Approximately one-quarter of the portfolio (27%) of Austrian Pensionskassen (pension companies) consists of climate-relevant assets. Climate stress, as shown by a massive increase in costs for carbon emissions, would trigger a loss of assets of approx. 10 per cent in the Austrian occupational retirement provision system. This is the finding from analyses that the Austrian Financial Market Authority (FMA) conducted as part of the European Insurance and Occupational Pensions Authority’s (EIOPA) Europe-wide stress test on all Austrian Pensionskassen, using their balance sheets as of 31.12.2021. The average asset losses of all 187 entities subjected to the stress test from 18 EU Member States were -12.2%, with losses ranging between -1% and -15.6 %.
Massive climate and inflation stress
The underlying basis of the stress test was a pan-European standardised national balance sheet as well as a “Common Balance Sheet” approach with mark-to-market valuations. The climate stress was calibrated using the assumption that delayed measures for reducing CO2 emissions would cause massive increases for the prices for carbon emissions as of 31 December 2021. In addition, any inflation hedging deployed in the areas of occupational retirement provision was also analysed. The stress scenario was based on assumptions by EIOPA as well as the European Systemic Risk Board (ESRB). Stress was applied to the assets of all investment and risk sharing groups as well as the assets of the stock companies themselves. Under such stress assumptions, their total value fell by approx. € 2.7 bn (-9.51%) from € 28.4 bn to € 25.7 bn.
The stress test has also demonstrated that with the exception of one Pensionskasse all Austrian entities already taken environmental, social and governance risks (“ESG factors”) into account in their investment strategy. However, only one Pensionskasse makes use of a special climate stress test within the scope of its risk management. When checking investments for sustainability the Pensionskassen overwhelmingly favour external ESG ratings / indices and increasing value is being placed on the fact that existing assets in the portfolio are being checked for physical and transitional risks.
Information about the stress tests can be found on the EIOPA website:
Journalists may address further enquiries to:
Klaus Grubelnik (FMA Media Spokesperson)
+43/(0)1/24959-6006
+43/(0)676 882 49 516