Attestor Limited
TCFD Disclosure

Introduction

We are pleased to present the second annual Climate Report of Attestor Limited (the “Firm”), consistent with the  Recommendations of the Task Force on Climate-related Financial Disclosures (“TCFD”) and with the climate disclosure  requirements of the UK Financial Conduct Authority (“FCA”) Rules. 

This report sets out the TCFD-aligned entity-level disclosures of the Firm (the “Report”), in relation to climate-related matters,  for the reporting period 1 January 2024 to 31 December 2024 (the “Reporting Period”). The calculation date for the quantitative  data provided in Part 4 of this Report is 31 December 2024. The Firm confirms that it has used the most up-to-date information  available, when preparing this Report. 

This Report relates to the relevant assets that the Firm manages. The Firm is incorporated in the United Kingdom and is  authorised and regulated by the FCA as an investment management firm. It provides investment management services to a range  of alternative funds (collectively referred to as the “Funds”) as alternative investment fund manager (“AIFM”) and also has  Collective Portfolio Management Investment (“CPMI”) permissions.  

The Firm has prepared this Report by applying the TCFD Recommendations and Recommended Disclosures to its current  management activities in respect of the Funds. This Report does not apply the TCFD Recommendations and Recommended  Disclosures to the Firm as a commercial enterprise. 

This Report is the Firm’s second TCFD Report, and has been prepared on a best-efforts basis. However, climate reporting in the  alternative asset management industry is still in its infancy, and there are significant data challenges and methodological  challenges associated with climate reporting. We have included TCFD-aligned disclosures where it is fair, clear and not  misleading for us to do so. We have also explained limitations on our ability to disclose, and the steps being taken to address  those limitations. 

Compliance Statement 

The disclosures in this Report comply with the climate-related disclosure requirements in Chapter 2 of the FCA’s ESG Sourcebook.

Signed by: 

Name: Friedrich Andreae 

Director 

Date: 28 / 02 / 2025
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Part 1 

Governance 

This Part of the Report discloses the Firm’s governance around climate-related risks and opportunities. 

(a) The Board’s oversight of climate-related risks and opportunities 

The Firm is a private limited company, which is managed day-to-day by a Board of Directors, comprised of the Chief Executive  Officer (“CEO”) and Executive Directors (the “Directors”).  

The Directors are ultimately responsible for governance and oversight of the activities of the Firm, including its investment management activities. The Board does not have any direct, express responsibility for climate-related matters under the Firm’s  constitutional documents (but such responsibility implicitly forms part of the Directors’ and the Board’s overall governance  responsibilities for the firm as a whole).

There are no relevant sub-committees of the Board of Directors in respect of climate-related matters.

The Directors will discuss climate-related risks and opportunities on an ad-hoc basis, if and when a material climate risk or climate  investment opportunity is brought to their attention by the Firm’s investment professionals. However, there is not a formal  process for the Directors to be specifically informed about, or to discuss, or to monitor or oversee, climate-related matters.

(b) Management’s role in assessing and managing climate-related risks and opportunities 

The Firm has not specifically assigned climate-related responsibilities to any management-level positions or committees in the  Firm’s governance structure. There is not a formal process for the Firm’s Directors to be specifically informed about, or to discuss,  or to monitor or oversee, climate-related matters.
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Part 2 

Strategy 

This Part of the Report discloses the actual and potential impacts of climate-related risks and opportunities on the Firm’s  businesses, strategy, and financial planning in respect of the Funds where such information is material.

(a) Climate-related risks and opportunities of the Firm’s investment strategies 

In respect of the Reporting Period for this Report, the Firm had not expressly identified (in the Funds’ offering documents) any  specific material climate-related risks or opportunities for the Funds.  

Consequently, the Firm does not disclose in this section of the Report any specific climate-related risks or opportunities which  are relevant to the Funds’ investment strategies. Similarly, the Firm does not disclose here any time horizons for the  manifestation of specific climate risks or opportunities, nor the potential financial impact of specific climate-risks or opportunities  on the Funds.  

The Firm acknowledges that it is possible (on a forward looking basis) that material climate-related risks or opportunities for the  Funds could potentially arise. These may include transition risks (i.e., risks associated with the transition to a low-carbon  economy) and physical risks (i.e., risks related to the physical impacts of climate change). The Firm’s process to determine which  risks and opportunities could have a material financial impact on the Funds is part of the general investment process and portfolio  monitoring process for the Firm. Under this process, the Firm’s investment professionals are responsible for monitoring material  risks and opportunities, and raising these as necessary with the Firm’s Directors.

(b) Impact of climate-related risks and opportunities on the Firm’s investment strategies 

This sub-section of the Report sets out a summary of the impact of climate-related risks and opportunities on the Firm’s  investment strategies in respect of the Funds.

(i) Climate risks: 

Climate risks are implicitly (but not expressly) factored into the Firm’s investment management processes for the Funds through  the integration of climate risks into the general investment risk management process (financial materiality).  

As noted above, for the Reporting Period, the Firm did not identify any material climate risks (including risks relating to the  transition to a lower carbon economy) in the offering documentation for the Funds. This is because the Firm considered that  climate risks in general are unlikely to have a material negative impact on the value of investments held by the Funds.  

However, the Firm operates a risk management process which is designed to identify all material risks, which may from time-to time potentially include a newly identified, material climate risk. We now summarise the Firm’s general approach to integration  of climate risks from a financial materiality perspective, if a climate risk were in the future to be newly identified as material to  a particular investment or the Funds as a whole.

Time period: 

The time period used for risk management (including any relevant climate risk) is measured by reference to the life-span of the  relevant Fund and/or the intended holding period for a given investment. For an open-ended or indefinite investment product  or mandate, risk management is an ongoing process, which is reviewed periodically.

Prioritisation: 

The Firm does not generally prioritise the management of any particular sub-category of risk (including climate risk) over another;  instead, if any climate risk is identified as potentially causing a material risk of harm to the value of a Fund’s investments, this  will be managed in the same way under the Firm’s investment risk management framework as any other material risk.

Impact of climate risks on financial performance and financial position: 

Climate risks could – if the relevant risk occurs - cause an actual or potential material negative impact on the value of an  investment. This could in turn cause a negative impact on the value or returns of a Fund.

Assessment of climate risks is complex and requires subjective judgements, which may be based on data, which is difficult to  obtain and incomplete, estimated, out of date or otherwise materially inaccurate. Even when identified, there can be no  guarantee that the Firm will correctly assess the impact of climate risks on the Funds’ investments.  

To the extent that a climate risk occurs, or occurs in a manner that is not anticipated by the Firm, there may be a sudden, material  negative impact on the value of an investment held within a Fund. Such negative impact may result in an entire loss of value of  the relevant investment(s), may have an equivalent negative impact on the value or returns of a Fund and may expose the Funds  to further liabilities.  

Please refer to sub-section 3(b) of this Report below, for further details on our general risk management processes.

‍(ii) Managing funds with climate strategies 

The Firm does not manage any Funds which have an investment strategy which expressly refers to climate opportunities as a  part of the investment mandate for that Fund (“Climate Strategies”).

The Firm may from time-to-time invest in an investment opportunity which is connected to climate-related matters, but that  would be incidental to the separate economic rationale for the investment, rather than the purpose of the investment.

(iii) Transition plans 

The Firm is incorporated in the UK and operates in the UK. The Firm notes that the UK Government committed in June 2019 to  a 100% reduction of greenhouse gas emissions by 2050 compared with 1990 levels. This is referred to as the ‘net zero target’.¹  

The Firm has not integrated an express commitment to the net zero target in its management of any Funds. This is because the Funds’ investment strategies are not expressly focused on climate transition or the reduction of greenhouse gas emissions.

(c) Resilience of the Firm’s strategy, taking into consideration different climate-related scenarios, including a 2°C or lower scenario 

Scenario analysis is a process for identifying and assessing the potential implications of a range of plausible future states under  conditions of uncertainty. In the case of climate change, for example, scenarios allow an organization to explore and develop an  understanding of how various combinations of climate-related risks, both transition and physical risks, may affect its businesses,  strategies, and financial performance over time.

The Firm does not currently use climate scenario analysis as a part of its investment process or risk management process. This is  because the Firm does not consider that its Funds are so exposed to climate risk as to merit regular scenario analysis.

The Firm keeps this decision under periodic review. If, in the future, the Firm starts to use scenario analysis for climate-related  risks, then this will be reflected in future TCFD reports.
 

Part 3 

Risk Management 

This Part of the Report discloses how the Firm identifies, assesses, and manages climate-related risks. 

(a) The Firm’s processes for identifying and assessing climate-related risks 

The Firm has implemented processes to identify and assess investment risks generally, but our risk management processes do  not specifically address climate risks as a separate category of risk.

Identification of investment risks 

Although the Firm does not have a dedicated process specifically to identify climate-related risks, the Firm’s risk management  process is designed to identify all material risks. This may include material climate risks, if applicable.

The Firm’s process to identify investment risks is driven by the Firm’s investment professionals. In respect of proposed new  investments, the Firm’s investment professionals will identify all material risks for consideration by the Firm’s Directors and once  an investment is made, be responsible for identifying any new or emerging risks which may arise, as part of in-year business risk  assessments.  

The Firm’s resources and tools for identification of investment risks includes its own internal analysis and assessment, publicly  available data, and subscription services. These resources and tools are not specifically focused on climate or sustainability  issues, but may in their ordinary use identify climate risks.  

The Firm does not generally consider (but may do so on a case-by-case basis) existing and emerging regulatory requirements  related to climate change (e.g., limits on emissions) applicable to the investments held in the Funds as a source of investment  risk.  

The Firm does not specifically engage with investee companies in respect of disclosure by those companies of data relating to  sustainability risks or climate risks (but may do so on a case-by-case basis). 

Assessment of investment risks 

The Firm’s process to assess investment risks is through holistic discussions involving the investment professionals and Directors considering all material risks in-the-round, from a financial materiality perspective.  

The Firm does not use any formal risk scoring or risk rating to assess the significance of risks (whether absolute or relative),  including in relation to any potential climate risks.

(b) The Firm’s processes for managing climate-related risks 

This sub-section of the Report summarises the Firm’s processes for managing investment risks. These processes are not  specifically targeted at climate risk, but instead form part of the general investment process.  

While the Firm’s investment professionals are provided with information on investment risks, and are encouraged to take all  material investment risks into account when making an investment decision, investment risk (including climate risk) would not  by itself prevent the Firm from making any investment. Instead, investment risk forms part of the overall investment  management decision process, and is one of many factors which may, depending on the specific investment opportunity, be  relevant to a determination of whether or not to invest.  

The Firm does not apply any absolute risk limits or risk appetite thresholds which relate exclusively to a specific category of risk  (including climate risk).

(c) How processes for identifying, assessing, and managing climate-related risks are integrated into the Firm’s overall risk management 

This sub-section of the Report summarises how the Firm’s processes for identifying, assessing and managing climate-related risks  (as summarised in sub-sections 3(a) and 3(b) of this Report, above) are integrated into the Firm’s overall risk management  processes.

As a FCA-regulated AIFM, the Firm is subject to the FCA Rules in respect of investment risk management processes. Consistent  with these requirements, the Firm has:

• Established and implemented risk management policies and procedures. These identify the risks which relate to the Firm’s  activities, processes and systems, and the level of risk tolerated by the Firm;
• Adopted arrangements, processes and mechanisms to manage the risks to which the Firm is exposed, in light of that risk  tolerance;
• Implemented monitoring processes, in respect of risk exposure and risk tolerance; and
• Established a permanent Risk Management function, which is responsible for the implementation of the policies and  procedures noted above, and for reporting to senior management on risk matters.

As noted in sub-sections 3(a) and 3(b) above, the Firm does not maintain separate processes which relate specifically to climate  risk. As such, the general investment risk processes summarised above therefore already implicitly integrate consideration of  climate risks, alongside any other material category of general investment risk.

Part 4 

Metrics and Targets 

This Part of the Report discloses the metrics and targets used to assess and manage relevant climate-related risks and  opportunities where such information is material. 

(a) Metrics used by the Firm to assess climate-related risks and opportunities in line with its strategy and risk management process 

The Firm does not specifically track any metrics to assess climate-related risks or opportunities in its investment management  and risk management processes.  

The Firm does not incorporate climate metrics into the Firm’s remuneration policies for its personnel. The Firm does not make use of internal carbon pricing.  

The Firm is not systematically measuring the extent to which Funds are aligned with a “well below 2 degrees” scenario.

(b) Scope 1, Scope 2, and, if appropriate, Scope 3 greenhouse gas (GHG) emissions, and the related risks Holdings as at 31 December 2023 

In this sub-section of the Report, we disclose certain climate-related data.  

This data is provided on an aggregated basis, across all of the Funds managed by the Firm. The data points below relate to the  emissions of the investments held by the Funds (and not, for the avoidance of doubt, to the Firm itself). 

Historical Data  

This Report is the Firm’s second TCFD Report. Historical trends will be reported in future reports once there is sufficient historical data available.

Financed GHG Emissions  

These refer to the total amount of GHG emissions financed by the Funds’, expressed in tCO2e (metric tonnes of CO2 equivalent).  This is an ownership-based metric, and is calculated based on the share of all financing, using Entrerprise Value Including Cash  (EVIC).

Scope 1 emissions are direct emissions and occur from sources that are directly owned or controlled by a company, for example,  emissions from combustion in owned or controlled boilers, furnaces, vehicles, etc.; emissions from chemical production in owned  or controlled process equipment.

Scope 2 emissions are from the generation of purchased electricity consumed by a company. Purchased electricity is defined as  electricity that is purchased or otherwise brought into the organizational boundary of the company. Scope 2 emissions physically  occur at the facility where electricity is generated. The Firm calculates this in accordance with the GHG Protocol methodology

Scope 3 emissions are all other indirect emissions. Scope 3 emissions are a consequence of the activities of a company, but occur  from sources not owned or controlled by the company. Some examples of scope 3 activities are extraction and production of  purchased materials; transportation of purchased fuels; and use of sold products and services.

Weighted Average Carbon Intensity (WACI) 

WACI measures the Fund’s exposure to carbon-intensive companies, expressed in tons CO2e / $M revenue. The coverage refers  to the percentage of the Funds’ value for which the metric is calculated. The formula can be expressed as:

‍Risks Relating To Emissions 

Emissions are a prime driver of rising global temperatures and, as such, are a key focal point of policy, regulatory, market, and  technology responses to limit climate change. As a result, organizations with significant emissions are likely to be impacted more  significantly by transition risk than other organizations. In addition, current or future constraints on emissions, either directly by  emission restrictions or indirectly through carbon budgets, may impact organizations financially.

(c) Targets used by the Firm to manage climate-related risks and opportunities and performance against targets 

A climate-related target is a commitment which may be imposed by an investment manager on a managed portfolio, relating to  particular climate metrics, in order to manage risks and opportunities. In the UK, there is not a regulatory requirement for investment firms to impose climate-related targets.  

The Firm has not integrated any express climate-related targets in its management of any Funds. This is because the Funds’  investment strategies are not expressly focused on climate strategies.
 

Important Information 

MSCI Disclaimer 

For the purposes of producing the Firm’s TCFD report, the Firm has used MSCI as the source of all climate data for our Funds. Certain information contained herein (the “Information”) is sourced from/copyright of MSCI Inc., MSCI ESG Research LLC, or their  affiliates (“MSCI”), or information providers (together the “MSCI Parties”) and may have been used to calculate scores, signals,  or other indicators. The Information is for internal use only and may not be reproduced or disseminated in whole or part without  prior written permission. The Information may not be used for, nor does it constitute, an offer to buy or sell, or a promotion or  recommendation of, any security, financial instrument or product, trading strategy, or index, nor should it be taken as an  indication or guarantee of any future performance. Some funds may be based on or linked to MSCI indexes, and MSCI may be  compensated based on the fund’s assets under management or other measures. MSCI has established an information barrier  between index research and certain Information. None of the Information in and of itself can be used to determine which securities  to buy or sell or when to buy or sell them. The Information is provided “as is” and the user assumes the entire risk of any use it  may make or permit to be made of the Information. No MSCI Party warrants or guarantees the originality, accuracy and/or  completeness of the Information and each expressly disclaims all express or implied warranties. No MSCI Party shall have any  liability for any errors or omissions in connection with any Information herein, or any liability for any direct, indirect, special,  punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.  

Attestor Disclaimer  

This Report – and the statements, data, metrics and other information contained in this Report – are valid only in respect of the  Reporting Period and as at its date of preparation. The Firm will not update this Report (although the Firm will produce a report  in respect of future reporting periods, as required by the FCA Rules).

Any assumptions, analysis and metrics used in this report have been derived using a blend of economic theory, historical analysis,  data and opinions provided by external data providers. They inevitably contain an element of subjective judgement.  

Any opinions or return forecasts on asset classes contained in this Report are not intended to imply, nor should they be interpreted  as conveying, any form of guarantee or assurance regarding the future performance of the asset classes in question. No economic  model can be expected to capture perfectly future uncertainty, particularly the risk of extreme climate events.

This Report is not intended by the Firm to be construed as the provision of investment, legal, accounting, tax or other professional  advice or recommendations of any kind, or to form the basis of any decision to do or to refrain from doing anything. As such, this  Report should not be relied upon for investment decisions, or other financial decisions, and no such decisions should be taken on  the basis of its contents without seeking specific advice. Furthermore, this Report in no way constitutes an invitation to subscribe  to any fund mentioned in this document. Any reference to underlying assets within a portfolio is only for illustrative  purposes. Opinions expressed in this Report may be changed without notice at any time.

This Report may not be reproduced or distributed, whether in whole or in part, without the Firm’s prior written permission, except  as may be required by law. In the absence of its express written agreement to the contrary, and to the maximum extent permitted  by law, the Firm accepts no responsibility and will not be liable for any consequences howsoever arising from any third party's  use of or reliance on this Report or any of its contents. 

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• ‍¹ Further information on the UK government’s net zero commitment is available here: 
  https://assets.publishing.service.gov.uk/media/6569cb331104cf000dfa7352/net-zero-government-emissions-roadmap.pdf