Momentum Metropolitan : TCFD report 2023

MOMENTUM METROPOLITAN TCFD REPORT 2023

CONTENTS

ABOUT THIS REPORT

• Related reports

2 Timeframe classifications

1. Report boundary, assurance, and approval

1. Leadership statement

BACKGROUND AND CONTEXT

1. Our TCFD journey
2. Context framing our response

1. Our approach to climate change

GOVERNANCE

8 Board oversight of climate change

1. Management's role in our climate change response
2. Climate skills and training

STRATEGY

12 Our use of climate change scenarios in understanding risk and opportunity

15 Climate risks

18 Climate opportunities

20 Responsible investment approach to climate change

RISK MANAGEMENT

1. How we identify and assess climate risk

1. How we manage climate risk

21 How we integrate climate risk into our Group enterprise risk management processes

METRICS AND TARGETS

1. Our carbon footprint

1. Our Green IT strategy
2. Future target setting

APPENDICES

32 Annexure A: List of abbreviations, acronyms, and definitions

ABOUT THIS REPORT

Momentum Metropolitan is one of South Africa's largest diversified financial services companies. Our business is about protection (life and non-life), investments and long- term savings, and we conduct it through the Momentum, Metropolitan and Guardrisk brands. Outside South Africa, we operate in five African countries through Momentum Metropolitan Africa, which includes Botswana, Ghana, Lesotho, Mozambique, and Namibia. Momentum Investments has operations in the United Kingdom and Guernsey. The Group has a health insurance joint venture in India and Guardrisk has businesses in Gibraltar and Mauritius.

Momentum Metropolitan Holdings Limited (hereafter, Momentum Metropolitan or the Group) formally signed up as a supporter of the Task Force on Climate-Related Financial Disclosures (TCFD) in June 2021, and we released our first TCFD reportin December 2021.

This report is our third set of climate-related disclosures, in line with the TCFD recommendations. It outlines our approach to climate change and our steps to support our commitment to climate action. The data in the report relates to the financial year from

1 July 2022 to 30 June 2023 (F2023). Where specific exclusions apply, these have been indicated. The reporting period extends to the end of November 2023.

The Group follows a federated operating model. At the time of the 2021 TCFD disclosure, the various business units were at the midpoint of a structured process to identify sustainability risks and opportunities material to their business models. They aimed to make commitments aligned with the Group's sustainability focus areas. This process has been completed, with target development and integration into their strategies as the next steps.

There is a growing concern that the world is not adapting - building defences - fast enough to counter climate-fuelled impacts, such as floods, extreme heat and droughts. The humanitarian costs are worrisome, demonstrating that the climate crisis is as much a social as an economic one. Corporates engaging in the challenge of learning and responding to climate change risk must consider impacts on the enterprise and the societal impacts of climate risk and opportunities, particularly on vulnerable groups. What can be done to build a more climate-resilient society and limit the climate impacts that will occur? We aim to reflect on this social aspect of climate change and share what the Group has done so far.

RELATED REPORTS

This report should be read in conjunction with:

1. Annexure B: Summary of climate risk indicators identified
2. Annexure C: Materiality assessment of climate risks on different risk types
3. Annexure D: Climate change maturity path

2023 CDPand 2023 Carbon Footprint Verification Opinion Declaration submission

1

A list of Momentum Metropolitan's climate-related policies can be found on page 40 of this report.

TIMEFRAME CLASSIFICATIONS

The nature of climate change impacts is considered in the long term. The timeframes for understanding climate change risk rely heavily on the Paris Agreement, which puts the expected

LEADERSHIP STATEMENT

In the South African context, the climate crisis, and its potential impacts on the aspirations of businesses and communities we serve, make it incumbent on us to ensure that the "Social" (S) in Environment, Social and Governance (ESG) gets the balanced, adequate attention it requires.

MOMENTUM METROPOLITAN TCFD REPORT 2023

science-based global impact on a 2050 timeline. This timeline is also considered when doing scenario analysis, which TCFD recommends. See page 12 for our approach to timeframes in scenario analysis.

The Group-developed climate risk management framework requires us to asses climate risk in over one to five, five to 10 and 10 to 30 years. Embedding the framework, is still a work in progress. To meet shorter strategic planning requirements we conduct risk assessments according to the following time horizons.

• Short-term:six to 12 months.
• Medium-term:one to three years.
• Long term: three to five years.

REPORT BOUNDARY, ASSURANCE, AND APPROVAL

We report on Momentum Metropolitan and the combined material input from our six business units as set out on page 5 of the 2023 Sustainability Report. This report's information was prepared and provided by Momentum Metropolitan's various businesses, based on the Group's internal reporting and information systems and processes.

Our carbon footprint is subject to external assurance by Verify CO2, which provided limited assurance on the Group's carbon emissions. Group Internal Audit (GIA) conducted an effectiveness review on our climate reporting. Some of the recommendations were incorporated in this report.

For all corporates, COVID-19 became a live test in organisational resilience. It measured the ability of risk experts to be convening partners to business; bringing the right people and data together and activating the required processes to ensure business stability. Climate change is recognised as a crisis which could greatly exceed the levels of uncertainty and strategic challenge felt during the pandemic.

Regulators1 and industry experts2 have noted the vulnerability of financial institutions in their level of preparedness to deal with climate change, and their tendency to systematically underestimate the economic impact of the crisis. At the same time, there is an acknowledgement that "we cannot wait for models to be perfect". Instead, we have the responsibility to become proactive, life-long learners, always ready to adapt.

Collaborative response

Given the growing regulatory oversight of climate risk management globally, it is not surprising that much of the corporate response is led by risk management and compliance functions. We are mindful that collaboration is needed between the multiple parts of the business that touch the climate agenda, for climate considerations to be integrated in business strategy and decision-making. In January 2023 Group Sustainability was integrated into the Group Risk Function to intensify the groupwide focus on it. Business unit management teams, through Exco leadership, are encouraged and will over time be measured to ensure decisions on climate actions are cascaded and implemented at all levels of the organisation.

In the South African context, the climate crisis, and its potential impacts on the aspirations of businesses and communities we serve, make it incumbent on us to ensure that the S in ESG gets the balanced, adequate attention

it requires. As corporates, we collectively have to ensure our strategies address the short, medium, and long-term effects of climate change, with the ultimate goal of delivering value to business and society. That is why at Momentum Metropolitan, we extend our collaborative approach to industry partners and forums that support a Just Transition to a low carbon economy.

Climate disclosure and governance

The TCFD recommendations were developed to improve transparency and trust in the reporting of climate-related risks and opportunities. We have found it a valuable roadmap to plan and track our climate journey. We fully support the intention of IFRS and other sustainability reporting frameworks to improve corporate accountability and stakeholder trust.

The board-delegated Risk, Capital, and Compliance (RCC) Committee and Social, Ethics and Transformation Committee jointly lead the primary oversight of the Group's management of climate risks and opportunities and the disclosure thereof, with many touchpoints to other board committees. Over the past year the RCC has overseen efforts to embed the Group climate risk framework and led regulatory engagements on climate change risk. The SETC's focus was on oversight of the sustainability strategy development with business units, and measurement over time, and securing the foundation for the Group's decarbonisation plan.

Globally there is a growing recognition that biodiversity loss and climate change must be addressed in a synergistic way. The recently finalised Taskforce on Nature-related Financial Disclosure and Global Biodiversity Framework agreed to at COP 15, will likely become the bases for further policy and regulatory developments. This presents a steep learning curve for the Group as for most organisations, but also the opportunity to integrate it into our stewardship role and demonstrate leadership.

The Board acknowledges responsibility for the integrity of this report. The members of the Social, Ethics and Transformation Committee (SETC) and the Risk, Capital and Compliance Committee (RCC) have applied their minds to the report on behalf of the Board and is confident that the information is reliable and that it fairly presents the Group's climate disclosures, aligned with TCFD.

OUR TCFD JOURNEY

The TCFD has provided a framework for effective disclosure and enhanced climate risk and opportunity management. Its wide international adoption, mandatory classification in some jurisdictions, and alignment of reporting frameworks such as CDP contributed to a consistent global climate risk disclosure approach.

We welcome the further convergence brought on by the transfer of responsibilities to monitor climate-related disclosures from TCFD to the IFRS Foundation as of 2024 and the endorsement of IFRS S1 and S2 by the International Organisation of Securities Commissions (IOSCO). Group

Governance

PURPOSE: Disclose the organisation's governance around climate-related risks and opportunities, including the role of the Board and management.

Metrics and targets

PURPOSE: Disclose the metrics and targets used to assess and manage relevant climate-related risks and opportunities, where such information is material.

Strategy

PURPOSE: Disclose the actual and potential impacts of climate- related risks and opportunities on the organisation's businesses, strategy, and financial planning.

Risk management

PURPOSE: Disclose how the organisation identifies, assesses, and manages climate-related risks.

MOMENTUM METROPOLITAN TCFD REPORT 2023

Sustainability and the Climate Risk Steering Committee will study the IFRS Foundations' comparison of S2 and the TCFD recommendations to plan future disclosures.

2021

• Board approved adoption of TCFD
• Group became a formal signatory
• Establishment of Sustainability Forum
• Commenced work on the Strategic Sustainability
  Framework
• Used bespoke approach in scenario analysis, which included 1.5°C and 3°C
• Development of Group climate risk framework started
• Climate change formulated as cross-cutting, impacting risk types addressed in the Own Risk and Solvency Assessment (ORSA) policy
• Group reported exceeding target of 25% reduction in combined Scope 1, 2 and 3 emissions
• Group reported on investment managers' climate performance e.g., Do they recognise it as a risk? Do they have a formal climate change policy?

2022

• Sustainability Forum optimised to include business unit representatives, drive climate learning and embed the Sustainability Framework
• Group Climate Risk Steering Committee formed
• Business unit Chief Risk Officer (CRO) assigned to climate risk as risk type head
• Business units followed a structured process to identify sustainability-related risks and opportunities, including climate risks and opportunities
• Group committed to integrate climate risk and opportunities into F2027 corporate strategic planning process, commencing F2024
• Moved from customised scenarios to Network for Greening the Financial System (NGFS) analysis framework
• Group climate risk framework approved to drive consistent identification, assessment, measurement, monitoring, and management of climate risk across the Group
• Climate Risk Steering Committee started embedding framework in business
• Group started reporting on climate-positive products and services
• Group formulated Green IT strategy and reported on metrics

2023

• A Group climate change maturity plan (F2022 to F2025) was developed. The implementation is driven by the Climate Risk Steering Committee established in 2022
• The Risk Strategic Steering Committee, consisting of business unit CROs, was leveraged to support awareness on climate issues
• Working groups established for specific climate initiatives, e.g., formulating the Group decarbonisation plan
• Improved climate literacy on specialist issues such as Greenhouse Gas (GHG) accounting
• The business units finalised sustainability commitments including climate commitments
• Momentum Metropolitan's decarbonisation investment strategy was approved, which includes the commitment to avoid investment in new coal assets
• Physical and transition risk indicators updated using NGFS models
• Climate risk impacts were expanded to include the Health Business, in addition to Life, Non-life and Investments
• Decarbonisation approach and new baseline confirmed
• The South African discretionary listed equity and fixed income client assets' carbon footprint was measured

CONTEXT FRAMING OUR RESPONSE

The climate crisis is occurring within the context of a highly interconnected world. Shifts related to global climate commitments, geopolitical concerns and planetary boundaries are linked to natural resource constraints and amplify localised social challenges.

At Momentum Metropolitan, we acknowledge this complexity and consider the following trends in the external environment relevant to our response.

PRESSURED NET ZERO RACE

CLIMATE CRISIS

• HUMANITARIAN
  CRISIS

PUSHBACK

ON ESG

According to Net Zero Tracker3 , 151 countries and 987 companies have made Net Zero commitments. Of these countries, 18% have it in law and 34% in policy documents. For companies, 71% embedded it in corporate strategy. The World Resource Institute (WRI), a global research non-profit, found that only five countries are making tangible progress. Regardless of the research referenced, the credibility and achievability of these targets remain questionable. Lack of regulations at sub-national levels fuels mistrust in commitments, and long-term commitments often cloud the need for shorter-term action.

According to the World Meteorological Organisation (WMO) and the European Commission Copernicus Climate Change Service, ten climate records were broken between July and August 2023. Countries like Italy, China and the United States experienced record-high heatwaves, the North Atlantic Ocean was reported to be unusually warm, Beijing experienced torrential rain that was the highest level since 1883, and Canada had a record number of mega-fires. Already in 2022, heatwaves in Europe caused a public health crisis, causing more than 60 000 deaths.

This figure could rise to 120 000 per year in the European region by 2050. In Africa, World Economic Forum (WEF)4 research points to climate change exacerbating unrest and increasing conflict-related deaths. Rising temperatures are already prominent in fragile and conflict-affected countries, which could endanger human health and productivity. It is forecasted that countries like Sudan and Somalia will experience hunger in 2060 due to the climate crisis. The United Nations Office for the High Commissioner for Human Rights (OHCR) argues that a human rights approach to climate change is needed globally. This will require ambitious adaptation and mitigation measures, focusing specifically on vulnerable communities.

Climate denialism has morphed into a broader narrative of ESG investments as an unpatriotic practice, taking jobs from the working class in countries in the global north. These conflicts demonstrate how vain it is to debate climate action without discussing livelihoods, politics and resources. According to Bloomberg Green, ESG-linked bonds have been judged more harshly on performance amid economic conditions despite all bonds being under equal pressure. The contradiction of clean energy (solar and wind) regarding the use of scarce raw materials in production and waste generated at retirement could prime inaction on renewables. In addition, there is growing mistrust of ESG ratings. European lawmakers are set to debate a law forcing them to break from their consultancy arms, disclose more details about their methodologies and formally register with authorities. This will require more intentionality from corporates in their climate responses, transparency, and authenticity in reporting.

MOMENTUM METROPOLITAN TCFD REPORT 2023

GEOPOLITICAL FACTORS

CLIMATE REGULATION AND LITIGATION

Climate change remains one of the world's most crucial and polarising issues. The energy shocks in the wake of the Russian invasion of Ukraine have, on the one hand, rolled back climate plans, bringing coal plants back online, and, on the other hand fuelled demands and price hikes for clean energy solutions. Further unease about the supplier dominance of China in the renewables market and growing United States- China tension over the Biden Inflation Reduction Act to fund growth in the domestic green economy complicate geopolitical collaboration. The latter is required to enable the transition to a low-carbon economy, thus pushing back the achievement of global targets.

The United Nations Environmental Programme Global Climate Litigation Status Report of 2023 notes that climate litigation cases around the world doubled from 884 in 2017 to 2 180 as at December 2022. The main driver for litigation is insufficient progress under the Paris Agreement. South Africa is a signatory to the Agreement and has committed to achieving Net Zero emissions by 2050 in its Nationally Determined Contributions (NDCs). The NDCs, however, are not enforceable or mandatory for South African sub-national entities. Climate litigation is becoming a means for vulnerable groups to assert climate justice and human rights.

The South African Climate Change Bill was introduced into Parliament in February 2022 and passed by the National Assembly on 24 October. Once promulgated, it will increase the risk of climate litigation in South Africa, as it will establish climate change response obligations, including sectoral emission targets, climate change response implementation plans and carbon budgets. The latter will be linked to the carbon tax regime and could result in penalties if companies exceed their emission budget. This is one of the critical aspects of the Bill. It endeavours to help link existing and pending regulation to ease compliance for companies. Due to our socio-economic challenges and need for a Just Transition, South African companies might find that climate action and inaction result in litigation. Most of the recent nine climate-related cases brought before courts related to proposals for electricity power generation projects.

MOMENTUM METROPOLITAN TCFD REPORT 2023

Just Transition for south africa

Cutting greenhouse gas emissions to zero by 2050 as per the Paris Agreement requires rigorous and immediate action by all countries across the globe, but no efforts should be at the expense of the people these actions should support.

Climate change has a disproportionate impact on low-income households, the unemployed and people with lack of adequate housing, infrastructure and access to healthcare. In South Africa, past inequalities is a historical challenge that remains present. It is therefore in our best interest as a country to mitigate and adapt.

Greening the economy requires reducing reliance on fossil fuels and moving away from emission-intensive activities, like mining. However, according to Stats SA, 472 000 people were employed in the mining sector (including coal) in 2022, which comprised 0.8% of South Africans. The mining sector is considered an engine driving South Africa's economy with an 8% contribution to the country's GDP. Hence, the promise of leaving no one behind, has to be at the forefront of our transition plans.

A common misconception about a Just Transition is that the responsibility solely lies within the governmental or intergovernmental sectors. However, ensuring this transition takes place will require a collective effort across sectors, including the private sector.

According to the United Nations Global Compact (UNGC), the financial services industry can play an important role in advancing a Just Transition and scaling up the agenda of climate action by:

• Including factors beyond the environment and climate like labour standards, social dialogue, and consensus-building to open doors to a leadership role for finance in the Just Transition
• Leveraging their position in the real economy through partnering with other sectors, allocating capital, managing related risks and harnessing opportunities, and contributing to a robust informational infrastructure
• Engaging with policymakers to support an enabling environment, particularly on fiscal policies, financial regulations, and transition plans.

Momentum Metropolitan supports these initiatives and the Presidential Climate Commission (PCC) Framework on the Just Transition principles. Our corporate and investment businesses have already started considering their potential contribution and impact on the Just Transition

Help to build the low-carbon economy

The strategic pillars represent the top priorities where the Group can have an impact in the long term.

TCFD REPORT 2023

1. Provide appropriate offerings for underserved segments such as SMMEs, low-income earners and employed but uninsured people
2. Develop a custom-made advice approach to serve distinct segments and maximise client value

1. Enable clients to actively direct their health and financial wellness
2. Enhance client experiences to better serve their needs

1. Build a decarbonisation roadmap
2. Grow our portfolio of climate positive products and services

The key themes emerged from the business

unit commitments for each pillar.

MOMENTUM METROPOLITAN

Strategic enablers

Sustainable Development Goals

The strategic enablers cover core expectations and represent the foundational elements that need to be in place for us to be successful.

Together, the Group, business units and the Momentum Metropolitan Foundation make the most significant contribution to eight of the SDGs. The business units are in the process of matching their commitments and targets to specific SDGs.

6

For a timeline of our climate journey, policies, and partnerships, refer to the appendix.

REPORT 2023

Table 1: PROCESS FOR CTAP

Set Science-based goals Focus: Ambition

Conduct emissions inventory (Scope 1 to 3)

Set targets and metrics aligned to science

Validate targets with recognised standard

Climate transition action Plan

Focus: Action and Advocacy

Create emissions reduction plan

Integrate plan into business strategy and governance

Advocate for enabling policies

Ensure a Just Transition

Accounting and Reporting

Focus: Accountability

Assess progress of public disclosure results

Solicit feedback from stakeholders

Adjust CTAP to meet medium and log-term goals

MOMENTUM METROPOLITAN TCFD

Regularly update targets, plan and business strategy to reflect most recent science

Building towards a CTAP is not a linear process. For the Group work across most domains requiring action is underway. The TCFD recommendations also provide a framework for developing a plan to mature an organisation's climate change response and align with the basic CTAP framework.

The Climate Risk Steering Committee developed a climate risk maturity plan approved by the RCC. This maps our anticipated progress in two broad phases: beyond compliance and strategic integration from F2022 to F2025. We wanted to define our maturity baseline against the TCFD recommendation since we started the disclosure journey and lay out immediate and future actions in a phased manner. It recognises the fact that a long-term climate vision is made up of many small steps.

We will update this plan as standards and frameworks change. We will continue to use science, research, shifts in the external environment and stakeholder engagement to inform our climate response. Advocacy efforts have been turning internally to involve our employees, service providers and partners in initiatives to create awareness and build climate skills.

See the appendices for the detailed Momentum Metropolitan climate risk maturity plan.

Read more about our skills development efforts on climate literacy in the governance section, page 11.

MOMENTUM METROPOLITAN TCFD REPORT 2023

BOARD OVERSIGHT OF CLIMATE CHANGE

The Board is committed to steering the Group through escalating climate change impacts. We support the WEF Principles on Effective Climate Governance for Corporate Boards.

Principle 1 - Climate accountability

Principle 2 - Command of the (climate) subject Principle 3 - An effective board structure to integrate

climate considerations into its committees Principle 4 - Ensuring materiality assessment of climate

risks and opportunities

Principle 5 - Ensuring strategic and organisational integration of climate considerations

Principle 6 - Ensure incentives are aligned to promote long- term prosperity

Principle 7 - Support reporting and disclosure

Principle 8 - Maintain exchanges and dialogues with peers, policymakers, and other stakeholders

The SETC and RCC committees have primary oversight over climate-related matters. In addition, the Investments Committee oversees responsible and economically sensible investments, including integrating climate risk and opportunities.

Climate change, however, penetrates the work of various other board committees. For example, the Remuneration Committee is addressing ESG-linked incentives for F2024. The Audit Committee will monitor the impact of IFRS S1 and S2, and the developing guidance for assurance of non-financial information. The Fair Practices Committee is keeping abreast of the regulatory stance on sustainable insurance, how it might influence product development and the impact it might have on what is regarded as fair treatment of customers.

Good corporate governance practices ensure the flow of decision-useful information relating to climate risk matters between the Board, Board committees, management committees and boards of subsidiaries where these structures are in place, with an appropriate reporting frequency.

OUR VALUES SUPPORT OUR APPROACH TO CLIMATE GOVERNANCE

In addition to our climate and sustainability-related policies, we are also guided by our code of ethics and standards for conduct policy, which commits us to environmental stewardship in accordance with relevant national legislation.

MOMENTUM METROPOLITAN TCFD REPORT 2023

GOVERNANCE AT BOARD LEVEL

Board of Momentum Metropolitan Life Holdings | Board of Momentum Metropolitan Life

Monitors, approves, provides oversight of and reviews the defined climate-related risks and opportunities. This translates into governance, strategy and finance, risk management, as well as metrics

and targets.

Board committees

Primary oversight over climate change, risks, opportunities, strategy and performance

GOVERNANCE AND GROUP EXECUTIVE MANAGEMENT LEVEL

Momentum Metropolitan Group Executive Committee

Strategic planning and decision-making according to the values, purpose and long-term ambition of the Group

Business Unit Executive Committees

Climate risk assessment and management at business unit level, translating into strategy and finance management, as well as metrics and targets. Since August 2023, business unit CEOs and sus-

tainability leads also present in-depth reports of their sustainability and climate commitment and performance to the SETC.

GOVERNANCE AT SENIOR MANAGEMENT LEVEL

Group-wideclimate-related forums and working groups

Responsible for supporting Group Exco and the Board Committees

REPORTING FREQUENCY

Annually

at the Board strategy session

Quarterly

NOTE: For other Board

committees climate-related matters are discussed ad hoc as issues arise

Monthly

Material matters are shared in

CEO Board report

Quarterly

at Risk Strategic Committee

Monthly