Compliance statement

Kate El-Hillow

TCFD PILLARSGOVERNANCE

STRATEGYRISK MANAGEMENTMETRICS & TARGETS

RECOMMENDED DISCLOSURE

SUMMARY DISCLOSURE

SECTIONSummary

For background••••A note on the RIL UK Portfolio

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Russell Investments’ UK portfolio carbon emission metrics

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Scenario Analysis

Scenario

Description

Existing climate policies remain in place, but there isno strengthening of ambition level. Thus, there is notransition risk. Heightened physical risks are assumedHot House Worldthrough high climate sensitivity, specifically 90th(Current Policies)percentile temperature increase (4.2°C by 2100), highlevels of ice sheet melt, and higher responsiveness oftropical and European windstorm frequency andintensity to changing temperatures.
Imposes the 2°C target in 2100 and allows fortemporary overshoot. Annual emissions do notdecrease until 2030. Strong policies are then neededto limit warming to below 2°C. This scenario includesDelayed Transition regional carbon price variation. Regional net-zerotargets for countries with clear commitments (China,EU, Japan, and USA) are applied from 2030 onwards,but for other countries ambition equivalent to theoverall temperature target of below 2°C in 2100 isassumed leading to strong regional differentiation.

Net Zero 2050

Limits global warming to below 1.5°C (the mediantemperature returns to 1.4°C in 2100, after a limitedtemporary overshoot) through stringent climatepolicies and innovation, reaching global net zero CO2emissions around 2060. Some jurisdictions such asthe US, EU and Japan reach net zero for all GHGs by2050.

Four-step climate modelling framework

Median 2100warming (unless Net zero (CO2)otherwise stated)year

Technologychange

Carbon DioxideReduction (CDR) Regional policyassumptionvariation

4.2°C (90thpercentile)

N/A

Slow change

Low useLow variation

1.6°C

N/A

Slow until2030; fastthereafter

Low/medium use

High variation

1.4°C

2050

Fast change

Medium/high use

Mediumvariation

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Discussion regarding the underestimation of physical risks

Portfolio valuation impacts by channel’

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Portfolio valuation impacts by sector allocation•••

Thoughts on the energy transition•••
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Portfolio valuation impacts by asset class••••Discussion regarding the incorporation of nature-related risks

Portfolio temperature alignment

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Common portfolio carbon footprinting cheat sheet

𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡𝑖𝑖𝑠𝑠𝑢𝑒𝑟 ′ 𝑠 𝑠𝑐𝑜𝑝𝑒 1 𝑎𝑛𝑑 𝑠𝑐𝑜𝑝𝑒 2 𝐺𝐻𝐺 𝑒𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠𝑖
𝑋𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑝𝑜𝑟𝑡𝑓𝑜𝑙𝑖𝑜 𝑣𝑎𝑙𝑢𝑒𝑖𝑠𝑠𝑢𝑒𝑟 ′ 𝑠 $𝑀 𝑟𝑒𝑣𝑒𝑛𝑢𝑒𝑖∑𝑛𝑖(𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒 𝑡𝑜 𝑆𝑜𝑣𝑒𝑟𝑒𝑖𝑔𝑛 𝐵𝑜𝑛𝑑(𝑈𝑆𝐷)𝑖∑𝑛𝑖(

𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑝𝑜𝑟𝑡𝑓𝑜𝑙𝑖𝑜 𝑣𝑎𝑙𝑢𝑒

𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡𝑖∑𝑛𝑖(𝑖𝑠𝑠𝑢𝑒𝑟 ′ 𝑠 𝐸𝑉𝐼𝐶𝑖𝑋𝐶𝑜𝑢𝑛𝑡𝑟𝑦 𝐺𝐻𝐺 𝑒𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠𝑖𝐶𝑜𝑢𝑛𝑡𝑟𝑦 𝐺𝐷𝑃 𝑁𝑜𝑚𝑖𝑛𝑎𝑙 (𝑚 𝑈𝑆𝐷)𝑖

𝑋 𝑖𝑠𝑠𝑢𝑒𝑟 ′ 𝑠 𝑠𝑐𝑜𝑝𝑒 1 𝑎𝑛𝑑 𝑠𝑐𝑜𝑝𝑒 2 𝐺𝐻𝐺 𝑒𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠𝑖

𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒 𝑡𝑜 𝑆𝑜𝑣𝑒𝑟𝑒𝑖𝑔𝑛 𝐵𝑜𝑛𝑑(𝑈𝑆𝐷)𝑖𝑋 𝐶𝑜𝑢𝑛𝑡𝑟𝑦 𝐺𝐻𝐺 𝐸𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠𝑖𝑃𝑢𝑏𝑙𝑖𝑐 𝐷𝑒𝑏𝑡 𝑂𝑢𝑡𝑠𝑡𝑎𝑛𝑑𝑖𝑛𝑔 (𝑈𝑆𝐷)𝑖∑𝑛𝑖(𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡𝑖𝑋 𝑖𝑠𝑠𝑢𝑒𝑟′ 𝑠 𝑠𝑐𝑜𝑝𝑒 1 𝑎𝑛𝑑 𝑠𝑐𝑜𝑝𝑒 2 𝐺𝐻𝐺 𝑒𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑠𝑖 )𝑖𝑠𝑠𝑢𝑒𝑟′𝑠 𝐸𝑉𝐼𝐶𝑖∑𝑛𝑖(𝑐𝑢𝑟𝑟𝑒𝑛𝑡 𝑝𝑜𝑟𝑡𝑓𝑜𝑙𝑖𝑜 𝑣𝑎𝑙𝑢𝑒 ($𝑀)

Supplemental metrics

𝑇𝑒𝑚𝑝𝑒𝑟𝑎𝑡𝑢𝑟𝑒 𝑆𝑐𝑜𝑟𝑒𝐹 =Russell Investments∑𝑖∈𝐹 𝑇𝑒𝑚𝑝𝑒𝑟𝑎𝑡𝑢𝑟𝑒 𝑆𝑐𝑜𝑟𝑒𝑖 ×𝐺𝐻𝐺 𝑖𝑛𝑡𝑒𝑛𝑠𝑖𝑡𝑦𝑆 ×𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡 𝑖𝑛 𝑒𝑛𝑡𝑖𝑡𝑦𝑖∑𝑖∈𝐹 𝐺𝐻𝐺 𝑖𝑛𝑡𝑒𝑛𝑠𝑖𝑡𝑦𝑆 ×𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑖𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡 𝑖𝑛 𝑒𝑛𝑡𝑖𝑡𝑦𝑖