SFDR Sustainable investment addition of DNSH percentile customization

Summary (What?)

We’ve introduced a new customization capability that allows you to define the minimum DNSH (Do No Significant Harm) percentile that a numeric Principal Adverse Impact (PAI) indicator must fail to trigger a DNSH failure.
Previously, the DNSH failure logic was based on a fixed percentile threshold. With this update, you can now set your own threshold (always >5), enabling more tailored and granular definitions of Sustainable Investments (SI) under SFDR. This helps you better align your reporting and product design with your internal sustainability criteria or regulatory interpretations.

Impact (How?)

When calling the SI endpoints that allow for customization, a new parameter should be passed in order to be able to customize the DNSH percentile. Specifically "minPercentileToFail_SI_DNSH_QUANTITATIVE_PAI": 5 - this can be set from 5 to 100

This is how the call would look with all the possible customizable parameters including DNSH percentile:

{
"profile": {
"CRITERIA_1": {
"SI_SUSTAINABLE_REVENUE_ALIGNMENT_CONTRIBUTION": {
"contributesToCriteria": true, - this can be set true or false
"minPercentage_SUSTAINABLE_REVENUE_ALIGNMENT": 20 - this % can be set between 0 to 100
},
"SI_EU_TAXONOMY_ALIGNMENT_CONTRIBUTION": {
"contributesToCriteria": true, - this can be set true or false
"minPercentage_EU_TAX_ALIGNMENT": 0 - this % can be set between 0 to 100
},
"PAI_CONTRIBUTION": {
"contributesToCriteria": true, - this can be set true or false
"minPaisToPass_SI_PAI_COUNT": 2 - this can be set to 2,3 or 4 PAIs
},
"SI_SBTI_CONTRIBUTION": {
"contributesToCriteria": false - this can be set true or false
}
},
"CRITERIA_2": {
"DNSH": {
"contributesToCriteria": true, - this can be set true or false
"minPaisToFail_SI_DNSH_PAI_COUNT": 1 - this can be set to 1,2 or 3 PAIs "minPercentileToFail_SI_DNSH_QUANTITATIVE_PAI": 5 - this can be set from 5 to 100
}
}
}
}

Modules and Endpoints impacted (Where?)

List of endpoints by module impacted by this release: