Country policy

1. Investing in sovereign bonds                                                               
Sovereign bonds are, measured by the size of invested capital, the largest investment category at Delta Lloyd. This unique position of investments in sovereign bonds within Delta Lloyd Asset Management's investment strategy, calls for a responsible investment policy of its own. In our 'country policy' we clarify how we come to our decisions about the countries we invest in and the countries we do not invest in. With this country policy we map the ESG risks. This helps us to assess sovereign bonds using more than just financial criteria, because we acknowledge the fact that ESG factors influence the long term performance of these types of bonds, and therefore we want to integrate these factors into our investment decisions. Furthermore, the country policy is an elaboration of our responsible investing policy: a next step in the implementation of sustainability at Delta Lloyd, aiming to contribute to a positive impact on society as a whole.

2. Building blocks
At first, the goal: a hands-on country policy laying the foundation for obtaining, expanding and documenting our knowledge in the field of ESG. This helps us to better analyse risks and to contribute to the prevention of, amongst others, violations of human rights and environmental pollution.

Which information and therefore, which sources?
To start with, we have identified four ESG themes:
1. Human rights (S)
2. (Political) stability (G&S)
3. Corruption (G)
4. Vulnerability of nature and climate change (E)

We have selected sources of information regarding these themes, to be used within our investment process, based upon the following criteria:

  • > 10 years of research experience and published data, to enable the identification of trends;
  • Transparency about the methodology, and the use of multiple indicators;
  • Practical usefulness (data are translated into a score for each country);
  • A yearly update must be provided;
  • Proven record, shown by the fact that renowned organisations use or acknowledge these rankings as well.

As a starting point, we use the following information for each element:

  • The Environmental Performance Index from the Yale Center for Environmental Law & Policy and the Center for International Earth Science Information Network at Columbia University;
  • Bloomberg ESG information.


  • VN, EU and VS sanctionlists;
  • The Fund for Peace's Fragile States Index;
  • Bloomberg ESG information.


  • Governance criteria of the Duration team: Institutions/Ideological Bias/Electoral Calendar;
  • Fragile States Index (see Social);
  • Transparancy International's Corruption Perceptions Index;
  • Bloomberg ESG information.

3. Process

Step 1: sanctions

Sanctions are binding, non-military instruments used by the EU and the UN (and also theUSA) in case of violations of international law or violations of human rights. The most frequently used sanctions are weapon-embargoes and trade restrictions; financial sanctions; and travel- and visa restrictions.

Sanctions that, from a legal point of view, apply to us as investor, insurance company, financial services provider or otherwise, are implemented directly.

We use information about other sanctions, which do not specifically apply to our services or products, in our risk assessment when investing in countries, because it can cause financial, judicial or reputational damage if we have sovereign bonds of this country in our portfolio(s). To mitigate and minimize these risks, we look at information about sanctions issued by the UN, the EU and those issued by the USA.

Step 2: ESG scores
The universe of investable countries is divided based on average index scores. We have calculated the average scores coming from the EPI, the FSI and the CPI index;

EPI = Environmental Performance Index
FSI = Fragile States Index
CPI = Corruption Perceptions Index

The score for each country is expressed using a 0 to 100 scale. The better a country's ESG performance is, the higher the score will be. The ESG scores are translated into a country ranking, divided in four areas: green, orange, red and black: 

  • Green (>70): free to invest in;
  • Orange (30-70): where the portfoliomanager adds an ESG analysis to the investment case. These ESG analyses are discussed within the team;
  • Red (score < 30): the requirements of the ESG analysis for these countries are more elaborate, and consultation with the responsible investment officer is to take place prior to the internal team review and/or investments itself; 
  • Black: these are countries we exclude, based upon sanction information and/or based upon a very low ESG score.