics

Other, specify

None of the above

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. Provide further details on the 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, lignite, tar sands and oil shale	revenues of coal, lignite, tar sands and oil shale

14.7 CC. Describe in further detail the key targets.

Target type	Baseline year	Target year	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 risk management processes used for identifying, assessing and managing climate-related risks.

Processes for climate-related risks are integrated into overall risk management

Processes for climate-related risks are not integrated into overall risk management

Please describe

Currently in progress to include it on structural basis

14.9 CC. Indicate whether your organisation, and/or external investment manager or service providers acting on your behalf, undertake active ownership activities to encourage TCFD adoption.

Yes

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

No, we do not undertake active ownership activities.

No, we do not undertake active ownership activities to encourage TCFD adoption.

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

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ASR Nederland N.V.

PRI reporting framework 2020

ESG issues in asset allocation

SG 13. ESG issues in strategic asset allocation

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

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

Describe

13.5 CC. Indicate who uses this analysis.

13.6 CC. Indicate whether your organisation has evaluated the potential impact of climate-related risks, beyond the investment time horizon, on its investment strategy.

Describe

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

13.8 CC. Indicate the climate scenarios your organisation uses.

Other (1) please specify:

Other (2) please specify:

Other (3) please specify:

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.

Specify the framework or taxonomy used.

other description

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.

14.5. Additional information [Optional]

SG 14 CC.

14.6 CC. Provide further details on the key metric(s) used to assess climate-related risks and opportunities.

14.7 CC. Describe in further detail the key targets.

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

Please describe

14.9 CC. Indicate whether your organisation, and/or external investment manager or service providers acting on your behalf, undertake active ownership activities to encourage TCFD adoption.

Please describe

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