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TCFD Report
Multi-Asset Diversified Growth Sub-Fund 3FPX1
Date of Holdings: 31 Dec 2024 Amount Invested: 311,877,178.60 GBP Portfolio Type: Multi-Asset
Portfolio Overview Coverage: 78.31%
Disclosure Number/Weight Share of Disclosing Holdings
Emission Exposure tCO 2 e Green House Gas Emissions
Relative Emission Exposure tCO 2 e/invested Relative Carbon Footprint
tCO 2 e/Revenue Weighted Avg Carbon Intensity
Scope 1 Disclosed: 81.20% Modelled: 18.80% 9,594.79 39.28 75.50
Scope 2 Disclosed: 79.90% Modelled: 20.10% 2,344.27 9.60 31.12
Scope 3 Disclosed: 0.00% Modelled: 100.00% 72,408.65 296.47 557.76
Climate Value at Risk Coverage: 78.11%
Orderly Transition Transition Risk
Transition Opportunities
Physical Risk
Disorderly Transition Transition Risk
Transition Opportunities
Physical Risk
Hothouse World Transition Risk
Transition Opportunities
Physical Risk
-6.72% 0.81% -0.75% -3.07% 0.24% -1.12% -1.59% 0.13% -1.48%
In this section, we provide data related to climate scenario analysis, making use of scenarios developed by the Network for Greening the Financial System (NGFS), and company-level climate value at risk data provided by MSCI (based on selected NGFS scenarios).
The NGFS scenarios were developed to provide a common starting point for analysing climate risks to the economy and financial system. It is important to note that the NGFS scenarios are not forecasts: instead, they aim at exploring the bookends of plausible futures (neither the most probable nor desirable) for financial risk assessment.
To reflect the uncertainty inherent to modelling climate related macroeconomic and financial risks, the NGFS scenarios use different models, and explore a wide range of scenarios across regions and sectors. Scenarios differ markedly in their physical and transition impacts, with significant uncertainty in the size of the estimates and variation across regions.
The NGFS scenarios explore a set of six scenarios covering the following dimensions: - Orderly scenarios assume climate policies are introduced early and become gradually more stringent. Both physical and transition risks are relatively subdued. - Disorderly scenarios explore higher transition risk due to policies being delayed or divergent across countries and sectors. For example, carbon prices are typically higher for a given temperature outcome. - Hot house world scenarios assume that some climate policies are implemented in some jurisdictions, but globally efforts are insufficient to halt significant global warming. The scenarios result in severe physical risk including irreversible impacts like sea-level rise.
Please see the NGFS Scenario Portal for more details on NGFS climate scenarios.
In our report, we focus on the following three scenarios to cover different temperature outcomes and policy implementations, utilising outputs based on the REMIND-MAgPIE model: - Orderly transition scenario: Net Zero 2050 (1.5°C): This scenario limits global warming to 1.5°C through stringent climate policies and innovation, reaching global net zero CO 2 emissions around 2050. Some jurisdictions such as the US, EU, UK, Canada, Australia and Japan reach net zero for all GHGs - Disorderly transition scenario: Delayed transition (2°C): Delayed transition assumes annual emissions do not decrease until 2030. Strong policies are needed to limit warming to below 2°C. Negative emissions are limited. - Hothouse world scenario: Nationally Determined Contributions (NDCs, 3°C): the NDC scenario includes all nationally pledged targets even if not yet
State Street Global Advisors Report ID: 4646274.1 Published: 28 Mar 2025 Page 1 of 6
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backed up by implemented effective policies.
These scenarios are based on complex modelling of the Earth’s physical and socioeconomic systems, and it is considered challenging to convert these into quantitative return implications for portfolios. For this purpose, we utilise MSCI’s proprietary Climate Value-at-Risk (CVaR) dataset that converts these climate scenarios into company-level impacts at a 15-year time horizon (expressed as a percentage of a company’s market value). It should be noted that MSCI CVaR data is based on several assumptions made by MSCI. Scenario analysis methodologies continue to evolve, and data presented here is subject to change in future. As described above, climate scenario analysis is provided to highlight potential climate risks and their underlying drivers, however there is considerable uncertainty related to these estimates, and specific risks vary under different scenarios.
Based on the MSCI CVaR dataset, we provide quantitative disclosure of three key pillars: (i) Policy Risk, which generally correlates to transition risk, (ii) Technology Opportunities, which generally correlates to transition opportunities, and (iii) Physical Risk.
Based on our analysis of the MSCI CVaR data for companies in a broad global equity and corporate fixed income index universe, companies in the Utilities, Materials and Energy sectors may be exposed to higher levels of transition risk compared to companies in other sectors. Similarly, those companies in the Utilities, Industrials and Materials sectors may be exposed to a higher level of transition opportunities compared to others. If the Fund invests in these sectors, those investments may be exposed to the climate risks and opportunities outlined, though company-level risks and opportunities vary within sectors.
Sources: https://www.ngfs.net/sites/default/files/medias/documents/ngfs_climate_scenarios_for_central_banks_and_supervisors_.pdf.pdf MSCI
Climate Scenario Alignment Coverage: 78.27%
The Multi-Asset Diversified Growth Sub-Fund has an Implied Temperature Rise increase of:
3.39°C
The climate scenario alignment uses MSCI’s Implied Temperature Rise (ITR) model, and measures, in aggregate, a portfolio’s temperature alignment (in °C) to keeping the world’s temperature rise to 2°C by 2100. For example, an ITR of 2.5°C assigned to a given portfolio would indicate that the portfolio is exceeding its fair share of the global carbon budget, and that if everyone exceeded their fair shares by a similar proportion, we would end up in a world with ~2.5°C of warming. Please note there is significant uncertainty related to this temperature estimate, and outputs differ amongst different data vendors as methodologies continue to evolve and mature.
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Marketing Communication The material presented herein is for informational purposes only. For institutional / professional investors use only. Past performance is not a reliable indicator of future performance. Investing involves risk including the risk of loss of principal. The whole or any part of this work may not be reproduced, copied or transmitted or any of its contents disclosed to third parties without SSGA’s express written consent. This report provides climate data which are estimates based on certain assumptions made by SSGA or its affiliates such as the Truview analytics platform and State Street Global Services, or by third parties such as MSCI. There is no guarantee that the estimates will be accurate. Non-availability of ESG data, complexity of mapping architecture, the use of modelled data and other data issues may contribute to deviations from other ESG data sources. All material, including information from or attributed to State Street, has been obtained from sources believed to be reliable, but its accuracy is not guaranteed, and State Street does not assume any responsibility for its accuracy, efficacy or use. The views expressed in this report are subject to change based on market and other conditions. Whilst this report may contain certain statements that appear forward looking, these do not constitute guarantees of future performance. Actual results or developments may differ materially from those projected. Please note that this report may be updated from time to time as the underlying information is revised. Further details regarding particular data may be available upon request from your relationship manager. The returns on a portfolio of securities which exclude companies that do not meet the portfolio’s specified ESG criteria may trail the returns on a portfolio of securities which include such companies. A portfolio’s ESG criteria may result in the portfolio investing in industry sectors or securities which underperform the market as a whole. This communication is directed at professional clients (this includes eligible counterparties as defined by the FCA) who are deemed both knowledgeable and experienced in matters relating to investments. The products and services to which this communication relates are only available to such persons and persons of any other description (including retail clients) should not rely on this communication. The information provided does not constitute investment advice as such term is defined under the Markets in Financial Instruments Directive (2014/65/ EU) and it should not be relied on as such. It should not be considered a solicitation to buy or an offer to sell any investment. It does not take into account any investor’s or potential investor’s particular investment objectives, strategies, tax status, risk appetite or investment horizon. If you require investment advice you should consult your tax and financial or other professional advisor. The information contained in this communication is not a research recommendation or ‘investment research’ and is classified as a ‘Marketing Communication’ in accordance with the Markets in Financial Instruments Directive (2014/65/EU). This means that this marketing communication (a) has not been prepared in accordance with legal requirements designed to promote the independence of investment research (b) is not subject to any prohibition on dealing ahead of the dissemination of investment research.
This report must be read in conjunction with the TFCD report of the Firm.
Investment through separately managed mandates is subject to the investment management agreement. Investment in Pooled Vehicles is subject to the relevant constitutional documents.
Managed Pension Funds Limited(MPF): Investing in the MPF is effected by means of an insurance policy written by Managed Pension Funds Limited, a member of the State Street group of companies. This document should not be construed as an invitation or inducement to engage in investment activity. The Managed Pension Fund is available to pension schemes (including overseas schemes) registered with HM Revenue and Customs for the purposes of Chapter 2 of Part IV of the Finance Act 2004. In particular scheme members should consult with their employer or scheme trustee. Please note that neither State Street Global Advisors Limited or Managed Pension Funds Limited offer actuarial services and any investment service undertaken by those firms with an objective of matching projected pension fund liabilities does not include, or take responsibility for, the calculation of projected liabilities. “MPF” means Managed Pension Funds Limited, a limited liability company (no. 4486031) incorporated under the laws of England and having its registered and head office in the United Kingdom at 20 Churchill Place, Canary Wharf, London E14 5HJ. MPF is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority.
Please refer to the MPF Key Features Document and Policy Document for full details about the Fund, including fees and risks. Please refer to the “General Risks Applicable to All Sub-Funds” and to the relevant “Sub-Fund Specific Risk Factors” sections of the “Key Features of Managed Pension Funds Limited” document, which is available at: https://www.ssga.com/publications/firm/Key-Features-of-Managed-Pension-Funds-Limited.pdf
State Street Unit Trust Management Limited (SSUTM): Please refer to the Fund’s latest Key Investor Information Document (KIID) and Prospectus before making any final investment decision. The latest version of the prospectus and the KIID can be found at www.ssga.com SSUTM is authorized and regulated by the Financial Conduct Authority. Registered address: 20 Churchill Place, Canary Wharf, London E14 5HJ
Issued by State Street Global Advisors Limited (SSGAL) in the United Kingdom, authorized and regulated by the Financial Conduct Authority (FCA). Registered address for SSGAL, MPF and SSUTM is 20 Churchill Place, Canary Wharf, London E14 5HJ
© 202 4 State Street Corporation - All Rights Reserved.
State Street Global Advisors Report ID: 4646274.1 Published: 28 Mar 2025 Page 3 of 6
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This disclosure was developed using information from MSCI ESG Research LLC or its affiliates or information providers. Although STATE STREET GLOBAL ADVISORS TRUST COMPANY’S information providers, including without limitation, MSCI ESG Research LLC and its affiliates (the “ESG Parties”), obtain information (the “Information”) from sources they consider reliable, none of the ESG Parties warrants or guarantees the originality , accuracy and/or completeness, of any data herein and expressly disclaim all express or implied warranties, including those of merchantability and fitness for a particular purpose. The Information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for, or a component of, any financial instruments or products or indices. Further, none of the Information can in and of itself be used to determine which securities to buy or sell or when to buy or sell them. None of the ESG Parties shall have any liability for any errors or omissions in connection with any data herein, or any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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Glossary
Company-level definitions (emissions data) Scope 1 emissions are direct emissions from operations that are owned or controlled by the reporting company. Examples include emissions from combustion in owned or controlled boilers, furnaces, vehicles, etc., and emissions from chemical production in owned or co ntrolled process equipment. Scope 2 emissions are indirect emissions from the generation of purchased or acquired electricity, steam, heating, or cooling consumed by the reporting company. Scope 3 emissions are all indirect emissions (not included in scope 2) that occur in the value chain of the reporting company, including both upstream and downstream emissions. Examples include emissions from the production of purchased products, transportation of purc hased products, or use of sold products. Enterprise value including cash (EVIC) is defined as the sum of the market capitalization of ordinary s hares at fiscal year-end, the market capitalization of preferred shares at fiscal year-end, and the b ook values of total debt and minorities’ interests. No deductions of cash or cash equivalents are made to avoid the possibility of negative enterprise values. Please note that climate-related datasets are built using a com bination of (i) data reported by companies and collected by dat a vendors, and (ii) data estimated by the data vendors using their proprietary estimation models. We have included information in this report related to the overall data coverage for the portfolio in question, as well as the ratio between reported and estimated data where applicable. SSGA has not applied any missing value treatments or imputations in the calculation of metrics presented in this report.
Portfolio-level definitions (emissions data)
Metric Description Formula Pros/Cons
Scope 1 and 2 emissions The absolute Scope 1 and 2 greenhouse gas emissions associated with a portfolio, expressed in tons CO2e.
+ Metric may be used to communicate the carbon footprint of a portfolio consistent with the GHG protocol. + Metric may be used to track changes in GHG emissions in a portfolio. + Metric allows for portfolio decomposi tion and attribution analysis. − Metric is generally not used to compare portfolios because the data are not normalized. − Changes in underlying companies’ EVIC can be misinterpreted.
Scope 3 emissions
The absolute Scope 3 greenhouse gas emissions associated with a portfolio, expressed in tons CO2e Total carbon emissions The absolute Scope 1, 2 and 3 greenhouse gas emissions associated with a portfolio, expressed in tons CO2e Carbon Foot print
Total carbon emissions for a portfolio normalized by the market value of the portfolio, expressed in tons CO2e/£M invested.
+ Metric may be used to compare portfoli os to one another and/or to a benchmark. + Using the portfolio market value to nor malize data is fairly intuitive to investors. + Metric allows for portfolio decomposi tion and attribution analysis. − Metric does not take into account differences in the size of companies (e.g., does not consider the carbon efficiency of companies). − Changes in underlying companies’ EVIC can be misinterpreted. Weighted Av erage Carbon Intensity
Portfolio’s exposure to carbon-intensive companies, expressed in tons CO2e/£M revenue.
+ Metric can be more easily applied across asset classes since it does not rely on equity ownership approach. + The calculation of this metric is fairly simple and easy to communicate to investors. + Metric allows for portfolio decomposi tion and attribution analysis. − Metric is sensitive to outliers. − Using revenue (instead of physical or other metrics) to normalize the data tends to favour companies with higher pricing levels relative to their peers.
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References https://ghgprotocol.org/sites/default/files/standards/Corporate- Value-Chain-Accounting-Reporing-Standard_041613_2.pdf https://carbonaccountingfinancials.com/files/downloads/PCAF-Globa l-GHG-Standard.pdf https://assets.bbhub.io/company/sites/60/2021/07/2021-TCFD-Impl ementing_Guidance.pdf MSCI ESG Research
Implied Temperature Rise Definitions
Climate Value at Risk Definitions
Metric Description Company Implied Temperature Rise
Estimates the global implied temperature rise (in the year 2100 or later) if the whole economy had the same car bon budget over-/undershoot level as the company analyzed, based on its projected Scope 1, 2 and 3 emissions. The metric compares the company’s projected GHG emissions against its carbon budget. The total estimated carbon budget over-/undershoot is then converted to a degree of temperature rise using the science-based ratio approach of Transient Climate Response to Cumulative Carbon Emissions (TCRE). For example, an Implied Temperature Rise of 2.5°C would indicate that the company is exceeding its fair share of the global carbon bud get, and that if the whole economy exceeded their fair shares by a similar proportion, we would end up in a world with ~2.5°C of warming. Portfolio Implied Temperature Rise
A portfolio’s Implied Temperature Rise measures, in aggregate, a portfolio’s temperature alignment (in °C) to keeping the world’s temperature rise to 2°C by 2100. The calculation uses an aggregated budget approach that compares the sum of financed projected carbon emissions against the sum of financed carbon emission budgets for the underlying portfolio holdings, this provides an estimation of the total carbon budget under-/overshoot of the portfolio. The total portfolio carbon emission over/undershoot is then converted to a degree of temperature rise using the science-based ratio approach of Transient Climate Response to Cumulative Carbon Emissions (TCRE). For example, an Implied Temperature Rise of 2.5°C assigned to a given portfolio would indicate that the portfolio is exceeding its fair share of the global carbon budget, and that if everyone exceeded their fair shares by a similar proportion, we would end up in a world with ~2.5°C of warming.
Source: MSCI ESG Research
Metric Description
1.5°C Aggregated Policy Risk Company Climate VaR (REMIND NGFS ORDERLY) [%]
A company’s aggregated downside policy risk exposure according to all emission sources (Scope 1, 2, 3), expressed as a percentage of the company’s market value, assuming a global 1.5°C target and using carbon prices from the REMIND model under the NGFS Orderly scenario.
1.5°C Technology Opportunity Company Climate VaR (REMIND NGFS ORDERLY) [%]
A company’s upside technology opportunity exposure, expressed as a percentage of the company’s market val ue capped at 100%, assuming a global 1.5°C target and calculated using carbon prices from the REMIND model under the NGFS Orderly scenario. 1.5°C Aggregated Physical Risk Company Climate VaR (REMIND Orderly Average outcome) [%]
A company’s expected downside or upside potential, expressed as a percentage of the company’s market value, assuming trends in extreme cold, extreme heat, extreme precipitation, heavy snowfall, extreme wind, coastal flooding, fluvial flooding, tropical cyclones, river low flow and wildfires continue along the 1.5°C REMIND Orderly scenario. 2°C Aggregated Policy Risk Company Climate VaR (REMIND NGFS DISORDERLY) [%]
A company’s aggregated downside policy risk exposure according to all emission sources (Scope 1, 2, 3), ex pressed as a percentage of the company’s market value, assuming a global 2°C target and using carbon prices from the REMIND model under the NGFS Disorderly scenario. 2°C Technology Opportunity Company Climate VaR (REMIND NGFS DISORDERLY) [%]
A company’s upside technology opportunity exposure, expressed as a percentage of the company’s market val ue capped at 100%, assuming a global 2°C target and calculated using carbon prices from the REMIND model under the NGFS Disorderly scenario. 2°C Aggregated Physical Risk Company Climate VaR (REMIND Disorderly Average outcome) [%]
A company’s expected downside or upside potential, expressed as a percentage of the company’s market value, assuming trends in extreme cold, extreme heat, extreme precipitation, heavy snowfall, extreme wind, coastal flooding, fluvial flooding, tropical cyclones, river low flow and wildfires continue along the 2°C REMIND Disorderly scenario. 3°C Aggregated Policy Risk Company Climate VaR (REMIND NGFS NDC) [%]
A company’s aggregated downside policy risk exposure according to all emission sources (Scope 1, 2, 3), ex pressed as a percentage of the company’s market value, assuming a global 3°C target and using carbon prices from the REMIND model under the NGFS NDC scenario. 3°C Technology Opportunity Company Climate VaR (REMIND NGFS NDC) [%]
A company's upside technology opportunity exposure, expressed as a percentage of the company's market val ue capped at 100%, assuming a global 3°C target and calculated using carbon prices from the REMIND model under the NGFS NDC scenario.
3°C Aggregated Physical Risk Company Climate VaR (REMIND NDC Average outcome) [%]
A company’s expected downside or upside potential, expressed as a percentage of the company’s market value, assuming trends in extreme cold, extreme heat, extreme precipitation, heavy snowfall, extreme wind, coastal flooding, fluvial flooding, tropical cyclones, river low flow and wildfires continue along the 3°C REMIND NDC scenario.
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"text": "- Orderly scenarios assume climate policies are introduced early and become gradually more stringent. Both physical and transition risks are relatively"
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"text": "- Hot house world scenarios assume that some climate policies are implemented in some jurisdictions, but globally efforts are insufficient to halt"
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"text": "In our report, we focus on the following three scenarios to cover different temperature outcomes and policy implementations, utilising outputs based on"
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"text": "the REMIND-MAgPIE model:"
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"text": "- Orderly transition scenario: Net Zero 2050 (1.5\u00b0C): This scenario limits global warming to 1.5\u00b0C through stringent climate policies and innovation,"
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"text": "emissions around 2050. Some jurisdictions such as the US, EU, UK, Canada, Australia and Japan reach net zero for all"
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"text": "- Disorderly transition scenario: Delayed transition (2\u00b0C): Delayed transition assumes annual emissions do not decrease until 2030. Strong policies are"
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"text": "needed to limit warming to below 2\u00b0C. Negative emissions are limited."
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"text": "- Hothouse world scenario: Nationally Determined Contributions (NDCs, 3\u00b0C): the NDC scenario includes all nationally pledged targets even if not yet"
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"text": "backed up by implemented effective policies."
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"text": "These scenarios are based on complex modelling of the Earth\u2019s physical and socioeconomic systems, and it is considered challenging to convert these"
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"text": "into quantitative return implications for portfolios. For this purpose, we utilise MSCI\u2019s proprietary Climate Value-at-Risk (CVaR) dataset that converts"
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"text": "these climate scenarios into company-level impacts at a 15-year time horizon (expressed as a percentage of a company\u2019s market value). It should be"
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"text": "noted that MSCI CVaR data is based on several assumptions made by MSCI. Scenario analysis methodologies continue to evolve, and data presented"
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"text": "here is subject to change in future. As described above, climate scenario analysis is provided to highlight potential climate risks and their underlying"
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"text": "drivers, however there is considerable uncertainty related to these estimates, and specific risks vary under different scenarios."
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"text": "Based on the MSCI CVaR dataset, we provide quantitative disclosure of three key pillars: (i) Policy Risk, which generally correlates to transition risk, (ii)"
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"text": "Technology Opportunities, which generally correlates to transition opportunities, and (iii) Physical Risk."
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"text": "Based on our analysis of the MSCI CVaR data for companies in a broad global equity and corporate fixed income index universe, companies in the"
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"text": "Utilities, Materials and Energy sectors may be exposed to higher levels of transition risk compared to companies in other sectors. Similarly, those"
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"text": "companies in the Utilities, Industrials and Materials sectors may be exposed to a higher level of transition opportunities compared to others. If the Fund"
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"text": "invests in these sectors, those investments may be exposed to the climate risks and opportunities outlined, though company-level risks and"
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"text": "opportunities vary within sectors."
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"text": "Coverage: 78.27%"
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"text": "The Multi-Asset Diversified Growth Sub-Fund has an Implied Temperature Rise increase of:"
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"text": "The climate scenario alignment uses MSCI\u2019s Implied Temperature Rise (ITR) model, and measures, in aggregate, a portfolio\u2019s"
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"text": "temperature alignment (in \u00b0C) to keeping the world\u2019s temperature rise to 2\u00b0C by 2100. For example, an ITR of 2.5\u00b0C assigned"
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"text": "to a given portfolio would indicate that the portfolio is exceeding its fair share of the global carbon budget, and that if everyone"
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"text": "exceeded their fair shares by a similar proportion, we would end up in a world with ~2.5\u00b0C of warming. Please note there is"
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