Question ID: 2729
Regulation Reference: (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision
Topic: Reporting Templates
Article: N/A
Template: S.06.04
Status: Final
Date of submission: 04 Jul 2023
Question
Given your answer in question ID 2553 that the KPI on transition risk for investments includes assets within funds, we understand that we need to do a look through for these holdings. But what do we do in cases where this is not possible? As an example, we have some investments in private equity funds which we aren´t able to do a look through on. However, today we make an estimate for these holdings transition risk in other reporting. The question therefore becomes whether we should strictly follow the instructions for the KPI on transition risk or use our own estimate for the holdings where we cannot do a proper look through with the aim of reaching a more truthful KPI than if we only let the funds NACE codes be used.
EIOPA answer
EIOPA confirms that undertakings can use their own methodology to compute the KPI on transition risk. As already answered in Q&A 2553 collective investment undertakings are to be considered in the denominator of the KPI (total amount of investments, based on S.02.01). For the identification of investments exposed to transition risk (numerator of the KPI), when investments are made in collective investment undertakings, undertakings are recommended to look through, e.g. based on the reporting in S.06.03. For this, undertakings are allowed to make their own estimates.
This is irrespective of the separate reporting by undertakings on their investments according to the 4-digit NACE codes.