Mitsui & Co. Alternative Investments Limited

TCFD Report 2023

Mitsui & Co. Alternative Investments Limited (“we” or “the Company”) is actively promoting
initiatives related to ESG/SDGs, with "realizing a sustainable and prosperous society throughalternative investments" as one of our corporate missions. We have been offering investment
opportunities related to renewable energy investment, infrastructure investment, andinsurance-related products and recently enhancing our efforts for ESG/SDG initiatives.

Weidentified our corporate materiality (the key issues that we must focus on) including“environment-friendly business operations”, recognizing that climate change is a global prioritythat we should combat as one of our social missions. Also, our management team recognizethat integrating climate change risks and opportunities into our corporate strategy is essential
for the sustainable growth of our company.
We expressed our support for the recommendations of the Task Force on Climate-related
Financial

Disclosures(TCFD)

in

September

2023.

InaccordancewiththeTCFD

recommendations, we base our approaches and policies to address environmental and social
issues including climate change on the four pillars listed in the recommendations: Governance,Strategy, Risk Management, and Metrics and targets.

GovernanceOur governance framework for

Governance Framework of Sustainability Issues

sustainability is designed to place
the Board of Directors as the highest
governance body that supervises
initiatives carried out by the regular
ESG meetings and the Corporate
Sustainability Office. The Corporate
Sustainability Office is responsible forcoordinating various internal
activities and making proposals topromote company-wide sustainability
initiatives.

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Board of DirectorsAs the highest governance body, the board of directors mainly deliberates on the followingmatters.
(Examples of Resolutions)・ Establishment of policies and setting of targets for climate change countermeasures
・ Review of corporate strategies including medium-term business plan, annual budgets
and materiality from the viewpoint of climate change countermeasures
・ Participation in sustainability-related initiatives
・ Establishment and revision of ESG Investment Policy(Examples of Reporting Matters for Supervision)
・ Progress toward sustainability-related goals
・ Assessment results of identified climate-related risks and opportunities, as well as themanagement status of business risks including climate change risks
Regular ESG Meetings
At regular ESG meetings held every other week, a wide range of topics related tosustainability, including the following matters, are discussed mainly by the management
team. In addition, the management team monitors various internal activities and progress
toward any targets through this meeting.
・ Details of ESG Investment Policy
・ Methods of ESG due diligence of investees, including those related to climate change
・ Activity status of the industry-wide initiatives in which MAI is participating・ Materiality and climate change targets and progress
・ Trends in the financial industry regarding environmental and social issues
・ Measures to raise employee awareness of environmental and social issues
Corporate Sustainability Office
The Corporate Sustainability Office plays the following roles in sustainability initiatives,
including addressing climate-change-related issues, by leading the development of aframework for company-wide initiatives consistent with our materiality.
・ Coordinating with relevant departments regarding the establishment and revision ofsustainability-related policies, such as ESG Investment Policy, and submitting proposals

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TCFD Report 2023

to the Board of Directors
・ Attending the Investment Committee in which important matters such as the selectionof investment products in the Investment Management Business are resolved and theProduct Strategic Committee in which important matters such as the marketing of a new
product in the Securities Business are decided. A veto may be exercised if there is aconcern from the viewpoint of ESG as a committee member.
・ Identifying and assessing risks and opportunities related to climate change and reportingto the Risk Management Committee
・ Regularly reporting the monitoring results of the status of company-wide managementof climate change risks to the Risk Management Committee
・ Reporting and proposing policies and the status of various sustainability-related initiatives
to management at ESG regular meetings
・ Disclosing information related to sustainability, including TCFD requirements, toemployees and the public3

TCFD Report 2023

Strategy
We first identified the climate change risks and opportunities which may potentially impact
on our business and then assessed the implications on our financials.
Major Climate Change Risks and Opportunities
The key climate-related risks and opportunities we identified are as follows:[Risks and Opportunities Identified Across Our Business Operations]Risks and Opportunities

Implication on our corporate
earnings

SignificanceTypeTransition
Risks

PhysicalRisks

DescriptionTimehorizonRegulators may impose stricter rules related to ESG investmentthat work against investment funds.

Moderate

Decrease in operational revenue due Medium toto lower profitability at the fund level
Long

Shift of investor needs and investment regulations may render thecurrent product lineup outdated or commoditized.

Low

Decrease in operational revenue
through more outflow of fund AUM

Medium toLong

Additional costs, such as office renovation cost, may be required in
response to GHG emission restrictions along with change in carbon
pricing laws and regulations.

Low

Increase in costs to address theregulations

Short toLong

New participants with more eco-friendly business models may
make the market more competitive.

Low

Decrease in operational revenue
through more outflow of fund AUM

Medium toLong

The reputation and brand image of our business may be degradedby investing in less eco-friendly sectors.

Low

Decrease in operational revenue
through more outflow of fund AUM

Medium toLong

Our investments/investment fund lineup may be considered as
greenwashing cases, harming the reputation and brand image ofour business.

Low

Decrease in operational revenue
through more outflow of fund AUM

Medium toLong

Our business may be interrupted by typhoons, tsunamis andfloods, and additional costs may be incurred to restart operationand recover the losses after disasters.

Low

Increase in extraordinary losses due
to one-off expenses

Medium toLong

The cost of managing the working environment may increase as
the temperature rises.

Low

Increase in costs related to office air
conditioning in accordance withrising energy prices

Medium toLong

New business opportunities may be available by focusing on areas
such as green finance, transition finance and solution business.

High

Increase in operational revenue
through more inflow of fund AUM

Short toLong

The market may expand as confidence in ESG-related products
strengthens and investors become more conscious of ESG issues.

Moderate

Increase in operational revenue
through more inflow of fund AUM

Medium toLong

Investors may be provided more opportunities to invest incompanies promoting transition to the low-carbon society.

Moderate

Increase in operational revenue
through more inflow of fund AUM

Short toLong

Corporate initiatives to tackle climate change issues may enhance
our brand reputation.

Moderate

Increase in operational revenue
through more inflow of fund AUM

Medium toLong

Opportunities

In addition, for fiscal year 2022, we conducted a more detailed analysis of the risks andopportunities in funds targeting solar and wind power investments, taking into account theproportion and impact of climate change by sector in the business portfolios of both theInvestment Management Business and Securities Business.

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[Risks and Opportunities in Business Related to Funds Investing in Solar and Wind Power]
Risks and Opportunities

Significance

Implication on our corporate
earnings

TimehorizonChanges in laws and regulations may increase solar energy
curtailment or the cost burden associated with carbon pricing,diminishing returns generated by investment funds.

Moderate

Decrease in operational revenue due
to lower profitability at the fund level

Short toLong

The FIT scheme may be abolished, scaled down or changed to cut
the purchase price, damaging the electricity sales revenue andultimately the return of the investment funds.

Moderate

Decrease in operational revenue due Medium toto lower profitability at the fund level
Long

Natural disasters may damage invested physical assets (such assolar or wind power infrastructures ) or suspend their operation,
Physical Risk
deteriorating the value and the investment return of clients'
portfolios.

Moderate

Decrease in operational revenue due Medium toto lower profitability at the fund level
LongGrowing demand for renewable energy such as solar or wind
Opportunity power may lead to more opportunities to structure new funds orexpand other business.

HighTypeTransition
RiskDescription

Increase in operational revenue
because of expansion of ourintermediary business.

Short toLong

The time horizon is defined as follows:
Short-term: up to 3 years, Medium-term: up to 10 years, Long-term: up to 30 years
Scenario Analysis
We conducted scenario analysis of the impact of risks and opportunities based on multiple
scientific scenarios for climate change in order to understand the impact of global warmingon our business. For fiscal year 2022, we utilized 2 scenarios to prepare for a wider rangeof outcomes; the 1.5°C scenario and the 4°C scenario. Below is the set of assumptions ineach scenario.
・ 1.5°C scenario: The entire society accelerates its pace toward decarbonization. One of
the significant risks of note is the transition risk arising from market shifts and stricter
regulations.
・ 4℃ scenario: The global temperature continues to rise and the negative effects expand
as economic growth is prioritized. One of the significant risks of note is the physicalrisk originating from natural disasters such as floods.
Our scenario analysis refers to the climate scenarios and other related reports published by
the International Energy Agency (IEA) and the Network for Greening the Financial System(NGFS).
With regard to the transition risks, we assessed the impact of changes in customer needs
caused by the transition to a carbon-free society and the tightening of regulations such ascarbon taxes on revenues and costs in our securities and investment managementbusinesses.
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With regard to the physical risks, we assessed the possibility that the physical assets of theinvestee will indirectly affect our earnings due to flooding or other damage caused byextreme weather conditions.
The results of the analysis for both 1.5°C and 4°C scenarios show that, although a decline
in revenues is most likely if we can’t respond well to climate change risks and opportunities,
we may be able to grow revenues if we can take an appropriate approach by taking
advantage of more business opportunities related to decarbonization and sustainability.
We report the results of our scenario analysis to the management team to have a discussion
with them on risks and opportunities as well as their impact on our strategy. In addition,climate change risks are considered when making investment decisions and monitored on
an ongoing basis, in line with the established ESG Investment Policy.

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Risk Management
The Risk Management Committee was newly established on July 1, 2023, to assume therole of managing the climate change risks as part of the company-wide risk management
framework.
The Risk Management Committee identifies various risks, including those related tosustainability, and assesses their significance, monitors the risk management status of eachdepartment for each type of the specific risk, provides advice, and reports the status of risk
management to the Board of Directors at least once a year.
Risk Management Structure (as of October 1, 2023)
Board of Directors

Corporate Auditor

Audit

Internal Audit Team(3rd-line)(comprised of professional members from Corporate Administration Dept. and Legal & Compliance Dept.)

Risk Management Committee
Risk
oversight(2nd-line)

Operations
Dept.

Monitoringof day-today work

Legal &Dept.

(1st-line)

Corporate Administration Dept. ("CAD")

Sustainability

Dept.

Investment
Management

Corporate

ComplianceAll
Departments

Asset

Compliancemanagement

risk

OfficeFront OfficeBusiness risk

IT Team inCAD

IT system risk

risk

Human
Resources

Accounting

AllDepartments

HumanRisks

OperationalRisks

resources risk

associatedrisk

associated withTeam in CAD

withKey risksAll

Team in CAD Departments

sustainability

accounting

Reputationaland tax,

risk

issuescapitaladequacy
ratio, andsecurities heldon account

As of October 2023, we are working to establish a robust monitoring framework forsustainability-related risks, including climate change risks, and to effectively integrate theminto a company-wide risk management system in consideration of the relationship with otherrisks.

7TCFD Report 2023
Engagement in Fund Investment
Our Investment Management Department enters into discretionary investment contracts
with investors who are asset owners, and invests in funds managed by domestic andoverseas external investment managers. As a result, although we cannot engage directlywith the ultimate portfolio company, we believe it is vital to ensure that the managers of
the underlying funds are capable enough of assessing and managing ESG risks, including
climate-change risks, and to engage in dialogue with such managers to reduce risks.
As a part of the pre-investment due diligence, the Investment Management Department
will evaluate each manager and fund qualitatively in terms of ESG integration experience,organizational structure, internal policies, human resources, and ESG reporting, using ourown ESG scores based on the ESG Investment Policy established in August 2021. The resultsof this ESG score and qualitative assessment are considered in making the final investment
decision at the Investment Committee that is responsible for the selection of the managers.
Scoring criteria are shared across all asset classes and strategies, but the ESG risks such as
climate change risks give different degrees of impact to each asset class and strategy.
Therefore, we make investment decisions based on a comprehensive assessment which
includes both ESG considerations and other factors.
After starting the investment, we regularly receive performance reports from the managers
and monitor their investment as long as we hold the position. For examples, if any negative
news is reported on the manager, we will require them to report to us. We will also review
the ESG scores of existing managers at least annually.
Going forward, we will continue to refine the assessment items in our ESG scoring so that
we can evaluate portfolio funds/managers in line with our materiality and the TCFD
recommendations.

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Metrics and Targets
CO2 Emissions from Our Business Activities
Most of our CO2 emissions come from the use of electricity (Scope 2) in our office and fromemployee commuting and business trips (Scope 3 Categories 6 and 7). The annual carbon
footprints of our electricity use are shown in the table below. In addition to ongoing energysaving measures, we will consider additional initiatives for decarbonization, such aschanging the electricity plan for the office building (leased office). In addition, we will workon measuring emissions associated with employee commuting and business travel.
CO2 emissions（kg-CO2）
FY 2018

FY 2019

FY 2020

FY 2021

FY 2022

Scope 100000

Scope 2

79,827

77,291

66,95073,05180,829

Scopes 1+2

79,827

77,291

66,95073,05180,829Calculation period: April 1 to March 31 of each fiscal year

CO2 Emissions of Portfolios We Manage on Behalf of Clients
Because we invest in investment funds managed by external managers under discretionary
investment contracts with our clients, it is difficult to trace CO2 emissions of portfolios inthe management of client assets.
Meanwhile, there is a growing trend among the underlying managers to disclose information
related to climate change, and we look to keep track of and disclose actual CO2 emissions
as much as possible.
Business Opportunities That Leverage Climate Change Opportunities
We consider investments that contribute to the transition to a low-carbon society as
business opportunities and are actively working to provide investors with access to suchinvestments.
Specifically, in the Investment Management Business, we offer investment and gatekeeping
services with a fine selection of funds such as domestic funds that invest in solar power
generation projects, overseas infrastructure funds that invest in the renewable energy sector,
and funds that invest in insurance-linked securities related to natural disaster risks.
Also in the Securities Business, we are continuing our efforts to identify and provide9TCFD Report 2023

investment opportunities that contribute to the transition to renewable energy. For example,
our extensive experience in the structuring and placement of solar power funds enabled us
to invest in the general partner of a solar power fund in the fiscal year 2022.
Metrics

AUM (since inception) of the funds that contribute to resolving climatechange issues* (Securities Business)

Results

JPY164.3 billion (as of March 2023)*Funds that contribute to resolving climate change issues include funds investing over the half of theirassets in the sectors (renewable energy power generation and non-life insurance) that contribute to climatechange solutions.

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