Columbia Threadneedle Investments

Climate Report
JUNE 2024
Our report in line with the recommendations of the
Task Force on Climate-related Financial Disclosures (TFCD)

Climate Report | June 2024

A report on how Columbia Threadneedle
Investments manages climate-related risks
and opportunities in investment portfolios andacross business operations under the framework
established by the Task Force on Climate-related
Financial Disclosures (TCFD)

This report broadly covers the various legal entities within Columbia Threadneedle Investments (Columbia Threadneedle), except for Pyrford
International Limited, a wholly owned subsidiary of Columbia Threadneedle, which reports separately on climate-related risks and opportunities.
The reported AUM figure for Columbia Threadneedle does however include Pyrford International Limited.

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Climate Report | June 2024

Contents

About this report

Foreword

4

UK attestation

5

Governance

6Strategy

10

Risk management

25

Metrics & targets

30

This report is designed to summarise our approachto managing climate-related risks and opportunities.
Metrics included are subject to measurement
uncertainties given the evolving nature of climate
reporting, and unless noted, all data is as of 31 Dec
2023. We reserve the right to update measurement
techniques and methodologies in the future.
The case studies and examples are provided forillustrative purposes only and may not be updated
in future publications. While we believe engagement
is an important part of understanding the risks andopportunities facing companies held in our portfolios,
such engagement may not be effective in identifying
risks and opportunities and we do not guarantee any
specific outcomes or company performance as a resultof such engagement.
Our public disclosures, including our climate-related
disclosures, encompass a range of topics that we
believe are relevant to Columbia Threadneedle’s
business and that may be of interest to clients andother stakeholders. This report describes Columbia
Threadneedle’s approach, which may differ from theapproach of its parent company, Ameriprise Financial,
Inc. References to “we” and “our” in this reportrefer only to Columbia Threadneedle. Information
contained in this report should not be construed as acharacterisation regarding the materiality or financial
impact of that information to Columbia Threadneedle,or any of its affiliates, or Ameriprise Financial, Inc., asindividual entities or collectively as a whole.

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Climate Report | June 2024

Foreword
At Columbia Threadneedle we strive to be a trusted partner to our clients and responsible stewards of their assets, allocating capital within aframework of robust research and good governance in accordance with their investment objectives.
Our core business is the active management of clients’ investments
through the well-researched allocation of capital to issuers and otherassets in a manner designed to create long-term value, support
economic growth, and serve broader prosperity. In keeping with thisaim, we manage our business responsibly, including understanding
and thoughtfully responding to climate change, which presents bothrisks and opportunities for issuers, clients, and our business. We arecommitted to delivering long-term financial returns for clients, which
includes understanding and managing climate-related risk, while
supporting a constructive transition to a low-carbon economy.
We also recognize that this transition is complex and requiresconsideration of different regulatory approaches and unique market
characteristics of the issuers and assets in which we invest for ourclients. Not only do we diligently integrate climate assessments into
our investment research process, but increasingly we also assess
the transition pathways of the different sectors and geographies inwhich we invest. This means engaging with issuers to understandand manage risk, and where appropriate, encouraging actions that we
believe could help drive shareholder value and contribute to a more
resilient and sustainable global economy.

We illustrate this work as a signatory to the UK, Taiwan, Japan, andKorea Stewardship Codes. As described in our Stewardship Report for
2023, we published our harmonized, global Responsible Investment
engagement and proxy voting policy and approach in 2023 andfocused on implementing our proxy voting policy and approachthroughout the year, the outcomes of which are evidenced throughout
the Stewardship Report.
Relatedly, we work in partnership with our clients to offer a broad
choice in investment strategies for individual and institutional clientswith differing priorities, including solutions that meet client demandfor climate-aware investment opportunities.
In summary, this report provides updated information on how
we manage climate-related risks and opportunities both for theinvestments we manage for our clients and our own business
operations. I hope you find it informative.

Ted Truscott
CHIEF EXECUTIVE OFFICER

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Climate Report | June 2024

UK attestation
Columbia Threadneedle is an active, long-term investor,a major shareholder and bondholder of UK-listedcompanies and manager of a large UK commercial realestate portfolio, on behalf of our clients. With a global
reach, we have our regional headquarters in London,
with a considerable presence in Swindon and Edinburgh,
and we employ more than 1,200 people in the UK1.
We know that our stakeholders, including our clients,
broader industry and the UK Government recognise therisks and opportunities posed by climate change and theimportance of transparency in our investment process,performance, and operations.
We trust that the information in this report outlining
how Columbia Threadneedle manages climaterelated financial risks and opportunities meets therequirements introduced by our regulator, the Financial
Conduct Authority, in Policy Statement 21/24, which areapplicable to our legal entities based in the UK.

David Logan
HEAD OF EMEA AND GLOBAL BUSINESS OPERATIONS

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Governance
At Columbia Threadneedle, we provide a
broad array of investment strategies forindividual and institutional investors.
Our clients rely on us as a leading global asset manager
to help pursue positive outcomes for the individuals they
serve; together they entrust us with $637 billion2.
We’re investing smarter for the world our clients want.

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Climate Report | June 2024

Management
Columbia Threadneedle has a comprehensive governance framework
designed to ensure that our business operates effectively. This
framework provides a mechanism for escalation and resolution ofbusiness matters, including those related to climate-related risks andopportunities.
Our decisions related to global strategy are managed by our operating
forums, the Global Executive Group (GEG) and the Global BusinessGroup (GBG). The GEG, in consultation with the GBG, exercises,
as part of its responsibilities, strategic oversight of our business,
including climate-related risks and opportunities and management ofour business-related carbon emissions. The two forums are chairedby our Chief Executive Officer Ted Truscott. This strategic oversightis in addition to the governance arrangements that we have in placeacross the three regions in which we operate our business: North
America; Europe, Middle East, and Africa (EMEA); and Asia Pacific(APAC) from the board of directors for each legal entity to the regional
committees and working groups that operate below, or alongside,these boards.

This governance structure
also supports our objectives toadvance a culture of compliance,
and to understand and manage
both existing and emerging risks.
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Climate Report | June 2024

Senior executives located in each region provide oversight throughthe Investment Oversight Committee (IOC) in North America, theInvestment Management Committee (IMC) in EMEA and APAC,
and for alternative asset classes globally through the Alternative
Investment Management Committee (Alts IMC). These committees
meet monthly and have responsibilities for Columbia Threadneedle’s
overarching investment framework, including our engagement andproxy voting activities.
Our Global Chief Investment Officer (CIO) is responsible for ensuringthat information related to environmental, social and governance(ESG) factors is included where suitable in our investment researchfor equities and corporate debt, helping to build a holistic view of theclimate-related risks and opportunities around such investments.
Our Responsible Investment (RI) Council meets monthly to align on
RI implementation, define firm-wide priorities to achieve our RI visionand mitigate RI risks including those related to climate change, andact as an escalation route to resolve cross-functional dependencies,
risks, and issues, among other things. Sample agenda items include
our firm-wide climate change approach and net zero targets, andgreenwashing risk. Voting members include representatives from the
Executive Group; Investment leadership across equities, fixed income,multi-asset, and alternatives; RI; Distribution; Product; and Legal andCompliance. The Council is chaired by the Global Head of RI. Nonvoting members include representatives from a diverse range ofbusiness functions within the firm.

This governance structure also supports our objectives to advance a
culture of compliance and to understand and manage both existingand emerging risks including those relating to climate change. The
Risk Management section further details the oversight undertaken
by our Investment Risk teams in EMEA and North America whenmonitoring climate risks within the portfolios that we manage on
behalf of our clients. The Investment Risk team in EMEA may reportany specific issue to the IMC or the Alts IMC; the Investment Risk
team in North America may report any specific issue to the IOC or
Alts IMC. The Risk and Controls Committees in North America andthe Financial and Operational Risk Committees in EMEA and APAC
among other things (i) provide oversight of the operational risk
management strategies, policies and practices that identify, assess,monitor, and manage risk for Columbia Threadneedle, and (ii) act as
points of regional escalation for emerging and long-term risk issues,
including related to climate change.
As part of this work, we conducted an exercise to identify andbetter understand the climate-related risks and opportunities thatexist within the asset classes that we manage and within our own
business operations. The findings from this exercise were presented
to decision-making and oversight groups globally, including GEG, IMC,
and IOC and helped to inform our views on risks and opportunities, as
set out in the Strategy section of this report.

Our Responsible Investment Advisory Council meets quarterly toprovide advice on our approach to responsible investment, including
on material ESG themes, stewardship activity, ESG-related funddesign and marketing positioning, with a particular focus on thecriteria by which our Responsible and Sustainable fund ranges arerun. The Council consists of five external members, including one who
retired from Columbia Threadneedle in March 2023. They are leadersin their field and bring international experience across RI, impact
investing, environmental, social, and ethical issues.

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Board oversight
Certain boards within the Columbia Threadneedle group are
responsible for overseeing our obligation that client assets aremanaged in accordance with agreed upon investment guidelines.
In connection with this oversight, these boards are provided withinformation related to climate-related risks and opportunities, ourRI framework, and whether and the degree to which considerationof climate-related targets and risks forms part of the portfolio
construction process.
For an investment product that has a specific climate-related target
as directed by our clients, the relevant board would be provided withinformation on any related material risk issues to enable them tomonitor the progress that is being made against the target. Certain
boards in EMEA have also been updated on the climate-related risks
and opportunities that were identified within the asset classes that wemanage and our business operations to support their responsibilities
in this area. Investment strategies with climate-related targets areavailable to institutional investors globally and can be tailored to
specific goals. Within the retail market our current focus is on offering
ESG and climate-related funds primarily to retail investors in the UK
and European markets to meet client demand in those regions.

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Strategy
We recognise the importance ofmanaging climate-related risks andopportunities effectively to protect
long-term investment returns.
Our aim is to be consistent and proactive inrecognising these risks and opportunities, and touse our expertise and our role as a global investor to
mitigate risks and take advantage of opportunities,
acting in the long-term economic interests of ourclients.
In this part of the report, we explain how we haveassessed climate risk and opportunities anddescribe the four elements of our climate strategy.

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Climate Report | June 2024

Identification of climate risks
and opportunities
We see three primary transmission mechanisms
through which climate-related risks andopportunities can potentially affect our firm and ourclients:n Investment performance: the financial valueof assets we invest in for our clients could
be susceptible to fluctuations due to how
effectively the portfolio issuers in which weinvest have managed such climate-related risks
and opportunities
n Suitability of products: our ability to mitigate
climate-related risks and maximise climaterelated opportunities could influence whether aclient chooses to (continues to) invest with usn Costs: meeting regulatory requirements andclient expectations on climate-related risks andopportunities may lead to additional costs being
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Analysis of risks and opportunities
The following table sets out a description of the potential climate-related risks and opportunities to Columbia Threadneedle; the timeframe over which we believe these risks andopportunities could materialise; and the mitigation actions in place to address these potential risks3. This draws on an exercise conducted in 2022 with a cross-section of our investment
professionals to rate our exposure to different climate-related risks and opportunities.
For timeframe, we define short term as less than 1 year; medium term as 1-5 years; and long term as 5-10 years.
RISK

DESCRIPTION OF IMPACTTIMEFRAME

MITIGATION ACTIONS/ACTIONS TO MAXIMISE OPPORTUNITIESTransition:
Policy & regulation(Investment risks
and opportunities)

The performance of the investment portfolios we manage may be impacted by climaterelated regulation or policy – resulting in both risks and opportunities.

Short term

Our investment teams in relevant asset classes have processes in place to identify potential
investment-related risks and opportunities arising from climate change, described in theStrategy section of this report. Dedicated environmental experts in our fundamental researchand RI teams support this work. Our research on transition topics and technologies, andengagement with companies in sectors with material climate impacts, support the integrationof consideration of climate change as part of developing our investment theses.

Transition:
Policy & regulation(Operational risks)Laws, regulations, or guidance linked to climate change or sustainability could result in
additional compliance costs. There has been a recent increase in ESG-related regulation,such as product labelling or disclosure rules, and the anti-greenwashing measures being
taken by regulators across the globe.

Short term

We have research personnel who track the implications of forthcoming regulation. Our Legaland Compliance teams review the implications of upcoming regulatory developments. We
may proactively contribute feedback to regulatory consultations where appropriate, for the
benefit of our clients. We also have a business change team to implement and comply with
the necessary changes introduced by new regulatory developments.

Transition:
Technology

The requirement to keep pace with technological advancements to adequately identify,
assess and manage climate risks and opportunities could result in additional personnel and/or data costs.

Short term

We work closely with clients to identify their expectations on technology and data. We havea dedicated and large internal technology team, which enables us to efficiently integrate third
party data and build proprietary analysis systems, such as our net zero model outlined below,
to inform our investment processes.

Transition:
Market

The expectations of some clients for the management of climate risk are evolving indifferent ways, and managers who do not keep pace with such individualised client
expectations may put assets at risk.

Short term

We have developed data, risk management and reporting processes for relevant Investment
teams to ensure that climate-related risks are considered and can be reported to clients asappropriate and in line with their differing requirements. We have a broad product offering tosuit and adapt to differing client needs and preferences.

Transition:
Reputation

Managers are subject to heightened regulatory, media and client scrutiny around ESG andclimate change. Negative perceptions of actions or inactions could create reputational risk
and impact client relationships.

Short term

We continue to use our in-house expertise and industry networks to monitor climate
developments, and we have robust processes to ensure that our reporting is accurate.

Physical:Acute & chronic(Investment risks)

A range of physical climate events could impact underlying asset performance. This could
be particularly marked in certain regions (those subject to the greatest climate stress), andcertain industries (such as agriculture and electric utilities).

Medium term

Our risk analysis in relevant asset classes and sectors incorporates physical climate
risk data, where available. Mindful of the limitations of current data, we have written a
research note on the challenges in the data currently available to the industry to support theassessment of physical risk, and follow industry initiatives such as the work of the UK Centre
for Greening Finance and Investment.
We engaged with companies in exposed sectors including real estate and insurance in 2023
to build our knowledge base and encourage appropriate risk management within those
sectors.

Physical:Acute & chronic(Operational risks)

Office facilities, infrastructure (e.g. transport) or staff could be impacted by adverse climate
events.

Medium term

In relation to operational risk, Columbia Threadneedle leases the vast majority of its facilities
and holds insurance which helps to mitigate the potential financial impact of physical climate
risks. Disaster recovery plans are also in place.

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Climate Report | June 2024

OPPORTUNITYDESCRIPTION OF IMPACTTIMEFRAME

MITIGATION ACTIONS/ACTIONS TO MAXIMISE OPPORTUNITIESResource
efficiency, Energy
sourceInvesting in assets that support resource efficiency and/or low-carbon energy sources could
result in improved investment performance.

Short term

Value creation opportunities through improved resource efficiency and low-carbon energy
sources are identified as part of our fundamental research processes, and we run specificproducts that target this as an investment theme in line with the demands of certain clients.
We have conducted deep thematic research on key areas such as electric vehicles andsustainable aviation, and held internal seminars to discuss the investment opportunities
arising.

Products &Services, Market,
Resilience

Increasing client demand for products or services that meet their expectations aroundmanaging climate risk and opportunities could result in inflows into Columbia Threadneedle
products.

Short term

We have a long track record in developing RI products, including many with a specific climaterelated focus particularly in the EMEA and APAC regions, reflecting client demand. These
are set out in further detail below. For specific clients, our evolving data tools, such as ournet zero tool, support the analysis and reporting of climate transition readiness of investee
companies in listed asset classes.

The landscape of climate-related risks and opportunities is rapidly changing, as climate policies, science and technologies evolve. Our mitigating actions and management of risks andopportunities are regularly reviewed, with oversight from senior management as set out in the Governance section above, and we expect these to evolve over time.

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Climate Report | June 2024

Columbia Threadneedle’s
strategic approach to climaterelated risks and opportunities
This section sets out in greater detail our
strategic response to the climate-related risks
and opportunities presented to our business,and to the asset management industry
holistically. The main impact is throughour managed assets, which is the focus of
this section given that climate-related risks
and opportunities are a significant macro
investment theme that we, like other asset
managers, are actively considering as weseek to deliver both near- and long-term
returns for clients. Our approach in relation to
our operational emissions is set out in moredetail in the later sections of this report.
Our strategy applies across our global
business subject to variations that dependon the category of asset class, differing clientdemands, and different investment decisionmaking approaches pursued by portfolio
managers. We also consider, where relevant,
ESG factors and, specifically, climate-related
factors in our decision-making related todelegated functions, such as the criteria forthe selection of external third-party asset
managers where this forms a part of ourclients’ requirements.

Implementing our net zero commitment
A key pillar of our climate change strategy is our net zerocommitment. As a signatory to the Net Zero Asset Managers
Initiative (NZAMI)4, we aspire to reach net zero emissions by 2050
or sooner across all assets under management subject to ourclients’ preferences. Consistent with Columbia Threadneedle’s
client-centric model, reaching this aspiration depends on the
mandates agreed with clients and the regulatory environments
within which we all operate. With certain governments
focused on slowing the acceleration of climate change anddecarbonisation technologies evolving, we see having robust data
and methodologies to assess net zero as an essential part of theoverall risk management within our investment processes.
We operate in several jurisdictions where governments have madenet zero commitments, such as the UK’s Climate Change Act

2008 (2050 Target Amendment) Order 2019. We believe that our
ambition is consistent with these commitments, and we track key
pieces of implementing legislation, such as the European Union’s
New Green Proposals.
We have thus far developed our net zero methodology in two key
asset classes: listed companies (equities and corporate bonds),
and direct real estate investments in the UK and continental
Europe. We are working on methodologies for other asset
classes and are actively contributing to the development ofindustry methodologies, for instance through participating in the
consultation process for the Assessing Sovereign Climate-Related
Opportunities and Risks (ASCOR) project, and chairing discussions
on sovereign bonds for working groups at the Institutional
Investors Group on Climate Change (IIGCC).
June 2022

December 2023

Total Net Zero aligned strategies as % total Columbia Threadneedle AUM and $bn

7.36% ($43.5 bn)

7.10% ($44.9 bn)

Total Net Zero SICAV funds AUM as % total SICAV AUM

65%

66%

Total Net Zero OEIC funds AUM as % total OEIC AUM

31%

33%

The coverage of our Net Zero alignment methodology remains
similar to our previously published figures. Our focus during 2023
was on implementation of our existing commitments rather thanon extending these further. As described above, we achieved theintegration of our Net Zero tool into our portfolio management
system; integrated Net Zero alignment data into our TCFD productlevel reports for our Net Zero aligned funds; converted one of our
fixed income funds to the Net Zero Transition Low Duration Credit
strategy; and put in place monitoring systems to track how the funds
and mandates covered by our methodology are meeting their targets.
In 2024 we will seek to further our implementation of our ambition
to reach net zero by 2050 or sooner across all assets undermanagement (AUM), working in partnership with our clients.
One key area is developing approaches across all relevant asset

5classes. As at the end of 2023, our formal Net Zero approaches
covered equities, corporate bonds, and direct real estate. We arein the process of developing a methodology and data model forsovereign bonds, which we intend to roll out during 2024.
The key dependency for the future evolution of our AUM coverageremains our clients’ demand for Net Zero aligned strategies.
We continue to be proactive in communicating our Net Zero
approach and methodology through our publications as well as
one-on-one with clients, and in the EMEA region we have a wide
range of pooled funds with a Net Zero commitment applied.
Uptake in the North American market remains slower due to more
limited client demand, and at this time, there are no Columbia
Threadneedle strategies offered in the U.S. that align to our Net
Zero methodology.

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Climate Report | June 2024

1

Integrating climaterelated risks andopportunities into ourinvestment process

As a research-driven active manager, we believethat the integration of ESG considerations6 into ourinvestment research builds a fuller picture of the risks
and opportunities and future return prospects of thecompanies, debt issuers and assets we invest, or look
to invest, in. While our investment approaches andstyles vary depending on the product and strategy, ourinvestment professionals share a common belief thatcompanies that demonstrate a sustainable businessmodel, organisational stability, and the ability to evolve
where necessary are better placed to deliver long-termvalue for our clients, support economic growth, andserve broader prosperity.
ESG factors are therefore integrated into ourfundamental research process for all relevant asset
classes, led by our dedicated fundamental researchanalyst team. The team works to turn information anddata into forward-looking insights that can add realvalue to our investment decisions, enhancing our ability
to deliver on our clients’ desired financial and, where
also targeted, non-financial outcomes. Our team of RI
specialists act as a hub of expertise, supporting thisanalysis.
Our investment teams work closely together to highlightrisks and opportunities within industries and sectors,
informing investment decisions across asset classes.
We have several climate specialists who produce
research, conduct training, and develop data tools andmethodologies.

The analysis of ESG factors, including climate-relatedrisks and opportunities, is important information
available to our investment teams as part of theirdecision making, as appropriate. Information is tailoredby asset class and product type, as set out below for key
asset classes7.

Equities and corporate bonds
Climate change can impact the economic value ofcompanies over time, both positively and negatively.
Transition risks to our investee companies include
policy risk, technology risk and changing consumer
preferences, which can affect operating costs and shiftdemand patterns. Physical risks can result from acuteclimate events (e.g. storms, floods, or hurricanes) or
long-term changing weather patterns (e.g. implications
from rising temperatures). If not effectively managed
by the companies in which we invest, these events canhave severe consequences, including such things asasset damage, supply chain disruption, reduced water
availability and quality, food security, employee health& safety, changing consumption patterns, rising costs(energy, raw materials, insurance) or capital expenditure(for climate resilience/mitigation/adaptation). All ofthese risks could have a material impact on the financial
returns we are responsible for generating for our clients,
which is why factoring them into our independent
research into issuers is critical.

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Climate Report | June 2024

To support the analysis of these impacts, our research andportfolio management teams have access to a wide rangeof climate-related metrics and data. These cover water use,land use, energy, waste, and physical climate risks, amongst
others. We use the Sustainable Accounting Standards Board(SASB) standards as a guide to which metrics are mostfinancially material to each sector. We also make use ofclimate change disclosure and analysis from Climate Action
100+, Transition Pathway Initiative, CDP8, and others.
2023 saw a step change in the way we disseminate climaterelated data for these asset classes. We have integrated
our proprietary Net Zero tool into our portfolio management
system, where it is available to our portfolio managers. The
model is based on the Net Zero Investment Framework,
developed by the Paris Aligned Investment Institute.
We also rolled out TCFD product-level reporting for clients of
our UK and European domiciled funds. These reports containdata and information required under the FCA’s mandatory
TCFD reporting regime, as well as additional contextual
information to support our clients’ understanding of climaterelated risks. TCFD carbon metrics are also available to ourportfolio managers through our central portfolio management
system.
Specific areas of focus in our 2023 sectoral and thematic
research work, that we believe can help inform generationof financial value for our clients, included hydrogen; carbon
capture and storage; decarbonisation in hard-to-abate sectors(including cement, aviation, and shipping); and deforestation.
We have built, and have made available, TCFD carbon metrics
into a dashboard so that our research and investment
professionals can analyse the carbon risk and performanceof a large universe of companies, where data is available.
These metrics include weighted average carbon intensity,
total carbon emissions, carbon footprint, carbon intensity, andexposure to carbon-related assets.

We have developed an Energy Transition framework, thatanalysts can use to rate companies on their strategy aroundclimate risks and opportunities. Analysts rate companies
on a group of six metrics; the resulting score is fed into ourequities research process. We also have access to MSCIESG Research’s Climate Value at Risk data, which we use
in scenario analysis, as described more fully in the Risk
Management section below. Ultimately, how these tools andratings are used by portfolio managers is a function of thedesign of the products and the specific mandates agreed
with clients.
We use a selection of data sources to rate companies on
their alignment to a net zero pathway, from Fully Aligned;
to those making progress, which are rated as Aligning or
Committed; to those that are Not Aligned. This enables us toanalyse portfolios and identify which companies to engage
on behalf of our clients.

Data from our Net Zero tool is available to our investment
professionals to support portfolio analysis. The model isalso used to track progress for those portfolios committed
as directed by clients to apply a net zero approach. For thisgroup of portfolios, we aim to have portfolio companies
representing at least 70% of portfolio emissions rated either
as aligned or under engagement, as recommended by the Net
Zero Investment Framework.
For this group of funds, we also compare a portfolio’s overall
carbon intensity with a net zero aligned trajectory, based on
financed emissions intensity for the portfolio’s benchmark in
2019, and applying a 50% reduction by 2030. We use this as areference pathway to track and monitor progress, rather thanas a binding target9.

Sovereign bonds
Climate change presents risks to sovereign bond investments
to the extent that there are impacts of an order of magnitude
which affect government creditworthiness. Examples include:n Catastrophic weather events such as storms, which
could cut economic growth and push up government
spending on rebuilding.

We have developed
an Energy Transition
framework, that analysts
can use to rate companies
on their strategy aroundclimate risks andopportunities.

n Extreme weather conditions such as prolonged
drought or heatwaves, which could impact agricultural
production and other weather-dependent activities, andimpact governments where these form a major part of
the tax base.
Our investment analysis of sovereign debt includes ESG
factors, where these may be material to the investment
case.
We also run specialist mandates at the request of clientsthat explicitly tilt portfolios based on ESG factors, such as
climate change.

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Many governments also have a green bond issuanceprogramme, allowing investors to allocate capital towards
issues focused on climate solutions. We run a number ofgreen bond client mandates in line with demand from certain
clients, which include both government and sovereign bonds
and have processes in place to monitor the green bondquality.
We continue to monitor net zero alignment methodologies
for sovereign bonds, which are still under development in
the industry. For example, the Assessing Sovereign Climaterelated Opportunities and Risks (ASCOR) project, which isintended to provide an open-access data source, to support
both the integration of climate risks and opportunities into
investment processes, and the assessment of government
net zero alignment. We are developing our own sovereign
bond net zero methodology which we hope to roll out
during 2024.

Real estate
Real estate presents a unique dynamic given its fundamental
contribution to basic human needs. The intrinsic nature ofproperty in our daily lives emphasises the scale of potential
impact that climate risks and opportunities may have. The
ability of buildings to withstand increasingly volatile weather
patterns, to protect and harness the world’s natural resources,
and to support business continuity through the shift to agreen economy cannot be understated.
In our European direct real estate businesses, our standard
due diligence protocol when considering investments involves
the detailed consideration of a wide range of ESG factors.
We specifically focus on investment-critical aspects suchas energy efficiency characteristics, flood risk, longer-term
resilience to climate change and impact on net zero carbon
ambitions, as appropriate to each individual property.
We perform regular structured reviews of ESG credentials
at individual property level, blending relevant and specificcharacteristics into both fund and asset level businessplanning and operational activity, so that we can determine
appropriate mitigation or adaptation plans.
Such assessments may include the evaluation of exposure
to physical climate risks or the extent to which the distributionof existing energy performance ratings across funds createtransition risk. We maintain a watchful eye on the everchanging nature of the sustainability landscape and involve
all property-related disciplines in the development ofappropriate strategies, approaches, and tools to best
manage real estate assets.
In North America, our real estate investment subsidiary,
Lionstone Investments, applies a methodology driven by data,utilising underlying risk indicators that emerge from changes
in the physical environment. The risks are categorisedand captured for each asset and included in a proprietary
research database, which is used to make strategic decisions
throughout the asset lifecycle.

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Private equity
Private equity is uniquely positioned to drive and scale
environmental best practices given we typically holdmaterial stakes in companies, have a close relationship tomanagement – many of which have been hand selected– and are fuelling the businesses of tomorrow. We seek
private equity funds and co-investments that take positive
steps to future proof businesses by investing in transition
or adaptation, reducing environmental risks and better
positioning themselves to benefit from sustainable
opportunities.
Climate change risks can have a material impact on theeconomic value of our portfolio companies such as asset
damage, supply chain disruption, health & safety and rising
input costs. Equally, the net zero transition and technology
disruption are expected to be among the biggest investment
trends of the next decade, which private equity is well
positioned to execute on. The exposure to climate-relatedrisks and opportunities is assessed as part of our ESG due
diligence. We utilise a number of best-practice frameworks
such as the UN Sustainable Development Goals (UN SDGs)
to help guide and structure our investment process. In
2023, 83% of our private equity holdings implemented
environmentally friendly initiatives, 58% tracked GHGemissions and 17% had a net zero target in place.

Fiduciary management
Our global fiduciary management capability serves clients in
the UK, Netherlands, and US, providing tailored investment
advisory and portfolio management capabilities, including
full ESG integration, where this forms part of clients’requirements.
Dutch Fiduciary Management
Our Dutch fiduciary team uses our in-house Net Zero tool.
The tool pulls data from our active ownership efforts andfrom specialised external sources. We use this tool, combinedwith the climate and sector expertise of the RI team, to map
the climate-related investment performance of our clients’portfolio holdings, where applicable. For our fiduciary clientsin the Netherlands, net zero commitments have become
established market practice.
We can use net zero analysis for complete portfolios or for
select sets of asset classes or mandates, depending on client
preferences. We then translate the findings into strategic
investment, portfolio construction and policy advice. In
doing so, we not only look at climate-related risks, but also
at investment opportunities like green bonds or climate(mitigation and/or adaptation) solutions providers. Following
our advice, clients have mandated us to implement net zerostrategies across some €10bn of their assets.
For Asset Liability Management (ALM) studies, and whenadvising about the strategic asset allocation (SAA) of theinvestment portfolio of a pension fund, we will liaise with aclient or with their consultant to ensure climate-related risks

18

Climate Report | June 2024

have been taken into account consistent with client
expectations.
We can calculate climate-related risks for 22 asset
classes in our CMA (Capital Market Assumptions) modeland can compare these top-down outcomes with bottomup VaR (Value at Risk) and factor analyses per mandate/asset class.
For most of our fiduciary clients, we have partneredwith them to implement their net zero commitments
by implementing guidelines across significant parts of
their allocations. This started with feasibility studies
against various net zero frameworks, commitments, andguidance documents, both national and international.
It was followed up by implementation plans spanningseveral years and covering as many asset classes
as possible. For those clients, we are now looking foropportunities to further optimise portfolios from a climate
risk point of view.
Our delegated investment officers, fiduciary RI strategists,
investment strategists and multi-management teams
work closely together to implement net zero with eachclient’s appointed external managers.
More specifically, we have drafted one client’s action
plan to be submitted under the Financial Sector’sCommitment under the Dutch Climate Accord. We havealso incorporated net zero key performance indicators in
the ESG progress reporting we regularly present to ourclients’ board of trustees. This allows trustees to monitor
net zero implementation progress and climate-relatedrisks and impacts relating to the portfolios and mandates
they oversee.

Managed and multi-asset funds
Within our managed and multi-asset fund ranges, there
are a number of underlying investments including, but
not limited to, funds managed by Columbia Threadneedle
EMEA and our affiliates, as well as passive strategies
and direct holdings. Individual funds invest in a varietyof these investments dependent on what the mandate
is designed to achieve. For all such EMEA funds,
consideration of sustainability risk is integrated into theselection of the underlying investments, be they direct or
through other funds, and at the overall fund level.
Where the managed and multi-asset funds gain exposure
to securities directly, rather than through other funds, theintegration of sustainability risk is considered as part ofthe security selection process that is described for the
relevant asset class above.
Aggregate sustainability risk exposure across theunderlying funds is measured and collated at thefund level and then compared against an appropriate
benchmark, or composite. Specific processes andprocedures apply in relation to dedicated sustainablemulti-asset strategies such as our Responsible,
Sustainable and SDG fund ranges.

19

Climate Report | June 2024

2

Undertaking
stewardshipwith investee
companies

As active owners, proactive engagement with theissuers we invest in on behalf of our clients is an integral
part of our approach to research and investment, andas stewards of client capital. Through understanding
investee companies and constructively encouraging themto evolve, active ownership can enhance our research
insights and be a powerful driver of positive real-worldchange, underpinning our commitment to deliver longterm returns for our clients. Engagement takes placecollaboratively, with RI specialists, fundamental researchanalysts and portfolio managers working together
consistent with client mandates.
We ensure an informed approach to our engagement,
underpinned by collaboration across asset classes andthematic and sectoral disciplines. We engage to enhance
our research insights, to deepen relationships with thecompanies we invest in, to understand how they are
positioned for transition, and to encourage change overtime. We engage both directly one-on-one, and throughselected engagement collaborations where these alignwith our goals of serving our clients, including the Climate
Action 100+ initiative.

Consistent with client expectations, we engage withissuers in companies and sectors where we believe
climate risk may be financially material, with a focus
on heavy greenhouse gas emitters and those with highexposure through their value chain and product mix.
We see the following elements as the core aspects ofgood practice in the management of climate change andenergy transition risk:n An overall net zero ambition for 2050 or earliern Short- and medium-term emissions targets
n Disclosure of emissions, including Scope 1 and 2 andmaterial Scope 3
n A credible transition strategy, including identificationand quantification of levers to achieve targets, andquantification of how opex / capex is allocatedn Good governance of climate risks and opportunities,
including board-level oversight and a link of material
climate factors to remuneration

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Climate Report | June 2024

Whilst consideration of these factors applies acrossdifferent sectors, we also have identified specific focus
areas for key industries, recognising that there are unique
circumstances that must be understood for individualcompanies in their transition pathway. We track and monitor
engagement and use milestones to measure our progressagainst those objectives. Our best practice expectations
on net zero are set out in detail in our paper ‘Net Zero: Best
Practice and Engagement Approach’10.
In 2023, on behalf of our clients, we conducted 650
engagements covering climate change with 416 different
companies. As our understanding of climate-related risks
and opportunities has progressed, the content of theseengagements has evolved. Many engagements have moved

on from encouraging companies to acknowledge climatechange as a potential risk and the setting of preliminary
targets into the technicalities and challenges of taking thesteps necessary to achieve such targets, in line with the
emerging best practice on transition plans.
We recognise that industries are different, and we remain
in dialogue with companies in sectors where carbon
emissions are hard to abate, seeking to understand how
such companies are working to overcome the challenges
they face.
The topics of our 2023 engagements are set out in the chart
below. Note that engagements typically address multiple
interdependent issues in each interaction, explaining why
the percentages below add up to more than 100%.

Alongside engagement, proxy voting is a tool available tous as stewards for our clients’ capital. Where companies
in high-impact sectors fail to provide investment-relevant
climate disclosure or do not have a robust climate change
risk management strategy, we may oppose certain
management resolutions if we think that this is in the best
long-term economic interests of our clients. In certain
instances, we may support shareholder resolutions callingon companies to improve their business planning andpublic disclosure in relation to climate change risks andopportunities. Note that we apply our voting guidelines
to client portfolios in a manner that considers our clients’respective investment objectives and best long-term
economic interests. This could result in our voting on amatter the same way (or differently) for different clients.

Climate change topics covered in engagements in 2023
Net zero strategy

61%

Disclosure and transparency

42%

Emissions management

41%

Energy transition

34%

Resilience and adaptation

22%

Climate finance9%

Just transition

5%

Climate change other
Climate change lobbying

1%
0%
0%

10%

20%

30%

40%

50%

60%

70%

80%

Each engagement may cover multiple climate topics, meaning that data will sum to more than 100%. Source: Columbia Threadneedle Investments.
Alongside engagement, proxy voting is a tool available to us as stewards for our clients’ capital. Where companies in high-impact sectors fail to provide investment-relevant climate disclosure or do not have a robust climate change risk management strategy, we may
oppose certain management resolutions if we think that this is in the best long-term economic interests of our clients. In certain instances, we may support shareholder resolutions calling on companies to improve their business planning and public disclosure in relation toclimate change risks and opportunities. Note that we apply our voting guidelines to client portfolios in a manner that considers our clients’ respective investment objectives and best long-term economic interests. This could result in our voting on a matter the same way (ordifferently) for different clients.

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Climate Report | June 2024

3

Delivering innovative
investment strategies
and solutions

We offer investment solutions that allow investors, if theywish, to place extra emphasis on managing climate risks
and opportunities in their portfolios. These strategies
are available to institutional investors globally andcan be tailored to specific goals that align with clients’investment preferences.
Our current focus is on offering ESG and climate-related
funds primarily to investors in the EMEA and APAC
regions to meet client demand.
Examples of strategies include11:n Responsible and sustainable equity: Most broadly
these funds have exclusions related to companies’
fossil fuel exposure. Other exclusions for certain
funds include deforestation and certain transport
exposure, as well as companies in high impact
sectors that do not have comprehensive strategies
in relation to climate change, or other material
sustainability issues including biodiversity. Somefunds additionally have a thematic focus, targetinginvestments in areas including energy transition andsustainable cities.

n Social and green bonds: Our social bond strategies
are designed to unlock the full potential of bonds
to deliver both a financial return and positive social
outcomes. As the pursuit of a net zero world
implicates issues beyond purely the environmental,
the strategy focuses on issuers who factor in social
considerations in their transition to a lower carbon
world in order to minimise potentially negative
societal impacts. We also provide green bondmandates for segregated clients.
n Private equity: Our Climate Opportunity Partners
private equity fund12 provides its investors access toinvestment opportunities arising from global efforts
to tackle the causes and impacts of climate change,and our new Castle Mount Impact Partners LP
strategy targets Environmental Sustainability as aninvestment theme.
n Responsible Engagement Overlay (reo®) service:
Clients of our stand-alone engagement and voting
service benefit from a comprehensive approachto active ownership across their assets, wherever
they may be managed. Climate change is one of theseven key themes covered by this service.

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Climate Report | June 2024

4

Taking partin advocacy
and producing
thought
leadership

Biodiversity and nature risk exposure
As part of our approach, we contribute thoughtfully andproactively to government and regulatory consultations
where appropriate, helping to inform and shape policies
to create lasting progress for the benefit of our clients.
To stimulate innovation and improve industry standards,
we participate in a number of bodies to discuss anddevelop investor approaches to climate change, such as
net zero methodologies, barriers to decarbonisation incertain sectors, and the analysis of physical climate risk.
We are a member of the Institutional Investors Groupon Climate Change, which is the European membershipbody for investor collaboration on climate change, where
we play an active role in several working groups. We
also contribute to climate change work by wider industry
groups such as the UK’s Investment Association.
Examples of advocacy relating to climate change in 2023
included input into the UK Sustainable Investment and
Finance association (UKSIF) work on a hydrogen policy in
the UK, by providing our view on the barriers to hydrogendevelopment and feeding into a survey by the China
Institute of Finance and Capital Markets (CIFCM) on
climate disclosure. Key collaborations included Climate
Action 100+, the Net Zero Engagement Initiative andNature Action 100 (see right).
We have also published various papers on climatechange and related environmental topics which wereference in webinars and meetings with clients.

We are aware that there are strong links between
risks driven by events related to climate change,
and risks driven by the depletion and degradation ofnature13. Due to this fundamental interdependence,
we believe that investment risks related to climatechange and nature loss must start to be considered ina more systemic and connected way. We are closely
monitoring evolving regulatory and stakeholder
expectations on the disclosure of financial institution
exposure to nature-related risks and are members of
the Taskforce on Nature-related Financial Disclosures
Forum. We have conducted quantitative data analysis
to understand the exposure of our equity and corporate
fixed income investments to nature-related impacts anddependencies14. In 2023 we conducted 363 engagementswith 260 issuers on nature, and were one of the launchinginvestors of Nature Action 100, where we were one of
the ten founding investors that have been developing
this initiative over the past two years and continue to siton the Steering Group and Technical Advisory Group.
We have developed a proprietary deforestation tool that
identifies companies that are potentially exposed to highdeforestation risks and to rate their management quality
and are also in the process of building an in-house tool
to appraise the quality of corporate nature managementin high-impact sectors. We believe that the potential
financial risks from nature and biodiversity-related risks
are significant in exposed sectors, and that taking aproactive approach will help us manage and monitor
these risks, to the benefit of our clients.

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Climate Report | June 2024

Recent publications on climate change

Investment conclusions
from 2023’s clean energy
sell-off

ESG Viewpoint: Investingin a Just Transition

Carbon capture andstorage: opportunities ina burgeoning market

ESG Viewpoint:
Interpreting climate datafor investment portfolios

What we expect from
COP28 in Dubai

COP28 – main takeaways
and key outcomes

Plugging the metals gap– seeking sustainable
leaders for the energy
transition

Chopping and changes:
what are the implicationsof the EU’s Deforestation
Regulation?

ESG Viewpoint: A deep
dive on Japan’s low
carbon transition

Thematic Insight: Theenergy transition –transformative on a
global scale

Smooth sailing or all atsea: what does the new
shipping net zero target
mean for investors?

ESG Quick View:
El Niño: a taste of climate
risks to come?

ESG Viewpoint:
Deforestation in Brazil

A unique lens on banks
and net zero

Investment implications:the US Inflation Reduction
Act is a wake-up call for
the EU

IPCC 6th assessment
cycle - key takeaways for
asset management

ESG Viewpoint: The
challenges of realisingzero-carbon cement

Green hydrogen: theinvestment perspective

COP 27: outcomes,
opportunities andemerging markets

COP 15: Global
Biodiversity Framework
elevates nature-relatedrisks and opportunities

ESG Viewpoint: Banking
on biodiversity

ESG Viewpoint: Net
Zero: Best Practice andEngagement Approach24

Climate Report | June 2024

Risk management
Climate change risk is unusual in thatthe risk takes two interlinked forms: thefinancial risks of climate change to thecompanies in which we invest and therisks to the climate from the actions of
the companies themselves.
To tackle the first risk, we use scenario analysis and theother risk tools we describe in this section. We aim toameliorate the second risk via our active ownership and
Net Zero commitment as described above.
Financial risks from climate change primarily arise from:n Physical risks relating to specific weather events(such as heatwaves, floods, wildfires, andstorms), and longer-term shifts in the climate(such as changes in precipitation, extreme
weather variability, sea level rise, and rising mean
temperatures); andn Transition risks arising from the process ofadjustment towards a low-carbon economy. This
includes climate-related developments in policy andregulation, the emergence of disruptive technology
or business models, shifting sentiment and societal
preferences, or evolving evidence, frameworks, andlegal interpretations.

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Climate Report | June 2024

Climate change risks for Columbia Threadneedle
Climate change risk can affect Columbia Threadneedleboth directly (e.g. catastrophic weather events affecting
our buildings) and indirectly, via changing client
preferences for investment products and evolving
regulatory regimes. We also have to be aware of the risks
that our operations could have on the climate.
Our enterprise risk management process includes
assessing, protecting against and mitigating the physicalrisks of catastrophic weather events affecting ourcompany. In particular our business continuity planningconsiders climate risk. In the “Analysis of risks andopportunities” table presented above in the Strategy
section of this report we discuss some of the potential
climate-related risks to, and opportunities for ourbusiness and the mitigation actions in place to addressthese potential risks.
As a financial services firm, Columbia Threadneedle
generates low levels of direct greenhouse gas emissions
relative to other industries15. The main contributor tothose emissions is our corporate real estate, and wehave set both a net zero target for our operations andan interim reduction target for 2030 as described in the
Metrics and Targets section of this report.

With regard to our corporate real estate, we have long
focused on operating our buildings efficiently. For
example, our Boston headquarters is at Atlantic Wharf,a LEED Platinum building, and in London our main
office is at the award-winning Cannon Place, a BREEAM
recognised building16. We would also note that in 2023,
as part of our integration of the BMO GAM EMEA
business, we brought our teams together at our Cannon
Place location, and Ameriprise announced a thoughtfultransition to a new headquarters location in Minneapolisthat includes Columbia Threadneedle employees.
In the EMEA region, our internal Environmental Advisory
Group (EAG) focuses on identifying, measuring, andreducing the environmental impacts that inevitably arise
from our own day-to-day business activities. These
impacts come from travel, waste and usage of energy,
water, and raw materials. The EAG works with senior
management to set and monitor environmental targets
each year. In early 2023, we launched an EAG with asimilar mandate for our North America business.

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Climate Report | June 2024

Climate scenario analysis
Information provided on a climate value at risk is intended to provide an indication of the potential impact toa portfolio from climate risks, under a variety of climate scenarios. These include acute and chronic changes
to the climate (“physical risk”), as well as “transition risks”, which can include policy changes, or changes inmarkets, technology, demand, etc. The scenarios are based on the Network For Greening the Financial System(NGFS) public scenarios and are modelled by MSCI ESG using the REMIND model.

The use of scenario analysis
The future path of global temperature is uncertain. Transition risk
and physical risks can be seen as potentially offsetting each other –earlier and more vigorous government action could increase transition
risk but decrease physical risk. This uncertainty leads us to the useof climate scenario analysis to understand the different sensitivitiesof our investment holdings and portfolios17 to these various options
as we remain focused on delivering long-term economic value for ourclients.
One of the scenario analysis tools we use is Climate Value at Risk.
Our Investment Risk team analyses climate value at risk data forclient portfolios and benchmarks where the data is available. The data
provides a relative guide on the potential upside or downside impact
to a portfolio from climate risks, under a variety of climate scenarios.
The scenarios are based on the Network for Greening the Financial
System (NGFS) public scenarios and are modelled using the REMIND
model18. In EMEA, our investment risk teams compare a portfolio’s
value at risk against its benchmark under three different scenarios:
orderly transition, disorderly transition, and hothouse world. Our
example to the right gives the definitions of these three scenarios.
This exercise enables portfolio managers to assess the range ofoutcomes for each portfolio under the different scenarios compared
to its benchmark, which indicates the level of sensitivity of theportfolio compared to its benchmark to different climate outcomes.
Our investment risk team compares these results across theportfolios we run to identify portfolios with potentially higher negative
exposure.

Scenario-analysis should always be thought of as an exercise in ‘stress testing’ rather than looking for
absolute outcomes and should be considered as part of overall portfolio risk management and not in isolation.
Columbia Threadneedle seeks to identify and manage climate risks and opportunities as part of our integrationof consideration of ESG factors, as set out in this report.

Resilience
The range of outcomes for this portfolio between the different climate scenarios is lower to that of thebenchmark, suggesting a similar level of sensitivity to different future climate outcomes.
ORDERLY TRANSITION
Orderly transition scenarios assume
climate policies are introduced earlyand become gradually more stringent,reaching global net zero emissions
around 2050. We assume a 1.5°C
temperature rise in this scenario.

Estimated value at risk: 7.4% lower than the benchmark
In the orderly transition scenario, transition risks are lower for this portfolio
than the benchmark, and physical risks are also lower.
There are regulatory and transition risks for those companies in carbonintensive sectors. Risks manifest where companies fail to transition, andopportunities arise where companies can provide the solutions and services
required in a low carbon economy. Physical risks are relatively low in thisorderly transition scenario, as global temperatures are limited to 1.5°C.

DISORDERLY TRANSITION
Disorderly transition scenarios assume
climate policies are delayed or divergent,requiring sharper emissions reductions
achieved at a higher cost and withincreased physical risks in order to limit
the global temperature rise. We assume a
2°C temperature rise in this scenario.

Estimated value at risk: 15.9% higher than the benchmark
In the disorderly transition scenario, transition risks are lower for thisportfolio than the benchmark, and physical risks are also lower.
In this scenario physical risks become more pronounced. Transition riskspresent particular challenges due to regional divergence. The companies
within the portfolio with high carbon intensity may feel these more acutely.

HOTHOUSE WORLD
Hothouse world scenarios assume thatsome climate policies are implemented
in some jurisdictions, but global efforts
are insufficient to halt significant global
warming. Critical temperature thresholds
are exceeded, leading to severe physicalrisks and irreversible impacts. We assume
a 3°C temperature rise in this scenario.

Estimated value at risk: 7.0% lower than the benchmark
In the hothouse world scenario, transition risks are similar for this portfolio
than the benchmark, whilst physical risks are lower.
This scenario has high physical risk exposure, and more limited regulatory
and carbon risks. Risk is therefore less correlated to exposure to carbonintensive assets than in other scenarios but is more strongly related to the
exposure to climate impacts. Key factors determining the overall risk will
include the geographical location of companies’ assets.

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Climate Report | June 2024

The chart below shows the distribution of the relative performance estimates across our portfolios managed in EMEA
for the disorderly transition scenario, which we use as an illustration of our approach. We note that the median absolute
return of our portfolios in this scenario is around -17% and no portfolio has a positive absolute return.

Distribution of outperformance estimations for the 2°C “disorderly transition” scenario

0

5

10

15

20

Forecast Relative ReturnSource: Portfolio level data calculated by Columbia Threadneedle Investments from MSCI’s Climate VaR data. The chart includes portfolios managed in EMEA where
the data coverage is over 40%. It excludes portfolios where the benchmark is cash or where we do not have detailed benchmark constituents. Data as at 31st December
2023.

The first thing we notice is that the majority of theportfolios are forecast to have a positive relative return inthis scenario. Hence at the time of running this analysis
we would have been comfortable with the overall
positioning across most of our portfolios for this scenario(again noting this is relative, not absolute return).
This is not the full story as comparing relative return
forecasts misses the differences in risk between any
two portfolios. For example, we would expect the relative
return and risk of a government bond fund to be muchsmaller than, say, an emerging market equity fund. As
such, we need to adjust these return forecasts for thelevel of risk, generally measured by tracking error, in order
to be able to highlight on which portfolios we should
focus for the purpose of managing investment risk.

Our Investment Risk team reviewing these results would
firstly view the portfolios where the risk adjusted figures
were significantly negative, and then calculate which
individual underlying names in a particular portfolio werelarge drivers of the negative relative performance. The
team would discuss these names with both the portfolio
managers and the RI team to see if any action is required.
A potential outcome of this could be to engage with thesecompanies to encourage them to reduce their carbon
emissions.

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Climate Report | June 2024

Physical Risk

Monitoring climate-related risks

As potential real-world impactsof climate change become more
apparent, attention is being directedto the physical risks and the need
to appraise the resilience of issuers
to these risks. The data available toinvestors is, however, often opaque,and uncertain, putting the onus on
users to understand the limitations ofapplying this type of data to managing
issuer-level risks.

Columbia Threadneedle has a three lines of defence model for
its overall risk management framework. Climate-related risks
and opportunities are initially identified as part of our investment
management and research process. This is discussed in the Strategy
section above.

In our publication “The challenges ofassessing physical climate risk” wediscussed four limitations of physicalrisk data and suggested ways in which
qualitative and quantitative analysis
could be combined to develop a
deeper understanding of this issue.
We are also developing our own
physical risk scenarios, considering
topics such as heat waves, coastal
flooding, or wildfires, and how these
affect companies and economies.

Investment risk
Our independent Investment Risk team, part of the second line ofdefence, monitors portfolios daily against a number of risk-based
guidelines. We do not prioritise between climate-related risks and theother types of risks we consider (e.g. market, liquidity, credit).
In our view risk should be monitored holistically. The levels of our risk
guidelines are informed by the differing risk and return preferences
and targets of our clients and their portfolios, as well as eachportfolio’s level of ESG integration (funds will have different levelsof ESG integration within their investment portfolio depending on
how they are categorised internally, how portfolio managers havedetermined to evaluate such risks consistent with client mandates,
and any applicable regulatory labelling or disclosure regime that theymust comply with). This helps to consider how to prioritise climaterelated risks overall. The compliance team also monitors portfolios forcompliance with client directed investment limits.
If a portfolio breaches a guideline or a limit, this will cause aninvestment risk analyst to look at the cause of the breach and, if
needed, discuss it with the portfolio manager. If the Investment
Risk team is not satisfied with the outcome of the discussion andany actions taken by the portfolio manager there is a well-defined
escalation route – to the desk head, the asset class head and then theCIO (or Head of Alternatives). In an extreme case any escalation could
be taken to the relevant fund board.

As discussed above the primary tool for assessing the magnitudeof climate-related risk is scenario analysis. We will look to evolve theuse of scenarios over the coming years. Many scenarios today are
relatively long term and so we hope to develop both shorter-term
scenarios and sensitivity analysis around the longer-term scenarios.
The Investment Risk team also provide an independent oversight ofthe progress of relevant funds towards the Net Zero commitment.

Internal audit
The independent internal audit function, the third line of defence,
for Columbia Threadneedle is Risk & Control Services (RCS). RCS
is responsible for developing a comprehensive risk assessment
covering all businesses and functions within Columbia Threadneedle,
including assessing any specific regional regulatory requirements;
regularly updating the risk assessment based on relevant changes(e.g. business strategy, products, organisational structure, legal/
regulatory environment, acquisitions/divestitures, operations,
technologies, control processes, identification of thematic issues);
and reviewing the risk assessment with the appropriate board
committees and management annually.

Regulatory developments
The Legal and Compliance team actively scans the regulatory
developments horizon across regions to identify changes that
may impact Columbia Threadneedle’s business and/or its clients’portfolios, including those relating to climate-related risk andopportunities. Regulatory changes are implemented by relevantbusiness stakeholders with advisory and technical support being
given by the Legal and Compliance team.

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Climate Report | June 2024

Metrics and targets
Using metrics and targets to assess
and manage climate-related risks
and opportunities within Columbia
Threadneedle.
We use a variety of metrics and targets to appraise
and track our management of climate-related risks
and opportunities and to ensure that our management
is effectively readying the business, and our clients’portfolios, as appropriate, for the challenges that climatechange may present.

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Climate Report | June 2024

We use four primary categories of climate-related metrics and targets split across two broad areas: exposure indicatorsand management indicators. Exposure indicators assess the level of climate-related risk and opportunities to which
our business and the investment products that we manage on behalf of clients are exposed to. Management indicators
enable us to track how effectively we are establishing approaches to mitigating these risks and capitalising on
opportunities.

Exposure indicators

Management indicatorsn Corporate Greenhouse Gas Emissions. Columbia
Threadneedle reports Scope 1, Scope 2 and certain
Scope 3 emissions categories.

n Net zero. As a signatory to the NZAMI, we aspire
to reach net zero emissions by 2050 or sooner
across all assets under management subject toour clients’ preferences. Consistent with Columbia
Threadneedle’s client-centric model, reaching thisaspiration depends on the mandates agreed withclients and the regulatory environments within
which we all operate. We track metrics related to
our net zero commitment at the product and firmlevel, including the alignment status of investee
companies and portfolio emissions intensity relative
to a benchmark target for those funds committed to
net zero.

n Product-level exposure metrics. Climate-related
risk and opportunity data is made publicly available
for certain investment products. These metrics
include corporate and sovereign carbon data, top
contributors to portfolio carbon footprint, andportfolio carbon footprint by sector.

n Enterprise indicators. We track metrics related
to our sustainable investing and investment
stewardship functions to assess our ability toeffectively manage climate-related risks andopportunities. These include datapoints on thequantity and success of our climate-related
engagement, the number of formal investment teamtraining sessions on sustainability topics conducted,
and assets managed in funds and segregated client
accounts with RI objectives or constraints and net
zero objectives.

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Climate Report | June 2024

Corporate greenhouse gas emissions
Operational emissions
Our carbon footprint
The table to the right shows our greenhouse gas (GHG) emissions
across the regions in which we operate. Emissions are reported as
tonnes of carbon dioxide equivalent (tCO2e), which include the threemain GHGs – carbon dioxide (CO2), nitrous oxide (N2O) and methane(CH) – expressed as carbon dioxide equivalents using the standard
long-term global warming potentials (GWP-100).
We have been reporting our global operational emissions footprint
since 2019. With increased data availability, enhanced methodologies,
and improved data controls, we have consistently strengthened thequality of our reporting. That work is ongoing as some data remains
unavailable and is therefore excluded or estimated via modeling. As
shown in Table 1, for 2023 we are reporting a year-over-year decline in
our operational emissions driven primarily by reductions in emissions
reported for business travel and employee commuting. As data
availability and collection methodologies continue to improve, we willcontinue to refine our operational data reporting in the future.

Operational emissions interim target
For our operational emissions we have set an interim target of a 50%
reduction by 2030, using 2019 baseline data. This target applies tothe aggregate emissions disclosed in Table 2. To accurately trackprogress over the long term, this is an intensity target based onemissions per full-time employee and is subject to change. It will
require us to reduce emissions per full-time employee from 7.98
tCO2e to 4.00 tCO2e by 2030. We aim to achieve this through reductionof business flight emissions, office electricity consumption, andemployee commuting emissions. In 2023 we reported a reduction in
our operational emissions by 41% against the 2019 baseline.

Table 1: Columbia Threadneedle carbon footprint base year
2019 and 2021 – 2023 (tCO2e)†
Scope

Category

2019

2021

2022

2023

Scope 1Natural gas & other fuel

892

758

848

1,147

Refrigerants

269

428

137

189

Corporate vehicles

6

6

23

43

Scope 2

Energy (location-based)

7,020

6,407

2,252

2,118

Scope 3Business travel: flights

7,699

1,571

7,116

5,211

Business travel: land

423

146

220

1,488

Employee commute

3,150

1,101

2,489

2,042

Employee WFH

393

1,421

761

979

FERA

1,819

2,265

1,139

725

21,67014,102

14,987

13,944

Total

Source: Anthesis and Columbia Threadneedle Investments, 2023. WFH = Work from home; FERA = Fuel and Energy Related Activities
not included in Scopes 1 or 2. Scope 1 Corporate vehicles data includes automotives and aircraft. Reporting on environmental data,
including the quantifications, continues to evolve as data quantity and quality, estimation methodologies, assurance processes, andmeasurement tools improve. As a result, we have updated certain previously disclosed metrics in the table and may make updates
in the future, as we continue to refine our methodologies to collect and report this data19. Due to rounding, numbers presented
throughout this table may not add up precisely to the totals provided.

Table 2: Columbia Threadneedle carbon footprint per full-time employee†
Tonnes CO2e

2019

2021

2022

2023

Total gross emissions (Scope 1, 2 & 3) (tCO2e)

21,67014,102

14,987

13,944

Total number of full-time employees

2,717

2,787

2,991

2,982

7.98

5.06

5.01

4.68

*

Intensity ratio (tCO2e per FTE)
Source: Anthesis and Columbia Threadneedle Investments, 2023

† 	Measurement uncertainties – The amounts reported in tables 1-5 are subject to measurement uncertainties resulting fromlimitations inherent in the nature and the methods, assumptions, and estimates used for determining such data. The selectionof different but acceptable measurement techniques can result in materially different measurements. The precision of different
measurement techniques may also vary.
*	In 2023, we restated our 2019 baseline year total number of full-time employees to account for the integration of the former BMO
GAM (EMEA) business, in line with our restatement procedure and the Greenhouse Gas Protocol. As we do not have the precise
number of 2019 full-time employees in the business units of the former BMO GAM (EMEA) business that were acquired, we haveadded 2022 full-time employees for this business to the recorded Columbia Threadneedle Investments 2019 and 2021 full-time
employee data.

32

Climate Report | June 2024

Columbia Threadneedle financed emissions

Entity-level financed emissions

In current carbon accounting models, greenhouse gas emissions associated with investments
are considered part of a financial institution’s overall carbon footprint. These are calledfinanced emissions and are by far the most significant portion of Columbia Threadneedle’s
carbon footprint.

Withinthe Columbia Threadneedle group there are several legal entities that are regulated by
Columbia Threadneedle Investments financed emissions
the FCA and required to make TCFD disclosures20. These entities are further outlined in Tablesn3, 4 and 5 below.
Total value of our EQ+FI holdings in $We gather financed emissions data at the product, entity and enterprise levels of Columbia
Threadneedle. We are aware that there are data gaps and methodological challenges regardingthese metrics, and we are taking steps as a firm to address these gaps and methodologicalchallenges. We review these in more detail in the product-level exposure metrics section on
page 36, as these gaps and challenges at the product level are also relevant when we roll-up
data to the entity- and enterprise-levels of the organisation.
A working estimate of our enterprise-wide total financed emissions from our listed equity andcorporate debt investments as of 31 December 2023 is approximately 18 million tCO2e. Thisis Columbia
calculatedusingInvestments
the equation
Threadneedle
financedshownemissionsbelow, which is aligned with that recommended by the
TCFD and the Partnership for Carbon Accounting Financials (PCAF):ntCO2e =∑
i=1

Total value of our EQ+FI holdings in $Enterprise Value including Cash (EVIC)X (Scope 1 + Scope 2 emissions)

Limitations of this metric are that EVIC data is sometimes missing for non-listed equity andbonds.
Entity-level financed emissionsntCO2e/$m invested =∑Columbia Threadneedle Investments financed emissions∑n∑

Xtwo additional carbon metrics for
Total value of
ourFCA
EQ+FI
holdings
in $2
For theentities regulatedthewehave(EVIC)
calculated
EnterprisebyValue
includingCashtCO2e = i=1(Scope 1 + Scope 2 emissions)X
our listed equity andcorporate
investments.
Enterprise
Valuedebt
including
Cash (EVIC)Carbon footprint measures a portfolio’s
i=1
greenhouse gas emissions normalised by its value. This enables comparison of different
portfolios’ emissions, irrespective of AUM. Limitations of this metric are that EVIC data is
occasionally missing for non-listed equity and bonds, and this figure is impacted by market
movements and inflation which can mask carbon emission trends. Carbon footprint is
Entity-level financed emissions
calculated using the equation below:tCO e =

(Scope 1 + Scope 2 emissions)

Entity-level financed emissions

tCO2e/$m invested =tCO2e/$m invested =Issuer’s EVIC

i=1

∑
∑i=1
i=1

Current value of investment (USD)i
Current value of investment (USD)i
Issuer’s EVIC
Issuer’s EVICX Issuer's GHG emissions
X Issuer's GHG emissions

Current portfolio value
Current portfolio value

Weighted Average Carbon Intensity (WACI) measures a portfolio’s exposure to carbon
intensive companies weighted by revenue. This metric enables an assessment to be madeon how efficiently the issuers in a portfolio can generate revenue while minimising carbon
Weighted Average Carbon Intensity (WACI)
emissions.
This metric enables a comparison between portfolios, but revenue data can mask
Weighted Average Carbon Intensity (WACI)
the emissions profile of corporates operating across multiple business segments.
tCO2e/$m revenue =tCO2e/$m revenue =Current value of investment (USD)i

n
n

n
n

∑∑
i=1
i=1

X Issuer's GHG emissions

Current value of investment (USD)i
Current value of investment (USD)i
Current portfolio value
Current portfolio value

X
X

Issuer's GHG emissions
Issuer's GHG emissions
Issuer's revenue
Issuer's revenue

Current portfolio value
Total carbon emissions
Total carbon emissions

tCO2e =
tCO2e =

Weighted Average Carbon Intensity (WACI)

n
n

∑
∑
i=1
i=1

n

tCO2e/$m revenue =∑i=1

Current value of investment (USD)i
Current portfolio value

X

Sovereign Bond Investment (USD)i
Sovereign Bond Investment (USD)i
Gross Government Debt (USD)i
Gross Government Debt (USD)i

X Sovereign Emissions (tCO e)
X Sovereign Emissions (tCO e)
2

2

i

i

Issuer's GHG emissions
Issuer's revenue

33

Weighted Average Carbon Intensity (WACI)

Carbon footprint
Carbon footprint

Weighted
Average
CarbonClimateReport| June2024Intensity (WACI)ntCO2e/$m revenue =tCO2e/$m revenue =

∑n
i=1
∑

Current value of investment (USD)i
Current
value portfolio
of investment
Current
value(USD)i
Current portfolio value

i=1

X
X

Issuer's GHG emissions

tCO2e/ $m invested =tCO2e/ $m invested =Issuer's
GHGrevenue
emissionsIssuer's

tCO2e =

∑n
i=1
∑
i=1

Sovereign
Bond Investment(USD)
Gross Government
Debt (USD)i i
Gross Government Debt (USD)i

X Sovereign Emissions (tCO e)
X Sovereign Emissions (tCO e)
2

i

2

i

n

tCO2e/ $m invested =tCO2e/ $m invested =

∑n
i=1
∑

tCO2e/$m invested =tCO2e/$m invested =

n

∑
∑

i

2

i
i

2

Greenhouse Gas Intensity
Greenhouse Gas Intensity

tCO2e/$m invested =tCO2e/$m invested =tCO2e/$m invested =

n

∑nn
i=1
∑
∑
i=1
i=1

Sovereign Bond Investment (USD)i
Sovereign Bond
(USD)
PPP–adjusted
GDPInvestment(international
USD)
iSovereign Bond Investment (USD)i i
PPP–adjusted GDP (international USD)i
PPP–adjusted GDP (international USD)i

X Sovereign Emissions (tCO e)
Emissions (tCO e)
X Sovereign
X Sovereign Emissions (tCO e)
2

i

2

i
i

2

Wetotaluse
the following equation to calculate total carbon emissions from real estate assets,
carbon emissions from real estate assetsntotalwecarbonemissionsfromreal estate
assetsandadjusteach
asset’s
Gross
Asset
Value
by ownership share where applicable.
Gross
Asset
Value
(USD)($M)
itCO2e =

tCO2e =
tCO2e =X Sovereign Emissions (tCO e)
X Sovereign Emissions (tCO e)

Sovereign
Bond Investment(USD)
Gross Government
Debt (USD)i i
Gross Government Debt (USD)i

Sovereign Bond Investment (USD)ini=1

Sovereign Bond
(USD)
PPP–adjusted
GDPInvestment(international
USD)
i i

i=1

PPP–adjusted GDP (international USD)i

∑nn
i=1
∑
∑
i=1
i=1

2

i

2

i

This is a useful metric as it enables comparison of different portfolios’ emissions, irrespectiveof AUM, but debt can be an inaccurate denominator as sovereigns rarely finance themselves
primarily
debt as they prefer to use tax revenue.
Greenhousewith
Gas Intensity
Greenhouse Gas Intensity

2

total carbon emissions from real estate assets

Sovereign Bond Investment (USD)i

i=1

X Sovereign Emissions (tCO e)
Emissions (tCO e)
X Sovereign
X Sovereign Emissions (tCO e)

Sovereign
Bond Investment(USD)i
Gross Government
Debt (USD)iSovereign Bond Investment (USD)i
Gross Government Debt (USD)i
Gross Government Debt (USD)i

We calculate total carbon emissions for our real assets sectors, using different approaches forreal estate and infrastructure. We are not currently able to report total carbon emissions datafor our private equity investments21.

Carbon footprint measures a portfolio’s greenhouse gas emissions normalised by its
value. This enables comparison of different portfolios’ emissions, irrespective of AUM. The
Carbon Footprint for sovereign bonds is calculated as Total Portfolio holdings multiplied by
Carbon footprintGHG emissions over total government debt.
government
Carbon footprint

Sovereign Bond Investment (USD)i

Greenhouse gas intensity measures a portfolio’s exposure to carbon intensive sovereigns
Greenhouseby
GasPPP-adjusted
Intensity
weighted
GDP.

Total carbon emissions are the total GHG emissions of a portfolio’s investments. This metricis Totalusefulforemissions
identifying the portfolios we manage that have higher emission profiles andcarbontherefore may be exposed to greater climate-related risks, but results are largely driven by the
Total carbon emissions
overall amountn invested in a portfolio.
tCO2e =

∑nn
i=1
∑
∑
i=1
i=1

Issuer's revenue

We also calculate the emissions from our sovereign debt investments using three carbon
metrics.

Sovereign Bond Investment (USD)intCO2e/ $m invested =Valueby(USD)
Gross AssetGross
ValueAssetadjustedownership(USD)ii
Gross Asset Value (USD)i
Gross Asset Value adjusted by ownership (USD)i
Gross Asset Value adjusted by ownership (USD)i

X Asset's GHG emissions (tCO e)
GHG emissions (tCO e)
X Asset's
X Asset's GHG emissions (tCO e)
2

i

2

i
i

2

greenhouse gas emissions associated with our infrastructure assets
Wetotalcalculate
the total greenhouse gas emissions associated with our infrastructure assets
total greenhousegas emissions
associated with our infrastructure assets
using
the equation
below:ntotal greenhouse gas emissions
associatedwithofour
infrastructure
assetsCurrent
Value
Investment(USD)

tCO2e =

tCO2e =
tCO2e =

∑nn
i=1
∑
∑
i=1
i=1

i

Current
Value ofEnterprise
Investment(USD)
InvesteeCompany's
Value
(USD)
i
i
Current Value of Investment (USD)i
Investee Company's Enterprise Value (USD)i
Investee Company's Enterprise Value (USD)i

X Asset's GHG emissions (tCO e)
GHG emissions (tCO e)
X Asset's
X Asset's GHG emissions (tCO e)
2

i

2

i
i

2

X Sovereign Emissions (tCO e)
X Sovereign Emissions (tCO e)
2

i

2

i

total carbon emissions from real estate assets
total carbon emissions
from real estate assetsntCO2e =
tCO2e =

∑n
i=1
∑
i=1

Gross Asset Value (USD)i

Valueby(USD)
Gross AssetGross
ValueAssetadjustedownership(USD)ii
Gross Asset Value adjusted by ownership (USD)i

total greenhouse gas emissions associated with our infrastructure assets
total greenhousen gas emissions associated with our infrastructure assets

X Asset's GHG emissions (tCO e)
X Asset's GHG emissions (tCO e)
2

i

2

i

34

Climate Report | June 2024

Table 3: Investment emissions for corporate equity and debt in 2023†
Metric

Scope

TAML

TINTL

CTML

CTMM LLP

Units

Total Carbon Emissions

Scope 1 & 2

3,347,251

21,3181,327,936

103

tCO2e

Total Carbon Emissions

Scope 332,135,461

32,698

11,263,270

445

tCO2e

Carbon footprint

Scope 1 & 2

44.66

233.06

53.59

2.25

tCO2e/ $minvested

Carbon footprint

Scope 3429.24357.47455.209.76

tCO2e/ $minvested

Weighted Average Carbon
Intensity (WACI)

Scope 1 & 2

99.12

546.67101.3763.61

tCO2e/ $mrevenue

Weighted Average Carbon
Intensity (WACI)

Scope 3634.85948.46612.66270.88tCO2e/ $mrevenue

Data Coverage

Scope 1 & 2

85%

95%

90%

3%

%

Data Coverage

Scope 3

86%

95%

90%

3%

%

Table 4: Investment emissions for sovereign debt in 2023†
Metric

Scope

TAML

TINTL

CTML

CTMM LLP

Units

Total Carbon Emissions

N/A

4,635,279

29,3194,849,536

0

tCO2e

Carbon footprint

N/A

369.47214.97216.560tCO2e/ $minvested

GHG Intensity

N/A

257.17255.84159.140tCO2e/ $minvested

Data Coverage

N/A

100%

100%

100%

N/A

%

Table 5: Investment emissions for real assets in 2023†
Metric

Scope

TAML

CT REP

Units

Total Carbon
Emissions

Scope 1 & 2

116,175

34

tCO2e

Scope 342,035

5,197

tCO2e

Data Coverage

Scope 1 & 2

53%

100%

%

Scope 3

48%

69%

%

† Measurement uncertainties – The amounts reported in tables 1-5 are subject to measurement uncertainties resulting fromlimitations inherent in the nature and the methods used for determining such data. The selection of different but acceptablemeasurement techniques can result in materially different measurements. The precision of different measurement techniques may
also vary.

For 2023, we enhanced our data collection process and methodologies for calculating
emissions data for fund of funds arrangements. Comparisons to data in our previous
reports would therefore be under different methodologies and processes. All data in Tables
3, 4 and 5 is based on product-level calculations that are rolled up to the entity level.
In Table 3 total carbon emissions are calculated at the entity-level by summing the total
carbon emissions of all products under each entity.
Carbon footprint, WACI and data coverage are calculated by conducting a weighted
average by product assets under management across all products under each entity.
The data coverage metric in Table 3 appraises for all funds the proportion of all assets
under management that have reported or estimated corporate carbon footprint data. Data
coverage is low for the CTMM LLP entity as a significant proportion of assets that weremanaged by this entity in 2023 were invested in third party managed funds that do notprovide data on underlying holdings.
In Table 4 total carbon emissions are calculated at the entity-level by summing the total
carbon emissions of all products under each entity. Carbon footprint, GHG intensity anddata coverage are calculated by conducting a weighted average by product assets undermanagement across all products under each entity.
The data coverage metric in Table 4 appraises for all funds the proportion of all assets
under management that have reported or estimated sovereign carbon footprint data. Data
coverage for sovereigns is 100% as all data is sourced from Emissions Database for Global
Atmospheric Research (EDGAR) via MSCI. See page 36 for more details.
The data in Table 5 aggregates carbon emissions data from our real estate andinfrastructure funds. We are not currently able to report total carbon emissions data forour private equity investments21. The data coverage metric in Table 5 appraises for all
funds the proportion of all assets under management that have reported or proxy carbon
data. Scope 1 and 2 emissions data for CT REP has evolved this year due to an updated
calculation methodology for emissions at the assets’ meter level.
We will continue to update the calculation methodologies and scope of asset classes
included as industry practice evolves.
TAML
TINTL
CTML
CTMM LLPCT REP

Threadneedle Asset Management Limited
Threadneedle International Limited
Columbia Threadneedle Management Limited
Columbia Threadneedle Multi-Manager LLP
Columbia Threadneedle REP AM plc (Real Estate)

35

Climate Report | June 2024

Product-level exposure metrics
Columbia Threadneedle uses a number of metrics
to inform the consideration of climate-related risks
and opportunities in its management of investment
products22. At present, these metrics are limited to
products that we manage in EMEA. All data gaps
and methodological challenges which are disclosed
regarding these metrics apply when these datapoints
are aggregated from the product-level to the entity- or
enterprise- level, as do the steps that we are taking
as a firm to address these gaps and methodologicalchallenges. The core metrics that we monitor anddisclose include:n Corporate carbon metrics. We report total carbon
emissions, carbon footprint, and Weighted Average
Carbon Intensity (WACI), and the percentage of datathat is reported or estimated23. These metrics help
us compare the emissions profile of a fund to its
benchmark and market peers, enabling us to identify
funds with higher emissions profiles and greater
exposure to climate-related risks. All data is provided
by third party provider MSCI ESG Research. Derivatives
and cash are excluded from product-level calculations,as well as companies or investment types with no data
availability. Any green bonds are allocated emissions
in line with the parent issuer, as project-level data may
not be available on a consistent basis.
n Sovereign carbon metrics. We state total carbon
emissions, carbon footprint, and greenhouse gas

intensity. These metrics help us compare theemissions profile of a fund to its benchmark andmarket peers, enabling us to identify funds withhigher emissions profiles and stronger exposure toclimate-related risks. All data is provided by third
party provider MSCI ESG Research. MSCI draws its
sovereign emission data from EDGAR rather thannational inventories. EDGAR effectively relies on abottom-up estimation approach that is consistent
with UNFCC methodologies. National inventories
are not always directly comparable as they canhave varying approaches to accounting. However,this does mean that sovereign emissions data isestimated rather than reported, which could reduce
accuracy for sovereigns with evolved climate
accounting practices. In addition, there is poorer
carbon data coverage for municipal bonds andquasi-sovereigns. We believe these are market-wideissues, and we are working with our data providers
on approaches to improve coverage.
n Real asset carbon metrics. For real estate funds we
disclose total carbon emissions, carbon footprint,
and greenhouse gas intensity. We disclose these
metrics for Scope 1 & 2, and Scope 3 emissions.
Scope 1 and 2 relate to landlord-procured energy
supplies, including electricity, natural gas, districtheating, and district-cooling, and any fugitive
emissions from HVAC systems where available.

36

Climate Report | June 2024

Scope 3 emissions included in the disclosure relate
to Category 13 only (downstream leased assets),
i.e., all energy purchased and consumed directly by
the tenant(s), and any fugitive emissions from HVAC
systems where available. All data is provided by ourthird-party provider, EVORA Global. Data coverage
represents the split between actual reported
emissions and estimates used, when calculating
emissions data. For our infrastructure fund wereport total carbon emissions, carbon footprint, andWeighted Average Carbon Intensity (WACI).
n Top ten contributors to portfolio carbon footprint.
We assess the top ten issuers by Scope 1 and 2
emissions which are held in our listed equity andcorporate debt investments. These are the largest
contributors to the portfolio’s carbon footprint
and are the holdings which are likely to be most
exposed to transition risks. We also disclose therating of these holdings on our net zero alignment
tool for listed equity and corporate debt funds thathave committed to net zero (discussed in moredetail on page 16). This helps our clients to identify
issuers which are exposed to climate risks andhow those issuers are mitigating these risks. Our
portfolio managers have access to a more detailed
breakdown of net zero analysis through our net
zero tool.

n Portfolio carbon footprint by sector. For our listed
equity and corporate debt portfolios we analyse thepercentage of the carbon footprint of the portfolio
by sector. This provides our portfolio managers
and clients with a clear view on the sectors whichhave an outsized impact on the portfolio’s carbon
footprint and may be exposed to greater transition
risks.
n Climate Value at Risk. We monitor data on therelative Climate Value at Risk of portfolios investingin listed equity and corporate debt relative to theirbenchmarks. Further details on how we conduct
scenario analysis at the portfolio level is discussed
in the Risk Management section. For our real estate
portfolios, we disclose a qualitative climate scenario
analysis assessment in product-level TCFD reports.

37

Climate Report | June 2024

Columbia Threadneedle climate Key Performance
Indicators (KPIs) and targets
As a signatory to the NZAMI, we aspire to reach net zero emissions by
2050 or sooner across all assets under management, subject to ourclients’ preferences. Consistent with Columbia Threadneedle’s clientcentric model, reaching this aspiration depends on the mandates
agreed with clients and the regulatory environments within which we
all operate. We are using the Net Zero Investment Framework (NZIF)
as a basis for our methodology for corporate equities and debt, as
outlined on page 16 in the Strategy section. Under the NZIF we track
two core key performance indicators:
1. We have a proprietary approach which rates corporate alignment
with net zero – classing corporates as aligned, aligning,committed, not aligned, or not assessed. For each portfolio thathas already adopted our net zero commitment, we have set
the target for 70% of financed emissions intensity at portfolio
level to be either aligned or under engagement each year, as
recommended by the Net Zero Investment Framework.
2. We are using a trajectory to 2030 for the portfolios alreadyaligning with our net zero commitment, based on a 50%
reduction in emissions intensity for each portfolio’s benchmark,from a 2019 base year. We use this as a reference pathway tomonitor and track progress relative to a 1.5°C-aligned trajectory.
We have not made this a binding target, as we want to avoid
unintended consequences such as forcing overallocation tonaturally low-emissions sectors.
As of December 2023, these KPIs and targets currently cover 77 of
our pooled funds and segregated mandates in EMEA invested in
the equity, corporate debt, and real estate asset classes which areapplying net zero methodologies. For more details on our net zero
approach see our detailed net zero methodology paper which outlines
our approach in more detail. We have also published a paper24 which
outlines in more detail the rationale behind some of the decisions that
we have made with our net zero approach25.

38

Climate Report | June 2024

Columbia Threadneedle enterprise indicators
In January 2023 we launched a single, global active
ownership approach for Columbia Threadneedle clients,
including an integrated proxy voting policy. In 2023 Columbia
Threadneedle conducted 1,424 stewardship engagementswith 867 companies. Our teams conducted 650 climatespecific engagements with 416 different issuers, and logged
71 climate-related milestones in 2023, where issuers recorded
significant climate progress related to the priorities raised
during engagements.
Active engagement on how the issuers we invest in are
managing climate-related risks is a key component of ourapproach to identifying, assessing and managing climaterelated risks and opportunities that are financially material
to our clients’ investments. Active ownership can help

issuers to mitigate their exposure to climate-related risks byrecommending improvements to climate risk management
practices or improved disclosures.

Climate management metrics
As of 31 December 2023, we managed $45.36 billion in
assets in funds and segregated client accounts that havespecific and binding RI objectives or constraints within theirinvestment policy or guidelines. We managed $44.9 billion
in assets that have a net zero objective (as at 31 December
2023, subject to regulatory approval), as referenced in theStrategy section (note that these funds do not necessarily
have additional RI objectives or constraints that cover social

or governance topics). Certain of these funds explicitly target
climate-related opportunities, such as the Future Environment
Fund.
Within our investment and research teams we have several
environmental specialists that act as a hub of climate
expertise for the firm, and work to disseminate theirknowledge. In 2023 we conducted six formal investment
team roundtables on sustainability topics, including an
investment team specific training on our net zero approachand implications for portfolio managers. We supplemented
these formal training sessions with over 25 internal
investment desk presentations in 2023 on topics including
energy transition, deforestation, net zero cement, andregulatory updates on climate policy.

39

ENDNOTES
1

Source: Columbia Threadneedle as at 31 December 2023.

2

As at 31 December 2023. AUM figure includes assets managed by Pyrford International Limited, a wholly owned subsidiary of Columbia Threadneedle Investments.

3

The risks and opportunities identified in the table may be different to those included in other public disclosures and/or internal documents prepared in accordance with Columbia Threadneedle’s enterprise risk management framework.

4

Columbia Threadneedle Investments – The Net Zero Asset Managers initiative5

Net zero aligned AUM figures represent Columbia Threadneedle Investments asset under management exclusive of Pyrford International Limited, which reports separately on climate-related risks and opportunities.

6

While ESG research is made available for use in the investment process, portfolio managers make their own investment decisions, consistent with portfolio and client mandates, and accordingly certain teams may place more, less, or no emphasis on ESG factors.

7

From a counterparty screening perspective all approved counterparties are subject to an ESG risk review where they are screened against ESG factors, including climate-related issues.

8

Formerly known as the Carbon Disclosure Project.

9

Further detail on this methodology can be found at Net Zero Investing: Columbia Threadneedle Investments Approach.

10

ESG VIEWPOINT Net Zero: Best Practice and Engagement Approach Our net zero commitment pdf

11

Please note that not all products or services utilising these strategies may be available in all jurisdictions.

12

Please note that our Climate Opportunity Partners private equity fund is closed for new investment.

13

Nature as an ally: tackling the climate-nature nexus

14

ESG VIEWPOINT Biodiversity Best Practice pdf

15

The median Scope 1 & 2 carbon intensity for Financial Services within MSCI All Country World is 3.1 (tons of CO2e/$m sales) compared to an overall median of 27.8 for all the companies in the index. Data as of end May 2024. Source: MSCI and Columbia Threadneedle
Investments.

16

LEED (Leadership in Energy and Environmental Design) is a global green building benchmarking standard administered in the US by the US Green Building Council (USGBC). BREEAM (Building Research Establishment Environmental Assessment Method) was founded in
the UK in 1990 and is the leading and most widely used environmental assessment method for buildings and communities.

17

This scenario analysis is currently available for Equities and Fixed Income.

18

REMIND (Regional Model of Investment and Development) is a numerical model that represents the future evolution of the world economies. It was developed by the Potsdam Institute for Climate Impact Research (PIK) to analyse the interactions between land-use,
economy, energy, and climate systems.

19

2019-2022 emissions data have been adjusted to account for data accuracy improvements and a change in methodology used in calculating the emissions associated with employees working from home. 2021-2022 emissions data have been adjusted to incorporate an
update to the methodology used to calculate Fuel and Energy Related Activities (FERA). 2022 emissions data has been adjusted to account for improved accuracy of emissions factors used in calculating a portion of the Scope 2 energy consumption. We reserve the rightto update measurement techniques and methodologies in the future.

20

Disclosures are made by the legal entities regulated by the FCA that undertake portfolio management, in so far as data is available. The portfolio management undertaken by such entities covers assets that they manage directly on behalf of clients, as well as assets
where they have been appointed as the portfolio manager by another legal entity in the Columbia Threadneedle group to provide this service. This approach avoids double counting and ensures that overseas assets managed by an FCA regulated firm are captured.

21

For our private equity funds, we have been actively working to navigate industry-wide challenges regarding carbon data quality and coverage for this asset class. We have been working with a new data provider, but at the time of the publication of this report we wereunable to overcome underlying data gaps using reliable proxy data or assumptions. We plan to publish this data in forthcoming reports once we are comfortable that the quality is of a sufficient standard.

22

While these metrics are used to inform the consideration of climate-related risks and opportunities, portfolio managers make their own investment decisions, consistent with the portfolio guidelines and mandates that have been agreed with clients.

23

CO2e data coverage depends on several factors. Scope 1 or 2 emissions data is widely available for developed market large-cap companies, but more gaps exist in small cap, emerging markets, and private companies. Many companies do not yet report Scope 3
information. In the absence of self-reported data, Scope 1, 2 and 3 emissions can be estimated (which is done by our data provider MSCI ESG). To generate an imputed value MSCI relies on assumptions regarding the company’s specific geography and sector. To show
this nuance, we distinguish data that is reported/estimated within the total data coverage. Gaps still remain where we lack both reported and estimated data, we are working with our data providers to explore options to improve coverage. In future years we will also work
to calculate the percentage of data reported by corporates that has been externally verified. To ensure appropriate representation of climate metrics, TCFD product level reports are only issued for Investment Portfolios which demonstrate data coverage (estimated andreported) greater than or equal to 40% of NAV.

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Net Zero Investing: Columbia Threadneedle Investments Approach pdf

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Net Zero: From commitment to implementation

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The inclusion of information contained in this Report should not be construed as a characterisation regarding the materiality or financial impact of that information. Please also see Ameriprise Financial’s Annual Reporton Form 10-K filed on February 22, 2024 (“2023 Annual Report”) and other publicly filed documents for additional information at: https://ir.ameriprise.com/

Forward Looking Statements
This report contains forward-looking statements that are subject to the safe harbors created under the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. All statements otherthan statements of historical facts are statements that could be deemed forward-looking statements. These statements are based on current expectations, estimates, forecasts, and projections and the beliefs andassumptions of our management. Words such as “expects,” “anticipates,” “targets,” “goals,” “projects,” “intends,” “plans,” “believes,” “momentum,” “seeks,” “estimates,” “continues,” endeavors,” “strives,” “may,” variations of suchwords, and similar expressions are intended to identify such forward-looking statement as well as statements that refer to (1) our goals, commitments and programs; (2) our business plans, initiatives and objectives; (3)our assumptions and expectations; (4) the scope and impact of our corporate responsibility risks and opportunities; and (5) standards and expectations of third parties. Readers are cautioned that actual results could differ
materially due to a variety of factors, including assumptions not being realized, scientific or technological developments, evolving sustainability strategies, changes in markets, evolving government regulations, changes
in our business, or other changes in circumstances, as well as the factors set forth in the “Risk Factors” section of Ameriprise Financial, Inc.’s 2023 Annual Report on Form 10-K and subsequent filings. Forward-looking
statements speak only as of the date they are made, and we do not undertake any obligation to update any forward-looking statement.
The information provided herein is based in part on information from third-party sources that Columbia Threadneedle believes to be reliable, but which has not been independently verified by Columbia Threadneedle, andColumbia Threadneedle does not represent that the information is accurate or complete. The inclusion of information contained in this Report should not be construed as a characterization regarding the materiality or
financial impact of that information.

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