SFDR Data Requirements
When You Need This
The Sustainable Finance Disclosure Regulation (EU 2019/2088) requires financial market participants to disclose sustainability risks and impacts. As a data engineer building ESG data pipelines, you need to know which data points to collect, compute, and publish.
Article Classification (Pipeline Perspective)
| Article | Fund Type | Data Requirement | Pipeline Impact |
|---|---|---|---|
| Article 6 | No sustainability claims | Basic risk disclosure | Minimal — text-only disclosures |
| Article 8 | Promotes E/S characteristics | PAI indicators for promoted characteristics | Moderate — compute selected PAIs |
| Article 9 | Sustainable investment objective | Full PAI disclosure + positive contribution proof | Heavy — compute all mandatory PAIs + taxonomy alignment |
Principal Adverse Impact (PAI) Indicators
Mandatory Indicators (Table 1 of SFDR RTS)
Quote
“What gets measured gets managed — and what gets disclosed gets scrutinized.”
— Hiro Mizuno (former CIO, Japan Government Pension Investment Fund)
| # | Indicator | Data Needed | Vendor Source | Computation |
|---|---|---|---|---|
| 1 | GHG emissions (Scope 1, 2, 3) | tonnes CO2e per company | MSCI, Sustainalytics, CDP | WACI = SUM(weight * emissions / revenue) |
| 2 | Carbon footprint | tonnes CO2e per EUR invested | Same + EVIC | CF = SUM(weight * emissions / evic) * portfolio_value |
| 3 | GHG intensity of investee companies | tonnes CO2e / EUR revenue | Same | Weighted average |
| 4 | Exposure to fossil fuels | % revenue from fossil fuels | MSCI, Bloomberg | Binary flag + revenue share |
| 5 | Non-renewable energy share | % energy consumption | CDP, MSCI | Weighted average |
| 6 | Energy consumption intensity | GWh / EUR revenue per sector | CDP | Sector-level calculation |
| 7 | Biodiversity impact | Operations near sensitive areas | MSCI, Sustainalytics | Binary flag |
| 8 | Water emissions | tonnes discharged | CDP | Weighted average |
| 9 | Hazardous waste | tonnes generated | CDP, MSCI | Weighted average |
| 10 | UNGC/OECD violations | Number of violations | MSCI, ISS | Binary flag per company |
| 11 | Gender pay gap | % difference | Company reports | Weighted average |
| 12 | Board gender diversity | % female directors | Bloomberg, MSCI | Weighted average |
| 13 | Controversial weapons exposure | Binary | MSCI, Sustainalytics | Binary flag |
| 14 | GHG intensity of sovereigns | tonnes CO2e / GDP | World Bank, UNFCCC | Direct lookup |
Data Pipeline for PAI Computation
The PAI computation sits on top of the normalized ESG scores:
ESG vendor data (raw) → Normalize (0-100 scale) → PAI calculation → SFDR disclosure report
Key Computation: WACI
def compute_waci(weights: pd.DataFrame, emissions: pd.DataFrame) -> float:
"""Weighted Average Carbon Intensity (PAI Indicator 3).
WACI = SUM(weight_i * scope1_2_emissions_i / revenue_i)
"""
merged = weights.merge(emissions, on='instrument_isin')
merged['carbon_intensity'] = merged['scope1_2_tonnes'] / merged['revenue_eur_millions']
return (merged['weight_pct'] * merged['carbon_intensity']).sum()Data Vendor Mapping to PAI Indicators
| PAI Indicator | Primary Vendor | Backup Vendor | Coverage |
|---|---|---|---|
| GHG Scope 1+2 | MSCI ESG | CDP | ~85% of large caps |
| GHG Scope 3 | CDP | MSCI (estimated) | ~40% reported, rest estimated |
| Fossil fuel revenue | MSCI | Bloomberg | ~90% |
| UNGC violations | MSCI | ISS | ~95% |
| Board diversity | Bloomberg | MSCI | ~90% |
| Controversial weapons | MSCI | Sustainalytics | ~98% |
Coverage Gaps
Scope 3 emissions and some social indicators have low reported coverage. Vendors fill gaps with estimates. Your pipeline must track whether a value is reported or estimated — SFDR requires disclosure of estimation methodology. LLM extraction pipelines can help parse unstructured sustainability reports to fill these gaps with source-attributed data.
ISS & STOXX Glossary
- SFDR — formal regulatory definition and scope
- Article 8 and Article 9 — fund classification definitions
- PAI and PAI Indicators — indicator framework
- WACI — carbon intensity methodology
- Emissions Scopes — Scope 1, 2, 3 definitions
- Norm-Based Screening — UNGC violations screening methodology
Related
- eu-bmr-benchmark-regulation — Benchmark administrator obligations
- iosco-benchmark-principles — International standards
- compliance-and-auditability — Audit trail for ESG data
- data-quality-framework — Quality gates for ESG data completeness