Scope
In this integrated Annual Report, a.s.r. provides a transparent overview of its activities and results for the reporting year starting at 1 January 2022 and lasting up to and including 31 December 2022. The financial information in this Annual Report has been consolidated for a.s.r. and all its group entities. All quantitative and qualitative information relates to a.s.r. as a whole, unless a specific business line is explicitly mentioned. The full list of principal group companies and associates can be found in chapter 6.7.9. Due to data not being readily available and limited impact, the figures in chapter 3 is excluding VKG, Dutch ID (Felison and Boval), Corins, SuperGarant, ANAC and Poliservice, unless specified otherwise. Their combined assets account for approximately 0.4% of the total assets.
Standards
The consolidated financial statements of a.s.r. have been prepared in accordance with IFRS – including the IAS and Interpretations – as adopted by the EU, and with the financial reporting requirements included in Title 9, Book 2 of the Dutch Civil Code, where applicable. Pursuant to the options offered by Section 362, Book 2 of the Dutch Civil Code, a.s.r. has prepared its company financial statements in accordance with the same principles as those used for the consolidated financial statements. All amounts quoted in these financial statements are in euros and rounded to the nearest million, unless otherwise indicated. Calculations are made using unrounded figures. As a result rounding differences can occur. The Solvency II figures in this Annual Report are based on the standard formula. In addition to the information in this Annual Report, a.s.r. also publishes a separate Solvency and Financial Condition Report.
a.s.r. prepares the management report in accordance with BW 2:391 and the EU Directive 2013/34/EU on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings and the Directive 2014/95/EU amending Directive 2013/34/EU as regards disclosure of non-financial and diversity information by certain large undertakings and groups. The EU Directive reference table is included in chapter 7.12. The management report has been prepared in accordance with the Global Reporting Initiative (GRI) Standards 2021. Conform the Integrated Reporting Framework of the IFRS Foundation, the report shows how a.s.r. was able to create sustainable financial and non-financial value in 2022 for all its stakeholders. This report offers an overview of key developments and performance of a.s.r. and shows how a.s.r. deals with key risks, opportunities, and uncertainties. The topics presented are based on a stakeholder dialogue and materiality analysis (chapter 7.9), conducted with the Executive Board and different a.s.r. stakeholders.
The definitions and, if relevant, calculation methods of indicators are explained in this chapter. For the HR indicators ‘Equivalent working time spent on training’ and ‘Average days of training per employee that followed training’, errors have been identified for reporting year 2021. The 2021 figures for these two indicators have therefore been restated. Due to the migration to a new HR system as of 2021, it is not possible to validate the 2018-2020 data. Because of this, the decision is made to not disclose these figures. Refer to section 7.5.
Process
The non-financial figures for this management report are delivered by various staff departments and business segments. For the preparation of the Annual Report, a steering group, a working group, and a review group have been set up to guide the process and review the content. The steering group represents the CEO, the Director Finance, Risk & Performance Management and the Director Corporate Communication. The working group consists of members of the following departments: Compliance, Group Finance & Risk Reporting, Balance & Performance Management, Investor Relations & Ratings, Corporate Communication (including Sustainability), Human Resources, Group Risk Management, Asset Management and the Board Secretary. The review group is represented by directors. Before gathering information and writing the Annual Report, the steering group decided on the structure and key messages of the report. The working group then translated these guidelines into drafts, which were reviewed by a committee of members from the steering, working, and review group. During the reporting process, the review group delivered feedback on the draft Annual Report. The final draft texts of the Annual Report are discussed in the respective meetings of the EB, the SB and the A&RC. Disclosure of the Annual Report is subject to the approval of the EB and the SB.
Audit and assurance of the auditor
The consolidated financial statements 2022 have been audited by a.s.r.’s external auditor, KPMG. KPMG’s audit opinion can be found in chapter 7.1, included in the Annual Report. The information related to the EU Taxonomy Regulation (chapter 4.9.1) and related to the EU Directive on the disclosure on non-financial and diversity information (chapter 7.12) have not been subject to limited or reasonable assurance, but have been subject to COS 720 procedures performed on all ‘other information’ as disclosed in the audit opinion on the financial statements.
In addition to the financial results, KPMG also performed a review of the non-financial information in this Annual Report. In 2022, the five new strategic KPIs (Carbon footprint of portfolio for own account in % reduction compared to baseline year 2015, Impact investments, relational Net Promoter Score, Sustainable reputation, and Employee Engagement were audited with a reasonable level of assurance. Furthermore, 27 selected HR related indicators were audited with a reasonable level of assurance. All other non-financial information has - as in previous years - been reviewed with a limited level of assurance. KPMG’s assurance report can be found in chapter 7.2. The SB, EB and senior management are involved in seeking external assurance for the organisation’s non-financial information.
Carbon footprint of portfolio for own account
The non-financial target regarding the carbon footprint shows the percentage of CO2-eq reduction of a.s.r.'s internally managed assets under management (AuM) for the own account of ASR Nederland N.V., relative to the baseline year 2015 (2019 for Real estate) a.s.r.'s investment portfolio activities related to carbon footprint are divided in three categories: asset management, real estate and mortgages. The carbon footprints published in this report are in CO2-eq. The valuation method for financial amounts, such as totals that are published, are in line with the method applied for the balance sheet (AuM) in the financial statements. The CO2-eq per € million AuM is calculated by dividing the total CO2-eq footprint by the total AuM in € millions as per balance sheet per year-end.
Asset management
For asset management the carbon footprint includes corporate investments and sovereign bonds. For the carbon data, external sources Vigeo Eiris and Eurostat are used. The AuM for the period 2015-2019 is based on the portfolio approach. As of 2020, the AuM is based on the look-through approach. The methodology is aligned with the PCAF methodology.
Real estate
Real estate applies different methodologies to calculate the carbon footprint for buildings and for rural real estate. Scope includes ASR DCRF, ASR DPRF, ASR DMOF, ASR DSPF, ASR DFLF and real estate for own account. The carbon emissions data are derived from external sources Cooltree for buildings and Nutriënten Management Instituut (NMI) for rural real estate. For buildings, the carbon footprint is calculated based on a mix of actual and estimated consumption data and emission factors from electricity and gas. For rural real estate, external knowledge and consultancy organization NMI – specialized in soil quality – determined the CO2-eq footprint for rural real estate based on scientific research. This research was reviewed by an independent expert from the Wageningen University. The methodology is aligned with the GRESB benchmark.
Mortgages
For mortgages the CO2-eq figure covers all assets under management of the mortgage portfolio. The figure is calculated based on the average energy usage in kWh and use of cubic metres of natural gas per energy label, building year and type of house. The input data is derived from external sources Netherlands Enterprise Agency (Rijksdienst voor Ondernemend Nederland), Calcasa and Statistics Netherlands (Centraal Bureau voor de Statistiek). The methodology is aligned with the PCAF methodology.
Baseline calculation
The methodologies to collect, assess and calculate carbon footprint for different asset classes is continually developing and improving. When a newly available methodology is significantly better compared to the current one, it might be appropriate to adopt the new methodology. Additionally, the scope of the reported carbon footprint for a.s.r. might change throughout time. As the carbon footprint strategic target is defined as a percentage reduction relative to baseline year 2015, changes in methodology and/or scope should be corrected for the baseline year. a.s.r. does this using index figures to keep track of percentual reduction of the carbon footprint of its portfolio own account. When a change in methodology and/or scope occurs in a certain year, an index figure equal to the percentage change compared to the baseline year is assigned to the carbon footprint in the old situation. The same index figure is assigned to the carbon footprint calculated using the new methodology and/or scope, and is used to further track progress on the carbon footprint reduction moving forward. This ensures that a change in methodology and/or scope has no impact on the carbon footprint reduction indicator.
Data quality of external sources
To determine the carbon footprint, a.s.r. is partly dependent on the data quality of data providers. To be critical and transparent about the data quality that serves as input for this calculation, a.s.r. follows the PCAF scoring methodology to assess the data quality for Asset Management, Real estate and Mortgages. For more details on the scoring methodology, please refer to the PCAF Global Accounting and Reporting Standard for the Financial Industry. The score categories are defined as following:
The table above shows the share of the reported carbon footprint of a.s.r.'s internally managed AuM that falls in each data quality category, as defined by PCAF.
Data quality external sources for carbon footprint own assets calculation| | 31 December 2022 |
|---|
| in % | Carbon footprint – Asset Management | Carbon footprint – Real estate | Carbon footprint - Mortgages |
|---|
| Score 1 | 41 | - | - |
| Score 2 | 53 | 7 | - |
| Score 3 | 6 | - | 59 |
| Score 4 | 1 | 93 | 41 |
| Score 5 | - | - | - |
Impact investments
a.s.r. aims to contribute to sustainable development through impact investments in Asset Management, Real estate and Mortgages. The definition for Impact investments is based on the definition given by the Global Impact Investment Network (GIIN), and is as following:
'Investing with the intention of generating a positive, measurable social and/or environmental impact in addition to a financial return'.
The valuation method for financial amounts, such as totals that are published, are in line with the method applied for the balance sheet in the financial statements, unless specified otherwise.
Asset Management
a.s.r. defines impact investments as the following: ‘investments in organisations or governments with the intention of generating a positive impact in addition to positive financial returns on a sustainable future for people and the planet’. When a.s.r. selects these investments (e.g. through listed equity (funds), private equity or private debt), the output side of an organisation (products, services) is considered. The input side (ESG policy, initiatives, risk management, etc.) is considered as standard procedure in the selection process of companies and countries according to the SRI policy.
In order to qualify as an impact investment, different types of investments must meet different type of requirements:
In general
Impact companies
Depending on which theme within Asset Management, different minimum thresholds are required to come from products or services (with a theory of change) that contribute to the SDGs, as defined in the United Nations Principles for Responsible Investments Market Map or another theory of change approved by the a.s.r. ESG Committee.
Impact bonds
The bond complies with the Green Bond Principles, Climate Bond Principles or Social Bond Principles, and;
The set-up of the bond and/or the use of proceeds has been reviewed by a third party.
Real estate
In 2021, a.s.r. established one new impact theme, which means there are now three real estate themes through which a.s.r. has an impact on society and that a.s.r. reports on:
Affordable housing;
Dutch science parks;
Renewable energy.
Theme 1. Affordable housing
ASR Dutch Core Residential Fund developed an impact investment strategy that focuses on the addition of affordable dwellings to its portfolio. The Fund reports the total assets under management within the affordable rental price range, which is set between € 764 and € 1.250. The bandwidth of the mid segment rental price is revised yearly based on the Dutch 'liberalisatiegrens' and 'inkomensgrens', as defined by the Ministry of the Interior and Kingdom Relations. The Impact investment classification for affordable housing is based on the initial rent amount.
Theme 2. Dutch science parks
ASR Dutch Science Park Fund makes a positive societal impact by stimulating science parks in the Netherlands, by investing in real estate for the broad range of functions that are needed for science park ecosystems to thrive. To achieve this goals, the Fund partners with (semi) public entities, e.g. universities and local governments, as well-functioning science park ecosystems require both public and private real estate investments. The Fund aims to invest at least 50% of its portfolio in assets with defined impact characteristics.
If at least 50% of the total investment in an object meets the Impact investment criteria, the total investment is classified as Impact investment. The rationale for this is the characteristics of Science park investments, making the share that does not meet the Impact investment criteria a crucial and integral element of the total investment. Without it, the total investment is not possible and no impact is made.
Theme 3. Renewable Energy
ASR Renewables makes Impact investments through acquiring and managing wind farms and a solar farm. So far, the wind turbines and solar panels have a combined capacity of 205 megawatt, which is comparable to the power supply of 220.000 households. Investments in Renewable energy are reported via special purpose vehicles (SPVs) and consolidated on the balance sheet of ASR Nederland taking into account PPA, long-term debt, existing obligations, and necessary permits and obligations. These SPVs are potential Impact investments and are reviewed against the GIIN criteria. If an SPV indeed qualifies as Impact investment, the net year-end equity position of the SPV is reported as Impact investment at fair value.
Mortgages
a.s.r. defines mortgage loans that make a positive contribution to solving one or more problems in the societal (both social and environmental) field as impact investments. And more specifically, where governments and civil society organisations are not sufficiently able to solve certain (persistent) societal issues on their own. The main target is to generate a measurable positive impact on a sustainable future for people and the planet. These investments are visible in (parts of) concrete products and services. Financial return is important, but not the most important. Currently the Verduurzamingshypotheek, het Energy Saving Budget (Energiebespaar Budget) and the Energy Savings Facilities (Energiebesparende Voorzieningen), which can only be used for housing improvements aimed at sustainability, are in line with this definition and are included in a.s.r.'s impact investment figures. Examples of sustainable housing improvements financed through these products include insulation solutions, solar panels and heat pumps. It is noted that the initial mortgage amount for sustainable housing improvements is reported.
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