How should "all investments" be understood? Gross asset value including cash, other assets, other liabilities? Or only actual investments, e.g., only private equity / private debt assets?

“All investments” as a concept is used in both the PAI disclosures in Annex I of the Delegated Regulation and in the calculation of Taxonomy-alignment referred to in Article 17 of the Delegated Regulation. PAI calculations For the purpose of calculating the PAI indicators in Annex I, especially the indicators for the carbon footprint (indicator 2 table 1), the GHG intensity of investee companies (indicator 3 table 1) and the GHG intensity of sovereigns (indicator 15 table 1), “all investments” should be understood to mean both direct and indirect investments funding investee companies or sovereigns through funds, funds of funds, bonds, equity instruments, derivative instruments, loans, deposits and cash or any other securities or financial contracts. Additional considerations for certain types of financial market participants’ PAI calculations: • Asset managers: For AIFM, managers of venture capital funds, managers of social entrepreneurship funds, management companies of UCITS, “all investments” should be considered the same as that Section 1.2 of Annex III of Regulation (EU) 2021/2178, i.e. all Assets under Management resulting from both collective and individual portfolio management activities; • Insurers: “All investments” should include the following aggregates from the prudential balance sheet as defined in the Commission implementing regulation 2015/2452: holdings in related undertakings, equities, bonds, collective investment undertakings, derivatives, deposits other than cash equivalents, other investments, assets held for index-linked and unit-linked contracts, loans and mortgages and deposits to cedants and cash and equivalents; • IORPs: For IORPs all investment should include the following lines from the balance sheet (PF.02.01.24) as laid down in the decision from the Board of Supervisors of EIOPA on EIOPA's regular information requests towards NCAs regarding provision of occupational pensions information (EIOPA-BoS/20-362): property, equities, bonds, investment funds/ shares, derivatives, other investments, loans and mortgage, cash and cash equivalents; and • Banks or investment firms providing portfolio management or investment advice services: “All Investments” should include all the securities and financial contracts (which should be considered to include cash and cash equivalents) held by credit institutions and investment firms as part of the mandates given by their clients as referred to in article 4 (1) point 8 of Directive 2014/65/EU. Taxonomy-alignment calculation In order to disclose “investments of the financial product in environmentally sustainable economic activities”, Article 17(1) of the Delegated Regulation sets out a closed list of investments that are “investments of the financial product in environmentally sustainable economic activities”. Article 17 does not set any limitation to the definition of “all investments of the financial products” in the denominator which therefore includes all types of securities or financial contracts. Finally, Article 17 of the Delegated Regulation explicitly highlights that the investments in the numerator and denominator should be valued at market value. This is not the same as the “net asset value” of a financial product. While the net asset value would be netted by the financial product’s liabilities, the market value of all investment is the sum of all assets held by the financial product. Using the net asset value would lead to a higher share of Taxonomy- aligned investments than using the sum of all investments and could theoretically even lead to a share higher than 100% if all assets are Taxonomy-aligned and the liabilities would be deducted in the denominator.