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 2023 and lasting up to and including 31 December 2023. The financial information in this Annual Report has been consolidated for a.s.r. and all its group entities. All qualitative information relates to a.s.r. as a whole, unless a specific business line is explicitly mentioned. All non-financial quantitative information includes a.s.r. and its group entities, but excludes Aegon NL, unless stated otherwise. The full list of principal group companies and associates can be found in section 7.4.1.

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 section 9.5. 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 2023 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 (section 8.3), conducted with the Executive Board and different a.s.r. stakeholders.

The definitions and, if relevant, calculation methods of indicators are explained in section 9.1. Due to the migration to a new HR system as of 2021, it is not possible to validate the 2019-2020 data for the HR indicators ‘Equivalent working time spent on training’ and ‘Average days of training per employee that followed training’, Because of this, the decision is made to not disclose these figures.

Process

The information in this Annual Report is delivered by various staff functions 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 Group Finance & Risk Reporting, and the Director Corporate Communication. The working group consists of the suppliers of the quantitative and qualitative information. The review group is represented by board members and 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 A&RC and the SB. 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 2023 have been audited by a.s.r.’s external auditor, KPMG. KPMG’s audit opinion can be found in section 8.6, included in the Annual Report. The information related to the EU Taxonomy Regulation (section 6.2.4) and related to the EU Directive on the disclosure on non-financial and diversity information (section 9.5) have not been subject to limited or reasonable assurance.

In addition to the financial results, KPMG performed a review of the non-financial information in this Annual Report. In 2023, the KPIs mentioned below were audited with a reasonable level of assurance:

• Carbon footprint of portfolio for own account in % reduction compared to baseline year 2015;

• Impact investments;

• Relational Net Promoter Score;

• Sustainable reputation;

• Employee Engagement;

• 23 selected HR related indicators.

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 8.7. The SB, EB/MB, and senior management are involved in seeking external assurance for the organisation’s non-financial information.

Carbon footprint investment portfolio

The non-financial target regarding the carbon footprint is a 65% reduction of the emission intensity figure relative to the baseline year 2015 (2019 for Real estate¹). The figures are presented in the total scope 1+2 emissions in tonnes CO₂ per € 1 million internally managed assets under management (AuM) for its own account, and the percentual reduction of this emission intensity rate compared to the baseline year. The carbon accounting methodology that is applied is the PCAF methodology. In line with the PCAF methodology, a.s.r. follows the financial control consolidation approach. 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 emission intensity figure is calculated by dividing the total CO₂ footprint by the total AuM in € millions as per balance sheet per year-end. a.s.r. does not make use of any emission removal options for the carbon footprint of its portfolio for own account.

Coverage

The portfolio for own account is divided in three categories: asset management, real estate and mortgages. Asset management includes the asset classes equity, credits, and bonds. Real estate distinguishes buildings and rural real estate. For mortgages, the entire mortgage portfolio is covered.

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 baseline year 2015 is based on the portfolio approach. The 2022 and 2023 AuM is based on the look-through approach. Data, including emission factors, are derived from external data providers Moody's (credits and equity) and Eurostat (bonds).

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 (excluding the head office in Utrecht, as these CO₂ figures are included in the footprint own operations in section 3.5.1).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. The emission factors are derived from CRREM. For rural real estate, external knowledge and consultancy organisation NMI – specialised in soil quality – determined the CO₂ footprint for rural real estate based on scientific research. This research was reviewed by an independent expert from the Wageningen University.

Mortgages

For mortgages the CO₂ 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 attribution factor that is applied is the ratio between the outstanding amount to the current market value at year-end. The input data, including emission factors, is derived from external sources Netherlands Enterprise Agency (Rijksdienst voor Ondernemend Nederland), Calcasa and Statistics Netherlands (Centraal Bureau voor de Statistiek), and is in line with PCAF.

Baseline (re)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.

Carbon footprint insurance portfolio

a.s.r. has applied the methodologies as prescribed by the PCAF standard part c – insurance-associated emissions to measure the insurance-associated emissions of its private passenger car insurance portfolio and of its commercial insurance portfolio.

The figures for private passenger car are calculated by multiplying the emissions factor of the private passenger car - as derived from the RDW (by make/model/fuel type) multiplied with the mileage - with the industry attribution factor (6,99% as derived from PCAF).

The insurance-associated emissions of the commercial portfolio have been calculated by multiplying the emission factor of the commercial customers (for scope 1 and 2 only as for scope 3 numbers are not (fully) available) -as derived from the PCAF database by sector - with the premium of the commercial customers.

Coverage

The figures include the private passenger car and commercial insurance portfolio of P&C for its provincial channel and mandated agents channel.

The total measured insurance associated emissions represent 81% of the total P&C portfolio in scope of the PCAF standard part c – insurance associated emissions, and represent 57% percent of the total P&C portfolio. In line with other non-financial information in this Annual Report, Aegon NL data is not included in these figures.

Proxy’s used

For the provincial insurance portfolio, a.s.r. has calculated the insurance-associated emissions in accordance with the above methods.

In addition to the provincial P&C channel, a.s.r. also sells its insurance products through the mandated agents channel. As indicated above, the necessary data is available in the provincial channel so that insurance-related emissions can be calculated in this channel in accordance with the aforementioned PCAF measurement methods. Such data is not (yet) available to a.s.r. in the mandated agents channel. The division over the sectors (in percentages) in the provincial channel has therefore been used as a proxy for determining the share per sector in the mandated agents channel. Other required data, such as the premium, are available to a.s.r. in the mandated agents channel.

The same applies to make/model/fuel/mileage of private passenger cars. As indicated above, the necessary data is available in the provincial channel so that insurance associated emissions can be calculated in this channel in accordance with the earlier mentioned PCAF measurement methods. The data is not (yet) available to a.s.r. in the mandated agents channel. The make/model/fuel/mileage division in the provincial channel has therefore been used as a proxy for determining the share per make/model/fuel/mileage in the mandated agents channel. Other required data, such as the number of passenger cars, are available to a.s.r. in the mandated agents channel.

Data quality

PCAF distinguishes between 5 data quality scores, depending on the availability of data to derive the insurance associated.

The earlier mentioned methodology used to measure the insurance associated emissions in the private passenger car insurance portfolio corresponds with data score quality level 1b of the PCAF standard for insurance associated emissions.

The earlier mentioned methodology used to measure the insurance associated emissions in the commercial insurance portfolio corresponds with data score quality level 5 of the PCAF standard for insurance associated emissions.

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:

  • A company or government must comply with the general SRI policy.

• 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;

• International listed real estate.

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 € 1,350. 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.

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.

Renewable energy

ASR Renewables makes Impact investments through acquiring and managing wind farms and a solar farm. 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.

International listed real estate

a.s.r. real estate investment partners makes impact investments through its investments that contribute to the UN SDGs in three ways: affordable housing, green buildings, and health. For each investment, an investment proposal showcases if that investment meets the GIIN requirements for impact investments. If all requirements are met, the investment qualifies and is reported as impact investment.

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 sustainability mortgage (Verduurzamingshypotheek), the 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.

• ¹The % carbon reduction of investment own assets figure is calculated relative to baseline year 2015. Real estate has been added to the scope since 2019. The impact of the addition of Real estate in 2019 on the % carbon reduction of investment own assets figure has been corrected for using an indexation method. It is noted that Real estate has not contributed to the % carbon reduction of investment own assets realized in the period 2015-2019. This method is consulted with and agreed by the external auditor KPMG.