Public HTML RI reports - PRI reporting framework 2020

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

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] ESG issues in asset allocation [SG 13 - 15] 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 » Investment policy

Investment policy

SG 01. RI policy and coverage

New selection options have been added to this indicator. Please review your prefilled responses carefully.

01.1. Indicate if you have an investment policy that covers your responsible investment approach.

Yes

01.2. Indicate the components/types and coverage of your policy.

Select all that apply

Policy components/types

Coverage by AUM

Policy setting out your overall approach

Formalised guidelines on environmental factors

Formalised guidelines on social factors

Formalised guidelines on corporate governance factors

Fiduciary (or equivalent) duties

Asset class-specific RI guidelines

Sector specific RI guidelines

Screening / exclusions policy

Engagement policy

(Proxy) voting policy

Other, specify (1)

Other, specify(2)

Applicable policies cover all AUM

Applicable policies cover a majority of AUM

Applicable policies cover a minority of AUM

01.3. Indicate if the investment policy covers any of the following

Your organisation’s definition of ESG and/or responsible investment and it’s relation to investments

Your investment objectives that take ESG factors/real economy influence into account

Time horizon of your investment

Governance structure of organisational ESG responsibilities

ESG incorporation approaches

Active ownership approaches

Reporting

Climate change

Understanding and incorporating client / beneficiary sustainability preferences

Other RI considerations, specify (1)

Other RI considerations, specify (2)

01.4. Describe your organisation’s investment principles and overall investment strategy, interpretation of fiduciary (or equivalent) duties,and how they consider ESG factors and real economy impact.

The investment principles and investment strategy are captured in a number of documents publicly available at ASR corporate website, including our overarching SRI policy with specific ESG factors and a detailed documernt on the detailed criteria and international guidelines used. For environmental criteria we have specific research studies publicly available. ASR SRI policy is applied to 100% of ASR investments.

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

01.5. Provide a brief description of the key elements, any variations or exceptions to your investment policy that covers your responsible investment approach. [Optional]

a.s.r. SRI Policy

Any investments where a.s.r. has the power to exercise influence on the investment portfolio or guidelines are governed by the SRI Policy for Companies and the SRI Policy for Countries.

a.s.r. SRI Policy for Companies

Investment decisions include the company’s score on ESG criteria and an assessment of controversial activities. This is how a.s.r. avoids non-financial risk, especially reputational risk, and complies with legislation, i.e. the UN PRI, UN Global Compact and the Dutch Association of Insurer’s Sustainable Investing Code. a.s.r. SRI guidelines follow the standards as defined by Forum Ethibel and SRI research is performed by Vigeo Eiris. The SRI Policy for Companies is implemented as follows:

1. Selection of companies by their relative ESG score

We favour companies excelling on ESG policy and implementation; these are classified as pioneering, best-in-class and sustainable companies. This classification starts from a relative, sector-wise ranking for six domains of analysis:

- Environment
- Human Resources
- Human Rights
- Community Involvement
- Business Behaviour
- Corporate Governance

Additionally, a.s.r. has defined specific guidelines for the relative ranking of companies involved in the following activities:
- Animal welfare violations
- Sex industry
- GMOs in food and feeds
- Hazardous chemicals
- Alcohol

2. Controversial activities that can start an engagement process or lead to exclusion
As an institutional investor, a.s.r. can influence companies through engagement rather than by excluding them from its investment portfolio. When a.s.r. does not achieve adequate improvement in a constructive dialogue, it can exclude a company from its investment portfolio. The engagement and exclusion process looks at the following controversial activities:
- Human rights
- Labour Rights
- Environment
- Armament
- Nuclear Energy
- Gambling
- Tobacco

a.s.r. SRI Policy for Countries
1. Exclusion of countries considered lacking basic political freedoms and civil rights. Indicator: ‘Freedom in the World’ published by Freedom House. Countries are classified as ‘Free’, ‘Partly Free’ and ‘Not Free’. Exclusion level: countries classified as ‘Not Free’ by Freedom House.
2. Exclusion of countries considered highly corrupt. Indicator: Corruption Perception Index published by Transparency International. The Corruption Perception Index (CPI) by Transparency International (TI) ranks countries from 100 (very little corruption) to 0 (very high level of corruption). Exclusion level: countries with a CPI of less than 30.
3. Exclusion of countries with poor environmental performance to achieve the climate agreement and the SDGs. Indicator: SDG Index, published by the Sustainable Development Solutions Network (SDSN) and the Bertelsmann Stiftung. The SDG Index ranks countries’ performance on results and policy on the 17 SDGs. For the environmental performance, the average score for SDG 7 (Affordable and Clean Energy), SDG 13 (Climate Action), SDG 14 (Life below Water) and SDG 15 (Life on Land) are calculated. Exclusion level: countries with an average score for SDGs 7,13,14 and 15 of less than 50. 4. Best in class approach to high performing countries to contribute to the Sustainable Development Goals Agenda Indicator: SDG Index, which presents where each country stands with regard to achieving the SDG 2030 Agenda throughout 99 indicators. Best in Class approach: The weighted average score of a.s.r. sovereign portfolio will be positioned within the first quartile of the SDG Index.

a.s.r. SRI Policy for External Providers
a.s.r. requests its External Providers to make the best possible effort to become signatories of the UN PRI and the UN Global Compact. Furthermore, a.s.r. engages its External Providers to comply as much as possible with a.s.r. SRI policy. ESG criteria are always taken into account in the selection process of External providers. There are certain providers (e.g. smaller boutiques or private equity houses) that do not have the internal capabilities to comply with the provisions of both sets of UN principles. With them, a.s.r. discusses their internal SRI practices and codes of conduct to make its own assessment. Exclusion of controversial weapons according to the Sustainable Investing Code of the Dutch Insurance Association is always a minimum requirement

01.6. Additional information [Optional].

SG 01 CC. Climate risk

01.6 CC. Indicate whether your organisation has identified transition and physical climate-related risks and opportunities and factored this into the investment strategies and products, within the organisation’s investment time horizon.

Yes

Describe the identified transition and physical climate-related risks and opportunities and how they have been factored into the investment strategies/products.

Since 2016 a.s.r. has integrated climate change and energy transition as an explicit theme/driver within its strategic asset allocation and has taken measures to implement its commitment across the investment portfolio. a.s.r. has analysed and identified risks for the investment portfolio both bottom-up: taking into account stranded assets and changing business models in the mining and energy sectors, as top-down in its strategic asset allocation.

a.s.r. Vermogensbeheer N.V. aims to provide tailor made, long-term and sustainable investment solutions for its clients. The normal process includes an extensive analysis of the target asset mix in different economic environments (i.e. neutral, optimistic stagflation and deflation).

As of 2019, in addition to these economic environments a.s.r. now validates its investment strategy and strategic asset allocation by analysing the impact on various metrics in its risk appetite statement (RAS) of the expected impact of climate change, based on the chosen scenarios. a.s.r. has used climate scenarios developed by Ortec Finance and has incorporated the impact of the different climate pathways on assets in the annual Strategic Asset Allocation study (SAA).

In the SAA the a.s.r. balance sheet in its entirety is projected forward for 20 years. Each scenario set consists of 2000 scenarios and these have been fed into a stochastic financial model which in turn translates the impacts of these climate-adjusted GDP shocks on a range of more than 600 financial and economic variables. Following this approach, a.s.r. has been able to quantify climate risk-aware economic outlooks per pathway, applied to the neutral economic scenario. The result is the impact of the different economic environments and climate scenarios on the RAS.

The 2019 Annual Report of a.s.r. includes a complete write-up of this work.

01.7 CC. Indicate whether the organisation has assessed the likelihood and impact of these climate risks?

Yes

Describe the associated timescales linked to these risks and opportunities.

For our scenario analysis with Ortec, a timescale until 2100 was taken into account. Additional scenarios and shocks were developed for over 30 years.

For our Strategic Asset Allocation (SAA), timeframes of 5 and 10 years are used.

01.8 CC. Indicate whether the organisation publicly supports the TCFD?

Yes

01.9 CC. Indicate whether there is an organisation-wide strategy in place to identify and manage material climate-related risks and opportunities.

Yes

Describe how and over what time frame the organisation will implement an organisation-wide strategy that manages climate-related risks and opportunities.

Within the next 12-18 months

1.10 CC. Indicate the documents and/or communications the organisation uses to publish TCFD disclosures.

Public PRI Climate Transparency Report

Annual financial filings

Regular client reporting

Member communications

Other

specify

          Integrated Annual Report

We currently do not publish TCFD disclosures

SG 02. Publicly available RI policy or guidance documents

SG 03. Conflicts of interest

03.1. Indicate if your organisation has a policy on managing potential conflicts of interest in the investment process.

Yes

03.2. Describe your policy on managing potential conflicts of interest in the investment process.

- "Insider regeling" for professional and private investments

- Various functions splits (internal chinese walls), for example:

- Maanger selection and Manager monitoring
- Operations compliance and risk
- Financial compliance and risk
- Front office, Valuation and Risk
- ESG comittee incl. Front office, compliance and risk
- Investment commitee incl. compliance, risk and alm
- Central investment committee incl. Executive Board and representatieves of previous departments
- Risk committee
- Compliance committee

03.3. Additional information. [Optional]

SG 04. Identifying incidents occurring within portfolios (Private)

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