Baseline date: 31 March 2019

Baseline performance:

Total portfolio:

• 169 tCO2e/$mn invested
• Listed Equity: 172 tCO2e/$mn invested
• Investment Grade Credit: 133 tCO2e/$mn invested

Target year(s): 2025 and 2030

Target(s):

Total portfolio reductions:

• 2025: -52% tCO2e/$mn invested
• 2030: -65% tCO2e/$mn invested

Listed equity:

• 2025: -52% tCO2e/$mn invested
• 2030: -65% tCO2e/$mn invested

Investment Grade Credit:

• 2025: -54% tCO2e/$mn invested
• 2030: -66% tCO2e/$mn invested

GHG scopes included: Initially, scope 1 and 2. The availability and reliability of scope 3 data will be kept under review with a view to include once data is available in sufficient quantity and quality which may require a restatement of targets.

Asset classes in scope:

• Listed Equity (includes UK, Overseas, Emerging Market and listed alternatives portfolios)
• Investment Grade Credit

Combined these assets represent 51.1% of the total portfolio as at 31 March 2022.

Net zero scenarios/methodology: The overall approach to setting targets is in line with the Paris Aligned Investment Initiative’s Net Zero Investment Framework, adopting the self-decarbonisation approach due to the complexity that arises with different benchmarks for different portfolios when aggregating at asset class level.

We have also adopted point in time targets as they are easier to understand.

The science based pathway used to set the specific targets is the IEA NZE 2050 Pathway based on the IPCC P2 scenario.

Emissions metrics: Financed emissions is the primary metric for which targets are set. The published figure is normalised as tCO2e/value invested. Carbon intensity and weighted average carbon intensity are subsidiary measures which are calculated and disclosed but for which no targets are set.

Qualitative goal

Baseline date: 31 March 2018

Baseline performance: £25.9m

Target: At this stage, the target is qualitative. The aim is to commit at least a further £80m p.a. to specific climate solutions investments by 2025 in addition to a 2018 baseline of £25.9m. At this stage given the lack of a widely accepted industry methodology it is not proposed to set a formal target.

Baseline date: 31 March 2019

Baseline performance: 48% of assets meeting at least “aligning” criteria, made up as follows:

• 43% for listed equity and
• 78% for Investment Grade Credit

Target years: 2025, 2030

Target:

• 55% of AUM by 2025
• 70% of AUM by 2030

Asset classes in scope: Listed equity portfolios and investment grade credit.

Note the largest emitters by weight in the equity portfolios are concentrated in developed markets with good coverage through TPI and CA100+. Companies in these markets tend to be leaders compared to those in emerging markets. In addition the focus in fixed
income only on sterling corporate bonds means that it is likely these figures will reduce when other asset classes such as sovereign and emerging market debt are introduced.

Data sources: Listed equity & corporate fixed income: CA100+ benchmark, Transition Pathway Initiative, SBTi

Aligning is defined as meeting IIGCC’s Net Zero Investment Framework criteria 2, 4 and 5:

• Criteria 2: We have taken the more conservative view of companies having to meet short- AND medium-term targets. Otherwise, it is hard to explain companies that do not meet criteria 2 but meet the definition of “aligning”.
• Criteria 4: Taken from TPI question 5 (scope 1 & 2) and question 8 (scope 3) and needs both to meet criteria for NZTP4
• Criteria 5: Taken from CA100+ indicator 5.1 (decarbonisation strategy)

Baseline date: 2019

Baseline performance: 73%

Target date: 2025, 2030

Target:

• 80% of financed emissions to be subject to engagement by 2025
• 90% of financed emissions to be subject to engagement by 2030