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CARBON ASSET RISK WRI AND UNEP-FI PORTFOLIO CARBON INITIATIVE DISCUSSION FRAMEWORK CARBON ASSET RISK WRI AND UNEP-FI PORTFOLIO CARBON INITIATIVE DISCUSSION FRAMEWORK Carbon Asset Risk Discussion Framework 3 ACKNOWLEDGEMENTS This framework was created through a multi-stakeholder process involving primary authors, a drafting team that developed the initial chapter drafts, a technical working group, other expert reviewers who provided input during the process, and a Secretariat that organized input from technical working group members and other stakeholders. Technical working group members and reviewers are listed in Appendix 3. This work was funded in part with support to the World Resources Institute from Bank of America Foundation, Citigroup, JPMorgan Chase Bank N.A., and Wells Fargo Foundation. Drafting team members from the 2° Investing Initiative participated through financial support from ADEME. Primary Authors Mark Fulton Energy Transition Advisors, consultant to World Resources Institute Christopher Weber World Resources Institute Drafting team Marisa Buchanan JPMorgan Chase the list will not be updated over time. The list of tools is intended to be for illustrative purposes only and should not suggest or imply endorsement, and is not an endorsement, by WRI, UNEP-FI, or any of the participants in the process or their respective institutions. 4 WRI nevertheless, addressing climate change will require countries to reduce their reliance on fossil fuels steadily over time. This is a phenomenon that will carry broad implications for governments, companies, financial intermediaries, and investors. For example, if a large quantity of fossil fuel resources cannot be extracted and produced whether because of policy, market or other carbon-related constraints, companies whose busi- ness is principally focused on such activities could be negatively impacted, both operationally and financially. The implications for fossil fuel commodity prices are crucial in any valuation scenario for such companies. This concept is referred to in this framework as “operator carbon risk” and affects carbon-intensive companies and asset operators see Chapter 2 for details. Further, this reality has led to a broader discussion about whether financial intermediaries, such as commercial and investment banks, and investors, are thoroughly integrating considerations of operator carbon risk when evaluating, pricing, and financing carbon assets and companies. In particular, concern has emerged around the potential for operator carbon risk to translate to “carbon asset risk,” which is the potential financial risk affecting intermediaries and investors with a financial stake in or relationship with these companies. FRAMEWORK OBJECTIVE The dialogue around carbon asset risk has grown over time, but it has occurred in the absence of a comprehensive, generally accepted framework to guide institutions and other stakeholders in their efforts to think consistently and systematically about the issue. To meet this important need, the World Resources Institute WRI and UNEP Finance Initiative UNEP-FI launched a process in early 2014 to develop a framework to help financial intermediaries and investors, as well as stakeholders with an interest in this topic, more systematically to identify, assess, and manage carbon asset risk. 1. All references to “carbon” in this document refer to all greenhouse gas emissions rather than just carbon dioxide Carbon Asset Risk Discussion Framework 7 This framework is intended to be useful for institutions with a diverse range of risk appetites, as well as perspectives on the probability and impact of various types of carbon risk. It was developed through a multi-stakeholder process that included investors, academics, consultants, and representatives from banks, insurance companies, and environmental advocacy organizations. The framework is not intended to be a prescriptive methodology for carbon asset risk manage- ment, nor is it intended to opine on the potential likelihood and impact of operator carbon risk. Rather, this conceptual framework is intended to help financial intermediaries and investors think more consistently and systematically about carbon asset riskwhat it is, and how it can be evaluated and managedas well as to highlight existing analytical tools that may be helpful in this process. In other words, the framework discusses how investors and intermediaries might think about carbon asset risk rather than what they should think about it. The concepts are intended to enhance users’ existing risk management processes and systems and ultimately strengthen overall decision-making. FRAMEWORK STRUCTURE The framework, which is structured across six chapters, covers the key elements of addressing carbon asset risk during the process of making new financing or investment decisions and when managing existing investment portfolios. As shown in Figure ES-1 below, the document starts with assessing exposure and follows with a discussion of evaluating and managing carbon asset risk. Figure ES-1 Summary of Framework Structure CHAPTER HIGHLIGHTS ◾ Chapter 2 explores types of risk factors related to carbon risk. This framework draws an important distinction between how carbon risk factors can affect carbon-intensive companies/ operators “operator carbon risk” and how such risk, depending upon the nature and severity of impact, could affect financial intermediaries and investors that have a financial relationship with these operators “carbon asset risk.” The framework discusses three core carbon risk factors that exist todaypolicy and legal, technology, and market and economicas well as reputational risks and further discusses several issues and trends that will be important to monitor over time. Many of these factors are closely intertwined and not always easy to isolate. For example, policy changes can lead to new economic incentives and also drive technological innovation and deployment. ◾ Chapter 3 explores factors that might make certain industry sectors and types of compa- nies more or less exposed to carbon risk. To date, public dialogue has focused principally on physical assets and operations heavily reliant on fossil fuels, such as upstream fossil fuel exploration and production and fossil-fuel-fired power generation. This is a logical focus, given that these activities contribute the largest share of GHG emissions to the global econ- omy and are most likely to be impacted directly by carbon and other air-pollution-control policy regimes, such as cap-and-trade programs or carbon taxes. Nevertheless, other sectors, such as fossil-fuel-dependent infrastructure and fossil-fuel-intensive industries that face Chapter 2 Types of carbon risk factors Chapter 3 Identifying carbon risk in sectors and companies Chapter 4 Financial risk in the capital stack Chapter 5 Carbon asset risk evaluating the financial impacts Chapter 6 Managing carbon asset risk Assess Exposure Evaluate Risk Manage Risk 8 WRI however, tools to perform such evaluation are only emerging now and are generally only available through commercial providers. More research is needed to produce practical tools capable of stress testing invest- ment portfolios for carbon asset risk. ◾ Chapter 6 discusses strategies that financial intermediaries and investors can pursue to manage carbon asset risk, if the evaluation process leads to the conclusion that the risk is material. The options for managing carbon asset risk will vary depending on the role of the intermediary or investor for example, underwriter, bondholder, lender or shareholder and whether financing or investment is under consideration or has already been made. As shown in Figure ES-3, intermediaries and investors have two main options - avoiding risk altogether or managing it. Figure ES-3 Risk Management Options by Investment Stage for Different Financial Sector Actors Financial Intermediaries Underwriters Financial Intermediaries Lenders Bond Buyers Shareholders New investments Avoid the risk ◾ Sector/security avoidance ◾ Sector/security avoidance ◾ Sector/security avoidance ◾ Sector/security avoidance Manage the risk ◾ Promote risk disclosure ◾ Proper risk pricing ◾ Thorough due diligence ◾ Proper risk pricing ◾ Sectoral policies ◾ Thorough due diligence potentially include covenants ◾ Engage in key areas ◾ Promote risk disclosure ◾ Due diligence as possible in disclosure ◾ Invest with ESG screens ◾ Diversification Current holdings Avoid the risk N/A ◾ Divestment at sector or loan level ◾ Divestment at sector or security level ◾ Divestment at sector or security level Manage the risk N/A ◾ Diversification sector and subsector ◾ Engagement to understand operator risk management ◾ Diversification ◾ Diversification ◾ Engagement to understand risk management ◾ Engagement to align risk and return perspectives Risk avoidance can be achieved by applying sector or company exclusions when making new invest- ment decisions, or by choosing to sell or divest certain holdings from currently held positions. Some may choose to avoid certain types of financing or investments due to ethical reasons or because the perceived carbon risk is too significant. However, if the primary goal is to better manage risk as opposed to ethical considerations many other options can be pursued. For instance, lenders and investors considering new opportunities can ensure that thorough due diligence has been performed and that investments have an appropriate risk-adjusted return. Likewise, risk can also be managed through portfolio diversification strategies and, in some cases, by engaging with companies around carbon risk disclosure and management. Furthermore, service providers like underwriters can also play a role by encouraging thorough disclosure of operator carbon risk in securities-offering documents, and ensuring the pricing of securities incorporates consideration of relevant risks. THE ROLE OF POLICY An important final consideration is that assessing and managing carbon asset risk is made more challenging by the substantial amount of uncertainty about the future direction of public policies on energy and climate change. The financial sector could play a role in working to reduce this uncertainty through engagement in public policy arenas. Having greater clarity on issues such as the potential nature and timing of GHG regulation and reporting and disclosure requirements would greatly enhance the ability to assess and manage carbon asset risk. Carbon Asset Risk Discussion Framework 11 CHAPTER 1 INTRODUCTION 1.1 CONTEXT After decades of research, strong consensus has emerged within the world’s scientific community that human influence, particularly the burning of fossil fuels and deforestation, has been the dominant cause of observed warming in the global climate system since the mid-20th century. Furthermore, continued growth in greenhouse gas GHG emissions is likely to cause further climatic changes, which are projected to lead to continued sea-level rise, changes in precipitation patterns, and more frequent hot temperature extremes over most land areas. 2 These potential changes present enormous economic, social, and financial implications for economies around the world. In response to these challenges, many governments have enacted policies to reduce GHG emissions and other pollution from sources such as power plants, and to increase deployment of low-carbon energy and other technologies. The share of renewable energy in the world’s energy mix, while still relatively small, has increased substantially because of these policies, and a range of technological improvements has brought the cost of renewables closer to parity with fossil fuels. At the same time, ongoing evolution and changes in the development of fossil fuels have led to significant shifts in energy development in some regions. One prominent example is the growth of shale oil and gas development in the United States, which has been partly responsible for displacing significant amounts of coal-fired power generation. These policy and market dynamics have led a number of investors and other stakeholders to question whether loans to, or investments in, carbon-intensive assets and companies - defined in this framework as physical assets or companies with direct or indirect exposure to high levels of GHG emissions, such as those in the fossil fuel industry, or that are heavily reliant on fossil fuels - could be exposed to financial risk. In this context, the risk is that a loan is not repaid or an investment does not perform as expected, because of various policy, economic, market, and social trends that emerge within a GHG-constrained global economy. This discussion has been influenced by research from the International Energy Agency IEA and the Carbon Tracker Initiative, among others, which suggests that, absent carbon capture and sequestration or other technological solutions to manage GHG emissions, a significant quantity of the world’s fossil fuel resources, notably coal, will need to remain in the ground that is, unexploited. This will be a necessary part of any reasonable strategy to avoid a rise in global average temperature of more than 2°C above pre-industrial levels - the limit that scientists suggest is necessary to avoid the worst consequences of climate change and the target level agreed to by the United Nations Framework Convention on Climate Change in 2010. This concept is often known as a “carbon KEY POINTS ◾ Some investors and stakeholders have questioned whether financial intermediaries and investors are adequately considering policy, market/economic and reputational risks from carbon-intensive physical assets ◾ Perspectives on the likelihood and potential impact of such risks vary considerably ◾ This framework provides approaches and tools for identifying, assessing, and manag- ing carbon asset risk 12 WRI here we have striven for clarity by defining what we mean when we use the term; “financial intermediaries” here used to describe investment and commercial banks that underwrite equity and bond offerings, as well as make loans to companies and projects; and “investors” here used to describe shareholders and bondholders, as well as asset managers. The authors and technical working group members see next section strove to create a frame- work that will be broadly useful and understandable to the widest possible audience; however, some readers may encounter terminology used in unfamiliar ways. To guide readers, a glossary has been included as an appendix to the document. Carbon Asset Risk Discussion Framework 13 1.4 FRAMEWORK DEVELOPMENT PROCESS This framework was developed through an international multi-stakeholder process that included representatives from banks, insurance companies, and environmental advocacy organizations, as well as investors, academics, and consultants. An init