Annual

Report 2022
 ABP Annual Report 2022 2

Contents
100 years of ABP – With a good pension, we can go further Personal pension assets offer 22
greater scope
In 2022, ABP celebrated its one hundredth anniversary: a historic milestone With a team of thirty professionals within the
and an opportunity for reflection with our stakeholders. As well as looking
Ministry of Social Affairs and Employment, Roger
back at the highlights and challenges of the past century, we took the
Planje is focusing on preparations for and the
opportunity to look ahead at how we as a pension fund can contribute to
financial security and social stability. introduction of the Future of Pensions Act.

A pension fund like ABP can 67 Clarity is a key concern 82

start a larger movement
In addition to his daily work as HRM manager
Anita de Horde co-founded the Finance for at University Medical Center Groningen, Eric van
Biodiversity Foundation. Starting in 2020 with Boven devotes at least one day a week to his
a group of 26, the foundation now comprises role on the Accountability Body. In 2022, he was
130 international financial institutions which elected for a third term as a representative of
have committed to contribute to nature and the employees.
biodiversity conservation.
 ABP Annual Report 2022 3

ABP at a glance 4 Financial statements 115

Profile 5 Company financial statements 116
Key figures 6 Consolidated financial statements 179
Multiyear figures 7
How ABP adds value 9
Value creation model 10
100 years of ABP 12 Other information 207
Provisions in the articles concerning profit appropriation 208
Actuarial certificate 209
Independent auditor's report 211
Board report 14 Assurance report of the independent auditor 228
Foreword 15 SFDR annexes 232
Trends and developments 18
Our strategic direction 23
What is important to our stakeholders 27
Results in 2022: participants and employers 32 Supplementary information 264
Results in 2022: a livable world 56 About this report 265
Results in 2022: solid and professional organization 68 GRI content index 268
Risk management 73 Memberships and commitments 271
Clarity is a key concern 82 Personal details 272
Governance 83 Abbreviations and definitions 278

Accountability and supervision 92

Report of the Non-Executive Board 93 Reader's guide
Report of the Accountability Body 97 Pensions are a complex subject. In addition, we are obliged to report on certain elements
Opinion of the Accountability Body 107 in our annual report. Although we aim to explain everything to readers in the clearest
possible way, it is not always possible to avoid the use of fixed terms. These terms are
explained or defined in the Glossary at the end of this annual report.
Contents ABP at a glance ABP Annual Report 2022 4

ABP at a glance
Contents Profile ABP Annual Report 2022 5

Profile
More than three million participants and almost 3,500 employers in the
government and education sectors, as well as a number of independently Get to know ABP
affiliated employers, have entrusted their pensions to ABP, one of the
Building a good pension together in a livable world

3.0 3,459
largest pension funds in the world. It is our duty to implement the
pension scheme as established by our social partners on the Dutch Pension million
Board (Pensioenkamer). ABP determines the strategy and policies, while the participants employers
administration of the pension scheme has been outsourced to APG. ABP has
offices in Heerlen and Amsterdam.

A good pension for our participants, which they can enjoy in a livable world. Core values
That is ABP’s mission. We believe in the power of sharing both risks and good
fortune, and of harnessing economies of scale. Participants and employers We are engaged with each participant
pay contributions that we invest in a professional, sustainable and responsible
manner to accrue and preserve pension capital.
We are professional
Our goal is to be the preferred pension fund for participants and employers.
We achieve our goal by putting participants and employers at the center of our
services, by making every effort to provide good pensions for the future, and by We work in a sustainable way
ensuring that pensions remain an attractive employee benefit.

€459.5 39
billion of employees at
available assets year-end (37.5 FTEs)
 Contents Key figures ABP Annual Report 2022 6

Key figures
Performance in 2022 and goals for 2025

Sustainable and responsible investing

% of assets invested in SDGs 20%
Active participants Pension contributions Funding ratio Goal for 2025 20%

1,232,782 12,993 110.9% Invested in SDG 7

Affordable and
(€ million)
clean energy €18.4 billion
2021: 1,203,358 2021: 12,720 2021: 110.6%
Goal for 2025 €15 billion

Former participants Pension benefits Policy funding ratio

783,397 13,712 118.6%

CO2 footprint of equities
portfolio compared with 2015 -58%
(€ million) Goal for 2025 -40%
2021: 940,146 2021: 12,908 2021: 102.8%

Pensioners Provision for pension Discount rate NPS

997,317 liabilities
2.57% Participants Employers

414,265 -27 31
(€ million) 2021: -23 2021: +22
2021: 974,772 2021: 498,797 2021: 0.57%
Increase
Affiliated employers Available assets Total return Ambition on January 1

3,459 459,495 -17.6%

2023: 11.96% 2022: 2.39%

Actual

11.96% 2.39%
(€ million)
January July
2021: 3,468 2021: 551,644 2021: 11.4%
1, 2023 1, 2022
For an explanation of the terms used, see the glossary on page 278.
Contents Multiyear figures ABP Annual Report 2022 7

Multiyear figures
2022 2021 2020 2019 2018

Total assets (A) (in € mln) 459,495 551,644 495,335 465,619 398,971
Retirement and surviving dependants' pensions 412,207 496,768 527,935 473,558 409,486
Incapacity pension 1,986 1,912 1,832 2,664 1,414
Policyholders' risk 73 117 98 108 108
Provision for pension liabilities (B) (in € mln) 414,265 498,797 529,865 476,330 411,008
General reserve (C= A-B) (in € mln) 45,230 52,847 -34,530 -10,711 -12,037
Funding ratio (A/B) (in %) 110.9 110.6 93.5 97.8 97.1
Discount rate as at year-end (in %) 1
2.57 0.57 0.19 0.74 1.39

Policy funding ratio (in %) 118.6 102.8 87.6 95.8 103.8

Minimum capital requirement (+ 100) 104.2 104.2 104.2 104.2 104.2
Capital requirement (+ 100) 128.8 126.3 125.8 126.7 128.2
Real funding ratio (in %) 90.7 83.6 72.1 77.5 84.9
Future-proof indexation funding ratio (in %)2 130.8 123.0 121.4 123.6 122.2
Pension contributions (net) (in € mln)3 12,993 12,720 11,741 11,041 10,267
Pensions (in € mln) 13,712 12,908 12,382 11,597 11,110

Numbers (year-end) -
Participants 1,232,782 1,203,358 1,178,215 1,150,592 1,128,671
Former participants 783,397 940,146 930,241 954,702 952,476
Pensioners 997,317 974,772 943,318 910,741 886,529
Total 3,013,496 3,118,276 3,051,774 3,016,035 2,967,676
Affiliated employers/sub-employers 3,459 3,468 3,557 3,593 3,643
Employed by ABP (average) 39 42 43 43 42
Employed by consolidated entities 3,300 3,124 3,013 2,939 3,152

1 Based on the interest rate term structure published by De Nederlandsche Bank (DNB, Dutch Central Bank)
2 This is based on the amended indexation ambition as of january 2016 and/or the price development.
3 2022: excluding VPL buy-in
Contents Multiyear figures ABP Annual Report 2022 8

2022 2021 2020 2019 2018

Other information
Contribution rate for retirement and surviving dependants' pensions in % 24.4 24.4 22.4 22.9 21.9
Contribution rate and recovery supplements 1.5 1.5 2.5 2.0 1.0
Contribution rate for incapacity pension, average (in %) 0.6 0.7 0.8 0.5 0.5

Price indexation (in %)1 11.96 2.39 0.71 2.84 2.08

Indexation declared for coming year (in %)2 14.35 0 0 0 0
Cumulative indexation arrears (in %) 3
19.95 22.82 19.95 19.11 15.82

Asset management expenses in % (excl transaction costs) 0.51 0.98 0.66 0.57 0.6
Transaction costs 0.12 0.10 0.12 0.09 0.10
Pension administration costs per participant (in €) 89 72 67 68 72
Service score (CEM max = 100) 4
80 87 86

Z score 1.4 -0.1 1.2 -1 0.7

Performance score (norm: > 0) 2.4 2.0 2.2 2.4 3.5

Return total (= direct + indirect, in %) -17.6 11.4 6.6 16.8 -2.3

Total return, 3-year average (in %) -0.7 11.5 6.8 7.1 4.8
Total return, 5-year average (in %) 2.2 7.9 7.5 6.7 6.2
Total return, 10-year average (in %) 5.1 8.5 7.7 8.4 8.7
Total return, 15-year average (in %) 5.1 6.7 6.6 7 6.6

1 Statistics Netherlands’ Consumer Price Index (CPI) (reference period of September 1, 2020 to September 1, 2022).
2 Indexation of 2,39% as of July 1, 2022. 11,96% as of January 1, 2023.
3 Calculated from the introduction of the average salary scheme (2003)
4 The 2022 service score will not be available until after the annual report is published.
Contents ABP Annual Report 2022 9

How ABP adds value

ABP is responsible for the pensions of over
three million participants. We aim to give
our participants peace of mind and control
over their pensions. We also aim to ensure
they can enjoy their pensions in a livable
world. That’s why we invest sustainably. As
the largest pension fund in the Netherlands,
we also have a social function. Through our
pensions, we can therefore add value in a
variety of ways.
 Contents Value creation model ABP Annual Report 2022 10

How ABP adds value – Overview

Strategy and Adding ­ Social ­
Input implementation value for Output contribution and impact

sion administr
Pen managem ation
and ent Pension value for Confidence in their
Human and intellectual all participants pension
Largest pension fund in Income and improved
Participants
the Netherlands prosperity
Sharing and
managing risks
Building

cl e a rl y
a good

ide ins ht
Return and

ig
pension funding ratio
together

d p ic a t e
Social and relational
M a k pt i m

Employers Pension

rov
an m u n
Participants as an attractive
o
i ng al

employee
Employers
m
Co benefit
Social relations
re

ur
t

ns

Financial Cost-conscious administration Livable world Sustainable and

responsible
Opening balance of Sustainable and responsible
investing Contribution
available assets asset management
to a livable
world

Solid foundations / professional organization

 Contents Value creation model ABP Annual Report 2022 11

How ABP adds value

Strategy and Adding ­ Social ­
Input implementation value for Output contribution and impact

Pension value for all participants Confidence in their pension

Average increase in value Number of participants
Human and intellectual of contribution 200 - 300% receiving an ABP benefit
Largest pension fund in at year-end 2022:
Participants Average net pension
the Netherlands benefit in 2022 € 10,489 Pensioners 734,095
100+ years of pension
Increase/reduction in pension 14.35% Surviving dependents 207,614
expertise, experience,
and insights Participant satisfaction Orphans 8,237
Building Incapacitated for
a good
pension work 47,371
together
Social and relational Employers Return and funding ratio Pension as an attractive
Participants 3.0 million employee benefit
Funding ratio 110.9%
Boosting employees’ loyalty
Employers 3,459 Closing balance of
available assets € 459.5 billion to their employer

Annual return -17.6%

Five-year return (average) 2.2%

Financial Cost-conscious administration Livable world Sustainable and responsible investing Contribution to a
livable world
Opening balance of Pension management administration Climate change Investments in green, social,
available assets costs per participant € 89 and energy transition and sustainable bonds € 17.9 billion % of assets invested
€ 551.6 billion in SDG’s 20%
Asset management costs 0.63% Conservation of Reduction in CO2 footprint -58%
Pension contributions in of assets invested natural resources
2022 € 13.0 billion
Sustainable and responsible
asset management

Solid foundations / professional organization

 Contents 100 years of ABP ABP Annual Report 2022 12

100 years of ABP in 2022

› Watch the video A good pension will take
us further
The year 2022 was an anniversary year for 100 years of history
the largest pension fund in the Netherlands.
We celebrated our 100-year anniversary first The passing of the Pensions Act in 1922
and foremost with our stakeholders, participants laid the foundations for the collective
and employers. It made for a wonderful overview pensions in the Netherlands, and thus for
of the history, growth and future of ABP. one of the most sound pension systems
ABP was founded in 1922 as the pension fund We also asked three stakeholders how they, in the world.
based on their involvement and expertise, view
for the public sector and education. We the question of how pensions can bring us all › View our history
– participants, employers, society and the world
reflected on this milestone together with APG
we live in – further forward. These interviews
in a number of ways in 2022, by looking back, are interspersed throughout the Board report.

but most importantly by looking forward.

Because the last century has shown us that
a good pension will take us further.
In an entirely different and changing world,
we continue to stand for the same values as Dutch pension
fund
100 years ago, with a sharp focus on the
challenges of today, tomorrow and the future.
 Contents 100 years of ABP ABP Annual Report 2022 13

Encounters: a road trip across the Netherlands

with ten different generations

A road trip right across the Netherlands, which saw ten

Dutch citizens, each born in a different decade, engage in
100 stories a dialogue with each other. About the Netherlands of the
past, today and the future. About their dreams, worries
What does a pension and ambitions. A journey rich in encounters.
really mean to people?
ABP and APG employees
went looking for stories. › Watch the documentary

› View all stories

The meeting

We are on the verge of updating our pension system.

We also face huge challenges in areas such as sustainability,
quality of life and work. APG and ABP both invited 100 people
to take part in a discussion.

› View all meetings

100 years of ABP

‘Women and income’ exhibition
We look back, pause to
reflect on today and We looked back at the 100-year struggle for equal
continue to work rights and equal treatment for women and men and
together towards a good looked forward to what lies ahead for this struggle.
pension for everyone. Sophie van Gool opened this exhibition in Heerlen.
Subsequently, the exhibition travelled across the
› Watch 100 years of Netherlands.
ABP at a glance
Contents Board report ABP Annual Report 2022 14

Board report
Contents ABP Annual Report 2022 15

Foreword
Last year, we were able to increase
the pensions of our more than
three million participants. That’s excellent
news, particularly in these times of high
inflation. If you look at ABP’s funding
ratio at the beginning and end of 2022,
it doesn’t seem as if much has changed.
But that seemingly stable figure masks a
tumultuous year.
Contents Foreword ABP Annual Report 2022 16

A welcome increase for our participants will come into force on 1 July. It will ensure that pensions are clearer and more
personal, and that pension accrual is better aligned with the more dynamic
The year in which ABP turned 100 was a year of unprecedented turbulence, careers of many participants.
with global turmoil and uncertainty due to the war in Ukraine, plummeting
stock markets, rising energy prices, climbing interest rates and inflation at a
record high. Despite all that, we were able to increase pensions twice. How this A good pension in a livable world
increase will affect our participants became clear to me in early 2023 when I
attended the National Education Expo. A retired couple sought me out to thank Given the developments in the world, merely providing a pension with good
me for raising their pensions. It was inspiring to see our participants’ happiness purchasing power is no longer sufficient. As ABP marks its one hundredth
with my own eyes. Encounters like these are why we do what we do! anniversary, there are many complex issues that must be solved: climate
change and the loss of biodiversity and natural spaces represent increasing
The increase in our participants’ pensions was only possible because ABP’s risks for us all. Participants and employers are asking us to fulfill a broader
financial position allowed it. We were also able to take advantage of more range of responsibilities. Accordingly, in 2022 we expanded our ambition:
flexible rules, because we had declared our intention to switch to the ABP will provide a good pension in a livable world. With investable assets
revamped pension system. Our social partners had expressed the same of over 459 billion euros, we can and we want to make a difference. That
intention. This allowed us to achieve our ambition to provide our participants is why we consider returns, risk, costs, and sustainability performance with
with an indexed pension. Naturally, we completed thorough calculations and every investment decision we make. Based on scientific research and our
made a careful and balanced consideration of all the interests involved. own experience, we are convinced we can increase the sustainability of our
investment portfolio without compromising returns. As a first step, in late 2022
we adopted a new and ambitious climate policy for our investments. We will
Moving to a new system with confidence take further steps in 2023. The bar has been significantly raised.

There is, however, a complex story behind the increases. Pensions are We are not initiating this change on our own. In 2022, we spoke with
sometimes not increased even when the economy is doing well. In addition, participants, employers, and other stakeholders, such as experts from the
the old pension rules did not work well for people who frequently change government, the business community, academia, and social organizations. We
employers. This is among the many reasons why it was necessary to change wanted to hear their experiences and views, and share the direction in which
the system. We were therefore happy to see significant steps being taken in we want ABP to head. Together we can go further, and we will need each other
2022 towards the introduction of the Future of Pensions Act (Wet toekomst if we’re going to successfully tackle the major challenges facing society.
pensioenen, Wtp). We think it’s important that the good aspects of the current
system be retained. In the new system, we will continue to share in each other’s ABP has also worked hard on its own organization, including introducing a new
bad luck and good fortune, and participants will get a pension for the rest of governance model. Our experiences over the past twelve months have shown
their lives. They must be able to count on that. We sincerely hope the new Act us that our new governance structure enables us to operate more decisively.
Contents Foreword ABP Annual Report 2022 17

A word of thanks in a livable world. We will actively work to achieve a sustainable and stable
pension system based on collectivism, while preserving solidarity.
The level of engagement from participants, employers and other stakeholders
which the Board was privileged to witness in 2022 was heartening. I would Pensions are directly linked to the uncertainties of life. They are a mechanism
therefore like to take this opportunity to personally thank everyone who made based on sharing successes and collectively dealing with setbacks and bad luck.
a contribution. In a world of increasing individualization and polarization, every day workers in
In a year of major changes both internally and all around us, our ABP the government and education sectors look for the things that connect us, so
colleagues likewise did a tremendous job. They enabled the Board to make we can collectively advance as a society. As a pension fund for the government
decisions in a deliberate, well-informed manner. To this end, they worked and education sectors, we are proud to share those values.
closely with APG, our pension administrator, whose staff members also did
a great deal of hard work. I extend many thanks and compliments to them, also Harmen van Wijnen
on behalf of my two colleagues on the Executive Board. Chair of the Executive Board of ABP

I would like to express a special word of thanks to Corien Wortmann,

whose term of office ended in late 2022. In the eight years in which Corien
was Chair of the General Board, we came to know her as knowledgeable,
experienced and affable professional who served the interests of participants
and employers with enthusiasm. We would like to extend our warmest thanks
for her boundless dedication. We will miss her. However, in Loek Sibbing we
have found an experienced and expert successor.

Collectivism and solidarity remain important values

We embark on 2023 with confidence. It will undoubtedly be another

tumultuous year. It will also be the year of the introduction of our tightened
strategy, which includes a focus on pensions as an attractive employee benefit

Blog by Harmen van Wijnen

Harmen van Wijnen regularly writes a personal blog on current
issues: abp.nl/over-abp/actueel.
Contents Trends and developments ABP Annual Report 2022 18

Our environment
in 2022
During the reporting year, the world
around us was characterized by turmoil
and increasingly urgent challenges. ABP was
impacted by these developments. At the
same time, as a major financial institution
with a social function, we are fully aware
that we also have an impact on the world
around us. In this section, we outline the
key developments, how ABP dealt with
them, and how we have tried to create a
positive impact.
Contents
Inhoud Trends and developments
en ontwikkelingen ABPABP
Annual Report 2022
Jaarverslag 19

Economie en financiële markten: een slecht beleggingsjaar. Voor pensioenfondsen overheerste het derde gevolg
historisch hoge inflatie, beurzen in de min van de rentestijging: de waarde van de pensioenverplichtingen nam sterk af,
waardoor de dekkingsgraad verbeterde, ondanks de negatieve rendementen.
Begin 2022 zagen we de inflatie al toenemen. Dit werd versterkt door de
The economy
Russische and financial
inval in Oekraïne, markets:
waardoor olie-, gas- en voedselprijzen sterk Against
De this background, halfway
vermogensbeheerkosten through
van grote 2022 ABP was
institutionele able tozijn
beleggers increase
al jaren
historically
stegen highnog
en de inflatie inflation, falling
harder opliep. stock
Centrale markets
banken moesten ingrijpen en pensions
een for the first vraagstuk:
maatschappelijk time since zijn
2008,
zeby
in 2.39% – the en
verhouding same percentage
acceptabel? as
Deze
verhoogden de rente. Dit betekende een ommezwaai op de financiële markten, the price
vraag indexation
heeft for 2021.
ook al langer After careful
de aandacht consideration
van het of all
ABP-bestuur. interests in
In 2022
When
die 2022 began,
jarenlang inflation
te maken wasgehad
hadden already onstimulerend
met the rise. It was exacerbated
monetair beleid.by the combination
hebben with
we een the financial
onderzoek naarposition of ABP, at the end of 2022
de vermogensbeheerkosten latenituitvoeren.
was
Russian
De invasion of Ukraine,
financieringslasten stegenwhich caused a sharp
en economische rise in oil, gas
vooruitzichten and food
verslechterden, decided to increase
Kostenbewustzijn is pensions for de
ook een van 2023 by 11.96%,
belangrijke which is equal
focuspunten to the price
in onze
prices
met alsand steepened
gevolg the increase
dat de waarde in inflation.obligaties
van bestaande Central banks were forced
sterk daalde en to indexation for 2022. A more detailed explanation can be found in the ‘Adding
nieuwe beleggingsovertuigingen.
intervene
ook and van
aandelen put bedrijven
up interest rates. waard
minder This ledwerden.
to a seaGelijktijdige
change in the financial
verliezen op value for participants and employers’ section.
markets,
aandelenwhich had benefited
en obligaties, from monetary
de afgelopen stimulus policies
jaren ongebruikelijk, for many
maakten 2022 years.
tot Tegen deze achtergrond was het halverwege 2022 voor het eerst sinds 2008
Financing costs went up and the economic outlook worsened, resulting in a mogelijk voor ABP om de pensioenen te verhogen, met 2,39% - hetzelfde
steep drop in the value of existing bonds. Company stocks also dropped in percentage als de prijsindexatie over 2021. Na een zorgvuldige afweging van
value. Simultaneous losses on equities and bonds, uncommon in recent years, alle belangen in combinatie met de financiële positie van ABP is eind 2022
made 2022 a bad investment year. The third consequence of the interest besloten om de pensioenen voor 2023 te verhogen met 11,96%, gelijk aan de
New pension system provides opportunities for participants
rate hikes was the dominant one for pension funds: the value of pension prijsindexatie over 2022. Een uitgebreidere toelichting staat in het hoofdstuk
The transition to the new pension system is one of the biggest
liabilities decreased markedly, which improved the funding ratio, in spite of Waarde toevoegen voor deelnemers en werkgevers).
changes in the history of Dutch pensions. ABP has the duty to
the negative returns.
carry out this major task in a controlled and balanced way by the
set deadline. We are confident that we can do so, but clarity with
The asset management costs of large institutional investors have been a social Wet toekomst pensioenen naar Eerste Kamer
regard to the legislation is urgently needed. ABP has set up a large-
issue for years: are they proportionate and acceptable? This question has
scale program for the introduction of the new pension contract
been the subject of attention from the ABP Board for some time. In 2022, we De Wet toekomst pensioenen (Wtp) is in maart 2022 aangeboden aan de
(NPC), in close collaboration with APG, which has its own program.
commissioned an investigation into asset management costs. Cost awareness Tweede Kamer. ABP heeft samen met vier andere grote pensioenfondsen een
By proceeding carefully and communicating effectively, we will try
is also one of the key focus points in our new Investment Beliefs. brief geschreven aan de Tweede Kamer, waarin wij aangaven waarom we het
to address concerns and avoid possible misunderstandings. Our
belangrijk vinden dat het nieuwe stelsel er komt: doordat pensioenfondsen
calculations show that, in general, the system has the potential to
een minder grote buffer hoeven aan te houden, geeft het meer kans op een
work out well for our participants. Because ABP is not required
hoger pensioen als het economisch goed gaat. Dat is logischer en daarmee
to hold large buffers, pensions can be increased more quickly
begrijpelijker voor deelnemers. Bovendien past het nieuwe stelsel bij onze
when the economy is doing well; at the same time, there is an
veranderende arbeidsmarkt. Op 22 december 2022 is de wet aangenomen
opportunity to cut pensions during economic slowdowns. The NPC
door de Tweede Kamer. De verwachting is dat de Eerste Kamer de behandeling
allows risks to be evenly distributed across all participants, and
van de wet in 2023 voor de zomer afrondt.
limited where necessary.
Contents Trends and developments ABP Annual Report 2022 20

important task now is to ensure all administrative records and all our processes
are in order, to ensure that we will be ready to switch over smoothly to the NPC
by the set deadline and that participants can continue to have confidence in
their pensions.
Future of Pensions Act submitted to the Dutch Senate
To address this challenge and other challenges in areas such as sustainability,
The bill for the Future of Pensions Act was submitted to the Dutch House of ABP introduced a new one-tier governance model on January 1, 2022. Under
Representatives in March 2022. Together with four other large pension funds, this new model, ABP has a General Board consisting of an Executive Board and
ABP wrote a letter to the House of Representatives in which we explained a Non-Executive Board. The sector is following this change with interest. We are
why we thought it was important that the new system be introduced. Under happy to provide information to stakeholders about our experiences with the
the proposed new legislation, funds would not be required to hold such large new governance model, and to share the lessons we have learned (see also the
buffers, creating more opportunities to raise pensions when the economy is ‘Governance’ section).
doing well. That is more logical and thus easier to understand for participants.
Moreover, the new system is a better fit for our changing labor market. The
bill was passed by the House of Representatives on December 22, 2022. The
Senate is expected to pass the bill by the summer of 2023.

ABP has been preparing for the introduction of the new pension contract (NPC)
for some time. Our social partners on the Pension Board will determine the
content of the scheme, based on the new legislation. In 2022, ABP supported Sustainability: a greater focus on nature and biodiversity
the Pension Board by sharing its subject-matter knowledge and guiding the
Board through the process. The Pension Board has formed working groups to We invest with impact, and changes in the world also have an impact on us.
clarify the decisions it will need to make during the transition to the NPC. The The climate, nature, and biodiversity continued to be important themes in the
working groups are also giving attention to how the complexity of the existing world around us in 2022. During the UN climate summit in Egypt, delegates
pension scheme can be reduced during the transition. The Pension Board will discussed the fact that the world is not on course to limit global warming to two
have to make a decision about this too. degrees: if we continue on our current course, the temperature rise will reach
2.8 Celsius by the end of this century. One-third of the world’s population is
It is important that we ensure that participants and employers feel properly ill prepared for the natural disasters that will ensue. ABP is committed to the
included in the implementation of these upcoming changes. For ABP, the most Paris Climate Agreement, which is based on maximum global warming of 1.5
degrees Celsius.
Contents Trends and developments ABP Annual Report 2022 21

We want our participants to be able to enjoy a good pension in a livable world. On the other hand, the shortages also had an effect on ABP as a knowledge-
That’s why we believe it is important to invest sustainably. By investing in intensive organization. We continue to raise our profile as an attractive
companies and projects that contribute to important transitions in our world, employer in our search for staff who feel a connection with our mission. In
we reduce the climate risks in our investment portfolio and take advantage of 2022, we restructured our organization and invested in further development.
opportunities that arise in innovative companies and emerging sectors. With This should help us to attract and retain good people. APG, our pension
our investments, we can and we want to contribute to a sustainable, fair administrator, has also been dealing with this challenge. We regularly discuss
economy, in which possible environmental impacts are reflected in costs. this at Board level, as ABP has a direct interest in the continuity and
professionalism of APG being safeguarded.
We recognize the urgency and necessity to accelerate. ABP is already in
the process of tightening its sustainable and responsible investment policy.
In 2022, we made adjustments to our Investment Beliefs and published a
new climate-related voting policy and a new climate policy. As part of this
process, ABP conducted dialogue sessions with advocacy organizations. We
incorporated their input and knowledge into our preparations for tightening
our sustainable and responsible investment policy, along with scientific insights
and input from stakeholders. More detail can be found in the ‘Contributing to a
livable world’ section. Decreasing impact of Covid

On the whole, Covid had less of an impact than in previous years. We

have learned to live with coronavirus, also given the levels of immunity
acquired through vaccinations and previous waves. In the new life expectancy
estimate from the Royal Dutch Actuarial Association – which ABP uses for
its contribution calculations – there are no apparent long-term effects from
the Covid pandemic. More information on this topic can be found in our
Labor market shortages noticeable in all sectors explanation of development of contributions.

In 2022, labor market shortages were felt in all sectors across the Netherlands.
On the one hand, this increased the importance of pensions as an attractive
employee benefit. Pensions can also be used as a tool for long-term
employability and thus staff retention.
 Contents ABP Annual Report 2022 22

100 years of ABP – With a good pension, we can go further

With a team of thirty professionals within
the Ministry of Social Affairs and Employment,
Roger Planje is focusing on preparations for
and the introduction of the Future Pensions
Act (WTP).

‘The original intention of employers when they created pensions

was to alleviate the suffering of widows and orphans and prevent
poverty in old age. These days, pensions have a different function:
how do participants want to spend the third stage of their lives?
Today’s civil servants, and I see this in my own team as well,
no longer spend forty years working for the government. And
conversely, people are increasingly joining the civil service from
the private sector. The new pension system is a better fit for
this changing labor market. Because instead of entitlements, as a
participant you accrue personal assets that are easily transferable.
It’s also more transparent. In the current system, pension funds
sometimes made promises they were unable to keep: they saw

‘Personal their assets increase, but were not allowed to raise pension
payments accordingly. With the new pension system, that will be a

pension assets thing of the past.

provide more A personal pension pot fits in well with the trend towards
individualization. Fortunately, there will still be solidarity in the

scope’ new system, and participants will still all share in the risks. I can
also see it having a positive social effect: since you can be more
flexible with your personal pension pot, there’s greater scope for
Roger Planje
things like voluntary work and informal care. Pension funds will
Pensions Program Director for the Ministry of
need to carefully guide their participants through the transition
Social Affairs and Employment
to the new system. For example, how will calculations be done
at the moment of transition, and what individual decisions must
be made? We’re going to include standards for decision-making
guidance in the legislation.’
Contents Our strategic direction ABP Annual Report 2022 23

Working together to
build a good pension
in a livable world
In 2022, the strategic plan was extended by
one year. We did this deliberately, so that
the strategy for 2023 to 2025 can be shaped
within the new governance structure. In this
section, we outline our progress towards the
goals set for 2022 and explain what we have
done to tighten our strategy.
Contents Our strategic direction ABP Annual Report 2022 24

Building a good pension together

Our strategic roadmap

Attractive employee Good pension

Good services
benefit for the future

1 Our pension 2 Our asset 3 Our pension 4 Our financial 5 We are committed 6 We are the
management management scheme is ­simple, structure has an to a good pension pension experts,
(administration and delivers an controllable, and equilibrium between system in the including in
communication) is optimal return in explainable. contribution, Netherlands. pension
focused on the a sustainable certainty, and innovation.
experience of and responsible ambition.
participants and manner.
employers.

7 We have a professional 8 We have a grip on 9 Our internal operations

Solid foundations Board with very broad activities outsourced are in order.
support. to APG.
Contents Our strategic direction ABP Annual Report 2022 25

Progress in 2022
KPIs for 2022
Result Sub-
We extended the annual plan for 2021 to also cover 2022: this plan, based on strategy1
ABP’s strategic road map, was still appropriate for this reporting year. For 2022, rNPS participants -272
we aimed to make progress on all sub-strategies in the strategic road map, with rNPS for employers 30.8
a focus on: CES for participants 72%
• continuing the program focused on improving our administrative records; CES for employers 97%
• tightening and accelerating the introduction of our Sustainable and Reputation with stakeholders 7.5
Responsible Investment Policy; Participant support 6.2
• making preparations for the introduction of the NPC; for sustainable and
responsible investment
• employees and the Board working together in the new ABP
Pension scheme Expansion of services
organizational structure.
for participants and
employers; improving
In the sections on our results in 2022 (pages 32 through 72), we provide further administrative records
details of what we have achieved and where we are lagging behind. On the New pension contract Continuation of
NPC program
whole, the General Board is satisfied with the progress achieved, particularly in
Solid foundations Introduction of and
view of the significant changes made to ABP’s organizational structure.
operating under the new
governance model

Towards a new strategy

1 The numbers refer to the strategic road map shown on the previous page.
2 For ABP, the relational NPS (rNPS) measurement stopped in early 2022. The score reported
In 2022, the Board took steps towards a review of ABP’s strategy. The fact for 2022 was obtained using a different method from previous years, due to a difference
that a new governance structure had been introduced and the old strategic in target group selection, the context of the questionnaire, timing, and a lack of weighting.
In 2022, the relational NPS for participants fluctuated around -30. After the pension
plan was nearing its end date provided momentum to carry out this task. We
increase was announced in late November, the score rose to -8 in December. Accordingly,
requested an external adviser to guide us through setting a vision for 2030
the average score was -27.
and strategic pillars for the period from 2023 to 2025. After the summer break,
interviews were held with the Board, ABP staff, the APG Executive Board, APG
staff, and other internal and external stakeholders. The input from these conversations and all relevant documentation that
was already available (such as participant and stakeholder surveys and
benchmarks) was used to fine-tune the vision and write the first draft of the
new strategy. The draft has been extensively reviewed; even ABP staff have
given their feedback.
Contents Our strategic direction ABP Annual Report 2022 26

Outlook

We predict that the challenges ABP faced in the reporting year will continue to
apply in 2023. It will be another tumultuous year, but ABP will continue on its
chosen path. Priority will be given to the following matters:
• Intensification of preparations for the introduction of the NPC, with an
action plan for the transition, implementation and communication. Where
relevant, we will include participants and employers in a timely manner in
the implementation of the upcoming changes;
• Setting the new strategy, following scrutiny by stakeholders and extensive
consultation with the accountability body, which must issue an opinion
on the matter. We will then begin the implementation process, which will
involve translating the strategy into policies and communications;
• Setting the new Strategic Investment Plan (StIP). In the new StIP, we
will work towards a new strategic asset allocation. This will be based
on trends and developments, the new revised strategy, our Sustainable
and Responsible Investment Policy, the ALM analysis, and the updated
Investment Beliefs;
• further tightening the Sustainable and Responsible Investment Policy, to
make a greater contribution to a livable world.
Contents What is important to our stakeholders ABP Annual Report 2022 27

Important topics
for stakeholders
To contribute to confidence in pensions and
the achievement of our goals, in 2022 we
engaged in a dialogue with our stakeholders.
Naturally, we also joined with them in
celebrating ABP’s one hundredth birthday
in a manner befitting ABP’s social function.
In addition, new research was conducted
to identify the topics that are important to
our stakeholders.
Contents What is important to our stakeholders ABP Annual Report 2022 28

Who are our stakeholders?

Based on our primary objective, we focus on our participants and employers: we put them at the center of everything we do.
We also consider society as a whole to be one of our stakeholders, because what we do has social and public impact. We recognize specific groups of stakeholders within society.

Primary ABP target groups Internal stakeholders Regulators

• Active participants, former participants, • Accountability Body • De Nederlandsche Bank (Dutch Central Bank)
and pensioners • ABP staff • Autoriteit Financiële Markten (Authority Financial Markets)
• Employers • European Insurance and Occupational Pension Authority
• Netherlands Authority for Consumers & Markets

• Dutch Pension Board Among others:

• Sectoral Consultative • APG • Political centers in
Committee for Defense • Employees’ and employers’ organizations The Hague and Brussels
• Government sectors • Special interest organizations (e.g. • Media
Sociale • Sector employers Other Federation of Dutch Pension Funds, • Experts and science
partners • Sector trade unions stakeholders Dutch Association of Insurers, Eumedion) • NGOs (e.g. environmental
• Public authorities organizations)
Contents What is important to our stakeholders ABP Annual Report 2022 29

ABP seeks to engage in a dialogue

As the largest pension fund in the Netherlands, ABP is at the center of Dutch These include opportunities to hear from participants and employers about
society. We believe it is important to engage in regular dialogue with our what they think of our service delivery, or to request feedback and input
stakeholders. We do that as part of our day-to-day operations, but we also from civil society organizations for our revised Sustainable and Responsible
actively create other opportunities for dialogue. Investment Policy.

Stakeholders Form of dialogue Frequency Contents

Primary Meetings with employers Three times online, once in person Dialogue and presentation on the financial position of the
stakeholders fund, the contributions and indexation policy, and the new
Informal contacts Very frequently pension contract
with employers

Primary Meetings with participants Twice Dialogue and presentation on current developments in
stakeholders the fund, the indexation ambition, financial position, and
Panels, events, and other Very frequently state of affairs around the new pension contract
informal contacts

Internal Meeting between Executive Twice Dialogue on the review of the strategic plan, relevant
stakeholders Board and staff current events, and governance

Other Biodiversity & Nature Once Dialogue on the draft Biodiversity and Nature Policy
stakeholders Dialogue Table

Other Climate Dialogue Table Once Dialogue on the draft Climate Policy
stakeholders

Other Consultation between ABP’s Four times Administration of the pension scheme and topical issues
stakeholders Executive Board and APG’s
Executive Board

Social partners Various meetings One meeting with sector trade unions, New pension system and choice of contract, the financial
two meetings with sector employers position of the fund, and the fine-tuning of the Sustainable
and Responsible Investment Policy
Contents What is important to our stakeholders ABP Annual Report 2022 30

In 2022, we had frequent contact with participants and employers, our Material topics updated
key stakeholders. We have contact with these groups on a daily basis, by
responding to questions, by dealing with complaints and objections seriously, Because so much is changing in the world around us and because we are
and by asking them how we can improve our service delivery and develop new currently recalibrating the ABP strategy, in the reporting year we commissioned
services through co-creation. To this end, in 2022 we once again made use of research to identify what our stakeholders think is important (material) about
our permanent panels of participants and employers. In addition, at a number and for ABP. This was an update of the outcomes from 2021. Qualitative
of specific times during the reporting year we chose to engage in a dialogue and quantitative analyses were performed by the external agencies Sinzer
with all our stakeholders. and Motivaction. Based on extensive preliminary research and qualitative
interviews, a shortlist of thirteen material topics was drawn up. This shortlist
These dialogue events enabled us to hear our stakeholders’ views and concerns was then quantitatively tested for stakeholder support.
and find out what they think is important, and conversely we were able to
tell them about what ABP is working on. This allows us to make constant In this annual report, we are reporting on the thirteen topics that ABP’s internal
improvements and contribute to confidence in pensions. and external stakeholders believe are the most important. These thirteen
topics are listed in the table below. We are also reporting on topics arising
The table on the previous page lists the main dialogue events with our from laws and regulations and our own policies.
stakeholders in 2022, along with the content of the dialogue.
The results we achieved in the reporting year, and which we are explaining in
this Board Report, we have linked to our value creation model. This makes it
clear how we have added value and what dilemmas have arisen in the context
of our strategy.

For 2023, the focus will be on further increasing the confidence of our
stakeholders. As a Board and as an organization, we will again engage in a
dialogue, particularly with our primary groups of stakeholders: participants
and employers.

Involvement of the Board

The General Board was kept informed in 2022 of the content
and progress of the research into what ABP’s stakeholders think
is important. It also contributed to the qualitative testing of the
shortlist of material topics; the thirteen key topics were approved
by the Executive Board.
Contents What is important to our stakeholders ABP Annual Report 2022 31

The key material topics

Material topic Definition Material topic Definition

Confidence of participants and The level of confidence that participants and Sustainable and The extent to which ABP, through its
employers (see pages 15, 20, employers have in the pension system as a responsible investment investment decisions, has an impact, either
25, 33, 51, 78) whole and in ABP in particular (see pages 15, 56 - 65) positive or negative, on people, human rights,
and the environment: the energy transition
and biodiversity
Accessibility of pensions for The extent to which participants and employers
participants and employers perceive the pension scheme to be simple,
(see page 51 ff) practicable and easy to explain A robust pension A robust pension is the result of a balance
(see pages 15, 6 - 10, 33 ff) between risk and return, which matches the
willingness of participants and is achieved at an
Balanced pension scheme The extent to which participants and employers
acceptable cost (both financial and social)
(see pages 15, 33, 34) perceive that the interests of different groups,
e.g. different generations, are considered in a
balanced way Transition to the new The extent to which the transition to the new
pension contract pension contract goes smoothly within ABP and
(see pages 20, 20, 22, 33, 51, for participants and employers
Innovation capacity The ability of ABP to update and improve its
104, 104)
(see pages 51, 54, 59) service delivery, to respond to the changing
needs of participants and employers
Future-proof pension system ABP’s influence on the extent to which
(see pages 20 and 20) the pension system is future-proof, through
Digital security and privacy (see The security and privacy of the data of
engagement with developments in laws and
pages 69, 71, 79) participants and employers
regulations and collaboration within the sector

Future-proof The extent to which ABP’s investment selection

Good governance, business The extent to which ABP’s business ethics, good
investment portfolio and risk management make the financial
ethics, and transparency governance, and transparency have an influence
(see pages 15, 36 - 40) performance of the investment portfolio future-
(see pages 83 - 90) on business continuity
proof

Engagement and long-term The attraction and retention of engaged staff

Climate change The extent to which physical developments such
employability of staff with good long-term employability, through
(see pages 20, 59, 79) as flooding and forest fires, and transitional
(see pages 71 and 72) good employment and contracting practices
developments such as regulations, reputation,
(including a safe working environment, training
and lawsuits relating to climate change, affect
and development opportunities, diversity
the value of ABP’s investments.
and inclusion)
Contents Results in 2022: participants and employers ABP Annual Report 2022 32

Adding value
for participants
and employers
ABP realized a negative investment return
in 2022. However, the effect of the interest
rate hikes on pension liabilities was greater,
resulting in a rise in the funding ratio.
Thanks to the adjusted calculation rules,
we were able to increase pensions for the
first time in twelve years. As expected, total
administration costs increased; as a Board,
we were extremely critical of this fact.
Contents Results in 2022: participants and employers ABP Annual Report 2022 33

Pension increases impact on the funding ratio at the moment we switch over to the new pension
contract. We involved the Accountability Body in our decision-making, and it
ABP’s ambition is to ensure its pensions keep pace with the price movements issued a positive recommendation.
calculated by Statistics Netherlands. In late November 2022, based on a We were pleased to finally be able to implement increases again after all these
positive recommendation from the accountability body, ABP decided to years. It was positive news at a time when our participants are seeing an
increase pensions by 11.96% for 2023. In determining the size of a pension erosion of their purchasing power.
increase, ABP always looks at the period from one September to the next; in
this case, from September 2021 to September 2022. Over that period, prices Funding ratio development (factors and their effect in percentage points)
2022 2021
rose by 11.96%. Pensions had already been increased by 2.39% in July 2022 –
the full indexation for 2021. Before that, there had not been an increase since Funding ratio at previous year-end 110.6 93.5
Contribution vs accrual -1.6 -1.2
2008. Indexation arrears remain at the same level as at the end of 2020; at
Change in the interest rate term structure 48.0 6.5
the end of 2022, they were a maximum of 19.95% (this percentage will vary
Return on investments -19.5 10.7
between participants). Interest added to the liabilities 0.6 0.5
Update of actuarial assumptions on liabilities -0.6 0.5
This historic increase was made possible because Carola Schouten, the Minister Indexation -11.0 0.0
for Poverty Policy, Participation and Pensions, relaxed the indexation rules with Other -15.6 0.1

effect from July 1, 2022 for funds that are planning to switch to the revamped
Funding ratio as at year-end 110.9 110.6
pension system. One of the rules is that to be able to apply an indexation
adjustment, the average funding ratio must be higher than 105%. With a policy
funding ratio of 118.1% at the end of October, ABP more than met this criteria.
With full indexation, the current funding ratio fell at the end of October from The rise in the discount rate produced the biggest increase: 48 percentage
125.5% to 112.1%. ABP is therefore maintaining a financial buffer which, based points. This increase was even greater than the effect of the negative
on current estimates, is sufficiently large to enable a responsible transition to investment return on the funding ratio (-19.5 percentage points). The
the new pension system and sufficiently robust in these uncertain times. implemented indexation ultimately resulted in a drop in the funding ratio of
11 percentage points. Due to the method used by the Dutch central bank
In making its decision, the Board examined many different scenarios and (DNB) for calculation of the development of the funding ratio, combined with
dilemmas. In addition, we explicitly considered the potential generational the sharp rise in the discount rate, in 2022 a sizable ‘Other effects’ item was
effects of the applied scenarios. We also bore in mind the fact that older added to account for the effect of these factors on the development of the
participants have not seen an increase to their pension for many years, but funding ratio.
it is equally important for younger participants who have recently joined the
pension scheme for there to be enough money left in the scheme to maintain The funding ratio is an indicator of a pension fund’s ability to make current
confidence in pensions. We also gave extensive consideration to the potential and future pension payments. It is an expression of the relationship between
Contents Results in 2022: participants and employers ABP Annual Report 2022 34

the available assets (€459 billion) and ABP’s liabilities (€414 billion). At the end below the threshold). Accordingly, the payable contribution may even decrease
of 2022, the current funding ratio was 110.9%. The policy funding ratio (the in some cases.
average of the current funding ratios over the past 12 months) increased in For employers, overall contributions will fall, because the 3% contribution
2022, from 102.8% to 118.6%. This funding ratio is used to determine whether for the early retirement, pre-pension and life-course savings scheme (VUT-,
pensions can be increased. Prepensioen- en Levensloopregeling, VPL) is set to expire. The expiry of this
contribution component after fifteen years will make the pension scheme
Development of funding ratio in 2022 somewhat easier to understand. Furthermore, after many years the mark-up
150 of 1.5% on contributions will no longer be charged, because the policy funding
ratio is above 110%.

125
The discount rate for contributions has been gradually reduced in recent years
from 2.8% to 2.0%. For 2023, it is at the ideal percentage (2.0%), meaning no
100
further gradual changes to contributions are required. The accountability body
31 dec 2021 31 mrt 2022 30 jun 2022 30 sep 2022 31 dec 2022
has issued a favorable opinion on contributions for 2023.
Funding ratio Policy funding ratio Minimum capital
requirement (+100)
Capital requirement
(+100)
Recovery plans submitted
In the spring of 2022, ABP submitted a recovery plan. We were
required to do so because at the end of 2021 the policy funding
ratio was below the required level of around 126%. Our recovery
Development of contributions in 2023
plan needs to show whether we are able to return our policy
funding ratio to the required level within the prescribed recovery
The pension scheme is approved by our social partners, and was not amended
period. ABP did not have to apply for the exemption for pension
in 2022. The ABP Board sets pension contributions on advice from the
funds in order to increase pensions. In other words, ABP is
accountability body.
recovering under its own steam. In the spring of 2023, ABP
submitted a new recovery plan for 2023.
The effective contribution percentage for the retirement and surviving
dependents’ pensions will increase in 2023: from 25.9% to 27.9%. This does
ABP also fulfilled the statutory requirement to submit a feasibility
not automatically mean that employers and employees will pay more for
test to the regulator (the Dutch central bank) for 2022. The
pensions. For participants, it depends on the portion of their income on which
feasibility test provides insight into the relationships between
they pay their contribution and the effect of the raised pension contribution
the financial structure, the anticipated pension result, and the
threshold (no pension contributions are paid on the portion of their income
associated risks.
Contents Results in 2022: participants and employers ABP Annual Report 2022 35

Contributions Composition of contributions

Damped Undamped
as a percentage of pensionable salary (salary less cost- cost-
contribution threshold) 2023 2022 in € mln Actual covering covering

a. portion for vested liabilities 7,090 7,090 18,688

Contribution rate for retirement and surviving
b. pension administration cost markup 95 95 95
dependents' pensions 27.9 24.4
c. solvency margin markup 1,865 1,865 4,915
Contribution supplement on the contribution rate for
d. portion for contingent
retirement and surviving dependents' pensions 0.0 1.5
liabilities (indexation) 2,623 2,623 -
Contribution rate for retirement and surviving
e. markups/markdowns on the damped
dependents' pensions, including supplements 27.9 25.9
cost-covering contributions 602 - -
- payable by employers 19.5 18.0
- payable by employees 8.4 7.9 Total amount of contributions 2022 12,275 11,674 23,698
Total amount of contributions 2021 11,844 11,502 25,112
Sector-based contribution for incapacity pension
(average) (1)1 0.6 0.6
- average payable by employers 0.4 0.4
The Pensions Act (Pensioenwet, PW) stipulates that the actual contribution,
- average payable by employees 0.2 0.2
the moderated cost-covering contribution, and the unmoderated cost-covering
- Subtotal expressed as contribution base (average) 28.5 26.5
contribution must be quantified in euros. The unmoderated contribution is
- Subtotal expressed as a percentage of salary (average) 20.7 19.6
calculated based on the interest rate term structure determined by the Dutch
central bank (DNB). The moderated contribution is calculated based on an
Purchase of conditional retirement and surviving
dependents' pension rights 0.0 3.0 expected real investment return (2.2% for 2022).
- payable by employers 0.0 3.0 The Royal Dutch Actuarial Association (AG) issued a new life expectancy
- payable by employees - - estimate in 2022. An effect of the Covid pandemic is visible in the new estimate,
- Total as percentage of salary (average) 20.7 22.6 but the AG has chosen to quickly phase out this effect in its estimations.
The long-term impact of Covid is therefore limited. Overall, life expectancy is
The state pension offsets for the years in question increasing; the effect of this on our funding ratio was a drop of 0.6 percentage
amount to (in €): points. If the Covid effect nonetheless proves more significant in the years
for group and individual schemes 16,350 14,850 ahead, resulting in more people dying than expected, that would then lead
for sector-specific schemes 25,050 22,350
to an increase in the funding ratio. In other words, by following the AG’s
calculations ABP is playing it safe.
1 For the purpose of this overview, the Incapacity/disability pension (AOP) contribution has
been converted from the AOP state pension contribution threshold to the retirement
benefit/surviving dependants' benefit (OP/NP) contribution threshold.
Contents Results in 2022: participants and employers ABP Annual Report 2022 36

Contribution coverage ratio Our investments in 2022: -17.6% return

At the start of 2022, the contribution coverage ratio was around 65%; at the
end of the reporting year, it was around 105%. The contribution coverage ratio With our strategic investment portfolio, we aim to provide a good pension in a
is an expression of the relationship between the contributions paid in a year livable world. Accordingly, we invest sixty percent of the portfolio in marketable
and the value of the pension accrual in the same year, which translates to securities such as equities and real estate, and the remaining forty percent
an increase in the provision for pension liabilities. The contributions paid are in fixed-income securities. With this ratio, we are aiming to achieve a good
based on a real return of 2.2%. The accrual of pension rights is measured return while covering between thirty and fifty percent of the interest rate risk.
based on the prescribed interest rate term structure, making the contribution Within the marketable securities, as well as listed equities, we primarily invest
coverage ratio sensitive to interest rates. in the real economy. A substantial portion of opportunities to invest in the
real economy relate to investments that are not traded on financial markets,
including investments in buildings and infrastructure (real assets) and private
investments in companies’ equity and debt capital (private equity and private
debt). With such investments, we can take advantage of our long-term horizon
and contribute to our impact objectives.

In the turbulent market conditions of 2022 , ABP realized a negative return

of -17.6%, compared with a positive return of 11.4% in 2021. This return
amounts to -€96.6 billion (2021: €56.3 billion). Negative returns were realized
in the fixed-income investments (-19.7%) and equities (-15.1%) categories in
particular, as well as in a number of alternative investments (private equity and

105%
opportunities). However, hedge funds and commodities performed well. The
interest-rate hedge reduced our return by -5.1% (2021: -1.3%); see below in
December 2022
this section.
65%
January 2022

Rise of contribution coverage ratio

2.2% Real return

Contents Results in 2022: participants and employers ABP Annual Report 2022 37

Return and benchmark

Benchmark Relative Relative

Weighting Portfolio return Portfolio return return Difference contribution contribution
Category % % € mrd % % % € mrd
Return and benchmark1
Fixed-income investments 40.2 -19.7 -44.1 -19.8 0.1 0.1 0.4
Government bonds 9.9 -17.3 -8.9 -17.4 0.1 0.0 0.2
Long-term government bonds 12.7 -33.0 -25.6 -33.0 0.0 0.0 0.0
Corporate bonds 11.2 -13.4 -8.6 -13.7 0.4 0.1 0.4
Emerging-market bonds 6.4 -3.3 -1.0 -2.9 -0.4 0.0 -0.1
Inflation-linked bonds 0.1 2.7 0.0 1.4 1.3 0.0 0.0

Equities 26.6 -15.1 -25.4 -13.5 -1.9 -0.6 -3.0

Developed markets 19.6 -14.2 -18.3 -13.0 -1.3 -0.3 -1.6
Emerging markets 7.0 -18.0 -7.0 -14.9 -3.7 -0.3 -1.4

Alternative investments 22.8 10.5 13.1 3.8 6.4 1.4 8.0

Private equity 9.4 -1.7 -0.7 -10.3 9.7 0.7 4.3
Commodities 6.1 24.3 8.7 26.0 -1.3 -0.1 -0.4
Opportunity Fund 0.1 2.8 0.0 -12.1 17.1 0.0 0.1
Infrastructure 5.4 6.0 1.3 -4.2 10.7 0.5 2.5
Hedge funds 1.9 18.9 3.8 10.0 8.0 0.3 1.5

Real estate 10.9 -8.8 -4.8 1.5 -10.1 -1.2 -6.3

Real estate 10.9 -8.8 -4.8 1.5 -10.1 -1.2 -6.3

Overlay -0.5 -6.5 -35.7 -6.6 0.1 0.1 0.2

Interest rate hedging -5.1 -28.3 -5.1 0.0 0.0 0.0
Inflation hedge 0.0 0.0 0.0 0.0 0.0 0.0
Currency hedge -1.6 -8.6 -1.5 0.0 0.0 0.2
Other 0.2 1.4 0.0 0.0 0.0 0.1
Active Asset Allocation 0.0 0.0
100.0% -17.6 -96.6 -17.4 -0.3 -0.3 -0.6

1 The outperformance is calculated geometrically. It is possible that the figures may not exactly add up to the total shown due to rounding effects
Contents Results in 2022: participants and employers ABP Annual Report 2022 38

The table shows the returns of the various investment categories compared The graph below shows the cumulative nominal and real returns for the past
with the benchmark. The ‘Relative contribution’ column shows the contribution fifteen years. The real return is calculated by adjusting the nominal return
made by a particular category to the total return, both as a percentage and in for inflation.
absolute amounts. For long-term investors such as pension funds, as well as
examining the annual return, it is relevant to assess the return over a longer Since 2016, ABP’s real return has been calculated on the basis of price inflation
period. We periodically compare our strategic investment portfolio, which (up to 2015, the real return was calculated on the basis of wage inflation). In
comprises thirteen investment categories, with a basic combination of equities 2022, the nominal return was -17.6%, and the real return was -26.4%.
and government bonds in a 60:40 ratio. Over the past five years, the basic
Breakdown of ABP return1 2022 2021 2020 2019 2018
60:40 portfolio has performed better than our strategic portfolio. This is the
result of an exceptional period in which government bonds benefited strongly Investment portfolio -12.5 12.6 5.5 15.0 -2.7
from falling interest rates, while equities surged on the back of stimulus Interest-rate hedge -5.1 -1.3 1.1 1.8 0.4
packages from central banks and governments. However, we assume that the
diversification in our strategic portfolio will contribute to the achievement of Total -17.6 11.4 6.6 16.8 -2.3

our ambition over the long term. We will assess this in the Strategic Investment
Plan, for which our updated Investment Beliefs will serve as a starting point. 1 investment portfolio return was calculated by adding the total and the interest rate hedge

Cumulative return In 2022, we increased the hedging of the interest rate risk for liabilities from
(2005 = 100)
28% to 44% and the hedging of the interest rate risk for the funding ratio from
300 27% to 41%. By doing so, ABP implemented its policy of increasing interest rate
risk hedging over the long term.

200

100

0
2006 2008 2010 2012 2014 2016 2018 2020 2022

Nominal return Real return

Contents Results in 2022: participants and employers ABP Annual Report 2022 39

Sale of remaining investments in Russia a direct translation of our mission statement: ensuring participants can enjoy a
Due to the invasion of Ukraine, in early 2022 we decided to sell all of ABP’s good pension in a livable world. The Investment Beliefs document sets out the
remaining investments in Russia. Because of the complicated situation in things we believe are important and our approach to fundamental decisions.
Russia and the fact that trading in Russian equities is currently prohibited by The Beliefs thus provide an important framework to guide APG and other
international sanctions, implementation of this decision has been complex. The fund managers, and help us make consistent decisions and justify them to our
Russian investments have now all been valued at zero, and APG will sell our stakeholders. The Investment Beliefs have been published on our website.
investments as soon as that is possible and responsible. We are monitoring
developments closely. In 2022, an impact analysis was performed to ascertain the ultimate impact
of investing in accordance with our new Investment Beliefs. Based on this
Investment Beliefs updated analysis, we expect at least an equal return with an unchanged risk; in terms
In 2022, we adopted a new set of Investment Beliefs, setting out our vision of sustainability and costs, it is predicted that the new Investment Beliefs will
and attitude with regard to return, risk, costs, and sustainability. An important have a positive effect. For example, over time, transaction costs are expected
change from the previous Investment Beliefs is an explicit statement that ABP to be lower due to the new principles. After all, we are investing for the long
has an impact on society and society has an impact on ABP. Sustainability, cost term, not changing our investments every couple of months or engaging in
awareness, and investing in the Netherlands have also been embedded more short-term speculation.
firmly in our Investment Beliefs. The accountability body issued a favorable
opinion on the new Investment Beliefs. The next step is to finalize our new Strategic Investment Plan (StIP) for 2023 to
ABP’s Investment Beliefs are the starting point for all our investments. They are 2025, which is based on our Investment Beliefs. Preparations for the new StIP
began in 2022; the plan is expected to be completed by the middle of 2023. We
will then shape the investment mandates for the actual implementation. This
process will take one to two years in total.
New ALM study lays foundations for Strategic
Investment Policy
In 2022, we reviewed ABP’s risk appetite. To this end, an additional
ALM study was performed in 2022. This study, in which we looked
at the balance between contributions, certainty and ambition, gave
us as a Board the information required to determine the Strategic
Investment Policy and the discount rate for contributions. The
2022 ALM study took into account the latest insights from the
new pension contract project. The Board decided to reduce the
range for hedging of the interest rate risk to between forty and
fifty percent. The discount rate for contributions and other aspects
of the Strategic Investment Policy were not changed.
Contents Results in 2022: participants and employers ABP Annual Report 2022 40

Investing in the Netherlands investigation into these results. The investigation showed that the average
ABP aims to provide a good pension in a livable world. In doing so, we results are below the benchmark, whereas the goal is to outperform the
believe it is important that we also have an impact on the daily lives of our benchmark. This goal was not achieved. Moreover, other large pension
participants during their pension accrual ‘journey’. We do this by investing in funds are seeing the same picture: for liquid investment categories, including
the Netherlands. For example, in 2022 we invested in fiber-optic networks, developed market equities, it is difficult to outperform the benchmark. The
mortgages, and an innovative Dutch supplier of energy infrastructure solutions findings from this investigation served as important input for us as a Board,
that helps B2B clients make their energy consumption low carbon and more particularly in the formulation of our new Investment Beliefs.
efficient. We have also tried to make a difference to the energy transition in the
Netherlands through ANET (see below). In 2023, we will update our program for
investing in the Netherlands, based on the new Investment Beliefs and the StIP. Administration costs: focus on cost awareness
We have engaged in discussions with APG on this matter.
We divide the administration costs into pension management costs and asset
In 2022, through ANET (ABP Netherlands Energy Transition Fund), we invested management costs. The Board monitors these costs closely. We also believe
in the solar energy company Enie (now named Soly) and startups contributing that the social context in which the costs are incurred is important: ABP is a
to the energy transition. ANET was created for investments in relatively small financial institution with a social function. We insist that this context always be
Dutch projects and companies focusing on the energy transition. taken into account.

Further reduction of positions in hedge funds Pension management costs

Since 2019, ABP no longer treats hedge funds as a separate investment Total pension management costs amounted to €197 million in 2022. This was
category. Because we invest with a long-term horizon, speculating on short- an increase of €41.2 million from 2021. The costs per participant came to
term trends through hedge funds is not appropriate for us. In 2022, we €89, an increase of €17 from 2021. It can be seen from the table below that
made the decision to completely stop investing in hedge funds within existing regular costs rose slightly. The largest cost increase in 2022 was due to the
categories such as equities. We began to rapidly phase out our existing hedge investments to improve our administrative records and data quality through
fund investments, by either selling them or converting them to equities. We the Grip on Data program, and to prepare for the new pension contract
were careful to ensure a prudent and controlled exit from this category. By the (NPC), both of which required a lot of resources from both ABP and APG.
end of 2022, a 1.9% allocation remained. Total pension management costs also include a sum of €11.1 million in costs
incurred by ABP; details of these costs can be found in note 13 to the company
Investigation into underperforming equity returns financial statements.
In 2022, our total investment portfolio underperformed the benchmark, as
contained in the standard portfolio, by 0.3%. The ABP Board has been
voicing concerns about the underperformance in the returns on equities for
several years already. Based on long-term historical data, APG conducted an
Contents Results in 2022: participants and employers ABP Annual Report 2022 41

Pension management costs We consider it important to compare ABP’s pension management costs with
2022 2021 2020 2019 2018
those of comparable pension funds. To this end, we use the Cost Effectiveness
Pension Measurement (CEM) benchmark for pension administration. At €89, our costs
management
per participant in 2022 were below the average figure for large Dutch pension
administrative
expenses funds of €109 (this is the average for 2021, as the CEM figures for 2022 are not
(x € 1,000) 197,515 156,363 141,149 141,129 144,729 yet available).
Number
of participants
CEM benchmark
(active and retired) 2,230,099 2,178,130 2,121,533 2,061,333 2,015,200
125

Cost per
participant in € 89 72 67 68 72 100

Difference vs
last year 17 5 -1 -4 -4 75

50
2018 2019 2020 2021 2022
Breakdown of pension administration costs between regular and
Dutch funds ABP
strategic projects
2022 2021

Regular administration costs (x €1,000) 151,899 147,460 Outlook for 2023

Grip on Data Project 27,645 7,828
Pension management costs will increase further in 2023. We predict that
New Pension Contract Project 17,970 1,075
regular costs will rise as a result of general cost movements in 2023, but the

Total 197,515 156,363 biggest increase will come from the NPC program. The costs for the Grip on
Data program are expected to remain at a comparable level to that of 2022.
Number of participants (active participants
and pensioners) 2,230,099 2,178,130

Regular administration costs (price per participant) 68 68

Grip on Data Project 12 4
New Pension Contract Project 8 0

Total 89 72
Contents Results in 2022: participants and employers ABP Annual Report 2022 42

Asset management costs fees for external asset managers. The management fees are relatively fixed
Investment costs fall and transaction costs rise and for the most part are not linked to the development of the assets.
Asset management costs fell significantly in 2022 from 2021 levels. This was The rise in APG’s management fee compared with 2021 is mainly due to
mainly due to the lower costs for private equity performance fees, resulting regular price movements (collective labor agreement, market data, and IT
from a slightly negative overall return in 2022. As a result, the reserves created licenses), digitalization programs, the new pension contract (NPC), withdrawal
in previous years for the payment of performance fees were partially released from mutual funds, and a further increase in internal management activities
in 2022. Conversely, management fees and transaction costs rose in 2022. for alternative investments. Because of the expansion of the alternative
The table below provides an overview of all investment and transaction costs. investments portfolio, mainly due to higher committed amounts for private
The developments in each category are explained in greater detail on the equity, the management fees for private equity in particular increased
following pages. in 2022. The other increases from external managers related to regular
price movements.
Investment costs comprise management and performance fees. Management
fees increased by €112 million, while a drop of €2,631 million was recorded At the asset category level, the performance fees for private equity in particular
for performance fees. The higher management fees were caused partly by fell sharply in 2022, while increasing for hedge funds due to the realized
an increase in APG’s management fee and partly by increased management returns and positive currency effects; this is explained further below. For all

Investment costs and transaction costs

2022 2021 2020 2019 2018

€ mln % € mln % € mln % € mln % € mln %

Management fee 551 0.110 493 0.100 409 0.089 380 0.086 362 0.088
External asset managers' fees 979 0.200 908 0.180 835 0.183 851 0.193 794 0.194
Custody fees 46 0.010 50 0.010 58 0.013 51 0.012 53 0.013
Other expenses 165 0.030 178 0.030 174 0.038 172 0.039 161 0.039

Management fees 1,741 0.350 1,629 0.310 1,476 0.323 1,454 0.33 1,370 0.334
Performance fees 797 0.160 3,428 0.660 1,540 0.337 1,058 0.24 1,090 0.266

Investment costs 2,539 0.510 5,057 0.980 3,016 0.660 2,512 0.570 2,460 0.600
Transactioncosts 622 0.120 539 0.100 532 0.116 431 0.089 397 0.097

Total cost asset management 3,161 0.630 5,596 1.080 3,548 0.776 2,943 0.659 2,857 0.697
Contents Results in 2022: participants and employers ABP Annual Report 2022 43

asset categories, ABP’s performance fees are paid out of realized returns. An Asset management costs in context
overview of the returns achieved is provided on page 37. Partly due to the size of ABP’s investment portfolio, the asset management
costs are high in absolute terms. The question is regularly asked whether
The table below shows the gross and net returns. it is socially responsible to pay these sorts of amounts. The Board critically
monitors asset management costs, and therefore decided to commission an
Return in relation to investment costs external investigation into the principles influencing our asset management
costs for the portfolio as a whole. The results of this investigation are provided
in € million Total 2022 Total 2021
further on in this section.
Gross-return -94,244 61,477
Investment costs -2,538 -5,057 Asset management costs can be most accurately assessed if account is taken of
the (targeted) return, the risk diversification, the size of the assets invested, and
Net return -96,782 56,420 the realized performance.

Management fees
Management fee 1,741 1,629
The Board can partially influence these costs with decisions on the distribution
Performance fees 797 3,428
of the portfolio between liquid and illiquid asset categories, as well as by
closely monitoring the costs of our pension administrator and the engaged
Investment costs 2,538 5,057
external asset managers. Investments in liquid asset categories generally
have lower costs than illiquid investments, particularly if the liquid asset
categories comprise passive investments. Our revised Investment Beliefs state
a preference for a passive approach. This will give us more control over costs.
ABP aims to find an optimal balance between ‘internally’ managed portfolios
and outsourcing to specialist external managers.

The complete phasing-out of the hedge fund portfolio will take several years,
since these investments are primarily illiquid. From 2023, we will no longer
use an external, relatively expensive ‘fund-of-fund’ manager. Furthermore,
opting for more direct investments in infrastructure rather than in funds has
meant that the amount of management fees paid to external managers is now
relatively low.
 Contents Results in 2022: participants and employers ABP Annual Report 2022 44

Performance fees Consequently, in the case of lower or negative performance over a certain
For mandates to external asset managers, APG makes agreements on period, the reserve for performance fees may be lowered, resulting in a
performance fees for us. External managers only receive a performance fee negative performance fee, as happened with private equity and corporate
if they realize a return that exceeds a minimum agreed (benchmark) return. bonds. This does not mean that the cumulative performance fee for an
ABP pays this performance fee from the extra return realized. A higher return external manager for a certain period will be negative.
benefits our participants, but it also means higher costs. Performance fees in
relation to illiquid investments are paid on the basis of realized returns. Until Transaction costs
this time, these performance fees are determined (but not necessarily paid) Transaction costs are charged when investments are bought and sold. They are
based on unrealized returns. affected by the volume of assets under management, the chosen investment
style (active or more passive) and the amount of interest rate hedging, which
increased this year.

Cost analysis completed a maximum return given the permitted risk budget. If the target return is not
ABP commissioned Mercer to carry out an analysis of the asset management costs realized, ABP only pays the manager the relatively low management fee.
for its entire portfolio. The initial aim of the analysis is to gain a better understanding On average, the management fee ABP pays to external managers for liquid
of the composition and structure of the various asset management cost categories investments is lower than the market rate.
and to assess whether these costs are in keeping with market rates. This is not so
much about the absolute costs in euros, but about the underlying fee agreements. The performance fees ABP paid to external managers in 2021 for liquid
A significant portion of the costs is made up of performance-related fees, which investments for outperforming the benchmark were limited in euro terms.
fluctuate in line with the realized absolute and relative returns. The analysis, which is This was due to an underperformance in relative returns in that year. If the
based on costs incurred in 2021, was completed in the spring of 2023. The Board will realized relative returns had been in line with the expected relative return
work on addressing the results of the analysis of the cost levels for the individual (on which the performance fee is based), the total costs (i.e. management fee
investment categories in 2023. plus performance fee) would have been higher than what can be considered in
keeping with the market rate.
The main conclusions of the analysis:
The fee structure ABP has chosen for the illiquid asset classes, consisting of a
On average, the fee ABP pays to APG (management fee) is in keeping with market management fee and a performance-related fee, is typical in the market for
rates for both the liquid and illiquid asset classes. these classes. On average, the management fee ABP pays to external managers
for illiquid investments is in keeping with market rates. For categories such as
The fee structure of a management fee and a performance-related fee which private equity, the fee is lower than what can be considered in keeping with the
ABP has chosen for a number of the liquid asset classes (including equities in market rate. On average, the performance fees ABP pays to external managers
developed markets, emerging markets and EMD), is less common in the market. for illiquid investments are in keeping with market rates.
Only a management fee is usually charged for these classes. The thinking
behind this choice is that a relatively low management fee combined with a
performance-related fee provides the manager with an incentive to deliver
Contents Results in 2022: participants and employers ABP Annual Report 2022 45

Development of management fees by category

In € mln 2022 2021

Average Costs in € mln % per class % of total Average Costs in € mln % per class % of total
managed assets managed assets
Fixed-income investments 210 0 0.040 204 0.000 0.039
Government bonds 107,588 17 0.020 - 98,935 14 0.014 0.003
Corporate bonds 58,991 143 0.240 0.030 71,933 138 0.192 0.027
Emerging-market bonds 30,421 50 0.160 0.010 27,532 52 0.188 0.010

Inflation-linked - - - 3 0.000 0.001

Inflation-linked bonds - - - - 1,502 2 0.118 0.000
Alternative Inflation 431 - 0.010 - 686 1 0.135 0.000

Equities 254 0 0.050 273 0.000 0.053

Developed markets 110,664 148 0.130 0.030 139,940 158 0.113 0.031
Emerging markets 34,652 105 0.300 0.020 40,187 114 0.285 0.022

Alternative investments 1,189 0 0.240 1,086 0.000 0.209

Real estate 53,909 210 0.390 0.040 48,622 188 0.387 0.036
Private equity 45,549 591 1.300 0.120 35,605 538 1.510 0.104
Opportunity Fund 528 12 2.250 - 556 10 1.794 0.002
Commodities 34,621 60 0.170 0.010 31,250 44 0.139 0.008
Infrastructure 22,945 110 0.480 0.020 17,946 105 0.583 0.020
Hedge funds 16,857 206 1.220 0.040 16,862 202 1.195 0.039

Overlay 89 - - 64 0.000 0.012

Overlay & other -16,168 89 - 0.020 -13,341 64 0.000 0.012

Total management fees 500,988 1,741 - 0.350 518,216 1,629 0.000 0.314
Contents Results in 2022: participants and employers ABP Annual Report 2022 46

Development of performance fees by category

In € mln 2022 2021

Average Costs in € mln % per class % of total Average Costs in € mln % per class % of total
managed assets managed assets
Fixed-income investments -53 0 -0.010 239 0 0.046
Government bonds 107,588 - - - 98,935 - - -
Corporate bonds 58,991 -54 -0.090 -0.010 71,933 233 0.323 0
Emerging-market bonds 30,421 -1 - - 27,532 6 0 0

Inflation-linked - 0 - - - -
Inflation-linked bonds - - - - 1,502 - - -
Alternative Inflation 431 - - - 686 - - -

Equities 112 0 0.020 -16 - -0.003

Developed markets 110,664 79 0.070 0.020 139,940 -32 -0.023 -0.006
Emerging markets 34,652 33 0.100 0.010 40,187 16 0.041 0.003

Alternative investments 737 0 0.150 3,206 - 0.619

Real estate 53,909 144 0.270 0.030 48,622 61 0.126 0.012
Private equity 45,549 59 0.130 0.010 35,605 2,835 7.961 0.547
Opportunity Fund 528 2 0.300 - 556 17 2.994 0.003
Commodities 34,621 8 0.020 - 31,250 -14 -0.045 -0.003
Infrastructure 22,945 19 0.080 - 17,946 32 0.177 0.006
Hedge funds 16,857 505 3.000 0.100 16,862 275 1.628 0.053

Overlay - 0 - - - -
Overlay & other -16,168 - 0 - -13,341 - - -

Total performance fees 500,988 797 0 0.160 518,216 3,428 - 0.661

Contents Results in 2022: participants and employers ABP Annual Report 2022 47

Development of transaction costs by category

Transaction Transaction
In € mln costs 2022 costs 2021

Fixed-income investments
Government bonds 60 19
Corporate bonds 116 121
Emerging-market bonds 60 64

Inflation-linked
Inflation-linked bonds 0 2
Alternative Inflation 0 -

Equities
Developed markets 25 32
Emerging markets 70 82

Alternative investments
Real estate 21 26
Private equity -12 -8
Opportunity Fund 0 1
Commodities 13 14
Infrastructure 43 61
Hedge funds 52 64

Overlay
Overlay & other 171 61

Total 622 539

Contents Results in 2022: participants and employers ABP Annual Report 2022 48

Development of investment costs by category

In € mln 2022 2021

Average Costs in € mln % per class % of total Average Costs in € mln % per class % of total
managed assets managed assets
Fixed-income investments 157 0 0.030 443 0.000 0.086
Government bonds 107,588 17 0.020 - 98,935 14 0.014 0.003
Corporate bonds 58,991 90 0.150 0.020 71,933 371 0.516 0.072
Emerging-market bonds 30,421 51 0.170 0.010 27,532 58 0.211 0.011

Inflation-linked - 0 - 3 0.000 0.001

Inflation-linked bonds - - - - 1,502 2 0.118 0.000
Alternative Inflation 431 - 0.010 - 686 1 0.135 0.001

Equities 366 0 0.070 257 0.000 0.050

Developed markets 110,664 227 0.210 0.050 139,940 126 0.090 0.024
Emerging markets 34,652 139 0.400 0.030 40,187 131 0.326 0.025

Alternative investments 1,926 0 0.380 4,290 0.000 0.828

Real estate 53,909 353 0.660 0.070 48,622 250 0.513 0.048
Private equity 45,549 651 1.430 0.130 35,605 3,372 9.471 0.651
Opportunity Fund 528 13 2.550 - 556 27 4.789 0.005
Commodities 34,621 68 0.200 0.010 31,250 30 0.095 0.006
Infrastructure 22,945 130 0.560 0.030 17,946 136 0.760 0.026
Hedge funds 16,857 711 4.220 0.140 16,862 476 2.823 0.092

Overlay 89 0 0.020 64 0.000 0.012

Overlay & other -16,168 89 0 0.020 -13,341 64 0.000 0.012

Total management and

performance fees 500,988 2,539 0 0.510 518,216 5,056 0.000 0.976
Contents Results in 2022: participants and employers ABP Annual Report 2022 49

Development of total investment costs by category Development of management fees

The ‘Total investment costs’ table shows the total management and See the ‘Total management fees’ table. The management fees are relatively
performance fees for each investment category. In addition, two ratios are fixed and for the most part are not linked to development of the assets. For
presented to provide more insight into the amount of the costs and their the portfolio as a whole, management fees rose by 0.04 percentage point to
development over time: ‘% by category’ and ‘% of total’. The first ratio expresses 0.35%. This was partly due to higher costs (€58 million) on the part of APG, our
the costs for an investment category as a percentage of the net asset value pension administrator. As previously mentioned, this was due to regular price
(NAV) of that investment category. This provides insight into how expensive an developments and strategic programs. The increase was also caused by higher
investment category is. The second ratio expresses the costs for an investment costs for alternative investments (€103 million), half of which related to private
category as a percentage of the total assets of the pension fund. This ratio equity, in respect of which multi-year commitments were entered into with
provides insight into which investment category made the greatest contribution external managers in previous years. For a number of asset categories, there
to the total costs. were relatively minor differences in the management fees for each investment
category, resulting from regular price developments in comparison with 2021.
The investment mix is one of the main determining factors for the total For real estate, primarily within US and European portfolios, we saw higher
investment costs. As shown in the table, the costs for alternative investments management fees for external managers (+€18 million). Finally, with regard
(0.38%) are higher than those for fixed-income investments (0.03%). Private to commodities, management of the illiquid portfolio (Natural Resources) has
equity and hedge funds are the asset categories with the highest fees. The two been partly shifted to the US and Hong Kong, while higher management fees
categories combined make 12.5% of the portfolio but are responsible for 53.6% apply to the liquid part of the portfolio due to the engagement of a new team
of the asset management costs. We as the Board critically assess these costs for the selection and monitoring of external mandates.
in relation to the expected positive contribution of these categories in terms of
return as well as risk diversification. Development of performance fees
See the ‘Total performance fees’ table. Total performance fees have fallen
The actual costs of illiquid investments in the fourth quarter are not always significantly since 2021 in both absolute and relative terms. The main
available in time. When this is the case, the actual costs in the first through categories to see a drop in performance fees were private equity and corporate
the third quarter are recognized, supplemented by an estimate for the bonds, while the fees for hedge funds and developed market equities rose.
fourth quarter These fluctuations were due to the realized returns of these asset categories
in 2022 and 2021 relative to the benchmark or the (absolute) target return.
Performance fees for equities rose due to good results, particularly at Quant
Strategies, while for real estate we saw higher performance fees in the US
and European portfolios in particular. Performance fees also increased for the
Natural Resources portfolio (+22 million).
Contents Results in 2022: participants and employers ABP Annual Report 2022 50

In 2022, the hedge funds category achieved a gross return before deduction of Reconciliation of asset management costs
costs of €4.5 billion. After deduction of all management and performance fees, The asset management costs are recognized in the financial statements
the net return was €3.8 billion (18.9% net return). At first glance, ABP’s costs in accordance with the Dutch Accounting Standard 610. This relates to
appear high in comparison to other pension funds. In 2022, we commissioned the invoiced costs. Non-invoiced asset manager costs are netted against
an analysis of our costs and how they might be reduced over time; see also the investment results in the financial statements. As a result, the costs recognized
‘Cost analysis completed’ text box earlier in this section. in the company financial statements (see under ‘Investment results (net)’ in
the notes to the statement of income and expenses) are lower than the
In the case of equity investments, the performance fees for external managers amount recognized in the Board report. The reconciliation between the two
are calculated on the basis of the return realized relative to a benchmark is presented in the table below.
return. In 2022, the returns realized for both developed market equities
and emerging market equities were below the benchmark. Nevertheless, Reconciliation of asset management costs in the financial statements
in € million Total 2022 Total 2021
there were still costs for performance fees because individual benchmark
agreements had been made with the external managers. This fact, in Report of the Board of Trustees
combination with differences in performance, led to performance fees being Management fees 1,741 1,629
awarded to individual external managers who perform well, while the overall Performance fees 797 3,428

performance at the asset category level was negative. See also the explanation Transaction costs 622 539

under ‘Asset management costs in context’, earlier in this section.

Total 3,160 5,596

The ‘Return and benchmark’ table shows the net returns for all asset categories
Financial Statements
in percentage and absolute terms.
Directly invoiced costs: Management fee 683 609

Development of transaction costs

Variance: 2,477 4,987
Total transaction costs rose by €83 million to €622 million in 2022. At the asset
Relates to directly invoiced costs (part
category level, there were no significant differences compared with 2021. The of the investment results in the
exception was a cost increase for Overlay & other, due to higher costs for financial statements)
interest rate hedging, among other factors.
Contents Results in 2022: participants and employers ABP Annual Report 2022 51

Market comparison of asset management costs Control over pensions for participants and employers
We consider it important to examine how ABP’s asset management costs
compare with those of other national and international funds, and to assess Contact with participants
whether these amounts have been used effectively. Accordingly, ABP annually Given all the developments in 2022, we believe it is more important than ever
takes part in a Cost Effectiveness Measurement (CEM) benchmarking survey, to maintain close relations with our participants and stay in touch with them.
in which costs and realized (excess) returns are compared with those of With more than three million participants, we need to be smart about how we
our national and international peers. The Board is aware of the limitations do it. We therefore try to strike an optimal balance between personal contact
of benchmarking surveys. The peer group against which ABP compares its and written and digital communications. The goal is to give participants peace
asset management costs consists of international pension funds, as these of mind about their pensions and control over their financial situation, now and
are of comparable size. ABP’s costs are higher than those of its international in the future.
peers. This is because implementing the decisions we make for our investment
portfolio involves higher costs. For example, for private equity we use external Towards the NPC
fund managers, rather than investing directly in companies. Although the new pension contract (NPC) does not really affect participants
yet, in 2022 we did a great deal of work behind the scenes to prepare
The peer group against which ABP compares its returns and added value for the transition to the NPC. We made our processes even more customer-
consists of Dutch pension funds, due to the specific regulations that apply focused, conducted experiments and research to determine the best way to
to Dutch pension funds. The benchmarking surveys show that, over the past communicate about the NPC, and drafted general principles for our delivery
five years, and after deduction of all costs, ABP is in the top quartile (25%) of the new services. In addition, the website onsnieuwepensioen.nl (our new
of funds in terms of realized added value (this is the difference between the pension) was developed. This was a pension sector initiative to which ABP
actual realized return and the benchmark return). The most recent CEM report contributed. We also posted a dossier about the NPC on the ABP website, for
(for the 2021 financial year) shows that ABP’s average added value over a interested participants.
five-year period (which amounts to 1%) is higher than the average scores for
both its Dutch (0.3%) and international peers (0.3%). Nearly all of this added Pension value transfers
value is generated through investments in illiquid categories. Therefore, the Participants can request the transfer of the value of their pension assets to a
costs incurred add value overall. We incorporated this insight into our updated different pension fund, for example if they change jobs. Such value transfers
Investment Beliefs, so that for liquid categories we take a low-cost index can only be carried out if the funding ratios of the two pension funds involved
solution as a starting point for building a portfolio. meet a certain threshold. Since the funding ratios of ABP and the other pension
funds involved were high enough, we were able to carry out the requested
value transfers in 2022.
Small pensions (between €2 and €594.89 gross per year) are transferred
automatically, regardless of the size of the funding ratio. In 2022, a clean-up
operation was performed for all small, pre-2018 ABP pensions. Due to the
 Contents Results in 2022: participants and employers ABP Annual Report 2022 52

finalizing of the legislation, we were able to carry out this operation at the person, led to more than 92,000 visitors going to the website realitycheck.nl
end of 2022. Mainly due to these automatic value transfers, the number of for tips and inspiration, while over 15,000 people completed the e-learning
non-contributing participants decreased significantly in the reporting year. module to better understand their financial position.

Meetings and campaigns ABP website improved

• Pensioen3daagse – During the annual three-day pension event The updated website, ABP.nl, went live in early 2022. The website better
Pensioen3daagse, we launched a campaign to highlight the effect of life reflects ABP’s refreshed house style and updated positioning. The home page
events on pensions. This included emphasizing the importance of keeping and news overview were completely redesigned. In addition, we offer visitors
details to date in MijnOmgeving (MyEnvironment). The ABP campaign the opportunity to read relevant information immediately, by placing it at
reached more than 2 million people via social media and 60,000 ABP the bottom of each page. The content management system, which was also
participants directly via email. upgraded in late 2022, enables us to make communications more personal
• ‘We moeten praten’ (We need to talk) campaign – We ran this campaign and relevant.
in September 2022, with the aim of making participants aware of the
importance of pensions, even at a young age. The campaign reached over Legally required pension communications
1.4 million people in the Netherlands between the ages of twenty and thirty, ABP annually sends the legally required Uniform Pension Statement (Uniform
and contributed to greater confidence in ABP within this target group. Pensioenoverzicht, UPO) to all participants. We send these statements
• Pension app launch campaign – The new ABP app received a small-scale to inform our participants on the financial status of their pension. As
launch in 2021. In 2022, we ran a campaign to encourage participants to well as UPOs, participants can view their pension entitlements online at
use the app and to explain how it could help them. The app has now been Mijnpensioenoverzicht.nl (MPO). Statutory guidelines apply to both the content
downloaded more than 50,000 times. and the sending of UPOs. Each year, all UPOs must have been sent by the
• Realitycheck – This program focused on raising awareness about pensions reference date of September 30. ABP did not manage to meet this deadline
among participants, particularly women, with the aim of increasing their for all participants in 2022, mainly because information was missing for a
financial resilience. A range of campaigns in 2022, both online and in number of participants. We agreed a realistic target with APG: 99.0% of
participants should receive a letter with their UPO or access to their UPO via
MPO in MijnABP (MyABP) by September 30, 2022, and this should be the case
for 99.80% of participants by December 31, 2022. This target was achieved.
Where participants had not received a UPO by December 31, 2022, we sent
them a letter informing them of this fact, and their questions were answered
in person.

We naturally took the opportunity to celebrate ABP’s one

hundredth anniversary with participants and employers.
Contents Results in 2022: participants and employers ABP Annual Report 2022 53

Sending of pension statements The EUPO is the UPO for ex-partners of participants. By law, ABP must actively
2022 2021
provide a EUPO, in digital or hard-copy format, once every five years. The
UPO agreement made with APG was that 99.80% of ex-partners should receive a
Sent UPOs on September 30 99.46% 99.42% EUPO by December 31, 2022. This target was not achieved, mainly because the
Sent UPOs on December 31 99.93% 99.97% information necessary to create an accurate EUPO was missing for a number
Participants with access to MPO on December 31 99.97% 99.93% of participants.

GUPO
Complaints and appeals
Sent GUPOs on December 31 99.97% 99.98%
ABP continually works to improve its services, based on feedback from
participants who have filed a complaint. Special processes (feedback loops)
SUPO
have been set for this purpose. On our website, participants can read about
SUPOs made available on December 31 99.80% 99.80%
what was done in response to key pieces of feedback.

EUPO
Partly because of this continuous improvement, fewer complaints were filed
EUPOs made available on December 31 90.14% 92.46%
in 2022 than in 2021. We particularly noticed a drop in complaints about
information provision, processing delays, and customer friendliness. This
was partly due to better expectation management, with response times for
With regard to pensioners, the statutory guideline states that all GUPOs (UPOs requests being estimated and communicated more accurately. Letters are also
for pensioners) must be sent by December 31. As in previous years, this target amended more quickly when participants perceive them to be unclear.
was not met, because the necessary information was lacking in a number of However, we noticed a rise in complaints about laws and regulations.
cases. In addition, for some time we have unfortunately been unable to include This was primarily due to new legislation concerning small pensions:
surviving dependents’ pension rights in the GUPOs of some of our pensioners. participants expressed unhappiness with the fact that their small pensions
This issue has not yet been completely resolved. We agreed a realistic target were automatically transferred to their current pension provider. However,
with APG for GUPOs: 99.80% of the target group should receive a GUPO by ABP is legally obligated to cooperate with such operations. We also noticed
December 31, 2022. This target was achieved. a rise in complaints about pension calculations. This was mainly related to
the processing of the pension increase, where participants had opted, when
Pursuant to the Pensions Act, pension administrators must make a UPO applying for their pension, to receive a fixed amount until a certain date. This
available to former participants (also referred to as ‘sleepers’ in the was not directly reflected in the most recent increase. It is a lesson we will take
Netherlands). This type of UPO is known as a SUPO. ABP did so in 2022. We on board for future increases.
agreed a realistic target with APG for SUPOs: 99.80% of former participants
should receive a letter with their SUPO or access to their SUPO via MyABP by
December 31, 2022, This target was achieved.
Contents Results in 2022: participants and employers ABP Annual Report 2022 54

Complaints (subjects and number of complaints) of participants to a conditional pension and non-contributory pension accrual
2022 2021 2020 2019 2018
when they are incapacitated for work. The Appeals Committee made 38 rulings
Information provision 216 237 420 34 63 in 2022. In 35 cases, the participant’s appeal was rejected and declared to
Processing delay 14 47 7 10 25 be unfounded. In three cases, the Appeals Committee upheld the appeal and
Application of laws and regulations 33 11 85 11 30 ruled in favor of the participant. In two cases the appeal was withdrawn, and
Customer friendliness 111 136 164 3 7 the Appeals Committee no longer had to make a ruling: in one of the cases,
Pension calculation and payment 88 77 24 30 46 the appeal was withdrawn after ABP agreed with the participant, while in the
UPS 0 0 0 0 0
other case, the participant withdrew the appeal after ABP provided a more
MijnABP 76 78 83 0 0
detailed explanation of the case in its statement of response. In one case,
Other 13 13 21 32 60
an employer filed a provisional appeal, which did not proceed to a definitive
Complaints ANW compensation 0 0 0 0 358
appeal. Since the third quarter of 2021, ABP has published summaries of the
Pilot complaints through KCC 0 0 0 124 0
Appeals Committee’s rulings on its website.
Total complaints 551 599 804 244 589
Outstanding on December 31 16 9 16 4 3
In June 2022, pension funds in the Netherlands adopted guidelines on properly
dealing with complaints (Goed omgaan met klachten). To this end, a baseline
assessment was conducted to determine the extent to which funds are
Appeals complying with the guidelines. By January 1, 2024, pension funds must have
2022 2021 2020 2019 2018
implemented the guidelines and have a total score of 84% or higher. ABP
Appeals lodged 33 52 37 36 27 obtained a total score of 89% in the baseline assessment, which means
Appeals procedures terminated we have already met the standard set for 2024. However, there is room
without ruling 2 9 3 7 7
for improvement. We are working with APG to analyze how we can further
Ruling: decision upheld 35 43 26 24 25
implement the guidelines in 2023 to improve our handling of complaints.
Ruling: decision overturned 3 3 1 1 10
Involvement from the Board will be important in this regard. Accordingly,
Outstanding on December 31 18 27 30 23 19
from 2023 the complaints policy will be evaluated annually and discussed with
the Board.

The most important issues raised in appeals related to the calculation of Support for employers
the retirement and surviving dependents’ pensions. These concerned various We know from research that employers, like participants, want peace of mind
aspects of pension calculation. Due to the complexity of the pension scheme, and control over the employee benefit of pensions. Pensions are one of the
a number of specific subjects keep recurring. These include ABP’s lack of ways employers can demonstrate good employment practices. ABP is looking
authority under Section 61 of the ABP Privatization Act to make a decision at how it can support employers in this regard. At a strategic level, this support
concerning pension accrual in the period before 1996 (ABP Act), or the right
Contents Results in 2022: participants and employers ABP Annual Report 2022 55

is about solutions for long-term employability, while at a more operational level • Long-term employability information campaign – The information campaign
it is about providing pension data and information to employees. on long-term employability covered important, topical HR themes, such as
labor market shortages, with a focus on the practical reality for employers.
Updates on the NPC Translating pensions into a long-term employability incentive is an ongoing
In the reporting year, ABP proactively informed employers about key challenge. We have seen little to no increase in the number of participants
developments around the new pension contract (NPC). We did this by posting a taking advantage of pension options, such as temporarily contributing
special dossier on our website. This dossier has been frequently consulted, by more or less to their pension or choosing a part-time pension. In 2023
over 6,800 unique visitors. and beyond, we want to provide employers with more concrete tools for
these options.
More active pension ambassadors • Refresher sessions – In 2022, based on employer demand, we started
For several years now, organizations such as the National Police, provincial providing employers with information we hoped would prove useful, along
authorities, vocational secondary schools and various municipal authorities with a summary of current issues affecting participants. In total, we
have been using pension ambassadors. These are staff members who organized 21 refresher sessions to update the pension knowledge of our
provide accessible information about pensions to their colleagues. ABP employers’ HR professionals.
ensures these ambassadors have accurate knowledge and information. Forty • FAQ campaign – In this new campaign, ABP provides employers with
pension ambassadors were trained in 2022, bringing the total number of information relating to the questions they ask most frequently. Topics
pension ambassadors to 230. We focused considerable attention on pension include pensions and incapacity for work. We saw high volumes of click-
ambassadors during a webinar in June, after which we received even more throughs to web pages on these topics. We will continue this campaign in
registrations. We expect to be able to train twice as many ambassadors 2023 with a range of popular questions from employers.
in 2023.
Due in part to the pressure on ICT capacity, development of the new
Meetings and campaigns Werkgeversspiegel (employer mirror) platform is behind schedule. This
• Online webinars – In 2022, there were three webinars for employers, in platform provides pension data that employers can use for their strategic HR
which various topics were discussed and information was shared. The policies. It will be a focus for us in 2023. The plan is to supply employers
topics covered in the webinars included operational pension support for with data from their own organization that they can compare with data
employers, the new pension system, and long-term employability. The from their sector. Employers can access the portal through Mijn Organisatie
webinars scored around 8.0 in evaluations. (My Organization), ABP’s new online HR portal. This will help strengthen the
• Annual meeting with ABP – During the annual meeting with employers, the connection with this group that is so important to ABP.
Executive Board engaged in a dialogue with executives from around sixty
employers. We updated them on various matters and listed to them to
learn what is going on in their organizations. The employers indicated that
the topics were appropriate to their needs.
Contents Results in 2022: a livable world ABP Annual Report 2022 56

Contributing to a
livable world
The way we invest our participants’ pension
money affects the world in which they live.
And conversely, the changing world has
consequences for ABP’s investments. We are
committed to increasing our positive impact
on the world and to reducing the negative
impact and the risks to our investments. We
do so through sustainable and responsible
investment. We tightened our policy in 2022
so that we can realize the intended effects
more quickly. In the area of ESG, the focus in
2022 was on climate and biodiversity.
 Contents Results in 2022: a livable world ABP Annual Report 2022 57

Sustainable and responsible investments in 2022

Focus on 2 transitions ABP is the most sustainable Dutch Performance in 2022 and goals for 2025
pension fund (VBDO)
Climate change For the fifth year in a row % of assets invested in SDGs 20%
2021 18.1%
Goal for 2025 20%
Conservation of nature and biodiversity Top 3 SDG investments
Invested in SDG 7
Affordable and sustainable energy
16% €18.4 billion
2021 €18.5 billion
Exclusion Goal for 2025 €15 billion
43%
20%
Exclusion policy CO2-footprint of equities
No investments in: portfolio compared with 2015 -58%
• Weapons prohibited by 21% 2021 -48%
international agreements Goal for 2025 -40%
• Nuclear weapons
• Tobacco
• Government bonds of countries under
Investments in green,
a UN or EU binding arms embargo Preconditions
social, and sustainable
Respect for human rights
bonds €17.9 billion
Good corporate governance
2021 €14.9 billion

ABP complies with the:

• IMVB covenant
• SFDR regulation
• OECD guidelines
Contents Results in 2022: a livable world ABP Annual Report 2022 58

Sustainable and responsible investments We are updating our policy step by step. In 2022, we discussed our SRI policy
with many stakeholders, including academics, sustainable financial institutions
To inject additional pace into the realization of our mission, we made as started and activist groups. We will take their valuable input on board in further
on tightening and accelerating our ‘Sustainable and Responsible Investment’ tightening our policy. More information can be found on our website, in the
(SRI) policy. In 2022, we embedded sustainability even more firmly in our ‘Sustainable and responsible investment’ dossier.
updated investment convictions (for more information, see the ‘Adding value
for participants and employers’ section). Another concrete result is our new Focus on two transitions
climate policy, which we adopted at the end of 2022 (see below in this section). During the reporting year, we shifted the focus of the existing SRI policy to
two major societal transitions; digitalization of society is no longer our primary
Our investments have an impact on the world, and conversely the world has an focus. We did this in order to create greater impact.
impact on our investments. In order to offer an inflation-proof pension in the
long term, we need to invest sustainably and responsibly in a fair economy. For Climate change
us, this means that profits should not be detrimental to people and the planet. ABP aims to achieve a climate-neutral investment portfolio by 2050 and to
This is the only way in which we can achieve an inflation-proof pension in a comply with the arrangements made as part of the financial sector’s Climate
livable world, while minimizing the risks. We want our investment portfolio to Commitment. These arrangements are about contributing to the funding of
generate a good and socially responsible return, which is why we are creating a the energy transition in the Netherlands: measuring and reporting the CO2
portfolio with a real impact. To this end, we also consider return, costs and risk. footprint of investments and formulating CO2 reduction targets and other
targets for 2030. We want to act in line with the Paris Climate Agreement, by
making every effort to limit the rise in global temperatures to a maximum of
1.5 degree Celsius.

Effect on return and risk

Conservation of nature and biodiversity
Sustainable and responsible investment fits in with managing
Biodiversity is a key factor in a sustainable economy: companies should not
risks that affect the investment portfolio. The extent to
make a profit at the expense of the environment and nature. Biodiversity is
which companies adapt their products and processes to the
directly related to climate change. ABP aims to invest in sustainable solutions,
consequences of the energy transition and contribute to it is
and thus make a contribution to nature conservation and biodiversity
an example of this. Academic research shows that different
protection and promotion.
ways to invest sustainably can have a neutral to positive effect
on the risk-return profile of portfolios. ABP invests sustainably
and responsibly in order to realize a good pension. In addition,
our investment portfolio has an impact on society. That is why
sustainable and responsible investment is important for a healthy,
good and responsible old age for our participants.
Contents Results in 2022: a livable world ABP Annual Report 2022 59

Important preconditions Progress on contribution to climate transition in 2022

We consider respect for human rights by the companies in which we invest to Divesting from fossil fuel producers
be a precondition for fair progress in the major transitions. We also consider In 2022, we implemented our decision of October 2021 to sell investments
good corporate governance to be an important condition that companies need in producers of oil, gas and coal. At year-end 2021, our investments in
to meet to successfully accommodate the transitions. equities and bonds of companies in the fossil fuel industry totaled €8.5 billion;
by year-end 2022, that figure had decreased to €0.9 billion. The remaining
amount concerns shares and bonds of companies in emerging markets. Our
pension administrator APG collectively invests on behalf of several pension
funds collectively in ‘investment pools’. Although most of our investments have
already been unbundled from the other pension funds, this process takes more
time for emerging markets. We aim to sell these investments in the course
Acceleration of our new climate policy
of 2023.
In 2022, we worked on tightening ABP’s climate goals. The new
policy was published at the end of 2022. An important acceleration
At year-end 2022, we still had €5.6 billion in illiquid investments in the fossil
is our increased investment in renewable energy. ABP’s target for
fuel industry. These investments cannot be sold as quickly as equities and
2030 is to invest a total of €30 billion in the climate transition.
bonds. Illiquid investments in the fossil fuel industry will be sold in the coming
Of this amount, €10 billion relates to ‘impact investments’. These
years; any investments that cannot be sold will be removed from the portfolio
are investments that make an immediate and demonstrable
when they mature.
difference. In this context, we also consider the location where
we can make a difference for our participants, which is in the
Mapping climate risks, investing in solutions
Netherlands. In order to make a contribution to the energy
ABP maps the risks of climate change for its investments. For this purpose we
transition, we also need to invest in smart networks, insulation,
use the framework developed by the Task Force on Climate-related Financial
(green) hydrogen and other forms of renewable energy, clean
Disclosures (TCFD). We also implement measures to control climate risks in
mobility and energy storage. For example, we aim to invest directly
the investment portfolio. We distinguish between physical risks and transition
in solutions that prevent climate change, such as the construction
risks. Transition risks are associated with the transition to an economy based
of large wind farms in the North Sea. We also want to invest
on renewable energy. In our engagement and voting policy, we focus especially
in measures to protect the world against the consequences of
on sectors with a high climate impact. Physical risks are related to the effects
climate change, such as infrastructure that helps combat flooding
of climate change on, for example, buildings and infrastructure. Our efforts
and real estate built to withstand climate change and heat stress.
are directed primarily at obtaining insight into the physical risks based on the
Another key target of our climate policy is to halve the CO2
location of our investment.
footprint of our entire investment portfolio by 2030 relative to
2019. Our ultimate ambition is to achieve an investment portfolio
with net zero CO2 emissions by 2050.
Contents Results in 2022: a livable world ABP Annual Report 2022 60

Tightened climate voting policy

Since the spring of 2022, ABP applies tightened rules for climate-related voting
at shareholder meetings. The tightened rules relate to votes on the climate Climate transition
plans of companies, climate resolutions put forward by shareholders, the
appointment of the chair of the Supervisory Board and the remuneration Sustainable battery-powered trains
policy. The climate voting policy applies to approximately 2,000 listed Alpha Trains is a lease company for passenger trains and
companies in the energy sector and in other sectors that have a major impact locomotives. ABP owns 50% of this company. Alpha Trains
on the climate. Examples include the mining sector, the steel industry and the concluded a lease contract with Niederbarnimer Eisenbahn (Non-
transport sector. We disclose on our website how we voted. Executive Board) in 2022 for the supply of 31 battery-powered
trains. The new battery-powered trains will make rail traffic
Less CO2 and greenhouse gases between Berlin and the Polish border more sustainable. The
ABP maps the amount of CO2 emitted by the companies in which we invest, operation of new trains is expected to save 4.4 million liters
and how much of that amount can be allocated to us. The CO2 footprint of of diesel a year. This means a reduction in CO2 consumption
our equities investments has decreased by 58% since 2015. This means that equivalent to the annual consumption of more than 16,000 Dutch
our target (-40% by 2025) has been achieved. In 2022, we formulated new households. What is more, it generates a good return.
targets: net zero greenhouse gas emissions by 2050 and a 50% reduction in
greenhouse gas emissions by 2030 relative to 2019 for the entire investment

Reduction of CO2 footprint of portfolio since March 31, 20151

(Target: -40%)

-28%
-50 -37% -40%
-48%
-58%

-100
2018 2019 2020 2021 2022

Learn more about this topic

1 The CO2 footprint of equities investments is calculated based on the equities portfolio as at
year-end 2022. In previous years, we reported the CO2 footprint based on the composition
of the portfolio as at March 31 following the reporting year.
Contents Results in 2022: a livable world ABP Annual Report 2022 61

portfolio. The latter target applies to the entire investment portfolio and
ABP investments in green, social, and sustainable bonds
throughout the supply chain, which means that the emissions resulting from,
say, corporate procurement and the use of products are included as well. Sustainable
78 bonds
€2.53 billion
Total 2017
Progress made on contributions to conservation of nature and 102 bonds
€3.5 billion
biodiversity in 2022
Total 2018
ABP expects companies in high-risk sectors to adjust their business models in 141 bonds
€5.5 billion
order to combat the loss of biodiversity. Together with others, we support the Social Total 2022 Total 2019
71 bonds
development of measurable criteria that will help us make a better assessment €2.40 billion 384 bonds 207 bonds
€17.93 billion €7.6 billion
of the risks. These not only include risks relating to biodiversity loss, but also
Total 2020
risks for companies that are dependent on nature. We also want to make 264 bonds
€10.23 billion
an active contribution to the conservation of flora and fauna, the restoration
Green Total 2021
of ecosystems and biodiversity, the promotion of circularity and the fight 235 bonds 334 bonds
€12.99 billion €14.88 billion
against deforestation.

In 2022, ABP invested in the first green government bond of Canada, one of
the last large developed countries to use this instrument to fund the greening
of the economy. We also invested in green bonds of the French bank BCPE,
the US food multinational Archer Daniels Midland, soft-drink giant PepsiCo and
Climate transition
the German state of North Rhine-Westphalia. The revenue generated by these
bonds is put towards climate and biodiversity projects, involving areas such as
Largest investment ever in solar energy
sustainable aquaculture and livestock farming, sustainable food systems and
In 2022, ABP acquired a 49% stake in Gemini, a large-scale solar
new plastics reduction.
energy generation and storage project in the United States – our
largest investment in solar energy to date. The project in the US
Other examples can be found below, under ‘Contribution to the Sustainable
state of Nevada generates approximately 690 megawatts (MW) of
Development Goals’.
solar energy and 1,416 megawatt hours (MWh) in battery storage,
and is expected to become operational in 2023. This currently
largest solar energy project in the US will supply renewable energy
to more than 400,000 American households at peak times. This will
prevent the emission of 1.5 megatons of CO2 generated by fossil
energy use.
Contents Results in 2022: a livable world ABP Annual Report 2022 62

Developments in human rights and good governance on companies in which ABP can and wants to invest. In addition to this, the
Human rights benchmark provides input that enables us to start human rights conversations
A livable world respects and protects human rights. ABP wants the companies with companies. The most recent benchmark, published in November 2022,
in which we invest to respect the human rights of employees, local shows that companies across the board achieve a higher score than before,
communities, and other stakeholders. This is also crucial for our investments. but that many companies still underperform. In 2022, we raised the topic of
After all, companies that show due care for human rights are usually less human rights with 60 companies. We also engaged 79 companies in a dialogue
exposed to the risk of reputational damage, delays, legal proceedings, and about labor standards, including workplace safety and the right of workers
fines. The United Nations Guiding Principles on Business and Human Rights to organize.
(UNGP) serve as our guideline.
In March 2022, we decided to sell our investments in Russia. This was in
We assess the potential human rights risks attached to our investments. response to the Russian military strike on Ukraine. These investments made
We will use our influence as an investor to raise awareness of these risks up less than 0.1% of invested assets. We had already significantly reduced our
among companies and, where necessary, urge them to avoid or address any investments in Russia in the preceding years. Because of a binding EU arms
involvement with human rights violations. embargo, ABP did not invest in Russian government bonds anyway. As soon as
the market conditions and statutory rules allow this, APG will sell our remaining
APG is among the initiators of the Corporate Human Rights Benchmark investments, which have meanwhile been valued at zero.
(CHRB). The CHRB compares the human rights performance of companies
operating in high-risk industries. The CHRB is a key source of information In 2022, we collaborated with other Dutch financial institutions in mapping
human rights risks and exchanging information on these risks. Obtaining
information about this is not easy in countries that restrict civil liberties (such
as freedom of speech and press freedom). The institutions involved will report
Acting in accordance with OECD guidelines
on progress in 2023.
The EU is currently considering whether the standards laid down
in the OECD guidelines for multinational enterprises should be
Good governance
made mandatory. This means that companies, when producing
As a major investor, ABP can influence decisions made by the companies
or procuring goods and services worldwide, must be mindful of
in which we invest. We want to exercise this influence to improve their
human rights and the environment in order to prevent abuses. In
financial results and to urge them to grow into more sustainable and socially
February 2022, the National Contact Point (NCP) – which mediates
responsible enterprises. Our investors therefore engage in a dialogue with
disputes on the application of the guidelines – complimented our
these companies and take the information they receive into account in their
pension administrator on the manner in which we embrace our
investment decisions. The overview on our website summarizes the companies
responsibility as a shareholder and act in accordance with the
we engaged in an improvement dialogue in 2022 and the topics addressed in
OECD guidelines. It did so following a case about alleged abuses
that dialogue.
at McDonald’s.
Contents Results in 2022: a livable world ABP Annual Report 2022 63

We will also exercise our voting rights at shareholder meetings. Key topics for Investments per SDG
ABP are sustainability and the appointment and remuneration of executives.
ABP believes that bonuses must be in proportion to performance. In 2022, we 15. Life on land
€1.4 billion
voted against 48% of the remuneration proposals. 14. Life below water 1. No poverty
€0.2 billion €1.7 billion
13. Climate action 2. Zero hunger
€0.4 billion €1.5 billion
Another focus area is diversity in the executive boards of the companies in
which we invest. In our opinion, it is important for executive boards to have the 3. Good health and
well-being
12. Responsible consumption
right capabilities. We are also eager to see executive boards represent a cross- and production
€19.4 billion

€1.2 billion
section of society. Research has shown that diverse executive boards take 4. Quality education
11. Sustainable cities and €0.9 billion
better decisions. We encourage such diversity by voting in favor of or against communities Total
6. Clean water
€39.3 billion €91.7 billion and sanitation
candidates. In 2022, we voted against 19% of the proposed appointments. On €1.2 billion

our website, we provide insight into how we voted at shareholder meetings. 10. Reduce inequality
€0.2 billion
7. Affordable and
sustainable energy
€18.4 billion

9. Industry, innovation, 8. Decent work and

Contribution to the Sustainable Development Goals and infrastructure economic growth
€1.4 billion
€4.5 billion
ABP aims to make a contribution to the Sustainable Development Goals (SDGs)
through its investments and other activities. These goals were adopted by the
United Nations in 2015 with the intention of building a better and sustainable New fund for sustainable loans in emerging countries
world, In particular, we focus on the following SDGs: In 2022, ABP invested €570 million in a new fund for sustainable private loans
in emerging countries. These loans fund projects and companies that help
Climate achieve access to clean energy, sustainable production and infrastructure, food
• SDG 7: Affordable and clean energy security and inclusive finance, among other things. The fund, set up by the
• SDG 11: Sustainable cities and communities provider ILX, selects and pools loans issued by institutions such as the World
• SDG 13: Climate action Bank, the African Development Bank and the Dutch development bank FMO.
In the coming three years, it will be filled with private loans to companies and
Nature and biodiversity projects that face major sustainability challenges. Through ILX, ABP can invest
• SDG 6: Clean water and sanitation in loans to companies and projects in emerging markets that offer an attractive
• SDG 12: Responsible consumption and production return as well as contributing to the Sustainable Development Goals. Examples
• SDG 14: Life below water include sustainable transport, solar parks, improved and sustainable farming
• SDG 15: Life on land methods and funding of local businesses.
 Contents Results in 2022: a livable world ABP Annual Report 2022 64

Examples of investments in SDGs in 2022

Evoqua Water Technologies charging stations and batteries. We made this used is to strengthen dikes and flood defenses
Contributes to SDG 6: investment within the ABP Dutch Energy Transition to ensure that they meet strict new standards.
Clean water and sanitation Fund (ANET), which has been set up specifically to The impact of climate change is particularly severe
The world is increasingly faced with help fund the energy transition in the Netherlands. in poorer countries. Through green bonds issued by
challenges around water scarcity, pollution and the French development bank AFD, we are helping
climate change. Combined with urbanization and Vesteda to improve water management in countries such as
population growth, these challenges are putting our Contributes to SDG 11: Bangladesh and Cambodia.
available water supplies under pressure. Evoqua is a Sustainable cities and communities
wastewater treatment company that is committed, Property fund Vesteda analyzed the Green bonds issued by Netherlands
among other things, to the efficient use, saving and sustainability of all 28,000 rented homes in the Water Boards Bank
reuse of water. Netherlands in 2022. This ‘baseline measurement’ Contribute to SDG 14: Life below water
will help Vesteda to identify further opportunities The Netherlands Water Boards Bank
Groendus to improve the sustainability of these homes. (NWB) uses the returns from green bonds to
Contributes to SDG 7: Affordable That’s better for tenants and better for returns. provide loans to the Dutch water boards (the public
and clean energy ABP is one of the largest investors in Vesteda. authorities responsible for flood protection, water
In May 2022, ABP acquired a 50% interest management and water quality). Adapting to climate
in an innovative and leading player in the market for Avantium change has become one of their most important
sustainable energy for companies, public authorities Contributes to SDG 12: tasks. They do this through activities such as funding
and institutions. Responsible consumption and production flood defenses and pumping stations, as well as
Avantium is a chemical technology taking part in biodiversity projects, such as dredging
Groendus originated in 2021 from a merger of six company that produces plastics and chemicals. It is a water beds, water treatment, water transportation,
specialist companies active in solar projects, smart frontrunner when it comes to renewable chemistry. wastewater treatment, and the discharge of sewage
metering services and sustainable energy solutions. Avantium is committed to a circular economy and sludge.
Today, Groendus has built more than 300 solar only develops bio­based materials that are in line
power plants in the Netherlands and has ambitions with the principles of the circular economy. Westrock
to expand this number. Groendus also aims to offer One of its innovations is a plastic called PEF made Contributes to SDG 15: Life on land
customers more and more sustainability solutions, from plant residues instead of crude oil. A normal Westrock is an American supplier
such as smart charging and battery storage. PET bottle takes 500 years to decompose, whereas a of paper and packaging materials.
PEF bottle may degrade into compost in as little as The company works with environmental specialists
Soly one year. and family landowners to ensure that commercial
Contributes to SDG 7: forests are managed in a sustainable way. Westrock
Affordable and clean energy Green bonds adheres to the principles of the Ellen MacArthur
ABP invested in the Dutch solar Contribute to SDG 13: Climate action Foundation for circular design: efforts are made to
and energy company Soly.nl in March 2022. ABP contributes to climate adaptation minimize waste and pollution early in the process at
Consumers can buy or rent solar panels from and resilience, including by investing the product design stage.
Soly.nl or take out a solar energy contract. in green bonds issued by the Dutch government.
Companies can lease or buy solar panels, One of the ways the proceeds from these bonds are
 Contents Results in 2022: a livable world ABP Annual Report 2022 65

SFDR and IMVB covenant Tax behavior policy

In 2022, ABP gave further shape to the commitments under the European Responsible tax behavior is an essential component of corporate social
Sustainable Finance Disclosure Regulation (SFDR), which contains requirements responsibility. It fits in with ABP’s wider investment convictions, in which we
on disclosures regarding the sustainability of investments. The SFDR report is consider return, risk, costs and sustainability. The core elements of ABP’s tax
included in an appendix to this annual report. behavior policy are:
• complying with laws and regulations;
In the covenant on international socially responsible investment (Internationaal • ensuring proper tax governance and transparency about taxation;
Maatschappelijk Verantwoord Beleggen, IMVB), the Dutch pension sector, • promoting responsible tax behavior among parties with and in which we
government, trade unions and civil society organizations have set out invest by entering into international partnerships with other (reputable and
agreements to prevent abuses in companies in which the sector invests. The responsible) investors;
covenant is based on the rules for multinational enterprises adopted by the • acting in accordance with initiatives of supranational organizations in the
Organization for Economic Cooperation and Development (OECD) and the area of taxation.
UNGP. A summary of the results of engagement pathways completed in 2022
in the context of our inclusion policy, as agreed in the IMVB covenant, can ABP ensures that its own tax liabilities are determined within these
be found on our website. ABP also took part in the ‘deep track’ of the IMVB frameworks. In 2022, we had APG draw up a set of criteria which we use as
covenant, in which a limited number of pension funds jointly engaged with a yardstick in reviewing our investments and engaging with companies.
a technology company, a mining company and an online-platform company.
For each pathway, a report describing the lessons learned is available on the ABP also initiated a dialogue with listed companies about the importance of
covenant website. responsible tax behavior. The structural dialogue which ABP initiated with
other large institutional investors in 2019 (the Tax Platform) was continued
in 2022 and has resulted among other things in ABP’s contribution to the
European Commission’s public consultation on withholding tax. In addition,
ABP contributed to public consultations on an individual basis and conducted
open and constructive discussions with the European Commission (DG TAXUD).
The purpose of this dialogue is to translate the EU’s political wishes into
effective and efficient tax policy. To this end, ABP shares its knowledge and
experience as an institutional investor. ABP is also in dialogue with other
international institutions that promote responsible tax behavior.

In 2022, VBDO named ABP the most sustainable pension fund

investor for the fifth year in a row.
Contents Results in 2022: a livable world ABP Annual Report 2022 66

The current fragmented landscape of voluntary and mandatory public tax

reports is driving the demand for one global standard. ABP is conducting
discussions with relevant parties in order to explore the options for achieving
one single standard. How do we bring about
green behavior?
Apart from the social and governance aspects, ABP believes that the
sustainability approach also has a link with taxation. In our view, policymakers
have three instruments to bring about green behavior:
• regulation, such as prohibiting particular behavior or laying down
reporting requirements;
• subsidies, to promote the investments necessary for the transition;
• taxation, in order to attach financial consequences to the negative impact of
behavior on society.

Two of these three elements hinge on taxation, because governments need it

to raise public revenue to fund expenditures (subsidies) and because it is an
instrument to realize behavioral change (pricing/taxing). This makes taxation a
key pillar of governments’ sustainability policies, which is why we regard our
own tax behavior policy as an integral part of improving sustainability for a
livable world.
Regulation
es
Subsidi
Tax
atio
We plan to update our tax behavior policy in the next three years, with n
the aim to incorporate current developments in the areas of sustainability
and taxation in this policy. In this context, we make a distinction between
the minimum requirements to which our investments are subject and our
ambitions. To this end, we maintain an active dialogue with parties such as
listed companies, institutional investors, regulators and other standard setters,
and NGOs. We also participate in the dialogue on tax reporting standards, for
example through consultations and informal discussions. In addition, we take
the initiative to bring parties together.
 Contents ABP Annual Report 2022 67

100 years of ABP – With a good pension, we can go further

Anita de Horde co-founded the Finance for
Biodiversity Foundation. Starting in 2020 with
a group of 26, the foundation now comprises
130 international financial institutions which
have committed to contribute to nature and
biodiversity conservation.

‘Briefly put, our foundation helps financial institutions improve

the impact on nature and biodiversity through their activities
and investments. So that they invest in a way that will help the
world, rather than destroy it. Given the alarmingly fast decline in
biodiversity and the threat to nature, social impact is now as just
as important as financial indicators. ABP embraces this view and
our pension administrator and asset manager APG has likewise
committed itself to our promise: ‘we have a responsibility towards
future generations and must invest our money responsibly’.

At the request of ABP, I took part in a stakeholder meeting

‘ABP can start a regarding the new sustainable and responsible investment policy
in the area of biodiversity in 2022. The meeting was attended by

larger a mix of experts, including highly critical ones, and people really
listened – it was amazing! I am pleased that ABP takes social

movement’ impact seriously, has ambitions and is not afraid to pick up this
gauntlet. In this way, they can set an example to other financial
institutions and create a larger movement. ABP announced its
Anita de Horde
new Climate Policy at the end of 2022. I am impressed with the
Founder of Finance for Biodiversity Foundation
plans and curious about the next ambitious steps in relation to
biodiversity. Daring to take action, that is what matters.’
Contents Results in 2022: solid and ABP Annual Report 2022 68
professional organization

Working on solid
foundations and a
professional
organization
During the reporting year, we invested
in the further professionalization of our
organization. Much attention was given
to improving ourdata and administrative
processes. Other important aspects in this
context are digital security and privacy. We
also restructured the organization in line
with the new governance model, while more
firmly embedding our steering role in the
collaboration with APG.
Contents Results in 2022: solid and professional organization ABP Annual Report 2022 69

Data and processes in order Progress made on quality of new incoming data
We carefully analyze the accuracy, completeness and timeliness of new
In recent years, ABP devoted much consideration to putting its data and participant data which we receive from employers, government bodies and
processes in order. Our main task is to ensure that all current administrative welfare agencies (Social Insurance Bank (SVB) and Employee Insurance Agency
processes function properly, so that participants receive what they are entitled (UWV)). In addition, we carry out checks at employers in order to ascertain
to and everything is ready in time for the careful transition to the new pension whether all employees have been registered and the correct salary has been
contract (NPC). This will also help to restore confidence in the pension sector. communicated to ABP. We made further improvements to this process in 2022.

Three flows are distinguished where our data quality is concerned: Progress on Grip on Data
• all new incoming data must be good; In 2022, we prepared a new action plan for the Grip on Data program. This
• inaccuracies in the existing administrative records must be remedied, which program was launched in 2019 in order to remedy the inaccuracies in the
we do by means of the Grip on Data program; existing administrative records. These were due to causes such as incorrect
• systems must be ready for migration to the new NPC. manual entries in the past, incorrect data supplied by third parties and missing
participant data in our administrative records. The current action plan, drawn
up in 2021, proved to be incomplete. New search methods which prompted
more thorough analyses revealed new inaccuracies. The new action plan
describes the remedial actions to be performed so that ABP will be able
to migrate responsibly to the NPC on January 1, 2026. In order to properly
prepare for this migration, our administrative records will need to be in order
by January 1, 2025. We have set the bar high and face major challenges, which
we monitor carefully in collaboration with APG.
Grip
on data Subsequent payments in relation to concurrent service years dossier
ABP made over 50,000 subsequent payments to pensioners entitled to a higher
pension on account of concurrent service years. Because the payment of this
Incoming Ready for pension component was overdue, ABP paid statutory interest to compensate
data new pension the financial loss incurred. Altogether, approximately €28 million was paid in
contract (NPC)
statutory interest. Some participants also suffered a tax disadvantage, because
the amount which they should have received spread out in the past was now
paid as a lump sum. This put them in a higher tax bracket, for example, or
meant that they were no longer eligible for tax rebates or allowances. ABP
compensated this loss as well, which involved a total amount of approximately
Contents Results in 2022: solid and professional organization ABP Annual Report 2022 70

€19 million. Around 24,000 pensioners with a tax disadvantage accepted the Capacity is a challenge
compensation we proposed; a small group opted to put forward their own All programs and actions in relation to our data quality require much time
substantiated proposal. and knowledge. ABP has freed up a dedicated team for this purpose, which
consults with the teams at APG. The capacity available at APG and the firm
The total group of participants entitled to subsequent payments includes deadlines are a key concern for ABP’s Board. During the reporting year, the
around 13,000 participants who received this subsequent payment in 2022. In Executive Board regularly discussed this aspect with APG’s Management Board.
the first half of 2023, we will also assess whether these participants sustained a The Executive Board also asked what APG might need from ABP in order to
consequential adverse tax impact. meet the deadlines set and guarantee the quality of the remedial actions.
The tight labor market and the specific knowledge required to carry out the
Compliance with the Data Quality Standards Framework remedial actions are a point of shared concern in this respect.
In preparation for the transition to the NPC, the Federation of Dutch Pensions In specific situations, the remedial actions will inevitably involve the use
Funds (Pensioenfederatie) created a Data Quality Standards Framework. ABP of remedial margins. An example of this is a difference in a participant's
made a substantive contribution to this framework. Among other things, this entitlements under two different APG systems. If this difference is less than €10
standards framework identifies critical data elements (CDEs). Pension funds gross, we have opted to set the entitlement at the outcome most advantageous
have to assess the quality of these CDEs. For each CDE, the pension fund for the participant. Determining the exact value to the nearest cent would
decides what data aberrations are acceptable in light of the transition to require a great deal of costly capacity on the part of APG. Through this
the NPC. In 2023, ABP and APG will determine the first key CDEs, which are approach, we ensure that our capacity is devoted to the major remedial
expected to number more than 40. If it is found that these elements must still actions, so that ABP will have its administrative records in order in good time
be remedied prior to the transition to the NPC, this will be done in the Grip on for a responsible transition to the NPC.
Data program. ABP and APG hold weekly progress meetings on this point.

Focus on digital security and privacy

In view of an increasingly digitalized society and a growing cyber
threat, ABP has a strong focus on digital security and monitoring
the privacy of participants and employers. In this area, too, we
collaborate closely with APG. We constantly evaluate and improve
our policies in areas such as cyber security and information
security and the associated measures. In addition, we periodically
review the effectiveness of the measures. For example, in 2022
APG conducted the periodical TIBER test together with DNB in
order to assess the effectiveness of the cyber security measures.
Contents Results in 2022: solid and professional organization ABP Annual Report 2022 71

Investing in the development of our organization The new HR cycle is primarily about looking ahead and coaching employees
in their development. The appraisal process has been disconnected from
Organizational restructuring: a necessary intervention with impact remuneration to create space for meaningful discussions. We want to continue
ABP restructured its organization in 2022, starting with the introduction of a this process in 2023, with the main focus being on the personal development of
new governance model (discussed in more detail in the ‘Governance’ section). our employees.
We opted for more direct management in order to bring the organization in
line with the new governance model and increase its agility. This organizational
restructuring had a major impact in an already eventful and busy year. It was
an intensive process, in which employees participated and contributed ideas
in a joint effort to give shape to the ABP of the future: an organization that ABP’s organization at a glance
Data as at December 31, 2022
is ready to face both current and future challenges. In consultation with the
Executive Board, the HR department and external support, the needs of the
organization and its employees were considered at great length. A number of Number of staff Average length of

39 service in years
colleagues decided to continue their careers elsewhere. ABP provided these
employees with guidance. Obviously, we are grateful for their contributions. (37.50 fte)
7
Growth of our employees
For a knowledge-intensive organization like ABP, committed employees are
Age distribution Average age
essential. One of our priorities is ensuring the long-term employability of our
staff. To this end, we link ABP’s professional mission to the personal ambitions
of our employees. In order to provide staff with the best possible support, we

49
15-25 0 0
updated our job classification system and job profiles in 2022. As part of this, 25-35 4 1
35-45 4 2
we also updated the job titles in collaboration with our employees. In doing so,
45-55 7 3
we not only focused on the organization’s current and future needs, but also on 55 and over 6 12
the creation of logical and challenging opportunities for career advancement. Total 21 18
We completed this process with a kick-off for the new organization.

Staff turnover
ABP encourages employees’ continuous development, including by enabling
them to attend seminars, take courses or receiving coaching. The HR cycle of Inflow 9 Number of staff members
planning, performance and appraisal was updated in 2022. Outflow 12 who left ABP following
the reorganization 4
Contents Results in 2022: solid and professional organization ABP Annual Report 2022 72

Diversity enriches our organization Further professionalization of collaboration with APG

The Board is convinced that diversity enriches our organization. Diversity is
always a fixed element and a topic of discussion in the procedure for recruiting During the reporting year, we also took steps to further professionalize the
and selecting Board members and employees. In this respect, the added value collaboration with APG as part of the new organizational structure. ABP is
that a new candidate profile may provide is the crucial factor. The plan for the principal and determines the policy, while APG is the trusted advisor
2022 was to update and broaden ABP’s diversity policy, but unfortunately and pension administrator Because our new organizational structure and
we were prevented from doing so this year by the urgent developments that management entailed a change to processes, we devoted extra attention
required much of our attention, including the two pension increases and the in 2022 to clearly expressing our expectations, wishes and requirements in
introduction of the new governance model. This subject is now on the agenda our role as principal. We do so both at Board level and in our operations.
for 2023. We ensure that potential bottlenecks can be discussed. As part of this, we
focus on our shared priority: the interests of our participants and employers.
Balance in hybrid working The ABP Participant Compass (Deelnemerkompas) and Employer Compass
After the measures during the Covid pandemic, we tried to find a new balance (Werkgeverkompas) provide guidance in this respect.
in hybrid working in 2022. Our employees all have well-equipped home offices.
At the same time, ABP invested in the Heerlen and Amsterdam offices to
provide an inspiring work environment that encourages collaboration. In each
team, agreements have been made about the ideal combination of working
from home and at the office.

Employee engagement survey

ABP conducts an employee engagement survey every year. The
outcomes in 2022 were largely the same as those in the previous
year. Employees experience pride and trust in each other, and feel
appreciated by their colleagues. The survey provides the Board
with valuable reference points for making improvements. Thus,
we will continue to devote time and attention to work stress
management and internal communication.
Contents Risk management ABP Annual Report 2022 73

How ABP
manages risks
We strengthened our risk management
during the reporting year, among other
things by introducing first-line risk reporting
and setting up a new internal control
framework. In this section, we also explain
what risks received particular attention in
2022 and what measures were taken.
Contents Risk management ABP Annual Report 2022 74

What our risk management looks like Governance and organization

In the context of the introduction of new the governance model and ABP has based its risk management on the three lines of defense model;the
the new Key Function Holder for Risk Management, the risk management design of this model was not changed in 2022.
framework was adjusted and tightened. This framework consists of a number
of fundamental, directly interrelated risk management building blocks. In this First line
section, we briefly explain those elements and indicate what was changed and The Executive Board is responsible for the day-to-day operations and the
improved in the reporting year. associated risks.

Second line
The Key Function Holder for Risk Management (KFH RM) has an independent
position and is responsible for providing a counterweight to the first line.
The KFH RM gives an independent opinion on the effectiveness of ABP’s risk
management. The Key Function Holder for Risk Management closely consults
with the Key Function Holder for Actuarial and with the Compliance Officer.

Data and systems Governance and

organization Third line
The Key Function Holder for Internal Audit checks whether the interaction
between the first and second lines is functioning correctly and gives an
objective, independent opinion on this.

Risk monitoring Culture and conduct

and reporting
Culture and conduct

Culture and conduct are important pillars in successful risk management. It

starts with our Board, which largely sets the tone in terms of an alert and open
organizational culture and which should set the right example for responsible
Risk policy Risk strategy
and process and appetite
and ethical behavior. In implementing the new governance model in 2022, we
gave particular consideration to the (new) division of duties within the Board.
In addition, we tightened the policy on ancillary positions and updated the
Code of Conduct, which was then signed by all ABP employees and direct
stakeholders. For more information, see the ‘Governance’ section.
 Contents Risk management ABP Annual Report 2022 75

Risk taxonomy Risk strategy and appetite

Risk principles remained unchanged

Environmental risks
The goal of ABP’s risk management is to create and protect value. ABP’s
• Support among participants, employers and other proactive and integrated risk management ensures that the risks that threaten
stakeholders the realization of ABP’s strategic goals are identified, analyzed, and controlled.
• Economic and social developments We have adopted six guiding risk principles that apply to all our activities and
• Financial trends which were not changed in 2022:
• Our risk management distinguishes between risks taken with the aim
of generating a return and risks arising from the performance of our
core duties.
Strategic risks • We strive to create a culture that does justice to risk management, and
as the Board we promote the importance of risk management in our
• ABP services
words and our deeds: the tone at the top is critical. We ensure that
• Pension as an attractive employee benefit
risk management is integrated in the day-to-day work at all levels in
• Good pension for the future
the organization.
• Decision-making is always preceded by an adequate risk assessment, with
transparency regarding the relevant facts on which the decisions is based.
The probability and impact of identified risks are always assessed in
Risks to solid foundations
advance, and risk management must be in line with our risk appetite.
• Governance and organization • Risk management is an inseparable part of the primary processes. Risks are
• Operational implementation allocated to the logical portfolio owner and are independently monitored.
• Reporting • We apply the principle of proportionality when implementing controls: the
advantages must outweigh the costs.
• Risks are constantly changing. We act on new and changing risks.

Risks to ethical foundations What risks we identify

• Culture ABP has divided the risks into four main categories. The diagram below shows

• Behavior to what extent we are prepared to accept risks in each category and how we

• Compliance assessed these risks during the reporting year.

 Contents Risk management ABP Annual Report 2022 76

Assessment of risks against risk appetite

Sub-strategy Risk appetite  Risk assessment

1. Our pension management 
Low BP is not prepared to run the risk of being overtaken by the market and 
Low ABP received a score of well over 72% on participant satisfaction. The CES
(administration and communication) is disappointing participants and employers who feel that they are no longer at score from employers rose to 97%. We continually work on improving our
focused on the experience of the center. services based on feedback from participants who have a complaint. This helped
participants and employers to reduce the number of complaints submitted in 2022 compared to 2021.

Low ABP is not prepared to run the long-term risk of inadequate agility to deliver
future-proof services.

2. Our asset management delivers 

Low ABP is not prepared to run the risk of being unable to make an active Low ABP took the first steps in 2022 to tighten and accelerate its Sustainable
an optimally sustainable and contribution to a sustainable and responsible world and intends to achieve this and Responsible Investment policy. This year, we have further embedded
responsible return with sustainable and responsible investments. sustainability in our investment tenets and we exercise our voting rights at
shareholder meetings.

Low ABP is not prepared to run the risk of inadequate accessibility of investment
data in any circumstances, including circumstances that are not foreseeable at
present.

3. Our pension scheme is simple, 

Average In the short term, ABP is prepared to run an average risk of negative 
Average Our most important task is to ensure that all current administrative
controllable, and explainable sentiment and of limited deviation in monetary claims for individual participants, processes are sound, so that participants receive what they are entitled to
if improvements in data quality lead to an inappropriate impact for the collective and everything is ready on time for the careful transition to the new pension
interest. contract (NPC). A more comprehensive explanation is included in the ‘Data
 and processes in order’ section on page 69.

Low ABP is not prepared to run the risk that participants do not receive the
pension to which they are entitled or do not have adequate insight into their
pension.

4. Our financial structure has an 

Low ABP is prepared to run a slight risk that the long-term ambition of a 100% Long Term: High Due to the maximum indexation arrears of 19.95%,
equilibrium between contribution, pension result will not be achieved. we do not expect to achieve a 100% pension result in the long term.
certainty, and ambition  A more comprehensive explanation of the pension increase in 2023 is included
 Average In the short term, ABP is prepared to run an average risk that pension in the ‘Adding value for participants and employers’ section on page 33.
entitlements will need to be reduced.
Short Term: Average The funding ratio at year-end 2022 was 110.9%,
which means there is an average risk of pension reductions.

5. We are committed to a good pension 

Average ABP is prepared to run an average risk of negative sentiment due to a 
Average The transition to the new pension system is one of the biggest in our
system in the Netherlands position adopted by ABP on the modernization of the pension system. history. The confidence of participants and employers in the pension system as
a whole and in ABP in particular is paramount. ABP has a duty to ensure the

Average In the short term, ABP is prepared to run an average risk that an adopted controlled and harmonious execution of this major task, within the specified
position disrupts the dialogue with stakeholders. deadline.

6.We are the pension experts, 

Average ABP is prepared to run an average risk of missing out on radical Low ABP is committed to digital security and adequately protecting the privacy
including in pension innovation innovations that can potentially determine the relevance of ABP in the long term. of our participants. Policy in areas such as cybersecurity and the corresponding
measures are evaluated and improved on a continuous basis.

Low ABP is not prepared to run the risk of missing out on process and product
innovations in the short and medium term.

7.We have a professional Board 
Low ABP is not prepared to run the risk of insufficiently solid foundations in the High The quality of the data in our pension administration is a continuous item
with very broad support short and medium term. Therefore, ABP is not prepared to run the risk of of attention for Risk Management. Our data quality policy focuses on three
inadequate data quality in the short or medium term. aspects: getting our administration in order, keeping our administration in
8.We have a grip on activities order, and getting it ready for the new pension contract (NPC). ABP and APG
outsourced to APG 
Average ABP is prepared to run an average risk that the construction drawings of are working closely together in a major program to improve our administration.
the solid foundations do not anticipate every conceivable scenario in the long
9. Our internal operations are in order term.
Contents Risk management ABP Annual Report 2022 77

Risk policy and process Risk monitoring and reporting

Our risk management is characterized by a systematic, iterative approach: Improved design of integrated risk reporting
the evaluation of a building block (see the illustration earlier in this section) To aid the further development of risk management, the General Board
suggests potential improvements not only for that particular building block adopted the improved design of integrated risk reporting in 2022. One of the
but also for the other building blocks. This creates a continuous improvement improvements is that the reports now include the second-line opinions. This
process in the area of risk management. gives the Board a better understanding of the development of risks and the
effectiveness of the controls. This updated design will be applied from 2023
Risk Self-Assessment Manual and developed further where necessary.
We drew up a manual for Risk Self-Assessments during the reporting year. This
manual gives an additional impulse to the quality and uniformity of our risk
management process. We used the manual in 2022 within the NPC program Data and systems
and for data quality purposes.
Improvement of internal control framework
Tightened comprehensive crisis management plan Administrative, support and control operations relating to the workflows within
We updated the integrated crisis management plan during the reporting year. the ABP organization and in the interaction with APG are time-consuming.
We do so on a regular basis, and the introduction of the new governance During the reporting year, we made preparations for a new internal control
model provided a good opportunity. We also wanted to include the lessons framework. This framework provides insight into the workflows and ensures
learned from a crisis simulation exercise held earlier. The plan clearly describes that we can check better and faster whether everyone within ABP observes
what ABP regards as a crisis and how we want and need to act in such a and correctly applies the agreed controls. The reason why we developed this
situation. The plan comprises a wide range of scenarios and examples, as well framework is directly associated with the adjustment to the governance model
as a detailed working procedure for the various roles in the organization. Cyber and the restructuring of our organization. After all, these changes also have
security is also a key part of the plan. an impact on the design, existence and operating effectiveness of the risk
management and control systems.
Own risk assessment
Since January 2019, pension funds are required to carry out a periodical own A workflow management system will be developed in line with the framework.
risk assessment (ORA) and share the results of that assessment with the This system will ensure that everyone has access to the same up-to-date
regulator, the Dutch central bank (DNB). An ORA must be performed every information at all times, which will collaboration more efficient. As registration
three years, or as soon as possible after a change in the risk profile. A regular will take place directly at source, fewer data will need to be recorded and
ORA will be carried out again in 2023. checked in the interim. Moreover, errors will be flagged up in time due
to built-in checks and balances and will therefore be quicker and easier to
rectify. We carried out a detailed assessment during the reporting year. This
Contents Risk management ABP Annual Report 2022 78

provided us with a clear understanding of the improvements to be made in Interest-rate exposure of the funding ratio
Change in the market intrest rate
the efficiency and effectiveness of processes within the ABP organization. The
implementation of the system has been scheduled for 2023. We are developing Return on
the system in consultation with APG to ensure that our respective systems are marketable
securities -1.0% -0.5% 0.0% 0.5% 1.0%
properly aligned, which will facilitate collaboration and control.

30% 117% 124% 131% 138% 145%

20% 111% 117% 124% 131% 138%
Key themes and focus areas in 2022 10% 105% 111% 118% 124% 130%
0% 99% 105% 111% 117% 123%
Increase in pensions -10% 93% 99% 104% 110% 116%
For the first time in years, ABP was able to increase pensions again in 2022. -20% 87% 92% 98% 103% 108%
This was an important topic also from a risk management perspective: we -30% 81% 86% 91% 96% 101%
devoted much attention to weighing up the interests of all stakeholders, also
with a view to the impact of the transition to the new pension contract. We
also took into account the importance of timely, clear communication about Investment in general
the decision, and what it means for participants and employers. The risk appetite for our investments reflects how ABP weighs up the extent
of investment risk in qualitative and quantitative terms against the contribution
Interest-rate exposure of the funding ratio and the ambition of the fund. We redetermined the risk appetite in 2022, based
Like most other pension funds, ABP has partly hedged the interest-rate risk. If on regulations issued by DNB and in consultation with the Accountability Body.
investment returns are positive and market interest rates go up, the funding In doing so, we further tightened the short-term quantitative risk appetite. The
ratio will rise. If investment returns are negative and interest rates go down, action plan drawn for this purpose in 2021 had been largely implemented by
the reverse applies. For example, if the interest rate falls quickly by one the end of 2022. The tightened risk appetite was taken into account in the
percentage point at the beginning of 2023 and the marketable securities in ALM study carried out in 2022. Because the world is changing before our eyes,
our portfolio do not rise in value, the funding ratio will fall from 111% to 99%. we used updated scenarios so as to keep the risk management as realistic
The table shows the interest-rate exposure of the funding ratio in more detail. as possible.

ABP’s investment convictions were renewed in 2022 and published on our

website. These convictions form the foundation for our investment process.
Although it is the first line that is responsible for determining the revised
risk appetite and the new investment convictions, Risk Management was also
involved in this process.
Contents Risk management ABP Annual Report 2022 79

Furthermore, we considered the seismic changes in the financial markets Cyber resilience and privacy
and the effect of these changes on the investment portfolio, and therefore Risk Management keeps a close eye on cyber resilience and privacy.
also on the derivatives portfolio, from a risk management perspective. These Information security was constantly on the agenda in 2022, as explained in
changes caused major problems at pension funds in the United Kingdom. ABP more detail in the box on page 70.
performed stress tests to monitor whether the fund can weather such shocks.
These tests revealed that ABP is able to withstand them. Data quality
The quality of the data in our pension administration is a continuous item
Sustainable and responsible investment of attention for Risk Management. Our data quality policy focuses on three
Risk management is an integral part of all ABP’s policy plans. When adopting aspects: getting our administrative records in order, keeping our administrative
the new, tightened elements of our Sustainable and Responsible Investment records in order and preparing our administrative records for the new pension
Policy, we again identified the risks and took appropriate measures where contract (NPC). In this context, we comply with the Data Standards Framework
necessary, which measures have been embedded in the policy. Risks are laid down by DNB and the guidelines of the Federation of Dutch Pension Funds.
assessed in all the stages of decision-making and considered from various
perspectives, including in terms of return, social impact, environmental and By the middle of 2022, a new action plan was drawn up to improve our
climate impact, communication, level of support among our stakeholders, and administrative records. The basic principle is that participants receive what they
feasibility. More information on this is provided in ‘Contributing to a livable are entitled to. To this end, the following aspects are also taken into account:
world’ section. • Costs – these must be justifiable in relation to the size of the group of
participants concerned;
Risk management is an integral part of ABP’s new climate policy, which • Time – given that the new pension system will be introduced on January 1,
explicitly addresses climate risks (as explained in more detail in the 2026, we must be ready by January 1, 2025 to carry out trial migrations and
‘Contributing to a livable world’ section). In drawing up this new policy, we report on them to DNB.
devoted much attention to mitigating potential reputational risks and how
operational consequences translate within ABP and APG. ABP and APG are working closely together in a major program to improve
our administrative records. We will inform the participants for whom remedial
ABP monitors the climate risks by means of a dashboard that uses short-term, actions are required, as comprehensively and as early as possible.
medium-term and long-term data and scenarios. There is no standardized
method just yet for measuring climate risks, but ABP has developed its own For more information, see also the ‘Working on solid foundations and a
method in consultation with APG, with input from external consultants and professional organization’ section.
our investment experts. The dashboard helps us keep track of these crucial
risks, both to society and to our investment portfolio, and take targeted action
where required.
Contents Risk management ABP Annual Report 2022 80

New pension contract Collaboration with APG

The introduction of the new pension contract (NPC) is a major and complex The introduction of ABP’s new organizational and governance structure also
project. Among other things, it affects our support base of participants and entailed a change to the outsourcing risk. ABP has tightened its management
employers, our processes, and our IT systems and data quality. ABP has of the outsourcing policy and processes, focusing on how ABP can remain in
initiated a major program to ensure careful implementation, with a risk self- control and, for example, on how to deal with any subcontracting by APG,
assessment (RSA) as a fixed element that is updated each quarter. These RSAs which is to be discussed with APG. These risks have our constant attention and
will help ABP to identify the most important risks relating to the introduction are also regularly discussed with DNB.
of the NPC. We further refined and improved the RSA process in 2022 in
order to obtain an even better understanding of the risks associated with the
introduction of the NPC and take action in time. In-Control Statement

Fraud prevention The Board’s In-Control Statement for 2022 is based on the above-mentioned
The Board sets great store by fraud prevention, with a view to protecting the developments and activities in the area of risk management at the fund and
interests of participants and employers and safeguarding ABP’s reputation as a the pension administrator.
reliable pension fund. In 2022, ABP updated the Code of Conduct (as described
in more detail in the section on our governance), and appointed a new ABP’s Board is responsible for the fund’s financial position and hence for
independent confidential counselor in order to make confidential notifications the design, existence, and operating effectiveness of the risk management
as easy and hassle-free as possible. ABP also monitors its outsourcing partners and control systems. The purpose of these systems is to monitor progress
in various places in order to detect potential fraud. Thus, we investigate on the achievement the pension fund’s strategic, operational, financial and
suspicions of fraud on a case-by-case basis to determine whether fraud has compliance objectives and to enable reliable financial reporting. Furthermore,
indeed been committed. Furthermore, we have introduced controls to prevent these systems are designed to identify and mitigate the risks that the pension
and combat fraud, including mandatory four-eye checks, a fraud help desk, fund takes and to which it is exposed as a result of the environment in which it
adequate segregation of duties and employee screening. operates. The risk management systems also have to ensure strict compliance
with relevant laws and regulations. The Executive Board periodically discussed
its assessment of the design, existence, and operation of the fund’s risk
management and control systems during 2022.
Contents Risk management ABP Annual Report 2022 81

The internal risk management and control systems are designed to provide The Board’s In-Control Statement for 2022 makes an explicit statement on
reasonable assurance with regard the identification and management of risks. the quality of the risk management and control systems that safeguard
The systems cannot provide absolute assurance that the strategic, operational the achievement of the fund’s financial reporting objectives. The decision
and financial objectives will actually be achieved, nor can the systems prevent to focus on financial reporting in the In-Control Statement was partly
all material errors and instances of fraud or non-compliance with relevant laws prompted by international societal developments in relation to reporting
and regulations. The Board has taken measures to mitigate the impact of the around internal risk management, and by the Dutch Corporate Governance
aforementioned risks as much as possible. The Board notes that due to the Monitoring Committee’s recommendations on the best practice provision in
nature of the pension fund’s activities, some risks, such as those relating to Dutch Corporate Governance Code regarding the In-control Statement. This In-
demographic changes and developments in the financial markets, are beyond Control Statement concerns the financial reporting risks relating to the financial
its control. statements 2022, the figures presented in the Board report 2022, the Z score
for 2022, the annual reporting for 2022 to DNB, and the quarterly reports
ABP adjusted and tightened the risk management framework in 2022 by for 2022.
introducing the new governance model, redefining the key functions based
on the ‘three lines of defense model’, and designing a new internal control Based in part on the In-Control Statements for 2022 received from the pension
framework. The Board discusses the fund’s risk management partly on the administrator, that Board declares that the internal risk management systems
basis of the design for integrated risk reporting, which was improved in are designed to control the strategic, financial, operational and compliance
2022, and the key function holders’ reports. In addition, the Executive Board’s risks relating to the achievement of ABP’s objectives.
responsibilities include giving an independent assessment of the fund’s own
risk management and of the risk management performed by the pension With respect to the financial reporting risks, the Board declares that given the
administrator in respect of the outsourced processes. The external auditor scope described above, the internal risk management and control systems
advises ABP on the basis of findings from regular audit procedures and in 2022 provided reasonable assurance that the aforementioned financial
specific audits conducted at the request of ABP. ABP also engages other reporting products contain no material misstatements that could have an
external parties for specific audits. The pension administrator has in place a effect on ABP’s ability to continue as a going concern.
comprehensive control framework of process descriptions, controls and test
reports to safeguard and maintain effective risk management. The results
of the assessment of this control framework, including the management
statements issued by the pension administrator’s executive board and senior
management, ISAE 3402 type II and ISAE 3000 reports, and periodical reports,
as well as the fund’s own risk management, provide the Board with a sufficient
basis for its own In-Control Statement (ICS).
 Contents ABP Annual Report 2022 82

100 years of ABP – With a good pension, we can go further

In addition to his daily work as HRM manager
at University Medical Center Groningen, Eric
van Boven regularly devotes more than one
day a week to his role on the Accountability
Body. In 2022, he was elected for a third
term as a representative of the employees –
and before that he was even involved in the
precursors of the current Accountability Body.

‘The fact that pensions get us further is undeniable: when you

stop working, you want to go on living the way you did and keep
enjoying yourself. This can be difficult on just a state pension.
Through my role on the Accountability Body, I want to help ensure
that participants receive the best and fairest pension possible. We
advise and challenge the Board. In 2022 we did so with respect
to the pension increase, for example. I think that the Board did
the right thing: after years without an increase, there was now
space for doing so. The Board considered its decision carefully,
and clearly explained its reasons.

‘Clarity is a The new pension contract will be one of my personal priorities

key concern’ in the coming period. The transition of the existing rights to the
new system of pension assets must be organized properly, so as
not to disadvantage future generations. The greatest challenge
for me is explainability: the NPC must also make pensions more
Eric van Boven understandable for participants. As well as striking a balance
Member of the Accountability Body between the interests all target groups, this is another aspect
which the Accountability Body will monitor closely. Soon a plethora
of new specific rules will apply, and it is important that everyone
understands what is happening.’
Contents Governance ABP Annual Report 2022 83

The first year

with a new
governance model
2022 was the first year in which ABP was
run under the new one-tier governance
model, with a General Board consisting
of an independent Executive Board and
a Non-Executive Board that represents
the interests of the social partners and
pensioners. This is also known as a ‘inverted
mixed’ governance model. We performed an
interim evaluation halfway through 2022,
followed by an in-depth evaluation in the
first quarter of 2023. The outcomes and
other relevant developments in relation
to our governance will be explained in
this section.
Contents Governance ABP Annual Report 2022 84

Legal structure • The design of the new governance model helps us give shape to the social
and public function of ABP as a financial institution. In this context, the
Stichting Pensioenfonds ABP was founded in 1922, with its registered office interaction with our environment – including our social partners – is of
in Heerlen, the Netherlands; ABP was privatized in 1996. ABP operates only vital importance.
in the Netherlands and is a foundation incorporated under Dutch law, in
accordance with the statutory requirements for pension funds. The foundation
is registered with the Chamber of Commerce under number 41074000. The ABP’s governance structure
articles of incorporation were last amended on January 1, 2022, due to
DNB
the transition to the new inverted mixed governance model. The pension Regulator Dutch Pension Board Auditor

regulations were last amended on October 1, 2022. The administration of the

AFM
Certifying Actuary
pension scheme is placed with APG Groep N.V., in which ABP holds 92.16% of Regulator
General Board of ABP
the shares. ABP has been a Public Interest Entity since January 1, 2020. AB
Advice
Independent Chair
De Nederlandsche Bank (DNB, the Dutch central bank) is the external
Committees Non-executive Board 2nd/3rd line functions
prudential supervisor of ABP. The duty of DNB is to safeguard the stability of
Human Executive Board
the Dutch financial system. ABP reports to DNB on compliance with regulations Key Risk Control Officer
Resources
that promote financial soundness. The Dutch Authority for the Financial
Audit Key Internal Audit Officer
Markets (AFM) supervises ABP’s market conduct, such as our compliance with
our statutory obligation to issue pension statements. ABP staff
Pensions Key Actuarial Officer

Pension administration
Investments organization (APG) Compliance Officer
ABP’s governance structure

From January 1, 2022, ABP’s governance is based on the so-called inverted General Board
mixed governance model, which is more in line with the challenges facing ABP The General Board is responsible for the strategy and policy of ABP. The
(for more detail, see the ‘Our environment in 2022’ section). This decision was General Board consists of an Executive Board and a Non-Executive Board. The
prompted by a number of reasons. Chair of the General Board, Ms. C. Wortmann, has a liaising role between the
• A clearer delineation of responsibilities will contribute to more strategic Non-Executive Board and the Executive Board.
management, faster decision-making, and greater efficiency;
• Three full-time Executive Board members can manage the fund on a daily We follow a set procedure in recruiting and selecting Board members. First,
basis and give shape to the collaboration with APG to ensure the best the Non-Executive Board draw up a job profile, which in addition to a
possible pension administration; general part contains specific provisions on the knowledge, experience and
Contents Governance ABP Annual Report 2022 85

competences required for the vacancy. The HR Committee performs all the The Executive Board is tasked with preparing and implementing ABP’s strategy
preparatory work. We request the nominating organization to nominate a and policy. In addition, it is responsible for the daily management of the fund.
candidate on the basis of the adopted job profile. Once the nomination The various portfolios are divided between the three members: Legal, HR
has been received, it is reviewed by the General Board, which subsequently and Organizational Development, IT and Data, Finance, Communication, Public
takes a substantiated decision on the appointment. The appointment of the Affairs, and Internal Control. The Executive Board reports to the General Board.
independent Chair does not involve a nomination by the social partners or
the pensioners’ representatives. Based on the profile adopted, this person Non-Executive Board
is selected by an ABP selection committee applying its own recruitment and The Non-Executive Board carries out the internal supervision, which includes
selection procedure, and proposed to the General Board for appointment. In all supervising the activities of the Executive Board. Important topics addressed
cases, the appointment is made by the Board subject to approval by DNB. After by the Non-Executive Board are adequate risk management and a balanced
DNB has assessed the candidate, the appointment can be finalized. consideration of interests by the Board. Among other things, the Non-Executive
Board formulates a supervision plan and holds separate meetings. The Non-
Executive Board
The independent Executive Board has three members:
• Harmen van Wijnen, Chair; Retirement schedule
• Yolanda Verdonk-van Lokven, responsible for pensions; ABP Board of Trustees Board member End of term

• Dominique Dijkhuis, responsible for investments. Mw. C.M. Wortmann-Kool Non-Executive Board 01-01-23
Mw. C.M. Mulder-Volkers Non-Executive Board 01-04-23
Dhr. X.J. den Uyl Non-Executive Board 01-04-23
Dhr. A. van Vliet Non-Executive Board 16-02-24
Dhr. A. Boonen Non-Executive Board 01-01-25
Loek Sibbing taking over chairmanship baton from
Dhr. P. Fey Non-Executive Board 01-05-25
Corine Wortmann
Mw. A. Gram Non-Executive Board 01-06-25
Effective March 7, 2023, Loek Sibbing (63) has been appointed Dhr. P. Rosenmoller Non-Executive Board 01-12-25
independent Chair of the General Board of ABP. He has succeeded Dhr. H.J. van Wijnen Executive Board 01-01-26
Corien Wortmann, who stepped down effective January 1, 2023. Mw. D. Dijkhuis Executive Board 01-01-26
Loek Sibbing has been a member of ABP’s Board since 2019. Mw. Y. Verdonk - van Lokven Executive Board 01-02-26
He has many years’ international experience in management Mw. V. van der Meer – Gangapersadsing Non-Executive Board 01-04-26
and supervisory roles at pension funds, institutional asset Dhr. A. Slager Non-Executive Board 01-06-26
management companies, and investment funds. Mw. M. ten Kroode Non-Executive Board 14-11-26
Mw. K. Nauta Non-Executive Board 01-03-27
Dhr. A.J.M. Sibbing Non-Executive Board 07-03-27
Contents Governance ABP Annual Report 2022 86

Executive Board renders itself accountable for the performance of these duties Key function holders
in this annual report. ABP had three key function holders in 2022. The position of Key Function
Holder for Risk Management is an internal position; Veronique Achmad took up
The Non-Executive Board consists of 13 members, including the Chair of this role in 2022. The Key Function Holder for Internal Audit (Tijs Wolffenbuttel)
the General Board. Nine members are nominated by the social partners was appointed in 2022 as well. The position of Key Function Holder for Actuarial
(employers and employees) and three by the pensioners’ representatives in was already an external position (held by Rob Schilder of Willis Towers Watson),
the Accountability Body. The Chair is appointed by the General Board. and this remained unchanged in the reporting year.

Committees Accountability Body

The Pensions Committee and the Investments Committee are responsible The ABP’s Accountability Body consists of 48 members, divided between
for preparing strategy and policy in these key policy areas. Accordingly, various groupings:
these preparations need not involve the entire General Board and duties • 19 members representing employees;
are allocated among the General Board members. The committees also act • 13 members representing pensioners;
as a sounding board for the Executive Board. Both committees consist of a • 16 members representing employers.
combination of at least one Executive and four Non-Executive Board members
of the General Board. The Accountability Body’s principal duty is to advise the ABP Board. This
usually involves mandatory requests for opinion on matters set out in the
The Audit Committee supports the Non-Executive Board in the performance of Accountability Body’s Regulations (Reglement verantwoordingsorgaan), such
its supervisory duties. This committee consists of three Non-Executive Board as the adoption and amendment of the contribution policy, recovery plans
members and three external members. or the Strategic Investment Policy. If no unanimous opinion can be reached,
the Accountability Body issues an opinion supported by the majority. Such an
The duties of the HR Committee include preparing policy regarding fitness opinion will include the dissenting views as well.
and remuneration of ABP’s Board members and senior management, and
supporting the General Board in formulating job profiles and in recruiting and Each year, the Accountability Body gives its opinion on the actions of the Board,
selecting Board members, key function holders and the external members of including the investment policy conducted by the Board and policy choices it
the Audit Committee. The HR Committee handles the preparations for the made for the future. This opinion is included in the present annual report.
evaluations of the General Board and the Non-Executive Board and holds The Accountability Body also provides the Board with solicited and unsolicited
annual performance appraisal interviews with the Executive Board members. advice on policy. In addition, the Accountability Body reviews whether decisions
are balanced and in line with ABP’s core values.
The various key function holders may attend these meetings when they
consider this useful. Once every four years, some members of the Accountability Body are elected
in elections in which those represented can vote; only the 16 members
 Contents Governance ABP Annual Report 2022 87

representing the employers are appointed by employers’ organizations. office. In this way, we ensure that employees receive attention and support and
Elections were held by the middle of 2022. These elections went well, with that the duties and responsibilities of the Executive Board members remain
all those involved cooperating in a pleasant and constructive manner. All manageable. New teams have been grouped under the various portfolios of
ABP’s active participants and pensioners were notified at the time of the the Executive Board members.
nomination of candidates, and subsequently via a notice of election. A total
of 154 candidates took part (83 participants, 71 pensioners), and 180,215 ABP does not fall under any collective labor agreement. ABP has a staff manual
votes were cast (with a turnout of 8.5%). After their appointment, the new which sets out all the arrangements between the employer and the employee,
members attended a three-day training course provided by the external for example with regard to salary, sickness absence and mobility. This also
training agency SPO. This course involved a detailed explanation of topics ensures that all colleagues are treated equally.
such as the pension system and the advisory role of the Accountability
Body. The members also received in-house training specifically about ABP.
On this occasion, ABP Board members and employees shared information Developments during the reporting year
and answered questions on subjects such as strategy, investments, pension
communication and pension policy. Culture, Conduct and Role Awareness program
A transition plan was formulated to ensure the smooth introduction of the
ABP organization new governance model. A key element of this plan is our Culture, Conduct
The introduction of the Executive Board has created a flatter organization, and Role Awareness program. Through this program, the existing and new
because the layer of management consisting of the Executive Office and Board members were prepared for their new roles. Under the guidance of the
Management Team has been removed. Most employees are now linked directly consultancy firm Mens&Kennis, the Board followed a balanced pathway helping
to an Executive Board member. We appointed a manager in areas where more it to define the culture and conduct required to be successful as a Board in
operational guidance was required, such as a team manager for the secretarial the various bodies. The topics addressed in this context included the requisite
competences in the various roles, with consideration being given to individual
scores and team scores on various aspects. Another topic was strengthening
team spirit, with attention for norms and values and expressing mutual
expectations, among other things. Where conduct is concerned, consideration
was given for example to effective and ineffective patterns and recognizing
these patterns, and possibilities to display new conduct by identifying and
adjusting ineffective conduct.
For more information on the development of our organization,
Evaluation of the new governance model
see the ‘Working on solid foundations and a professional
The first interim evaluation of the new governance model in August 2022
organization’ section. reflects satisfaction on the part of the General Board: we have taken a step
Contents Governance ABP Annual Report 2022 88

in the right direction. On this occasion, the Board immediately introduced a 2022, focuses on the question to what extent we are achieving the intended
number of improvements. For example, the Executive Board’s reports were goals of the new model. This evaluation will be completed in the second
aligned more closely to the General Board’s need for information, while we quarter of 2023, which means that the experiences gained by the departing
explicitly addressed robust decision-making and clarified the manner in which Chair of the General Board can still be taken into account.
supervision is fleshed out. We discussed the workload within the Executive
Board and took steps towards a more balanced distribution of duties. (More Consultations in 2022
detail can be found elsewhere in this section, under ‘Self-evaluation and Board meetings were held on a regular basis during the reporting year. In
development of the Board’.) The next evaluation, which started at the end of addition, Board members held more informal talks during the year on an ad
hoc basis.

The Executive Board met nearly every week throughout the year. During these
Faster decision-making by the Board thanks to Equilibrium
meetings, we discussed current themes that were important to our participants
Model of Development
and employers. The increase in the pensions for 2022 and 2023, in combination
In order to improve the Board’s decision-making process,
with ABP’s financial position, played a key role in these discussions. At most
especially with regard to complex decisions such as increasing
of the weekly meetings, the Executive Board addressed the preparations for
pensions, we use the Equilibrium Model of Development effective
the transition to the new pension contract. In doing so, the Executive Board
from the reporting year:
prepared the decision-making by the General Board. Much attention was also
• Orientation: gather information, identify the problem/issue, devoted to the Sustainable and Responsible Investment Policy. In addition,
what ideas have been put forward, what decisions were taken the Executive Board addressed the following topics, among others: application
earlier, etc.; of the new governance model, the completion of the reorganization of ABP
• Evaluation: decide whether we have all the information and the recalibration and tightening of ABP’s strategy. We also spoke about
we need and what our options are, structure the the effects of geopolitical developments on our investment portfolio and the
information, consider the pros and cons, hear proponents and further development of our risk management. The collaboration with APG
opponents, etc.; and operational outsourcing also had the Executive Board’s constant attention.
• Control: the actual decision-making. Improving the quality of our data was a further important recurring item.
In 2022, a new reporting format was developed which the Executive Board uses
If steps one and two are successfully completed, step three
in reporting to the General Board.
should not take long. In addition, this structured approach involves
the Board in the decision-making process and prevents last-
The General Board met 13 times in 2022. The discussions at these meetings
minute surprises. In a complex or more political environment,
concerned the same subjects, whereby the transition to the new pension
it ensures a more explicit separation of facts and opinions. It
contract, the pension increase and the Sustainable and Responsible Investment
also increases transparency in decision-making and therefore
policy required most of the Board’s time.
facilitates accountability.
Contents Governance ABP Annual Report 2022 89

The Non-Executive Board held seven independent meetings during the Policy on ancillary positions updated
reporting year, which are described in more detail in the Non-Executive ABP has a Code of Conduct that addresses conflicts of interest. In addition,
Board’s report. we have a policy on ancillary positions. This policy is a further elaboration of
the rules laid down in the Code of Conduct. The policy on ancillary positions
For important issues, the Board requests an opinion from the Accountability was revised and adopted in 2022. The roles involved and the process were
Body. In 2022, (a delegation from) the General Board held seven re-examined and adjusted where necessary, and stricter safeguards were
consultative meetings with (a delegation from) the Accountability Body. The incorporated in order to prevent conflicts of interest. For example, the role
requests for opinion discussed related to subjects such as the Actuarial of the HR Committee in the context of ancillary positions has been described
and Technical Business Report (ABTN), the early indexation decision for more clearly, while the opinion issued includes multiple scenarios with regard
2022, the Contribution and Indexation Memorandum 2023, and various to potential conflicts of interest. These scenarios are part of the assessment of
formal regulations. The Board takes the Accountability Body’s opinion into the application. The policy was adopted at the end of 2022.
consideration before taking a final decision. We also held a number of thematic
sessions with the Accountability Body to discuss current themes such as Self-evaluation and development of the Board
sustainable and responsible investment and the new pension contract. The Board also consciously devotes time at fixed intervals to consider
its development in the context of our Fitness policy. We thus comply
with the statutory requirements in DNB’s Policy Rule on Fitness
(Beleidsregel Geschiktheid).
Presence of Board
Number of Participation
Meeting
meetings rate The self-evaluation takes place once a year at a predetermined moment.
Board meeting 1
10 96% During the reporting year, it focused on the extent to which the goals
Non-executive board 7 92% formulated in respect of good governance are achieved through the
Two-day board meeting 3 98% implementation of the inverted mixed governance model. The Board
Board committee on pensions 7 100% monitored the functioning of the new governance model during the year as
Board committee on investments 6 94% well: the model was evaluated after each meeting, in order to learn and
Audit committee2 7 90% adjust where necessary. The interim evaluation of the new inverted mixed
Supervisory meeting3 5 94% governance model zoomed in on three key areas that are vital to the success
of this new governance model: decisiveness, collaboration with APG and the
Total 95%
Board members’ awareness of their respective roles. Based on the outcomes
of the interim evaluation, the Board worked on various improvement proposals
1 Included are only formal board meetings including thematic sessions of more than during the remaining months of 2022. In this context, specific consideration
30 minutes
was given to effective supervision, the robustness of the decision-making
2 Including a meeting between Audit committee and the Accountability Body
process, the workload within the Executive Board and the Non-Executive
3 In the Supervisory meeting the non-executive board meets the Board
Contents Governance ABP Annual Report 2022 90

Board’s range of duties. The Board also completed the Culture, Conduct and • incremental penalty payments or administrative fines during the reporting
Role Awareness program during 2022 under the guidance of Mens&Kennis (as year (as referred to in Section 96(a) PW);
described earlier in this section). At several moments, we devoted time and • instructions issued to the pensions administrator as referred to in Section
energy to the conduct side of the transition to the new governance model. 171 (as referred to in Section 96(b) PW);
• a court-appointed administrator as referred to in Section 173 PW (as
referred to in Section 96(c) PW).
Compliance with statutory guidelines and codes
ABP has complied with the principles of the Federation of Dutch Pension
External compliance Funds’ Code of Conduct for the processing of personal data by pension funds
ABP is subject to the Code of the Dutch Pension Funds (Code (Gedragslijn Verwerking Persoonsgegevens Pensioenfondsen). Furthermore,
Pensioenfondsen). This Code, which overlaps to some extent with the the Board has decided to apply the Senior Officials in the Public and Semi-
Dutch Corporate Governance Code, focuses specifically on the pension Public Sector (Standards for Remuneration) Act (Wet Normering Topinkomens,
sector. We comply with the norms laid down by this code, subject to the WNT) voluntarily with effect from January 1, 2022 for the remuneration of
following qualifications: boardmembers. ABP has also fulfilled the obligation to enter Board members
• Norm 16 states that members of the Board, the Accountability Body, in the UBO register. Pursuant to the obligations arising from the SFDR, ABP
the internal supervision body and other co-policymakers sign the fund’s has included information in Appendix IV on the sustainability of our investment
internal code of conduct and an annual declaration of compliance, and portfolio in accordance with the definitions of the SFDR.
conduct themselves accordingly. The compliance statement for 2022 in
respect of the ABP Code of Conduct has been signed by the members Compliance with our internal rules
of the Executive Board and the members of the Non-Executive Board. In The ABP Code of Conduct has been signed for 2023 by the entire organization,
addition, the members of the Accountability Body have signed the Code including the members of all its management bodies. Furthermore, a new
of Conduct specifically in respect of the Accountability Body, which was application was put into operation during the reporting year through which
renewed in 2022. abuses can be reported anonymously as well. A new confidential counselor has
• Norm 39 states that the appointment of a member of the Accountability also been appointed. We specifically highlighted both subjects at internal level
Body is the responsibility of the Board, whereas the dismissal of a member in order to raise awareness.
of the Accountability Body is the responsibility of the Accountability Body.
Members of ABP’s Accountability Body are appointed by the nominating With regard to compliance with the ABP Code of Conduct, integrity, and
parties, because this is more in line with the governance of ABP. the whistle-blower scheme, no reports were made and no unusual incidents
occurred during the reporting year.
ABP meets the statutory requirements under the Pensions Act (Pensioenwet,
PW) and the PIE requirements for good governance of pension funds. There
were no instances of:
 Contents Governance ABP Annual Report 2022 91

General Board

1 2 4 6 7

3 5 8

9 10 11 12 13 14

ABP’s General Board (GB) consists of:

1. Conchita Mulder-Volkers 5. Krista Nauta 10. Yolanda Verdonk The General Board (GB) comprises the Executive Board
2. Patrick Fey 6. Loek Sibbing 11. Anne Gram (EB) and the Non-Executive Board (NEB). Harmen van
3. Vandena van der Meer- 7. Alfred Slager 12. Marjolein ten Kroode Wijnen, Dominique Dijkhuis and Yolanda Verdonk make
Gangapersadsing 8. Paul Rosenmöller 13. Dominique Dijkhuis up the EB. The other Board members in the photo make
4. Harmen van Wijnen 9. Xander den Uyl 14. Aldert Boonen up the NEB.

One Board member is missing in the photo: André van Vliet.

Contents Accountability and supervision ABP Annual Report 2022 92

Accountability and
supervision
Contents Report of the Non-Executive Board ABP Annual Report 2022 93

Report of the Non-

Executive Board
2022 was an eventful year, with the
biggest shock being Russia’s invasion of
Ukraine. It was also a memorable year for
the Non-Executive Board. Our supervisory
duties began on January 1, 2022, with the
introduction of the new inverted mixed
governance model.
Contents Report of the Non-Executive Board ABP Annual Report 2022 94

Brief review In order to properly perform the Non-Executive Board’s supervisory duties, its
members worked in pairs, each of which addressed one or more supervisory
Halfway through 2022, ABP was able to increase pensions for the first time themes which they monitored during the reporting year. To this end, they
since 2008, by 2.39%. After carefully considering all interests as well as the relied on the quarterly reports of the Executive Board, the reports of key
financial position of ABP, it was possible to implement a historic increase function holders and conversations with the Executive Board. The Audit
of pensions by 11.96% at the end of 2022. The General Board also took Committee challenged the Non-Executive Board and provided it with its own
progressive steps in the policy around the sustainability of the investment observations. In this way, the checks and balances between the Executive
portfolio. A great deal of work was done to prepare for the introduction of Board and the internal supervisory function (Non-Executive Board) have
the new pension contract (NPC), in collaboration with social partners and APG. been reinforced.
ABP’s target date for the introduction of the NPC is January 1, 2026. That may
seem a long way off, but there is still a great deal of preparation to be done. To provide as transparent an account as possible of our activities during
We must ensure that participants receive the correct amounts, both now and in the past year, on April 20, 2023 the Non-Executive Board presented a
the future when the new pension contract is introduced. In our supervisory role comprehensive report to the Accountability Body on all of the aforementioned
we have monitored the progress made on all these themes, which will have a themes. The Non-Executive Board has decided to include a summary of that
significant impact on the future of the fund and the confidence of participants report in this annual report. The summary is limited to the key findings from
in ABP. the supervision of the aforementioned strategic priorities, based on which the
Non-Executive Board has also made a number of recommendations.

Procedure
Observations and recommendations of the Non-
The responsibility for internal supervision within ABP has been assigned to the Executive Board
Non-Executive Board. We are supported in this by the Audit Committee. In
2022, we performed our duties in accordance with our supervision plan. The Balanced consideration of interests in decisions relating to the NPC
supervision plan is based on seven themes that we monitored throughout the The Non-Executive Board closely monitored the balanced consideration of
year. Within these themes, we monitored four strategic priorities in particular: interests in the General Board’s decision-making in relation to the NPC, in
• balanced consideration of interests in decisions relating to the NPC; particular with respect to the early indexation decision (a 2.39% increase) and
• sustainable and responsible investment; the decision to increase pensions by 11.96% with effect from January 1, 2023.
• application of the new governance model; We conclude that the General Board has considered the interests of all groups
• data quality. of participants in a balanced manner in these decision-making processes and
has clearly communicated these decisions to all stakeholders (social partners,
the Accountability Body, participants and employers).
Contents Report of the Non-Executive Board ABP Annual Report 2022 95

Recommendations to the General Board affect its investments and thus participants’ pension payments. As ABP’s new
• Keep to the agreement to review the contribution policy in the first half sustainability policy takes shape, ABP will need to explicitly substantiate on an
of 2023, and conduct this review when the final version of the transitional ongoing basis how it strikes the balance between sustainability, risk, return and
financial assessment framework has been publicized. costs. These considerations are made at the overall portfolio level and as part
• When communicating with participants, consider the expectations they may of ABP’s role as a long-term investor. In this context, sustainability does not
have with respect to subsequent indexations. come at the expense of the risk/return ratio.
• Ensure that the Accountability Body is kept informed of each step in
the process. Recommendations to the General Board
• In the assessment framework for the balanced consideration of interests, • Provide insight into how the adjusted investment policy impacts
the General Board has identified three target groups: active participants, the organization.
deferred participants and pensioners. When making decisions in relation to • Always substantiate how sustainability decisions are made, in the context of
the NPC, it may be necessary to define these target groups more precisely, ABP and also in relation to sustainability, risk, return and costs.
for example by making reference to specific age cohorts within each of
these target groups. We advise the General Board to assess this when Application of the new governance model
making decisions in relation to the NPC. The General Board has evaluated the new inverted mixed governance model
and identified a number of improvements that could be made to it. For this
Sustainable and responsible investment interim evaluation, the General Board obtained input from other stakeholders
In December, when it published the goal of achieving a 50% CO2 reduction (such as the Accountability Body, APG and staff). It will do the same for its
by 2030, ABP provided specific information on how it will assess potential evaluation of the model in early 2023. In the context of our supervisory duties,
investments. In addition, ABP aims to invest a total of €30 billion in the energy we as the Non-Executive Board have observed that the General Board has
transition over the same period. ABP has decided to make more direct (impact) taken a serious approach to the application of the inverted mixed governance
investments, such as developing offshore wind farms. We would like to gain model and reflects on its own actions, taking into account the goals of the
insight into the impact of the adjusted investment policy on the organization. model (such in terms of effective governance, collaboration with APG and role
We will include this in our supervision in 2023. awareness). The interim evaluation also produced a positive assessment of the
transition to the new model.
Focus on the risk/return ratio, including in relation to sustainability
Achieving a good return by taking a responsible level of risk is important to The General Board is ensuring that the new roles and structures are also
ensure ‘a good pension for participants’. ABP wishes to contribute to a livable expressed in culture and behavior. To this end, it has taken a number of
world. We have observed that the rest of the world does not alway follow steps, including engaging a boardroom coach. We believe this has significantly
the lead taken by the EU, which is introducing ever stricter requirements with contributed to team building within the General Board. All Board members
regard to environmental protection and CO2 reduction. We believe this raises are aware of the various roles on the Board and help each other to remain
the question whether ABP has a sufficiently clear picture of how this could
Contents Report of the Non-Executive Board ABP Annual Report 2022 96

aware of the distinctness of these roles, both during meetings and in Recommendations to the General Board
meeting evaluations. • Monitor the integration of the various workflows throughout the
preparation and transition period.
Recommendations to the General Board • As the definitive implementation dates are set and these dates come closer,
• Continue to monitor the application of the new governance model by it will be increasingly important to closely monitor the general progress of
evaluating meetings as a supplement to the formal evaluation. the adjustments to the information provision and to flag deviations from
the schedule at an early stage, in coordination with APG. Continue to set the
Data quality (in the lead-up to the NPC) right example in your role of commissioning and managing activities.
A great deal of work was done in 2022 to prepare for the introduction of the
NPC. As part of our internal supervisory role, we monitor the decision-making
process and the preparations for the implementation of the NPC. A word of thanks

Decision-making process The Non-Executive Board would like to express its gratitude to the Executive
The NPC program is divided into a number of workflows, such as complexity Board, ABP’s staff members and the Accountability Body, Audit Committee,
reduction, pension scheme, and introduction, with an overarching workflow Investment Committee and Pensions Committee, as well as all other parties
for product planning. We advise the General Board to monitor the integration involved, for their participation in the open dialogue and fruitful collaboration.
of the various workflows throughout the preparation and transition period.
The interdependencies between the workflows, process steps and stakeholders Amsterdam, 20 April 2023
(social partners, Accountability Body, APG) create a challenging and complex
process requiring constant attention and resources. The Non-Executive On behalf of the Non-Executive Board
Board has been informed that the Executive Board intends to reassess Loek Sibbing, Chair
the design of the NPC program in 2023. We will continue to monitor this
development closely.

Preparations for implementation

We are also closely following developments in the area of data quality and
ICT/change capacity. The Non-Executive Board notes that the Executive Board
is vigilant and focused in its management of data qualty, having set clearly
defined KPIs for APG. Ensuring that the administrative records, processes, and
data are put in order within the required time frame continues to be an area of
concern, due in part to the capacity available at APG.
Contents Report of the Accountability Body ABP Annual Report 2022 97

Report of the
Accountability Body
This report gives further details of how the
Accountability Body performed its duties
and exercised its powers in 2022. First,
we describe the duties and composition of
the Accountability Body. Subsequently, we
describe how often the Accountability Body
met during the reporting year. We then
turn to the items discussed during the year,
involving (in order) requests for opinion,
other matters, our opinion on the actions of
the Board in 2021, and thematic meetings.
Contents Report of the Accountability Body ABP Annual Report 2022 98

1. Duties and powers of the Accountability Body Three Non-Executive Board members are appointed on the binding
nomination of the representatives of the pensioners in the
ABP is required by law to appoint an Accountability Body. The duties and Accountability Body.
powers of the Accountability Body are established in the Pensions Act, the These persons join the Non-executive Board on behalf of the pensioners.
Articles of Incorporation of ABP, and the Accountability Body’s Regulations. The The Board will appoint these individuals on the basis of the eligibility profile
duty of the Accountability Body is to submit opinions to the Board, either on and with due regard for the binding nominations. During the reporting year,
request or on its own initiative. The Articles of Incorporation of the Stichting Ms. Marjolein ten Kroode was nominated as Board member on behalf of
Pensioenfonds ABP state that an opinion must be requested for at least the pensioners. She has now been appointed following approval by DNB. In
following topics: December 2022, the pensioners’ representatives started with the recruitment
• the adoption and amendment of the communication and information and selection process to find successors for Ms. Mulder-Volkers and Mr. Den
policy, the Contribution and Indexation Memorandum, the communication Uyl with effect from April 1, 2023. This process was not yet complete at the
and information policy, the Actuarial and Technical Business Report (ABTN), time of preparation of this report. The pensioners’ representatives held two
the strategic multiyear plan and investment policy, the recovery plan, and meetings with the Board members representing pensioners in the course of
the internal complaints and disputes procedure; the reporting year.
• entering into, amendment, or termination of the outsourcing agreement(s)
with the pension administrator(s); In 2022, the members of the Accountability Body were able to make a
• the remuneration policy; binding nomination for one external member to be appointed to the
• the form and design of the internal supervision; Audit Committee.
• the transfers in or out of liabilities of the fund; The Audit Committee consists of three Non-Executive Board members and
• liquidation, merger or demerger of the fund; three external members. In the reporting year, the Accountability Body
• entering into, amendment or termination of a pension nominated Mr. Paape as an external member of the Audit Committee, This
administration agreement; person was appointed by the Non-executive Board for a term of three years
• conversion of the fund to another legal form; with effect from February 2022 in accordance with the rules in the Articles
• job profiles for f the external members of the Audit Committee; of Incorporation.
• general job profiles for the members of the Executive and Non-
executive Board; The Accountability Body annually assesses the performance of the
• amendment of the Articles of Incorporation and the regulations for the General Board.
bodies of ABP (other than pension regulations). The General Board, consisting of three Executive Board members and thirteen
Non-Executive Board members, renders itself accountable to the Accountability
Body in respect of ABP’s policy for the future and how that policy was in
the past year. This accountability is rendered on the basis of the annual
report, the financial statements, and other relevant information. In addition,
Contents Report of the Accountability Body ABP Annual Report 2022 99

the Accountability Body also meets once a year with the compliance officer, the The members representing participants and pensioners are elected once
external auditor, the external actuary, and the key function holders as part of every four years. The members representing employers are appointed by the
the annual reporting process. employers’ organizations.

The Accountability Body uses these discussions and this information to express The Accountability Body has seven groups with elected members and an
an opinion on the actions of the Board. employers’ group with appointed members. As of July 1, 2022, the seats are
allocated as follows among the groups:

2. Composition of the Accountability Body

FOG-ABP:
2 (4%)
NBP:
Elections 3 (6%)
The Accountability Body has 48 members, with 32 members representing
LvOP: Employer representatives:
the participants and the pensioners, and 16 members representing the 6 (13%) 16 (33%)
employers. The employers’ representatives are appointed by the employers’
organizations. The members representing participants and pensioners are
Groen & Eerlijk:
elected every four years. Elections were organized in the period from April 4, 1 (2%)

2022 through April 25, 2022 (see also the disclosures in the Governance section
of annual report). The Accountability Body was involved in the process of the
organization and design of the elections from an early stage. Among other
things, attention was paid to the communication strategy in each phase (such
FNV/ACOP:
as the nomination of candidates and the voting period in the election timeline). 12 (25%) CCOOP/CNV-AC-CMHF:
7 (15%)
In addition, an electoral committee was formed to monitor compliance with ANBO:
the Election Regulations. The Accountability Body was also involved in the 1 (2%)

evaluation of the elections.

With effect from July 1, 2022, the allocation of seats on the Accountability Body
is as follows:
• 19 members representing participants;
• 13 members representing pensioners;
• 16 members representing employers.
Contents Report of the Accountability Body ABP Annual Report 2022 100

3. Meetings during the reporting year Meetings with the Board

Six meetings were held with the Board in 2022. The main items of discussion
Separate meetings were the improvement of records, preparations for the implementation of
The Accountability Body met separately on 13 occasions in 2022 to make the new pension contract, and the requests for opinion submitted to the
preparations for its meetings with the Board. At the start of July 2022, an Accountability Body by the Board (see item 4). The Board also held a number
inaugural meeting took place during which the newly assembled Accountability of thematic sessions to update the Accountability Body on current themes.
Body agreed working arrangements for the period ahead. This concerned the new pension contract and reducing the complexity of the
pension scheme, the risk appetite in both the current and the new pension
Committee and group meetings contract, and the Sustainable and Responsible Investment Policy (see item 7).
The separate meetings of the Accountability Body were typically preceded
by meetings of the various groups and committees. The Accountability Body Meetings with the Non-executive Board
includes various groups working on the basis of their own vision and ambition. Two meetings were held with the Non-executive Board through December 31,
The Accountability Body also has four committees: the Finance Committee, 2022. The inverted mixed governance model requires that the Non-executive
Communication Committee, Investment Committee, and General Committee. Board renders itself accountable to the Accountability Body on its internal
supervision activities. As part of its reporting, the Non-executive Board provides
These committees carry out preparatory work for the meetings between the an activity statement every six months. In addition, Non-Executive Board
Accountability Body and the Board, and then advise the Accountability Body annually prepares an annual internal supervision report which is discussed
on the positions to be taken. The committees do not have decision-making with the Accountability Body. Furthermore, the Accountability Body has
powers. At the end of 2022, the Accountability Body also set up an internal dialogue with the Non-executive Board in preparation for the adoption of its
working group to support the committees. Acting as a gateway, this working findings and its opinion on the actions of the Board. The topics discussed
group will prepare the examination of the requests for opinion on the new predominantly related to the interim evaluation of the transition from the
pension contract in the years ahead. equal representation governance model to the inverted mixed governance
model (on January 1, 2022), the Sustainable and Responsible Investment Policy,
improving the quality of the administrative records, and whether the right
balance was struck in the decision-making around the early indexation of the
pensions by 2.39%.
Contents Report of the Accountability Body ABP Annual Report 2022 101

4. Requests for opinion Request for opinion on the Contracts and Service Level
Agreements (SLAs)
The Accountability Body advises the Board. The next sections discuss the As part of the annual policy cycle, the updated SLAs, which contain the
requests for opinion that were addressed in the 2022 reporting year. administration agreements made between ABP and APG on the administration
of the pension scheme, were discussed with the Accountability Body in April
Request for opinion on the 2022 recovery plan 2022. The Accountability Body requested that consideration be given to a more
The law requires pension funds to submit a recovery plan if their policy funding effective outsourcing relationship with APG as the pension administrator (grip
ratio is too low. At year-end 2021, the policy funding ratio stood at 102.8%, on the administration) and inclusion of the recommendations made by the
whereas the required ratio was 126.3%. Therefore, the Board prepared a new auditor and the actuary in the 2023 SLA. The recommendations, which the
recovery plan and submitted this to the Accountability Body for an opinion. Board adopted, related to expansion of the instruments deployed to make
adjustments, in particular when performance lags behind earlier agreements.
The Accountability Body issued a favorable opinion on the recovery plan in The Accountability Body subsequently issued a positive opinion with regard to
March 2022. A minority of the Accountability Body considered that an opinion the SLAs in April 2022.
on a mandatory calculation exercise would have no merit and therefore
abstained from giving an opinion. The Board will hold further discussions with the Accountability Body at the start
of 2023 on the set-up of future requests for opinion on the SLAs (it is proposed
Request for opinion on amended fund documents (Board Regulations, that future discussions focus on strategic outlines rather than the detailed
Regulations for the Audit Committee) catalog and its underlying activities). The Accountability Body was appreciative
In connection with the decision to move to a different governance model (the of the Board’s proposal to discuss this matter at the start of 2023.
inverted mixed governance model) with effect from January 2022, several fund
documents have been amended or drafted for which the Accountability Body Request for opinion on the ABP Code of Conduct for Board members
has the right to express an opinion. The Accountability Body issued a favorable and employees
opinion on the Board Regulations and the Regulations for the Audit Committee The 2021 Code of Conduct and the procedures set out therein were rendered
as early as November 2021. In March 2022, updated versions of these inapplicable by the decision to move to the inverted mixed governance model
regulations were submitted to the Accountability Body for an opinion. Both with effect from January 1, 2022. The Code of Conduct for Board members and
sets of regulations had been expanded with further detail on the operation employees was therefore revised accordingly. The Accountability Body issued
of the inverted mixed governance model and therefore required an opinion a favorable opinion in respect of the amended Code of Conduct for Board
once more. The Accountability Body issued a favorable opinion in respect of members and employees in April 2022.
both regulations.
Contents Report of the Accountability Body ABP Annual Report 2022 102

Request for opinion on a Code of Conduct for members of the memorandum formed the subject of discussions with the Board, during which
Accountability Body questions were asked and both sides exchanged views. A majority of the
In 2021, the Accountability Body expressed a desire to establish a separate members of the Accountability Body (41) issued a positive opinion. Seven
Code for its members. The provisions governing members had until then been members gave a negative opinion.
part of the general Code of Conduct. This change was in part motivated by a
desire on the part of the Accountability Body to have greater clarity on how The members of the Accountability Body who gave a positive opinion stated
to handle the confidentiality of meeting documents and the consultation of its that it is the ambition and objective of ABP to (fully) index pensions. It is
membership. The Accountability Body issued a favorable opinion in April 2022. therefore incumbent on the Board to do so where this can be achieved in a
responsible manner. Furthermore, the Board provided a detailed description
Request for opinion on early indexation with effect from July 1, 2022 of the process by which the interests of all participant groups and the
The proposed decision by the Board to increase pensions by 2.39% with risks were weighed up. According to these members of the Accountability
effect from July 1, 2022 and also increase the pension entitlements of ABP Body, this description, together with the financial position as outlined by the
participants (who have yet to take retirement) by 2.39% was discussed in June Board, provided sufficient grounds to grant full indexation at 11.96% and they
2022. With the increase being applied from July 1, pensioners would receive a therefore endorsed the Board’s decision. A few members of the Accountability
subsequent payment of 1.2% in respect of the first six months of 2022. The Body who issued a negative opinion stated as their argument that the risks had
Accountability Body welcomed the proposed decisions and issued a unanimous not been assessed in sufficient depth, prompting a concern that the interests
positive opinion. of young employees in particular had not received adequate consideration.
This led the members in question to conclude that there was only scope for
Request for opinion on the Actuarial and Technical Business partial indexation, also because this would leave greater buffers for times
Report (ABTN) of economic uncertainty. These members believed this to be of particular
All pension arrangements are laid down in ABP’s policy, which is officially relevance with regard to the new pension contract, since this could result in the
referred to as the Actuarial and Technical Business Report (ABTN). In individual pension pots of employees in various age categories and pensioners
connection with the annual update of the ABTN, the Accountability Body was being filled in a more balanced manner.
asked to give an opinion on the proposed decision-making with respect to the
2022 ABTN. The Accountability Body issued a positive opinion on the request Request for opinion on Investment Beliefs
for opinion on the ABTN in September 2022. The Investment Beliefs form the foundation for the investment process of ABP
and have a significant impact. hey establish a common basis, set guidelines
Request for opinion on the Contribution and Indexation for investment choices, and provide frameworks for the pension administrator
Memorandum 2023 APG. The Accountability Body issued a positive opinion on the request for
The Contribution and Indexation Memorandum 2023 was discussed in opinion on the Investment Beliefs in November 2022.
November 2022. The memorandum constitutes a request for opinion on
the proposed pension increase and the setting of the contributions. The
Contents Report of the Accountability Body ABP Annual Report 2022 103

Request for opinion on an extension of the Strategic Investment 5. Other issues

Plan 2022
The Strategic Investment Plan is part of the regular recalibration of ABP’s Improving records and data
financial policy. It lays out the key investment decisions that ABP has to Given that January 1, 2026 has been set as the key implementation date for the
make, namely: new pension contract, the Accountability Body devoted continuous attention
• the desired strategic asset allocation across investment categories. The risk to the timely improvement of records and data throughout the reporting
profile of this asset allocation will be analyzed in the light of all rights and year. Through the “Grip on Data” program, ABP actively continues to seek
obligations at fund level, in both the short and the long term; out opportunities to simplify the pension scheme and keep inaccuracies to a
• the return target per investment category, expressed as one or minimum, in order to ensure that all participants receive the benefits they are
more benchmarks; entitled to. At the start of 2022, the Board highlighted that the January 1, 2023
• the extent to which ABP is prepared to allow the actual investment deadline for cleaning up the records would not be achievable as a result of
portfolio to deviate from the strategically intended portfolio, temporarily additional remedial actions that had been identified. A new deadline has been
or otherwise; set for January 1, 2025. There has been an exchange of ideas between the
• consideration of balance sheet risks, including the mitigation of interest- Board and the Accountability Body on issues including the remedial actions
rate and currency risk. identified, the implementation costs of the project and the preparation of
alternative scenarios (preparing a plan B), and an impact analysis if it is found
In November 2022, the new Strategic Investment Plan had not yet been that the January 1, 2025 date is not feasible.
completed. The Board therefore proposed to extend the 2022 Strategic
Investment Plan without any changes until the new plan has been adopted Increased ambition relating to climate and energy
(which is anticipated in the second quarter of 2023). The Accountability Body The Accountability Body discussed sustainable and responsible investing with
conveyed its disappointment that the original timeline had not been met, asked the Board a number of times during the year. The Board announced in 2021
the Board to include the Accountability Body in the preparation of the revised that it was intending to tighten its Sustainable and Responsible Investment
Strategic Investment Plan in a timely manner, and gave a positive opinion in Policy. The Board also stated that the implementation of policy no longer
respect of the proposed extension of the Strategic Investment Plan. adequately met expectations from the public, including participants and
employers. At the start of 2022, the Accountability Body used its discussions
with the Board to request attention for matters such as the process followed,
substantiation of decision-making, the considerations of various alternatives by
the Board, and how policy changes are linked to maintaining return, with a view
to obtaining greater insight into the decision-making process.
Contents Report of the Accountability Body ABP Annual Report 2022 104

Evaluation of the policy on ancillary positions In discussions with the Board, the Accountability Body has signaled concern
The Accountability Body made various observations and raised a number of as to the future of the model in the transition to the new pensions system.
substantive questions regarding ABP’s policy on ancillary positions in 2021. The It is expected that the current pension pot will not correspond with the
Board subsequently reviewed and tightened its policy on ancillary positions in individual pension pot in the new system. The Accountability Body stressed
2022, partly due to pressure from the Accountability Body. The Accountability the importance of preventing confusion among participants. In 2023, the
Body endorsed the improved process agreements, in particular the annual Board will engage in further dialogue with the Accountability Body on possible
review of all ancillary positions held amongst the Board. adaptations of this communication tool.

Impact of the state of war in Ukraine Outcomes of the interim evaluation of the inverted mixed
Following the Russian invasion of Ukraine, the Board decided to sell all governance model
investments in Russia and Belarus. The Board involved the Accountability ABP switched its governance model to the inverted mixed governance model
Body in this process. There was also a further exchange of views on how to on January 1, 2022. This transition included arrangements to evaluate the new
strike a balance between ensuring a good pension for participants and socially governance model at specific times. As a result of the interim evaluation, the
responsible investment. Accountability Body raised questions in September 2022 on matters including
the relationship with APG as the pension administrator and the division
Evaluation of incident handbook of tasks within the Non-executive Board and among the members of the
Proper administration of the pension scheme requires the pension Executive Board. The Accountability Body also requested attention to be paid
administrator to respond to incidents in an adequate, timely and fully to the (continued) periodic evaluation of the inverted mixed governance model
transparent manner. With a view to streamlining this process between and the provision of an adequate instrument that can be used for ongoing
ABP and pension administrator APG, a new pension administration incident measurement of the effectiveness of the governance model.
handbook was developed in 2019, in part based on a recommendation by the
Accountability Body. An assessment was conducted and discussed with the Role of the Accountability Body in the new pension contract
Accountability Body in 2022. The Accountability Body believes that the incident The new pension contract has many facets, including new legislation,
handbook will contribute to controlled and ethical business operations. pension arrangements, communication and IT. In 2023, the Board and the
Accountability Body will work towards what is known as the request for opinion
Value of current pension pots in the context of the new on conversion. Conversion is the process of transferring and reworking existing
pensions system pension entitlements accrued by participants to an individual entitlement
The pension pot was implemented in Mijnabp.nl for all active participants to assets in the new contract. As part of this request for opinion, the
in 2017. The reason for this was the sentiment among a large number Accountability Body will be asked to give an opinion on the manner in
of participants that there would be no pension left for them in future. which Board intends to approach the conversion. In light of the fact that
Consequently, the pension pot was developed and co-created with participants the Accountability Body is expected to have an enhanced right to prior
as a communication concept. consultation in relation to the new pension contract, it is the intention of both
Contents Report of the Accountability Body ABP Annual Report 2022 105

the Accountability Body and the Board to enter into discussions regarding the Improved collaboration
various aspects of this contract at an early stage. In November 2022, the Board The Accountability Body and the Board agreed in the second quarter of 2022 to
and the Accountability Body jointly established the schedule for 2023. The launch a process aimed at improving collaboration, under the guidance of an
Board has given the Accountability Body an undertaking to promote sharing of external party. The objective of the process is to establish a set of agreements
the required information with the Accountability Body at the earliest possible on effective mutual interaction, both within the Accountability Body itself and in
stage. As indicated previously, the Accountability Body set up an internal interactions between the Accountability Body and the Board. The first sessions
working group at the end of 2022 that will prepare requests for opinion in were held in December 2022 and the intention is to complete the process
relation to the new pension contract. around the middle of 2023.

Risk appetite in the current scheme

The Pensions Act and the Financial Assessment Framework Decree require ABP 6. Assessment of the Board’s management in 2021
to determine the risk appetite in consultation with the fund bodies, including
the Accountability Body. The risk appetite is an element of the pension triangle On April 28, 2022, the Board rendered itself accountable to the Accountability
that is used to balance contributions, ambition and risk. Lower contributions Body for the policy it conducted in 2021. Prior to this meeting, the substance
mean greater risks need to be taken in order to achieve the same ambition. of the annual report and financial statements was examined in a committee
The determined risk appetite can be used to assess the feasibility of the meeting attended by the external auditor, the external actuary, and the ABP
pension scheme. compliance officer, who gave further explanations.

In various sessions held in June and September 2022, the Board and the The final assessment expresses the opinion of the Accountability Body
Accountability Body exchanged views on an acceptable level of risk for different regarding the management by the Board. The Accountability Body makes
age groups. The Accountability Body stated its preference to not have any recommendations for improvements to and adjustments of policy. There is
increase in risk compared to the current level. The Accountability Body also room for separate groups to state different points of view or comments if they
raised questions with regard to the design of the associated participant survey, so wish.
the development of the participant population of the fund, and the manner
in which this development will be taken into account in determining the risk With due regard for the findings and recommendations, the Accountability
appetite. It was furthermore agreed that the Accountability Body will in future Body has reached a favorable opinion on the Board’s actions with respect
be able to submit a request for a potential adjustment of the risk appetite. to the conducted policy, the policy choices made and compliance with the
Such a request will then be considered by the Board in any decision to review principles of good pension fund governance. One member of the Accountability
the risk appetite. Body gave a negative opinion and a small number of others abstained from
giving an opinion.
Contents Report of the Accountability Body ABP Annual Report 2022 106

The Accountability Body's findings and recommendations have been shared topics discussed during this session included the transparency and tightening
with the Board. These are included in ABP’s annual report for 2021. of the inclusion criteria (including at sector level), the impact of engagement,
the withdrawal from investments in fossil fuel producers, and the management
The Board periodically reports to the Accountability Body on the follow-up of the pension administrator APG with regard to tightening the Sustainable
given to the recommendations. and Responsible Investment Policy. In November 2022, a small group of ABP
employees gave a presentation to the Investment Committee on the StIP and
the revised ABP Investment Beliefs were discussed. There was no dialogue with
7. Thematic workshops the Investment Committee regarding the new inclusion criteria of ABP as a
delay was incurred in this area.
New pension contract
A separate thematic workshop on the new pension contract was held in Risk appetite in the new pension contract
January 2022. The Accountability Body was involved in the program and related A thematic workshop on the risk appetite in the new pension contract was held
projects for realizing the transition to the new pension contract. This also in November 2022. Among other matters, the Accountability Body was involved
involved a review of the dilemmas and challenges and a more in-depth look in the process for determining the risk appetite in the new pension contract,
at the timeline and the division of the roles between the various stakeholders. the similarities and differences with the risk appetite in the current scheme,
Discussions were also held with the Board on reducing the complexity of and how this relates to the financial structure. There was also an exchange
the current scheme, in order to allow conversion to the new scheme. The of thoughts on the findings of the various surveys into the risk preferences of
Board and the Accountability Body devoted attention to complex topics such ABP participants and the translation of these findings into a proposal for the
as Appendix K and the budgeting for funded rights of military personnel risk appetite.
predating June 1, 2001; the complexity in the pension scheme with regard
to the occupational disability pension, the invalidity pension and the surviving The Board will meet again with the Accountability Body at the start of 2023
dependents’ pension; and a pension contract for the self-employed. to discuss the risk appetite in the new contract and evaluate whether the
adopted approach and the proposed risk appetite are viewed favorably by the
Moving forward in a sustainable and responsible manner Accountability Body.
At a thematic workshop in September 2022, the Board updated the
Accountability Body on the role and responsibility of ABP with regard to
sustainability, as well as the focus in the current policy on the three transition
themes (climate, digitalization, and the conservation of natural resources)
and respect for human rights as a precondition in all of this. An additional
session with a delegation from the Board was organized at the request of
the Investment Committee within the Accountability Body, for the purpose
of delving deeper into the strategy of the inclusion policy. Examples of the
Contents Opinion of the Accountability Body ABP Annual Report 2022 107

Opinion of the
Accountability Body
The General Board annually renders itself
accountable to the Accountability Body
for the policy it has conducted and for
its compliance with the principles of
good pension fund governance as referred
to in the Pensions Act (Implementation)
Decree (Besluit uitvoering Pensioenwet)
and the Occupational Pension Scheme
(Obligatory Membership) Act (Wet verplichte
beroepspensioenregeling) of December
18, 2006.

In this context, the Accountability Body

shares its findings with the General Board,
gives its opinion on the General Board’s
actions in 2022 and accordingly makes
recommendations for 2023.
Contents Opinion of the Accountability Body ABP Annual Report 2022 108

General The Accountability Body wishes to express its appreciation for the transparency
of the annual report and the clear presentation of the financial statements
The Accountability Body’s opinion in respect of 2022 addresses the following 2022. In this respect, the Accountability Body concludes that the principles of
topics in the following order: good pension fund governance have been observed.
• the annual report and financial statements;
• functioning of the governance model; The Accountability Body has the following observations and recommendations
• grip on pension administration; with respect to the annual report and financial statements 2022.
• the new pension contract (NPC);
• investments and the sustainability policy; Return relative to the benchmark
• the reputation of ABP. In 2022 ABP realized a negative return of -17.6%. This negative return is
due in part to the turbulent market conditions in 2022. When the return is
The Accountability Body bases its findings on its joint meetings with the compared with the benchmark, it is striking that the average return is below
General Board, its consultations with the Non-Executive Board, and the (draft) the benchmark, whereas the goal is to outperform the benchmark.
annual report for 2022.
The causes and potential points for improvement are only explained to
The Accountability Body appreciates the efforts made by the General Board a limited extent in the annual report 2022. Whether ABP can achieve its
during the reporting year in terms of involving the Accountability Body in the ambitions for a good pension depends on whether it is able to realize a
decision-making, policy decisions and strategic developments. good return. The new Strategic Investment Plan (StIP), containing the updated
Investment Beliefs, will be drafted in 2023.

Annual report and financial statements 2022 APG’s compliance with the Money Laundering and Terrorist Financing
(Prevention) Act (Wwft)
Findings In 2022, the Board reported to the Accountability Body that APG is insufficiently
In connection with the (draft) annual report, a delegation from the demonstrably compliant with the Money Laundering and Terrorist Financing
Accountability Body took note of the reports and held discussions with the (Prevention) Act (Wet ter voorkoming van witwassen en financieren van terrorisme,
external auditor, the certifying actuary, the compliance officer and the key Wwft). The report on this issue which APG promised to provide in the fourth
function holders. quarter of 2022 has not yet been delivered. The audit report states that no
Wwft-related compliance incidents were reported in 2022. The report and
The Accountability Body appreciates the extensive reports drawn up and explanatory notes drawn up by the compliance officer state that checks have
explained by the external auditor, the certifying actuary and the compliance been intensified and that these checks yielded findings that have been notified
officer, and the level of detail of their conclusions and recommendations. to the regulator. These findings related specifically to sanction regulations
introduced in response to Russia’s invasion of Ukraine. With regard to the
Contents Opinion of the Accountability Body ABP Annual Report 2022 109

Wwft, the compliance officer has stated that there is no immediate reason to representatives. There is also an Audit Committee that supports the Non-
assume that APG is not compliant. An in-depth file review has been conducted, Executive Board in its supervisory duties. The Audit Committee consists of
which has found that the correct process steps are being followed. However, three Non-Executive Board members and three external members. The Non-
Wwft compliance is not currently demonstrable without conducting an in-depth Executive Board and the Executive Board together comprise the General Board.
file review. The aim of introducing a new governance model is to manage ABP more
effectively through a better division of responsibilities and to optimize the
The Accountability Body notes that the annual report does not mention the fund’s day-to-day management and the collaboration with APG.
extent to which APG is compliant with the Wwft. It is good to see that a
file review has been conducted from which it has emerged that the correct The Accountability Body observes that it takes time to properly embed such
process steps are being followed. At the same time, we note that an inability a major change and to make the switch to the proper implementation of
to demonstrate compliance with the Wwft without conducting an in-depth file the new roles. The Accountability Body has noticed that in some areas, the
review presents risks. It is extremely time-consuming, if not impossible, to Executive Board, Non-Executive Board and General Board are still exploring
review all files in this way. how to properly give shape to their duties and responsibilities on the basis
of a good awareness of their respective roles. At the same time, we see that
Recommendations steps are being taken in the areas of decisiveness, collaboration with APG and
The Accountability Body asks the General Board: role awareness.
• to draw up the new StIP on the basis of the principle that the return for the
equities category should outperform the benchmark in the years ahead; It is still too early to arrive at a balanced opinion on the functioning of the
• to take management action to ensure that APG is demonstrably compliant model. It has been agreed that an extensive evaluation of the model will
with the Wwft for all files as soon as possible. take place after one year. The evaluation report will be made available to
the Accountability Body in the first part of the calendar year 2023. Based on
this evaluation report, the Accountability Body will issue an opinion on the
Functioning of the governance model functioning of the new model.

Findings Recommendations
ABP introduced a new governance model on January 1, 2022. This involved The Accountability Body asks the General Board:
converting the equal representation governance model, in which the General • to continue to evaluate the functioning of the new governance model
Board consists of employer, employee and pensioner representatives, into according to a fixed methodology in the years ahead, to ensure that
an inverted mixed governance model (omgekeerd gemengd model, OGM). the evaluations can be compared. The Accountability Body assumes that
Under this governance model, ABP has an Executive Board consisting of the General Board is willing to discuss the interim evaluations with the
independent full-time Executive Board members and a Non-Executive Board. Accountability Body;
The Non-Executive Board is made up of employer, employee and pensioner
Contents Opinion of the Accountability Body ABP Annual Report 2022 110

• to reflect in the evaluation on decisiveness and collaboration with APG on a lies with the social partners in the Pension Board. The General Board has now
number of specific topics such as the investment results, the SLA 2023, grip decided to simplify the scheme in the context of the introduction of the NPC.
on data, the quality of the pension records and Wwft compliance.
The report of the certifying actuary notes that the pension indexation awarded
in July 2022 was not entirely consistently and transparently accounted for in the
Grip on pension administration pension records. Consequently, it cannot be established from the movements
in the provision whether the indexation has been applied to all pension
Findings entitlements. This may require performing additional control procedures and
In past years, the topic of the administration of the pension scheme by APG has remedial actions. APG has stated that it is prioritizing adjusting its procedures
been discussed several times in consultations between the Accountability Body to ensure that future indexations will be accounted for under the correct
and the General Board. Although the administration of the pension scheme is movement code.
largely going smoothly, there have been a number of incidents in recent years
that have demonstrated a need to improve elements of the pension records. Recommendations
An initial action plan within the ‘Grip on Data’ program implemented in 2021 The Accountability Body asks the General Board:
revealed that more remedial actions were needed than originally thought. A • in the context of implementation of the NPC, to devote explicit attention –
follow-up plan was drawn up in 2022. The plan is designed to ensure that the both in its communications to participants and employers and in rendering
pension records are fully in order by January 1, 2025, to guarantee a successful itself accountable to the Accountability Body with regard to striking the right
transition to the new pension contract (NPC). The Accountability Body observes balance – to how the existing rights under the relevant transitional law
that the Executive Board manages APG in a focused and constructive manner (Appendix K) are taken into account in the transition to the NPC;
in order to achieve the goals and has taken note of the fact that the General • to consider looking at obtaining additional certainty in relation to the
Board has full confidence in the new action plan submitted by APG in June potential risks involved in the realization of the ‘Grip on Data’ program,
2022. The Accountability Body continues to monitor the progress of the project for example by commissioning a prospective risk assessment by an
with interest. external party;
• to develop a contingency plan for the possibility that not all data is in order
A subject that is closely related to proper pension administration is the and available in time for the implementation of the NPC;
reduction of the complexity of the scheme. Mainly due to the multitude of • to ask APG to substantiate that the indexations granted in July 2022 and
provisions applying under transitional law (particularly Appendix K), the ABP January 2023 have been correctly applied to all pension entitlements and
pension scheme has become so complex that this poses an obstacle to its that its internal procedures have been adjusted to avoid a recurrence of
administration. Over the years, the Board has sought to reduce this complexity. this situation.
Its success in this endeavor has been limited, mainly because this needs to be
done through changes to the pension regulations, for which primary authority
Contents Opinion of the Accountability Body ABP Annual Report 2022 111

New pension contract (NPC) in 2023 is very short. The Accountability Body believes there is a genuine risk
that it will prove impossible to issue sound advice within this period.
Findings
At the end of 2022, the Dutch House of Representatives approved the Future Recommendations
of Pensions bill. Although the bill is yet to be debated in the Senate and the The Accountability Body asks the General Board:
effective date of January 1, 2026 still seems a long way off, ABP has continued • to prioritize effective communication by ABP with participants and
to make preparations. The Accountability Body thinks this is advisable in view employers, addressing both the additional risks and additional
of the complexity and scale of the transition to the new contract, where all the opportunities. The new Act provides for a statutory communications plan
available time will be needed in order to ensure a diligent process. prior to the introduction of the NPC. Since this is a major operation, the
Accountability Body requests that ABP’s Board informs participants and
The introduction of the NPC is the most significant change in years for the employers at an early stage – in advance of the statutory communications
participants of ABP. For the Accountability Body, it is therefore essential plan – of the impending changes and the background and reasons
that it is properly involved by the General Board throughout the process. behind them;
The Accountability Body notes that the General Board is open to this and • partly in view of the enhanced right to prior consultation, to set up a diligent
welcomes this commitment by the General Board. In addition, it is important process that allows sufficient time for the Accountability Body to carry out a
that the Accountability Body is not only provided with information on those proper assessment;
items regarding which it has the formal right to prior consultation, but is • to include the Accountability Body early on in the process, including in
comprehensively informed with respect to the NPC. This is essential for terms of providing it with information, for example during the Board’s
the Accountability Body to be able to properly weigh up all the relevant orientation phase;
aspects and to appropriately fulfill its enhanced right to prior consultation. • in the context of the Accountability Body’s right to prior consultation and
This will contribute to a diligent process. Two preparatory sessions on the providing information to the Accountability Body, to consistently make
NPC have now taken place in the reporting year. The main focus was on the a clear distinction in relation to different aspects of the NPC between
proposed phasing. There were no substantive discussions, because the House matters that are prescribed (by the legislator, Dutch central bank (DNB) or
of Representatives had not yet passed a final resolution. Pension Board) and aspects where the General Board makes its own policy
decisions, so that the Accountability Body can weigh this up properly;
With regard to and for the purpose of issuing advice on the substantive • to pay attention to active participants, pensioners and deferred participants
choices that ABP needs to make, the Accountability Body has set up a as part of the balanced consideration of interests in its policy decisions.
separate preparatory working group. The working group is assisted by an
external advisor.

In terms of the process, the Accountability Body notes that the period within
which the Accountability Body is required to issue thorough and sound advice
Contents Opinion of the Accountability Body ABP Annual Report 2022 112

Investments and sustainability policy made (in which the General Board argued that responsible investment does
not mean a lower return), the Accountability Body stated that it welcomes the
Findings decision and is opting for a sustainable way forward.
2022 was an eventful year, in which ABP realized a negative investment return
of -17.6%. The effect of the interest rate hikes on pension liabilities was greater, The Accountability Body sees positive improvements in the climate policy, such
resulting in a rise in the funding ration and an increase in pensions for the first as a tightening of the CO2 target by setting absolute percentages. However,
time in twelve years. Asset management costs fell in 2022 from 2021 levels. the Accountability Body notes that the inclusion criteria are still lacking. The
General Board has stated that it will provide the Accountability Body with the
The Strategic Investment Plan (StIP) sets out the main investment decisions, necessary information and that it will involve the Accountability Body in the
such as the desired strategic asset allocation, the return target and the process at an early stage.
consideration of balance sheet risks. As the new StIP had not yet been
completed in November 2022, the General Board proposed to extend the plan The risk appetite regulations have also been submitted to the Accountability
without any changes until the new plan is adopted (which is anticipated in Body for its information. The Accountability Body has asked several questions
the second quarter of 2023). The Accountability Body is disappointed that the to obtain clarification on the risk appetite survey and has asked the General
original timeline has not been met, but has stated that it is positive that the Board to involve the Accountability Body at an early stage in the design of a
updated Sustainable and Responsible Investment Policy, the new Investment new risk appetite survey among participants.
Beliefs and the updated ALM can be included in the new StIP.
Recommendations
In October 2021, the Board announced that it would tighten the Sustainable The Accountability Body asks the General Board:
and Responsible Investment Policy (as part of the change of course) and • to continue to actively communicate with participants to allay concerns that
acknowledged that the implementation of this policy no longer matched with sustainable and responsible investment means a lower (long-term) return;
expectations of the public, including participants and employers. With regard • to provide the Accountability Body insight into the inclusion criteria, and
to the change of course, the Accountability Body used its discussions with the publicize the inclusion criteria for each sector;
General Board at the start of 2022 to ask for attention to matters such as the • to provide insight into how the pension administrator APG is managed with
process followed, and substantiation of the General Board’s decision-making regard to the investment policy and into the costs APG incurs in relation to
and the consideration it has given to various alternatives. The Accountability the investment policy;
Body emphasized the need to consider question of how policy changes are • to ensure that in the annual report and the StIP, insight is provided into
linked to maintaining an adequate return and how they contribute to the how the costs of asset management are calculated, into the development
objectives of sustainable and responsible investment. The Accountability Body of trends over the years, and into how the General Board manages these
has conducted and continues to conduct this dialogue on the basis of a shared costs. The Accountability Body calls on the General Board to focus on
sense of responsibility for the pensions of all participants. Further to the achieving a good return at acceptable costs as part of reassessment of the
General Board’s substation of its decision-making and of its considerations investment costs;
Contents Opinion of the Accountability Body ABP Annual Report 2022 113

• to involve the Accountability Body at an early stage in the design of a new Relationship between the Accountability Body and the
risk appetite survey for participants and to provide insight into how the General Board
point of view of the participants affects the risk appetite;
• to provide insight into and render account in respect of the effectiveness Findings
of the instruments for sustainable and responsible investment (such as the A new Accountability Body took office halfway through the reporting year.
inclusion policy and engagement processes); The introduction of the new governance model has once again clearly
• to inform the Accountability Body about strategic plans in relation to demonstrated the benefit of investing in the relationship between the
investments that are shared publicly. Accountability Body and the General Board. Steps taken in this area at
the end of 2022 and continuing into 2023 include the engagement of a
boardroom coach, with the aim of improving both the internal operations
Reputation of the Accountability Body and the collaboration between the Accountability
Body and the General Board. The Accountability Body takes a positive view
Findings of the intentions expressed and a number of initial results of this process.
In part in response to past incidents and an external evaluation, the Board There is scope to further improve our collaboration, particularly in relation to
initiated various actions, which were implemented partly in 2021 and partly in time-sensitive topics such as the contribution and indexation memorandum
2022, from stricter compliance with existing policy and updating the existing and the NPC.
ABP Code of Conduct for Board members and employees to launching a
culture project that was supported by an external agency. In the spring of For the proper functioning of the Accountability Body it is also important that
2022, the Accountability Body discussed the updated Code of Conduct, which all facilities for the members of the Accountability Body are in order. The
includes the tightened policy on ancillary activities and the strengthening of Accountability Body notes this has not been the case in every respect, for
the position of the compliance officer. The Accountability Body has issued a example in the area of ICT. Talks on improvements have now started between
favorable opinion on the updated ABP Code of Conduct for Board members the Board and the Accountability Body.
and employees, and also welcomes the increased awareness within the
General Board in the broader area of reputational risks. Recommendations
The Accountability Body asks the General Board:
Recommendations • to invest in optimal facilities to enable the Accountability Body to perform
The Accountability Body asks the General Board: its duties properly.
• to continue to look more explicitly at the reputational consequences
of major, high-impact Board decisions and to timely communicate the
consequences to the Accountability Body.
Contents Opinion of the Accountability Body ABP Annual Report 2022 114

Opinion

Based on its findings and the findings of the auditor, the certifying actuary, the
Compliance Officer and the Non-Executive Board, the Accountability issues a
positive opinion on the actions of the General Board with respect to the policy
it has conducted, its policy decisions and its compliance with the principles of
good pension fund governance.

General Board’s response to the opinion issued by the

Accountability Body

The General Board has taken note of the findings and recommendations of the
Accountability Body with interest. The General Board thanks the Accountability
Body for the positive opinion it has issued on the policy the Board conducted in
2022. The Board will provide feedback in the usual manner with regard to the
recommendations made by the Accountability Body.

In conclusion, the General Board would like to express its appreciation for the
engagement and collaboration with the Accountability Body. A special word of
thanks goes out to the members who retired as from July 1, 2022, for their
involvement and contributions during the past term of office, and to the new
members for their hard work during the busy induction period in the second
half of 2022. The Board looks forward to further building on the relationship
in 2023.
Contents Financial statements ABP Annual Report 2022 115

Financial statements

Company financial statements 116 In contrast to customary practice, ABP presents its company
Notes – general 119 financial statements before the consolidated financial
Risk section 131 statements. The reason for this is that the company
Notes to the company balance sheet 145 financial statements offer the best insight into the pension
Notes to the company statement of income and expenses 165 fund’s financial position and are in line with other external
Notes to the company cash flow statement 173 publications and the policy information presented in the
Other notes 174 Board report.
Consolidated financial statements 179
Notes – general 182
Risk section 184
Notes to the consolidated balance sheet 185
Notes to the consolidated statement of income and expenses 198
Post-balance sheet events 201
Notes to the consolidated cash flow statement 202
Other notes 203
Signatories to the financial statements 206
Contents Company financial statements ABP Annual Report 2022 116

Company balance sheet

After appropriation of net income (expense) for the year

in € mln Notes 31-12-2022 31-12-2021 in € mln Notes 31-12-2022 31-12-2021

Assets Capital and liabilities

Real estate 75,112 77,826 General reserve 45,230 52,847

Equities 172,287 228,837 Specific reserves 6 760
Fixed-income investments 185,350 219,233
Derivatives 23,871 34,234 Equity 3 45,236 53,607
Other investments 35,239 37,257
Provision for pension liabilities 4 414,265 498,797
Investments 1 491,859 597,387
Cash collateral received 5,316 14,977
Other assets 2 2,164 1,976 Short positions 156 -
Short-term borrowing 3,129 6,806
Derivatives 25,215 21,235

Investment-related liabilities 5 33,816 43,018

Other liabilities 6 706 3,941

Total assets 494,023 599,363 Total capital and liabilities 494,023 599,363
Contents Company financial statements ABP Annual Report 2022 117

Company statement of income and expenses

in € mln Notes 2022 2021 in € mln Notes 2022 2021

Income - other movements in provision for

Pension contributions (net) 7 17,013 12,604 pension liabilities -1,200 -1,468

Investment results (gross) -96,103 57,029 Total movements in provision for

pension liabilities 10 84,532 31,068
Less: asset management costs -679 -609
Coverage from cost mark-up in
pension contributions 11 95 116
Investment results (net) 8 -96,782 56,420
Value transfers 12 480 242
Pension administration costs (net) 13 -198 -156
Total income -79,769 69,024
Interest charges on investment-related liabilities -69 -16
Other income and expenses 14 270 -211
Expenses
Pension payments 9 -13,712 -12,908
Total expenses 71,398 18,135

Movements in provision for pension liabilities

Balance of income and expenses -8,371 87,159
- pension accruals -23,442 -20,546
Appropriation of the balance of income
- indexation -55,230 -
and expenses:
- added interest 2,488 2,842
- added/charged to general reserve -7,617 87,377
- utilized for pensions 13,810 12,864
- added to specific reserves -754 -218
- utilized for pension administration costs 122 105
- change in market interest rate 151,032 34,220
- change in actuarial assumptions -2,749 2,560
- result on actuarial assumptions 140 702
- change in respect of value transfers -439 -211
Contents Company financial statements ABP Annual Report 2022 118

Company cash flow statement

in € mln Notes 2022 2021

Opening balance of cash 1,528 1,356

Movements
Cash flows from pension activities:
- contributions received 12,993 12,720
- value transfer payments received 12 1,395 284
- pensions paid 9 -13,712 -12,908
- value transfer payments made 12 -919 -42
- operating expenses paid 13 -190 -141
- other movements 603 64

Cash flow from pension activities 170 -23

Cash flows from investment activities:
- repayments and sales of investments 170,194 102,318
- advances and purchases
of investments -144,936 -65,025
- direct investment income 8,181 5,515
- indirect realized results from
derivatives and results on exchange -22,457 -11,103
- investment expenses paid -633 -591
- collateral received -9,522 -10,515
- other movements 414 -20,404

Cash flow from investment activities 1,241 195

Closing balance of cash 2,939 1,528

Contents General notes to the company financial statements ABP Annual Report 2022 119

Notes – general
Features of the pension schemes (nettopensioen), which is paid out free of tax. The accrued pension rights
represent contingent liabilities of the pension fund toward its participants. The
Introduction pension fund retains all risks and does not reinsure risks. Pension accrual
ABP is the pension fund for people who work for the government and in ceases on the termination of participation.
education. The content of a pension scheme is determined by the Pension
Board (Pensioenkamer) of the Council for Public Sector Personnel Policy Recipients of public-sector redundancy pay, participants entitled to severance
(Raad voor het Overheidspersoneelsbeleid, ROP). ABP only administers a pay, and recipients of unemployment benefit or an invalidity benefit continue
pension scheme after it has assessed the financial feasibility, practicability and to partially build up pensionable years of service. In the case of participants
explainability of scheme agreed to by the Pension Board. incapacitated for work due to a work-related accident or occupational disease,
pension accrual is continued for the pensionable years of service up to a
The legal relationship between ABP and the affiliated employers is set out maximum of 100%.
in the administration regulations, which are concluded by ABP and the
participants in the pension regulations. The annual accrual depends on the following five factors: the accrual rate,
state pension offset, pensionable income, qualifying amount, and the part-time
The administration regulations contain provisions governing mandatory and factor. The pensionable income comprises the regular pay, regular bonuses
voluntary affiliation, data and information to be provided, and the payment of and pensionable variable bonuses from the preceding calendar year. The
pension contributions. The pension regulations contain provisions governing qualifying amount affects the rate at which the pension product is accrued.
pension entitlements and pension rights. The contents of both these Pension contributions are charged on the portion of employees’ gross pay in
regulations are available at the pension fund’s website (www.abp.nl). This excess of the state pension offset (the state pension offset represents the
section outlines the main features of the pension schemes. portion of the employee’s gross pay from which the state pension contribution
is deducted) and then paid by employers. The state pension offset for the
General pension contribution may differ from the offset applied for the accrual
Employees accrue their pensions during their working life, which become of new pension entitlements, as the latter is income-dependent, whereas
payable on retirement, becoming incapacitated for work, or, in the case the state pension offset is identical for everyone. Pursuant to the Pension
of a surviving dependents’ pension, on the death of the employee. The Agreement, 70% of the contributions (for retirement pension (OP), surviving
contributions for pension accrual are not regarded as taxable salary and are, dependents’ pension (NP) and occupational disability pension (AOP)) is paid
therefore, free of tax. However, pension payments are taxed in accordance by the employers and they deduct 30% from their employees’ pay. These
with the reversal rule (omkeerregeling), with the exception of the net pension percentages differ for contributions for the purchase of a conditional pension.
Contents General notes to the company financial statements ABP Annual Report 2022 120

Agreements can be made at individual or collective level, with due regard occupational disability pension (AAOP) and redeployment allowances (HTP)),
for the pension regulations, on the inclusion of certain variable income and individual voluntary pension supplements.
components in the pensionable pay. However, pursuant to statutory
provisions, some income components do not qualify as part of the Retirement pension (OP)
pensionable pay. The retirement pension scheme is an average pay scheme in which pension is
accrued in respect of the pensionable income during each year of service. This
As of January 1, 2022, the maximum pensionable salary is set at €115,866 (in accrual confers a lifelong right to a pension. Flexible pension rights accrued
2021: €112,189) for full-time employment (this amount is adjusted once a year prior to 2006 have been converted into retirement pension rights on an
by means of a ministerial regulation). actuarially neutral basis.

ABP strives to invest the paid in pension contributions in a socially responsible Participants can opt, at the time of their full or partial retirement and within
manner where possible and to achieve an optimal return. The goal of the certain bandwidths, to advance or defer the time at which their pension
investment policy is to realize sufficient long-term returns for index-linked becomes payable, convert pension (for example, OP to or from PP), and
pension entitlements and pension rights with affordable pension contributions temporarily receive a higher or lower pension. Participants can also opt to
and at acceptable risks. accrue extra pension after leaving employment or continue their participation
in the scheme on a voluntary basis.
Indexation increases pension entitlements and pension rights and, therefore,
the unconditional liabilities of the pension fund. Each year, ABP assesses Surviving dependents’ pension (NP)
whether an increase is feasible, with the ambition being to fully index for The partner’s pension is accrued based on capital funding equal to 70% of the
inflation based on the consumer price index (CPI). retirement pension, irrespective of the time of death. This avoids a difference
in the partner’s pension before and after state pension age. There can also be
Indexation is only provided when the fund’s financial position permits it. The a right to an orphan’s pension in the event of death. The right to an orphan’s
indexation ambition also extends to providing post indexation to make up for pension payment ends when the orphan attains age 25.
periods when ABP did not fully index for inflation or to make up for indexation
reductions. If the pension fund’s financial position is inadequate, then nominal Incapacity pension (AAOP) and non-contributory accrual in the event
pensions must, as a last resort, be reduced to improve the position. of incapacity for work (PVAO)
Participants with a right to AAOP also have the right to PVAO in proportion
The pension products to the degree of their incapacity for work (provided that this is not
The pension products are the retirement pension (OP), surviving dependents’ the consequence of a work-related accident or occupational disease) to a
pension (NP) (which comprises the partner’s pension (PP) and orphan’s maximum of 50%. The amount of the AAOP is based on daily wage under
pension), occupational disability pension (which comprises the ABP the Work and Income (Capacity for Work) Act (Wet werk en inkomen naar
arbeidsvermogen) and the degree of incapacity for work.
Contents General notes to the company financial statements ABP Annual Report 2022 121

Purchase of conditional pension interest rate) at the retirement date. This pension scheme is voluntary and
Following the abolition of the early retirement scheme (vervroegde contributions are paid in from the net salary.
uitttredingsregeling, VUT) and the pre-pension scheme, employers and
employees had the option in 2006 and 2007 of making agreements on Pension conversion options
additional pension accrual for past years of service. In 2006, the scheme was The pension scheme offers various conversion options, such as the converting
amended to enable the purchase of conditional pension for periods prior to the retirement pension (OP) to partner’s pension (PP) at the time the
2006 in which the pension accrual was less than the amount permitted under pension becomes payable, or vice versa. The OP (accrued to 2021) can also
the tax regulations. This means that the entitlements were conditional and be converted against the right to partner’s pension at the time at which
became unconditional on January 1, 2023, or upon retirement prior to this participation ends (other than on the OP becoming payable or on death).
date. Therefore, the scheme is only applies to participants who have been
in continual employment since December 31, 2005 and who were born on Value transfer
or after January 1, 1950, or who were born before January 1, 1950 and who Participants who enter into employment with an employer that is not affiliated
did not qualify for the flexible pension and early retirement benefit (Flexibel with ABP can transfer the pension assets accrued with ABP to another pension
Pensioen en Uittreding, FPU) on January 1, 2006. As at December 30, 2022, all fund. On their retirement, former participants will receive the pension from the
entitlements under the early retirement, pre-pension and life-course savings pension fund to which the accrued pension assets were transferred, not from
scheme (VUT-, prepensioen- en levensloopregeling, VPL) were purchased. The ABP. The converse is also possible: participants who enter into employment
VPL purchases are part of the pension accrual. with an employer affiliated with ABP can transfer the pension accrued with
another pension fund to ABP. The current conditions governing such value
Voluntary products transfers are posted on the ABP website.
The pension regulations include provisions providing various options for the
voluntary accrual of extra OP/NP or for the voluntary continuation of the Pension scheme for military personnel
OP/NP scheme after leaving employment. Professional military personnel participate in a separate pension scheme that is
also implemented by ABP. Employees with the status of professional member
Net pension of the armed forces, former professional member of the armed forces entitled
Participants with an income above the maximum pensionable salary (set at to an occupational disability pension, and former professional member of
€115,866 as from January 1, 2022 and adjusted once a year by ministerial the armed forces entitled to a severance payment or unemployment benefit
regulation) may participate in the net pension scheme (ABP Nettopensioen). participate in this sectoral scheme. Civilian personnel employed by the Ministry
This scheme, a defined contribution scheme, provides for supplementary of Defense participate in the ABP average-pay scheme. The pension scheme for
pension accrual. The amount of this supplementary pension is determined by military personnel was converted into an average-pay scheme specifically for
the pension contributions paid in, the returns on these contributions and the military personnel in 2019.
purchase rates (which are influenced in particular by the variable mark-up and
Contents General notes to the company financial statements ABP Annual Report 2022 122

Accounting policies – general Principals of valuation and determination of results

Stichting Pensioenfonds ABP, with its registered office in Heerlen, the Netting
Netherlands, registered with the Chamber of Commerce under number Financial assets and financial liabilities are netted and presented as a net
41074000, has prepared these financial statements in accordance with Dutch amount in the balance sheet only when there is a statutory or contractual right
generally accepted accounting principles, the statutory provisions with regard to net and simultaneously settle the asset and liability and, moreover, it is also
to financial statements set out in Title 9, Book 2 of the Dutch Civil Code, and the the intention to settle the items in this manner. Interest revenue and interest
Dutch Accounting Standards. These financial statements have been prepared expense related to the presented netted financial assets and financial liabilities
on a going concern basis. are also netted.

The pension liabilities and the corresponding investments in the balance sheet Estimates
are mainly of a long-term nature. The ‘investment-related liabilities’ item is Estimates and assumptions used in preparing the financial statements impact
also of a long-term nature, but is presented separately in the balance sheet the reported assets, liabilities, revenue and expenses. This is, in particular,
pursuant to the Dutch Accounting Standards. The other balance sheet items applicable to the determination of the provision for pension liabilities and the
are presented under other assets and other liabilities, with equity serving as a measurement of non-listed investments. It is possible that the measured value
balancing item. and actual value are subsequently found to differ.

All revenue and expenses are attributed to the period in which they relate. Recognition
Movements in equity relate exclusively to the accounting for the net income Assets and liabilities are measured at current value unless otherwise stated.
(expense) for the year. The items in the statement of income and expenses are Assets are recognized on the balance sheet when it is probable that the future
in large part determined by the principles for the measurement of investments economic benefits will flow to the pension fund and the value of the assets
and the provision for pension liabilities applied in the balance sheet. can be measured reliably. Assets that do not comply with these criteria are not
recognized in the balance sheet and are classed as off-balance sheet assets.
The accounting policies applied for the company financial statements are Liabilities are recognized on the balance sheet when it is probable that the
identical to those applied for the consolidated financial statements. Amounts settlement will result in an outflow of resources and the amount thereof can
are rounded to millions of euros unless otherwise stated. These financial be measured reliably. Liabilities that do not comply with these criteria are not
statements relate to the 2022 fiscal year that ended on the balance sheet date recognized in the balance sheet and are classed as off-balance sheet assets.
of December 31, 2022.
Revenue is recognized in the statement of income and expenses when an
increase in economic potential related to an increase in an asset or a decrease
in a liability has arisen and the amount thereof can be measured with sufficient
reliability. Expenses are recognized when a decrease in economic potential
Contents General notes to the company financial statements ABP Annual Report 2022 123

related to a decrease in an asset or an increase in a liability has arisen and actual annual payments to Appendix K and the notional entitlements. These
the amount thereof can be measured with sufficient reliability. Revenue and entitlements are termed notional entitlements because, by contrast to regular
expenses are allocated to the period to which they relate. retirement pension (OP) and surviving dependents’ pension (NP) entitlements,
participants do not accrue entitlements for Appendix K. That is because the
An asset or liability is no longer recognized on the balance sheet when a amount of the supplement depends in part on the (concurrent) service years
transaction results in the transfer of all or virtually all future economic benefits in the period up to 1995. This period of service is converted into a ‘notional
and all or virtually all risks relating to the asset or liability to a third party. entitlement’ to enable the measurement of the provision for Appendix K on the
Assets and liabilities are no longer recognized on the balance sheet from the basis of present value factors. A further explanation is included in the note to
time at which the probability of future economic benefit and reliability of the the ‘provision for pension liabilities’ item and the ‘movement in provision for
measurement of the value conditions are no longer met. pension liabilities’ item in the ‘Change in actuarial assumptions’ section.

Changes in accounting estimates A further explanation is included in the note to the ‘provision for pension
The actuarial assumptions were changed in 2022, which in total resulted in a liabilities’ item and the ‘movement in provision for pension liabilities’ item in the
€ 2.7 billion decrease in the provision for pension liabilities. The impact on the ‘Change in actuarial assumptions’ section.
funding ratio was -0.6 percentage point.

This is mainly due to the transition of the AG projection table from AG2020 Principles for foreign currency translation
to AG2022. The updating of the Royal Dutch Actuarial Association’s mortality
projection (AG2022) has led to a €3.0 billion increase in the provision for The year-end balances of assets and liabilities held outside the eurozone
pension liabilities. Life expectancy is rising faster than assumed in AG2020 are translated into euros based on the exchange rates prevailing on the
projection table. The increase in life expectancy is due to the addition of balance sheet date. The rates used for translation purposes are the World
European data from 2019 to the AG2020 projection table and the improvement Markets Company fixing rates (WM) on the last day of trading for the year, at
of the closing methodology. 16:00 GMT, as published by Reuters. The resulting translation differences are
recognized under the ‘investment result’ item. Revenue and expenses in foreign
The transition to new flex factors (for bringing forward or deferring pension currencies are translated into euros based on the exchange rates prevailing
payments) has been accounted for. The new flex factors were determined on on the transaction dates. Differences between the transaction exchange rate
the basis of a discount rate of 2.0% (previously: 2.2%) and the new GO1719 and the settlement exchange rate are also recognized under the ‘investment
assumptions. This leads to a decrease of the provision for pension liabilities by result’ item.
€0.4 billion.

Updating the R/N factors leads to a €0.1 billion increase of the provision
for pension liabilities. An R/N (Real/Notional) factor is the ratio between the
Contents General notes to the company financial statements ABP Annual Report 2022 124

Principles for the measurement of assets and liabilities pension administrator. Account is then also taken of insolvency and illiquidity
risks according to basic, stress, and extreme stress scenarios.
Investments
The measurement models managed by the pension administrator, including
General the associated assumptions, are evaluated by an external specialist at least
Investments are measured at current value. The following measurement once a year.
methods are used, in the following order of priority and depending on the
availability of objective data, to measure the current value. A tiered approach These measurement models are based on generally accepted principles. To
is adopted in which the next lower-ranking measurement method is used only this end, based on market parameters such as credit spreads, best estimates
when a higher-ranking method has been found inapplicable. In view of their are made of the expected future cash flows, which are then discounted using
small size, the investments for the ABP Nettopensioen and ABP ExtraPensioen discount rates based on appropriate interest rate curves.
schemes are recognized under the ‘investments’ item, even though these are
investments at the participants’ risk. The accounting policies apply to both Volatilities and correlations are estimated using information from sources in
investments at the pension fund’s risk and investments at the participants’ risk. the public domain. Credit risks are estimated using reference bonds. The
interest rate curves used in the models are based on standards such as
Mark-to-market interbank interest rates and listed swap curves and forward curves in the
In normal market conditions, investments are usually measured using swaps and futures markets.
prices supplied by independent price providers. These prices are not only
stock exchange quotations, but also prices supplied daily by independent The measurement models managed by the pension administrator are used
price providers. primarily for interest rate swaps, private loans, and mortgage portfolios. For
the interest rate swaps, discount curves are created on the basis of interest
Broker quotes rates obtained from price providers, which are then used to discount the future
When no stock exchange quotations or quoted prices supplied by independent cash flows. Risks are smaller when collateral has been provided, in which case a
price providers are available or these cannot be regarded as realistic in the lower interest rate curve is used. The cash flows for the fixed long-term interest
prevailing market conditions, the measurement of the current value is based component follow from the contract, while the cash flows for the variable
on quotes by at least three brokers. short-term interest component are based on forward rates derived from the
market. Interest rate curves supplied by price providers are likewise used for
Mark-to-model private loans. To this end, a variable spread is applied that depends on the
When no stock exchange quotations or quoted prices supplied by independent borrower’s sector. In addition, an inflation curve derived from the market is
price providers are available or these cannot be regarded as realistic in the taken into account. For the mortgage portfolios, a yield curve is applied that is
prevailing market conditions and broker quotes are also unavailable, the based on consumer rates with markdowns for the compensation for expired
current value is approximated using the measurement models managed by the
Contents General notes to the company financial statements ABP Annual Report 2022 125

optionalities and fee for granting and servicing mortgages that are included in investments are measured at net asset value. Capital interests in real estate
the consumer rates. funds are measured at net asset value.

External estimates Equities

When no mark-to-market, broker quote, or mark-to-model measurement Investments in equity, convertible bonds and private equity are measured at
method is available, the current value is measured using estimates of the current value, where possible on the basis of market quotations.
current value of the relevant investments periodically supplied by external
parties. The external estimates category is subdivided into investments with Fixed-income investments
and without an external independent assessment. Bonds and index-linked bonds are measured at current value, where
possible on the basis of market quotations and adjusted for the attributable
Internal estimates accrued interest.
When no reliable information is available to serve as input for the
measurement models managed by the pension administrator, the current Mortgage loans are measured at current value on the basis of a model with
value is determined based on an internal estimate. An external assessment a variable spread for the prepayment, credit and illiquidity risks. The accrued
is carried out whenever possible with respect to the assumptions. savings capital is deducted from savings-based mortgages.

The tiered approach to the measurement methods referred to above is applied Investments in private loans are measured at current value on the basis of a
to all investment categories. model, where necessary adjusted based on market information, supplemented
with a variable spread for the illiquidity and counterparty risks and adjusted
Presentation of net current assets for the attributable accrued interest. The current value of private loans is
Investments are measured inclusive of associated receivables, cash, and measured by calculating the present value of the contracted cash flows from
liabilities, where these are not available for use for purposes other these loans based on market interest rates appropriate for the remaining term
than investment transactions. Subsequent to their initial recognition, these to maturity. Real estate capital leases are measured with variable spreads for
receivables and payables are measured at amortized cost. In view of the short illiquidity credit risks.
term to maturity, value is virtually equal to the face value less any provisions
deemed necessary for irrecoverability risk. More details on the measurement Derivatives
of each investment category are given below. Derivative positions are measured at current value without netting.
Measurement models based on certain assumptions, for example with respect
Real estate investments to credit risk and interest rate curves, are used for specific instruments such as
Real estate investments are measured at current value, where possible on over-the-counter derivatives.
the basis of market quotations. When these are not available, real estate
Contents General notes to the company financial statements ABP Annual Report 2022 126

Other investments Specific reserves are components of equity which the Board has set apart for a
Other investments are investments that cannot be allocated to any other future purpose. For this reason, the specific reserves are not taken into account
investment categories. These are mostly commodities and absolute return in the calculation of the funding ratio.
strategies. These investments are measured at current value, where possible
on the basis of market quotations. Provision for pension liabilities
The provision for pension liabilities is of a non-current nature. The provision
Other assets at the risk of the pension fund comprises the average-pay schemes and years
Participating interests are sustainable capital interests in which ABP can of service-related provisions for retirement pensions, surviving dependents’
exercise a significant influence on the business and financial policy. These pensions and ABP occupational disability pensions (AAOP). In view of their
participating interests, like joint ventures, are measured at net asset value. small size, the provisions for the ABP Nettopensioen and ABP ExtraPensioen
Other capital interests are presented in the investment category to which schemes are recognized under the provision for pension liabilities, even though
they relate. these are provisions at the participants’ risk.

Tangible assets are measured at acquisition price less straight-line depreciation The provision for pension liabilities is measured at the present value of the
calculated over the estimated economic life of the asset concerned, or at lower expected future pension payments. Indexation or reductions in the pension
value in use. entitlements and pension payments are recognized as soon as the definitive
decision has been made. The provision for pension liabilities is determined
After first recognition, receivables, prepayments and accrued income are based on the nominal interest term structure applying on the balance sheet
carried at amortized cost. In view of the short term to maturity, the carrying date, published by DNB.
value is virtually equal to the face value less, where applicable, provisions
deemed necessary for irrecoverability risk. The actuarial assumptions, including those for mortality rates, transfer
probabilities, and partner frequencies, are in principle updated once every
Cash is carried at face value. three years and evaluated in the interim. The actuarial assumptions for
determining the impact of the transitional law relating to the privatization
Equity of ABP (overgangsrecht privatisering ABP, OPA) are updated annually. The
Equity provides a source of funding to cover financial setbacks and also a mortality projection applied to determine the required amount of the provision
source for possible future indexation. The legislation governing pension funds for pension liabilities is based on the mortality projection tables of the Royal
prescribes that the amount of a pension fund’s equity must at minimum be Dutch Actuarial Association (AG).
equal to 4.2% of the amount of its provision for pension liabilities; for more
information, see the ‘Risk’ section. This can be regarded as a blocked reserve. The following actuarial assumptions and methods are used for the
If equity falls below this level, the deficit must be made up within the term measurement of the provision for pension liabilities for retirement pensions
prescribed by law.
Contents General notes to the company financial statements ABP Annual Report 2022 127

and surviving dependents’ pensions, and for ABP occupational disability Provision for retirement pensions and surviving dependents’ pensions
pensions (AAOP): The retirement pension and surviving dependents’ pension for death after age
• the nominal interest rate structure published by DNB for the measurement 65 are fully capital funded. The surviving dependents’ pension on death before
of the current value of the pension liabilities. “Market interest rate” age 65 is also fully capital funded for years of service before July 1, 1999, and
and “current nominal market interest rate” in this document refer after January 1, 2018. The surviving dependents’ pension on death before age
to the nominal interest term structure and current nominal interest 65 is, for years of service between July 1, 1999, and January 1, 2018, funded on
term structure; a risk basis.
• the most recent AG projection tables;
• gender and age-related tables for change of circumstances probabilities, Provision for ABP occupational disability pension scheme (AAOP)
based on the observations for the pension fund’s participants: death The AAOP scheme supplements the Invalidity Insurance Act (Wet op de
(of participants, of co-insured persons, and of dependents), invalidity, arbeidsongeschiktheidsverzekering, WAO) benefit and since 2006 also the
termination on leaving employment, and termination on receiving public- Work and Income (Capacity for Work) Act) (Wet werk en inkomen naar
sector redundancy pay. The mortality tables take account of expected arbeidsvermogen, WIA) benefit. This scheme provides for an occupational
future mortality trends. Partner frequencies on death are also used; disability pension to supplement the WIA benefit. Both schemes are funded
• the assumption that participants and their dependents were born on July 1 entirely on a risk basis. The provision relates only to payable pensions,
for the determination of their age; including payable but not yet reported occupational disability pensions.
• parameters including the average annual pension accrual and the average
age difference between partners at the time of death; Provision for ABP Nettopensioen
• due regard for decisions by the Board made up to the end of the reporting The provision for the net pension scheme (ABP Nettopensioen) is equal to
period relating to changes such as granting indexation, which go into effect the current value of the investments following the conversion of contributions
on January 1 of the following year; made at the participants’ risk and expense for the purpose of supplementing
• foreseeable future changes to the state pension age (AOW); their pensions. The provision is used for the purpose of a conversion into
• cost mark-up for future administrative costs (costs incurred in granting another pension product, which is permitted only on retirement, termination of
pensions and paying pension payments). participation, or death.
• Both the ‘standard partner’ and the ‘nominated partner’ method are used
for the surviving dependents’ pension. The value of the investments following the conversion of the contributions paid
- Before reaching the state pension age, the ‘standard partner’ method is into the ABP Nettopensioen scheme includes the investment returns obtained
used, which is based on an average age difference between the participant on the total investments. The amount of the liability to the participants in the
and their partner. ABP Nettopensioen is equal to the value of the investments and is included in
- After reaching the state pension age, the ‘nominated partner’ method is the provision for pension liabilities as the counterpart to the investments.
used, whereby a surviving dependents’ pension is only reserved if a partner
is actually present.
Contents General notes to the company financial statements ABP Annual Report 2022 128

Provision for ABP ExtraPensioen Principles for the determination of results

The ABP ExtraPensioen provision is equal to the current value of the
investments following the conversion of contributions made at the participants’ General
risk and expense for the purpose of supplementing their pensions. The The items in the statement of income and expenses are in large part
provision is used for the purpose of a conversion into another pension product, determined by the principles for the measurement of investments and
which is permitted only on retirement, termination of participation, or death. the provision for pension liabilities applied in the balance sheet. Realized
and unrealized results are recognized directly in the statement of income
The value of the investments following the conversion of the contributions paid and expenses.
into the ABP ExtraPensioen scheme includes the investment returns obtained
on the total investments. The equal liability to the participants in the AEP Pension contributions (net)
scheme is, as counterpart to the value of the investments, included in the Pension contributions are attributed to the period to which they relate after
provision for pension liabilities. ABP guarantees that participants receive at deducting the cost mark-up. The contributions are determined on the basis of
least the amount of their contributions when they call on their provision. information supplied by employers. Where the necessary information has not
Account is then taken of the investment returns on the investments following been received from employers, an estimate is made based on extrapolation.
the conversion of the contributions at the time of the calculation. The coverage for collection costs is recognized under the actuarial gain/loss.

Investment-related liabilities Investment results (net)

The repayment obligation arising from short-term borrowing is measured Investment results less asset management costs are attributed to the period
at current value. Subsequent to initial recognition, this item is carried at to which they relate. Direct and indirect results from and costs (invoiced
amortized cost. In the absence of premium or discount, this value virtually or to be invoiced) of investments are presented separately. Income from
equates to face value. interest, dividends and suchlike is presented under direct results. Dividend
is recognized at the time the dividend becomes payable. Value changes are
The measurement of the ‘derivatives’ item with a negative current value indirect investment results and are attributed to the period in which they occur.
corresponds to the measurement of the derivatives with a positive Value changes comprise both realized and unrealized value changes.
current value. The short positions and collateral received are measured at
current value. Pension payments
Pensions are attributed to the period to which they relate.
Payables and other liabilities
Payables and other liabilities are measured at current value. Subsequent to
initial recognition, payables and other liabilities are carried at amortized cost. In
view of the short term to maturity, this is virtually equal to the face value.
Contents General notes to the company financial statements ABP Annual Report 2022 129

Movement in provision for pension liabilities The DNB interest term structure for pension funds has been determined using
the Ultimate Forward Rate (UFR) in the years since 2012.
Pension accrual
Pension accrual is attributed to the period in which the accrual of pension Change in actuarial assumptions
rights takes place. An exception to this is the ‘continuation of active service The effect of the change in the actuarial assumptions on the provision
computation’ for pension accrual in the case of incapacity for work and death. for pension liabilities is calculated at the end of the reporting period and
The expense in respect of this future accrual of pension rights is recognized recognized in the statement of income and expenses.
immediately in the year in which the participant becomes incapacitated for
work or dies. Gain/loss due to change in actuarial assumptions
The gain/loss due to the change in actuarial assumptions is attributed to the
Indexation period to which it relates.
Indexation is charged to the statement of income and expenses when a Board
decision is made on or before the balance sheet date. Changes in respect of transfer of rights
Changes in respect of the transfer of rights are attributed to the period to
Added interest which they relate.
The added interest is calculated on the basis of the nominal interest rate for
a term of one year as included in the interest term structure published by Other movements in provision for pension liabilities
DNB for interbank swaps at the end of the preceding fiscal year. The interest is Other movements in the provision for pension liabilities are attributed to the
calculated on the opening balance and the movements during the year. period to which they relate.

Withdrawal for pension payments and pension management costs Coverage from cost mark-up on pension contributions
The release from the provision for pension liabilities for pension payments The coverage from the cost mark-up on pension contributions is attributed to
and pension management costs is credited to the statement of income and the period to which it relates.
expenses in the period in which the pensions and costs were foreseen when
the provision was calculated. Balance arising from transfer of rights
Amounts arising from transfers/acquisitions of rights are recognized at nominal
Movements in market interest rate value and are attributed to the period to which they relate.
The effect the transition from the interest term structure at the end of the
preceding year shifted by one year to the interest term structure at the end Pension management costs (net)
of the reporting year has on the provision for pension liabilities is calculated The net pension management costs are attributed to the period to which
at the end of the reporting period and recognized in the statement of income they relate.
and expenses.
Contents General notes to the company financial statements ABP Annual Report 2022 130

Interest charges on investment-related liabilities Basis of the cash flow statement

Interest charges on investment-related liabilities are attributed to the period to
which they relate. The cash flow statement has been prepared in accordance with the direct
method. Cash flows are attributed to the cash-generating activities. Only the
Other income and expenses cash of ABP (and consolidated entities) is recognized in the opening and
Other revenue and expenses are attributed to the period to which they relate. closing cash balances for the cash flow statement. Cash in mutual funds is
not recognized.

Receipts and expenditures in foreign currencies on account of investment

activities are translated into euros at the transaction date exchange rate.
Differences between the transaction exchange rate and the settlement
exchange rate are recognized under the ‘investment results (net)’ item. The
same rules apply to investments outside the Netherlands.

As all receipts and expenditures on account of pension activities are in euros,

there are no exchange differences with these activities.

Administration

ABP has largely outsourced the administration of the pension scheme to APG
Groep NV, APG DWS en Fondsenbedrijf NV, and APG Asset Management NV.
ABP has concluded long-term contracts for this purpose. The most important
duties these pension administrators perform for the fund are pension
management, asset management, communication, and support services for
the Board.
Contents Risk section of the company financial statements ABP Annual Report 2022 131

Risk section Development of funding ratio in 2022

140

The ‘Risk management’ section of the Board report sets out the risk policy 120
and the design, existence and operating effectiveness of the internal risk
management and control systems. This section is of a more quantitative nature
and describes the movement in the funding ratio, the discount rate, the
100
minimum capital requirement, the capital requirement, and the resulting deficit
31 dec 2021 31 mrt 2022 30 jun 2022 30 sep 2022 31 dec 2022
at year-end 2022. In addition, this section describes the methodology and
outcome of the solvency test and the recovery plan that has been submitted. Funding ratio Policy funding ratio Minimum capital
requirement (+100)
Lastly, we describe the derivatives portfolio, in view of the important role this Capital requirement
fulfills in the control of the risks. (+100)

Development of policy funding ratio and discount rate Development of discount rate in 2022
in 2022 3

Two graphs are included below. The first graph shows the development of the
funding ratio and the policy funding ratio during 2022 relative to the minimum 2

required levels. The second graph shows the development of the discount rate.

0
31 dec 2021 31 mrt 2022 30 jun 2022 30 sep 2022 31 dec 2022

Discount rate
Contents Risk section of the company financial statements ABP Annual Report 2022 132

Policy funding ratio 2022, it came to 4.2% of the liabilities, which equates to €17.5 billion. See the
The policy funding ratio is the average of the past 12 funding ratios. Averaging table below.
the funding ratios to obtain the policy funding ratio reduces fluctuations. The
policy funding ratio plays an important role in the contributions, indexation, Funding ratio: position relative to minimum capital requirement
and recovery policy. At year-end 2022, the policy funding ratio was 118.6%
in € mln 31-12-2022 31-12-2022
(2021: 102.8%)
Calculated general reserve (relative to funding ratio) 45,230 10.9%
Real funding ratio Less: Minimum capital requirement 17,478 4.2%
A real funding ratio of 100% would enable ABP to grant full indexation
every year. This funding ratio is calculated by determining the indexation Surplus relative to calculated general reserve 27,752 6.7%

limit for full future-proof indexation. The real funding ratio is equal to the
policy funding ratio divided by the future-proof indexation limit. At year-end
2022, the real funding ratio, based on price inflation as the ambition level, At year-end 2022, the pension fund had a surplus relative to the minimum
was 90.7% (2021: 83.6%). In accordance with the Pension Funds (Financial capital requirement. At year-end 2022, the general reserve relative to the
Assessment Framework) Decree, the new parameters for inflation forecasts funding ratio was €45.2 billion, which equates to a coverage surplus (the
and the maximum return to be recognized were applied for this calculation. difference between the general reserve and the minimum capital requirement)
of €27.8 billion.

Position relative to minimum capital requirement The position relative to the minimum capital requirement can also be
determined on the basis of the policy funding ratio. In that case, there is
The funding ratio rose from 110.6% to 110.9% in the reporting year, which is a deficit, as the policy funding ratio (118.6%) was lower than the minimum
comfortably above the minimum required funding ratio of 104.2%. In the first, required funding ratio (104.2%). See the table below.
second and third quarters, the funding ratio rose steadily to 124.2%. Rising
interest rates made a major contribution to this. In the fourth quarter, ABP Policy funding ratio: position relative to minimum capital requirement
incorporated the pension increase of 11.96% in the funding ratio. This had a
in € mln 31-12-2022 31-12-2022
negative effect because the fund’s liabilities increased in value.
Calculated general reserve (relative to policy
The general reserve, the difference between the available assets and the value funding ratio) 77,088 18.6%
Less: Minimum capital requirement 17,478 4.2%
of the liabilities, therefore exceeds the minimum capital requirement. The
minimum capital requirement itself is determined in accordance with Article
Surplus relative to calculated general reserve 59,610 14.4%
11 of the Pension Funds (Financial Assessment Framework) Decree. At year-end
Contents Risk section of the company financial statements ABP Annual Report 2022 133

At year-end 2022, the pension fund had a surplus relative to the minimum
capital requirement. The general reserve relative to the policy funding ratio
was €77.1 billion at year-end 2022, which equates to a coverage deficit (the
difference between the policy funding ratio and the minimum required funding
ratio) of €59.6 billion.

Recovery plan

As the policy funding ratio was below the required funding ratio at year-end
2022, ABP was required to submit a recovery plan to DNB before April 1, 2023.
The recovery plan showed that, under the regular policy, the policy funding
ratio could grow to the level of the capital requirement in time. This means that
no reduction in the context of the recovery plan will be needed in 2023.
Contents Risk section of the company financial statements ABP Annual Report 2022 134

Solvency test

Pension funds are governed by the Financial Assessment Framework (FTK), The calculation of the capital requirement begins with the determination of the
which is part of the Pensions Act, and are under the supervision of DNB. The predetermined shocks associated with risk factors S1 through S10. These are
Financial Assessment Framework provides for a solvency test to determine the then combined using the square root formula to obtain a total shock on the
funding ratio that a pension fund needs if a combination of shocks set out funding ratio. The square root formula takes account of the fact that the shocks
in the Financial Assessment Framework is to lead to a funding ratio of 100%. will not necessarily occur simultaneously, so that the combined shock is less
This funding ratio meets the prescribed capital requirement. Pursuant to the than the sum of the individual shocks (diversification effect).
Financial Assessment Framework, the size of the shocks is predefined such that
they occur with a frequency of once every 40 years. i.e. with a probability of The capital requirement is defined such that the combined shock leads
2.5% each year. The capital requirement gradually increased over the past year to a funding ratio of 100%. The outcome fluctuates over time due to
from around 126% to around 129% as a result of the rise in interest rates. market conditions (such as interest and credit spreads). However, portfolio
adjustments in combination with risk restrictions ensure that the funding ratio
The risk factors defined by DNB are: remains near the ratio of the strategic portfolio. The standard model sets the
• S1 Interest rate risk liquidity risk (S7), concentration risk (S8), and operational risk (S9) at zero. With
• S2 Equities and alternative investments risk the policy pursued, these risks have been assessed as not requiring an increase
• S3 Currency risk in the capital.
• S4 Commodity risk
• S5 Credit risk The S test is based on the Strategic Investment Plan (StIP) 2022, which will
• S6 Underwriting risk remain valid until July 1, 2023, as the new StIP has been delayed.
• S7 Liquidity risk
• S8 Concentration risk
• S9 Operational risk
• S10 Active risk
Contents Risk section of the company financial statements ABP Annual Report 2022 135

Equity position relative to capital requirement

The solvency test shows a capital requirement deficit at year-end 2022: the The capital requirement expressed as a percentage of the technical provisions
fund’s capital is below the capital requirement. The following table presents the has increased to 28.8% of the liabilities since last year. This increase was mainly
results from the standard test on the strategic portfolio under the StIP 2022 caused by the high interest rates and the increase in the strategic hedging from
measured as at year-end 2022. The shocks are determined in the situation in 25% to 50%. The portion of the equity included under the capital requirement
which the funding ratio meets the capital requirement. that was released as a result of this has been recognized in the S10 buffer. The
capital requirement at year-end 2022 (€119.4 billion) is calculated on the basis
of the long-term strategic goal under the StIP 2022. The equities and alternative
investments risk is by far the largest component of the capital requirement.

Amount of deficit relative to capital requirement

in € millions and as percentage of the provisions 31-12-2022 31-12-2022 31-12-2021 31-12-2021

Risk
S1 Interest rate risk 10,279 2.5% 9,089 1.8%
S2 Equities and alternative investments risk 86,548 20.9% 102,173 20.5%
S3 Currency risk 41,657 10.1% 40,025 8.0%
S4 Commodity risk 11,206 2.7% 13,230 2.7%
S5 Credit risk 18,136 4.4% 24,330 4.9%
S6 Underwriting risk 11,498 2.8% 14,457 2.9%
S10 Active risk 43,614 10.5% 26,554 5.3%

Subtotal of all risks 222,938 53.8% 229,857 46.1%

Less: Diversification effect -103,561 -25.0% -98,668 -19.8%

Capital requirement 119,377 28.8% 131,189 26.3%

Less: Calculated general reserve (relative to policy funding ratio) 77,088 18.6% 14,008 2.8%

Deficit relative to calculated general reserve -42,289 -10.2% -117,181 -23.5%

Contents Risk section of the company financial statements ABP Annual Report 2022 136

(S1) Interest rate risk usually a decline in interest rates. Subsequently, to provide insight into the size
of the shock, a number of examples are defined of maturity-dependent shocks
The interest rate risk is derived from the interest rate sensitivity of assets and to be taken into account. For example, a downward shock of 33% is applied to
liabilities and is an important element for the mismatch risk. The mismatch risk the five-year interest, a downward shock of 25% to the 10-year interest rate,
is the difference between the interest rate sensitivity of the investments and and a downward shock of 24% to interest rates with very long maturities. The
of the liabilities. An increase or decrease in the interest rate affects the assets same shock in percentage points is then applied to the market interest rate
and liabilities and, as a result, the funding ratio. The interest rate risk S1 has curves used in measuring the swaps and the fixed-income investments.
decreased over the last decade as the interest rate shock is a fixed fraction of
the interest rate curve, resulting in a lower interest rate that leads to a smaller More than half of the interest rate sensitivity of the investments originates
interest rate shock. The interest rate rose in the past year, however, which is from the fixed-income investments and the remainder from the interest-rate
reflected in the increase in S1 (see table). derivatives. The interest rate sensitivity is expressed in terms of duration, which
is approximately equal to the average weighted maturity of all cash flows
ABP uses the partial duration method to calculate the interest rate risk S1. (coupons and repayments of principal) from the fixed-income investments
This ensures that both the variation of the interest rate sensitivity along the and interest-rate derivatives. The duration can be interpreted as follows: a 1
curve and the stochastic cash flows are taken into account. On the basis of the percentage point fall in market interest rate will result in a percentage increase
partial durations pertaining to seven representative maturities, a set of cash in the value of the portfolio equal to the duration of the portfolio.
flows is built that have the same interest rate sensitivity along the curve as
the fixed-income investments portfolio itself. The interest rate shock is then The duration for the investments is determined on the basis of the ESTER
determined on the basis of this set of cash flows. curve. As the UFR curve is required by law to be applied to determine the value
of the liabilities, the duration of the liabilities has however been determined on
In the S test, the yield rate curve by means of which the liabilities are the basis of the UFR curve instead of the ESTER curve. Interest rate sensitivity
discounted is shocked up and down by applying a maturity-dependent will change with future changes in the UFR rate curve, such as the transition to
percentage. The interest rate risk is calculated on the basis of the scenario UFR 50 in 2023. The impact of this is minimal.
with the worst impact on the pension fund capital,

Duration 2022
in € mln Years Market value Impact +1% Impact -1% 2021 in years

Duration of assets (excluding interest rate swaps) 3.5 467,534 -12,137 14,614 3.4
Duration of assets (including interest rate swaps 7.1 454,227 -27,627 33,370 5.8
Duration of liabilities 17.3 414,265 -62,780 83,292 19.5
 Contents Risk section of the company financial statements ABP Annual Report 2022 137

The duration for the total investments, excluding interest rate swaps, was 3.5 The chart Nominal cash flows presents the cash flows from the nominal
years, where the interest effect on assets other than fixed-income investments pension liabilities in light blue and the cash flows from the swap portfolio
is not taken into account. A duration extension of the investments by means in medium blue. The seven dark blue bars present the cash flow from the
of interest rate swaps brings the interest sensitivity more in line with the fixed-income investments portfolio. The individual cash flows of this portfolio
interest rate sensitivity of the liabilities, which reduces the impact of a change are combined into seven maturity buckets to simplify the presentation. The
in the interest rate on the funding ratio. The duration of the total investment combined cash flows result in the same change of value for S1 as the total
portfolio, including interest rate swaps, was 7.1 years at year-end 2022. of the individual cash flows. The chart also presents the extent to which ABP
has hedged the interest rate risk and the extent to which the hedging is evenly
The duration of the liabilities based on the UFR interest rate curve was 17.3 distributed between the terms to maturity.
years. The interest rate hedging percentage is determined on the basis of a
different interest rate curve, the Ester, and was about 40.4% at year-end 2022.
(S2) Equities and alternative investments risk

To manage the price risks on investments in equities and alternatives, ABP

Nominal cash flows
applies a policy of maximum diversification across geographical regions,
(x € 1 billion) Pension liabilities Swaps Fixed-income investments
investment categories, and sectors. Information on this is provided in the notes
60
to the company balance sheet. Equities and alternative investments make
up 60% of the assets in the strategic portfolio. This includes the category of
40
commodities, which accounts for 6% but is not part of S2. A 10% price drop
30 affecting equities and alternative investments will reduce the funding ratio
by 6 percentage points. The S test assumes a shock of 30% for developed-
20
market equities, 40% for emerging-market equities, and 25% for unlisted real
estate. For unlisted equity and alternative investments (private equity and
10
infrastructure), the applied shock is 40%. The risks associated with unlisted
0 equity and alternative investments are included in the equities and alternative
investments risk (S2). Any related unhedged currency risks are included under
-10
the heading of currency risk (S3).

-20

-40

-60
Maturity 0 years Maturity 20 years Maturity 40 years Maturity 60 years
Contents Risk section of the company financial statements ABP Annual Report 2022 138

(S3) Currency risk At year-end 2022, the strategic currency risk hedging of equities and alternative
investments denominated in the US dollar, Swiss franc, Japanese yen, Canadian
ABP is exposed to a currency risk as the pension fund also makes investments dollar, Australian dollar, and Pound sterling was 50%, except for commodities,
denominated in foreign currencies in the context of spreading risks, while for which the currency risk is not hedged. The currency risk, in contrast, of
pensions are payable in euros. The currency risk was mitigated as the largest fixed-income investments is fully hedged. A currency hedge involves a de facto
foreign currency exposures were partly hedged in 2022; the strategic hedging conversion of an investment in a foreign currency into an investment in euros.
is 50%. In the S test, a 20% shock is applied to the remaining post-hedging
exposure to foreign currencies in developed markets relative to the euro.
A 35% shock is applied to the remaining unhedged exposure to foreign (S4) Commodity risk
currencies in emerging markets relative to the euro. The current value of the
currency hedging derivatives is presented in the last table in the derivatives The weighting of commodities in the strategic portfolio under the StIP 2022 is
paragraph. The following table presents a breakdown of the investments 6% and was largely built up using commodity derivatives, in practice. The active
before and after currency hedging. risk exposure is small, as part is actively mandated. In the S test, a 35% shock is
applied to the market value of the commodities.
Analysis of actual capital held by currency as at year-end 2022
Before After
in € mln currency hedge Currency hedge currency hedge
(S5) Credit risk
Currency
Euro 183,408 108,596 292,004
The investment portfolio is exposed to credit risks. Credit risk refers to the
US dollar 170,424 -84,725 85,699
Sterling 11,878 -6,215 5,663 risk that a counterparty is no longer able to meet its payment obligations or
Chinese Yuan 13,958 - 13,958 that its financial situation deteriorates. The portfolio rating is an important
Yen 8,383 -4,714 3,669 indicator of the quality of the portfolio. The credit risk is partially hedged with
Australian dollar 8,214 -3,666 4,548 credit default swaps. The fixed-income investments portfolio is classified into
Korean Won 3,612 - 3,612
five rating classes for the purposes of the S test. These classes are AAA, AA, A,
Hong Kong dollar 5,264 - 5,264
BBB, and, as fifth class, BB or lower.
Taiwan dollar 4,212 - 4,212
Indian Rupee 5,425 - 5,425
Canadian dollar 2,599 -1,586 1,013
Swiss franc 3,053 -2,202 851
Other 33,577 - 33,577

Total 2022 454,007 5,488 459,495

Total 2021 553,305 -1,661 551,644
Contents Risk section of the company financial statements ABP Annual Report 2022 139

The AAA rating class is subdivided into European AAA government securities (S7) Liquidity risk
and other AAA. The Financial Assessment Framework stress scenario applies a
shock on the credit spread, ranging from 0 bp on European AAA government The liquidity risk is the risk that the fund has insufficient cash to meet its
securities and 60 bp on other AAA to 530 bp on securities rated BB or lower. current payment liabilities, including pensions, or to deposit collateral for
derivative positions. ABP’s liquidity risk is minimal in normal circumstances
The creditworthiness of investments is usually classified into credit ratings. A because the majority of investments are in cash assets. There were no liquidity
high credit rating indicates that the borrower is extremely creditworthy and it deficits in 2022.
is highly probable that the loan will be redeemed. Credit ratings range from
the highest rating, AAA (extremely creditworthy), to the lowest, D. The spread in Investing in illiquid investment categories reduces the flexibility available to the
fixed-income investments is such that 87% (2021: 86%) have a rating of BBB or pension fund in the periodical rebalancing of the investment portfolio. A fund
higher (investment grade). forced to sell illiquid assets at short notice will usually be unable to command a
fair price. This is avoided by taking account of the reduced flexibility of illiquid
investment categories in the rebalancing policy.
(S6) Underwriting risk
The following chart presents the monthly cash flow from the interest rate
Retirement pensions and surviving dependents’ pensions are payable for life. hedge, currency hedge, contributions, and pensions in 2022. Liquidity problems
Pursuant to the legislation and regulations, the calculation of the provision can arise when the negative cash flows become excessive. The chart shows
for pension liabilities must take account of a foreseeable trend in future that, in 2022, hedging the currency position demanded the most liquidity.
mortality rates. This is carried out using the AG Projection Table 2022, which
is adjusted using correction factors specific to the pension fund as specified
in the Actuarial Assumptions Study 2017-2019 to obtain a mortality table
specific to ABP. In addition to mortality rates, ABP’s actuarial assumptions also
take account of, for example, transfer probabilities, partner frequencies and
incapacity for work estimates. If the mortality rates follow the AG projections,
then the life expectancy at year-end 2022 for a male aged 66 is 87.1 and for
a female aged 66 is 89.4. The future average mortality rates may diverge from
the projection, however, and actual mortality may also differ from average
mortality within a finite population. That leads to uncertainty in the value of
the provision for pension liabilities, which is expressed in S6. The shock applied
in the provision for pension liabilities in the stress scenario, for this and other
underwriting risks, is 2.78% this year.
Contents Risk section of the company financial statements ABP Annual Report 2022 140

Liquidity flows This condition was met in 2022. This statement is based on the reports from
x € 1 miljard
the pension administrator, based on which the Board monitors all aspects of
10 the pension administration.

(S10) Active risk

0
The optimum asset mix is determined using the asset and liability management
(ALM) approach. Each investment category is then populated with suitable
assets, with departures from the benchmark being permitted within the
-10 predetermined maximum tracking errors, which leads to an active risk. The
jan feb mrt apr mei jun jul aug sep okt nov dec tracking errors for the various investment categories are measured with risk
systems and continually monitored to determine whether they remain within
Pension contributions Pension payments Currency hedge
Interest hedge the set limits.

S10 comprises a further component besides the required buffer for active
risk. With effect from the Strategic Investment Plan 2019-2021, ABP decided to
(S8) Concentration risk eliminate the strategic allocation to hedge funds and instead to adopt a higher
strategic weighting to developed-market equities. This allocation shift resulted
Concentration risk arises when a large proportion of the invested assets is in a decrease in the strategic capital requirement. The same applies to the
invested with one party or in one investment category. In that case, the risks reduction of the strategic capital requirement resulting from the increase in
are greater than with a balanced spread of investments. The standard model the interest rate hedging percentage from 25% to 30% as of the start of 2022.
has a concentration risk of zero. Based on the policy that has been applied, it Subsequently, a lot of extra capital requirement margin was released in 2022
has been assessed that there is no increased risk and therefore no need for an as the strategic interest rate hedging percentage was increased further during
additional mark-up. the course of the year. It was then decided to provisionally retain the released
capital requirement margin in a buffer in S10. However, it was decided in 2022,
with the reassessment of the short-term risk appetite, to include these reserves
(S9) Operational risk in S10. Once the new risk appetite has been implemented (after the new
strategic mix has been determined on the basis of the revised risk appetite),
The operational risk is the risk of errors not being identified sufficiently they will no longer be included in the capital requirement.
promptly due to an incorrect operation of the organization. The Pensions Act
allows the operational risk to be set at zero when there is no increased risk.
Contents Risk section of the company financial statements ABP Annual Report 2022 141

Climate risks Impact of climate risks

For ABP, climate change and the transition to new energy generation and
Governance of climate risks and opportunities sustainable energy sources are one of the major transitions that we want to
ABP’s Board determines the policy, including the policy for Sustainable & respond to with our investment policy. Climate change has a decisive impact on
Responsible Investment. In the policy, ABP sets the goals for climate policy, and the ability of companies to create long-term value. As an investor, we can also
ABP makes choices about how we aim to achieve those goals. The Board also have an influence on this theme.
establishes the Strategic Investment Plan and the allocation of the investments
to different investment categories (strategic asset allocation). Climate change and the energy transition are one of the greatest challenges
facing the world. We distinguish physical climate risks and transition risks.
As part of its responsibility, ABP’s Board monitors climate-related risks and • Physical risks are related to the impact of changing weather patterns, such
opportunities in the investment portfolio. For example, the Board and its as storm damage, prolonged drought and flooding.
various committees discussed the consequences of climate change for ABP as • Transition risks are related to the impact of efforts being made to address
an investor several times in 2022, and presentations were given by our asset the root cause of climate change - greenhouse gas emissions, such as
manager APG. legislation and regulations, technological developments and changes in
market sentiment.
The governance for monitoring and managing climate risks and opportunities
is embedded in the organization and processes of ABP and our asset Transition and physical climate risks can eventually lead to changes in
manager APG. the valuation of companies and real estate in which we invest. For the
• ABP has established a formal climate risk policy in which the details of impact on the valuation, a distinction can be made between liquid and
the Strategic Investment Plan, including aspects related to climate risks illiquid investments.
and opportunities, have been documented together with the fiduciary
management department. Together with fiduciary management, ABP also With liquid investments, the financial markets estimate the value of a company
supervises the execution of the mandates issued. on a daily basis. A lot of information about known climate risks is taken into
• APG’s portfolio management department is responsible for managing account by market parties in the valuation. The occurrence of risks ultimately
the investments within the issued mandate, including climate risks and depends on the actual transition, whether it takes place and at what speed. We
opportunities. Investments above a certain size must be approved by continuously monitor that.
the Committee on Investment Proposals (CIP)*, with sustainability risks
(including climate risks) being explicitly considered. For illiquid investments, determining the (financial) impact of climate risks is
• Second-line management of climate risks is the responsibility of ABP’s risk more complex. The transition path to 2050 is highly dependent on the available
management department. technology and the climate policies pursued by countries. A complicating factor
is also that historical information offers little guidance because the world
has to change radically in the future. Because of these uncertainties, we
Contents Risk section of the company financial statements ABP Annual Report 2022 142

use scenarios to identify climate risks and opportunities. These constructed Derivatives
images of the future describe what the world could look like in the future.
The scenarios have different starting points with regard to climate policy ABP uses derivatives to mitigate risks or make rapid tactical changes in the
and technological development. Scenario analysis helps to better understand asset mix. Derivatives are financial instruments with a value partly dependent
what the road to ‘Paris’ could look like and what impact this will have on on one or more underlying financial instruments. Derivatives can be traded
our investments. These analyses are performed at different levels. We take on the stock exchange or directly with players in the financial sector, the
the results into account when making investment decisions. We also identify latter group of which are referred to as “over-the-counter” (OTC) derivatives.
which part of our government bond portfolio is invested in countries with a ABP makes use of both. Collateral that usually needs to be deposited with
high climate risk by examining both physical risks and transition risks. We use the counterparty when taking a derivative position serves as a form of buffer
ND-GAIN indicators to determine a country’s physical climate risk. These give for fluctuations in the value and market value of the derivative position. The
an indication of how vulnerable a country is to the consequences of climate collateral comprises cash (or suitable securities), which is deposited with the
change and of the extent to which the country is prepared for it. Our qualitative counterparty to serve as assurance for the fulfillment of any liabilities when
scenario analyses, taking into account all the uncertainties that still exist at the the value of derivatives fluctuates. Additional deposits or partial withdrawals of
moment, show that the future impact on the fund’s financial position could collateral are made, in principle, on a daily basis, as determined by movements
be significant. in the position. Derivatives are mainly used to hedge currency and interest
rate risks. As some investments are denominated in foreign currencies, most
Based on the information currently known about climate risks, there is no of which in US dollars, a portion of the currency risk is hedged to mitigate
impact on the valuations and financial position reported in the financial exchange rate risks to safeguard cash flows in euros. Derivatives are also
statements as at the end of 2022. employed to bring the interest rate sensitivity of investments more into line
with the interest rate sensitivity of the future liabilities. This is achieved by
extending the duration (weighted average maturity of all cash flows) of the
Risk restrictions fixed-income investments.

Investment risks need to be taken if indexation is to be feasible. These are A limited portion of the derivatives portfolio is used as an effective means of
risks in line with the pension fund’s risk appetite that are consciously accepted creating positions in certain investments or of modifying features of a certain
for the purpose of realizing the long-term indexation ambition. Investment investment portfolio.
risks are limited with risk restrictions in the mandates, and the risk exposure
is continually monitored. Risk limits have been adopted for both the entire
portfolio and specific components of the portfolio, such as a maximum
permitted active risk or a maximum allocation to a specific counterparty. In
addition to specifying limits and adopting spreads, risks can also be mitigated
with derivative financial instruments, or derivatives.
Contents Risk section of the company financial statements ABP Annual Report 2022 143

The following table presents the current value of the derivatives (swaps, positions was €6.6 billion at year-end 2022 (2021: €18.7 billion). The table
futures, options, and forward currency contracts) attributed to the various shows that this asset management increased the interest in fixed-income
investment categories together with the associated asset management overlay investments and equities and reduced the interest in other investments.
effect. The asset management overlay effect of the derivatives and short

Balance sheet before and after attribution of current value of derivatives

Balance sheet after Balance sheet after
Balance sheet after asset management asset management
Balance sheet at Attributed fair attributing fair Asset management overlay overlay
in € mln fair value value of derivatives value of derivatives overlay effect effect 31-12-2022 effect 31-12-2021

Real estate 75,112 - 75,112 - 75,112 77,826

Equities 172,287 284 172,571 -6,717 165,854 212,383
Fixed-income investments 185,350 -5,924 179,426 142 179,568 230,892
Derivatives: positive positions 23,871 -23,871 - - - -
Other investments 35,239 4,296 39,535 6,575 46,110 55,051
Other assets 2,164 - 2,164 - 2,164 1,976

Total assets 494,023 -25,215 468,808 - 468,808 578,128

-
Pension fund capital 45,236 - 45,236 - 45,236 53,607
Pension liabilities 414,265 - 414,265 - 414,265 498,797
Investment-related liabilities 33,816 -25,215 8,601 - 8,601 21,783
incl. derivatives and short positions 25,371 -25,215 156 - 156 -
Other liabilities 706 - 706 - 706 3,941

Total capital and liabilities 494,023 -25,215 468,808 - 468,808 578,128

Contents Risk section of the company financial statements ABP Annual Report 2022 144

The following table presents a specification of the various types of derivatives. derivative concerned, with all positions totaled as absolute values (sum of long
The underlying values of the futures and TBAs (to be announced) are based and short exposure). The two largest items are the derivatives employed to
on the net exposure (balance of the long and short exposure). The underlying mitigate the currency risk (forwards) and interest rate risk (interest rate swaps).
values of the other derivatives are based on the underlying notionals of the

Analysis of derivatives by type

in € mln Receivables underlying value Receivables fair value Payables underlying value Payables fair value

Currency derivatives
Forwards 164,868 5,950 25,332 -210
Cross Currency Swap - - - -

Interest rate derivatives

Interest Rate Swaps 312,953 16,645 149,733 -23,910
Inflation-linked swaps 2,460 100 7,617 -273
Fixed-income futures 5,188 149 12,646 -397
TBAs 219 11 4,021 -57

Other derivatives - - - -
Credit Default Swaps 750 44 1,162 -11
Other Swaps 2,424 - -
Other futures 3,632 972 5,298 -357

Total derivatives as at year-end 2022 23,871 -25,215

Total derivatives as at year-end 2021 34,234 -21,235

Short positions

A short position is created upon entering into the obligation to deliver

securities at a future date without having possession of them at the time
of entering into the obligation; the counterparty risk on a short position is
mitigated by means of collateral. The short positions for investments were
€156 for 2022 (2021: zero).
Contents Notes to the company balance sheet ABP Annual Report 2022 145

Notes to the company balance sheet

Amounts are in millions of euros unless otherwise stated.

General

The pension fund’s available assets can be derived from the company
balance sheet by deducting the ‘investment-related liabilities’, ‘payables and
other liabilities’ and ‘specific reserves’ items from the total assets. The
funding ratio is calculated by dividing the available assets by the provision
for pension liabilities. The policy funding ratio, which forms the basis for
supervision of the pension fund, is the 12-month rolling average of the funding
ratios. The calculation of the funding ratio at year-end of the fiscal year is
presented below:

31-12-2022 31-12-2021

Total assets 494,023 599,363

Investment-related liabilities -33,816 -43,018
Other liabilities -706 -3,941
Specific reserves -6 -760

Actual capital held 459,495 551,644

Provision for pension liabilities 414,265 498,797
Funding ratio 110.9% 110.6%
Policy funding ratio 118.6% 102.8%
Contents Notes to the company balance sheet ABP Annual Report 2022 146

Assets

1. Investments
Movements in the investments were as follows:

Fixed-income Other
Real estate Equities investments Derivatives investments Total 2022 Total 2021

Opening balance of investments 77,826 228,837 219,233 34,234 37,257 597,387 572,116
Granted/bought 19,996 117,057 103,518 - 5,115 245,686 138,489
Repaid/sold -16,479 -145,283 -91,679 - -15,490 -268,931 -172,742
Change in value1 -4,897 -26,918 -43,498 - 3,682 -71,631 70,206
Other movements -1,334 -1,406 -2,224 -10,363 4,675 -10,652 -10,682

Closing balance of investments 75,112 172,287 185,350 23,871 35,239 491,859 597,387
Of which:
- listed 316,837 404,579
- unlisted 175,022 192,808

1 Including movements up to the time of disposal

Definition The other movement in derivatives in 2022 is mainly a consequence of an

Investments comprise real estate, equities, fixed-income investments, increase in interest rates, causing the interest rate derivatives to fall in value.
derivatives, and other investments, including the associated receivables, cash, The sale under other investments mainly concerns the phasing out of the
and payables. These can be held directly or indirectly through units in mutual Hedge Funds investments.
funds managed by the pension administrator.

During 2022, ABP withdrew €103 billion from mutual funds. The underlying
investments were transferred to ABP and are now held directly by ABP.
The withdrawal from the mutual funds is accounted for as a sale, and the
acquisition of the investments now held directly has been largely accounted for
as a purchase in the statement of movements in investments.
Contents Notes to the company balance sheet ABP Annual Report 2022 147

The ‘other movements’ item comprises movements in the receivables, The ‘investments’ item also includes:
cash, payables associated with the investments, and movements in the • investments of €0.2 billion (2021: €0.2 billion) in favor of participants in the
derivative positions. ABP Nettopensioen and ABP ExtraPensioen schemes.
• investments of €0.0 billion (2021: €3.0 billion) for the prefunding of the
The closing balance of the investments, €491.9 billion (2021: early retirement, pre-pension and life-course savings scheme (VPL). These
€597.4 billion) includes: investments are managed by ABP and are at the risk and expense of third
parties. The movement during the fiscal year comprises the contributions
31-12-2022 31-12-2021
received, €1,183 million (2021: €925 million) and a negative return of
Receivables, prepayments and accrued income 961 1,055 €19 million (2021: €18 million). As of December 30, the investments for the
Collateral paid 6,421 2,489 prefunding of the VPL scheme were transferred to the regular ABP portfolio.
Short-term lending (including CIS short-term lending) 18,282 23,615
Current account bank balances 2,493 1,253 ABP does not lend out investments.
Payables, accruals and deferred income (including debit
balances on bank accounts) -4,527 -2,450
Measurement and accounting for look-through for mutual funds
For the purposes of a meaningful presentation of the carrying value of the
Net assets included in current assets 23,630 25,962
units in the mutual funds, these are classified according to the underlying
investment categories where possible and in so far as this provides an
improved view. In accordance with Dutch Accounting Standard 610 for Pension
The ‘current account bank balances’ item includes amounts invested in money Funds (RJ 610 Pensioenfonsen), the positive and negative derivative and short-
market funds as call money. €617 million of the bank balances is not freely term borrowing positions included in the value of these units are recognized
disposable (2021: €491 million). This relates to balances held on margin separately in the balance sheet. The specification of all investments is based on
accounts in connection with future positions. the underlying assets, including investments placed in mutual funds managed
by the pension administrator.
The liabilities recognized in investments comprise debit balances on bank
accounts of €1.1 billion (2021: €1.2 billion).
Contents Notes to the company balance sheet ABP Annual Report 2022 148

The breakdown of the current value per investment category on the basis of
the underlying measurement method can be presented as follows:

Investment
Fixed-income Derivatives: related Other
in % Real estate Equities investments positive liabilities investments 31-12-2022 31-12-2021

Mark-to-market 29 76 94 55 30 58 76 75
Broker quotes - - - - - - - -
Mark-to-model - - 2 45 70 - -2 4
External estimates 71 24 4 - - 42 26 21

Total 100 100 100 100 100 100 100 100

The classification presented in the above table is based on the methods used using a model because daily prices are unavailable, they are attributed to
for the measurement of assets and liabilities described in the ‘Accounting the ‘mark-to-model’ category.
policies’ section. The classification of 45% of the derivatives in the mark-to- • Currency forwards are attributed to the ‘mark-to-model’ category. When
model is due to the absence of stock exchange quotations. This applies prices are not supplied by an independent price provider, mortgage-
to over-the-counter derivatives, for example, even though these can be backed securities and asset-backed securities are attributed to the ‘broker
measured objectively. Of the external estimates, 77% is based on an quotes’ or ‘external estimates’ categories. Securities measured on the
independent measurement. basis of less than three broker quotes are attributed to the ‘external
estimates’ model category. Mortgage portfolios are attributed to the ‘mark-
The investments have been attributed to a measurement method on the basis to-model’ category.
of the following assumptions:
• Net current assets relating to an investment category, including deposits, Most measurements of the investment portfolio are therefore based on
repos, receivables, payables, cash, and investments in money market funds, information from independent data suppliers. Only a small fraction of the
are included in the ‘mark-to-market’ category. portfolio is measured with internal models.
• Private equity investments and investments in hedge funds are attributed
to the ‘external estimates’ category. This also applies to investments in These measurements are brought into line with International Financial
investment funds whose value is quoted by an external manager. Swaps Reporting Standards (IFRS) to provide a clearer insight into the figures. Under
are attributed to the ‘mark-to-market’ category when the price is supplied IFRS, it is customary to categorize investments on the basis of the fair value
by an independent price provider. However, when swaps are measured hierarchy, which consists of following three levels:
Contents Notes to the company balance sheet ABP Annual Report 2022 149

• level 1, direct quoted market prices: investments with quoted prices for administered by the manager using observable market data. The following
identical assets or liabilities in active markets; are also attributed to level 2: deposits, repos, receivables and payables,
• level 2, derived market prices: investments other than level 1 investments currency forwards, listed lookalike options, futures, and similar. Investment
measured using inputs comprised of observable data in the market; funds are also attributed to level 2 when units in that fund can be sold back
• level 3, valuation models and techniques. investments measured with a to the fund at least once a quarter and at the reported price;
measurement model using input comprised of significant unobservable • investments not attributed to level 1 or 2 are attributed to level 3. These
input data. are mainly closed end funds in illiquid investments with units that cannot be
bought back before maturity.
The following table presents a combination of the measurement matrix in the
previous table and the fair value hierarchy as applied internationally. Breakdowns
The following tables present breakdowns of the investments by class, region,
The attribution of investments to levels is based on the following assumptions and currency (all in millions of euros). The currency table does not include
and principles: the ‘derivatives’ item, as this is presented in a separate table together with
• investments in a mutual fund are attributed to a level, not the mutual derivatives with a negative current value and short positions. The investments
fund as such. If the investment is in another investment fund, then that do not involve securities lending.
investment fund is attributed to a level;
• both investments and the receivables, payables, and cash are attributed;
• the following listed investments are attributed to level 1: equities, bonds,
options, futures, money market funds, and cash;
• the following investments are attributed to level 2: investments priced
based on Markit or similar price providers, investments priced on the basis
of at least three broker quotes, and investments measured with a model

Direct quoted Valuation models

in % market prices Derived market prices and techniques Total

Mark-to-market 91 9 - 100
Broker quotes - - - -
Mark-to-model - 100 - 100
External estimates - 4 96 100

Total 2022 69 6 25 100

Total 2021 74 7 19 100
Contents Notes to the company balance sheet ABP Annual Report 2022 150

Investments by category
Fixed-income Derivatives: Other
Real estate Equities investments positive investments 31-12-2022 31-12-2021

Basic materials 12 8,094 787 400 1,700 10,993 14,236

Mortgages etc. - - 13,521 11 - 13,532 17,812
Real estate 42,384 3,040 336 - - 45,760 55,294
Utilities 1,432 3,875 2,535 - 60 7,902 8,094
Telecommunications 3,357 3,439 2,987 - - 9,783 11,376
Healthcare 225 19,196 2,186 - 5 21,612 27,007
Luxury goods 2,739 18,686 2,505 - 5 23,935 32,535
Energy 8,994 2,425 - 232 4,214 15,865 17,201
Manufacturing 15,030 16,277 2,770 - - 34,077 39,169
Financial institutions 383 38,344 22,644 23,033 27,918 112,322 138,505
Convenience goods - 12,549 1,067 46 1,222 14,884 17,615
Information technology - 46,323 911 - - 47,234 70,288
Public authorities 556 39 133,101 149 115 133,960 148,255

Total investments 75,112 172,287 185,350 23,871 35,239 491,859 597,387

Investments by region
Fixed-income Derivatives: Other
Real estate Equities investments positive investments 31-12-2022 31-12-2021

Netherlands 4,672 3,634 12,416 7,046 4,762 32,530 33,894

Rest of EMU 16,585 17,138 77,893 13,557 8,199 133,372 164,118
Rest of Europe 13,116 12,513 17,204 2,533 7,980 53,346 62,138
North America 23,182 96,365 54,361 716 11,638 186,262 240,013
Asia/Pacific 16,108 38,866 12,298 19 2,124 69,415 80,802
Other 1,449 3,771 11,178 - 536 16,934 16,422

Total investments 75,112 172,287 185,350 23,871 35,239 491,859 597,387

Contents Notes to the company balance sheet ABP Annual Report 2022 151

Investments by currency, excluding derivatives

Fixed-income Other
Real estate Equities investments investments 31-12-2022 31-12-2021

Euro 24,425 21,330 99,691 18,769 164,215 178,409

US dollar 25,812 96,137 58,617 14,342 194,908 248,366
Sterling 7,807 4,383 7,286 417 19,893 29,266
Chinese Yuan 1,462 10,968 1,414 1 13,845 15,808
Yen 795 6,683 -2 -7 7,469 11,392
Australian dollar 4,780 1,930 972 1,368 9,050 9,405
Korean Won - 4,212 - - 4,212 6,471
Hong Kong dollar 4,309 956 - 59 5,324 5,809
Taiwan dollar 705 4,542 111 10 5,368 5,851
Indian Rupee 136 2,218 1,242 151 3,747 5,431
Canadian dollar - 3,494 70 1 3,565 5,305
Swiss franc 220 2,723 78 4 3,025 4,218
Other 4,661 12,711 15,871 124 33,367 37,422

Total investments 75,112 172,287 185,350 35,239 467,988 563,153

The division between “Derivatives positive” and “Derivatives negative” in the currency table is partly influenced by the currency hedging positions. These positions are a
snapshot. A forward currency contract is a contract to buy or sell a given amount of a currency at an agreed exchange rate on an agreed future date. Buying increases
the currency position and selling decreases the position. Both positions are presented in the above table. The final balances are in part dependent on exchange rate
movements since the conclusion of the contract.
Contents Notes to the company balance sheet ABP Annual Report 2022 152

Derivatives and short positions by currency

Derivatives
Derivatives positive negative Short positions 31-12-2022 31-12-2021

Euro 165,540 -31,718 - 133,822 182,075

US dollar -115,445 7,219 -156 -108,382 -132,441
Sterling -19,144 4,943 - -14,201 -20,551
Chinese Yuan 215 -102 - 113 185
Yen 668 -4,467 - -3,799 -6,320
Australian dollar -4,286 -142 - -4,428 -4,942
Korean Won - - - - -1
Hong Kong dollar -63 7 - -56 -178
Taiwan dollar - 58 - 58 17
Indian Rupee -2,722 -12 - -2,734 -2,628
Canadian dollar 48 -1 - 47 48
Swiss franc -2,012 -163 - -2,175 -2,524
Other 1,072 -837 - 235 259

Total investments in derivatives and short positions 23,871 -25,215 -156 -1,500 12,999
Contents Notes to the company balance sheet ABP Annual Report 2022 153

Notes by investment category Equities investments comprise:

Real estate investments encompass investments in:
Investments in equities
31-12-2022 31-12-2021
Real estate investments and infrastructure investments
31-12-2022 31-12-2021 Developed markets 96,083 141,208
Residential property 13,795 14,783 Emerging markets 32,403 39,747
Offices 5,286 7,165 Private equity 43,175 44,339
Retail property 9,616 10,551 Other 626 3,543
Industrial buildings 9,918 12,469
Hotels 2,870 2,200 Total investments in equities 172,287 228,837
Other 8,861 9,253

Total investment properties 50,346 56,421

The investments in equities relate to €98.2 billion (2021: €17.4 billion) in the
name of ABP and investments of €74.1 billion (2021: €211.4 billion) through
Industrial companies 9,998 8,938
mutual funds managed by the pension administrator.
Energy 8,994 8,026
Telecommunications 3,357 2,381
Private equity investments relate, in particular, to equities in unlisted
Other 2,417 2,060
companies in sectors including the venture capital sector. The private equity

Total infra investments 24,766 21,405 investments comprise indirect investments of €36.1 billion (2021: €37.1 billion)
and direct investments of €7.1 billion (2021: €7.2 billion).

The real estate investments comprise €9.8 billion in the name of ABP (2021:
€3.7 billion) and investments of €65.4 billion through mutual funds managed by
the pension administrator (2021: €74.1 billion).

The ‘other’ item includes other real estate investment assets and liabilities
totaling €0.3 billion (2021: €0.7 billion).

All real estate investments are held indirectly via funds in the heritage portfolio
or via the mutual funds.
Contents Notes to the company balance sheet ABP Annual Report 2022 154

Fixed-income investments comprise: The breakdown of the ‘fixed-income investments’ item by coupon rate is
as follows:
Fixed-income investments
31-12-2022 31-12-2021
Breakdown of fixed-income investments by coupon rate
Government bonds 124,145 140,295 31-12-2022 31-12-2021

Corporate bonds 36,921 45,773 < 0% 7 1,088

Mortgage loans 11,810 14,884 0%-1% 35,782 52,315
Mutual funds 7,671 7,359 1%-2% 32,327 38,819
Index bonds 313 767 2%-3% 34,644 34,118
Private loans and bank loans 1,968 3,061 3%-4% 24,244 28,180
Other investments 271 1,104 4%-5% 27,916 31,061
Other assets and liabilities 2,251 5,990 > 5% 22,759 26,293
no coupon 7,671 7,359
Total fixed-income investments 185,350 219,233
Total fixed-income investments 185,350 219,233

Fixed-income investments comprise investments of €181.2 billion (2021:

€198.4 billion) in the name of ABP and investments of €4.1 billion (2021: The remaining term to maturity of the fixed-income investments as determined
€20.9 billion) through mutual funds managed by the pension administrator. by the contractual redemption dates is as follows:

The short position of investments in the name of ABP was €156 million at Breakdown of fixed-income investments by maturity
31-12-2022 31-12-2021
year-end 2022 (2021: €0 million). The balance at year-end 2022 is recognized
under the ‘investment-related liabilities’ balance sheet item. Shorter than one year 6,343 9,421
Between one year and five years 39,801 38,147
Longer than five years 131,535 164,306
No maturity 7,671 7,359

Total fixed-income investments 185,350 219,233

Contents Notes to the company balance sheet ABP Annual Report 2022 155

The creditworthiness of fixed-income investments is usually expressed in terms The breakdown of derivatives with a positive current value is as follows:
of a credit rating. The ratings of the fixed-income investments are as follows:
Samenstelling derivaten
31-12-2022 31-12-2021
Ratings of fixed-income investments
No Currency derivatives
AAA AA A BBB <= BB rating Total
Forward currency contracts 5,950 467
2022 36% 27% 11% 13% 9% 4% 100%
2021 33% 28% 11% 14% 11% 3% 100% Interest rate derivatives
Interest Rate Swaps 16,645 31,723
Inflation linked swaps 100 758
Fixed-income futures 149 98
This table shows that 74% (2021: 72%) of the fixed-income investments have a
TBAs (to be announced) 11 7
rating of A or higher.

Other derivatives
The duration of fixed-income investments is often used to provide an insight
Credit default swaps 44 14
into the cash flows. The duration is the average weighted maturity of all
Other futures 972 1,167
cash flows (interest and principal redemptions) relating to the fixed-income
products. The duration of the fixed-income investments is approximately 9
Total derivatives with positive fair value 23,871 34,234
years (2021: approximately 10 years).

Negative derivative positions are presented on the liabilities side of the

balance sheet, in accordance with Dutch Accounting Standards (Richtlijnen voor
de Jaarverslaggeving).

The current value of derivatives depends on various factors, including

securities prices, exchange rates and interest rates at year-end as compared
with the security prices, exchange rates and interest rates at the time the
derivative positions were opened.
Contents Notes to the company balance sheet ABP Annual Report 2022 156

Other investments The ‘cash’ item includes current account bank balances. The full amount of the
31-12-2022 31-12-2021
cash is at ABP’s disposal. No other collateral has been furnished.
Other investments 35,239 37,257
The ‘participating interests’ item relates to the direct capital interest in APG
Groep NV. The movements in the ‘participating interests’ item were as follows.
Other investments comprise €35.0 billion (2021: €37.0 billion) in the name
of ABP and investments of €0.2 billion (2021: €0.2 billion) through mutual Participating interests
Total 2022 Total 2021
funds managed by the pension administrator. The other investments have
decreased because the deposits of the APG Commodities Pool with APG Opening balance 473 427
Liquiditeitenbeheer are no longer included due to the transfer of the Change in value 105 115
investments to ABP. Dividends paid -110 -69

Other investments relate primarily to investments in hedge fund strategies Closing balance 468 473

in the amount of €8.0 billion (2021: €17.7 billion). This item also includes
investments of €6.8 billion in commodities (2021: €3.9 billion). The carrying
amount of other assets and other liabilities relating to investments included in
the ‘other investments’ item was €20.4 billion (2021: €15.7 billion).

The short position of investments in the name of ABP was €0.0 at year-end
2022 (2021: €0.0) and is recognized under the ‘investment-related liabilities’
balance sheet item.

2. Other assets

31-12-2022 31-12-2021

Participating interests 468 473

Tangible assets 33 41
Receivables, prepayments and accrued income 1,217 1,186
Cash 446 276

Total other assets 2,164 1,976

Contents Notes to the company balance sheet ABP Annual Report 2022 157

The tangible assets comprise:

Tangible assets
31-12-2022 31-12-2021

Total buildings and fixtures 33 41

The ‘tangible assets’ item comprises buildings with an estimated economic

life of 30 years and plant and equipment with an estimated economic life of
15 years.

The receivables, prepayments and accrued income comprise:

Receivables, prepayments and accrued income

31-12-2022 31-12-2021

Receivables from employers 972 940

Receivables in respect of value transfers 160 178
Receivables from participants 7 2
Other receivables 78 66

Total receivables, prepayments and accrued income 1,217 1,186

The ‘receivables’ item includes no items with a remaining maturity of more than
one year (2021: zero).
Contents Notes to the company balance sheet ABP Annual Report 2022 158

Liabilities ABP’s position with respect to the capital requirement and minimum capital
requirement is included in the ‘Risk’ section.
3. Equity
An updated recovery plan submitted to DNB on March 31, 2023 shows that the
Specific General
capital requirement can be met within the prescribed term. No supplementary
reserve reserve Total
measures are required in 2023.
Opening balance 2021 978 -34,530 -33,552
Added from result - 87,377 87,377
With effect from 2010, ABP has formed a specific reserve for excess
Utilized -218 - -218
contributions received for the Purchase of Conditional Pension. The Purchase
of Conditional Pension annually gives rise to a difference between the
Closing balance 2021 760 52,847 53,607
actuarially assumed and the actual purchase, annually resulting in a gain
(loss) that is credited (debited) to this specific reserve. In 2022, this led to a
Opening balance 2022 760 52,847 53,607
withdrawal of €295 million from the specific reserve. As at December 30, 2022,
Added from result - - -
the final balance of this specific reserve was €465 million before the conditional
Utilized -295 -7,617 -7,912
pension was purchased in full. With this purchase, the purpose of this specific
Utilized VPL -459 - -459
reserve also ended and it amounted to zero at year-end. After completion of

Closing balance 2022 6 45,230 45,236 the purchase, a surplus of €6 million remained. This amount was added to a
new specific reserve, the purpose of which will be determined by the social
partners in 2023.
Equity consists of the specific reserve and the general reserve. The general
reserve is not only a source of funding for any setbacks but is also a funding This specific reserve is not taken into account in the calculation of the
source for future indexation. funding ratio.

Pursuant to the Financial Assessment Framework, pension funds are obligated Appropriation of net income (expense) for the year
to meet a capital requirement that is set on the basis of the pension fund’s risk The annual report was adopted on April 26, 2023 by the Board of the Stichting
exposure. The capital requirement at year-end 2022 was €119.4 billion, which Pensioenfonds ABP.
equates to 28.8% of the provision for pension liabilities. The law also obligates
pension funds to hold capital in excess of the minimum capital requirement. It was determined that €754 million be withdrawn from the specific reserves in
ABP’s standard minimum capital requirement equates to 4.2% of the provision respect of the appropriation of the net income (expense) for the year and that
for pension liabilities (2021: 4.2%). The minimum capital requirement at the the remaining €7.6 billion be withdrawn from the general reserve.
end of the fiscal year was €17.5 billion. A comprehensive explanation of
Contents Notes to the company balance sheet ABP Annual Report 2022 159

4. Provision for pension liabilities

Pension schemes
OP/NP AOP Risk Participants Total 2022 Total 2021

Opening balance 496,768 1,912 117 498,797 529,865

Add:
- pension accruals1 23,159 283 - 23,442 20,546
- change in respect of value transfers in 1,339 - - 1,339 211
- indexation 55,003 227 - 55,230 -
- change in actuarial assumptions 2,749 - - 2,749 -
- other movements 1,149 95 -44 1,200 1,468

Total additions 83,399 605 -44 83,960 22,225

Less:
- utilized for pension -13,609 -201 - -13,810 -12,864
- utilized for expenses -117 -5 - -122 -105
- change in respect of value transfers out -900 - - -900 -
- added interest -2,478 -10 - -2,488 -2,842
- result on actuarial assumptions -203 63 - -140 -702
- change in market interest rate -150,653 -379 - -151,032 -34,220
- change in actuarial assumptions - - - - -2,560
Total deductions -167,960 -532 - -168,492 -53,293

Closing balance 412,207 1,985 73 414,265 498,797

- of which, proprietary risk 414,193 498,680
- of which, participants' risk 73 117

1 In the pension accrual the extra accrual VPL of 4.027 is included

The provision for pension liabilities is calculated based on the nominal interest The provision for pension liabilities includes the impact of the transitional law
rate term structure published by DNB, using the ultimate forward rate (UFR) relating to the privatization of ABP (OPA). This provision is part of the neutral
method. The substitution interest rate derived from the interest rate curve was conversion of all existing and future pension rights carried out on the transition
2.57% (2021: 0.57%). from the ABP Act to the ABP pension scheme. Based on the pension fund’s
observations for 2021-2022, the annual update of the actuarial assumptions for
Contents Notes to the company balance sheet ABP Annual Report 2022 160

the determination of the provision for the impact of transitional law relating to for them at their risk and expense. The amount of €0.1 billion (2021: relating
the privatization of ABP (overgangsrecht privatisering ABP, OPA) has resulted to the ABP ExtraPensioen scheme that is presented as the participants’
in an increase in the provision for pension liabilities of €0.10 billion (2021: risk €0.1 billion) concerns the return obtained on the contributions. The
€0.13 billion). contribution to the ABP ExtraPensioen scheme is presented under the
provision for the pension fund’s risk and totaled €0.1billion at the end of the
The provision for participants’ risk comprises €0.1 billion for ABP ExtraPensioen fiscal year (2021: €0.1 billion).
(2021: €0.1 billion) and €12 million for ABP net pension scheme (2021:
€13 million). The liability to the participants in respect of the net pension The closing balance of the provision for pension liabilities relates to the
scheme (ABP Nettopensioen) is equal to the value of the investments made following categories:

Provision for pension liabilities

OP/NP AOP Participants' risk 31-12-2022 31-12-2021

Participants 194,648 - 73 194,720 253,848

Former participants 32,833 - - 32,833 42,611
Pensioners 184,726 1,986 - 186,712 202,338

Total provision for pension liabilities 412,207 1,986 73 414,265 498,797

The scheme for professional military personnel accounted for €11.3 billion indexation is subject to the requirement that the funding ratio must not fall
(2021: €13.9 billion) of the retirement pension/surviving dependents’ pension below 105% following the indexation. The Board’s ambition is to let pensions
(OP/NP) pension liabilities of €412 billion. The mark-up to cover costs relating increase in line with the development of prices, provided this is permitted
to the future granting of pensions and pension payments included in the by the fund’s financial position, and provided that the funding ratio does
provision totaled €2.8 billion (2021: €2.6 billion). The collection costs are not fall below 105% following the indexation. The realized price development
covered by mark-ups that have been factored into the contributions. for 2021 was 2.39%. The financial position at year-end 2021 did not permit
indexation as of January 1, 2022. The Board’s indexation ambition for 2021,
The General Administrative Order on Earlier Indexation (AMvB Eerder which proved infeasible as of January 1, 2022, is to provide indexation equal
indexeren) gives pension funds the option to provide early indexation. This to the price inflation for 2021 of 2.39%. Partly due to the strong improvement
is subject to the policy funding ratio being at least 105% and the indexation of the financial position in 2022 compared to 2021, the Board has decided
provided by the fund must not exceed the rate of wage or price inflation to increase the accrued pension rights and pension entitlements by 2.39% as
in 2022. The requirement of future-proof indexation does not apply when of July 1, 2022. The realized price development for 2022 is 11.96% (reference
the option under the General Administrative Order is used. However, early date August 31, 2022). The policy funding ratio on the reference date (October
Contents Notes to the company balance sheet ABP Annual Report 2022 161

31, 2022) was 118.1%. This was therefore higher than the statutory lower limit 5. Investment-related liabilities
of 105%. In November 2022, the Board decided to index the accrued pension
31-12-2022 31-12-2021
rights and pension entitlements as of January 1, 2023 by 11.96%.
Cash collateral received 5,316 14,977
The VPL entitlements purchased for beneficiaries have been recognized in Short positions 156 0
the OP/NP category. The retirement pension entitlements to be purchased Short-term borrowing 3,129 6,806

are only accrued once they have been funded. As at December 30, 2022, Derivatives 25,215 21,235

all VPL entitlements had been purchased. The VPL purchases are part of the
Total investment-related liabilities 33,816 43,018
pension accrual.

Occupational disability pensions based on the Invalidity Insurance Act (Wet

op de arbeidsongeschiktheidsverzekering, WAO) and the Work and Income Short-term borrowing of €3.1 billion (2021: €6.8 billion) included €1.1 billion
(Capacity for Work) Act (Wet werk en inkomen naar arbeidsvermogen, WIA) in repos (2021: €0.0). Repos relate to bonds and index-linked bonds. A fee
are presented under the occupational disability pension (AOP). This relates is charged for entering into repos. Cash is temporarily obtained to invest
to invalidity pensions (invaliditeitspensioenen, IP), redeployment allowances in accordance with strict guidelines for the purpose of generating additional
(herplaatsingstoelagen, HPT), and ABP occupational disability pensions returns to cover the non-return risk.
(ABP arbeidsongeschiktheidspensioenen, AAOP). For additional explanatory
information on the movement in the provision for pension liabilities, see the Collateral received relates to surety for opened transactions
notes to the company statement of income and expenses. (derivative positions).

The ‘General notes’ section includes a detailed explanation of the nature

of the various pension schemes included in the technical provision for
pension liabilities.
Contents Notes to the company balance sheet ABP Annual Report 2022 162

The short positions are specified as follows: Negative derivative positions are presented on the liabilities side of the balance
sheet, in accordance with Dutch Accounting Standards (Richtlijnen voor de
Short positions Jaarverslaggeving). The current value of the ‘derivatives’ item depends on
31-12-2022 31-12-2021
various factors, including securities prices, exchange rates and interest rates
Fixed income investments 156 - at year-end as compared with the security prices, exchange rates and interest
Other investments - 0 rates at the time the derivative positions were opened. A further explanation is
given in the note to derivatives with a positive value.
Total short positions 156 -

6. Payables and other liabilities

31-12-2022 31-12-2021
The negative derivative positions can be specified as follows:
Payables in respect of pensions 347 345
Derivatives with a negative current value Liability in respect of purchased conditional pensions - 2,951
31-12-2022 31-12-2021 Other payables 359 645
Currency derivatives
Forward currency contracts 210 2,193 Total other liabilities 706 3,941
Cross currency swaps - -

Interest rate derivatives The ‘payables and other liabilities’ item, which is part of ‘other payables’,
Interest Rate Swaps 23,910 17,034
includes items with a remaining maturity of more than one year totaling
Inflation linked swaps 273 1,037
€339 million (2021: €253 million).
Fixed-income futures 397 81
TBAs 57 3
The payables in respect of pensions include tax and social security
contributions totaling €339million (2021: €326 million).
Other derivatives
Credit default swaps 11 193
Other futures 357 694

Total derivatives with negative fair value 25,215 21,235

Contents Notes to the company balance sheet ABP Annual Report 2022 163

The liability in respect of purchased conditional pensions of €- million (2021:

€2,951 million) concerns the payable to the employers’ and employees’
organizations arising from the prefunding received and the return on the
associated risk-free investments. The prefunding concerns the spreading out of
the pension contributions over several years before the peak in the purchases
with regard to the VPL in 2022. As at December 30, 2022, all VPL entitlements
had been purchased. The movement in the fiscal year comprises:

Development of liability in respect of purchased conditional pensions

31-12-2022 31-12-2021

As at January 1st 2,951 2,044

Contributions received 1,183 925
Return -19 -18
Transfer to provision for pension liabilities -4,115 -

As at December 31 - 2,951
Contents Notes to the company balance sheet ABP Annual Report 2022 164

Off-balance sheet rights and obligations An intraday facility has been taken out with ABN-AMRO Bank NV for a total
of €7.3 billion (2021: €6.3 billion). An intraday facility has also been taken
Liabilities arising from investments out with ING for a total of €0.5 billion (2021: €0.5 billion). These facilities
The off-balance sheet liabilities and off-balance sheet assets concern had not been drawn at year-end 2022. No collateral was furnished for these
commitments entered into with respect to investments relating to capital agreements/facilities.
interests in investment subsidiaries and mutual funds managed by the
pension administrator. Liabilities have been entered into for other investments totaling €2.2 billion
(2021: €2.9 billion).
Liabilities entered into for real estate investments totaled €10.0 billion on the
balance sheet date (2021: €11.5 billion). Other liabilities
A long-term contract has been concluded with the pension administrator
Liabilities relating to shares have been entered into for private equity APG Groep NV for services comprising support for the Board, pension
investments to make deposits on request. These liabilities totaled €20.5 billion management and communication, and asset management in the context of the
on the balance sheet date (2021: €17.8 billion). administration of the pension schemes. APG Groep NV has in turn outsourced
the activities to its APG DWS en Fondsenbedrijf NV and APG Asset Management
Liabilities entered into for investments in investment funds totaled €2.5 billion NV subsidiaries.
on the balance sheet date (2021: €2.5 billion).
A fiscal entity comprising ABP, APG Groep NV, and APG Groep NV subsidiaries
Securities furnished as collateral were €0.6 billion (2021: € 0.0), and securities and second-generation subsidiaries has been formed for value-added tax
received as collateral were €0.0 billion (2021: €0.0). Securities totaling purposes. The companies in this fiscal entity are jointly and severally liable for
€0.5 billion have been deposited as initial margin (2021: €0.4 billion) were their tax liabilities.
received as collateral (bilateral initial margin).

Securities totaling €13.2 billion have been deposited as initial margin (2021:
€3.0 billion), and securities totaling €0.5 billion have been furnished as
collateral (bilateral initial margin) (2021: €0.4). Securities received from repos
totaled €2.8 billion (2021: €0.9 billion), and securities delivered for repos
totaled €1.1 billion (2021: €0.0 billion). Cash posted for initial margin relating
to derivatives totaled €0.6 billion (2021: €0.5 billion).
Contents Notes to the company statement of income and expenses ABP Annual Report 2022 165

Notes to the company statement

of income and expenses
Amounts are in millions of euros unless otherwise stated.

Revenue

7. Pension contributions (net)

Contributions by category
OP/NP AAOP Total 2022 Total 2021

Employers' contributions 9,032 199 4,115 13,346 9,096

Employees' contributions 3,677 85 - 3,762 3,624

Total contributions (gross) 12,709 284 4,115 17,108 12,720

Less: collection cost supplements
in contributions -95 -116

Net contributions 17,013 12,604

Contribution rates (in %): 25.90 0.73 26.63%

The above table presents a breakdown of the contributions from affiliated Gross contributions were approximately 38% higher in 2022 than in 2021,
employers and employees. It also states the contribution rates. These relate mainly due to the funding of VPL. The OP/NP contribution rate remained the
to what is referred to as the “moderated cost-covering cushioned contribution” same as in 2021.
plus any contribution mark-ups or mark-downs due, for example, to a recovery
plan or contribution discounts. The cost mark-up on the contributions serves in part to cover the collection
costs. The collection mark-up on OP/NP contributions was 0.20% of the OP/NP
contribution base in 2022 (2021: 0.25%).
Contents Notes to the company statement of income and expenses ABP Annual Report 2022 166

The pension fund had 3,459 affiliated employers/sub-employers at year-end The Pensions Act prescribes the quantification of the actual contribution, the
2022 (2021: 3,468), who pay the full contribution, including the employees’ moderated cost-covering contribution, and the unmoderated cost-covering
share. The total of the pension fund’s contributions relates to the actual contribution. The unmoderated contribution is calculated based on the interest
contribution set for the reporting year plus an estimate of the contribution yet rate term structure published by DNB, which corresponds to an average
to be set for the reporting year and the finalized difference between estimates nominal discount rate at the start of the year of 0.57% (2021: 0.19%).
as compared with the preceding reporting year. The pension fund did not grant
any contribution discounts in the meaning of the Pensions Act in 2022. The composition of the contributions referred to above is:

Composition of contributions
Damped, cost- Undamped, cost-
Actual covering contributions covering contributions

a. portion for vested liabilities 7,090 7,090 18,688

b. pension administration cost markup 95 95 95
c. solvency margin markup 1,865 1,865 4,915
d. portion for contingent liabilities (indexation) 2,623 2,623 -
e. markups/markdowns on the damped, cost-covering contributions 602 - -

Total amount of contributions 2022 12,275 11,674 23,698

Total amount of contributions 2021 11,844 11,502 25,112

The table shows that in 2022 the actual contribution was higher than the The coverage for costs incurred in granting pensions and paying pension
moderated cost-covering contribution and lower than the unmoderated cost- payments is included in the unconditional contribution portion (a).
covering contribution.
Contribution portion (c) for the solvency mark-up is based on the required
In the case of both the actual contribution and the moderated cost-covering funding ratio for the strategic investment mix at the start of 2022. The solvency
contribution, contribution portion (a) for unconditional liabilities is based on mark-up is 26.3% of the unconditional contribution portion (a).
the expected long-term nominal investment return, which is comparable to a
substitution interest rate of 4.2%. In both the actual contribution and the moderated cost-covering contribution,
contribution portion (d) for contingent (indexation) liabilities concerns the
Contribution portion (b) for the mark-up for pension management costs difference between the measurement of the pension accrual and risk
concerns the mark-up to the pension contributions to cover collection costs. coverages on the basis of the real yield curve (comparable to a substitution
interest rate of 2.2%) and the measurement of these components on the basis
Contents Notes to the company statement of income and expenses ABP Annual Report 2022 167

of the expected long-term nominal investment return plus the solvency mark- The actual contributions presented in the table differ from the ‘pension
up, as included in contributions portions (a) and (c). contributions (net)’ item stated under revenue. The difference is explained in
more detail in the table below:
Contribution portion (e) for mark-ups or mark-downs on the moderated
cost-covering contribution includes the difference between the moderated Reconciliation of pension contributions
Total 2022 Total 2021
contribution on the basis of the real yield curve of 2.2% and the actual
contribution on the basis of an estimated real return of 2.2%. In 2022, Pension contributions (net) 17,013 12,604
Actual contributions 12,275 11,844
ABP also applied a 1.5 percentage point contribution mark-up of and a
0.9 percentage point contribution phasing for the retirement pension (OP) /
Difference 4,738 760
surviving dependents’ pension (NP) contribution for citizens. This means that Regarding:
on balance, a 0.6 percentage point contribution mark-up is allocated to portion VPL purchase contributions 5,481 850
(e). In concrete terms, this contribution phasing means that the increase in the Utilized VPL -295 -
OP/NP contribution in 2022 will be postponed to 2023, when the purchase of Utilized financing VPL -459 -
Collection cost supplements in contributions -95 -116
conditional pension (IVP) contribution will cease.
Other 106 26

The comparison of the various portions of the contribution shows the effect of
damping and the effect of taking (with the moderated approach) or not taking
(with the unmoderated approach) account of expected investment yields. The difference between the VPL purchase contributions (€5,481 million) and
the net VPL contributions (€4,115 million) is due to the following items:
The minimum contributions to be received equate to the moderated cost- • an amount of €612 million related to VPL purchases during 2022. This
covering contribution plus the recovery mark-ups. The actual contributions are amount consists of the total contribution revenue for VPL (€1,800 million)
equal to this. less the addition to the payable for the purchase of conditional pension
rights (€1,188 million);
• a withdrawal of €295 million from the specific reserve related to VPL
purchases during 2022 (until December 30, 2022);
• a withdrawal of €459 million from the specific reserve related to the funding
of not yet purchased VPL as at December 30, 2022.
Contents Notes to the company statement of income and expenses ABP Annual Report 2022 168

8. Investment results (net)

Investment results (net)

Fixed-income
Real estate Equities investments Derivatives Other investments 2022 2021

Direct results 1,564 1,438 4,962 1,752 197 9,913 9,451

Indirect results -4,780 -26,804 -43,311 -34,307 3,186 -106,016 47,578
Asset management costs -172 -277 -141 -2 -87 -679 -609

Total investment
results (net) -3,388 -25,643 -38,490 -32,557 3,296 -96,782 56,420

The direct results comprise nominal interest income and dividends. The Result on derivatives
2022 2021
pension fund is exempt from dividend tax. The indirect results concern the
change in the current value of investments, including exchange rate gains/ Interest rate derivatives -29,440 -5,864
losses. The costs concern the sum total of the invoiced costs of the investments Currency derivatives -10,672 -11,964
in the name of ABP, the asset management costs invoiced by the pension Other derivatives 7,555 -1,571

administrator, and the costs of the Board. When the costs are distributed
between the various investment categories, those costs that are not directly Total result on derivatives -32,557 -19,399

attributable to an investment category are attributed pro rata to the invested

capital. The financial statements present solely the invoiced costs. Non-invoiced
costs are netted with the investment results. The ‘Asset management costs’ The loss on derivatives in 2022 is a consequence of the increase in interest
section of the Board report provides explanatory information on the sum total rates, leading to a decrease in the value of the interest rate derivatives, and a
of these costs. decrease of the US dollar price in euros, leading to a decrease in the value of
the currency derivatives (in particular with respect to the sale of US dollars).
The transaction costs have been netted with the investment results in the
financial statements. The transaction costs totaled €622 million in the fiscal
year (2021: €539 million). The ‘Asset management costs’ section of the Board
report includes a breakdown of the sum total of these costs.

The result on derivatives by type of derivative is presented below.

Contents Notes to the company statement of income and expenses ABP Annual Report 2022 169

Expenses 10. Movement in provision for pension liabilities

Total 2022 Total 2021

9. Pension payments
Pension accruals -23,442 -20,546
Pension payments by type Indexation -55,230 -
Total 2022 Total 2021 Added interest 2,488 2,842
OP/NP -13,489 -12,654 Utilized for pensions 13,810 12,864
AOP -223 -254 Utilized for pension administration costs 122 105
Change in market interest rate 151,032 34,220
Number of recipients as at year-end: Change in actuarial assumptions -2,749 2,560
OP/NP 949,946 927,350 Result on actuarial assumptions 140 702
AOP 47,371 47,422 Change in respect of value transfers -439 -211
Other movements in provision for pension liabilities -1,200 -1,468

Total movements in provision for pension liabilities 84,532 31,068

The ‘pension payments’ item relates to the retirement pensions (NP), surviving
dependents’ pensions (NP), and occupational disability pensions (AOP), with
the latter comprising the ABP occupational disability pension (AAOP), invalidity
pension (IP), and redeployment allowances (HPT). Below, the movement in the provision for pension liabilities is explained
by component.

Pension accrual
The ‘pension accrual’ item reflects the effect on the nominal pension liabilities
of one year’s additional service, the continuation of the active service
computation in the event of incapacity for work, and death.

Indexation
Indexation is charged to the statement of income and expenses when a Board
decision is made on or before the balance sheet date. The Board has decided
to increase the pensions by 2.39% as of July 1, 2022. The indexation of 2.39% is
included in the entitlements during the 2022 fiscal year. In addition, the Board
decided in November 2022 to grant an indexation of 11.96% as of January
Contents Notes to the company statement of income and expenses ABP Annual Report 2022 170

1, 2023. Both indexations lead to an increase in the provision for pension and the payment mark-up was 2.50% (2021: 2.50%) of the provision for
liabilities of €55.2 billion. occupational disability pensions.

Added interest Movements in market interest rate

The value of the pension liabilities increases annually due to the pension The interest rate term structure at year-end 2022 as published by DNB
accrual and any indexation provided, as well as the accrual of interest. The corresponds to a nominal interest rate of 2.57%. The interest rate term
interest accrual in the reporting year is calculated based on the one-year structure at year-end 2021 corresponded to a nominal interest rate of 0.57%.
interest rate from the nominal interest term structure at year-end of the
previous fiscal year, which was -0.49% (2021: -0.53%). The effect of the second step of the UFR change results in an increase in the
provision of €4.2 billion as of January 1, 2022 and is part of the movement in
The negative one-year interest rate from the nominal interest term structure market interest rate. At the aggregate level, the movement in the interest rate
at year-end of the previous fiscal year reduced the pension fund’s liabilities. term structure leads to a decrease in the provision for pension liabilities.
Therefore, when this interest rate is negative, the added interest is in
effect revenue. Change in actuarial assumptions
The ‘change in actuarial assumptions’ item relates to the following
Withdrawal for pension payments financial effects:
The provision for pension liabilities is determined by calculating the present • The transition to new flex factors (for bringing forward or deferring pension
value of the expected future pension payments on an actuarial basis, i.e. by payments) has been accounted for. The new flex factors were determined
taking into account the gain/loss due to the change in actuarial assumptions. on the basis of an discount rate of 2.0% (previously: 2.2%) and the new
The sum determined through this actuarial calculation is withdrawn from the GO1719 assumptions. This leads to a decrease of the provision for pension
provision each year to fund the actual pension payments to be paid that year. liabilities by €0.4 billion.
• Updating the R/N factors leads to a €0.1 billion increase of the provision
Withdrawal for pension management costs for pension liabilities. An R/N (Real/Notional) factor is the ratio between
The pension management costs, consisting of costs incurred in granting the actual annual payments to Appendix K and the notional entitlements.
pensions and paying pension payments, are covered by means of a withdrawal These entitlements are termed notional entitlements because, by contrast
from the provisions. The mark-ups as determined in the Actuarial Assumptions to regular retirement pension (OP) and surviving dependents’ pension
Study 2017-2019 applied to the withdrawal made in 2022. Accordingly, the (NP) entitlements, participants do not accrue entitlements for Appendix K.
OP/NP payment mark-up was 0.45% (2021: 0.45%) of the provision for That is because the amount of the supplement depends in part on the
pension liabilities, and the mark-up for costs incurred in granting pensions (concurrent) service years in the period up to 1995. This period of service
was 0.40% (2021: 0.40%) of the provision for deferred pension liabilities, the is converted into a ‘notional entitlement’ to enable the measurement of the
occupational disability pension collection mark-up was 0.00% (2021: 0.00%) provision for Appendix K on the basis of present value factors.
Contents Notes to the company statement of income and expenses ABP Annual Report 2022 171

• The updating of the Royal Dutch Actuarial Association mortality projection • Administrative (retroactive) adjustments lead to an increase of the provision
(AG2022) leads to a €3.0 billion increase in the provision for pension for pension liabilities by around €0.25 billion.
liabilities. Life expectancy is rising faster than assumed in projection table
AG2020. The increase in life expectancy is due to the addition of European 11. Coverage from cost mark-up on pension contributions
data from 2019 to the Forecasting Model AG2020 and the improvement of
2022 2021
the closing methodology.
Coverage from cost mark-up on pension contributions 95 116
Gain/loss due to change in actuarial assumptions
The gain/loss due to the change in actuarial assumptions largely relates to the
transition to the AG2022 mortality projection table. The coverage from the cost mark-up on pension contributions serves to fund
the collection costs. The collection mark-up on OP/NP contributions was 0.20%
Change in respect of transfer of rights of the OP/NP contribution base (2021: 0.25%).

2022 2021
12. Value transfers
Value transfers out 900 30
Value transfers in -1,339 -241 2022 2021

Value transfers In 1,399 284

Total change in respect of value transfers -439 -211 Value transfers out -919 -42

Total net value transfers 480 242

Other movements in provision for pension liabilities

The Other movements are primarily due to:
• Improved actuarial valuation due to the transition to Innovation of Year-end Both the value transfers in and the value transfers out increased in comparison
Reporting (Jaarwerk Vernieuwing). This leads to an increase in the provision with 2021. The positive result on value transfers is due to the fact that the
for pension liabilities by approximately €0.4 billion. interest on value transfers in 2022 was lower than the interest on changes in
• Non-regular benefits. The non-regular benefits amounted to €286 million the provision. From November 1, 2021, ABP’s funding ratio once again allowed
in 2022 and can mainly be attributed to retroactively granted benefits or individual value transfers in and value transfers out. However, the funding ratio
subsequent payments. is not relevant for value transfers in and value transfers out for small pensions
• With the Grip on Data project, the combination of new data submission, of between €2 and €503.24 gross a year, and value transfers in and out are
adjustment of interest rate term structure and indexation leads to therefore permitted even when the funding ratio is too low to allow for regular
a decrease in the provision for pension liabilities by approximately value transfers.
€0.2 billion.
Contents Notes to the company statement of income and expenses ABP Annual Report 2022 172

13. Pension administration costs (net) Executive Office Management

Total 2022 Total 2021
2022 2021 HJ van Wijnen - 282,245
Salaries (including social security charges) -8 -8 RLS Verjans - 274,700
Pension charges -1 -1
Other staff costs -1 -1
Depreciation -7 -16 Since the governance change in effect as of January 1, 2022, ABP has an
Third-party services, pension administration -195 -145 Executive Board instead of an Executive Office. For more information, see the
Third-party services, asset management -551 -493
‘Remuneration’ section . The average number of staff was:
Third-party services, other -20 -20
Other operating expenses -9 -8
Average number of staff
2022 2021
Subtotal -792 -692
Full-time equivalents 39 41
Less: income from work on behalf of third parties 20 15
Individual employees 40 42
Less: attributed to asset management costs 574 521

Pension administration costs (net) -198 -156

The staff participate in ABP’s pension scheme. ABP, in its role as employer, is
not obligated to pay supplementary contributions in the event of deficits other
than the annual contributions. This means that recognizing the contribution as
The directors’ remuneration and salaries include the amounts paid in 2022 to an expense suffices.
Board members, (external) members of fund bodies and employees of ABP.
ABP has opted to voluntarily apply the Senior Officials in the Public and Semi- 14. Other income and expenses
Public Sector (Standards for Remuneration) Act (Wet Normering Topinkomens,
2022 2021
WNT) for the remuneration of its Board members as of January 1, 2022. The
WNT does not apply to ABP employees. The other operating expenses relate Other income 277 10
primarily to accommodation and regulatory costs. Other expenses -7 -221

The cost increase in 2022 is mainly due to the investments to improve our Total other income and expenses 270 -211

administration and data quality through the Grip on Data (GoD) program and
the preparations for the NPC, which is now taking shape and requires a lot of
capacity from both ABP as APG. Other income mainly relates to the write-down of the payable related to the
Grip on Data (GoD) program.
Contents Notes to the company cash flow statement ABP Annual Report 2022 173

Notes to the company cash flow statement

Amounts are in millions of euros unless otherwise stated.

The breakdown of the ‘cash’ item is as follows: Cash flow from investment activities

31-12-2022 31-12-2021
The cash flow statement presents cash flows from direct investment revenue
Investments 2,493 1,252 and exchange rate gains/losses on bank accounts.
Cash 446 276
The ‘other movements’ item arises from a number of effects, including
Total cash 2,939 1,528 movements in the ‘negative bank account balances’ item, movements
in the short-term money market products, effects of exchange rate
differences, internal recharges, and the look-through methodology used in the
investment pools.
Cash flow from pension activities

The contributions received in the cash flow statement comprise contributions

totaling €11,810 million, as well as the contributions received in respect of the
payable for the purchase of conditional pension rights totaling €1,183 million.
The difference with the net contributions according to the statement of income
and expenses is the purchased VPL in the amount of €4,115 million.

The increase in the contributions received in 2022 is largely due to the growth
in the number of participants, as well as due to the 2 percentage point
increase in the retirement pension (OP) / surviving dependents’ pension (NP)
contributions compared with 2021.

The increase in the pension payments paid is mainly due to a higher average
amount per beneficiary (due to early indexation).

The ‘other movements’ item mainly concerns internal recharges.

Contents Other notes to the company financial statements ABP Annual Report 2022 174

Other notes
Actuarial analysis

Notes 2022 2021 Notes 2022 2021

Result on contributions Pension administration costs (net) 13 -198 -156

Pension contributions (net) 7 17,013 12,604 Utilized to cover pension administration costs out
Pension accruals 10 -23,442 -20,546 of the provision for pension liabilities 10 122 105
Collection cost supplements in
pension contributions 11 95 116
Subtotal -6,429 -7,942
Results on interest
Subtotal 19 65
Investment results (net) 8 -96,782 56,420
Other results
Interest charges on investment-related liabilities -69 -16
Result on actuarial assumptions 10 140 702
Added interest 10 2,488 2,842
Other income and expenses 270 -211
Change in market interest rate 10 151,032 34,220
Value transfers 12 480 242
Change in provision for pension liabilities in
Subtotal 56,669 93,466
respect of value transfers 10 -439 -211
Results on indexations
Change in actuarial assumptions 10 -2,749 2,560
Indexation 10 -55,230 -
Other movements in provision for
pension liabilities 10 -1,200 -1,468
-55,230 -
Result on pensions
Subtotal -3,498 1,614
Pensions 9 -13,712 -12,908
Utilized for pensions out of the provision for
Total result = net gains and losses -8,371 87,159
pension liabilities 10 13,810 12,864

Subtotal 98 -44
Result on expenses
Contents Other notes to the company financial statements ABP Annual Report 2022 175

Remuneration bonuses, loans, advances, or guarantees.

Remuneration must be suitable for the social financial institution ABP and
must be explainable to the outside world. Members of the Board receive Remuneration of Non-Executive Board members
remuneration for their activities. ABP has opted to voluntarily apply the Senior
2022 20211
Executives in the Public and Semi-Public Sector (Standards for Remuneration)
Act (Wet Normering Topinkomens, WNT) for the remuneration of its Board C.M. Wortmann-Kool (chairman) 123,120 130,000
members as of January 1, 2022. The remuneration received by members of the A. Boonen2 71,821 97,280
Executive Board of ABP is subject to a maximum corresponding to the WNT M. Doornekamp (until 10-1-2021) - 67,500

standard. The remuneration is based on the remuneration policy adopted by

1 P. Fey2 71,821 90,000

the Board and on which the Accountability Body has issued advice. A. Gram (from 6-1-2021) 71,821 52,500
M. Ten Kroode (from 11-15-2022) 8,978 -
The remuneration policy is based on fixed remuneration determined on the
V. van der Meer-Gangapersadsing (from 4-1-2022) 53,865 -
basis of the time invested in the ABP Board or other position. The independent
C.M. Mulders-Volkers 71,821 90,000
Chair receives a fixed remuneration based on an agreement for services. This
K. Nauta 71,821 90,000
fixed remuneration is based on the number of days on which the independent
P. Rosenmöller (from 12-1-2021) 71,821 7,500
Chair is active for the Board. The fixed remuneration amounts to €123,120
A.J.M. Sibbing 71,821 97,280
on an annual basis for a three-day working week based on 95% of the WNT
A. Slager (from 6-1-2022) 41,895 -
standard. Non-Executive Board Members receive a fixed remuneration of
M. Snel (until 9-1-2021) - 60,000
€71,821 per year for a time commitment of 1.75 days per week based on 95%
P..A Stork (until 1-1-2022) - 90,000
of the WNT standard. No social security or pension accrual is linked to the X.J. den Uyl 71,821 90,000
remuneration of the Chair and the Non-Executive Board members. A. van Vliet 71,821 92,720
J.P.C.M. van Zijl (until 4-9-2021) - 27,198
The members of the Executive Board are employed by the pension fund and
receive a salary, including WNT-related personnel and pension charges, of Total remuneration Non-Executive Board 874,245 1,081,978
€216,000 on an annual basis for full-time employment based on 100% of the
WNT standard. 1 The 2021 figures are not adjusted to the WNT
2 fees paid to the appointing bodies
Indexation of the remuneration of the members of the Board is dependent
on the development of the WNT. The members of the Board did not receive The WNT is applied with effect from January 1, 2022. The remuneration shown
for the Non-Executive Board members for 2021 is still based on the policy

1 It is important to note that in the context of the WNT, the members of the Non-Executive Board are not regarded as members of a supervisory body, but as general directors
(algemeen bestuurders).
Contents Other notes to the company financial statements ABP Annual Report 2022 176

applicable at that time. explained in the table below, and non-WNT-related personnel expenses,
amounts to €670,328. The non-WNT-related personnel expenses consist of a
number of social security and pension contributions and untaxed expense
The remuneration of the Executive Board members, which consists of the allowances that are not subject to the WNT.
remuneration plus taxable expense allowance per individual director, as

Remuneration of Executive Board members

Total remuneration Total

Remuneration plus taxable remuneration plus
plus taxable expense taxable expense
expense allowance (Allowed) Excess allowance 2022 allowance 20211

H.J. van Wijnen (chair from 1-1-2022) 216,000 2,0812 218,081 -

D.F. Dijkhuis (from 1-1-2022) 216,000 - 216,000 -
Y.E.M. Verdonk - van Lokven (from 2-1-2022) 198,000 - 198,000 -

Total remuneration Executive Board 630,000 2,081 632,081 -

1 As of 1-1-2022 ABP has a changed governance structure and introduced an Executive Board. Therefor no 2021 figures are available for the Executive Board members.
2 Allowed excess of WNT limit caused by redemption of holiday payment of prevoius employment.

Members of fund bodies (including external members) The members of the fund bodies listed in the left-hand table do not sit on the
Board, with the exception of the chair of the Appeals Committee and three
in € 2022 2021
of the six members of the Audit Committee. The external members of the
Audit Committee 52,938 - Audit Committee receive fixed remuneration of €17,750 per year. All members
Appeals Committee 39,915 37,545 of the Appeals Committee receive fixed remuneration of €4,977 per year and
Accountability Body 242,338 253,289 remuneration per hearing day of €386. The remuneration for the chair of the
Supervisory Board - 130,000 Appeals Committee is not part of the WNT remuneration for an ABP Board
member. The members of the Accountability Body receive an allowance of
Total remuneration of members of fund bodies
€326 per consultation meeting with the Board or for separate and independent
(including external members) 335,191 420,834
meetings and €163 per committee meeting.
Contents Other notes to the company financial statements ABP Annual Report 2022 177

Related-party transactions

Related-party transactions take place at arm’s length. The remuneration of the

Board is explained in the ‘Remuneration’ section.

ABP is the lessor of part of the APG business premises, which is leased
at market level. The yield was € €5.9 million in the reporting year (2021:
€6.5 million) and will be €3.2 million in 2023.

Stichting Pensioenfonds ABP, APG Groep NV, APG DWS and Fondsenbedrijf NV,
APG Asset Management NV, APG Trading BV, as well as Entis Holding BV and
Entis BV jointly form a fiscal entity for value-added tax purposes.
Contents Other notes to the company financial statements ABP Annual Report 2022 178

List of mutual funds managed by the pension administrator

The majority of the invested assets have been placed in mutual funds
managed by the pension administrator in which ABP participates. These mutual
funds are:

Mutual funds

– APG Alternative Credits Legacy Pool – APG Long Duration Treasury Pool1
– APG Developed Markets Equity Pool (to September 2022) – APG Infrastructure Pool 2011
– APG Emerging Markets Debt Pool (to June 2022) – APG Infrastructure Pool 2012
– APG Emerging Markets Equity Pool – APG Infrastructure Pool 2014
– APG Euro Plus Treasuries Pool 1
– APG Infrastructure Pool 2016
– APG Fixed Income Credits Pool – APG Infrastructure Pool 2017
– APG Hedge Funds Pool – APG Infrastructure Pool 2017 II
– APG Index Linked Bonds Pool1 – APG Infrastructure Pool 2020-2021
– APG Private Equity Pool 2009 – APG Strategic Real Estate Pool
– APG Private Equity Pool 2010 – APG Tactical Real Estate Pool (to January 2022)
– APG Private Equity Pool 2012
– APG Private Equity Pool 2013
– APG Private Equity Pool 2014-2015
– APG Private Equity Pool 2016-2017
– APG Private Equity Pool 2018-2019
– APG Private Equity Pool 2020-2021
– APG Private Equity Pool 2022-2023
– APG Opportunities Pool 2012

1 Only investments ABP Netto Pensioen in mutual funds

Contents Consolidated financial statements ABP Annual Report 2022 179

Consolidated balance sheet

After appropriation of net income (expense) for the year

Note 31-12-2022 31-12-2021 Note 31-12-2022 31-12-2021

Assets Capital and liabilities

Real estate 74,842 77,270 Group equity 3 45,281 53,659

Equities 172,078 225,984
Fixed-income investments 185,322 218,713 Provision for pension liabilities 4 414,265 498,797
Derivatives 23,871 34,234
Other investments 34,478 35,493 Collateral received 5,316 14,977
Short positions 156 -
Investments 1 490,591 591,694 Short-term borrowing 1,817 1,077
Derivatives 25,215 21,235
Other assets 2 2,425 2,260
Investment-related liabilities 5 32,504 37,289

Payables and other liabilities 6 966 4,209

Total assets 493,016 593,954 Total capital and liabilities 493,016 593,954
Contents Consolidated financial statements ABP Annual Report 2022 180

Consolidated statement of income and expenses

in € mln Note 2022 2021

INCOME
Contributions (net) 7 17,013 12,604

Investment results (gross) -96,203 56,954

Less: asset management costs -536 -508

Investment results (net) 8 -96,739 56,446

Total income -79,726 69,050

EXPENSES
Pensions and other benefits 9 -13,712 -12,908
Total movements in provision for
pension liabilities 10 84,532 31,068
Collection cost supplements in
pension contributions 95 116
Value transfers 11 480 242
Pension and insured benefit administration
costs (net) 12 -220 -180
Interest charges on investment-related liabilities -88 -18
Other income and expenses 269 -211

Total expenses 71,356 18,109

Balance of income and expenses -8,370 87,159

Total direct movements in the pension

fund capital -5 -1

Comprehensive result -8,375 87,158

Contents Consolidated financial statements ABP Annual Report 2022 181

Consolidated cash flow statement

in € mln Note 2022 2021 in € mln Note 2022 2021

Opening balance of cash 2,095 1,849 Cash flows from investment activities:
Movements - repayments and sales of investments 170,194 102,318
Cash flows from pension and insurance activities: - advances and purchases of investments -144,936 -65,025
- contributions received 12,993 12,720 - direct investment income 8,181 5,515
- value transfer payments received 11 1,395 284 - indirect realized results from derivatives and
- pensions and other benefits paid 9 -13,712 -12,908 results on exchange -22,457 -11,103
- value transfer payments made 11 -919 -42 - investment expenses paid -633 -591
- operating expenses paid -202 -154 - collateral received -9,522 -10,515
- other movements 565 78 - other movements 414 -20,331

Cash flow from pension and Cash flow from investment activities 1,241 268
insurance activities 120 -22
Closing balance of cash 3,456 2,095
Contents General notes to the consolidated financial statements ABP Annual Report 2022 182

Notes – general
Accounting policies – general collateral included in the value of these units are recognized separately in the
balance sheet (pursuant to RJ 610.211).
The accounting policies applied for the company financial statements are
identical to those applied for the consolidated financial statements and these
are binding on group companies and other consolidated entities. Principles for the measurement of assets and liabilities

Below we explain the basis for consolidation and the accounting policies for the Other assets
additional items presented in the balance sheet and statement of income and The intangible assets included in the ‘other assets and liabilities’ item are
expenses as a result of the consolidation. carried at acquisition price less straight-line amortization, where applicable,
taking account of any impairment losses. The amortization period is based
on the expected economic cost recovery period. The identifiable assets and
Basis for consolidation liabilities of an acquired company are recognized in the balance sheet at
current value on the acquisition date. Goodwill arising on acquisition is
Capital interests (other than investments) in entities where control can be measured on first recognition as the difference between the acquisition price
exercised over management decisions and financial policy are recognized in and the current value of the identifiable assets and liabilities.
the consolidated financial statements by applying the integral consolidation
method. Intercompany transactions and underlying financial liabilities are Derivative positions held by subsidiaries and second-generation subsidiaries
eliminated. Consolidation goes beyond the legal form of the capital interest other than positions opened in the context of investments are measured at
and provides direct insight into the financial position of the entire group. Joint cost using the cost price hedge accounting method.
ventures are recognized as capital interests.

The direct capital interests and most significant capital interests included in the
consolidation are listed in the ‘Other notes’ section.

The values of units in mutual funds are recognized under the applicable
investment categories. In accordance with the Dutch Accounting Standard for
Pension Funds (RJ 610), the positive and negative derivative positions, short-
term borrowing positions, short positions, and liabilities arising from received
Contents General notes to the consolidated financial statements ABP Annual Report 2022 183

Payables and other liabilities

The provision for deferred taxes included under provisions relates to the
deferred tax liabilities arising from temporary differences between the carrying
values and tax bases of assets and liabilities. The calculation takes account of
rates in effect in future years in so far as these have already been set. The
provision is measured at current value.

Other provisions are measured at the present value of the expected future
expenditure, taking account of actuarial assumptions, where applicable. The
discount rate used is based on the year-end interest rate for investment-grade
Dutch corporate bonds, taking account of the remaining term of the provisions.
The discount rate for provisions with an expected term of longer than 15 years
is based on the interest rate for long-term government bonds.
Contents Risk section of the consolidated financial statements ABP Annual Report 2022 184

Risk section
The risks to which ABP is exposed as a pension fund are explained in the notes The mutual funds are investment pools without legal personality in which
to the company financial statements. The consolidated financial statements participants acquire rights in proportion to their investment. Participants do
also show the financial positions of the entities in the group consolidated with not have control or policy-making influence in respect of each other’s assets.
the integral consolidation method. These relate, in essence, to the pension All participants can withdraw from the mutual fund in accordance with rules
administrator, capital interests in which investments are placed, and APG specified in advance in the mutual fund documents. The values of units in
Liquiditeitenbeheer BV (hereinafter ‘APG LB’). mutual funds are recognized under the applicable investment categories. In
accordance with the Dutch Accounting Standard for Pension Funds (RJ 610),
The following section, which supplements the risk section in the company the positive and negative derivative positions, short-term borrowing positions,
financial statements, provides information on the consolidation of APG LB, the short positions, and liabilities arising from received collateral included in the
effect of the consolidation on the balance sheet and the associated risk profile, value of these units are recognized separately in the balance sheet (pursuant to
as well as the specific risks of APG LB. RJ 610.211).

General Effect on the balance sheet and the associated risk profile

Since December 2017, surpluses of the mutual funds are placed with APG LB In 2022, the effect of the consolidation on the balance sheet and the associated
and deficits of the mutual funds are supplemented by APG LB by means of risk profile was largely caused by APG LB. The consolidation of APG LB resulted
deposits. APG LB transfers these surpluses and deficits to the pension funds. in an increase in the ‘investments’ and ‘investment-related liabilities’ items.

The shares in APG LB are held by the mutual funds’ custodians. The consolidation of APG LB does not result in a materially different risk profile
in comparison with the company balance sheet, as the task is to place mutual
As ABP has indirect control of APG LB, this company must be included in fund surpluses with APG LB and to have mutual fund deficits supplemented by
the consolidation. APG LB by means of deposits. APG LB then transfers these deposits to ABP and
the other participating pension funds. APG LB conducts transactions only with
This consolidation involves the elimination of the positions in APG LB held participating mutual funds and pension funds.
directly by ABP and indirectly through the mutual funds.
Contents Notes to the consolidated balance sheet ABP Annual Report 2022 185

Notes to the consolidated balance sheet

Amounts are in millions of euros unless otherwise stated.

Assets

1. Investments

Fixed-income Other
Real estate Equities investments Derivatives investments Total 2022 Total 2021

Opening balance of investments 77,270 225,984 218,713 34,234 35,493 591,694 551,614
Granted/bought 19,996 117,057 103,530 - 5,115 245,698 138,489
Repaid/sold -16,479 -145,283 -91,691 - -15,490 -268,943 -172,742
Change in value1 -4,897 -26,918 -43,498 - 3,682 -71,631 70,206
Other movements -1,048 1,238 -1,732 -10,363 5,678 -6,227 4,127

Closing balance of investments 74,842 172,078 185,322 23,871 34,478 490,591 591,694

1 Including movements up to the time of disposal.

Investments are presented inclusive of the associated receivables, cash, and The values of units in mutual funds are recognized under the applicable
payables. Investments can be held directly or indirectly through units in the investment categories. In accordance with the Dutch Accounting Standard for
mutual funds established by the pension administrator. Pension Funds (RJ 610), the positive and negative derivative positions, short-
term borrowing positions, short positions, and liabilities arising from received
The ‘other movements’ item includes movements in the receivables, cash, collateral included in the value of these units are recognized separately in the
and payables associated with the investments and the movements in the balance sheet (pursuant to RJ 610.211).
derivative positions.
Contents Notes to the consolidated balance sheet ABP Annual Report 2022 186

The closing balance of the investments totaling €490.6 billion (2021: The ‘current account bank balances’ item includes balances of margin accounts
€591.7 billion) can be broken down as follows: held in connection with future positions totaling €0.6 billion (2021: €0.5 billion).
These balances are not freely disposable.
31-12-2022 31-12-2021

Listed 316,837 404,579 The payables, accruals and deferred income under investments include bank
Unlisted 173,754 187,115 account debit balances totaling €1.1 billion (2021: €1.2 billion).

Investments for participant schemes are an integral part of the investments.

The closing balance of the investments totaling €490.6 billion (2021:
€591.7 billion) includes: Breakdowns
The following tables present breakdowns of the investments by class, region,
31-12-2022 31-12-2021
and currency (all in million euros). The currency table does not include the
Receivables, prepayments and accrued income 961 1,055 ‘derivatives’ item, as this is presented in a separate table together with
Collateral paid 6,421 2,489 derivatives with a negative current value and short positions.
Short-term lending (including CIS short-term
cash positions) 16,970 17,885
Current account bank balances 2,494 1,254
Payables, accruals and deferred income -4,527 -2,450

Net assets included in current investments 22,319 20,233

Contents Notes to the consolidated balance sheet ABP Annual Report 2022 187

Investments by category
Fixed-income Derivatives: Other
Real estate Equities investments positive investments 31-12-2022 31-12-2021

Basic materials 12 8,094 787 400 1,700 10,993 14,236

Mortgages etc. - - 13,521 11 - 13,532 17,812
Real estate 42,384 3,040 336 - - 45,760 55,294
Utilities 1,432 3,875 2,535 - 60 7,902 8,094
Telecommunications 3,357 3,439 2,987 - - 9,783 11,376
Healthcare 225 19,196 2,186 - 5 21,612 27,007
Luxury goods 2,739 18,686 2,505 - 5 23,935 32,535
Energy 8,994 2,425 - 232 4,214 15,865 17,201
Manufacturing 15,030 16,277 2,770 - - 34,077 39,169
Financial institutions 113 38,135 22,616 23,033 27,157 111,054 132,812
Convenience goods - 12,549 1,067 46 1,222 14,884 17,615
Information technology - 46,323 911 - - 47,234 70,288
Public authorities 556 39 133,101 149 115 133,960 148,255

Total investments 74,842 172,078 185,322 23,871 34,478 490,591 591,694

Investments by region
Fixed-income Derivatives: Other
Real estate Equities investments positive investments 31-12-2022 31-12-2021

Netherlands 4,402 3,425 12,388 7,046 4,001 31,262 28,201

Rest of EMU 16,585 17,138 77,893 13,557 8,199 133,372 164,118
Rest of Europe 13,116 12,513 17,204 2,533 7,980 53,346 62,138
North America 23,182 96,365 54,361 716 11,638 186,262 240,013
Asia/Pacific 16,108 38,866 12,298 19 2,124 69,415 80,802
Other 1,449 3,771 11,178 - 536 16,934 16,422

Total investments 74,842 172,078 185,322 23,871 34,478 490,591 591,694

Contents Notes to the consolidated balance sheet ABP Annual Report 2022 188

Investments by currency, excluding derivatives

Fixed-income
Real estate Equities investments Other investments 31-12-2022 31-12-2021

Euro 24,356 21,176 99,691 17,800 163,023 176,174

US dollar 25,711 96,088 58,589 14,516 194,904 245,928
Sterling 7,786 4,377 7,286 455 19,904 28,901
Chinese Yuan 1,462 10,968 1,414 1 13,845 15,808
Yen 795 6,683 -2 -6 7,470 11,307
Australian dollar 4,706 1,930 972 1,373 8,981 9,340
Taiwan dollar - 4,212 - - 4,212 6,471
Hong Kong dollar 4,309 956 - 59 5,324 5,661
Indian Rupee 705 4,542 111 10 5,368 5,851
Canadian dollar 136 2,218 1,242 151 3,747 5,420
Korean Won - 3,494 70 1 3,565 5,305
Swiss franc 220 2,723 78 6 3,027 4,178
Other 4,656 12,711 15,871 112 33,350 37,116

Total 74,842 172,078 185,322 34,478 466,720 557,460

Contents Notes to the consolidated balance sheet ABP Annual Report 2022 189

Derivatives and short positions by currency

Derivatives: Derivatives:
positive negative Short positions 31-12-2022 31-12-2021

Euro 165,540 -31,718 - 133,822 182,075

US dollar -115,445 7,219 -156 -108,382 -132,441
Sterling -19,144 4,943 - -14,201 -20,551
Chinese Yuan 215 -102 - 113 185
Yen 668 -4,467 - -3,799 -6,320
Australian dollar -4,286 -142 - -4,428 -4,942
Taiwan dollar - - - - -1
Hong Kong dollar -63 7 - -56 -178
Indian Rupee - 58 - 58 17
Canadian dollar -2,722 -12 - -2,734 -2,628
Korean Won 48 -1 - 47 48
Swiss franc -2,012 -163 - -2,175 -2,524
Other 1,072 -837 - 235 259

Total 23,871 -25,215 -156 -1,500 12,999

The division between ‘Derivatives positive’ and ‘Derivatives negative’ in the

currency table is partly influenced by the currency hedging positions. These
positions are a snapshot. A forward currency contract is a contract to buy or
sell a given amount of a currency at an agreed exchange rate on an agreed
future date. Buying increases the currency position and selling decreases the
position. Both positions are presented in the above table. The final balances
are in part dependent on exchange rate movements since the conclusion of
the contract.
Contents Notes to the consolidated balance sheet ABP Annual Report 2022 190

Notes by investment category Equities investments comprise:

Real estate investments encompass investments in:
Investments in equities
31-12-2022 31-12-2021
Real estate investments
31-12-2022 31-12-2021 Developed markets 96,083 141,208
Residential property 13,795 14,783 Emerging markets 32,403 39,747
Offices 5,286 7,165 Private equity 43,175 44,340
Retail property 9,616 10,551 Other assets and liabilities 417 689
Industrial buildings 9,918 12,469
Hotels 2,870 2,200 Total investments in equities 172,078 225,984
Other 8,836 8,863

Total investment properties 50,321 56,031 Private equity investments relate to equities in unlisted companies in sectors
including the venture capital sector. Indirect investments totaled €7.1 billion
Industrial companies 9,998 8,938
(2021: €7.2 billion), and direct investments totaled €36.1 billion (2021:
Energy 8,994 8,026
Telecommunications 3,357 2,381 €37.1 billion).
Other 2,172 1,894
Fixed-income investments comprise:
Total infra investments 24,521 21,239

Fixed-income investments
31-12-2022 31-12-2021

The ‘other’ item includes other assets and other liabilities relating to Government bonds 124,145 140,295
Corporate bonds 36,921 45,773
investments totaling €69 million (2021: €152 million).
Mortgage loans 11,810 14,884
Mutual funds 7,671 7,359
Index bonds 313 767
Private loans and bank loans 1,968 3,061
Other investments 271 1,104
Other assets and liabilities 2,223 5,470

Total fixed income investments 185,322 218,713

Contents Notes to the consolidated balance sheet ABP Annual Report 2022 191

The short position at year-end 2022 was €156 million (2021: €0 million). The The creditworthiness of fixed-income investments is usually expressed in terms
balance at year-end 2022 is recognized under the ‘investment-related liabilities’ of a credit rating.
balance sheet item.
The ratings of the fixed-income investments can be specified as follows:
The breakdown of the ‘fixed-income investments’ item by coupon rate is
as follows: Ratings of fixed-income investments
No
AAA AA A BBB <= BB rating Total
Breakdown of fixed-income investments by coupon rate
31-12-2022 31-12-2021 2022 36% 27% 11% 13% 9% 4% 100%
2021 33% 28% 11% 14% 11% 3% 100%
< 0% 7 848
0%-1% 35,782 52,037
1%-2% 32,327 38,819
2%-3% 34,644 34,116
3%-4% 24,244 28,180 This table shows that 74% (2021: 72%) of the fixed-income investments have a
4%-5% 27,888 31,061 rating of A or higher.
> 5% 22,759 26,293
No coupon 7,671 7,359 The duration of fixed-income investments is often used to provide an insight
into the cash flows. The duration is the average weighted maturity of all
Total fixed-income investments 185,322 218,713
cash flows (interest and principal redemptions) relating to the fixed-income
products. The duration of the fixed-income investments is approximately 9
years (2021: approximately 10 years).
The remaining term to maturity of the fixed-income investments as determined
by the contractual redemption dates can be presented as follows:

Breakdown of fixed-income investments by maturity

31-12-2022 31-12-2021

Shorter than one year 6,315 8,901

Between one year and five years 39,801 38,147
Longer than five years 131,535 164,306
No maturity 7,671 7,359

Total fixed-income investments 185,322 218,713

Contents Notes to the consolidated balance sheet ABP Annual Report 2022 192

The breakdown of derivatives with a positive current value is as follows: Other investments
31-12-2022 31-12-2021

Derivatives Other investments 34,478 35,493

31-12-2022 31-12-2021

Currency derivatives
Forward currency contracts 5,950 467 Other investments relate to investments in hedge fund strategies in the
amount of €8.0 billion (2021: €17.7 billion). This item also includes investments
Cross-currency swaps - - of €6.8 billion in commodities (2021: €3.9 billion). The carrying amount of
Interest rate derivatives other assets and other liabilities relating to investments included in the ‘other
Interest Rate Swaps 16,645 31,723
investments’ item was €19.6 billion (2021: €13.9 billion).
Inflation linked swaps 100 758
Fixed-income futures 149 98
TBAs 11 7

Other derivatives
Credit default swaps 44 14
Other swaps - -
Other futures 972 1,167

Total derivatives with positive fair value 23,871 34,234

Negative derivative positions are presented on the liabilities side of the balance
sheet, in accordance with Dutch Accounting Standards (Richtlijnen voor de
Jaarverslaggeving). The current value of derivatives depends on various factors,
including securities prices, exchange rates and interest rates at year-end as
compared with the security prices, exchange rates and interest rates at the
time the derivative positions were opened.
Contents Notes to the consolidated balance sheet ABP Annual Report 2022 193

2. Other assets The ‘buildings’ item comprises buildings with an estimated economic life of
30 years and plant and equipment with an estimated economic life of 15
31-12-2022 31-12-2021
years. The ‘other’ item relates to furniture, equipment and furnishings with an
Participating interests 1 2 estimated economic life of between five and ten years, and computers with an
Intangible assets 1 2 economic life of between four and five years.
Tangible assets 100 92
Receivables, prepayments and accrued income 1,361 1,324 The receivables, prepayments and accrued income comprise:
Cash 962 841

Receivables, prepayments and accrued income

Total other assets 2,425 2,261 31-12-2022 31-12-2021

Receivables from employers 972 940

Receivables in respect of value transfers 160 178
The ‘cash’ item includes deposits of €210 million (2021: €230 million). Receivables from participants 7 2

€12.3 million of this cash is not freely disposable (2021: €9.3 million). No other Other receivables 222 204

collateral has been furnished.

Total receivables, prepayments and accrued income 1,361 1,324

The tangible assets comprise:

Tangible assets The ‘receivables’ item includes no items with a remaining maturity of more than
31-12-2022 31-12-2021
one year (2021: zero).
Buildings 33 41
Other 67 51

Total tangible assets 100 92

Contents Notes to the consolidated balance sheet ABP Annual Report 2022 194

Liabilities

3. Group capital

Pension fund capital Minority interests Total 2022 Total 2021

Opening balance 53,607 50 53,657 -33,503

Fund result -8,371 - -8,371 87,160
Change in minority interests - -5 -5 -

Closing balance of group equity 45,236 45 45,281 53,657

As a result of the consolidation, the group equity in the consolidated balance 5. Investment-related liabilities
sheet is €45 million higher than the equity in the company balance sheet.
31-12-2022 31-12-2021
This difference is due to third-party minority interests in participating interests
included in the consolidation. Collateral received 5,316 14,977
Short positions 156 -
APG Groep NV’s dividend distributions take account of restrictions prescribed Short-term borrowing 1,817 1,077

by the applicable legislation and regulations, including the Markets in Financial Derivatives 25,215 21,235

Instruments Directive (MiFID).

Total investment-related liabilities 32,504 37,289

4. Provision for pension liabilities

31-12-2022 31-12-2021
Collateral received relates to surety for opened transactions
Proprietary risk 414,193 498,680 (derivative positions).
Policyholders' risk 73 117
Short-term borrowing of €1.8 billion (2021: €1.1 billion) includes €1.1 billion
Total provision for pension liabilities 414,266 498,797 of repos (2021: €0.0 billion). A fee is charged for entering into repos. Cash is
temporarily obtained to cover the non-return risk.

For additional explanatory information on the provision for pension liabilities,

see the notes to the company statement of income and expenses.
Contents Notes to the consolidated balance sheet ABP Annual Report 2022 195

Negative derivative positions are presented on the liabilities side of the balance The ‘payables and other liabilities’ item, which is part of ‘other payables’,
sheet, in accordance with Dutch Accounting Standards (Richtlijnen voor de includes items with a remaining maturity of more than one year totaling
Jaarverslaggeving). The negative derivative positions can be specified as follows: €240 million (2021: €253 million). No securities have been furnished.

Derivatives with a negative current value Provisions

31-12-2022 31-12-2021
The provisions relate primarily to personnel-related provisions and the
Currency derivatives provision for deferred taxes.
Forward currency contracts 210 2,193

Long-term liabilities
Interest rate derivatives
Interest Rate Swaps 23,910 17,034 Long-term liabilities after consolidation total €1 million (2021: €11 million),
Inflation-linked swaps 273 1,037 which relate to loans by third parties in which a capital interest is held. An
Fixed-income futures 397 81 amount of €1.0 million of the closing balance has a remaining term of more
TBAs 57 3 than five years (2021: €10.9 million). The interest rate is 7.25% per annum
(2021: 7.25% per annum). No security has been furnished.
Other derivatives
Credit default swaps 11 193
Other futures 357 694 Payables in respect of pensions
Payables in respect of pensions includes tax and social security contributions
Total derivatives with negative fair value 25,215 21,235 totaling €345million (2021: €326 million).

Other payables
6. Payables and other liabilities The purchase of conditional rights totaling €- million (2021: €2,951 million) was
released as of December 30 and is explained in more detail in the notes to the
31-12-2022 31-12-2021
company balance sheet.
Provisions 75 77
Long-term liabilities 1 11
Payables in respect of pensions 348 345
Other payables 542 3,776

Total payables and other liabilities 966 4,209

Contents Notes to the consolidated balance sheet ABP Annual Report 2022 196

Off balance rights and obligations Liabilities have been entered into for other investments totaling €2.2 billion at
the balance sheet date (2021: €2.9 billion).

Liabilities arising from investments Other liabilities

Liabilities entered into for real estate investments totaled €10.0 billion on the Liabilities arising from current leases of €207.6 million were open at the
balance sheet date (2021: €11.5 billion). balance sheet date (2021: €264.5 million), of which €18.6 million falls due within
one year (2021: €14.8 million), €65.0 million within one and five years (2021:
Liabilities have been entered into for private equity investments to make €62.7 million), and €124.0 million after five years (2021: €186.9 million).
deposits on request. These liabilities totaled €20.5 billion on the balance sheet
date (2021: €17.8 billion). Liabilities arising from long-term vehicle leases totaled €5.4 million (2021:
€6.7 million), of which €2.3 million (2021: €2.7 million) falls due within one year
Liabilities entered into for investments in investment funds totaled €2.5 billion after the close of the fiscal year and €3.1 million (2021: €4.0 million) between
on the balance sheet date (2021: €2.5 billion). one and five years. Lease costs including fuel advance of €2.8 million (2021:
€3.0 million) were recognized in the reporting year. The lease obligation is
Securities furnished as collateral were €0.6 billion (2021: € 0.0), and securities determined excluding fuel advance.
received as collateral were €0.0 billion (2021: €0.0). Securities totaling
€0.5 billion have been deposited as initial margin (2021: €0.4 billion) were Liabilities arising from maintenance and other contracts totaling €63.8 million
received as collateral (bilateral initial margin). were open at year-end (2021: €60.0 million), of which €26.0 million (2021:
€20.1 million) falls due within one year and €37.8 million in the following years
Securities totaling €13.2 billion have been deposited as initial margin (2021: (2021: €39.9 million). No obligations are due after five years.
€3.0 billion), and securities totaling €0.5 billion have been furnished as
collateral (bilateral initial margin) (2021: €0.4 billion). Securities received from At the end of the reporting period, the group entered into investment
repos totaled €2.8 billion (2021: €0.9 billion), and securities totaling €1.1 billion commitments of € 4.0 million (2021: €11.1 million).
were issued (2021: €0.0 billion). Cash posted for initial margin relating to
derivatives totaled €0.6 billion (2021: €0.5 billion). In 2022, APG provided a loan of 2.0 million euros to Festina Finance for
prefunding project costs. In addition, in 2023 the loan amount will be increased
An intraday facility has been taken out with ABN-AMRO Bank NV for a total of by two tranches totaling 4 million euros. Repayment of the loan amount and
€7.3 billion (2021: €6.3 billion). An intraday facility has also been taken out with the accumulated interest (5% annually) will take place from January 1, 2027.
ING for a total of €0.5 billion (2021: €0.5 billion). These facilities had not been The total term is 9.5 years and security has been issued for the loan amount by
drawn at year-end 2022. No collateral was furnished for these agreements/ the director-major shareholder of Festina Finance.
facilities. APG Liquiditeitenbeheer B.V. does not have any credit facilities.
Contents Notes to the consolidated balance sheet ABP Annual Report 2022 197

A fiscal entity comprising ABP, APG Groep NV, and APG Groep NV subsidiaries
and second-generation subsidiaries has been formed for value-added tax
purposes. The companies in such a fiscal entity are jointly and severally liable
for their tax liabilities.
Contents Notes to the consolidated statement of income and expenses ABP Annual Report 2022 198

Notes to the consolidated statement

of income and expenses
Amounts are in millions of euros unless otherwise stated.

Revenue

7. Pension contributions (net)

Total 2022 Total 2021

Total contributions (net) 17,013 12,604

8. Investment results (net)

Fixed-income Other
Real estate Equities investments Derivatives investments 2022 2021

Direct results 1,558 1,438 4,962 1,752 -231 9,479 9,080

Indirect results -4,753 -26,626 -43,228 -34,306 3,231 -105,682 47,874
Asset management costs -130 -217 -115 -2 -72 -536 -508

Total investment results (net) -3,325 -25,405 -38,381 -32,556 2,928 -96,739 56,446
Contents Notes to the consolidated statement of income and expenses ABP Annual Report 2022 199

Expenses

9. Pensions and other benefits 11. Balance arising from transfer of rights

Total 2022 Total 2021 2022 2021

Total pensions and other benefits -13,712 -12,908 Value transfers 480 242

The ‘pensions and other benefits’ item concerns retirement pensions (OP) 12. Pension management costs
and surviving dependents’ pensions (NP), occupational disability pensions
2022 2021
(comprising ABP occupational disability pensions (AAOP), invalidity pensions
(IP) and redeployment allowances (HPT)), as well as benefits under life and Salaries (including social security charges) -421 -384
non-life insurance products. Pension charges -39 -40
Other staff costs -44 -20

10. Movement in provision for pension liabilities Depreciation -18 -26

Third-party services -184 -138
2022 2021 Other operating expenses -176 -159

Movements 84,532 31,068

Subtotal -882 -767
Less: income from work on behalf of third parties 223 223
Less: attributed to asset management costs 437 364
For additional explanatory information on the movement in the provision
for pension liabilities, see the notes to the company statement of income
Pension and insured benefit administration
and expenses. costs (net) -222 -180

The ‘other operating expenses’ item primarily concerns IT costs and

accommodation costs of the pension administrator.
Contents Notes to the consolidated statement of income and expenses ABP Annual Report 2022 200

The average number of staff was:

2022 2021

ABP 39 42
Consolidated entities 3,300 3,124
(Of whom, employed outside the Netherlands) 263 246

The further analysis is:

- management and corporate staff 741 727
- administrative units 2,602 2,439
- service units - -

The staff of the pension fund (ABP) and the staff of the pension administrator
(APG) are participants in the ABP pension scheme or in the APG company
pension fund. Neither scheme obligates the employer to make supplementary
contributions to the pension fund in the event of deficits other than the
payment of the annual contributions. This means that recognizing the
contribution as an expense suffices.

The Stichting Personeelspensioenfonds APG (PPF APG) company pension

fund scheme qualifies as an average pay scheme. Indexation of granted
pension entitlements and rights is only applied when the pension fund’s
financial position offers sufficient scope. PPF APG has entered into a pension
administration agreement with the employers that sets out the rights and
obligations. More information, including on the financial position of the fund, is
available on the PPF APG website.
Contents Post-balance sheet events ABP Annual Report 2022 201

Post-balance sheet events

Adjustment of UFR

The DNB interest term structure for pension funds has been determined using
the Ultimate Forward Rate (UFR) in the years since 2012.

In 2022, the Parameters Committee recommended an adjustment of the UFR

method. It was recommended to use the market interest rate for maturities
of up to 50 years and to extrapolate for longer maturities on the basis of
the market interest rate between 30 and 50 years. DNB has decided to adopt
the advice of the Parameters Committee with effect from 2023. The effect
on the funding ratio of the transition to the UFR 50 is estimated at -0.4
percentage point.

The transition to the UFR 50 will take place on January 1, 2023. The effect of the
change from the current UFR to UFR 50 will lead to an increase in the provision
of €1.6 billion as of January 1, 2023.

Sale of buildings

At the beginning of 2023, ABP completed the sale of part of its buildings
in Heerlen. The buildings were sold on March 27, 2023 for an amount
of €45.5 million. As the carrying amount as at December 31, 2022 was
€31.7 million, a capital gain of €13.8 million was realized on the sale.
Contents Notes to the consolidated cash flow statement ABP Annual Report 2022 202

Notes to the consolidated cash flow statement

Amounts are in millions of euros unless otherwise stated.

The breakdown of the ‘cash’ item is as follows: Cash flow from investment activities

31-12-2022 31-12-2021
The cash flow statement presents cash flows from direct investment revenue
Investments 2,494 1,253 and exchange rate gains/losses on bank accounts.
Other assets 962 841
The ‘other movements’ item arises from a number of effects, including
Total cash 3,456 2,094 movements in the ‘negative bank balances’ item, movements in the short-
term money market products, effects of exchange rate differences, internal
recharges, and the look-through methodology used in the investment pools.

Cash flow from pension activities

The contributions received presented in the cash flow statement comprise

contributions totaling €11,810 million, the contributions received in respect
of the payable for the purchase of conditional pension rights totaling
€1,183 million, and the coverage from the cost mark-up on contributions
totaling €95 million. The difference with the net contributions according to
the statement of income and expenses is the purchased VPL in the amount of
€4,115 million.

The increase in the contributions received in 2022 is largely due to the growth
in the number of participants, as well as due to the 2 percentage point
increase in the retirement pension (OP) / surviving dependents’ pension (NP)
contributions compared with 2021.

The increase in the pension payments is mainly due to a higher average

amount per beneficiary (due to early indexation).
Contents Other notes to the consolidated financial statements ABP Annual Report 2022 203

Other notes
Amounts are in millions of euros unless otherwise stated.

List of significant capital interests included in the consolidation

The following list has been prepared based on the provisions of Sections 2:379 and 2:414 in Book 2, Title 9 of the Dutch Civil Code.

Processed in
Entities Domicile Interest Main activity financial statements

Elkhorn Barges, Inc. Wilmington, Delaware 60 Investment in private equity Investment

Externe Hypothecaire Beleggingen Heerlen B.V. Heerlen 100 Holding Investment
Fagori Investments Holding B.V. Heerlen 100 Investment in fixed income Investment
Kaena Capital Opportunities Corp Wilmington, Delaware 60 Investment in private equity Investment
Klavier Investments Holding B.V. Heerlen 100 Investment in real estate Investment
Malapolski Investments Holding B.V. Heerlen 100 Investment in real estate Investment
Oiltree Investment Holding B.V. Amsterdam 100 Investment in real estate Investment
Olygia Investments Holding B.V. Heerlen 100 Investment in fixed income Investment
Palipa Investments Holding B.V. Heerlen 100 Investment in fixed income Investment
Parijs Kantoren Fonds B.V. Amsterdam 100 Investment in real estate Investment
Physalis Investments Holding B.V. Heerlen 100 Investment in commodities Investment
Ponticello Investments Holding B.V. Heerlen 100 Investment in real estate Investment
Porlezza Investments Holding B.V. Amsterdam 100 Investment in real estate Investment
Portfolio AC GP B.V. Heerlen 100 Investment in hedge funds Investment
Ravenna Investments Holding B.V. Amsterdam 100 Investment in infrastructure Investment
Restalux B.V. Amsterdam 100 Investment in real estate Investment
Solusta Investments Holding B.V. Heerlen 100 Investment in real estate Investment
Spoleta Investments Holding B.V. Amsterdam 100 Investment in real estate Investment
Tamburello Investments Holding B.V. Heerlen 100 Investment in real estate Investment
Timpani Investments Holding B.V. Heerlen 100 Investment in real estate Investment
Tolanu Investments Holding B.V. Amsterdam 100 Investment in infrastructure Investment
Zegita Investments Holding B.V. Amsterdam 100 Investment in infrastructure Investment
ABP Life Cycle Holding B.V. Heerlen 100 Holding Investment
Contents Other notes to the consolidated financial statements ABP Annual Report 2022 204

Processed in
Entities Domicile Interest Main activity financial statements

AlpInvest Partners CSI 2006 B.V. Amsterdam 60 Investment in private equity Investment
AlpInvest Partners Primary Fund Inv. 2006 B.V. Amsterdam 60 Investment in private equity Investment
AlpInvest Partners Primary Fund Inv. 2007 B.V. Amsterdam 65 Investment in private equity Investment
AlpInvest Partners Primary Fund Inv. 2008 I B.V. (ABP) Amsterdam 100 Investment in private equity Investment
AlpInvest Partners SL B.V. Amsterdam 60 Investment in private equity Investment
APG Groep N.V. Heerlen 92 Pension administration organization consolidation
- APG DWS en Fondsenbedrijf N.V. Heerlen 100 Administrative organization consolidation
- APG Asset Management N.V. Amsterdam 100 Administrative organization consolidation
- APG Asset Management US Inc. State of Delaware 100 Administrative organization consolidation
- APG Asset Management (Singapore) Pte. Ltd. Singapore 100 Administrative organization consolidation
- APG Infrastructure Asset Owner I GP B.V. Amsterdam 100 Administrative organization consolidation
- APG Investments Asia Ltd. Hong Kong 100 Administrative organization consolidation
- APG Business Information Consultancy (Shanghai)
Co. Ltd. Shanghai 100 Administrative organization consolidation
- APG Trading B.V. Amsterdam 100 Administrative organization consolidation
- Entis Holding B.V. Amsterdam 70 Investment in participating interest consolidation
Consulltancy on
- Entis B.V. Utrecht 100 information technology consolidation
APG Liquiditeitenbeheer B.V. Amsterdam -1 Cash management services consolidation
Aspendos Investments Holding B.V. Heerlen 100 Investment in real estate Investment
Augosti Investments Holding B.V. Amsterdam 100 Investment in real estate Investment
Azurti Investments Holding B.V. Heerlen 100 Investment in real estate Investment
Bolanta Investments Holding B.V. Heerlen 100 Investment in commodities Investment
Busanto Investments Holding B.V. Heerlen 100 Investment in real estate Investment
Cueno Investments Holding B.V. Amsterdam 100 Investment in real estate Investment
Decundo Investments Holding B.V. Heerlen 100 Investment in real estate Investment
Drooge Vaate 1 N.V. Amsterdam 100 Investment in infrastructure Investment

1 The shares are owned by the mutual funds where ABP owns a siginificant share

A full list of the capital interests has been filed with the Chamber of Commerce.
Contents Other notes to the consolidated financial statements ABP Annual Report 2022 205

Disclosure of auditor’s fees

The fees of the network of ABP’s external independent auditor are listed in the The fees of the network of ABP’s external independent auditor for the audit
following table: of the financial statements 2022 totaled €0.5 million (2021: €0.4 million). The
fees of the network of APG Groep NV’s external independent auditor for
audit services for the client reports for ABP and the mutual funds for 2022
2022 auditor’s fees
Other Total totaled €3.9 million (2021: €3.7 million). These amounts are included in the
KPMG parts of Total KPMG above table.
Accountants KPMG KPMG network
NV network network 2021
In addition, the fees of the network of APG Groep NV’s external independent
Audit of the auditor for audit services for other APG Groep NV clients for 2022 totaled
financial statements 1.3 - 1.3 1.2
€0.7 million (2021: €0.7 million). These amounts are not included in the
Other audit and assurance
above table.
or engagements 3.0 1.1 4.1 3.9
Tax consultancy - - - -
Other non-audit services - - - -
The amounts presented include VAT and are based on the sum total of the
fees for the fiscal year to which the financial statements relate, irrespective of
Total 4.4 1.1 5.4 5.1 whether the activities were carried out during the fiscal year.
Contents Financial statements ABP Annual Report 2022 206

Signatories to the financial statements

Heerlen, April 26, 2023

The Board:
Mr. A. Boonen Mr. P. Rosenmöller

Ms. D. Dijkhuis Mr. A.J.M. Sibbing

Mr. P.J.H. Fey Mr. A.M.H. Slager

Ms. A. Gram Mr. X.J. den Uyl

Ms. M.P.I. Ten Kroode Ms. Y.E.M. Verdonk - van Lokven

Ms. V.S. van der Meer-Gangapersadsing Mr. A. van Vliet

Ms. C.M. Mulder-Volkers Mr. H.J. van Wijnen

Ms. K. Nauta .
Contents Other information ABP Annual Report 2022 207

Other information
Contents Provisions in the articles concerning profit appropriation ABP Annual Report 2022 208

Provisions in the articles concerning

profit appropriation
The articles do not include a provision governing the profit appropriation.
Contents Actuarial certificate ABP Annual Report 2022 209

Actuarial certificate
Engagement For the assessment of the pension fund’s technical provisions and for the
Stichting Pensioenfonds ABP in Heerlen, the Netherlands, engaged Towers review of its financial position as a whole, I have set the materiality at
Watson Netherlands B.V. to issue an actuarial certificate as referred to in the €2,500,000,000.The external auditor and I have agreed to report identified
Pensions Act (Pensioenwet) on the fiscal year 2022. differences in excess of €125,000,000. These agreements have been
documented and the findings of the procedures I performed have been
discussed with the external auditor.
Independence
As a certifying actuary, I am independent of Stichting Pensioenfonds ABP In addition, I have used the basic data audited by the external auditor in
(hereinafter also referred to as the ‘pension fund’), as required under Section the context of the audit of the pension fund’s financial statements. The
148 of the Pensions Act. I do not perform any other activities for the pension pension fund’s external auditor has informed me of their findings regarding
fund other than those in respect of the actuarial function. the reliability (material correctness and completeness) of the basic data and the
other assumptions that are relevant to my review.

Data
The data on which I have based this audit were provided and compiled under Procedures
the responsibility of the Board of the pension fund. In the context of the engagement, in accordance with my statutory
responsibility as described in Section 147 of the Pensions Act, I have
I have based the assessment of the pension fund’s technical provisions and the ascertained whether the pension fund has complied with Sections 126 through
review of the pension fund’s financial position on the financial data that form 140 of the Pensions Act.
the basis for the pension fund’s financial statements.
The basic data provided by the pension fund are such that I have accepted
these data as the basis for the calculations I have reviewed.
Consultation with external auditor
Based on the Royal Netherlands Institute of Chartered Accountants’ Guidance As part of the procedures performed in the context of the engagement, I have,
(NBA-handreiking) applied by me and the pension fund’s external auditor, I have among other things, ascertained whether:
consulted with this external auditor on the procedures and expectations for • adequate technical provisions have been established in relation to the
the audit for the fiscal year. pension liabilities as a whole;
Contents Actuarial certificate ABP Annual Report 2022 210

• the minimum capital requirement and the capital requirement have been With regard to Section 137 (conditional indexation), I note that in 2022, the
established in accordance with the statutory provisions; pension fund made use of the eased indexation rules (for indexation due to a
• the cost-covering contribution meets the statutory requirements; planned transition) as laid down in the temporary Section 15c of the Financial
• the investment policy is in accordance with the Prudent Person Rule. Assessment Framework (Pension Funds) Decree (Besluit financieel toetsingskader
pensioenfondsen). In doing so, the pension fund has substantiated that it has
In addition, I have reviewed the pension fund’s financial position. I have based complied with the conditions set in this Section.
this review on the liabilities entered into through to the balance sheet date and
the assets stated on the balance sheet as at balance sheet date, and for this The pension fund’s policy funding ratio as at balance sheet date is lower than
review I have also considered the pension fund’s financial policy. the funding ratio that applies for the capital requirement, but higher than the
funding ratio that applies for the minimum capital requirement.
I have performed my audit such that reasonable assurance is obtained that the
financial statements are free of material misstatements. My opinion on the financial position of Stichting Pensioenfonds ABP is based
on the liabilities entered into through to the balance sheet date and the assets
The procedures described and the manner in which these have been stated on the balance sheet as at balance sheet date.
performed are in accordance with the applicable standards and practices of
the Royal Dutch Actuarial Association and I believe these procedures form an In my opinion, the pension fund’s financial position is inadequate, because the
appropriate basis for my opinion. equity stated on the balance sheet is lower than the capital requirement. For
the record, I note that if the UFR method as it will be applied by the Dutch
central bank (DNB) in 2023 had been taken into account in the interest-rate
Opinion term structure as at balance sheet date, this would not have changed my
Considered in the aggregate, the technical provisions established by the opinion on the pension fund’s financial position.
pension fund are adequate in accordance with the aforementioned calculation
rules and assumptions. Amsterdam, April 26, 2023

The amount of the pension fund’s equity as at balance sheet date is lower Drs. R.T. Schilder AAG
than the statutory capital requirement, but higher than the statutory minimum Affiliated with Towers Watson Netherlands B.V.
capital requirement.

Taking the above into consideration, I am satisfied that the pension fund has
complied with Sections 126 through 140 of the Pensions Act, with the exception
of Section 132 (capital requirement).
Contents Independent auditor's report ABP Annual Report 2022 211

Independent auditor's report

To: the General Board of Stichting Pensioenfonds ABP

Report on the audit of the financial statements 2022 included in the annual report

Our opinion
In our opinion, the accompanying financial statements give a true and fair view of the financial position of
Stichting Pensioenfonds ABP as at 31 December 2022 and of its results for the year then ended, in accordance
with Part 9 of Book 2 of the Dutch Civil Code.

What we have audited

We have audited the financial statements 2022 of Stichting Pensioenfonds ABP (‘the Pension Fund’), based in
Heerlen.

The financial statements comprise:

1 the company balance sheet and the consolidated balance sheet as at 31 December 2022;
2 the company statement of income and expenses and the consolidated statement of income and expenses for
2022;
3 the company cash flow statement and the consolidated cash flow statement for 2022; and
4 the notes comprising a summary of the accounting policies and other explanatory information.

Basis for our opinion

KPMG Accountants N.V., a Dutch limited liability company registered with the trade register in the Netherlands under number 33263683, is a member firm of the global organization of independent member firms affiliated with
KPMG International Limited, a private English company limited by guarantee.
Contents Independent auditor's report ABP Annual Report 2022 212

We conducted our audit in accordance with Dutch law, including the Dutch Standards on Auditing. Our
responsibilities under those standards are further described in the ‘Our responsibilities for the audit of the
financial statements’ section of our report.
We are independent of the Pension Fund in accordance with the ‘Verordening inzake de onafhankelijkheid van
accountants bij assurance-opdrachten’ (ViO, Code of Ethics for Professional Accountants, a regulation with
respect to independence) and other relevant independence regulations in the Netherlands. Furthermore, we
have complied with the ‘Verordening gedrags- en beroepsregels accountants’ (VGBA, Dutch Code of Ethics).
We designed our audit procedures in the context of our audit of the financial statements as a whole and in
forming our opinion thereon. The information and our observations in respect of fraud and non-compliance with
laws and regulations, going concern, climate-related risks, and the key audit matters, were addressed in this
context, and we do not provide a separate opinion or conclusion on these matters.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our
opinion.

Information in support of our opinion

Summary
Materiality
• Materiality of EUR 2.5 billion
• Approximately 0.5% of the available assets

Fraud & Noclar, Going concern and Climate related risks

• Fraud & Non-compliance with laws and regulations (Noclar) related risks: we have
identified the risk of override of controls by the General Board as a presumed fraud risk
• Going concern related risks: no going concern risks identified
• Climate related risks: We have considered the impact of climate-related risks on the
financial statements and described our approach and observations in the section ‘Audit
response to climate-related risks’.

2
Contents Independent auditor's report ABP Annual Report 2022 213

Key audit matters

• Valuation of investments
• Valuation of the provision for pension liabilities

Opinion
Unqualified

Materiality
Based on our professional judgment we determined the materiality for the financial statements as a whole at
EUR 2.5 billion (2021: EUR 2.5 billion). The materiality is determined with reference to the available assets as at
31 December 2022 (approximately 0.5%). We consider the available assets to be the most appropriate
benchmark, as it is a determining factor in calculating the policy funding ratio, which reflects the Pension Fund’s
financial position. We have also taken into account misstatements and/or possible misstatements that in our
opinion are material for the users of the financial statements for qualitative reasons.
We agreed with the General Board that misstatements identified during our audit in excess of EUR 125 million
would be reported to them, as well as smaller misstatements that in our view must be reported on qualitative
grounds.

Scope of the audit

Group audit, including outsourcing of business processes to service organizations

The Pension Fund has outsourced the management of investments and the administration of pensions to APG
Asset Management N.V. and APG DWS en Fondsenbedrijf N.V., respectively (hereinafter jointly referred to as
the ‘service organization’).

The financial statements are prepared on the basis of information regarding the investments and returns on
investments provided by APG Asset Management N.V. and on information regarding the provision for pension
liabilities, pension contributions, pension benefits and other financial items provided by APG DWS en
Fondsenbedrijf N.V.
3
Contents Independent auditor's report ABP Annual Report 2022 214

Given our ultimate responsibility for the opinion, we are responsible for obtaining insights into the nature and
significance of the services provided by the service organization and the effect they have on the internal control
of the Pension Fund that is relevant to the audit. This is the basis on which we identify the risks of material
misstatement and design and perform audit procedures to address these risks.

In conducting our audit we make use of the procedures and findings of other independent auditors relating to the
internal controls of the service organization that are relevant to the Pension Fund, as included in the (Standard
3000A and 3402 type II) service level reports specifically prepared for that purpose.

Our audit procedures consist of determining which internal controls can be expected as a minimum and
discussing the control environment of the service organization with the service organization’s representatives.
Based on that we evaluate the internal controls described in the Standard 3000A and 3402 type II reports, the
procedures to test their operating effectiveness during 2022, and the findings resulting from those procedures
and we discuss these with the other independent auditor. We also assess the General Board’s evaluation of the
quality of the outsourced business processes performed by the service organization.

In conducting our audit we make use of the procedures and findings of other independent auditors. Under the
agreement with the Pension Fund the service organization engaged an independent auditor to audit the client
reporting, which includes information regarding the investments and returns on investments, provision for
pension liabilities, pension contributions, pension benefits and other financial items to be accounted for in the
Pension Fund’s financial statements.

Given our ultimate responsibility for the audit opinion on the financial statements, we are responsible for directing
and supervising the audit procedures to be performed by the auditor of the service organization. Accordingly, we
gave the auditor written instructions concerning the nature and scope of the procedures to be performed. In
accordance with our instructions the auditor conducted the audit with a materiality of EUR 2.5 billion and paid
particular attention to the key audit matters mentioned below.

The service organization’s auditor reported his findings to us. We evaluated the report, discussed the findings
with the auditor, reviewed the auditor’s audit file, and carried out further audit procedures ourselves, including
procedures regarding the control measures in place at the level of the Pension Fund.

Based on the procedures mentioned above relating to the outsourced business processes and the additional
procedures performed by us, we have obtained sufficient and appropriate audit evidence regarding the
4
Contents Independent auditor's report ABP Annual Report 2022 215

investments, investment flows and returns, (changes in) participants’ data and entitlements resulting in (changes
in) the provision for pension liabilities, pension contributions and pension benefits.

Audit response to the risk of fraud and non-compliance with laws and regulations

Within the paragraph ‘Fraud prevention’ of the ‘Risk management’ section of the Board Report, the General
Board describes the procedures relating to fraud risks. Within the paragraph ‘Compliance with statutory
guidelines and codes’ of the ‘Governance’ section of the Board Report, the General Board describes the
procedures relating to the risks of non-compliance with laws and regulations.

As part of our audit, we have gained insights into the Pension Fund and its business environment, and assessed
the design and implementation and, where considered appropriate, tested the operating effectiveness of the
Pension Fund’s risk management in relation to fraud and non-compliance with laws and regulations. This also
includes the internal control measures in place at the external service providers of the Pension Fund (see the
‘Scope of the audit’ section).

Our procedures included, among other things, assessing the code of conduct, the whistleblowing procedures, the
periodic incident and compliance reporting, reading the minutes of relevant meetings and the procedures at the
Pension Fund to investigate indications of possible fraud or non-compliance with laws and regulations.
Furthermore, we performed relevant inquiries with the General Board and key officers. Our audit procedures
included, among others:

— obtaining an understanding of how the Pension Fund manages the use of information technology (IT) and
the impact of IT on the financial statements, including the risk of cybersecurity incidents that could have a
material effect on the financial statements;

— evaluation of ancillary positions held by members of the General Board, with special attention to
procedures and governance in view of possible conflicts of interest;

— evaluation of correspondence with regulators and supervisory authorities (including the Dutch central
bank (DNB) and the Dutch Authority for the Financial Markets (AFM)).

5
Contents Independent auditor's report ABP Annual Report 2022 216

In addition, we performed procedures to obtain an understanding of the laws and regulations that are applicable
to the Pension Fund and we identified the following areas as those most likely to have a material effect on the
financial statements:

— ‘Pensioenwet’ (Pensions Act);

— Wet verplichte deelneming in een bedrijfstakpensioenfonds’, or ‘Wet Bpf 2000’ (law on obligatory
participation in a sectoral pension fund);

— Besluit Financieel toetsingskader pensioenfondsen’, or ‘Bftp’ (decree on the financial assessment

framework for pension funds);

— ‘Algemene verordening gegevensbescherming’ (AVG, or General Data Protection Regulation, GDPR);

— Sanctions legislation.

We, together with our forensics specialists, evaluated the fraud and non-compliance risk factors to consider
whether those factors indicate a risk of material misstatement in the financial statements.

We assessed the presumed fraud risk on revenue recognition as not relevant, given the nature of the revenue
and due to the limited possibilities of material influence on revenue recognition.

Based on the above and on the auditing standards, we identified the following risk related to fraud and non-
compliance with laws and regulations that is relevant to our audit, including the relevant presumed risks defined
in the auditing standards, and we have responded as follows:

Management override of internal controls (a presumed risk)

Risk:

— The General Board is in a unique position to prepare fraudulent financial statements and manipulate
accounting records by overriding internal controls that otherwise appear to be operating effectively, such as
estimates relating to the valuation of the provision for pension liabilities and the valuation of the investments.
6
Contents Independent auditor's report ABP Annual Report 2022 217

Audit response:

— We have evaluated the design and implementation and, where considered appropriate, tested the operating
effectiveness of the internal controls that mitigate the fraud risk, including the internal controls in place at the
service providers to which the Pension Fund has outsourced business processes.

— We performed an analysis to identify (administrative) journal entries with an increased risk of fraud. In case
journal entries with an increased risk of fraud were identified, we performed additional audit procedures to
address the identified risks. These procedures also include validating transactions with source information.

— We have evaluated significant estimates and also judgments and assumptions by the General Board with
respect to the valuation of the provision for pension liabilities and the valuation of the investments. For a
description of our procedures in this regard, we refer to the key audit matters related to the valuation of the
provision for pension liabilities and the valuation of the investments.

— We have included elements of unpredictability in our audit approach, including additional tests of detail of
Board members’ remuneration based on source information.

Our evaluation of the procedures performed related to fraud and non-compliance with laws and regulations did
not result in a key audit matter.

We communicated our risk assessment, audit responses and results to the General Board.

Our audit procedures did not reveal indications and/or other reasonable suspicion of fraud and non-compliance
with laws and regulations that are considered material for our audit

Audit response to going concern - no significant going concern risks identified

As explained on pages 34 and 133 of the financial statements, the General Board submitted a recovery plan to
De Nederlandsche Bank (the Dutch Central Bank) in March 2023, in which it has outlined how it expects to
restore the Pension Fund’s policy funding ratio to the required level within the regulatory recovery period. This is
part of the Board of Trustees’ going concern risk analysis. Since the Pension Fund has – as a last resort – the
option to curtail the pension entitlements and pension rights, and the Pension Fund’s ability to continue as a
7
Contents Independent auditor's report ABP Annual Report 2022 218

going concern is therefore guaranteed at all times, the General Board did not identify any risks related to the
Pension Fund’s ability to continue as a going concern. Our procedures included:

— considering whether the General Board’s assessment of the going concern risks and the recovery plan
submitted to DNB includes all relevant information and is consistent with our knowledge and understanding
obtained as a result of our audit of the financial statements;

— considering whether actuarial developments (including the foreseeable trend in life expectancy) and
developments in the financial markets (including developments in the yield curve (rentetermijnstructuur))
indicate going concern risks;

— analyzing the development of the financial position of the Pension Fund during the financial year with respect
to regulatory solvency requirements to identify indicators that could give rise to significant going concern
risks, and determining that the relevant disclosures in the financial statements and the disclosures with
respect to the realization of the recovery plan as included on pages 34 and 133 of the financial statements
are adequate.

The outcome of our risk assessment procedures did not give reason to perform additional audit procedures on
the going concern assessment

Audit response to climate-related risks

The General Board of the Pension Fund is responsible for the preparation and the fair presentation of the
financial statements in accordance with Part 9 of Book 2 of the Dutch Civil Code, including ensuring that the
impact of climate risks and climate commitments are appropriately accounted for and disclosed in the financial
statements.

The Pension Fund has outlined its climate policy in the ‘Sustainable and responsible investments’ section of the
annual report. As explained, this policy includes the goal of reducing the carbon footprint of the entire investment

8
Contents Independent auditor's report ABP Annual Report 2022 219

portfolio by 50% by 2030 compared with the reference year of 2019, and the ambition to achieve an investment
portfolio with net-zero carbon emissions by 2050.

In the ‘Sustainable and responsible investments – Mapping climate risks, investing in solutions’ section of the
annual report, as well as in the ‘Climate risks’ section of the financial statements, the Pension Fund provided a
high-level description of how the risks of climate change are identified, and the measures that will be taken to
manage these risks. The ‘Climate risks’ section of the financial statements also contains a description of the
impact of climate risks on the financial position of the Pension Fund. The Pension Fund concludes that, based on

9
Contents Independent auditor's report ABP Annual Report 2022 220

the information currently known about climate risks, there is no material impact on the valuations and financial
position reported in the financial statements 2022.

We have performed a risk assessment aimed at identifying the risks of material misstatements resulting from the
potential impact of climate risks on the accounts and disclosures in the financial statements. In our assessment
we included significant estimates, judgments and assumptions made by the General Board.

To this end, we performed the following procedures:

— We conducted inquiries with the General Board and staff of the Pension Fund and its service organization to
gain an understanding of how climate risks are identified and managed.

— We evaluated climate-related fraud risk factors and recognized that the societal pressure on accountability
and disclosures regarding responsible investment qualify as a fraud risk factor, but not as a fraud risk.

— We have inspected policy documentation related to climate risks, including the Sustainable and Responsible
Investment Policy, the Climate Plan, the climate risk dashboard, and the Pension Fund’s own risk
assessment.

— In performing our risk assessment procedures, we were assisted by our own climate experts.

Based on the procedures performed, we consider that climate risks do not have a material impact on the
financial statements 2022 based on Part 9 of Book 2 of the Dutch Civil Code, and they also do not affect our key
audit matters.

We have audited the disclosure in the ‘Climate risks’ section of the financial statements and consider this
disclosure to be adequate.

We have read the information in the ‘Sustainable and responsible investments’ section of the annual report and
considered material consistency with the financial statements based on our knowledge obtained through our
audit of the financial statements or otherwise.

Our key audit matters

10
Contents Independent auditor's report ABP Annual Report 2022 221

Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of
the financial statements. We have communicated the key audit matters to the General Board. However, the key
audit matters are not a comprehensive reflection of all matters discussed.

Valuation of investments

Description
The investments of the Pension Fund constitute a significant item on its balance sheet. The investments of the
Pension Fund amount to approximately 99.6% of the balance sheet total. Under the Pensions Act, all
investments must be measured at fair value (market value). Note 1 to the financial statements states that 69%
of the Pension Fund’s investments are valued directly at quoted market prices, 6% of the Pension Fund’s
investments are valued at derived market prices, and 25% of the investments are valued on the basis of
valuation models and techniques. Determining the fair value for this last category of investments involves
greater complexity and elements of management judgement.
Making these estimates requires significant judgement by the General Board, for which it makes use of
models. Given the influence this has on the valuation of the Pension Fund’s investments, the balance of
income and expense, its equity and its policy funding ratio, we consider the valuation of investments to be a
key audit matter.
The Pension Fund describes the accounting policies applied in the disclosures on pages 124 through 126.
Note 1 states the valuation methods used and key assumptions made for the valuation of these investment
categories.
Evaluating the accounting policies and determining the accuracy and adequacy of the disclosures was part of
our procedures
Our response
We performed the following procedures:
— We evaluated the accounting policies used for the valuation of these investments and the more detailed
description of the accounting policies included in the ‘Handboek Waarderingen’ (Valuations Manual of
ABP) for compliance with law as well with the ‘Richtlijnen voor de Jaarverslaggeving’ (RJ, the Dutch
Accounting Standards Board guidelines).

11
Contents Independent auditor's report ABP Annual Report 2022 222

— We tested the internal controls that are in place to ensure the reliability of the valuation of these
investments.
— We determined that the notes to the financial statements contain adequate disclosures concerning the
accounting policies and the degree of estimation uncertainty with regard to the valuation of these
investments.

The service organization’s auditor reported to us his findings relating to his audit of these investments. We
evaluated the report, discussed the findings with the service organization’s auditor, and reviewed the auditor’s
audit file.

We:
— used Standard 3402 type II reports and analysed these for the adequacy of the scoping, the findings, and
the impact of these findings on the audit procedures;
— reconciled the audited report covering the investments with the financial administration and the financial
statements;
— established that the investments valued based on quoted or derived market prices had been investigated
with the help of a valuation specialist. The valuation specialist compared the reported valuations with
independently determined valuations based on published market information obtained from independent
sources;
— established that, for investments of which the valuation is based on net present value calculations and
other appropriate valuation models and techniques, a selection of individually significant investments had
been investigated with the help of a valuation specialist. In doing so, we evaluated the appropriateness of
the calculation models used, reconciled input data with data from objective sources, and assessed the
mathematical accuracy of the figures. The source data, including market data, has been critically assessed;
and
— established that the valuation of investments based on estimated valuations periodically provided by
external parties, where possible, had been tested against recent financial statements audited by other
independent auditors. In cases where the financial statements for which an unqualified auditor’s report had
been issued were not available in time, the reliability of the valuation as provided by the external parties
was established by testing the estimates provided by these external parties in previous years against the
audited financial statements that became available at a later date.

12
Contents Independent auditor's report ABP Annual Report 2022 223

Our observation
We determined that the accounting policies and valuation methods used for the investments comply with the
applicable reporting standards and are appropriate for determining a fair value for these investments.
We believe that the valuation of the investments in the financial statements has been determined in an
acceptable manner. The disclosure on the composition of and the movements in the investments in the
financial statements is adequate.

Valuation of the provision for pension liabilities

Description
The provision for pension liabilities constitutes a significant item in the Pension Fund’s balance sheet and is
measured at fair value (market value). Determining the fair value of the provision for pension liabilities involves
a calculation in which the pension rights of participants are translated into expected future cash flows (benefit
payments) using important estimates of life expectancy, cost levels, and disability. The cash flows are then
discounted to net present value at the market interest rate (derived from the yield curve (rentetermijnstructuur)
published by De Nederlandsche Bank (the Dutch Central Bank)).
Making estimates requires extensive judgement by the General Board, using actuarial models, and the
General Board also draws on the assistance of actuarial experts. Given its complexity and its influence on the
size of the Pension Fund’s provision for pension liabilities, the balance of income and expenses, the equity and
the (policy) funding ratio, we regard the valuation of the provision for pension liabilities as a key audit matter.
The General Board has included the accounting policies and assumptions related to the provision for pension
liabilities in the notes to the financial statements on pages 126 through 128. The note on page 123 indicates
that there have been changes in accounting estimates. The sensitivity of the calculation of the provision for
pension liabilities to the estimates used is discussed in the risk paragraph.
Our response
In our audit, we make use of the procedures of the certifying actuary appointed by the Pension Fund. At the
start of the audit and on its conclusion, we agreed with the certifying actuary on the approach, the points of
attention (including the accounting of the indexation decisions, changes in accounting estimates, and funding
of the VPL scheme) and the outcomes.

13
Contents Independent auditor's report ABP Annual Report 2022 224

The service organization’s auditor reported his findings to us concerning his audit of the provision for pension
liabilities. We evaluated the report, discussed the findings with the auditor, and performed a review of the
auditor's audit file.
We evaluated the methods of estimation and the assumptions used by the General Board. In doing so, we
evaluated whether the method of estimation and the assumptions used are consistent, prudent, and up to
date. We evaluated the way in which the General Board supported the assumptions used by assessing their
historical reliability and generally updated assumptions, such as life expectancy. We discussed the estimation
methods and assumptions used with the certifying actuary. We evaluated the actuarial statement as included
in the other information, as well as the procedures performed as documented in the file of the certifying
actuary.
Our procedures also involve evaluating the outcome of the actuarial analysis of the balance of income and
expenses in relation to previously made estimates and cash flow projections. In performing these procedures,
we were assisted by our own actuarial specialist. We also evaluated the accounting policies and the accuracy
and adequacy of the notes to the financial statements

Our observation
We believe that the valuation of the provision for pension liabilities in the financial statements has been
determined in an acceptable manner. The disclosure on the composition of and movements in the provision for
pension liabilities is adequate, as is the disclosure on the applied changes in accounting estimates.

Report on the other information included in the annual report

In addition to the financial statements and our auditor’s report thereon, the annual report contains other
information.
Based on the following procedures performed, we conclude that the other information:
— is consistent with the financial statements and does not contain material misstatements; and
— contains the information as required by Part 9 of Book 2 of the Dutch Civil Code for the Board report and the
other information.

14
Contents Independent auditor's report ABP Annual Report 2022 225

We have read the other information. Based on our knowledge and understanding obtained through our audit of
the financial statements or otherwise, we have considered whether the other information contains material
misstatements.
By performing these procedures, we comply with the requirements of Part 9 of Book 2 of the Dutch Civil Code
and Dutch Standard 720. The scope of the procedures performed is less than the scope of those performed in
our audit of the financial statements.
In addition, we devoted specific attention to transparency with respect to the administrative expenses. In the
section of the Board report headed ‘Adding value for participants and employers’, the Pension Fund provides
insight into the costs of pension administration, costs of asset management and transaction costs, including an
explanation of the assumptions and estimates made, as well as a disclosure for the composition of these costs.
Acting on our instructions, the service organization’s auditor performed specific agreed-upon procedures relating
to the administrative expenses and reported his findings to us. We evaluated the report, discussed the findings
with the auditor and performed a file review on the auditor’s audit file.
Furthermore, we assessed the reasonableness of the assumptions and estimates made by the General Board
with respect to the administration costs on the basis of the principles and calculation methods approved by the
‘Pensioenfederatie’ (Federation of Dutch Pension Funds).
The General Board is responsible for the preparation of the other information, including the information as
required by Part 9 of Book 2 of the Dutch Civil Code.

Report on other legal and regulatory requirements

Engagement
We were engaged by the General Board on 18 June 2015 as the auditor of the Pension Fund for the audit of the
financial year 2016, and have operated as statutory auditor ever since that financial year.

No prohibited non-audit services

We have not provided prohibited services as referred to in Article 5(1) of the EU Regulation on specific
requirements regarding statutory audits of public-interest entities.

Services rendered
15
Contents Independent auditor's report ABP Annual Report 2022 226

For the period to which our statutory audit relates, in addition to this audit, we have provided the following
services to the Pension Fund and its controlled undertakings:
— other audit and assurance engagements.
These services also include those carried out by the independent auditor of APG Groep N.V.

Description of responsibilities regarding the financial statements

Responsibilities of the General Board for the financial statements

The General Board is responsible for the preparation and fair presentation of the financial statements in
accordance with Part 9 of Book 2 of the Dutch Civil Code. Furthermore, the General Board is responsible for
such internal control as it determines is necessary to enable the preparation of financial statements that are free
from material misstatement, whether due to fraud or error. In that respect, the General Board is responsible for
the prevention and detection of fraud and non-compliance with laws and regulations, including determining
measures to resolve the consequences thereof and prevent recurrence.
As part of the preparation of the financial statements, the General Board is responsible for assessing the
Pension Fund’s ability to continue as a going concern. Based on the financial frameworks mentioned, the
General Board should prepare the financial statements using the going concern basis of accounting unless the
General Board intends to liquidate the Pension Fund or cease operations, or has no realistic alternative but to do
so. The General Board should disclose events and circumstances that may cast significant doubt on the Pension
Fund’s ability to continue as a going concern in the financial statements.

Our responsibilities for the audit of the financial statements

Our objective is to plan and perform an audit engagement in a manner that allows us to obtain sufficient and
appropriate audit evidence for our opinion.

Our audit has been performed with a high, but not absolute, level of assurance, which means we may not have
detected all material errors and fraud during our audit.

16
Contents Independent auditor's report ABP Annual Report 2022 227

Misstatements can arise from fraud or error and are considered material if, individually or in aggregate, they
could reasonably be expected to influence the economic decisions of users taken on the basis of these financial
statements. The materiality affects the nature, timing and extent of our audit procedures and the evaluation of the
effect of identified misstatements on our opinion.

A further description of our responsibilities for the audit of the financial statements is located at the website of the
‘Koninklijke Nederlandse Beroepsorganisatie van Accountants (NBA, Royal Netherlands Institute of Chartered
Accountants) at eng_oob_01.pdf (nba.nl).
This description forms part of our auditor’s report.

Utrecht, 26 April 2023

KPMG Accountants N.V.

P. Smit RA

17
Contents Assurance report of the independent auditor ABP Annual Report 2022 228

Assurance report of the

independent auditor
To: the General Board of Stichting Pensioenfonds ABP

Our conclusion
We have reviewed the information in the section ‘Results in 2022: a livable world’ (hereinafter ‘the information on
Sustainable and Responsible Investments’) on pages 56 through 67 of the annual report 2022 (hereinafter ‘the
Report’) of Stichting Pensioenfonds ABP (hereinafter ‘the Pension Fund’) for the year ended 31 December 2022.
A review is aimed at obtaining a limited level of assurance.
Based on the procedures performed nothing has come to our attention that causes us to believe that the
information on Sustainable and Responsible Investments is not prepared, in all material respects, in accordance
with the reporting criteria as described below in the ‘Reporting criteria’ section of our report.

Basis for our conclusion

We performed our review in accordance with Dutch law, including Dutch Standard 3000A ’Assurance-opdrachten
anders dan opdrachten tot controle of beoordeling van historische financiële informatie (attest-opdrachten)
(assurance engagements other than audits or reviews of historical financial information (attestation
engagements)). This engagement is aimed to obtain limited assurance. Our responsibilities in this regard are
further described in the ‘Responsibilities of the auditor’ section of our report.
We are independent of the Pension Fund in accordance with the ‘Verordening inzake de onafhankelijkheid van
accountants bij assurance-opdrachten’ (ViO, Code of Ethics for Professional Accountants, a regulation with
respect to independence) and other relevant independence regulations in the Netherlands. Furthermore we have
complied with the ‘Verordening gedrags- en beroepsregels accountants’ (VGBA, Dutch code of ethics).

KPMG Accountants N.V., a Dutch limited liability company registered with the trade register in the Netherlands under number 33263683, is a member firm of the global organization of independent member firms affiliated with
KPMG International Limited, a private English company limited by guarantee.
Contents Assurance report of the independent auditor ABP Annual Report 2022 229

We believe that the assurance evidence we have obtained is sufficient and appropriate to provide a basis for our
conclusion.

Reporting criteria
The information on Sustainable and Responsible Investments needs to be read and understood together with the
reporting criteria. The Pension Fund is solely responsible for selecting and applying these reporting criteria,
taking into account the applicable laws and regulations related to reporting.
The reporting criteria used for the preparation of the Report are described in the ‘About this report’ section of the
Report.

Limitation to the scope of our review

The Report includes prospective information such as ambitions, strategy, plans, expectations, estimates and risk
assessments. Inherently the actual future results are uncertain. We do not provide any assurance on the
assumptions and achievability of prospective information included in the Report.
References to external sources or websites in the Report are not part of the information itself as reviewed by us.
Therefore, we do not provide assurance on this information.

Responsibilities of the General Board of the Pension Fund

The General Board of the Pension Fund is responsible for the preparation of the information on Sustainable and
Responsible Investments in accordance with the applicable reporting criteria, including the identification of the
intended users and the applicability of the applied criteria for the aims of the intended users.
The General Board is also responsible for such internal control as it deems necessary to enable the preparation,
measurement or evaluation of the Report that is free from material misstatement, whether due to fraud or error.
The General Board is responsible for overseeing the Pension Fund’s financial and non-financial reporting
process.
Responsibility of the auditor

2
Contents Assurance report of the independent auditor ABP Annual Report 2022 230

Our responsibility is to plan and perform our review in a manner that allows us to obtain sufficient and
appropriate assurance evidence for our conclusion.
The procedures performed to a obtain limited level of assurance are aimed to determine the plausibility of
information and vary in nature and timing, and are less in extent, compared to a reasonable assurance
engagement. The level of assurance obtained in a review is substantially lower than the assurance that would
have been obtained had a reasonable assurance engagement been performed.
We apply the ‘Nadere Voorschriften Kwaliteitssystemen’ (NVKS, Regulations for Quality management systems)
and accordingly maintain a comprehensive system of quality control, including documented policies and
procedures regarding compliance with ethical requirements, professional standards and applicable legal and
regulatory requirements.
Our review included, among other things:
— performing an analysis of the external environment and obtaining an understanding of relevant social themes
and issues and the characteristics of the Pension Fund;
— evaluating the appropriateness of the reporting criteria used, their consistent application and the related
disclosures included in the Report. This includes evaluating the outcomes of the dialogue with stakeholders
and the reasonableness of estimates made by the General Board;
— obtaining an understanding of the reporting processes underlying the reported information, including
obtaining a general understanding of internal control relevant to our review;
— identifying areas in the information on Sustainable and Responsible Investments where misleading or
unbalanced information or material misstatements, whether due to fraud or error, are most likely to occur.
Based on this risk assessment designing and performing further assurance procedures responsive to these
areas to establish the plausibility of the information on Sustainable and Responsible Investments. These
procedures included, among other things:
— interviewing relevant staff of the Pension Fund and its service organization APG responsible for the
strategy, policy and results;
— interviewing relevant staff responsible for providing the information for, performing internal control
procedures in respect of, and consolidating data in the information on Sustainable and Responsible
Investments;

3
Contents Assurance report of the independent auditor ABP Annual Report 2022 231

— obtaining assurance information that the information on Sustainable and Responsible Investments
reconciles with the underlying administrative records of the Pension Fund and its service organization
APG; and
— reviewing, on a limited test basis, relevant internal and external documentation.
— evaluating the consistency of the information on Sustainable and Responsible Investments with the
information in the Annual Report which is not included in the scope of our review;
— evaluating the general presentation, structure and content of the information on Sustainable and Responsible
Investments;
— considering whether the information on Sustainable and Responsible Investments as a whole, including the
disclosures therein, reflects the purpose of the reporting criteria used.
We have communicated with the General Board of the Pension Fund regarding, among other matters, the
planned scope and timing of the review and significant findings identified during our review.

Utrecht, 26 April 2023

KPMG Accountants N.V.

P. Smit RA

4
 Contents SFDR annexes ABP Annual Report 2022 232

SFDR Annex IV Pension Scheme

Regulation (EU) 2019/2088 on sustainability‐related disclosures in the financial services sector.

ANNEX IV
Sustainable investment
means an investment Template periodic disclosure for the financial products referred to in Article 8, paragraphs 1, 2 and 2a, of
in an economic activity Regulation (EU) 2019/2088 and Article 6, first paragraph, of Regulation (EU) 2020/852
that contributes to an
environmental or social Product name: ABP Pension Scheme
objective, provided that
the investment does Legal entity identifier: 549300CT8FEJ1I-UK9C94
not significantly harm
any environmental or
social objective and that Environmental and/or social characteristics
the investee companies
follow good governance Did this financial product have a sustainable investment objective?
practices.
Yes No
The EU Taxonomy is
a classification system It made sustainable investments with an environmental It promoted Environmental/Social (E/S) characteristics, and
laid down in Regulation objective: ___% while it did not have as its objective a sustainable investment,
(EU) 2020/852, it had a proportion of ___% of sustainable investments
establishing a list in economic activities that qualify as environmentally
of environmentally sustainable under the EU Taxonomy  ith an environmental objective in economic activities that
w
sustainable economic qualify as environmentally sustainable under the EU Taxonomy
activities. That in economic activities that do not qualify as environmentally
Regulation does not lay sustainable under the EU Taxonomy  ith an environmental objective in economic activities that
w
down a list of socially do not qualify as environmentally sustainable under the EU
sustainable economic Taxonomy
activities. Sustainable
investments with an with a social objective
environmental objective
might be aligned with
the Taxonomy or not.
It made sustainable investments with a social It promoted E/S characteristics, but did not make any
objective: ___% sustainable investments
Contents SFDR annexes ABP Annual Report 2022 233

To what extent were the environmental and/or social characteristics promoted by this financial product met?
In the past calendar year, 2022 (the reference period), ABP promoted various environmental and social (E/S) characteristics in the pension
scheme, in accordance with its Sustainable and Responsible Investment Policy1 During the reference period, no sustainable investments
were made in the pension scheme with an environmental or social objective as described in the Taxonomy Regulation.

Below is a description of how the pension scheme has complied with the promotion of E/S characteristics. Any measures taken during
the reference period that could have an impact on the promotion of E/S characteristics in future reference periods are explained under
the question: What measures were taken in the reference period to comply with the environmental and/or social characteristics?
This includes policy amendments and engagement activities. For example, the goals of the ABP climate policy were updated in late 2022
as follows:

• Portfolio in line with the goals of the Paris Agreement

• Net zero greenhouse gas emissions by 2050
• 50% reduction in greenhouse gas emissions by 2030 compared with 2019:
- Across the entire investment portfolio
- Absolute footprint
- Across the entire value chain, so including emissions from the purchase and use of products
• By 2030, €30 billion invested in the climate transition, including €10 billion in impact investments:
- Investments that demonstrably make a difference
- Actively seeking opportunities in the Netherlands

Exclusion of controversial activities

ABP’s exclusion policy ensures that the portfolio does not include companies or government bonds from countries involved in controversial
activities. These activities include:

• involvement in the production of anti-personnel mines, nuclear weapons, cluster bombs, landmines, or chemical or biological
weapons;
• involvement in the production of tobacco;
• investments in bonds from countries subject to a UN/EU arms embargo; and
• companies that earn revenue from coal or lignite for electricity production.

In 2022, investments in the above activities were present to a limited extent throughout ABP’s portfolio. ABP has not had any violations
of its exclusion policy. ABP has therefore complied with the promotion of this characteristic.

1 This policy does not focus on “sustainable investments” as described in the SFDR. It is simply the name of the policy implemented by ABP in relation to sustainability.
Contents SFDR annexes ABP Annual Report 2022 234

Limiting climate change

For equity investments, ABP applies a carbon footprint reduction target. This target is based on the score from a baseline measurement
conducted in 2015. ABP aims for a 40% reduction relative to this baseline score by 2025. The total reduction achieved relative to the
baseline is -57.6%.

The services of data provider Trucost were used to obtain information about company emissions. The current method involves reporting
on ABP’s position in the share capital of each company, multiplied by the company’s carbon emissions in metric tons. To determine the
carbon footprint, the total carbon emissions are divided by the millions of euros invested in the companies concerned.

For the real estate portfolio, the carbon footprint is managed with reference to the CRREM reduction pathway. In doing so, ABP attempts
to ensure its portfolio is better positioned than the specified CRREM reduction pathway. The goal is to have a complete picture of the
portfolio’s energy consumption and carbon emissions by 2030. This will enable us to take action to reduce energy consumption and to
ensure that the portfolio’s annual average greenhouse gas emissions intensity (in kg CO₂/m²) stays within the Paris pathway of less than
1.5 degrees Celsius global warming and that all asset managers are committed to a science-based target in line with the Paris Climate
Agreement (1.5 degrees). In the meantime, ABP is actively pursuing these targets through engagement.

In addition to the carbon footprint reduction objective, ABP excludes companies that derive more than 1% of their revenue from fossil
fuel production or exploration, and companies that derive 20% or more of their income from fossil energy activities. The developed
market equity and credit investments in companies concerned were sold before year-end 2022.

Contributions to the UN SDGs

Across the entire investment portfolio, the target percentage of Sustainable Development Investments (SDIs)2 is 20%. This percentage is
measured in relation to the total net asset value (NAV). The percentage of SDIs in relation to the total NAV of the portfolio at year-end
2022 was 20.0%.

When investing in an SDI, risk/return expectations are always considered. If an SDI has the same risk/return ratio as a company without the
relevant SDI classification, the SDI is preferred over the non-SDI investment. By considering these factors for every investment decision,
ABP tries to ensure the highest possible percentage of SDIs within the portfolio as a whole.

2 Sustainable Development Investments (SDI) does not mean the same as ‘sustainable investments’ as defined by the SFDR.
 Contents SFDR annexes ABP Annual Report 2022 235

Inclusion policy
The inclusion policy is based on the themes of the UN Global Compact (human rights, labor, the environment, and anti-bribery and anti-
corruption) and requirements for investors and companies under the OECD Guidelines. Investments are evaluated against the inclusion
policy, which involves assessing the sustainability characteristics of listed investments. If these characteristics are not at the desired level,
we engage in a dialogue with the company concerned. Through this engagement, we aim to point the company in the right direction.
Engagement continues until the company changes course and meets the desired sustainability characteristics. if the company is still not
Sustainability indicators operating in line with the sustainability characteristics, after engagement has been pursued for a certain period of time, , ABP will divest.
measure how the
environmental or social Under the inclusion policy, companies are classified as:
characteristics promoted
by the financial product - companies that meet our criteria and have an above-average score in the industry concerned;
are attained. - companies that do not meet our criteria but which we believe we can encourage to make improvements;
- companies that do not meet our criteria and which we do not believe will show improvement.

How did the sustainability indicators perform?

This section should be read in conjunction with the previous question, which provides a qualitative description of the E/S characteristics.
The following table sets out the results for each of the E/S characteristics promoted by the pension scheme.

# Indicator Result in reporting period

Exclusion of controversial activities
1 No investments in sovereign bonds from countries subject to a UN/EU arms embargo No investments that match the listed characteristics. Value for 2022: 0. For more
information on the selection and exclusion of the relevant companies, please refer to
Reference value: 0 the exclusion policy. ABP has not had any violations of its exclusion policy.
2 No investments in sovereign bonds from countries subject to a UN/EU arms embargo No investments in the portfolio that match the listed characteristics. Value for 2022: 0.
For more information on the selection and exclusion of the relevant companies, please
refer to the exclusion policy.
Reference value: 0 ABP has not had any violations of its exclusion policy.
3 No investments in companies that earn revenue from coal or lignite for electricity No investments in the portfolio that match the listed characteristics. Value for 2022: 0.
production For more information on the selection and exclusion of the relevant companies, please
refer to the exclusion policy.
Reference value: 0 ABP has not had any violations of its exclusion policy.
4 No investments in companies that earn revenue from tobacco No investments in the portfolio that match the listed characteristics. Value for 2022: 0.
For more information on the selection and exclusion of the relevant companies, please
refer to the exclusion policy.
Reference value: 0 ABP has not had any violations of its exclusion policy.
Limiting climate change
Contents SFDR annexes ABP Annual Report 2022 236

# Indicator Result in reporting period

5 CO₂ reduction in the equities portfolio by 2025 (reference year: 2015) The total reduction relative to the reference year is -57.6%.

This results in the following carbon footprints for the different products:
• DME: 100.18 tCO₂e / EUR million
• EME: 117.02 tCO₂e / EUR million
This concerns the metric tons of CO₂ emission per million euros invested. For equities,
this is measured in relation to the stake in the company concerned.3
6 CO₂ reduction in the real estate portfolio (CRREM reduction pathway) The portfolio complied with the CRREM reduction pathway, which is included in the
benchmark for the product.
Reference value:
Outperform the CRREM reduction pathway as included in the benchmark for the
product.
Contributions to the UN SDGs
7 Investments in companies that contribute to the UN SDGs At year-end, the percentage of SDIs in relation to the total NAV was 20.0%.

Reference value:
> 20% of the value of investments / portfolio of assets under management (reference
year: 2025)
Inclusion policy – Corporate responsibility with respect to the environment, human
rights and good governance
Leaders in the equities and credits portfolio. Our target is that 100% of the companies in our equities and credits portfolio are
Leaders, which we aim to achieve through engagement activities and portfolio
8
Reference value: management. At year-end, the percentage was 83.5%. We engage with the companies
100% of the investments in the portfolio not classified as Leaders.

3 As an example: if we have a 5% stake in Company X, then 5% of Company X’s total emissions will be included in the calculation.
 Contents SFDR annexes ABP Annual Report 2022 237

…and compared to previous periods?

2022 is the first year on which we have reported in this way. Consequently, this question does not apply for this reference period.

 hat were the objectives of the sustainable investments that the financial product partially made and how did the
W
sustainable investment contribute to such objectives?

At present, the pension scheme only promotes E/S characteristics. It has set no minimum proportion of sustainable investments as
defined in the SFDR, and it also has no environmentally sustainable investments. To determine whether an investment qualifies as a
“sustainable investment” under the SFDR, a comprehensive framework must be created to examine each investment and ascertain
whether it is sustainable. This involves establishing the extent to which each individual investment contributes to an environmental or
social objective. In addition, the investment must be in a company that follows good governance practices, and it may not significantly
harm any environmental or social objectives. In 2022, ABP did not yet have a framework to ascertain whether its investments are
“sustainable” as defined by the SFDR, but it has taken steps to create such a framework.

 ow did the sustainable investments that the financial product partially made not cause significant harm to any
H
environmental or social sustainable investment objective?

See the answer to the previous question.

How did this financial product consider principal adverse impacts on sustainability factors?
This product considered principal adverse impacts on sustainability factors, as defined in the EU regulation. This relates to environmental,
social and employee matters, respect for human rights, and anti-corruption and anti-bribery matters.

Principal adverse impacts We use the OECD Guidelines for institutional investors as a guide when selecting and monitoring our investments. ABP’s implementation
are the most significant document for the OECD Guidelines on Due Diligence4 describes how our asset manager performs these tasks. We expect our asset
negative impacts of manager to screen the portfolio for any negative impacts of investments, and prioritize the most serious impacts (based on severity,
investment decisions scope, irreversibility and probability). Where appropriate, we consult external experts and other stakeholders for additional investigations
on sustainability factors and perspectives.
relating to environmental,
social and employee
matters, respect for human
rights, anti‐corruption and
anti‐bribery matters.

4 For the ABP implementation document for the OECD Guidelines on Due Diligence, see: Implementation of the OECD Guidelines on Due Diligence.
Contents SFDR annexes ABP Annual Report 2022 238

Environmental indicators for adverse impacts on sustainability factors

Indicator Explanation Asset class Outcome
In 2022, the average amount of GHG
Scope 1 GHG emissions Scope 1 and 2 emissions of investments emissions for the equities/credits portfolio
Greenhouse gas Equities and
PAI 1 are measured and monitored. was 8,271,580 kilotons. This number
(GHG) emissions Credits
Scope 2 GHG emissions Scope 3 emissions are not measured. was calculated based on the company’s
enterprise value.
Based on our carbon footprint target5 The average carbon footprint for 2022 was
Equities,
we measure how much carbon is 49.6 kilotons / EUR million for the equities
real estate,
emitted by the companies in which portfolio (developed and emerging markets)
PAI 2 Carbon footprint Carbon footprint private
this product invests and how much of and credits portfolio combined. This number
equity and
that carbon can be attributed to these was calculated based on the company’s
credits
companies. enterprise value.
On average (averaged over four quarters),
our exposure for the year to companies
active in the fossil fuel sector was
EUR 7,170,961 million.

The fossil fuel sector is defined as follows:

• companies that earn more than 1% of
their revenue from fossil fuel production
or exploration;
Based on our inclusion policy, a number
• companies that earn 20% or more
of companies active in the fossil fuel
of their revenue from fossil energy
Exposure to Share of investments in sector will be sold. These are energy
Equities and activities.
PAI 4 companies active in companies active in the companies and utility companies that
Credits
the fossil fuel sector fossil fuel sector we believe are lagging behind in the
Some companies are excluded from the
area of climate change action. These
above definition. This concerns the following
companies will be divested.
companies:
• majority SDIs under SDGs 7 & 13;
• utility companies;
• companies with a 1.5 degrees SBTi short-
term target;
• companies with a 1.5 degrees TPI carbon
results goal and a TPI Management
Quality score of 3 or 4.

5 For more information on our footprint targets, see our Sustainable and Responsible Investment Policy.
Contents SFDR annexes ABP Annual Report 2022 239

Social indicators for adverse impacts on sustainability factors

Indicator Explanation Asset class Outcome
Violations of UN
Global Compact Share of investments
principles and in companies that Based on the inclusion policy, we can In total, the operations of 77
Organization have been involved only invest in companies involved in companies are not in line with the UN
Equities
for Economic in violations of the violations of the UNGC principles or Global Compact or the Organization
PAI 10 and
Cooperation and UN Global Compact OECD Guidelines for Multinational for Economic Cooperation and
Credits
Development principles or OECD Enterprises if we also start Development (OECD) Guidelines for
(OECD) Guidelines Guidelines for engagement with these companies. Multinational Enterprises.
for Multinational Multinational Enterprises
Enterprises
Gender diversity on boards is
For equity investments, a number of
addressed under the voting policy.
Average ratio of female votes were cast to address gender
The average ratio of female to male
to male members of diversity on company boards.
board members of the companies Equities
Board gender the boards ofinvestee The number of votes was linked to the
PAI 13 in which this product invests is and
diversity companies, expressed as following three equity products:
addressed in our voting policy, which Credits
a percentage of board all DME pool: 5306
is based on our expectations around
members EME pool: 535
the composition and diversity of
DME/MV SA: 82
boards.
Exposure to
controversial
weapons (anti- Share of investments in Based on our exclusion policy, 57
In accordance with our exclusion
personnel companies involved in All relevant investments were excluded because
PAI 14 policy, we do not invest in
mines, cluster the manufacture or sale asset classes they were involved in the manufacture
controversial weapons.
munitions, chemical of controversial weapons or sale of controversial weapons.
weapons and
biological weapons)

6 Only the first nine months of votes cast are counted, since after that point ABP separated from the Developed Markets Equity Pool.
 Contents SFDR annexes ABP Annual Report 2022 240

What were the top investments of this financial product?

Nr. Largest investments Sector % Assets Country

1 French Republic Government 2.66% France
2 United States of America Government 2.58% U.S.
3 Federal Republic of Germany Government 1.80% Germany
4 United Kingdom of Great Britain and Northern Ireland Government 0.97% U.K.

The list includes the 5 Kingdom of Belgium Government 0.77% Belgium

investments constituting 6 Kingdom of the Netherlands Government 0.68% The Netherlands
the greatest proportion 7 Kingdom of Spain Government 0.51% Spain
of investments of the 8 Fannie Mae or Freddie Mac Securitized 0.42% U.S.
financial product during
9 Federal National Mortgage Association Government 0.40% U.S.
the reference period.
10 Apple Inc Information technology 0.38% U.S.
11 Microsoft Corp. Information technology 0.36% U.S.
12 Republic of Austria Government 0.32% Austria
13 Prologis Inc Logistics 0.30% U.S.
14 Republic of Indonesia Government 0.28% Indonesia
15 Taiwan Semiconductor Manufacturing Co Ltd Information technology 0.27% Taiwan
 Contents SFDR annexes ABP Annual Report 2022 241

What was the proportion of sustainability-related investments?

Asset allocation describes What was the asset allocation?

the share of investments in
specific assets.
#1 Aligned with E/S-
characteristics
Investments

#2 Other

#1 Aligned with E/S characteristics includes the investments of the financial product used to attain the environmental or social characteristics promoted by the
financial product.
#2Other includes the remaining investments of the financial product which are neither aligned with the environmental or social characteristics, nor are qualified
as sustainable investments.

The category #1 Aligned with E/S characteristics covers:

- The sub-category #1A Sustainable covers environmentally and socially sustainable investments.
- The sub-category #1B Other E/S characteristics covers investments aligned with the environmental or social characteristics that do not qualify as sustainable
investments.
Contents SFDR annexes ABP Annual Report 2022 242

ABP’s investments are allocated as follows:

- Investments that promote E/S characteristics: 82%

- Other: 18%

E/S characteristic (av-

Building block Building block name Weighted E/S characteristic
erage)
FIT Treasuries 100% 22%
EQD Equity Developed 99% 20%
RE Real Estate 74% 8%
FIC Credits 80% 10%
EMD Emerging Market Debt 100% 7%
PEQ Private Equity 36% 6%
EQE Equity Emerging 100% 7%
INF Infrastructure 64% 3%
ILD Index Linked Debt 100% 0%
COM Commodities 0% 0%
HEF Hedge Funds 0% 0%
OVL Overlay 0% 0%
TIF Thematic Investment Funds 100% 0%
Total 66% 82%
Contents SFDR annexes ABP Annual Report 2022 243

In which economic sectors were the investments made?

Nr. Sector Weighting GICS Sector

1 Government 27%
2 Financial institutions 23% 40 Financials
3 Information technology 10% 4510 Software & Services
4 Real estate 9% 6010 Real Estate
5 Industrial companies 7% 20 Industrials
6 Consumer discretionary 5% 252030 Textiles, Apparel & Luxury goods
7 Healthcare 4% 35 Healthcare
8 Securitized 3% 402040 Mortgage Real Estate Investment Trusts
9 Energy 3% 551010 Electric Utilities
10 Consumer staples 3% 55 Utilities
11 Commodities 2% 55 Utilities
12 Telecommunications 2% 452010 Communications Equipment
13 Utility companies 2% 55 Utilities

The sectors indicated above are based on GICS, with additions for specific investments (such as Government).

To what extent were the sustainable investments with an environmental objective aligned with the EU Taxonomy?
During the reference period, 0% of ABP’s sustainable investments with an environmental objective were aligned with the EU Taxonomy.
Contents SFDR annexes ABP Annual Report 2022 244

W
 hat investments were included under “other”, what was their purpose and were there any minimum
environmental or social safeguards?
For this pension scheme, the following investments are included under 2 Other:
- Money market instruments;
- Derivatives;
- ETFs; and
- Hedge Funds.
This also applies to certain investments in:
- Real Estate;
- Private Equity; and
- Credits.

No environmental and/or social safeguards apply to the investments included under 2 Other. These investments relate to other derivatives,
and cash and cash equivalents, which are exclusively used for efficient portfolio management and to limit risks in accordance with the
Pensions Act. No environmental or social minimum safeguards exist for the investments included under 2 Other.

What actions have been taken to meet the environmental and/or social characteristics during the reference period?
Exclusion: No changes were made to ABP’s exclusion policy in 2022. Based on the current exclusion policy, seven listed companies
were added to the list of excluded companies7 due to their direct or indirect involvement with controversial weapons or tobacco.
Two companies were removed from the exclusion list because they are no longer involved in these controversial activities. In 2022,
Afghanistan was added to the list of excluded sovereign bonds.

In March 2022, we decided to sell our investments in Russia. This was in response to the Russian military strike on Ukraine. These
investments made up less than 0.1% of invested assets. We had already significantly reduced our investments in Russia in the preceding
years. In addition, due to a binding EU arms embargo, ABP had already chosen not to invest in Russian sovereign bonds. Because of the
difficult market conditions and legal restrictions imposed by Russia, ABP has not yet managed to sell all of its investments.

7 The most recent list of exclusions can be found on our website.

Contents SFDR annexes ABP Annual Report 2022 245

Climate: In December 2022, ABP published its Climate Policy 2022-20308. This is part of ABP’s Sustainable and Responsible Investment
Policy, and was updated at the same time as that policy. In our climate policy, we explain what we want to achieve:

- Portfolio in line with the goals of the Paris Agreement

- Net zero greenhouse gas emissions by 2050
- 50% reduction in greenhouse gas emissions by 2030 compared with 2019:
• Across the entire investment portfolio
• Absolute footprint
• Across the entire value chain, so including emissions from the purchase and use of products
- By 2030, €30 billion invested in the climate transition, including €10 billion for impact investments:
• Investments that demonstrably make a difference
• Actively seeking opportunities in the Netherlands

The climate policy also sets out the actions we will take to achieve these goals:

- Only invest in companies that do not make products or provide services that are inextricably linked to climate damage
- Invest in sectors with long-term opportunities, in companies that are willing and able to make the climate transition
- Where companies have a major climate impact, we require them to have a climate plan in line with the Paris Agreement:
• Targets in line with net zero by 2050
• Emissions reporting obligation
- Intensive dialogue with utility companies, transport sector, steel industry, cement industry, chemical industry, financial sector
- Impact investments in green energy, smart networks, insulation, (green) hydrogen, clean mobility, energy storage, and climate
adaptation.

Carbon footprint: In the context of the Climate Policy 2022-2030, in 2022 ABP published its carbon footprint methodology,9 explaining
how ABP measures carbon footprints and aims to reduce the carbon footprint of listed equities.

8 https://www.abp.nl/content/dam/abp/common/documents/klimaatbeleid-abp-15-december-2022.pdf
9 https://www.abp.nl/content/dam/abp/nl/documents/ABP-CO2-methodologie-2022.pdf
Contents SFDR annexes ABP Annual Report 2022 246

Sustainable Development Goals: Through its investments and other activities, ABP aims to contribute to the Sustainable Development
Goals (SDGs). In 2022, ABP made new investments that will contribute to the SDGs related to climate change and the energy transition,
including the following:

- In May 2022, ABP took a 50% stake in a leading and innovative player in the market for sustainable energy for companies, public
authorities, and institutions. Groendus is a Dutch company established in 2021 through a merger of six specialized companies active
in solar projects, smart measurement services, and sustainable energy solutions. The company has already built more than 300 solar
power plants in the Netherlands and aims to significantly increase this number. In addition, Groendus wants to offer customers an ever
broader range of sustainability solutions, such as smart charging and battery storage.

- In March 2022, ABP invested in the Dutch solar energy company Enie.nl. Consumers can buy or lease solar panels from Enie.nl, or sign a
contract for solar energy. Companies can lease or buy solar panels, charging stations, and batteries. We made this investment through
the ABP Netherlands Energy Transition Fund (ANET), which was specially created to contribute to financing the energy transition in
the Netherlands.

- In 2022, the real estate fund Vesteda assessed the sustainability of all 28,000 rented homes in its portfolio in the Netherlands.
This baseline measurement provided Vesteda with insight into how the sustainability of these homes can be further improved, which
is better for tenants and better for returns. ABP is a major investor in Vesteda.

Inclusion mandate: In 2022, we published an overview10 on our website of the results of completed engagement projects conducted in
the context of our inclusion policy, as agreed in the covenant on international socially responsible investment (IVMB covenant).

In 2022, we implemented the decision we had made in October 2021 to sell investments in oil, gas, and coal producers. At year-end 2021,
our investments in equities and credits of companies in the fossil fuel industry totaled €11.3 billion; by year-end 2022, that figure had
decreased to €1.8 billion. The remainder are equities and credits in companies in emerging markets. We aim to sell these investments
over the course of the year.

At year-end 2022, we still had €5.6 billion in illiquid investments in the fossil fuel industry. These investments cannot be sold as quickly
as equities and credits. These illiquid investments in the fossil fuel industry will be sold in the years ahead, or, where that is not possible,
will remain part of the portfolio.

Engagement: The ABP Stewardship policy sets out how our asset manager conducts dialogue and engagement on our behalf with the
companies in the portfolio, and how it votes at shareholders’ meetings for listed companies.

10 https://www.abp.nl/content/dam/abp/common/documents/ABP-IMVB-Engagement-rapportage-2022.pdf
Contents SFDR annexes ABP Annual Report 2022 247

Voting at shareholders’ meetings: In 2022, we updated our voting policy with respect to the following matters:

- Climate: In 2022, our climate-related expectations were further addressed in the voting policy by enlarging the number of companies
in scope, and refining the expectations around climate-related governance, disclosures, and objectives.

- Diversity: To take action on our expectations for diversity on companies’ supervisory boards, we included stricter requirements in this
respect in our voting policy in 2022. In 2022, ABP voted against members of the nomination committee in companies where the board
was not sufficiently diverse.

- Human rights: To emphasize the need for effective due diligence with respect to human rights, in 2022 ABP voted against the chairs of
the supervisory boards of companies that did not apply any due diligence in the area of human rights and did not shown any significant
progress in drafting a human rights policy.

- Digitalization: In 2022, through its voting behavior, ABP called to account the boards of Big Tech companies and other digital companies
for digital rights violations. This was mainly related to issues at Big Tech and other digital companies with regard to privacy, content
moderation, or facial recognition. In addition, more attention was given to shareholders’ proposals for better content moderation and
privacy standards, as well as better alignment between companies’ lobbying practices and their policy statements.

- Monitoring of racial equality: Shareholders’ proposals on racial equality and/or guidelines for monitoring civil rights were carefully
evaluated in 2022. These evaluations looked at how the companies in question deal with racial inequality and discrimination.

In 2022, ABP published a new voting platform on its website, to provide even more insight and transparency with respect to the votes
cast by APG on behalf of ABP. On the voting platform, historical information can be found about the companies, sectors, countries, and
specific agenda items on which votes have been cast.
 Contents SFDR annexes ABP Annual Report 2022 248

SFDR Annex IV Net Pension Scheme

Regulation (EU) 2019/2088 on sustainability‐related disclosures in the financial services sector.

ANNEX IV

Sustainable investment Template periodic disclosure for the financial products referred to in Article 8, paragraphs 1, 2 and 2a, of
means an investment Regulation (EU) 2019/2088 and Article 6, first paragraph, of Regulation (EU) 2020/852
in an economic activity
that contributes to an
environmental or social Product name: ABP Net Pension Scheme
objective, provided that
the investment does Legal entity identifier: 549300CT8FEJ1I-UK9C94
not significantly harm
any environmental or
social objective and that
Environmental and/or social characteristics
the investee companies
follow good governance Did this financial product have a sustainable investment objective? [tick and fill in as relevant, the percentage figure represents the
practices. minimum commitment to sustainable investments]

Yes No
The EU Taxonomy is a
classification system laid It made sustainable investments with an environmental It promoted Environmental/Social (E/S) characteristics
down in Regulation (EU) objective: ___% while it did not have as its objective a sustainable investment,
2020/852, establishing a it had a proportion of ___% of sustainable investments
list of environmentally in economic activities that qualify as environmentally
sustainable economic sustainable under the EU Taxonomy  ith an environmental objective in economic activities
w
activities. That that qualify as environmentally sustainable under the EU
Regulation does not lay in economic activities that do not qualify as Taxonomy
down a list of socially environmentally sustainable under the EU Taxonomy
sustainable economic
 ith an environmental objective in economic activities
w
activities. Sustainable
that do not qualify as environmentally sustainable
investments with an
under the EU Taxonomy
environmental objective
might be aligned with
with a social objective
the Taxonomy or not.

It made sustainable investments with a social It promoted E/S characteristics, but did not make any
objective: ___% sustainable investments
Contents SFDR annexes ABP Annual Report 2022 249

To what extent were the environmental and/or social characteristics promoted by this financial product met?

In the past calendar year, 2022 (the reference period), ABP promoted various environmental and social (E/S) characteristics in the pension
scheme, in accordance with its Sustainable and Responsible Investment Policy1 (During the reference period, no sustainable investments
were made in the pension scheme with an environmental or social objective as described in the Taxonomy Regulation.

Below is a description of how the pension scheme has complied with the promotion of E/S characteristics. Any measures taken during
the reference period that could have an impact on the promotion of E/S characteristics in future reference periods are explained under
the question: What measures were taken in the reference period to comply with the environmental and/or social characteristics?
This includes policy amendments and engagement activities. For example, the goals of the ABP climate policy were updated in late 2022
as follows:

• Portfolio in line with the goals of the Paris Agreement

• Net zero greenhouse gas emissions by 2050
• 50% reduction in greenhouse gas emissions by 2030 compared with 2019:
- Across the entire investment portfolio
- Absolute footprint
- Across the entire value chain, so including emissions from the purchase and use of products
• By 2030, €30 billion invested in the climate transition, including €10 billion in impact investments:
- Investments that demonstrably make a difference
- Actively seeking opportunities in the Netherlands

Exclusion of controversial activities

ABP’s exclusion policy ensures that the portfolio does not include companies or government bonds from countries involved in controversial
activities. These activities include:

• involvement in the production of anti-personnel mines, nuclear weapons, cluster bombs, land mines, or chemical or biological
weapons;
• involvement in the production of tobacco;
• investments in countries subject to a UN/EU arms embargo; and
• companies that earn revenue from coal or lignite for electricity production.

In 2022, investments involved in the above activities were present to a limited extent throughout ABP’s portfolio. ABP has not had any
violations of its exclusion policy. ABP has therefore complied with the promotion of this characteristic.

1 This policy does not focus on “sustainable investments” as defined by the SFDR. It is simply the name of the policy implemented by ABP in relation to sustainability.
Contents SFDR annexes ABP Annual Report 2022 250

Limiting climate change

For equity investments, ABP applies a carbon footprint reduction target. This target is based on the score from a baseline measurement
conducted in 2015. ABP aims for a 40% reduction relative to this baseline score by 2025. The total reduction achieved relative to the
baseline score is -57.6.

The services of data provider Trucost were used to obtain information about company emissions. The current method involves reporting
on ABP’s position in the share capital of each company, multiplied by the company’s carbon emissions in metric tons. To determine the
carbon footprint, the total carbon emissions are divided by the millions of euros invested in the companies concerned.

For the real estate portfolio, the carbon footprint is managed with reference to the CRREM reduction pathway. In doing so, ABP attempts
to ensure its portfolio is better positioned than the specified CRREM reduction pathway. The goal is to have a complete picture of the
portfolio’s energy consumption and carbon emissions by 2030. This will enable us to take action to reduce energy consumption and to
ensure that the portfolio’s annual average greenhouse gas emissions intensity (in kg CO₂/m²) stays within the Paris pathway of less than
1.5 degrees Celsius global warming and that all asset managers are committed to a science-based target in line with the Paris Agreement
(1.5 degrees). In the meantime, ABP is actively pursuing these targets through engagement.

In addition to the carbon footprint reduction objective, ABP excludes companies that derive more than 1% of their revenue from fossil
fuel production or exploration, and companies that earn 20% or more of their income from fossil energy activities. The developed market
equity and credit investments in companies concerned were sold before year-end 2022.

Contributions to the UN SDGs

Across the entire investment portfolio, the target percentage of Sustainable Development Investments (SDIs)2 is 20%. This percentage is
measured in relation to the total net asset value (NAV). At year-end 2022, the percentage of SDIs relative to the total NAV of the portfolio
was 17.2%.

When investing in an SDI, risk/return expectations are always considered. If an SDI has the same risk/return ratio as a company without the
relevant SDI classification, the SDI is preferred over the non-SDI investment. By considering these factors for every investment decision,
ABP tries to ensure the highest possible percentage of SDIs within the portfolio as a whole.

2 Sustainable Development Investments (SDI) does not mean the same as ‘sustainable investments’ as defined by the SFDR.
 Contents SFDR annexes ABP Annual Report 2022 251

Inclusion policy – Corporate responsibility with respect to the environment, human rights and good governance
The inclusion policy is based on the themes of the UN Global Compact (human rights, labor, the environment, and anti-bribery and anti-
corruption) and requirements for investors and companies under the OECD Guidelines. Investments are evaluated against the inclusion
policy, which involves assessing the sustainability characteristics of listed investments. If these characteristics are not at the desired level,
we engage in a dialogue with the company concerned. Through this engagement, we aim to point the company in the right direction.
Sustainability indicator Engagement continues until the company changes course and meets the desired sustainability characteristics. If the company is still not
measure how the operating in line with the sustainability characteristics after engagement has been pursued for a certain period of time, ABP will divest.
environmental or social
characteristics promoted Under the inclusion policy, companies are classified as:
by the financial product • companies that meet our criteria and have an above-average score in the industry concerned;
are attained. • companies that do not meet our criteria but which we believe we can encourage to make improvements;
• companies that do not meet our criteria and which we do not believe will show improvement.

How did the sustainability indicators perform?

This section must be read in conjunction with the previous question, which provides a qualitative description of the E/S characteristics.
The following table sets out the results for each of the E/S characteristics promoted by the pension scheme.

# Indicator Result in reporting period

Exclusion of controversial activities
No investment in companies involved in the production of controversial No investments that match the listed characteristics. Value for 2022: 0.
weapons (anti-personnel mines, nuclear weapons, cluster bombs, land mines, For more information on the selection and exclusion of the relevant
1 chemical and biological weapons) companies, please refer to the exclusion policy. ABP has not had any
violations of its exclusion policy.
Reference value: 0
No investments in countries subject to a UN/EU arms embargo No investments in the portfolio that match the listed characteristics.
Value for 2022: 0. For more information on the selection and exclusion of
2
the relevant companies, please refer to the exclusion policy. ABP has not
Reference value: 0 had any violations of its exclusion policy.
No investments in companies that earn revenue from coal or lignite for No investments in the portfolio that match the listed characteristics.
electricity production Value for 2022: 0. For more information on the selection and exclusion of
3
the relevant companies, please refer to the exclusion policy. ABP has not
Reference value: 0 had any violations of its exclusion policy.
No investments in companies that earn revenue from tobacco No investments in the portfolio that match the listed characteristics.
Value for 2022: 0. For more information on the selection and exclusion of
4
the relevant companies, please refer to the exclusion policy. ABP has not
Reference value: 0 had any violations of its exclusion policy.
Limiting climate change
Contents SFDR annexes ABP Annual Report 2022 252

# Indicator Result in reporting period

CO2 reduction in the equities portfolio by 2025 (reference year: 2015) The total reduction relative to the reference year is -57.6%

This results in the following carbon footprints for the different products:
DME: 100.18 tCO₂e / EUR million
5
EME: 117.02 tCO₂e / EUR million
This concerns the metric tons of CO2 emission per million euros invested.
For equities, this is measured in relation to the stake in the company
concerned.3
CO2 reduction in the real estate portfolio (CRREM reduction pathway) The portfolio complied with the CRREM reduction pathway, which is included
in the benchmark for the product.
6 Reference value:
Outperform the CRREM reduction pathway as included in the benchmark for
the product.
Contributions to the UN SDGs
Investments in companies that contribute to the UN SDGs At year-end, the percentage of SDIs relative to the total NAV was 17.2%.

7 Reference value:
> 20% of the value of investments / portfolio of assets under management
(reference year: 2025)
Inclusion policy – Corporate responsibility with respect to the environment,
human rights and good governance
Leaders in the equities and credits portfolio. Our target is that 100% of the companies in our equities and bonds portfolio
are Leaders, which we aim to achieve through engagement activities and
8
Reference value: portfolio management. At year-end, the percentage was 83.5%. We engage
100% of the investments with the companies in the portfolio not classified as Leaders.

3 As an example: if we have a 5% stake in Company X, then 5% of Company X’s total emissions will be included in the calculation.
 Contents SFDR annexes ABP Annual Report 2022 253

• … and compared to previous periods?

2022 is the first year on which we have reported in this way. Consequently, this question does not apply to this reference period.

• What were the objectives of the sustainable investments that the financial product partially made and how did the sustainable
investment contribute to such objectives?

At present, the pension scheme only promotes E/S characteristics. It has set no minimum stake in sustainable investments as defined in
the SFDR, and it also has no environmentally sustainable investments. To determine whether an investment qualifies as a “sustainable
investment” under the SFDR, a comprehensive framework must be created to examine each investment and ascertain whether it is
sustainable. This involves establishing the extent to which each individual investment contributes to an environmental or social objective.
In addition, the investment must be in a company that follows good governance practices, and it may not significantly harm any
environmental or social objectives. In 2022, ABP did not yet have a framework to ascertain whether its investments are “sustainable” as
defined by the SFDR, but it has taken steps to create such a framework.

• How did the sustainable investments that the financial product partially made not cause significant harm to any environmental
or social sustainable investment objective?

See the answer to the previous question.

How did this financial product consider principal adverse impacts on sustainability factors?
This product considered the principal adverse impacts on sustainability factors, as defined in the EU regulation. This relates to
environmental, social and employment matters, respect for human rights, and anti-corruption and anti-bribery.
Principal adverse impacts
are the most significant We use the OECD Guidelines for institutional investors as a guide when selecting and monitoring our investments. ABP’s implementation
negative impacts of document for the OECD Guidelines on Due Diligence4 describes how our asset manager performs these tasks. We expect our asset
investment decisions manager to screen the portfolio for any negative impacts of investments, then prioritize the most serious impacts (based on severity,
on sustainability factors scope, irreversibility and probability). Where appropriate, we consult external experts and other stakeholders for additional investigations
relating to environmental, and perspectives.
social and employee
matters, respect for human
rights, anti‐corruption and
anti‐bribery matters.

4 For the ABP implementation document for the OECD Guidelines on Due Diligence, see: Implementation of the OECD Guidelines on Due Diligence.
Contents SFDR annexes ABP Annual Report 2022 254

Environmental indicators for adverse impacts on sustainability factors

Indicator Parameter Explanation Asset class Outcome
In 2022, the average amount of GHG
Scope 1 GHG emissions Scope 1 and 2 emissions of investments emissions for the equities/credits
Greenhouse gas Equities and
PAI 1 are measured and monitored. portfolio was 303 kilotons. This number
(GHG) emissions Credits
Scope 2 GHG emissions Scope 3 emissions are not measured. was calculated based on the company’s
enterprise value.
Based on our carbon footprint target5, The average carbon footprint for 2022 was
we measure how much carbon dioxide 51.7 kilotons / EUR million for the equities
is emitted by the companies in which Equities and portfolio (developed and emerging
PAI 2 Carbon footprint Carbon footprint
this product invests and how much of Credits markets) and bonds portfolio combined.
those emissions can be attributed to This number was calculated based on the
these companies. company’s enterprise value.
On average (averaged over four quarters),
our exposure for the year to companies
active in the fossil fuel sector was
EUR 422.

The fossil fuel sector is defined as follows:

• companies that earn more than
1% of their revenue from fossil fuel
production or exploration;
Based on our inclusion policy, a number
• companies that earn 20% or more
of companies active in the fossil fuel
Exposure to of their revenue from fossil energy
Share of investments in sector will be sold. These are energy
companies active Equities and activities.
PAI 4 companies active in the companies and utility companies that
in the fossil fuel Credits
fossil fuel sector we believe are lagging behind in the
sector Some companies are excluded from
area of climate change action. These
the above definition. This concerns the
companies will be divested
following companies:
• majority SDIs under SDGs 7 & 13;
• utility companies;
• companies with a 1.5 degree SBTi
short-term target;
• companies with a 1.5 degrees
TPI carbon results goal and a TPI
Management Quality score of 3 or 4.

5 For more information on our footprint targets, see our Sustainable and Responsible Investment Policy.
Contents SFDR annexes ABP Annual Report 2022 255

Social indicators for adverse impacts on sustainability factors

Indicator Parameter Explanation Asset class Outcome
Violations of UN
Global Compact Share of investments
principles and in companies that Based on the inclusion policy, we can
In total, the operations of 77 companies are
Organization have been involved only invest in companies involved in
not in line with the UN Global Compact or
for Economic in violations of the violations of the UNGC principles or Equities and
PAI 10 the Organization for Economic Cooperation
Cooperation and UN Global Compact OECD Guidelines for Multinational Credits
and Development (OECD) Guidelines for
Development principles or OECD Enterprises if we also start engagement
Multinational Enterprises.
(OECD) Guidelines Guidelines for with these companies.
for Multinational Multinational Enterprises
Enterprises
Gender diversity on boards is addressed For equity investments, a number of votes
Average ratio of
under voting policy. The average ratio of were cast to improve gender diversity on
female to male board
female to male board members of the company boards. The number of votes
Board gender members of investee Equities and
PAI 13 companies in which this product invests was linked to the following three equity
diversity companies, expressed as Credits
is addressed in our voting policy, which products:
a percentage of all board
is based on our expectations around the DME pool: 608
members
composition and diversity of boards. EME pool: 535
Exposure to
controversial
weapons (anti- Share of investments in Based on our exclusion policy, 57
In accordance with our exclusion
personnel mines, companies involved in All relevant investments were excluded because they
PAI 14 policy, we do not invest in controversial
cluster munitions, the production or sale of asset classes were involved in the production or sale of
weapons.
chemical weapons controversial weapons controversial weapons.
and biological
weapons)
 Contents SFDR annexes ABP Annual Report 2022 256

What were the top investments of this financial product?

Nr. Largest investments Sector % Assets Country

1 French Republic Government 3.16% France
2 United States of America Government 1.99% U.S.
3 Italian Republic Government 1.77% Italy
Asset allocation describes
4 Federal Republic of Germany Government 1.58% Germany
the share of investments in
specific assets. 5 Kingdom of Spain Government 1.00% Spain
6 Apple Inc Information technology 0.80% U.S.
7 Microsoft Corp Information technology 0.75% U.S.
8 United Kingdom of Great Britain and Northern Ireland Government 0.63% U.K.
9 Taiwan Semiconductor Manufacturing Co Ltd Information technology 0.52% Taiwan
10 Fannie Mae or Freddie Mac Securitized 0.51% U.S.
11 Alphabet Inc. Information technology 0.48% U.S.
12 Kingdom of The Netherlands Government 0.47% The Netherlands
13 Kingdom of Belgium Government 0.46% Belgium
14 Federal National Mortgage Association Securitized 0.43% U.S.
15 Amazon.com Inc. Information technology 0.38% U.S.
 Contents SFDR annexes ABP Annual Report 2022 257

What was the proportion of sustainability-related investments?

Asset allocation describes

the share of investments in • What was the asset allocation?
specific assets.

#1 Aligned with E/S-

characteristics
Investments

#2 Other

#1 Aligned with E/S characteristics includes the investments of the financial product used to attain the environmental or social characteristics promoted by the
financial product.

#2 Other includes the remaining investments of the financial product which are neither aligned with the environmental or social characteristics, nor are qualified
as sustainable investments.

The category #1 Aligned with E/S characteristics covers:

- The sub-category #1A Sustainable covers environmentally and socially sustainable investments.
- The sub-category #1B Other E/S characteristics covers investments aligned with the environmental or social characteristics that do not qualify as sustainable
investments.
Contents SFDR annexes ABP Annual Report 2022 258

ABP’s investments are allocated as follows:

• Investments that promote E/S characteristics: 93%

• Other: 7%

E/S characteristic (equally

Building block Building block name Weighted E/S characteristic
weighted average)
EQD Equity Developed 99% 40%
FIT Treasuries 100% 16%
EQE Equity Emerging 100% 14%
FIC Credits 100% 12%
RE Real Estate 68% 6%
ILD Index Linked Debt 100% 6%
COM Commodities 0% 0%
OVL Overlay 0% 0%
Totaal 71% 93%
Contents SFDR annexes ABP Annual Report 2022 259

• In which economic sectors were the investments made?

Nr. Sector Weighting GICS code

1 Commodities 3% 55 Utilities
2 Securitized 3% 402040 Mortgage Real Estate Investment Trusts
3 Real estate 12% 6010 Real Estate
4 Utility companies 2% 55 Utilities
5 Telecommunications 2% 452010 Communications Equipment
6 Healthcare 9% 35 Healthcare
7 Consumer discretionary 8% 252030 Textiles, Apparel & Luxury goods
8 Energy 1% 551010 Electric Utilities
9 Industrial companies 6% 20 Industrials
10 Financial institutions 14% 40 Financials
11 Consumer staples 5% 55 Utilities
12 Information technology 13% 4510 Software & Services
13 Government 22%

The sectors indicated above are based on GICS, with additions for specific investments (such as Government).

To what extent were the sustainable investments with an environmental objective aligned with the EU Taxonomy?
During the reference period, 0% of ABP’s sustainable investments with an environmental objective were aligned with the EU Taxonomy.
Contents SFDR annexes ABP Annual Report 2022 260

W
 hat investments were included under “other”, what was their purpose and were there any minimum
environmental or social safeguards?
For this pension scheme, the following investments are included under 2 Other:
- Money market instruments;
- Derivatives; and
- ETFs.

This also applies to certain investments in:

- Real Estate;
- Credits.

No environmental and/or social safeguards are applied for the investments included under 2 Other. These investments relate to other
derivatives, and cash and cash equivalents, which are exclusively used for efficient portfolio management and to limit risks in accordance
with the Pensions Act. No environmental or social minimum safeguards exist for the investments included under 2 Other.

What actions have been taken to meet the environmental and/or social characteristics during the reference period?
Exclusion: No changes were made to ABP’s exclusion policy in 2022. Based on the current exclusion policy, seven listed companies
were added to the list of excluded companies6 due to their direct or indirect involvement with controversial weapons or tobacco.
Two companies were removed from the exclusion list because they are no longer involved in the production of these products. In 2022,
Afghanistan was added to the list of excluded government bonds.

In March 2022, we decided to sell our investments in Russia. This was in response to the Russian military strike on Ukraine.
These investments made up less than 0.1% of invested assets. We had already significantly reduced our investments in Russia in the
preceding years. In addition, due to a binding EU arms embargo, ABP had already chosen not to invest in Russian government bonds.
Owing to the difficult market conditions and legal restrictions imposed by Russia, ABP has not yet managed to sell all of its investments.

6 The most recent list of exclusions can be found on our website.

Contents SFDR annexes ABP Annual Report 2022 261

Climate: In December 2022, ABP published its Climate Policy 2022-2030.7 This is part of ABP’s Sustainable and Responsible Investment
Policy, and was updated at the same time as that policy. In our climate policy, we explain what we want to achieve:

- Portfolio in line with the goals of the Paris Agreement

- Net zero greenhouse gas emissions by 2050
- 50% reduction in greenhouse gas emissions by 2030 compared with 2019:
• Across the entire investment portfolio
• Absolute footprint
• Across the entire value chain, so including emissions from the purchase and use of products
- By 2030, €30 billion invested in the climate transition, including €10 billion in impact investments:
• Investments that demonstrably make a difference
• Actively seeking opportunities in the Netherlands

The climate policy also sets out the actions we will take to achieve these goals:
- Only invest in companies that do not make products or provide services that are inextricably linked to climate damage
- Invest in sectors with long-term opportunities, in companies that are willing and able to make the climate transition
- Where companies have a major climate impact, we require them to have a climate plan in line with the Paris Agreement:
• Targets in line with net zero by 2050
• Emissions reporting obligation
- Intensive dialogue with utility companies, transport sector, steel industry, cement industry, chemical industry, financial sector
- Impact investments in green energy, smart networks, insulation, (green) hydrogen, clean mobility, energy storage, and climate
adaptation.

Carbon footprint: In the context of our Climate Policy 2022-2030, in 2022 we published our carbon footprint methodology8 which explains
how ABP measures the carbon footprint of companies and what steps we take with respect to listed equities to help reduce this footprint.

7 https://www.abp.nl/content/dam/abp/common/documents/klimaatbeleid-abp-15-december-2022.pdf
8 https://www.abp.nl/content/dam/abp/nl/documents/ABP-CO2-methodologie-2022.pdf
Contents SFDR annexes ABP Annual Report 2022 262

Sustainable Development Goals: Through its investments and other activities, ABP aims to contribute to the Sustainable Development
Goals (SDGs). In 2022, ABP made new investments that will contribute to the SDGs related to climate change and the energy transition,
including the following:

- In May 2022, ABP took a 50% stake in a leading and innovative player in the market for sustainable energy for companies, public
authorities, and institutions. Groendus is a Dutch company established in 2021 through a merger of six specialized companies active
in solar projects, smart measurement services, and sustainable energy solutions. The company has already built more than 300 solar
power plants in the Netherlands and aims to significantly increase this number. In addition, Groendus wants to offer customers an ever
broader range of sustainability solutions, such as smart charging and battery storage.

- In March 2022, ABP invested in the Dutch solar energy company Enie.nl. Consumers can buy or lease solar panels from Enie.nl, or sign a
contract for solar energy. Companies can lease or buy solar panels, charging stations, and batteries. We made this investment through
the ABP Netherlands Energy Transition Fund (ANET), which was specially created to contribute to financing the energy transition in
the Netherlands.

- In 2022, the real estate fund Vesteda assessed the sustainability of all 28,000 rented homes in its portfolio in the Netherlands.
This baseline measurement provided Vesteda with insight into how the sustainability of these homes can be further improved, which
is better for tenants and better for returns. ABP is a major investor in Vesteda.

Inclusion: In 2022, we published an overview9 on our website of the results of completed engagements conducted in the context of our
inclusion policy, as agreed in the covenant on international socially responsible investment (IVMB covenant).

In 2022, we implemented the decision we had made in October 2021 to sell investments in oil, gas, and coal producers. At year-end 2021,
our investments in equities and credits of companies in the fossil fuel industry totaled €11.3 billion; by year-end 2022, that figure had
decreased to €1.8 billion. The remainder are equities and credits in companies in emerging markets. We aim to sell these investments
over the course of the year.

At year-end 2022, we still had €5.6 billion in illiquid investments in the fossil fuel industry. These investments cannot be sold as quickly
as equities and credits. These illiquid investments in the fossil fuel industry will be sold in the years ahead, or, where that is not possible,
will remain part of the portfolio.

Engagement: The ABP Stewardship policy sets out how our asset manager conducts dialogue and engagement on our behalf with the
companies in the portfolio, and how it votes at the shareholders’ meetings of listed companies.

9 https://www.abp.nl/content/dam/abp/common/documents/ABP-IMVB-Engagement-rapportage-2022.pdf
Contents SFDR annexes ABP Annual Report 2022 263

Voting at shareholders’ meetings: In 2022, we updated our voting policy with respect to the following matters:

- Climate: In 2022, our climate-related expectations were further addressed in the voting policy by increasing the number of companies
in scope, and refining the expectations around climate-related governance, disclosures, and objectives.

- Diversity: To take action on our expectations for diversity on company boards, we included stricter requirements in this respect in
our voting policy in 2022. In 2022, ABP voted against members of the nomination committee at companies where the board was not
sufficiently diverse.

- Human rights: To emphasize the need for effective due diligence with respect to human rights, in 2022 ABP voted against the chairs of
the supervisory boards of companies that did not apply any due diligence in the area of human rights and did not shown any significant
progress in drafting a human rights policy.

- Digitalization: In 2022, through its voting behavior, ABP called to account the boards of Big Tech companies and other digital companies
for digital rights violations. This was mainly related to issues at Big Tech and other digital companies with regard to privacy, content
moderation, or facial recognition. In addition, more attention was given to shareholders’ proposals for better content moderation and
privacy standards, as well as better alignment between companies’ lobbying practices and their policy statements.

- Monitoring of racial equality: Shareholder proposals on racial equality and/or guidelines for monitoring civil rights were carefully
evaluated in 2022. These evaluations looked at how the companies in question deal with racial inequality and discrimination.

In 2022, ABP published a new voting platform on its website, to provide even more insight and transparency with respect to the votes
cast by APG on behalf of ABP. On the voting platform, historical information can be found about the companies, sectors, countries, and
specific agenda items on which votes have been cast.
Contents Supplementary information ABP Annual Report 2022 264

Supplementary information
Contents About this report ABP Annual Report 2022 265

About this report

In this annual report, we have taken the following steps towards an Materiality
integrated report. As the General Board, we report on the financial results The Integrated Reporting (IR) framework and Global Reporting Initiative (GRI)
and developments, as well as the results and developments in relation to Standards pivot on the materiality principle. This means that, on the basis of a
sustainable and socially responsible business practices. We also show how ABP structured dialogue with and/or survey of stakeholders, it can be determined
adds value, particularly for our participants and employers. As our primary which subjects they consider important to read about and which are important
stakeholders, they are at the center of all our operations. for reporting.

The transition to integrated reporting is a progressive process for ABP. We Scope and demarcations of the report
intend to embed integrated reporting, integrated thinking, and the associated This report covers Stichting ABP’s fiscal year 2022, which runs from January
policy step by step throughout our organization. Our goal is to work toward 1, 2022 through December 31, 2022. ABP presents the company financial
a fully integrated annual report in the years ahead, following the widely used statements before the consolidated financial statements because company
international integrated reporting framework of the International Integrated financial statements provide a more accurate view of ABP’s financial position
Reporting Council (IIRC) wherever possible. and tie in best with the management policy information provided in the Board
report and in other external publications.
Value creation model
This report presents a new version of our two-step value creation model. This The consolidated financial statements report on entities in which ABP holds a
model first shows how we deploy the various forms of capital and knowledge in capital interest that results in control over management decisions and financial
realizing our goals and how we strive to generate added value through our core policy, such as APG.
activities. This is followed by detailed information in relation to each element.
These two steps jointly reflect ABP’s impact on the stakeholders and on society. The sustainable report relates exclusively to ABP.
This value creation model is also based on the outlines of the IIRC framework.
The online version of our annual report includes an interactive version of the
value creation model with references to the relevant sections of the report by
the Board.

We also state clearly where readers can find more information on sustainable
and responsible investment on our website, for example.
Contents About this report ABP Annual Report 2022 266

Reporting guidelines Carbon footprint calculation

The annual report comprises the report of the Board, the report of the Non- To calculate the relative footprint, we start by determining our share of
Executive Board, the report and opinion of the Accountability Body, and the the carbon footprints of the companies in which we invest. We take into
financial statements. The 2022 financial statements have been prepared on the account both the emissions of the companies themselves (scope 1) and
basis of generally accepted financial reporting policies in the Netherlands and the emissions released during production of the energy purchased by the
the statutory provisions governing financial statements set out in Book 2, Part companies (scope 2).
9, of the Dutch Civil Code and the Dutch Accounting Standards (Richtlijnen voor
de Jaarverslaggeving). We refer to our share of the carbon footprints of all companies combined as
the “absolute footprint”. The relative footprint is the absolute footprint divided
This ABP report also provides information on topics of material and societal by the total amount we have invested (in tons of CO2 equivalent per one million
relevance, including governance, ABP’s role in society, and ABP’s approach to euros of invested assets). We adjust the amount of the invested assets for
sustainable and responsible investment. We follow the statutory guidelines of fluctuations in stock prices, to remove the impact of price rises and falls. We
the Code of the Dutch Pension Funds and the Pensions Act, and have also perform this adjustment on the basis of the value of the relevant units for the
adopted the following reporting guidelines: reference year.
• the main IR principles of the IIRC : strategic focus and future orientation,
1

creation of cohesion between the various sections of the report, In addition, we keep the ratio between the various sub-investment categories
stakeholders and stakeholder dialogue, materiality, conciseness, reliability (developed-market equities and emerging-market equities) the same as in
and completeness, and consistency and comparison; the reference year, to avoid any impact from changes in this allocation. If
• GRI Standards: ABP strives for optimum transparency in the reporting on new targets are set, the footprint in the reference year may be recalculated,
its activities and uses the Global Reporting Initiative (GRI) standards to do depending on the methodological changes. This was not the case in 2022, but
so. The 2022 annual report is the first report in which ABP references the following the announcement of a new ambition, the reference year footprint
GRI Standards. For this purpose, a GRI index has been provided as part of will be recalculated in 2023. Major changes in the emissions data of individual
the additional information. Our aim is to expand the GRI references in our companies resulting from changes in data quality can also require adjustments
reporting in the years ahead. to the reference year footprint. We do so because these data allow us to make
a better estimate of the reference year footprint. This did not occur in 2022.

To determine the carbon footprint reduction of the equities portfolio, we

purchase data from external data suppliers, with the Trucost database being

1 Around the middle of 2021, the IIRC and SASB merged to become the Value Reporting Foundation.
Contents About this report ABP Annual Report 2022 267

the primary source of emissions data. The data are updated annually, enabling Additional information
us to validate the carbon footprint of the biggest emitters.1 This methodology Additional information on Sustainable and Responsible Investment is available
is not in line with the PCAF guidelines. We also publish a carbon footprint on our website.
for several investment categories in line with the PCAF guidelines. These
figures, including a detailed explanation of the methodology, are described in The 2022 annual report was published on April 28, 2023.
this document.2
Responses to the report
Assurance on non-financial information We welcome any questions or comments with regard to our report. Please
The non-financial information that the General Board of ABP previously email these to us at [email protected].
presented in the Sustainable and Responsible Investment report was subject
to an assurance audit by the external auditor. The external auditor has issued
a limited assurance (see page 228) report for the‘Contributing to a livable world’
section (see page 56). It is the General Board’s ambition to further expand the
scope of the non-financial information assurance in the years ahead.

1 Due to the new target set by ABP, the annual data validation did not take place in 2022. Consequently, we based the calculation of the carbon footprint reduction on companies’ carbon emissions
data from 2019 (instead of 2020). This had no effect on the achievement of our targets.
2 This publication is not within scope of the external auditor’s assurance activities.
Contents GRI content index ABP Annual Report 2022 268

GRI content index

GRI declaration of applicability
ABP provides the information listed in this GRI content index for the period January 1 through December 31, 2022, with references to the GRI Standards.

GRI 1: Foundation 2021

GRI Standard Disclosure Place in report

GRI 2: General disclosures 2021 2-1 Organizational details Profile (see page 5)
Legal structure (see page 84)

2-2 Entities included in the organization’s

About this report (see page 265)
sustainability reporting

2-3 Reporting period, frequency and contact point About this report (see page 265)
Back cover

2-4 Re-statements of information Not applicable

2-5 External assurance Assurance report of the independent auditor (see

page 228)
About this report (see page 265)

2-6a/b/c Activities, value chain and other business relationships Profile (see page 5)
How ABP adds value (see page 9)
Value creation model (see page 10)
Working together to build a good pension in a livable
world (see page 23)
Important topics for stakeholders (see page 27)
Contents GRI content index ABP Annual Report 2022 269

GRI Standard Disclosure Place in report

GRI 2: General disclosures 2021 2-7a/b Employees Investing in the development of our organization (see
page 71)
ABP organization (see page 87)

2-9a Governance structure and composition ABP’s governance structure (see page 84)
Personal details (see page 272)

2-10 Nomination and selection of the highest governance body ABP’s governance structure (see page 84)

2-11 Chair of the highest governance body ABP’s governance structure (see page 84)

2-14 Role of the highest governance body in

Involvement of the Board (see page 30)
sustainability reporting

2-15 Conflicts of interest Policy on ancillary positions updated (see page 89)

2-16 Communication of critical concerns Pension increases (see page 33)

Sale of remaining investments in Russia (see page 36)
Further reduction of positions in hedge funds (see
page 36)
Divesting from fossil fuel producers (see page 59)

2-17 Collective knowledge of the highest governance body Personal details of the members of the Board (see
page 273)

2-18 Evaluation of the performance of the highest Self-evaluation and development of the Board (see
governance body page 89)

2-19 Remuneration policies

2-22 Statement on sustainable development strategy Foreword (see page 15)

2-23 Compliance with CSR guidelines Developments in human rights and good governance
(see page 62)
SFDR and IMVB covenant (see page 65)
Tax behavior policy (see page 65)
Contents GRI content index ABP Annual Report 2022 270

GRI Standard Disclosure Place in report

GRI 2: General disclosures 2021 2-25 Processes to remediate complaints and other
Complaints and appeals (see page 53)
negative impacts

2-27 Compliance with laws and regulations Compliance with statutory guidelines and codes (see
page 90)

2-28 Membership associations Memberships and commitments (see page 271)

2-29 Approach to stakeholder engagement Important topics for stakeholders (see page 27)

2-30 Collective bargaining agreements ABP organization (see page 87)

Contents Memberships and commitments ABP Annual Report 2022 271

Memberships and commitments

Federation of Dutch Pension Funds Membership Investor Agenda Commitment

PPCA (Powering Past Coal Alliance - Commitment MVO Nederland Membership

Finance Membership)
PRI (general) Membership
Tobacco Free Portfolios - Finance Pledge Commitment
TCFD Supporter Commitment
Dutch Association of Investors for Sustainable Membership
Development (VBDO) WBA (World Benchmarking Alliance) Commitment

PAII - NZIF (Paris Aligned Investment Initiative - Net Zero Commitment GREEN (Global Real Estate Engagement Network) Membership
Investment Framework)
Montreal Pledge Commitment
Cerrado Manifesto Commitment
PDC (Portfolio Decarbonisation Coalition) Commitment
Climate Action 100+ Commitment
ICPM Membership
Eumedion Membership
Statement from the private financial sector to COP Commitment
Financial sector commitment to the Dutch Signed 15 Biodiversity
Climate agreement

IMVB agreement pension funds Commitment

Contents ABP Annual Report 2022 272

Personal details
This section lists the personal details of the
members of the Stichting Pensioenfonds ABP
Board alongside their ancillary positions.
The section continues with lists of the
members of the Board committees and the
Accountability Body.
Contents Personal details ABP Annual Report 2022 273

Non-executive Board SI,1 Vice Chair of CNV Vakcentrale, member of Social and Economic Council of
the Netherlands, member of Board of Stichting van de Arbeid.
Ms. C.M. Wortmann-Kool, June 27, 1959
Independent Chair Ms. A. Gram, December 14, 1965
• Appointed January 1, 2015 Employees
• Term ends January 1, 2023 • Appointed June 1, 2021
• Term ends June 1, 2025
Ancillary positions
Member of Aegon NV Supervisory Board, member of Supervisory Board of Ancillary positions
Royal DSM N.V., member of jury for Prix Veuve Cliquot Businesswoman of the Member of Governing Board of Eumedion, Chair of Investment Committee
Year Award, member of AFM’s Capital Markets Committee.
1
of Pensioenfonds IBM, Chair of the ASN Impact Investors Supervisory Board,
Chair of Assessment Committee of Pensioenfonds HAL, member of Investment
Mr. A. Boonen, January 30, 1982 Balance Sheet Management Committee of SPH Pensioenfonds Huisartsen,
Employees balance sheet management advisor at Pensioenfonds ING, member of
• Appointed January 1, 2021 Investment Committee of Fonds 1818.
• Term ends January 1, 2025
Ms. M.P.I. ten Kroode, October 4, 1957
Ancillary positions Retired employees
Member of the FNV Board of Trustees, member of Board of Trustees • Appointed November 14, 2022
of Stichting Akzo Pensioenfonds, member of Parents’ Council of Zuss • Terms ends November 14, 2026
kinderopvang (ceased in April 2022).
Ancillary positions
Mr. P.J.H. Fey, July 4, 1965 Independent Chair of College Perinatale Zorg, member of Advisory Board of
Employees Dutch Healthcare Authority, Independent Chair of Architectuurboard Zorg,
• Appointed May 1, 2017 extraordinary member of Dutch Safety Board.
• Term ends May 1, 2025
Ms. V.S. van der Meer-Gangapersadsing, January 28, 1979
Ancillary positions Employers
Vice-President of CESI (European Confederation of Independent Trade Unions), 1
• Appointed April 1, 2022
Chair of CNV Overheid en Publieke Diensten, Chair of CNV Connectief, member • Term ends April 1, 2026
of Board of Vereniging van Katholieke Maatschappelijke Organisaties (VKMO)

1 Non-remunerated.
Contents Personal details ABP Annual Report 2022 274

Ancillary positions Professionalism in Transition (ceased in July 2022),1 member of Board of Center
Independent pensions adviser. for Parliamentary History,1 member of various Recommendations Committees.1

Ms. C.M. Mulder-Volkers, June 3, 1966 Mr. A.J.M. Sibbing, April 5, 1959
Retired employees Employers
• Appointed April 1, 2015 • Appointed March 7, 2019
• Term ends April 1, 2023 • Term ends March 7, 2023

Ancillary positions Independent Chair

Chair of Supervisory Board of Pensioenfonds Rijn- en Binnenvaart, member • Appointed March 7, 2023
of Board of Trustees of Pensioenfonds SPT, member of Supervisory Board of • Term ends March 1, 2027
Parkinson NL. 1

Ancillary positions
Ms. K. Nauta, March 6, 1983 Chair of Investment Committee of Institute GAK, Trustee/ Treasurer at Fonds
Employers Sluyterman van Loo.
• Appointed March 1, 2019
• Term ends March 1, 2027 Mr. A.M.H. Slager, September 1, 1967
Employers
Ancillary positions • Appointed June 1, 2022
Director of Pensioenfonds Wolters Kluwer Nederland. • Term ends June 1, 2026

Mr. P. Rosenmöller, May 11, 1956 Ancillary positions

Employers External member of Investment Committee of PF SNS Reaal, Professor of
• Appointed December 1, 2021 Pension Fund Management at TIAS School for Business and Society, external
• Term ends December 1, 2025 member of Balance Sheet and Asset Management Committee of PME, member
of Supervisory Board of Pensioenfonds PGB, member of Balance Sheet and
Ancillary positions Asset Management Committee of Pensioenfonds Rail & OV.
Chair of GroenLinks parliamentary group in the Dutch Senate, member
of Supervisory Board of Holding Goede Doelen Loterijen N.V., member of
Supervisory Board of Scholengemeenschap Bonaire, member of Advisory
Board of Utrecht University, responsible for Professional Performance of

1 Non-remunerated.
Contents Personal details ABP Annual Report 2022 275

Mr. X.J. den Uyl, May 21, 1953 Ms. Y. E.M. Verdonk-van Lokven, November 20, 1964
Retired employees Executive director, pension policy
• Appointed April 1, 2015 • Appointed February 1, 2022
• Term ends April 1, 2023 • Term ends February 1, 2026

Ancillary positions Ancillary positions

Vice Chair of Pensioenfonds PWRI. Member of Outer Circle Quist Executive Coaches (until June 1, 2022),1 member
of Membership Council of Royal Tropical Institute.1
Mr. A. van Vliet, February 16, 1967
Employees Ms. D. Dijkhuis, April 1, 1972
• Appointed February 16, 2016 Executive Board member, responsible for investment policy
• Term ends February 16, 2024 • Appointed January 1, 2022
• Term ends January 1, 2026
Ancillary positions
Member of the Finance Committee of VTW, member of Board of Trustees of Ancillary positions
Van Ravesteyn Fonds, member of Supervisory Board of Havenstede, member
1
Member of Model Committee of Stichting Waarborgfonds Sociale Woningbouw,
of Board of Trustees of Het Nederlandse Pensioenfonds, member of Executive member of Board of Trustees of Stichting Tuchtrecht Banken.
Committee of Pensioenfederatie.

Audit Committee
Executive Board
Ms. C.M. Wortmann-Kool (Chair until January 1, 2023)
Mr. H.J. van Wijnen, November 23, 1967 Ms. M. ten Kroode (as of November 14, 2022)
Chair of the Executive Board Ms. K. Nauta
• Appointed January 1, 2022 Mr. A. van Vliet (acting Chair as of January 1, 2023)
• Term ends January 1, 2026 Ms. S.G. van der Lecq (external member)
Ms. R. van Osch (external member)
Ancillary positions Mr. L. Paape (external member)
Member of the Supervisory Board and Chair of Audit Committee of Theater
en Kunstencentrum De Kom Nieuwegein,1 member of Supervisory Board of
Maatschappij van Welstand,1 Chair of Stichting Eleven Floawers Board.1

1 Non-remunerated.
Contents Personal details ABP Annual Report 2022 276

Pensions Committee External members

Mr. R. Barnhoorn, August 6, 1964
Ms. C.M. Mulder-Volkers (Chair) Mr. H.C.J.L. Borghouts, February 7, 1943
Mr. A. Boonen Mr. M. van Seventer, July 15, 1953
Mr. P.J.H. Fey Ms. E.S.M. van Zadelhoff, March 2, 1960
Mr. P. Rosenmöller
Ms. Y.E.M. Verdonk-van Lokven (as of February 1, 2022)
Ms. V.S. van der Meer-Gangapersadsing (as of April 1, 2022) Accountability Body

Employers’ representatives
Investment Committee Mr. R. Blankemeijer, September 18, 1966
Mr. J.E. van der Boon, May 10, 1960
Mr. A.J.M. Sibbing (Chair until January 1, 2023) Mr. M. Damen, October 18, 1985
Ms. A. Gram Mr. A. Guijt, November 27, 1959
Mr. A.M.H. Slager (as of June 1, 2022) (acting Chair as of January 1, 2023) Mr. P.B.J. Huisman, January 27, 1964
Mr. X.J. den Uyl Ms. A.A.A.M. van Iersel, March 19, 1971
Ms. P.G.A. Janssen, September 12, 1967
Mr. A. Jonkman, September 13, 1959 (Chair)
HR Committee Mr. R.H. van Luxemburg, October 31, 1974
Ms. J.C.C. Oostdijk, November 12, 1960
Ms. C.M. Wortmann-Kool (Chair until January 1, 2023) Mr. M. Rensen, August 5, 1963
Mr. A.J.M. Sibbing (Chair as of January 1, 2023) Mr. W.O. Schilperoort, October 13, 1975
Mr. A. Boonen Mr. H. Tulner, June 28, 1957
Ms. C.M. Mulder-Volkers Mr. J.H.H. Verheij, June 23, 1961
Ms. M.L.A. van der Wegen, June 22, 1963
Mr. V.P. Wongsowinangoen, August 31, 1973
Board of Appeal
Active participants’ representatives
Board members Ms. G.M.M. Alofs, January 21, 1972
Ms. C.M. Mulder-Volkers, June 3, 1966 (Chair) (until April 1, 2022) Ms. S.A. Blackwell, March 16, 1958
Mr. A. Boonen, January 30, 1982 (Chair) (as of April 1, 2022) Mr. E.W.P. van Boven, May 6, 1957
Mr. G. Camps, June 11, 1983
Contents Personal details ABP Annual Report 2022 277

Ms. L. den Hartog, May 15, 1984 Key function holders

Mr. J.J. Hoeijmakers, June 1, 1984
Ms. L.M. Kos, February 21, 1991 Actuarial function
Mr. J.H.J. Kruuk, July 26, 1957 Mr. R. Schilder, September 11, 1976
Ms. J. de Mol van Otterloo, June 29, 1977
Ms. S.E. Loeff, June 15, 1992 Internal Audit function
Mr. J.M. Mennen, September 25, 1960 Mr. T.E. Wolffenbuttel, October 6, 1977
Ms. I.M. Nauta, September 11, 1969
Mr. F.F.C. Ouwehand, December 11, 1986 Risk Management function
Ms. R. van Putt, February 16, 1990 Ms. V. Achmad, September 1, 1984
Mr. C. Rausch, October 27, 1981
Ms. F.C. van Rijn, August 25, 1985
Ms. A.P. Tay, July 22, 1959 Other positions
Ms. J.W. te Velthuis, March 27, 1974
Mr. S.X. de Vrije, July 6, 1976 Compliance Officer
Mr. B.H.G. Damoiseaux, November 24, 1982
Pensioners’ representatives
Ms. J.A.R.M. van Egmond, April 17, 1951
Mr. G.W.J. Driessen, November 26, 1955 External parties
Ms. G. Gorter, November 15, 1953
Mr. A. de Graaf, August 4, 1947 Certifying actuary
Mr. A.R. van Kampen, November 18, 1954 (Vice Chair) WillisTowersWatson
Ms. A.M. Krol, October 4, 1941
Ms. J.J. Ligthart, October 13, 1953 External auditor
Ms. J.C.M. Matheij, November 15, 1950 KPMG Accountants NV
Mr. A.M. Nijdam, July 26, 1947
Mr. P.L.M. Pex, June 4, 1946
Mr. M.J. van Rooijen, July 31, 1942
Mr. J.D. Smit, February 11, 1951
Mr. T.W.M. de Wit, February 17, 1954
Contents Abbreviations and definitions ABP Annual Report 2022 278

Abbreviations and definitions

Abbreviations

AAOP ABP ArbeidsOngeschiktheidsPensioen - ABP incapacity NP NabestaandenPensioen - dependents’ benefits

ABTN Actuarial and Technical Business Report NPC New Pension Contract
AG Royal Dutch Actuarial Association NPS Net Promoter Score
AEP ABP ExtraPensioen OECD Organization for Economic Cooperation and Development
ALM Asset Liability Management OGM Omgekeerd-Gemengd bestuursModel - Reversed-mixed
AOP The AAOP, HPT, and IP disability/incapacity pensions governance model
AOW Algemene Ouderdomswet - General Old Age Pensions Act OOB Organisatie van Openbaar Belang - Public Interest Entity
APG APG and subsidiaries OP OuderdomsPensioen - Retirement pension
CBS Centraal Bureau voor de Statistiek - Statistics Netherlands OPA Overgangsrecht Privatisering ABP - the ABP privatization
transitional rights
CEM Cost Effectiveness Measurement
OTC Over-the-Counter Transaction
CHRB Corporate Human Rights Benchmark
PP PartnerPensioen - Partner pension
DNB De Nederlandsche Bank - Dutch Central Bank
Repo Repurchase order
ESG Environmental, Social, and Governance
SDG Sustainable Development Goal
FGR A collective Investment Scheme managed by the
administrative organization SDI Sustainable Development Investments
FPU Regeling Flexibel Pensioen en Uittreden - Flexible and early-retirement SFDR Sustainable Finance Disclosure Regulation
benefits scheme SLA Service Level Agreement
FTK Financieel ToetsingsKader - Financial Assessment Framework TBA To Be Announced
HPT HerPlaatsingsToelage - Redeployment allowance UNGP United Nations Guiding Principles on Business and Human Rights
HRM Human Resource Management UPO Uniform PensioenOverzicht- Uniform pension statement
KPI Key Performance Indicator VPL Wet aanpassing fiscale behandeling VUT-prepensioen- en introductie
IMVB Internationaal Maatschappelijk Verantwoord Beleggen - International levensloopregeling - Early retirement/ Pre-pension (Adjustment of
socially responsible investment Tax Treatment) and Life-Course Savings Scheme Act
IP InvaliditeitsPensioen (disability pension) VPV Voorziening PensioenVerplichtingen - Provision for pension liabilities
IPCC Intergovernmental Panel on Climate Change VUT Regeling Vervroegd UitTreden - Early retirement scheme
Contents Abbreviations and definitions ABP Annual Report 2022 279

Definitions Amortized cost

Amount at which a financial asset or financial liability held to maturity is carried
ABP ExtraPensioen in the balance sheet by taking account of the discount or premium.
ABP extra Pension: a pension product enabling tax-free saving at participants’
own risk and expense within the tax scope for pension accrual to supplement Appendix K
their pension, with an investment guarantee and a return based on Appendix K governs mark-ups and reductions in connection with the
ABP’s return. privatization of ABP. This Appendix applies to participants who accrued pension
assets prior to January 1, 1996, and whose pensions or pension entitlements
ABP Net pension scheme were converted in accordance with Section 18 of ABP’s Pension Regulations, as
ABP net pension: voluntary pension scheme in which a pension can be accrued worded on December 31, 2005. With the exception of Article 9, this Appendix
in respect of the part of the pensionable salary in excess of the maximum does not apply to persons designated Syria volunteers for the purposes of the
salary for tax facilitated pension accrual. Participants can opt to use the General Old Age Pensions Act or the Surviving Dependants Act.
investment capital to purchase a retirement pension and surviving dependents’
pension on retirement and/or to take out insurance for a surviving dependents’ Asset
pension in the event of their death before retirement. Category of investments.

Absolute return strategies Asset Backed Securities (ABS)

Investment strategy with the goal of realizing a positive return irrespective of Securitized debt instruments issued by financial institutions in the form of
the market situation. assets which have been converted into freely marketable bonds.

Active participant Asset Liability Management

Employee who accrues pension rights with a pension administrator pursuant to Analysis of the relationship between movements in assets and liabilities to
a pension agreement. assess the pension contribution, indexation and investment policy.

Active risk Available assets

The difference in composition between the actual investment portfolio and the Balance of total assets less investment-related liabilities, other liabilities, and
benchmark portfolio. the earmarked reserves (which are part of the fund’ equity).

Aggressive tax planning Basis point

Situations in which businesses make use of gaps between two different tax One-hundredth of a percent (0.01%).
regimes for tax evasion.
Contents Abbreviations and definitions ABP Annual Report 2022 280

Benchmark portfolio Conditional pension

Predefined composition of an investment portfolio, including related An increase of the ABP retirement pension and the ABP surviving
benchmarks, against which actual investment returns are assessed. dependents’ pension as compensation for the discontinuation of the FPU pre-
pension scheme.
Benchmark return
Standard for comparing the costs and performance of institutions in the Cost-covering contribution
same sector. Actuarially calculated contribution required for the purchase of unconditional
liabilities, increased with mark-ups for pension management costs, for
Blocked reserve maintaining the required solvency ratio (where applicable) and for funding
Reserve that is not available for distribution. conditional indexation.

Broker quotes Counterparty risk

Valuations that are supplied by a professional intermediary trading in the Risk that a counterparty will default on its contractual obligations to ABP.
securities concerned and which are based on available market information.
Cross currency swap
Commodities Agreement to exchange interest payments in different currencies without
Investments in goods and raw materials/consumables. exchanging the principals.

Compliance Current value

Acting in accordance with internal and external legislation/regulations and Fair value as referred to in the Dutch Accounting Standards (Richtlijnen voor
ethics policy. de Jaarverslaggeving).

Concurrent service years Derivatives

Individuals who are entitled to a state pension could be entitled to a Financial instruments used to control the balance sheet and investment risks
supplement to their ABP pension if they accrued pension simultaneously and to realize the strategic asset mix.
with their partner prior to 1995. Over 250,000 individuals already received
this supplement, but some ABP participants remained unaware of this. ABP Discount rate
improved its communication on this matter from 2020. Among other things, Interest rate used to calculate the net present value of future expenditure
participants are now able to check their eligibility for this supplement quickly or revenue.
and easily via our website. On the website they can only find information on
what steps they need to take and how ABP will deal with their notification.
Contents Abbreviations and definitions ABP Annual Report 2022 281

Duration Funding ratio

Weighted average maturity of an investment or liability, taking account of the Degree to which pension liabilities are covered by the available assets.
timing of cash flows.
Future
Equity Forward contract traded on a stock exchange with mandatory delivery of the
The remaining interest in the assets after deducting the provision for pension underlying securities at a future date for an agreed price.
liabilities, investment-related liabilities and other liabilities.
Future-proof indexation
Exposure Granting indexation as a percentage of the indexation ambition in respect of
Current value of an asset or, in the case of derivatives, the value of the the actual price inflation, such that it is expected that indexation equal to this
underlying asset. percentage of inflation can continue to be granted in the future.

Fixed-income investments Future-proof indexation funding ratio

Investments with a fixed maturity and an agreed interest and repayment A policy funding ratio level that permits full future-proof indexation in line with
schedule, such as private loans, bonds, and mortgage loans. the inflation ambition. This means that indexation can be granted for 100% of
the actual price inflation.
Former participants
Employees or former employees who no longer accrue pension assets under Global Reporting Initiative (GRI)
a pension agreement and who retained pension entitlements with a pension International organization that formulates guidelines for sustainability reports.
administrator upon termination of their participation. Organizations publish their economic, environmental, and social performance
in sustainability reports and integrated reports.
Forward currency contracts
A forward currency contract is a contract to buy or sell a given amount of a Group equity
currency at an agreed exchange rate on an agreed future date. The agreed Equity plus third-party minority investments in the participating interests.
exchange rate comprises a the spot rate, which is this rate at the time of
entering into the contract, and a mark-up. This mark-up is based on the Hedge funds
interest spread between the two currencies. Investment funds that pursue a predetermined strategy wit aim of realizing a
positive return irrespective of the market return. These are often private funds
Forward rate that operate with borrowed funds and use derivatives.
Interest rate applicable to a money market derivative that is used to fix interest
expenses or interest income by agreeing on a specific rate for a certain period. Index bond
Bond with coupon payment adjusted for inflation.
Contents Abbreviations and definitions ABP Annual Report 2022 282

Indexation Inverted mixed governance model

Percentage increase in a pension that is partly or fully equal to inflation, such The one-tier governance model of ABP with effect from January 1, 2022, with a
as price or wage inflation. General Board comprising an Executive Board and a Non-Executive Board.

Index-linked bond ISAE 3402

Index bond that yields an interest rate that is in part based on inflation. International Standard for Assurance Engagements 3402.

Inflation Marketable securities

Increase in an economy’s general level of prices. Investments in equity, private equity, commodities, and real estate.

Initial margin Moderated cost-covering contribution

Percentage of the purchase price of a security that must be covered by cash by Cost-covering contribution calculated on the basis of an expected real
way of collateral when opening a derivative position. investment return.

Integrated reporting Mortgage-Backed Securities (MBS)

Reporting method that brings concise financial and non-financial information Securitized debt instruments issued by mortgage lenders in respect of granted
together in one report, in which organizations explain how they realize mortgages that have been converted into freely marketable bonds.
sustainable operations and how their strategy, governance, performance,
and prospects provide short, medium, and long-term added value, including Net Promoter Score
for society. Method to measure customer loyalty.

Integrity policy Nominal

Policy with the aim of embedding standards and values in the organization Expressed in terms of monetary value or as a percentage that does not take
which ABP considers important. account of future wage or price inflation.

International Integrated Reporting Council (IIRC) Overlay

Global non-profit organization that has developed a standard for companies Overarching management of positions across all portfolios (for example,
wishing to render account for the value they add to the world. This is a currency positions).
reporting standard.
Over-the-counter transaction (OTC)
Intraday facility Transaction not conducted via a stock exchange but arranged directly between
Short-term assets settled within one day. two parties.
Contents Abbreviations and definitions ABP Annual Report 2022 283

Participants Rating
All active participants, former participants and pensioners taken together as Score awarded to the creditworthiness of a counterparty resulting from a
a group. credit assessment.

Pension administrator Real estate funds

APG, the organization to which ABP has outsourced the administration of its Investment funds whose capital is invested in real estate.
pension scheme (pension management and asset management) and support
services for its Board. Real funding ratio
The real funding ratio expresses the ratio of a pension fund’s assets and to
Pension beneficiary its pension liabilities, In the real coverage ratio, expected price increases are
Person whose pension has become payable pursuant to a pension agreement. included as part of the pension liabilities.

Policy funding ratio Real return

The 12-month rolling average of the nominal funding ratios calculated on the Nominal return adjusted for price inflation.
basis of the discount rates published by DNB. The policy funding policy funding
ratio serves as the basis for policy decisions to be taken by the Board, such as Related party
determining pension contributions and indexation. Natural person or entity related to the entity that draws up their/its
financial statements.
Private equity
Investment in the risk-bearing capital of an unlisted company. Repurchase order
Contract for the exchange of securities for a predetermined purchase or sale
Provision for pension liabilities price at a specific time, with the retention of economic risk.
'The amount of this provision is equal to the present value of all expected
future pension payments arising from the pension entitlements of all active Short position
participants, inactive participants and pensioners. Also referred to as the A short position is created upon entering into the obligation to deliver
‘technical provision’ in a legal context. securities at a future date without having possession of them at the time
of entering into the obligation; the counterparty risk on a short position is
Public Interest Entity mitigated by means of collateral.
An organization that has an impact on the interests of wider groups due to its
size or role in society, These entities are subject to special regulations. Short-term borrowing/lending
Short-term funds borrowed from or loaned to a financial institution.
Contents Abbreviations and definitions ABP Annual Report 2022 284

Spread
Difference in return between two types of assets.

Sustainable and responsible investment

An investment approach that fully integrates sustainability aspects and
responsible investment criteria in investment decisions.

Swap
A derivative where parties exchange cash flows or risks.

TBA
To Be Announced: a forward on a mortgage-backed security (MBS).

Tracking error
Difference in returns between a portfolio and the benchmark.

Uniform pension statement

Format to ensure the uniform presentation by all pension funds of information
about pension payments provided upon retirement, upon death and in the
event of incapacity for work.

Z score
Measure of the difference between the actual return and the return on the
predefined benchmark portfolio, taking account of expenses.
Stichting Pensioenfonds ABP
P.O. Box 4806
6401 JL Heerlen
www.abp.nl Publication details

© 2023 | Pensioenfonds ABP Text and editing

ABP
Questions and comments APG
If you have any questions or comments Van Enk Communicatie – Leiden
about our annual report, you
are welcome to contact us at Translation
[email protected]. Acolad - Utrecht

Disclaimer Creative concept and design

This document is an English translation CF Report – Amsterdam
of the original Annual Report, which Tangelo Software
was drafted in Dutch. In case of any
discrepancies between the English and Advice and project support
Dutch text, the latter will prevail. Report Company – Soest