19 Pension Protection Fund Climate Change Report 2022/23 Metrics and targets The increased reporting For another year, we can report advancement Year-on-year comparison of carbon emissions disclosure rates (by market value) on carbon emissions by in the breadth of climate-related disclosure 100% 1% 1% 2% 4% 昀椀xed income issuers is a 24% 18% 23% 27% 11% 7% 10% 20% 19% across asset classes, including new metrics 29% 44% 19% welcome result, giving us 80% 81% 15% 18% more comprehensive to report on our portfolio’s alignment with 75% 75% 72% 60% 69% 65% 63% data points. Paris Agreement temperature targets. 60% 40% 49% Corporates’ disclosure rates and 20% data quality 0 Good quality disclosure ensures that Additionally, a few of the new Equity 2022 2021 2020 2022 2021 2020 2022 2021 2020 our analysis of climate-related risks positions added to the portfolio Equities Credit UK Credit is as valuable and decision-useful during the year have a ‘lower’ quality Reported Estimated Not Covered as possible. We measure whether of emissions reporting than the carbon emissions are reported by positions being sold. Certain information ©2023 MSCI ESG Research LLC. Reproduced by permission; no further distribution. portfolio companies themselves, or if they need to be estimated by our More positively, less than 1 per cent of Year-on-year comparison of contributions to total carbon emissions by source of data ESG data provider, or are classi昀椀ed as our Equity holdings by market value not covered at all. We also look at the have no coverage at all – an all-time low. 100% 5% split between reported and estimated 17% 17% 25% 25% 38% 9% 8% 95% 6% The reported carbon emissions by 91% 92% 94% carbon emissions data but on a market value for global Credit and 80% 83% 83% weighted by emissions basis (rather UK Credit continue to show year- 75% 75% than just weighted by market value). on-year improvements, hitting 69 60% per cent and 72 per cent respectively. 62% This year’s assessment of reported emissions for our Equity holdings For the Credit book, this is due to 40% fell by around 5 per cent back to higher-quality emissions reporting for 2020 levels. This is primarily because existing positions, and new positions 20% of companies that had not reported in the portfolios having better quality their most recent emissions or disclosure than sold positions. provided insu昀케ciently complete 0 emissions data, so our external We are pleased to see a year-on-year 2022 2021 2020 2022 2021 2020 2022 2021 2020 provider had to apply estimates. halving in the percentage of UK Credit Equities Credit UK Credit assets by market value that are not Reported Estimated However, the overall percentage covered, from 20 per cent to 10 per of reported data based on the cent, helped by our data provider Certain information ©2023 MSCI ESG Research LLC. Reproduced by permission; no further distribution. contribution from carbon emissions increasing its coverage of 昀椀xed income Some 昀椀gures may add up to more than 100% due to rounding. has remained stable since last year, issuers. However, we can also see a fall with 83 per cent of the companies in the percentage of reported data for most responsible for the portfolio’s UK Credit based on the contribution footprint providing disclosure. from carbon emissions, which is something we will be monitoring.