Recent developments in FinTech and RegTech marked the EU’s pivot towards a digitally driven Capital Markets Union and a concomitant algorithmic turn in EU financial supervision under the leadership of the three European Supervisory Authorities (ESMA, EBA, EIOPA). Starting from the premise that the EIOPA’s relevant initiatives are driven from the Authority’s normative and institutional environment as well as the perceived technological affordances of RegTech, this chapter provides a ‘reality check’ of the algorithmic future of EU financial supervision in the field of insurance as an aspect of EU financial markets’ governance. On the one hand, it finds that an important blind-spot in the EIOPA’s agenda is the absence of a concrete plan for a system of digital reporting. On the other hand, it examines what it takes to set up a system of digital reporting. To that end, it focuses on three interrelated issues: The technology that will be required to provide the infrastructure of digital reporting and its limitations, difficulties with the conversion of regulatory content into code, and issues of reporting architecture and governance. The ultimate objective of this chapter is to inform the agenda of the digital transformation of EU financial market oversight in anticipation of future challenges while relevant policy and legal debates are still on-going.