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HSBC Holdings plc Financed Emissions Methodology 22 February 2022 1 Introduction This technical supplement provides further detail on the financed emissions baselining and target setting for the oil and gas, and power and utilities sectors, that we have carried out for the portfolio alignment capability built by HSBC. The analytics sit alongside other purpose-built models and frameworks for stress testing and risk management, and enables us to measure and evaluate the progress we are making towards our ambition to align financed emissions to net zero by 2050 at the latest. Our framework for analysing our Scope 3 financed and facilitated emissions reflects industry recommendations, Zero Banking Alliance f - Port financed emissions considers on-balance sheet financing, including project finance and direct lending, as well as financing we help clients access through capital markets activities. Given the different nature of these two forms of - emissions where necessary in our reporting. The methodology and data used to assess financed emissions and set targets is new and evolving, and we expect industry guidance, market practice, and regulations to continue to change. We plan to refine our analysis using the data sources and methodologies available for the sectors we analyse, including, among others, the Science Based Financed emissions link the financing we provide to our customers and their activities in the real economy, helping to form part of our Scope 3 emissions, which includes emissions associated with the use of a products and services. We group of connected counterparties. For further details of our approach to assessing financed emissions and target setting, see our Net Zero Aligned Finance Approach Update at www.hsbc.com/who-we-are/esg-and-responsible-business/esg-reporting-centre. We have adopted a three-step methodology to the judgements defined by industry recommendations1 for comparability and transparency see Table 1. The rationale for our methodological choices is set out on the following pages of this document. 1 Task Force for Climate-related Financial Disclosures 2021, Measuring Portfolio Alignment Technical Report. 2 Table 1 - Methodological approach Methodological Step Key Judgement HSBC Methodological choices Step 1 Translating scenario-based carbon budgets into benchmarks 1. What type of benchmark should be built Single scenario benchmarks 2. How should benchmark scenarios be selected 1.5°C scenario that complies with criteria set out by the NZBA Sector specific granularity Update scenarios when refreshed by scenario provider 3. Should absolute emissions, production capacity, or emissions intensity units be used Absolute emissions and emissions intensity metrics for oil and gas Emissions intensity metrics for power and utilities Step 2 Assessing counterparty-level alignment 4. What scope of emissions should be included Scope 1-3 emissions for oil and gas Scope 1-2 emissions for power and utilities 5. How should emissions baselines be quantified PCAF approach and data prioritisation Transparency of data sources and calculation methodologies 6. How should forward-looking emissions be estimated Historical data, published scenarios and emissions reduction targets used in projections 7. How should alignment be measured Assessed cumulatively for oil and gas Assessed against point-in-time for power and utilities Step 3 Assessing portfolio-level alignment 8. How should alignment be expressed as a metric absolute emissions reduction by 2030 from a 2019 baseline Emissions intensity at 2030 9. How should counterparty-level emissions be aggregated Portfolio weighted-average Disclosure of proportion of portfolio covered by analysis 3 Figure 1 - Model flow 4 Step 1. Translating scenario-based carbon budgets into benchmarks What type of benchmark have we built 2 a single-scenario reference benchmark to assess our financed emissions. It provides us with industry specific emissions projections from which we construct benchmark pathways. This benchmark helps us set targets that align the provision and facilitation of finance with the goals and timelines of the Paris Agreement at a portfolio level globally. The NZE scenario 2030 in line with a 1.5°C warming outcome with no or low temperature overshoot2,3. We chose emissions as the primary marker of transition progress. Alternative, production-based benchmarks only exist for a small number of sectors, and we believe the use of emissions data permits transparent disclosures and year on year tracking, facilitating impactful client engagement. In acknowledgement of current projection modelling constraints, we plan to work with the IEA or other scenario modellers to create more granular regional pathways which capture material differences in decarbonisation that might affect our portfolio. How is our benchmark scenario selected The IEA NZE scenario that we selected builds on previous IEA scenarios which have been used extensively for target setting and portfolio alignment. Choosing this scenario allows us to make comparisons of our portfolio targets with other banks and peers who use this same scenario. The scenario meets the requirements of our NZBA commitment to align our financing with outcomes consistent with a 1.5°C temperature rise. In choosing the NZE scenario, we can model both absolute and emissions intensity activity figures see Figure 2 and Figure 3. These can be used to construct intensity pathways for most of the sectors which we are targeting, allowing us to reflect differing rates of decarbonisation. For certain sectors, further details may be necessary for which we will incorporate additional references4. Following guidance from the SBTI and NZBA, our scenario has low reliance on negative emissions technologies, has - - °C, and we believe has reasonable assumptions on carbon sequestration achieved through nature-based solutions and land use change. Key assumptions underpinning the NZE scenario are publically available5. Furthermore, we have focused on a scenario that is peer-reviewed and uses a global energy model to generate sector-by-sector projections. 2 International Energy Agency 2021, Net Zero by 2050, IEA, Paris 3 IPCC, 2018 Global Warming of 1.5°C. An IPCC Special Report on the impacts of global warming of 1.5°C above pre-industrial levels and related global greenhouse gas emission pathways, in the context of strengthening the global response to the threat of climate change, sustainable development, and efforts to eradicate poverty, In Press. 4 For example, the IEA NZE scenario does not currently provide detail on decarbonisation pathways for agriculture and aluminium 5 International Energy Agency 2021, World Energy Model, IEA, Paris 5 The IEA NZE scenario details more than 400 sectoral and technology milestones to help guide the global journey to net zero by 2050. However, we remain mindful that the NZE scenario does not yet include regional disaggregation, requiring us to make assumptions at a regional level within our portfolio. We plan to consult with external scientific and international bodies to inform these assumptions and will continue to monitor the available climate science and industry practice for portfolio alignment as it evolves. Further details on the NZE scenario are available at www.iea.org/reports/world-energy-model/net-zero-emissions-by-2050-scenario-nze. Figure 2 - IEA Net Zero Emissions by 2050 reference scenario - oil and gas sector Source International Energy Agency 2021, Net Zero by 2050, IEA, Paris Net Zero by 2050 Scenario - Data product - IEA. License Creative Commons Attribution CC BY-NC-SA 3.0 IGO Figure 3 - IEA Net Zero Emissions by 2050 reference scenario - power and utilities sector Source International Energy Agency 2021, Net Zero by 2050, IEA, Paris Net Zero by 2050 Scenario - Data product - IEA. License Creative Commons Attribution CC BY-NC-SA 3.0 IGO How do we decide if absolute emissions, production capacity, or emissions intensity units should be used Both absolute financed emissions and financed emissions intensities are employed during our analysis of the oil and gas, and power and utilities sectors. This is in line with NZBA and TCFD guidelines. Absolute financed emissions, measured in Mt CO2e6 for the oil and gas sector, are the attributed share of total GHGs emissions for a counterparty or portfolio. Physical emission intensity metrics describe the attributed quantity of 6 Mt Million tonnes, t metric ton tonne 1000kg 1000000g - 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0 20 19 20 20 20 21 20 22 20 23 20 24 20 25 20 26 20 27 20 28 20 29 20 30 20 31 20 32 20 33 20 34 20 35 20 36 20 37 20 38 20 39 20 40 20 41 20 42 20 43 20 44 20 45 20 46 20 47 20 48 20 49 20 50 M t C O2 e Oil and gas - absolute emissions IEA Net Zero Emissions by 2050 scenario -0.1 0 0.1 0.2 0.3 0.4 0.5 20 19 20 20 20 21 20 22 20 23 20 24 20 25 20 26 20 27 20 28 20 29 20 30 20 31 20 32 20 33 20 34 20 35 20 36 20 37 20 38 20 39 20 40 20 41 20 42 20 43 20 44 20 45 20 46 20 47 20 48 20 49 20 50 M t C O2 e/T W h Power - emissions intensity IEA Net Zero Emissions by 2050 scenario 6 emissions released per unit of production. The unit of production varies based on the sector and specific activity data. For oil and gas, we measure Mt CO2e/EJ. For power and utilities, we measure Mt CO2e/TWh7. Measuring absolute financed emissions in the oil and gas sector preserves a direct link to reducing GHG emissions in the real economy, and allows us to assess our alignment with the NZE scenario. However, baselining using solely absolute emissions for oil and gas as a metric may disincentivise the innovation in efficiency gains necessary for the net zero transition. Therefore, we also use emissions intensities to measure the transition of counterparties relative to the benchmark scenario and each other, irrespective of size or absolute emissions footprint. For the power and utilities sector we use an emissions intensity metric. This helps to reflect the reality that over the next decade electrification of transport, heating and other activities are central to the decarbonisation of these systems, and will drive a corresponding increase in electricity demand. Over time, as clean energy sources make up more of the energy mix of the grid around the world, global GHG emissions will decouple from electricity demand. This will require rapid scaling up of investment and financing for renewable and other low emission sources of electricity to meet increased electrification. As such, the use of an emissions intensity metric for the power and utilities sector allows us to account for the anticipated increase in demand for electricity as electrification occurs, and the need to rapidly grow the proportion of renewable energy in electricity generation. We also measure the economic emissions intensity emissions released per invested amount tCO2e/bn for on- balance sheet financed emissions. 7 TWh terawatt hour 1000000000kWh 7 Step 2. Assessing counterparty-level alignment What scope of emissions do we include In the energy sector, the value chain in scope for our analysis is shown in Figure 4. Figure 4 - Value chain in scope The GHG accounting Scopes covered are Scope 1, 2 and 3 emissions8 for the oil and gas sector, and Scope 1 and 2 emissions for the power and utilities sector. This is based on the parts of the sector that we believe are most material in terms of GHG emissions, and where engagement and climate action have the greatest potential to effect change. For the oil and gas sector, we focused on upstream e.g., exploration, extraction and drilling companies, and integrated or diversified energy companies. Midstream e.g., processing, storing and transportation of crude product and downstream e.g., refining and distribution companies are excluded from our scope. By focusing on upstream and diversified energy producers, and including Scope 3 GHG emissions we believe we are accounting for the majority of emissions across the sector9, 10, 11, 12.This includes emissions associated with the use of oil and gas products as a fuel source. We have excluded midstream and downstream companies within the oil and gas sectors in order to limit double counting within the sector level analysis and to concentrate engagement with customers whose products contribute most to GHG emissions in the global economy. For the power and utilities sector, our analysis focused on upstream e.g., power generation companies. Midstream e.g., transmission and distribution and downstream e.g., retail companies are excluded from our scope. We believe power generation is where the majority of sector emissions occur through their use of fossil fuels oil, gas and coal as a source of energy2. For power generation companies, these are Scope 1 GHG emissions. In analysing the power and utilities sector, we did not take account of upstream Scope 3 GHG emissions because we believe them to be less material. We believe upstream power producers have the most potential to reduce GHG emissions by shifting to renewables and other sources of low-emissions power generation12. 8 World Resources Institute 2015, The GHG Protocol - A Corporate Accounting and Reporting Standard, USA 9 International Energy Agency 2018, CO2 Emissions from Fuel Combustion 2018, IEA, Paris. 10 International Energy Agency 2018, World Energy Outlook 2018, IEA, Paris 11 McKinsey distribution of gaseous fuels through mains Power and utilities 351 - Electric power generation , transmission and distribution Electric power generation GHG coverage Regarding the different types of GHG measured, we include CO2 and methane CH4, measured in CO2e, for the oil and gas sectors, and CO2 only for the power and utilities sector due to data availability and emissions materiality. CO2 exists for a long time in the atmosphere and accounts for more than two-thirds of warming18. Most of the other GHGs have shorter lives and cannot be treated with a carbon budget approach in the same way. CH4 is a significant share of Scope 1 and 2 emissions in oil and gas, mainly due to gas flaring, and so it is within scope. Conversely, power and utilities sector emissions are recorded mostly as CO2, through the combustion of fossil fuels. Methane and CO2 emissions are aggregated to tonnes of CO2 equivalent CO2e using the Global Warming Potential 19. Whilst measuring methane emissions separately would be preferable, in the intermediate term we have included methane emissions with other gases, following PCAF guidance. We do not include avoided emissions in our calculations. These are emission reductions that a financed project produces versus what would have been emitted in the absence of the project the baseline emissions. We performed baselining analysis using 2019 data, having taken into consideration potential distortions caused by the Covid-19 pandemic in 2020. How is our