06 Pension Protection Fund Climate Change Report 2021/22 Our progress at a glance Achieving more Focusing on investing Reducing our Cutting our comprehensive reporting with managers committed investment portfolio’s climate risks to climate action carbon footprint 55% 25% 50% 12% 2 of our Fund’s net asset value now of our external managers now reduction in the absolute carbon emissions reduction in our Equities portfolio Climate 3 4 covered by carbon emissions data signatories to the Net Zero Asset and 37% in the carbon intensity of our Value-at-Risk (CVaR) , led by our Climate via our portfolio systems Managers Initiative Equities portfolio over the year Minimum Variance Equity benchmark 2021: 30% 81% 91% 25% 32% of carbon data for our Equities portfolio of our externally-managed assets now reduction in the exposure to thermal of our Equities portfolio invested reported by companies themselves managed by signatories to the PRI coal reserves of our Equities portfolio – in companies that have committed to 2021: 75% 2021: 84% down to