20 Pension Protection Fund Climate Change Report 2022/23 METRICS AND TARGETS CONTINUED Asset class coverage The diversity of asset classes that we are invested in can Next steps of companies in our new make it challenging to report our 昀椀nanced emissions for the whole of our portfolio. We continue to footprint Public We are doing our best to achieve maximum Climate Watchlist reported Equity and Corporate Credit for the third year and UK emissions coverage for the public books, and it is 84% Sovereign Debt for the second year. We have also added an explicit part of our engagement strategy for our in the 2022 CDP annual initial assessments for Emerging Market Sovereign Debt Climate Watchlist. The coverage achieved so far for the 昀椀rst time. is reasonable but of course there is still room for disclosure questionnaire Our more recently added assessments for UK Sovereign improvement. We also continue to explore ways to Debt and EM Sovereign Debt both achieve 100 per cent meaningfully cover the remaining instrument types coverage thanks to good country-level coverage by our within our Liquids portfolios. data provider, although this asset class faces a more signi昀椀cant lagged data problem. This does mean that the carbon footprints for these portfolios are another year behind that of our corporate-based portfolios. This is another reason why we have chosen not to aggregate our corporate and sovereign emissions data. Methods for covering the outstanding instrument types that we have to consider out-of-scope in public markets are still not widely available. In particular, we still cannot assess: Derivatives (e.g., CDS and futures), certain funds with no portfolio look-through, and true Cash positions. We also exclude short positions. However, we have been able to include lookthrough-based assessments for the Equity ETFs (within the Equity passive book) and Municipals (within the Credit book) this year. As mentioned previously, getting coverage of companies in the Private Markets space has long been a signi昀椀cant challenge. However, we are now starting to see some emissions data materialising through the eFront ESG Outreach project for a selection of our private markets funds. Other initiatives such as the ESG Data Convergence Initiative (EDCI) have also seen strong fund participation over the past year, and eFront fully captures the EDCI metrics to allow GPs and portfolio companies to report to both frameworks in a standardised way.