14 Pension Protection Fund Climate Change Report 2021/22 STRATEGY AND RISK MANAGEMENT CONTINUED Summary of our progress in assessing climate risks across asset classes The following table summarises METRIC TYPE ASSET CLASS WHAT IS MEASURED? the progress we’ve made over the year using various metrics to measure our climate-related risks Absolute carbon emissions apportioned (using EVIC) to PPF’s holdings (tonnes CO e) Carbon emissions 2 in each asset class. Corporate Bonds & Equity Relative carbon intensity apportioned (using EVIC) to PPF’s holdings, normalised by amount invested (tonnes CO e/USDm) 2 Corporate Bonds & Equity Weighted average carbon intensity of PPF’s holdings, normalised by revenues Sovereign Debt (UK only) (corporates) or PPP-GDP (sovereign), (tonnes CO2e/USDm) Real Assets Carbon metrics – work in progress Climate Value-at- Transition risks – policy risk costs, technology opportunities (% of Enterprise Value) Risk (CVaR) Corporate Bonds & Equity Physical risks (% of Enterprise Value) Sovereign Debt Climate VaR metrics – work in progress Real Assets Climate VaR metrics – work in progress Green revenues Equity (passive only) Revenues generated from green business activities (% of revenues) Portfolio alignment Corporate Bonds & Equity % of portfolio companies committed to the Science Based Targets initiative (SBTi) or other science-based targets Corporate Bonds & Equity Sovereign Debt (UK only) Implied Temperature Rise, expressed in °C (by 2100) Real Assets Private companies