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This methodology sets out how Integrum ESG calculates the climate metrics behind TCFD reporting for every fund and portfolio: Scope 1, 2 and 3 emissions, weighted average carbon intensity (WACI) and carbon footprint, together with Climate Value-at-Risk (Climate VaR) under three NGFS scenarios and an Implied Temperature Rise. Every metric is calculated for each holding and aggregated to fund level, which gives firms the product-level data their TCFD entity report is built from.
Regulation
FCA TCFD rules for asset managers and asset owners
The FCA’s TCFD rules apply to asset managers, including discretionary wealth managers, and FCA-regulated asset owners such as life insurers and pension providers with more than £5bn in assets under management or administration, measured as a three-year rolling average.
In Handbook Notice 144, confirmed on 25 September 2026, the FCA replaced fund-by-fund TCFD reports with simpler rules:
| Requirement | What firms must do |
|---|---|
| TCFD entity report | Publish by 30 June each year, covering total GHG emissions across investments, WACI for each fund or strategy where data allow, climate scenario analysis with figures where reasonably practicable, climate targets or an explanation of why none are set and data gaps and how they were filled |
| Institutional client requests | From 30 June 2027, provide each product’s Scope 1, 2 and 3 emissions once a year on request, along with other climate data clients reasonably need |
| Retail products | Check regularly whether climate risk could materially affect performance and, where it could, say so in existing risk information |
| Fund-level TCFD reports | No longer required as a published report for each fund or portfolio |
Why product-level data is still needed
Firms no longer publish a report for each fund, but the entity report is still built from fund-level data. WACI must be reported for each fund or strategy, total emissions are the sum of every product’s emissions and scenario analysis depends on each product’s exposure to carbon-intensive holdings. Institutional clients can also request each product’s Scope 1, 2 and 3 emissions from June 2027. Firms therefore still need the full set of climate metrics for every product, calculated consistently from holding-level data. Our guide to TCFD reporting in 2027 covers the changes in full.
Metrics
The climate metrics and how they are calculated
| Metric | Definition |
|---|---|
| Scope 1 emissions | Direct GHG emissions from sources owned or controlled by the company, in tCO2e |
| Scope 2 emissions | Indirect GHG emissions from the electricity, steam, heat or cooling the company buys, in tCO2e |
| Scope 3 emissions | All other GHG emissions outside the company’s Scope 1 and 2 boundary, across its value chain, in tCO2e |
| Weighted average carbon intensity (WACI) | Each holding’s Scope 1 and 2 emissions divided by its revenue ($M), multiplied by its portfolio weight and summed across the fund, in tCO2e per $1M of revenue |
| Carbon footprint | Each holding’s Scope 1 and 2 emissions divided by its enterprise value ($M), multiplied by its portfolio weight and summed across the fund, in tCO2e per $1M invested |
Each metric uses the latest data disclosed by each company in the fund and is shown in its own column for every holding before being aggregated to fund level. Fund WACI and carbon footprint recalibrate weights across disclosing companies, excluding proxy values, so the fund figures rest on reported data. Because the carbon footprint is expressed per $1M invested, multiplying it by the value of a fund gives the fund’s total financed Scope 1 and 2 emissions, the figure that feeds total emissions in the entity report. Company climate data is updated within 10 days of a new disclosure.
Fallbacks for missing financial data
Where a financial input is zero, negative or missing, the calculation uses the next most appropriate figure:
| Input | Used for | Fallback order |
|---|---|---|
| Revenue | WACI | Revenue, then expenses, then the previous year’s revenue, then the previous year’s expenses |
| Enterprise value | Carbon footprint | Enterprise value, then market capitalisation |
| Operating profit | Climate VaR | EBIT, then gross profit less expenses, then the previous year’s EBIT, then the previous year’s gross profit less expenses |
Data
Data sources, proxies and weights
Proxy emissions
Where a company we cover has not disclosed its emissions, we use a proxy value so that the portfolio’s overall footprint is not understated. The estimate takes the median emissions relative to revenue for companies in the same subsector and region and multiplies it by the company’s revenue. Using medians rather than means reduces the influence of outliers, and every proxy value is marked as such in the output.
Because some companies disclose only combined Scope 1 and 2 emissions while others disclose each scope separately, the proxy for Scope 1 plus the proxy for Scope 2 will not always equal the proxy for combined Scope 1 and 2. The median of a combined figure is not always the sum of the medians of its parts.
Data quality disclosure
The TCFD entity report must explain data gaps and how they were filled. The output shows, for each fund:
- the percentage of underlying data sourced from investee company disclosures
- the percentage of underlying data estimated by Integrum ESG, being the share of Scope 1, 2 and 3 data under proxy coverage
- the percentage of data estimated by the fund manager, for the firm to complete
- the proportion of the fund’s Scope 1 and 2 emissions, by weight, that comes from proxy values
Firms can replace any figure with their own data, and every metric recalculates.
Portfolio weights
When a portfolio is uploaded, its holdings are reweighted to sum to 100%, and the output uses those adjusted weights. Where proxy companies are excluded from a calculation, the weights are recalibrated again to sum to 100%.
Scenarios
Scenario analysis
We model three transition scenarios as defined by the Network for Greening the Financial System (NGFS), each with its own notional carbon price:
| Scenario | Description | Carbon price |
|---|---|---|
| Orderly | Early action to keep global warming below 2°C | $90 per tCO2e |
| Disorderly | Action to keep global warming below 2°C that is late, disruptive and sudden | $120 per tCO2e |
| Hot house | Limited action, leading to significant global warming and physical risks | $150 per tCO2e |
The carbon prices are shown in the output spreadsheet, and firms can change any of them. The Climate VaR for the fund and every holding recalculates instantly.
Climate VaR
How Climate VaR is calculated
Climate VaR estimates the share of a company’s value at risk from the cost of its emissions. It uses a notional carbon price: an annual charge that every company pays for every tonne of CO2e it emits.
- Annual carbon cost We multiply the company’s latest annual Scope 1 and 2 emissions by the scenario’s carbon price, to give a total annual cost for its emissions.
- Share of operating profit We express that cost as a percentage of the company’s operating profit, using its latest reported EBIT or the fallbacks above.
- Value at risk The percentage reduction to operating profit is taken as the percentage of the company’s overall value at risk.
- Fund level Each company’s Climate VaR is multiplied by its weight in the fund, and the results are summed to give the fund’s Climate VaR.
The calculation runs once for each scenario, so every fund and every holding has three Climate VaR values.
Temperature
Implied Temperature Rise
The Implied Temperature Rise shows which warming scenario a fund is aligned to. It follows the open-source Cambridge University model set out in Understanding the Climate Performance of Investment Funds (Cambridge Institute for Sustainability Leadership, July 2021), in four stages:
- Carbon intensity We calculate the fund’s Carbon Emissions Revenue Intensity (CERI).
- Equivalent global emissions The CERI is used to calculate Equivalent Global Emissions (EGE): what global emissions would be if the fund represented the global economy.
- Cumulative emissions Total emissions are projected to 2100 to give Cumulative CO2 Emissions (CCE).
- Temperature The CCE is converted into an Implied Temperature Rise using the relationship between cumulative emissions and warming published by the IPCC.
Our Temperature Score and Implied Temperature Rise Methodology sets out the formula, the Paris alignment labels and how users can enter their own emissions reduction rates.
Worked examples
Worked examples
One company: Corning
In data held at 31 December 2025, Corning reported combined Scope 1 and 2 emissions of 3,182,816 tCO2e and EBIT of $2,388M.
| Scenario | Annual carbon cost | Climate VaR |
|---|---|---|
| Orderly ($90) | $286M | 12.0% |
| Disorderly ($120) | $382M | 16.0% |
| Hot house ($150) | $477M | 20.0% |
At the orderly price, 3,182,816 tCO2e × $90 gives an annual carbon cost of $286M, which is 12.0% of Corning’s $2,388M EBIT. In a portfolio where Corning has a weight of 2.45%, it adds 0.29% to the fund’s orderly Climate VaR.
One fund
An illustrative 50-holding global equity fund:
| Metric | Result |
|---|---|
| WACI | 118.6 tCO2e per $1M revenue |
| Carbon footprint | 38.2 tCO2e per $1M invested |
| Climate VaR (orderly) | 4.20% |
| Climate VaR (disorderly) | 5.60% |
| Climate VaR (hot house) | 7.00% |
| Implied Temperature Rise | 1.9°C |
| Scope 1 and 2 emissions from proxy values | 22.4% |
Because Climate VaR scales with the carbon price, the disorderly and hot house values are the orderly value multiplied by 120/90 and 150/90. Each holding’s figures sit beneath the fund totals, so a firm can see which companies drive the fund’s emissions and Climate VaR in each scenario.
Output
The output
Each portfolio produces a TCFD export spreadsheet as at any chosen date, with a summary page and holding-level data.
Summary
Total holdings, WACI, carbon footprint, Climate VaR, Implied Temperature Rise and the share of proxy emissions, with definitions of every metric.
Holding-level data
Scope 1, 2 and 3 emissions with proxy flags, the financial inputs behind each metric and three Climate VaR values for every holding.
Entity reporting
Fund and strategy figures that feed the total emissions, WACI, scenario analysis and data gap disclosures in a TCFD entity report.
Client requests
Product-level Scope 1, 2 and 3 emissions ready for institutional clients’ annual requests, exportable to a firm’s own templates.
Climate metrics sit alongside each fund’s ESG grades under the Integrum ESG Scoring Framework, its SFDR classification under our SFDR Classification and PAI Methodology and its waste, water, tax and employment footprints under our Portfolio Footprint Calculator Methodology.
FAQs
Frequently asked questions
Do UK asset managers still need fund-level TCFD reports?
No. In Handbook Notice 144, confirmed on 25 September 2026, the FCA removed the standard TCFD report for each fund or portfolio. Firms in scope must still publish a TCFD entity report by 30 June each year and, from 30 June 2027, provide product-level Scope 1, 2 and 3 emissions to institutional clients on request.
Do firms still need product-level climate data?
Yes. The TCFD entity report requires WACI for each fund or strategy, total emissions across all investments and scenario analysis, all of which are built from product-level data. Institutional clients can also request each product’s Scope 1, 2 and 3 emissions from June 2027.
How does Integrum ESG calculate WACI and carbon footprint?
WACI is each holding’s Scope 1 and 2 emissions divided by its revenue, multiplied by its portfolio weight. Carbon footprint is each holding’s Scope 1 and 2 emissions divided by its enterprise value, multiplied by its portfolio weight. Both are summed across the fund, with weights recalibrated across disclosing companies.
How does Integrum ESG calculate Climate VaR?
We multiply a company’s latest annual Scope 1 and 2 emissions by a notional carbon price, express the result as a percentage of its operating profit (EBIT) and take that percentage as the share of the company’s value at risk. Fund Climate VaR is the weighted sum of its holdings’ values.
Which climate scenarios and carbon prices are used?
The three NGFS transition scenarios: orderly at $90 per tCO2e, disorderly at $120 and hot house at $150. Firms can change any of the prices in the output.
What happens when a company has not disclosed its emissions?
For companies we cover, we use a median-based proxy value so the fund’s footprint is not understated. Proxy values are flagged, and the output shows what share of the fund’s data is proxy.
How is Implied Temperature Rise calculated?
We follow the open-source Cambridge University model: the fund’s carbon emissions revenue intensity is scaled to equivalent global emissions, projected to 2100 and converted into a temperature rise using the IPCC’s relationship between cumulative emissions and warming.
Get your climate reporting data ready
Speak to our team to see the climate metrics, Climate VaR and Implied Temperature Rise for every product, ready for your TCFD entity report and client requests.