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AEGON Asset Management

PRI reporting framework 2020

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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.).

Describe We worked with Ortec Finance to perform a systematic climate risk-aware assessment of the general account and insurance-linked assets.

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]

We avoid the most GHG intensive fossil fuel sub-sectors. We do this by excluding companies substantially involved in thermal coal exploration, mining or refining, or in oil sands extraction or transport.


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

The assessment was done with Ortec Finance climate scenarios for systemic climate risk which are based on IPCC RCP 2.6/4.5/8.5 and IEA ‘Faster Transition’/’Sustainable Development”/’Current Policies’

Describe

We factor the climate-related risks and opportunities into our investment analysis. We also avoid the most GHG intensive fossil fuel sub-sectors. We do this by excluding companies substantially involved in thermal coal exploration, mining or refining, or in oil sands extraction or transport. 

Describe

We engage with companies based on the climate-related risks and opportunities we have identified. As part of our climate-related engagement activities we encourage investee companies to measure, manage and reduce their carbon emissions/climate risk and to disclose in line with TCFD recommendations as part of their regular reporting activities

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

Yes, climate-related risks were measured till 2100

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

13.8 CC. Indicate the climate scenarios your organisation uses.

Provider
Scenario used
IEA
IEA
IEA
IEA
IEA
IRENA
Greenpeace
Institute for Sustainable Development
Bloomberg
IPCC
IPCC
IPCC
IPCC
Other
Other
Other

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

other description

          We have a permanent climate change risk working group in place.
        

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

other description

          Sustainalytics Climate Risk Rating and ND-GAIN Country index. Both used publicly.
        

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
          
        
          
        
          
        
Weighted average carbon intensity
          understand exposure to carbon intensive activities
        
          tCO2e/EURm revenue
        
          TCFD
        
Carbon footprint (scope 1 and 2)
          understand exposure to carbon intensive activities
        
          tCO2e
        
          Platform for Carbon Accounting Financials (PCAF)
        
Portfolio carbon footprint
          measure carbon impact of portfolio or fund
        
          tCO2e
        
          Platform for Carbon Accounting Financials (PCAF)
        
Total carbon emissions
          measure full carbon impact
        
          tCO2e
        
          Platform for Carbon Accounting Financials (PCAF)
        
Carbon intensity
          understand the intensity of investment and compare across funds/portfolios
        
          tCO2e/EURm invested
        
          PCAF/TCFD
        
Exposure to carbon-related assets
          
        
          
        
          
        

14.7 CC. Describe in further detail the key targets.

Target type
Baseline year
Target year
Description
Attachments
          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

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

Aside from the work of the Climate Change Working Group, climate risks are generally considered on a case-by-case 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.

Please describe

As part of our climate-related engagement activities we encourage investee companies to measure, manage and reduce their carbon emissions/climate risk and to disclose in line with TCFD recommendations as part of their regular reporting activities


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

15.1. Indicate if your organisation allocates assets to, or manages, funds based on specific environmental and social themed areas.

15.2. Indicate the percentage of your total AUM invested in environmental and social themed areas.

5 %

15.3. Specify which thematic area(s) you invest in, indicate the percentage of your AUM in the particular asset class and provide a brief description.

Area

Asset class invested

1 Percentage of AUM (+/-5%) per asset class invested in the area

Brief description and measures of investment

Corporate green bonds and bonds of companies involved in clean tech and renewable energy.

Asset class invested

2 Percentage of AUM (+/-5%) per asset class invested in the area

Brief description and measures of investment

Primarily investments in wind parks and solar energy

Asset class invested

0 Percentage of AUM (+/-5%) per asset class invested in the area

Brief description and measures of investment

AAM continues to maintain a affiliated client timber equity investment 2019 [(Real Estate Alternative Portfolio (REAP)] with market value that totaled approximately IFRS $5.3 MM US EOY 2019 and the total EOY 2019 timber acreage is approximately 135,133 acres. As of EOY 2019, 97.5% of the timber holdings associated with the invested capital involved timber holdings that were independently certified as “sustainable” by the Forestry Stewardship Council ("FSC"), Sustainable Forestry Initiative® ("SFI®") or “Other.”

 

Asset class invested

0 Percentage of AUM (+/-5%) per asset class invested in the area

Brief description and measures of investment

In 2016 we launched our subordinated loan fund to provide finance to SMEs.

Asset class invested

1 Percentage of AUM (+/-5%) per asset class invested in the area
65 Percentage of AUM (+/-5%) per asset class invested in the area

Brief description and measures of investment

Our investments in affordable housing in the USA are private equity investments.

Asset class invested

0.4 Percentage of AUM (+/-5%) per asset class invested in the area

Brief description and measures of investment

Hospitals, elderly care and other care institutions

15.4. Please attach any supporting information you wish to include. [OPTIONAL]



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