Just Annual Report and Accounts 2024

Just Group plc | Annual Report and Accounts 2024

sustainability: TCFD continued

IMPLIED TEMPERATURE RISE As at 28th June 2024, our weighted average ITR for the credit portfolio is 2.3, which is a marginal decrease relative to previous years. LIMITATIONS AND OUTCOMES Credit portfolio – CVaR and carbon footprint To determine the potential impact on the credit portfolio, we have used the data available from our third party data provider, which predominantly covers our liquid credit assets, and estimated the remaining by taking sector averages, accounting for the investment time horizon. The results of our quantitative analysis of CVaR relating to the credit portfolio does not include the Group’s cash/cash equivalent holdings, derivatives, reinsurance assets and sovereign bonds. The exclusion of sovereign bonds is driven by limitations in our methodology, however this is a key consideration for future enhancements to our assessment. To produce a full portfolio aggregate CVaR and carbon footprint, where data is unavailable via our third party provider, we apply an unweighted sector average and consider the maturity profile of the individual securities. The results are a function of assumptions applied by the NGFS. Sector averages can give an indication of the climate-related risks a company may face but do not account for the company-specific nature of these risks. The longer-term time horizon for projections on the credit portfolio lends itself to greater uncertainty of potential future impacts. As a result, whilst some conclusions can be drawn from our analysis, we acknowledge that our data has limitations associated with it. We are continuing to address this area as part of our development work going forward. Data could be subject to change due to improvements in data quality going forward. LTM portfolio – PVaR and carbon footprint For the LTM portfolio, 38% of the portfolio has an actual EPC rating that is valid and 58% of the portfolio has a modelled rating, which affects the accuracy of the PVaR. This is reflected in the PCAF data quality score of 3.6. We anticipate that over time issuers will provide greater transparency and reporting on emissions. We expect to restate the carbon footprint figures for the investment portfolio at the baseline year and subsequent years reflecting the overall improvements in availability of data, data quality, or where a methodology change is made. As explained above 38% of the LTM portfolio has an actual EPC rating, which affects the accuracy of the emissions data and is reflected in our PCAF score.

POTENTIAL ACTIONS TO MITIGATE CLIMATE RISKS From our scenario analysis exercise we were able to identify some potential actions we can take to help mitigate or manage the risks identified: • Increase due diligence on third-party suppliers to assess their understanding and readiness to handle energy supply risks. • Better understand the business’ exposure to rising energy prices, including budgetary considerations against the different scenarios. • Specific monitoring of employee health and well-being to understand specifically how resilient staff would be to periods of short and sustained energy price increases. • Assessment and deployment, where possible, of onsite renewable electricity generation and storage at our offices. • Continue to validate the recovery capability and resilience of services from key third party suppliers. • Continue engagement with industry and UK Government bodies and continue dedicating resources to horizon-scanning. • Increase climate change subject-awareness amongst staff pertinent to managing climate change related risks. • Continue the tracking of behavioural and health changes in the UK population and as required, use this to modify internal model assumptions around mortality and longevity. WHAT ARE OUR FUTURE PLANS FOR ENHANCING CLIMATE RISK MANAGEMENT OF THE INVESTMENT PORTFOLIO? Below we have outlined several potential actions: Integration • Incorporate climate-related scenario analysis data within investment decision making alongside other factors. Engagement • Continue to influence our issuers, external managers and the wider market to support our ambition to reach net zero. • Continue to develop our LTM lending propositions to support our customers in making their homes more energy efficient and to reduce the proportion of our LTM portfolio that is below an EPC rating of C. The government’s aim is for as many homes as possible to be upgraded to an EPC rating of C, with proposals for this minimum to apply to rented homes from 2030. Data • Identify other sources of information to improve the quality of data used to analyse the physical and transition risks of climate change. • Enhance our modelling to capture the CVaR associated with sovereign bonds. • Improve use of artificial intelligence and technology, where relevant, to enhance integration of climate change.