2021 ESG Annual Report

OUR PERSPECTIVE

Climate Transition Multi-Sector Credit Strategy A relative value strategy with embedded net-zero objectives Achieving the ambitious goals of the 2015 Paris Climate Agreement requires substantial shifts in capital allocation. Lenders, as providers of new capital and critical refinancing, have a key role in directing it toward companies that are creating climate solutions or adapting to a low carbon economy, and away from carbon-intensive industries with no possibility of alignment.

Strategy Overview • A relative value, credit-focused strategy with flexibility to invest across sectors, rating cohorts and geographies •  Outperformance objective of 4 – 5% p.a. over the cash rate over the cycle • Designed to have a portfolio carbon footprint (Scope 1 & 2) that declines by around 7% per year to be around 20% lower by 2025, 50% lower by 2030 and net zero by 2050 • Similar for holdings with material Scope 3 emissions

Building a net-zero investment solution requires a multi- tool approach Neuberger Berman was awarded its first Climate Transition Multi-Sector Credit mandate with the goal to deliver a portfolio with net-zero Scope 1 and 2 emissions by 2050. Net-zero investment solutions should have simple and clear objectives from the outset with milestones in between, such as 2025 and 2030 emissions reduction targets, to measure to success. Transparency of metrics is key. We choose to measure annual declines in attributable portfolio emissions, as well as deploying climate scenario analysis to pinpoint where risks reside at a granular, company level.

ILLUSTRATIVE PORTFOLIO EMISSION REDUCTION PATHWAY

ILLUSTRATIVE PORTFOLIO TARGET PATH TO NET-ZERO ALIGNMENT

200

50,000

0% 20% 40% 60% 80% 100%

40,000

150

30,000

100

20,000

50

10,000

0

0

2021

2025

2030

2050

2021

2025

2030

2050

Portfolio Invested in Climate Solutions Portfolio Net Zero-Aligned

Scope 1 + Scope 2 Absolute Apportioned Emissions (LHS)

Scope 3 Material Emission Intensity (RHS) Scope 1 + Scope 2 Emission Intensity (RHS)

28 2021 ESG ANNUAL REPORT

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