ASSESSMENT REPORT
2021 PILOTPGIM Fixed Income
Generated 2022-08-18

ABOUT THIS REPORTThe assessment report is designed to provide feedback to signatories and support ongoing learning and development. The high-levelassessment methodology can be found here and question-level assessment criteria can be found after each indicator in the Investor
Reporting Framework, here. Note that the 2021 scoring methodology has changed to reﬂect the new Reporting Framework, and isincomparable with scores from previous PRI years.
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Table of Contents
Content

Page

Summary Scorecard

4

Indicator Level Scores For Direct - Fixed income - SSA

7

Indicator Level Scores For Direct - Fixed income - Corporate

8

Indicator Level Scores For Direct - Fixed income - Securitised

9

Indicator Level Scores For Direct - Fixed income - Private debt

10

Indicator Level Scores For Investment & Stewardship Policy

113Summary Scorecard
Module Score
Module score
Star score

AUM coverage

Investment & Stewardship Policy
★★★★☆

25

50

75

100

Score

0

81

Direct - Listed equity- Active quantitative - incorporation
N/A
Direct - Listed equity- Active fundamental - incorporation
N/A
Direct - Listed equity- Investment trusts - incorporation
N/A
Direct - Listed equity - Other - incorporation
N/A

Direct - Listed equity - Passive - incorporation
N/A
Direct - Listed equity- Active quantitative - voting
N/A
Direct - Listed equity- Active fundamental - voting
N/A
Direct - Listed equity- Investment trusts - voting
N/A
Direct - Listed equity - Other - voting
N/A

Direct - Listed equity - Passive - voting
N/A

Direct - Fixed income - SSA>=10 and <=50%★★★★☆

Summary Scorecard continues on next page88

4

Summary Scorecard (continued)
Module Score
0

25

50

75

100

AUM coverage

Direct - Fixed income - Corporate
★★★★★

>50%

94

Direct - Fixed income - Securitised>=10 and <=50%
★★★★★

94

Direct - Fixed income - Private debt
★★★★★

<10%

Score

Module score
Star score

91

Direct - Private equity
N/A

Direct - Real estate
N/A

Direct - Infrastructure
N/A

Direct - Hedge funds - Multi-strategy
N/A
Direct - Hedge funds- Long/short equity - incorporation
N/A
Direct - Hedge funds - Long/short equity - voting
N/A

Direct - Hedge funds - Long/short credit
N/A
Direct - Hedge funds Distressed, special situations, and event-driven fundamental
N/A
Direct - Hedge funds - Structured credit
N/A

Summary Scorecard continues on next page5

Summary Scorecard (continued)
Module Score
0
Module score
Star score

AUM coverage

Direct - Hedge funds - Global macro
N/A

Direct - Hedge funds - Commodity trading advisor
N/A

Direct - Hedge funds - Other
N/A

Indirect - Listed equity - Passive
N/A

Indirect - Listed equity - Active
N/A

Indirect - Fixed income - Passive
N/A

Indirect - Fixed income - Active
N/A

Indirect - Private equity
N/A

Indirect - Real estate
N/A

Indirect - Infrastructure
N/A

Indirect - Hedge funds
N/A6

Indicator Level Scores For Direct - Fixed income - SSA
SectionSub-section

Topic

Indicator

Your
Score

Pre-investment
phase

Materiality analysis

AUM coverage of ESG materiality assessment process

FI 1

200/200

Pre-investment
phase

Materiality analysis

How ESG is incorporated into materiality assessment
process

FI 1.1200/200

Pre-investmentphase

ESG risk management

AUM coverage of ESG incorporation in risk management

FI 2.179/150Pre-investmentphase

ESG incorporation in asset
valuation

AUM coverage of ESG incorporation in investment research FI 3.1

200/200

Pre-investmentphase

ESG incorporation in portfolio
Portion of cases where ESG affected portfolio construction
construction

FI 5.1200/200

Pre-investmentphase

ESG incorporation inassessment of issuers

Incorporation of ESG in credit quality analysis

FI 7200/200

Pre-investmentphase

ESG performance

Incorporation of relative ESG performance in investment
analysis

FI 8

150/150

Post-investmentphase

ESG risk management

Incorporation of ESG in regular reviews

FI 12

112/150

Post-investmentphase

ESG risk management

Identiﬁcation of ESG incidents

FI 13

200/200

Post-investment
phaseTime horizonsTime frame for which ESG risks taken into account

FI 14

150/150

Post-investment
phaseLong-term ESG trend analysis Continuous monitoring of long-term ESG trends

FI 15

150/150

Communication of the side-effects of ﬁxed income screening
to clients or beneﬁciaries

FI 21

167/200

Reporting/Disclosure ESG screens
Engagement

Engaging withissuers/borrowers

Timing of ﬁxed income engagement

FI 22

200/200

Engagement

Sovereign bonds

SSA bonds: non-issuer parties engaged with

FI 23

0/150

7

Indicator Level Scores For Direct - Fixed income - Corporate
SectionSub-section

Topic

Indicator

Your
Score

Pre-investment
phase

Materiality analysis

AUM coverage of ESG materiality assessment process

FI 1

200/200

Pre-investment
phase

Materiality analysis

How ESG is incorporated into materiality assessment
process

FI 1.1200/200

Pre-investmentphase

ESG risk management

AUM coverage of ESG incorporation in risk management

FI 2.179/150Pre-investmentphase

ESG incorporation in asset
valuation

AUM coverage of ESG incorporation in investment research FI 3.1

200/200

Pre-investmentphase

ESG incorporation in portfolio
Portion of cases where ESG affected portfolio construction
construction

FI 5.1200/200

Pre-investmentphase

ESG incorporation inassessment of issuers

Incorporation of ESG in credit quality analysis

FI 7200/200

Pre-investmentphase

ESG performance

Incorporation of relative ESG performance in investment
analysis

FI 8

150/150Pre-investmentphase

ESG risk management

Corporate bonds: coverage of framework for ESG risks atcountry and sector level

FI 9.1150/150

Post-investmentphase

ESG risk management

Incorporation of ESG in regular reviews

FI 12

112/150

Post-investmentphase

ESG risk management

Identiﬁcation of ESG incidents

FI 13

200/200

Post-investment
phaseTime horizonsTime frame for which ESG risks taken into account

FI 14

150/150

Post-investment
phaseLong-term ESG trend analysis Continuous monitoring of long-term ESG trends

FI 15

150/150

Communication of the side-effects of ﬁxed income screening
to clients or beneﬁciaries

FI 21

0/200

Timing of ﬁxed income engagement

FI 22

200/200

Reporting/Disclosure ESG screens
Engagement

Engaging withissuers/borrowers

8Indicator Level Scores For Direct - Fixed income - Securitised
SectionSub-section

Topic

Indicator

Your
Score

Pre-investment
phase

Materiality analysis

AUM coverage of ESG materiality assessment process

FI 1

200/200

Pre-investment
phase

Materiality analysis

How ESG is incorporated into materiality assessment
process

FI 1.1200/200

Pre-investmentphase

ESG risk management

AUM coverage of ESG incorporation in risk management

FI 2.179/150Pre-investmentphase

ESG incorporation in asset
valuation

AUM coverage of ESG incorporation in investment research FI 3.1

200/200

Pre-investmentphase

ESG incorporation in portfolio
Portion of cases where ESG affected portfolio construction
construction

FI 5.1200/200

Pre-investmentphase

ESG incorporation inassessment of issuers

Incorporation of ESG in credit quality analysis

FI 7200/200

Pre-investmentphase

ESG performance

Incorporation of relative ESG performance in investment
analysis

FI 8

150/150Pre-investment
phase

Securitised products

Securitised debt: parties to which ESG analysis is applied

FI 11

200/200

Post-investmentphase

ESG risk management

Incorporation of ESG in regular reviews

FI 12

112/150

Post-investmentphase

ESG risk management

Identiﬁcation of ESG incidents

FI 13

200/200

Post-investment
phaseTime horizonsTime frame for which ESG risks taken into account

FI 14

150/150

Post-investment
phaseLong-term ESG trend analysis Continuous monitoring of long-term ESG trends

FI 15

150/150

Communication of the side-effects of ﬁxed income screening
to clients or beneﬁciaries

FI 21

167/200

Timing of ﬁxed income engagement

FI 22

200/200

Reporting/Disclosure ESG screens
Engagement

Engaging withissuers/borrowers

9

Indicator Level Scores For Direct - Fixed income - Private debt
SectionSub-section

Topic

Indicator

Your
Score

Pre-investment
phase

Materiality analysis

AUM coverage of ESG materiality assessment process

FI 1

200/200

Pre-investment
phase

Materiality analysis

How ESG is incorporated into materiality assessment
process

FI 1.1200/200

Pre-investmentphase

ESG risk management

AUM coverage of ESG incorporation in risk
management

FI 2.179/150Pre-investmentphase

ESG incorporation in asset valuation

AUM coverage of ESG incorporation in investment
research

FI 3.1200/200

Pre-investmentphase

ESG incorporation in portfolio
construction

Portion of cases where ESG affected portfolio
construction

FI 5.1200/200

Pre-investmentphase

ESG incorporation in assessment ofissuers

Incorporation of ESG in credit quality analysis

FI 7200/200

Pre-investment
phase

Private debt

Private debt: coverage of ESG incorporate in investment
FI 10.1
selection

120/200

Post-investmentphase

ESG risk management

Incorporation of ESG in regular reviews

FI 12

112/150

Post-investmentphase

ESG risk management

Identiﬁcation of ESG incidents

FI 13

200/200

Post-investment
phaseLong-term ESG trend analysis

Continuous monitoring of long-term ESG trends

FI 15

150/150

Engagement

Engaging with issuers/borrowers

Timing of ﬁxed income engagement

FI 22

200/200

10

Indicator Level Scores For Investment & Stewardship Policy
Topic

Indicator

Your
Score

Responsible investment policy & Responsible investment
governancepolicySignatories responsible investment policy

ISP 1

200/200

Responsible investment policy & Responsible investment
governancepolicySignatories with elements of responsible investment
policyISP 1.1

200/200

Responsible investment policy & Responsible investment
governancepolicySignatories with public responsible policy elements

ISP 2

200/200

Responsible investment policy & Responsible investment
governancepolicyCoverage of responsible policy elements

ISP 3

200/200

Responsible investment policy & Responsible investment
governancepolicyContents of exclusion policy

ISP 4

100/100

Responsible investment policy & Responsible investment
governancepolicyCoverage of asset speciﬁc guidelines on ESG
incorporation

ISP 5

150/150

Responsible investment policy &Governancegovernance

Roles with formal oversight and accountability for
responsible investment

ISP 6

150/150

Responsible investment policy &Governancegovernance

Roles with implementation responsibilities forresponsible investment

ISP 7

100/100

Responsible investment policy &People and capabilities
governanceStaff ob jectives for responsible investment practices

ISP 8

150/150

Responsible investment policy &People and capabilities
governance

Bonuses for responsible investment practices

ISP 8.2

100/100

Responsible investment policy &People and capabilities
governanceFrequency at which staff training for responsible
investment is reassessed

ISP 9

100/100

Stewardship

Stewardship policy

Coverage of stewardship policy

ISP 11200/200

Stewardship

Stewardship policy

Elements of stewardship policy

ISP 12

120/150

Stewardship

Stewardship policy
implementation

Primary mechanism of stewardship policy

ISP 13150/150

Stewardship

Stewardship ob jectives

Primary ob jective of stewardship policy

ISP 1550/200

Stewardship

Stewardship prioritisation Criteria for prioritising engagement targets

ISP 16100/100

Stewardship

Escalation strategies

Escalation strategies not used in stewardship

ISP 20150/150

Stewardship

Engaging policymakers

Signatories who engage with public policy makers

ISP 23200/200

Stewardship

Engaging policymakers

Methods used to engage with public policy makers

ISP 23.1 200/200

SectionScorecard continues on next pageSub-section

11

Indicator Level Scores For Investment & Stewardship Policy (continued)
Your
Score

SectionSub-section

Topic

Indicator

Stewardship

Engaging
policymakers

Signatories with governance processes to ensure alignment ofpolitical activity with stance on responsible investment

ISP 23.2 200/200

Stewardship

Engaging
policymakers –Policies

Signatories with policies to ensure alignment of political activity
ISP 24
with stance on responsible investment

Stewardship

Engaging
policymakers –Policies

Public disclosure of political inﬂuence policies

ISP 24.1 0/150

Stewardship

Engaging
policymakers –Transparency

Disclosure of political inﬂuence activities

ISP 2564/200

Climate change

Public support

Signatories publicly supporting the Paris Agreement

ISP 26

0/150

Climate change

Public support

Signatories publicly supporting the TCFD

ISP 27150/150

Climate change

Governance

Board oversight for climate-related risks and opportunities[TCFD Governance A]

ISP 28200/200

Climate change

GovernanceManagement responsibility for climate-related risks andopportunities [TCFD Governance B]

ISP 2950/200

Climate change

StrategyTime horizon for climate risks and opportunities [TCFD
Strategy A]

ISP 30.1 200/200

Climate change

Strategy

Climate risks and opportunities identiﬁed beyond investment
horizon [TCFD Strategy A]

ISP 31200/200

Climate change

Strategy: Scenario
analysisUse of climate scenario analysis

ISP 33

128/200

Sustainability outcomesSet policies onsustainability
outcomes

Location of policy on sustainability outcomes

ISP 40200/200

Sustainability outcomesSet policies onsustainability
outcomes

Frameworks referred to in sustainability outcomes policies andprocesses

ISP 41200/200

Sustainability outcomes

Identify sustainability Tools and frameworks used to identify and map activities onto
outcomessustainability outcomes

ISP 44200/200

Sustainability outcomes

Identify sustainability Levels at which sustainability outcomes are identiﬁed andoutcomes
mappedISP 44.1 150/150

Sustainability outcomes

Identify sustainability
Processes for identifying most salient sustainability outcomesoutcomes

ISP 45200/200

Transparency &Conﬁdence-Building
Measures

Information disclosed
Information shared regarding ESG products– ESG assets

ISP 46150/150

Transparency &Conﬁdence-Building
Measures

Client reporting –ESG assets

ISP 48112/150

ISP 49150/150

Transparency &Conﬁdence-Building

Scorecard continues on next page

Information included in regular client reporting for ESG
products

Information disclosed
Information shared
All assets

0/200

12

Indicator Level Scores For Investment & Stewardship Policy (continued)
SectionSub-section

Topic

Indicator

Your
Score

Transparency & Conﬁdence-Building
Client reporting – All assets
Measures

ESG information included in regular client
ISP 50reporting

50/200Transparency & Conﬁdence-Building Frequency of client reporting –MeasuresAll assets

Frequency of client reporting of ESG
information

ISP 51

25/100Transparency & Conﬁdence-Building
Conﬁdence-building measures
MeasuresConﬁdence building measures

ISP 52

128/200

Transparency & Conﬁdence-Building
Conﬁdence-building measures
MeasuresInternal review: coverage

ISP 58100/100

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