1、MANAGING CLIMATE RISK IN THE U.S. FINANCIAL SYSTEM Report of the Climate-Related Market Risk Subcommittee, Market Risk Advisory Committee of the U.S. Commodity Futures Trading Commission Commissioner Rostin Behnam, Sponsor Bob Litterman, Chairman Library of Congress Control Number: 2020915930 ISBN:

2、978-0-578-74841-2 This report is approved by the Subcommittee on Climate-Related Market Risk of the Market Risk Advisory Committee (MRAC). The views, analyses, and conclusions expressed herein reflect the work of the Subcommittee on Climate-Related Market Risk of the MRAC, and do not necessarily ref

3、lect the views of the MRAC, the Commodity Futures Trading Commission or its staff, or the U.S. Government. Reference to any products, services, websites, organizations, or enterprises, or the use of any organization, trade, firm, or corporation name is for informational purposes only and does not co

4、nstitute endorsement, recommendation, or favoring by the U.S. Government. To view individual subcommittee members concurring statements, if any, please see cftc.gov. MANAGING CLIMATE RISK IN THE U.S. FINANCIAL SYSTEM Report of the Climate-Related Market Risk Subcommittee, Market Risk Advisory Commit

5、tee of the U.S. Commodity Futures Trading Commission Commissioner Rostin Behnam, Sponsor David Gillers, Chief of Staff, Office of Commissioner Behnam Bob Litterman, Chairman Leonardo Martinez-Diaz, Editor Jesse M. Keenan, Editor Stephen Moch, Associate Editor Executive Summary . . . . . . . . . . .

6、. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .i List of Tables and Figures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xi List of Acronyms and Abbreviations . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

7、. . . . . . . . . xiii Foreword . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .xvii Chapter 1: Introduction to Finance in the Face of Climate Change . . . . . . . . . . . . . . . . 1 Chapter 2: Physical and Transition Risks in the C

8、ontext of the United States . . . . . . . 11 Chapter 3: Implications of Climate Change for the U.S. Financial System. . . . . . . . . . 25 Chapter 4: Existing Authorities and Recommendations for Financial Regulators . . . . . 41 Chapter 5: A Closer Look at Climate Risk Management and Data . . . . .

9、. . . . . . . . . . 55 Chapter 6: A Closer Look at Climate Scenarios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73 Chapter 7: A Closer Look at Climate Risk Disclosure. . . . . . . . . . . . . . . . . . . . . . . . . 87 Chapter 8: A Closer Look at Financing the Net-Zero Transition . .

10、. . . . . . . . . . . . . . 103 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119 List of Recommendations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123 References . . . . . .

11、. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137 Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159 Members of the Climate-Related Market Risk Subcommittee. . . . . . .

12、. . . . . . . . . . . 163 Table of Contents Climate change poses a major risk to the stability of the U.S. financial system and to its ability to sustain the American economy. Climate change is already impacting or is anticipated to impact nearly every facet of the economy, including infrastructure,

13、 agriculture, residential and commercial property, as well as human health and labor productivity. Over time, if significant action is not taken to check rising global average temperatures, climate change impacts could impair the productive capacity of the economy and undermine its ability to genera

14、te employment, income, and opportunity. Even under optimistic emissions- reduction scenarios, the United States, along with countries around the world, will have to continue to cope with some measure of climate change-related impacts. This reality poses complex risks for the U.S. financial system. R

15、isks include disorderly price adjustments in various asset classes, with possible spillovers into different parts of the financial system, as well as potential disruption of the proper functioning of financial markets. In addition, the process of combating climate change itselfwhich demands a large-

16、scale transition to a net-zero emissions economywill pose risks to the financial system if markets and market participants prove unable to adapt to rapid changes in policy, technology, and consumer preferences. Financial system stress, in turn, may further exacerbate disruptions in economic activity

17、, for example, by limiting the availability of credit or reducing access to certain financial products, such as hedging instruments and insurance. A major concern for regulators is what we dont know. While understanding about particular kinds of climate risk is advancing quickly, understanding about

18、 how different types of climate risk could interact remains in an incipient stage. Physical and transition risks may well unfold in parallel, compounding the challenge. Climate risks may also exacerbate financial system vulnerabilities that have little to do with climate change, such as historically

19、 high levels of corporate leverage. This is particularly concerning in the short- and medium-term, as the COVID 19 pandemic is likely to leave behind stressed balance sheets, strained government budgets, and depleted household wealth, which, taken together, undermine the resilience of the financial

20、system to future shocks. i EXECUTIVE SUMMARY Executive Summary The central message of this report is that U.S. financial regulators must recognize that climate change poses serious emerging risks to the U.S. financial system, and they should move urgently and decisively to measure, understand, and a

21、ddress these risks. Achieving this goal calls for strengthening regulators capabilities, expertise, and data and tools to better monitor, analyze, and quantify climate risks. It calls for working closely with the private sector to ensure that financial institutions and market participants do the sam

22、e. And it calls for policy and regulatory choices that are flexible, open-ended, and adaptable to new information about climate change and its risks, based on close and iterative dialogue with the private sector. At the same time, the financial community should not simply be reactiveit should provid

23、e solutions. Regulators should recognize that the financial system can itself be a catalyst for investments that accelerate economic resilience and the transition to a net-zero emissions economy. Financial innovations, in the form of new financial products, services, and technologies, can help the U

24、.S. economy better manage climate risk and help channel more capital into technologies essential for the transition. Findings of the Report This report begins with a fundamental findingfinancial markets will only be able to channel resources efficiently to activities that reduce greenhouse gas emiss

25、ions if an economy-wide price on carbon is in place at a level that reflects the true social cost of those emissions. Addressing climate change will require policy frameworks that incentivize the fair and effective reduction of greenhouse gas emissions. In the absence of such a price, financial mark

26、ets will operate suboptimally, and capital will continue to flow in the wrong direction, rather than toward accelerating the transition to a net-zero emissions economy. At the same time, policymakers must be sensitive to the distributional impacts of carbon pricing and other policies and ensure that

27、 the burden does not fall on low-to-moderate income households and on historically marginalized communities. This report recognizes that pricing carbon is beyond the remit of financial regulators; it is the job of Congress. A central finding of this report is that climate change could pose systemic

28、risks to the U.S. financial system. Climate change is expected to affect multiple sectors, geographies, and assets in the United States, sometimes simultaneously and within a relatively short timeframe. As mentioned earlier, transition and physical risksas well as climate and non-climate-related ris

29、kscould interact with each other, amplifying shocks and stresses. This raises the prospect of spillovers that could disrupt multiple parts of the financial system simultaneously. In addition, systemic shocks are more likely in an environment in which financial assets do not fully reflect climate-rel

30、ated physical and transition risks. A sudden revision of market perceptions about climate risk could lead to a disorderly repricing of assets, which could in turn have cascading effects on portfolios and balance sheets and therefore systemic implications for financial stability. MANAGING CLIMATE RIS

31、K IN THE U.S. FINANCIAL SYSTEMii At the same time, this report finds that regulators should also be concerned about the risk of climate-related “sub-systemic” shocks. Sub-systemic shocks are defined in this report as those that affect financial markets or institutions in a particular sector, asset c

32、lass, or region of the country, but without threatening the stability of the financial system as a whole. This is especially relevant for the United States, given the countrys size and its financial system, which includes thousands of financial institutions, many regulated at the state level. Sub-sy

33、stemic shocks related to climate change can undermine the financial health of community banks, agricultural banks, or local insurance markets, leaving small businesses, farmers, and households without access to critical financial services. This is particularly damaging in areas that are already unde

34、rserved by the financial system, which includes low-to-moderate income communities and historically marginalized communities. The report finds that, in general, existing legislation already provides U.S. financial regulators with wide-ranging and flexible authorities that could be used to start addr

35、essing financial climate-related risk now. This is true across four areasoversight of systemic financial risk, risk management of particular markets and financial institutions, disclosure and investor protection, and the safeguarding of financial sector utilities. Presently, however, these authoriti

36、es and tools are not being fully utilized to effectively monitor and manage climate risk. Further rulemaking, and in some cases legislation, may be necessary to ensure a coordinated national response. While some early adopters have moved faster than others in recent years, regulators and market part

37、icipants around the world are generally in the early stages of under- standing and experimenting with how best to monitor and manage climate risk. Given the considerable complexities and data challenges involved, this report points to the need for regulators and market participants to adopt pragmati

38、c approaches that stress continual monitoring, experimentation, learning, and global coordination. Regulatory approaches in this area are evolving and should remain open to refinement, especially as understanding of climate risk continues to advance and new data and tools become available. Insuffici

39、ent data and analytical tools to measure and manage climate-related financial risks remain a critical constraint. To undertake climate risk analysis that can inform decision-making across the financial system, regulators and financial institutions need reliable, consistent, and comparable data and p

40、rojections for climate risks, exposure, sensitivity, vulnerability, and adaptation and resilience. Demand will likely grow for public and open access to climate data, including for primary data collected by the government. Public data will enable market participants to, among other things, compare p

41、ublicly available disclosure information and sustainability-benchmarked financial products. At the same time, proprietary data and analytical products can introduce innovations that improve climate risk management. A key challenge will be how best to balance the need for transparency through public

42、data on one hand, with the need to foster private innovation through proprietary data, on the other. iii EXECUTIVE SUMMARY The lack of common definitions and standards for climate-related data and financial products is hindering the ability of market participants and regulators to monitor and manage

43、 climate risk. While progress has been made in this area thanks to voluntary disclosure frameworks and work by foreign regulators, the lack of standards, and differences among standards, remains a barrier to effective climate risk management. The problem is compounded by a lack of international coor

44、dination on data and methodology standards. A common set of definitions for climate risk data, including modeling and calculation methodologies, is important for developing the consistent, comparable, and reliable data required for effective risk management. Also, taxonomies or classification system

45、s can help foster greater transparency and comparability in markets for financial products labeled as “green” or “sustainable.” Climate-related scenario analysis can be a useful tool to enable regulators and market participants to understand and manage climate-related risks. Scenarios illustrate the

46、 complex connections and dependencies across technologies, policies, geographies, societal behaviors, and economic outcomes as the world shifts toward a net-zero emissions future. Scenario analysis can help organizations integrate climate risks and opportunities into a broader risk management framew

47、ork, as well as understand the potential short-term impact of specific triggering events. Scenario analysis is gaining traction in several contexts, both domestically and internationally, and regulators are increasingly using scenario analysis to foster greater risk awareness among financial market

48、actors. Yet, the limitations of scenario analysis should be recognized. While useful, climate scenarios and the models that analyze them have important limitations. Scenarios are sensitive to key assumptions and parameters, most have been developed for purposes other than financial risk analysis, an

49、d they cannot fully capture all the potential effects of climate- and policy-driven outcomes. Scenario analysis should have a valuable place in the risk management toolkit, but it should be used with full awareness of what it can and cannot do. The disclosure by corporations of information on material, climate-related financial risks is an essential building block to ensure that climate risks are measured and managed effectively. Disclosure of such information enables financial regulators and market participants to better understand climate change impacts on financial m