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Title page 1

Contents 5

Foreword 4

Abbreviations and acronyms 7

Executive summary 8

1. Report objective and analytical approach 10

1.1. Report objective 11

1.2. Analytical method 12

1.2.1. Prudential risk-based assessment 12

1.2.2. What does meeting net-zero commitments entail? 13

References 13

2. Disclosure frameworks relevant for prudential risk assessment 15

2.1. Chapter objective 16

2.2. EU climate and sustainability regulatory framework 16

2.2.1. Corporate Sustainability Reporting Directive (CSRD) 17

2.2.2. Sustainable Finance Disclosure Regulation (SFDR) 17

2.2.3. IORP II Directive 18

2.2.4. EU Taxonomy for Sustainable Activities 19

2.3. Supervisory requirements for climate-related risks 19

2.3.1. EBA Pillar 3 climate risk disclosure requirements 19

2.3.2. EBA ESG supervisory reporting requirements 20

2.3.3. EBA Guidelines on the management of Environmental, Social and Governance (ESG) risks 20

2.3.4. ECB Guide on climate-related and environmental risks 20

2.3.5. EIOPA's climate-related expectations for European insurers 21

2.3.6. Climate-related risk integration under Solvency II and Own risk and solvency assessment (ORSA) 22

2.3.7. DNB Guide to managing climate and nature-related risks 22

2.4. Voluntary frameworks for climate-related risks 22

2.4.1. The IFRS Sustainability Disclosure Standards and the Task Force on Climate-related Financial Disclosures (TCFD) 23

2.4.2. Partnership for Carbon Accounting Financials (PCAF) 23

2.4.3. Science-based net-zero pathways and alignment frameworks 24

2.5. Fragmented disclosure metrics undermine uniform climate reporting 25

References 26

Notes 27

3. Monitoring progress towards net-zero commitments in practice 28

3.1. Chapter objective 29

3.2. Overview of disclosed climate risk-related information 29

3.2.1. How widespread are emission reduction targets in the financial sector? 29

3.2.2. Assurance of emissions reporting 30

3.2.3. Overview of climate-related information by Dutch financial institutions 31

3.3. Banks 32

3.3.1. Data overview 32

3.3.2. Bank loans 33

3.3.3. Other assets 36

3.4. Pension funds 37

3.4.1. Data overview 37

3.4.2. Emissions-related information 37

3.4.3. Sector exposures and portfolio composition 38

3.4.4. Governance, risk management and engagement 39

3.4.5. Data quality and scope 39

3.5. Insurers 39

3.5.1. Data overview 39

3.5.2. Emissions-related information 40

3.5.3. Sector exposures and portfolio composition 40

3.5.4. Governance, risk management and engagement 40

3.5.5. Data quality and scope 40

3.6. What metrics and information are best suited for net-zero alignment? 40

3.6.1. Publicly disclosed metrics and information related to net-zero commitments 40

3.6.2. Absolute financed emissions 41

3.6.3. WACI 41

3.6.4. Physical emissions-intensity metrics 42

3.6.5. Taxonomy alignment metrics 42

3.6.6. Conclusion: Sector-level physical emissions-intensity metrics provide the clearest basis for assessing net-zero alignment 43

References 43

Notes 44

4. Supervisory challenges 46

4.1. Chapter objective 47

4.2. Assessing prudential risks based on publicly disclosed information 47

4.2.1. Risk categories and publicly available information 47

4.2.2. Credit, market and liquidity risk 48

4.2.3. Legal and reputational risk 49

4.2.4. Other operational risk 49

4.3. Comparability and data quality challenges 50

4.3.1. Diverging benchmark pathways 50

4.3.2. Diverging data across financial sectors 50

4.3.3. Diverging data between institutions in the same financial sector 51

4.3.4. Limited data quality and availability 52

4.4. The role of internal data in addressing comparability and data quality challenges 54

4.4.1. Internal data 54

4.4.2. Remaining comparability and data challenges 55

4.5. Considerations for supervisors and policymakers 56

4.5.1. Considerations for supervisors 56

4.5.2. Considerations for policymakers 58

References 59

5. Framework for risk-assessment of net-zero commitments in the financial sector 61

5.1. Chapter objective and structure 62

5.1.1. Chapter objective 62

5.1.2. Framework structure 62

5.2. Quantitative risk assessment of legal and reputational risks of net-zero commitments and climate-related prudential risks 64

5.2.1. General propositions 64

5.2.2. Assessing sector exposure alignment with net-zero commitments 64

5.2.3. Indicators relevant for the risk assessment 67

5.2.4. Practical guidance 68

5.3. Qualitative risk assessment of legal and reputational risks of net-zero commitments and climate-related prudential risks 69

5.3.1. General propositions 69

5.3.2. Questionnaire for assessing governance, risk-management and engagement practices 70

Annex A. International comparison of high-level emissions-related information 72

Annex B. Details on disclosure frameworks and reporting of financial institutions in practice 74

References 82

Tables 6

Table 2.1. Climate-related regulation and supervisory requirements across financial subsectors 16

Table 3.1. Pension funds: Emissions-related PAI reporting 38

Table 3.2. Pension funds: Sectoral exposure and portfolio composition-related reporting 38

Table 5.1. Quantitative indicators for supervisory risk assessment 67

Table 5.2. Governance, risk-management and engagement questionnaire 70

Figures 6

Figure 1.1. How do climate-related risks drive prudential risks? 12

Figure 3.1. Reported scope 3 GHG emissions covered by financial institutions' targets on scope 3 GHG emissions, 2024 30

Figure 3.2. GHG emissions with external assurance, 2024 31

Figure 3.3. Overview of publicly reported information by financial institutions potentially relevant for supervisory risk assessment... 32

Figure 3.4. EBA ESG Pillar 3: Template 3 of a Dutch bank, as of December 2024 33

Figure 4.1. Internal supervisory data: decomposed and financial sector-level WACI 55

Figure 5.1. Conceptual steps for quantitative and qualitative assessment of climate-related prudential risks 63

Figure 5.2. CRREM emissions intensity pathways by region and real estate type 65

Figure 5.3. Physical emissions-intensity of Dutch banks' residential and commercial real estate portfolios 66

Annex Tables 6

Table A B.1. Most commonly reported information and metrics for financial institutions in IFRS S2 and ESRS E1 74

Table A B.2. EBA Pillar 3 ESG risk disclosure templates 76

Table A B.3. Emissions reporting of a large British bank 79

Table A B.4. Emissions reporting of a large Italian bank 80

Table A B.5. Emissions reporting of a large British asset manager 81

Table A B.6. Reported physical intensity metrics of a large British asset manager 81

Annex Figures 6

Figure A A.1. Financial institutions with emission targets disclosing baseline and target years, 2024 73

Figure A A.2. Listed financial institutions disclosing baseline emissions, 2024 73

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