For multi-asset portfolios, you must disclose fossil-fuel exposure separately for each asset class. Real estate exposure goes into the real estate indicators, and investee company exposure goes into their respective indicators. For Indicator 17, the denominator should include only the value of your real estate investments, not your full portfolio.
The question relates to the separation of asset class in Annex I, Table 1, indicator 4 (Exposure to companies active in the fossil fuel sector) and 17 (Exposure to fossil fuels through real estate assets), but also applicable to other indicators. In the case of a multi-asset portfolio or product, how should the share of investments in real estate (REA) involved in fossil fuels be calculated (considering all investments or only investments in Equities/REA)?
In relation to multi-asset investments in real estate and investee companies, specifically for the respective GHG emissions of real estate and investee companies, the ESAs consider that principal adverse impacts should be disclosed by type of exposure aggregated at the entity level. In other words, if the financial market participant makes investments through a multi-asset product in real estate, the impacts of that real estate exposure should be added to the relevant indicators for real estate in the template provided in Table 1 of Annex I. Exposures to investee companies should be added in Table 1 of Annex I to the relevant indicators. The disclosure is not an aggregation of the entire adverse impact of the entity, but the aggregation of the impacts caused by exposures to different types of asset classes in the relevant indicators in Table 1 of Annex I. The ESAs are of the view that for the purpose of the calculation of indicator 17 of Table 1 of Annex I, the financial market participant should only include in the denominator all its investment in real estate assets”.
European Supervisory Authorities (ESAs)
