Metrics and targets – continued Relative carbon How we measure Global Equities portfolio: PPF Equities carbon metrics intensity carbon intensity carbon intensity metrics Our Equities portfolio is less carbon-intensive than its 450 400 414 • Financed carbon emissions per benchmark across all carbon intensity metrics. Using the 350 We see merit in looking at climate WACI metric to compare carbon performance, it is 19 per 300 294 290 299 million dollars invested metric 250 risks through di昀昀erent lenses, so Measuring the Financed Carbon cent less carbon-intensive than the equity benchmark. 200 230 226 257 243 we’ve used a variety of approaches for Year-on-year, it has reduced by 16 per cent from 2019 to 150 measuring emissions-based carbon Emissions per million dollars 2020. However, we note that the equity benchmark saw a 100 116 122 155 125 intensity of our portfolios. invested helps us understand the reduction of 30 per cent over the same period. 50 e per $million metric carbon emissions being 昀椀nanced 2 0 by the size of our investment d We expect to report lower carbon intensity 昀椀gures next e/$m e/$m e/$m portfolio. year, after the equity benchmark transition is completed. 2 2 e/$m2 2 intensity intensity invested) invested) revenues) revenues) (tCO (tCO (tCO (tCO • Financed carbon emissions per Tonnes CO PPF financed PPF finance PPF weighted average carbon average carbon carbon intensity million dollars revenue metric carbon intensity carbon emissions Measuring the Financed Carbon carbon emissions Benchmark financed Benchmark financed Intensity per million dollars of Benchmark weighted revenue helps us understand the December 2019 December 2020 carbon e昀케ciency of our portfolio, i.e. how e昀케cient the companies Global Credit portfolio: PPF Credit carbon metrics are at generating output per carbon intensity metrics tonne of carbon. As mentioned, we included our EM corporate holdings in 450 400 • Weighted Average Carbon this year’s Credit assessment, whereas we only covered the 350 Intensity (WACI) metric global developed IG credit holdings in 2019. That means 300 318 313 250 250 255 As recommended by the TCFD, these 昀椀gures aren’t truly directly comparable year-on- 200 219 203 we use the WACI footprint to year, and, unsurprisingly, we’ve seen an increase in the 150 193 192 monitor our portfolios’ exposure portfolio’s WACI metric due to the EM companies having 100 91 85 50 65 to carbon-intensive companies. a higher carbon intensity on average. 53 e per $million metric20 d It’s 昀氀exible enough to use across Furthermore, we’re still comparing the Credit portfolio e/$m e/$m e/$m asset classes and gives us against an IG credit benchmark – we recognise that this 2 2 e/$m2 2 intensity intensity invested) greater coverage in 昀椀xed income invested) revenues) revenues) (tCO (tCO (tCO (tCO portfolios. benchmark is likely to have a lower carbon intensity due Tonnes CO PPF financed PPF finance to having less EM exposure. Although we expected this PPF weighted average carbon average carbon carbon intensity carbon intensity outcome, we’ll consider what actions we might wish to take carbon emissions See Appendix 3 for more detail. carbon emissions to address this in the coming year. Benchmark financed Benchmark financed Benchmark weighted December 2019 December 2020 UK Credit portfolio: PPF UK Credit carbon metrics (2020 only) Carbon intensity metrics We’re reporting on these metrics for our internally 200 180 managed public UK Credit portfolio for the 昀椀rst time this 160 175 year, giving us a baseline for reporting our progress next 140 153 year. The availability of carbon data for our holdings is 120 lower than our other reported portfolios (60 per cent) 100 but we feel it’s important to start measuring what we can. 80 60 This portfolio is not managed against a speci昀椀c credit e per $million metric4047 benchmark, so we’ve measured it on an absolute basis. 2 20 0 Tonnes CO e/$m2 e/$m2 intensity invested) (tCO (tCOrevenues) PPF financed PPF financed PPF weighted average carbon carbon intensity Certain information ©2020 MSCI ESG Research LLC. carbon emissions Reproduced by permission; no further distribution.