22 Pension Protection Fund Climate Change Report 2021/22 METRICS AND TARGETS CONTINUED Disclosure rates and data quality The reported carbon emissions This is a welcome result, giving us This again highlights the di昀케culty in by market value have increased more comprehensive data points for a assessing credit issuers accurately. considerably for our Credit portfolio greater proportion of our portfolio to We are working to identify the drivers year on year (from 49 to 60 per cent) enable us to conduct more accurate behind the increase in emissions that and for our Equities portfolio (from carbon assessments. The remainder aren’t covered, as well as the increase 75 to 81 per cent) and marginally for is modelled by our ESG data provider in the contribution to emissions from our UK Credit portfolio (from 63 to 65 where possible, or else the company estimated sources and will liaise with per cent). This means, for example, is classi昀椀ed as not covered. our managers and service providers to that 81 per cent of the carbon data for assist them in their continuous e昀昀orts our Equities is reported by companies Although the percentage of reported to engage with companies. themselves, based on market value. emissions for the Credit portfolios has gone up, so has the percentage of emissions not covered (versus a decrease for the Equities portfolio). Year-on-year comparison of carbon emissions disclosure rates (by market value) 100% 1% 2% 7% The increased reporting 18% 23% 11% 20% 19% 29% 44% on carbon emissions by 80% 81% 15% 18% companies is a welcome 75% 60% 60% 65% 63% result, giving us more 40% 49% comprehensive data points. 20% 0 2021 2020 2021 2020 2021 2020 Equities Credit UK Credit Reported Estimated Not Covered Certain information ©2022 MSCI ESG Research LLC. Reproduced by permission; no further distribution. Year-on-year comparison of contributions to total carbon emissions by source of data 100% 5% 6% 17% 25% 38% 9% 95% 91% 94% 80% 83% 75% 60% 62% 40% 20% 0 2021 2020 2021 2020 2021 2020 Equities Credit UK Credit Reported Estimated Certain information ©2022 MSCI ESG Research LLC. Reproduced by permission; no further distribution.