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Today we've published our Annual Report 2022/23. As part of that we have shared an update on our climate change reporting.

We consider climate change to be a systemic risk, which can affect the value of our investments across the short, medium and long term.

As a supporter of the Task Force on Climate-related Financial Disclosures (TCFD), we commit to reporting on our climate-related governance, strategy, risk management and metrics and targets. 

We’ve taken important steps to address key climate-related risks facing our portfolio and pursue a market-leading approach in this area. Our dedicated TCFD climate reports share this information in-depth, and we’ve provided an annual summary below.

TCFD progress in 2022/23


  • Reported climate-related risks to our Chief Investment Officer through monthly dashboards and to our Investment Committee through quarterly dashboards


  • Assessed how a net-zero transition and physical climate risks might impact the Fund

  • Finalised our project to establish a baseline for our Fund’s alignment with the Paris Agreement by estimating the degrees of warming by 2100 the Fund is aligned with

  • Continued to focus on measuring and implementing a plan to improve the alignment of the Fund on an asset class basis

  • Enhanced our Voting Guidelines to reflect our higher expectation of boards and senior management in managing and reporting on climate change strategy and setting emissions reduction targets

Risk management

  • Continued to benchmark our listed equities against our custom benchmark incorporating climate risks. This benchmark targets at least a 50 per cent reduction in carbon intensity compared to the broad equity market.*

  • Using the results of our portfolio alignment baseline, we created a Climate Watchlist of approximately 80 companies that account for a significant majority of our financed emissions from our Equities and Credit holdings, so that we can focus our risk management where there is opportunity for the most real-world impact. These companies will be engaged with to publish transition plans and set clear emissions reduction targets.

Metrics and targets

  • A summary of carbon footprint metrics for our Public Equities and Credit holdings is provided in the tables in our Annual Report

  • Year-on-year, the total financed emissions associated with our aggregate liquid equity holdings reduced by a further 57 per cent from end 2021 to end 2022. In part, this is due to the lower size of assets allocated to this asset class.

  • There has been an overall decline of nearly 80 per cent since 2020 which has been driven by our shift to a climate-aware benchmark in mid-2021*

  • However, even when normalising the total financed emissions by the amount invested in the asset class, the financed carbon emissions invested declined 12 per cent year-on-year. The WACI has also declined by 30 per cent.

  • For our aggregate liquid credit holdings, we continue to include the corporate bonds from our Strategic Cash, Investment Grade Credit, Emerging Market Debt and Absolute Return portfolios. We saw a reduction in the total financed carbon emissions of 27 per cent, which was due to a reduction in the assets being assessed. Therefore, the normalised financed emissions by investment has remained stable year-on-year, but the financed emissions on a revenue basis declined by 12 per cent.

  • The WACI increased over the year by 36 per cent, although it is still a 43 per cent reduction from 2020 (compared with a 36 per cent reduction from 2020 for the credit benchmark). The increase from last year is largely attributable to a holding in a South African Utilities company in our Emerging Markets Debt strategy. We have included this company in our Climate Watchlist and will engage with them to publish transition plans and set clear emissions reduction targets.

  • For 2023/24, we are targeting at least 80 per cent of companies in our Climate Watchlist to provide disclosure on their emissions

*FTSE All World Index used to define the broad equity market. The 50 per cent reduction constraint is based on financed carbon intensity and weighted average carbon intensity (WACI). See Metric Definitions.