29 Pension Protection Fund Climate Change Report 2021/22 Appendices Appendix A TCFD Pillars TCFD recommended climate disclosure Climate disclosure references Our commitment to the TCFD The Taskforce for Climate-related Financial Disclosures Governance a. Describe the board’s oversight of climate-related risks Pages 07–09 (TCFD) guidance was created by the Financial Stability and opportunities. Disclose the organisation’s Board to help companies and investors voluntarily disclose governance around climate- b. Describe management’s role in assessing and managing Pages 07–09 climate-related 昀椀nancial risks clearly, consistently and related issues and opportunities climate-related risks and opportunities reliably to help lenders, insurers and investors make informed decisions. We’ve formally supported the TCFD framework since 2018 Strategy a. Describe the climate-related risks and opportunities the Pages 10, 13 and have continually implemented it across our investment organisation has identi昀椀ed over the short, medium and long-term process. We share our progress in our annual RI reports, Disclose the actual and potential impacts which also detail our stewardship activities and work as of climate-related risks and opportunities b. Describe the impact of climate-related risks and opportunities on Pages 10, 13 an active owner of securities and real assets. on the organisation’s business, strategy and the organisation’s businesses, strategy and 昀椀nancial planning Considering the impacts of climate change on our 昀椀nancial planning where such information investments is one of the three priorities within our is material c. Describe the resilience of the organisation’s strategy, taking into Pages 12–13, 23–25 RI strategy. consideration di昀昀erent climate-related scenarios, including a 2 degree or lower scenario We’re committed to: • Implementing the TCFD We’re continuously applying and implementing TCFD Risk Management a. Describe the organisation’s processes for identifying and assessing Pages 10–13 recommendations – and are always looking for ways to climate-related risks improve transparency and management of climate risks Disclose how the organisation identi昀椀es, in our portfolio. assesses and manages climate-related risks b. Describe the organisation’s processes for managing climate-related Pages 15–16 • Assessing transition risks and physical risks risks We take a phased approach to analysing how exposed our portfolio is to risk in the global transition to a low- c. Describe how processes for identifying, assessing, and managing Pages 07–11 carbon economy, optimising relevant data as and when climate-related risks are integrated into the organisation’s overall it becomes available. We are also starting to assess risk management the physical risks that climate change presents to our portfolio, while recognising that data on this is at a very early stage. Metrics and Targets a. Disclose the metrics used by the organisation to assess climate- Pages 14, 17 • Engaging with our fund managers related risks and opportunities in line with its strategy and risk We work tirelessly with our fund managers across all Disclose the metrics and targets used management process strategies, asset classes and markets to ensure they to assess and manage relevant climate- consider, manage and report to us the climate-related related risks and opportunities where b. Disclose Scope 1, Scope 2, and, if appropriate, Scope 3 GHG Pages 18–19 risks and opportunities our investments might face. such information is material emissions, and the related risks • Collaborating with industry We are committed to engaging with our industry c. Describe the targets used by the organisation to manage climate- Pages 20, 22, 26 peers, policy-makers, regulators and the wider investor related risks and opportunities and performance against targets community to further best practice in climate-related risk disclosure – supporting not only the TCFD but also Climate Action 100+, the PAII and the CDP Non- Disclosure campaign.