Metrics and targets How we’ve reported We don’t mandate to our fund Carbon managers that our portfolios are 16% Absolute carbon Scope 1+2 PPF AUM data invested according to a speci昀椀c carbon emissions 1 emissions or intensity target. However, Our Equities emissions assessed coverage We’ve shared the metrics we can as part of our oversight and monitoring PPF (tCO2e) ($m) (Scope 1+2) currently generate – based on available of our managers, we use the 昀椀ndings portfolio has seen Equities 796,972 6,528 98% data – to assess our climate-related from carbon footprinting to inform and its carbon footprint We measured the total operational risks and opportunities. Alongside steer our dialogue with them. We want 1 each metric, we’ve outlined our to ensure that material risks have been reduce by 16 per cent Scope 1 + Scope 2 carbon Credit 329,106 6,214 86% considerations of the outputs and emissions associated with our identi昀椀ed and considered within their over the year. liquid investments in global equity where we want to improve data access. investment decision-making. (Equities), global investment grade UK Credit 94,378 2,012 60% Although our year end is 31 March, (IG) and EM corporates (Credit), we’ve opted to review our climate Our preferred metric for assessing and the publicly traded UK credit Total 昀椀nanced emissions 1,220,456 14,754 88% exposure metrics at the end of each carbon risk exposure on a day-to-day within our hybrid assets (UK Credit), calendar year, 31 December. This allows basis is the Weighted Average Carbon December 2020 for the greatest coverage of climate data Intensity (WACI), as outlined on page as of 31 December 2020. This at a point in time when, for example, 12. We feel it gives us the greatest accounted for approximately one Certain information ©2020 MSCI ESG Research LLC. Reproduced by permission; the annual corporate CDP responses quarter of our overall assets under no further distribution. coverage in 昀椀xed income where we have management (AUM). In time, we’ll are made available to investors more signi昀椀cant exposure, and allows us look to extend this out to other PPF financed emissions (at 31 December 2020) each autumn. to compare similar types of assets and asset classes, but we’re currently portfolios, regardless of investment size. limited by data availability. 1,400,000 Carbon footprint metrics We decided to expand the coverage of our global credit portfolio to include the We’ve used Enterprise Value Including Cash (EVIC) to calculate 1,200,000 94,378 corporate bonds held within our EM our apportioned ‘ownership’ of We’ve chosen to report a range of debt mandates this year. We expected each investment, as recommended e) 329,106 carbon emissions-based metrics for this would increase our overall credit by the PCAF. The PCAF method 2 1,000,000 our listed global equity and credit carbon footprint over the year because is currently one of the most investment holdings to align with both EM companies often have a higher widely accepted approaches TCFD and Partnership for Carbon carbon footprint, especially in the more 800,000 intensive sectors. for determining an investor’s 796,972 Accounting Financials (PCAF) guidance. 昀椀nanced emissions. We have also been guided by the DWP’s 600,000 recent climate risk consultation around Therefore, our total 昀椀nanced proposed metrics for pension funds. emissions across our Equities, Appendix 2 includes metrics that will Credit and UK Credit holdings was Financed emissions (tCO400,000 also be included in the 2020/21 PPF 1,220,456 tonnes of CO equivalent Annual Report. 2 (tCO2e) for assets representing $14.8 billion. We will monitor this 200,000 昀椀gure annually. In doing so, we’ll need to consider balancing an anticipated increase in our AUM 0 with a preference not to increase Scope 1+2 emissions at 31 December 2020 the 昀椀nanced emissions associated with these assets. Equities Credit UK Credit We are also reviewing Scope 1 3 emissions in some sectors Certain information ©2020 MSCI ESG Research LLC. Reproduced by permission; where they are more material no further distribution. (e.g. Transportation and Oil & Gas), but we feel the data is not robust enough to formally report on currently. 1 Based on the de昀椀nition set by the Greenhouse Gas (GHG) Protocol