15 Pension Protection Fund Climate Change Report 2022/23 STRATEGY AND RISK MANAGEMENT CONTINUED Summary of our processes and tools for assessing climate risks across asset classes The table, right, summarises the METRIC/PORTFOLIO COVERAGE ASSET CLASSES COVERED WHAT IS MEASURED progress made over the year to measure our climate-related risks in each asset class, through a range Absolute carbon emissions apportioned (using EVIC) to PPF’s holdings (tonnes CO e) Carbon emissions 2 of tools and metrics. 55% of total PPF portfolio This year we have indicated the value covered Equities, Credit, UK Credit, Relative carbon intensity apportioned (using EVIC) to PPF’s holdings, normalised by percentage of the PPF portfolio that Sovereign Debt amount invested (tonnes CO2e/USDm) can currently be assessed per metric. Weighted average carbon intensity of PPF’s holdings, normalised by revenues (corporates) or PPP-GDP (sovereign), (tonnes CO2e/USDm) Real Assets Work in progress Climate Value-at-Risk Transition risks – policy risk costs, technology opportunities (% of Enterprise Value) (Climate VaR) Equities, Credit, UK Credit Physical risks (% of Enterprise Value) 55% of total PPF portfolio value covered Sovereign Debt Climate VaR metrics – work in progress Portfolio alignment • % of portfolio companies committed to the Science Based Targets initiative (SBTi) 95% of total PPF portfolio All asset classes or other science-based targets value covered • Implied Temperature Rise, expressed in °C (by 2100) Sustainability exposure* Equities Green revenues/exposure to companies classi昀椀ed as low-carbon solutions 63% of total PPF portfolio value covered Credit (sovereign & corporate) Green Bonds, Social Bonds, Sustainability Bonds and Sustainability Linked Bonds * See our classi昀椀cation of ‘sustainable’ investments on page 33. Real Estate High Quality Standard Certi昀椀cation/High Energy Rating Private Assets (work in progress) Renewable Energy, Forestry, assets classi昀椀ed as green opportunities by internal/ external manager