Task Force on
Climate-related
Financial Disclosures
Forward-Looking Financial
Sector Metrics
Consultation

October 2020

Contents

A. Background and Purpose

1

B. Scope and Approach2

C. Forward-Looking Financial Sector Metrics

3

1. Carbon and Emissions Metrics

4

2. Other Metrics

5

3. Challenges of Forward-Looking Information

5

D. Metric for Consideration: Implied Temperature Rise7

1. Overview

7

2. Potential Benefits

8

3. Current Challenges

9

Appendix 1: Examples of Implied Temperature Rise Disclosure

13

Appendix 2: Examples of Climate Value-at-Risk Disclosure

18

Appendix 3: Glossary

20

Appendix 4: References

22

The Task Force gratefully acknowledges the work of Generation Investment Management’s David Blood(Task Force Member), AXA’s Sylvain Vanston (Task Force Member), and the TCFD Secretariat’s Mara Childressin the development of this consultation.

The Task Force on Climate-related Financial Disclosures

A. Background and Purpose
In its 2019 status report, the Task Force on
Climate-related Financial Disclosures (Task Forceor TCFD) identified specific areas it intended
to explore to support implementation of its
disclosure recommendations, issued in June
2017.1 One of the areas was related to clarifying
elements of the Task Force’s supplemental
guidance, which was issued at the same time asits final recommendations in 2017.2 In reviewing
financial institutions’ disclosure practices —especially as they relate to metrics and targets— and in consideration of market and industry
developments, the Task Force determined that
insights gained through a public consultation
on current options would be useful in better
understanding the evolution of metrics andtargets reporting by asset owners, asset
managers, banks, and insurance companies.

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics

The Task Force's supplemental guidance forthe financial sector encouraged asset managers
and asset owners to disclose to their clients or
beneficiaries, respectively, the metrics they use
to assess climate-related risks and opportunities
as well as other metrics they believe are usefulfor decision-making.3 In addition, the Task Forcerecommended asset managers and asset owners
disclose a specific carbon footprint metric — theweighted average carbon intensity.4 Importantly,
when the Task Force issued its supplemental
guidance in 2017, it was aware of limitationsof carbon footprinting and intensity metrics
and viewed them as a first step in thedevelopment of metrics for disclosure byfinancial sector companies.5

As anticipated, disclosure practices and theuse of disclosures by financial market
participants have continued to evolve since 2017.
In the context of a growing frequency of physicalclimate-related impacts and the availabilityof new research, tools, and resources
for assessing climate-related risks andopportunities, there is increasing interest in
forward-looking climate-related information
to inform financial decision-making.6, 7
Additionally, 120 countries plus the European
Union have announced that they are working
toward achieving net-zero greenhouse gas (GHG)
emissions by 2050 — an indication of potential
shifts in business models and capital flows thatthe financial sector seeks to understand.8, 9
From October 29, 2020, to January 27, 2021,
the Task Force will hold a public consultation
on decision-useful, forward-looking metrics
to be disclosed by financial institutions. Several
considerations for such metrics are describedin Section C. Forward-Looking Financial Sector
Metrics, as context for the consultation.
In particular, a metric that has gained interest
from the financial sector since the Task Forceissued its supplemental guidance — referred
to as “implied temperature rise associated withinvestments” (ITR) — is described at a highlevel in Section D. Metric for Consideration:
Implied Temperature Rise for consideration in
the consultation. The Task Force also seeks tounderstand alternative forward-looking metrics
that could be disclosed by financial institutions
in line with the TCFD recommendations.

D.
Metric for Consideration:
Implied Temperature Rise
Appendices

1

TCFD, 2019 status report, June 5, 2019.

2

TCFD, Implementing the Recommendations of the Task Force on Climate-related Financial Disclosures, June 29, 2017.

3

 he supplemental guidance also notes that asset managers and asset owners should provide a description of the methodology
Tused for the metrics disclosed.

4 he Task Force recommended this metric be disclosed, where data are available or can be reasonably estimated, for each fund,T
product, or investment strategy.

5 he 2017 TCFD supplemental guidance for asset owners and asset managers stated: “The Task Force views the reporting ofTweighted average carbon intensity as a first step and expects disclosure of this information to prompt important advancements inthe development of decision-useful, climate-related metrics.” It also noted that “Such [weighted average carbon intensity] metrics
should not necessarily be interpreted as risk metrics.”

6
Intergovernmental Panel on Climate Change, Global Warming of 1.5°C: Summary for Policymakers, World MeteorologicalOrganization, October 2018.
7

Boyd, Emma Howard, “Climate Change: Is Your Equities Portfolio Too Hot to Touch?,” Financial Times, July 16, 2019.

8

 OP25 Chile UN Climate Change Conference, Climate Ambition Alliance: Nations Renew their Push to Upscale Action by 2020
C
and Achieve Net Zero CO2 Emissions by 2050, December 11, 2019.

9 ewClimate Institute, Germanwatch, and 2° Investing Initiative, Developing Criteria to Align Investments with 2°C Compatible Pathways,
N
May 2015.

1

The Task Force on Climate-related Financial Disclosures

B. Scope and Approach
In response to growing interest and new
disclosure from several large institutional
investors, the Task Force formed a working
group to consider the benefits and challenges
of disclosure of implied temperature rise andother forward-looking climate-related metrics.
The Task Force members participating in theworking group contributed expertise from asset
management firms, pension funds, banks, andcredit rating agencies.
Working-group members spoke to several
methodology providers and institutional

investors that disclose forward-looking
climate-related metrics to better understandavailable metrics and the potential benefits andchallenges of disclosure. Finally, the working
group developed a set of questions for public
consultation, to ensure that a broad range ofperspectives inform the Task Force’s future work.
The Task Force will take consultation responses
into consideration to determine whether further
TCFD financial sector guidance on forwardlooking metrics is needed.

Box B1
TCFD Public Consultation
The Task Force's 90-day public consultation solicits input on forward-looking climate-related metrics for thefinancial sector. The consultation asks questions about the usefulness and challenges of such metrics andwhat may be necessary to enhance their comparability, transparency, and rigor. The Task Force encourages
the public to respond to the consultation at fsb-tcfd.org between October 29, 2020, and January 27, 2021.

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
Appendices

2

The Task Force on Climate-related Financial Disclosures

C. Forward-Looking Financial Sector Metrics
Through public consultation, the Task Force aims
to better understand the evolution of metrics
used and disclosed by companies in the four
financial groups that were identified in its 2017supplemental guidance: asset owners, asset
managers, banks, and insurance companies.
Such metrics may focus on carbon and otheremissions or other financially relevant factors.
Figure C1 provides excerpts of the Task Force’s
guidance for asset owners on metrics used toassess climate-related issues and how they
consider forward-looking information on a lowercarbon transition.

Investors and other users of disclosure rely on
climate-related metrics to better understandrisk and evaluate progress toward establishedtargets and objectives.10 They may also use
select metrics for discussion and engagementwith portfolio companies. The absence ofwidely available, high-quality historical climaterelated information contributes to the need forbetter forward-looking approaches. In addition
to private sector innovation for metrics tobetter understand climate-related financial
impacts, there are increasing regulatory

Figure C1

Excerpt of TCFD Guidance for Asset Owners

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
Appendices

TCFD, Implementing the Recommendations of the Task Force on Climate-related Financial Disclosures, p. 36
Note: Some content has been removed, denoted by […].

10 he Task Force recommends that organizations disclose metrics used to assess climate-related risks and opportunities in line withT
their strategy and risk management processes, under Metrics and Targets a), as well as the targets used to manage climate-relatedrisks and opportunities, under Metrics and Targets c), where material, historical, and forward-looking metrics can serve as key
inputs for an organization’s target setting and for evaluating progress against those targets over time.

3The Task Force on Climate-related Financial Disclosures

expectations for firms to demonstrate a forwardlooking understanding of climate-related risk.11
It is important to note that, similar to the use ofmultiple traditional financial valuation metrics
in mainstream financial decision-making, nosingle climate-related metric can fully describe
the position of a company, product, fund, orinvestment strategy in relation to climate. The
metrics explored in the consultation would
be intended to complement, not replace,existing disclosures in alignment with the TCFD
recommendations. The Task Force welcomes
input on all forward-looking metrics that could
help to better inform capital allocation decisions.

1. CARBON AND EMISSIONS METRICS

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise

Weighted average carbon intensity and othercarbon footprinting metrics provide some
visibility into the carbon exposure of certain
assets at a fixed point in time. Although still
useful for decision-making, past carbon
exposures provide little insight into potential
future exposure. This is particularly the caseas a growing number of companies areannouncing planned changes to products,
strategies, and future emissions targets in linewith international climate agreements andnational policy goals. For example, in December
2019, 120 countries and the European Union
announced that they are working to achieve
net-zero emissions by 2050 — an early indicationof potential future policy and regulatory changes
for companies in those jurisdictions.12
Even today’s highest-emitting companies could
take actions to significantly alter their future
emissions trajectories, and consequently therelevant climate-related risks and opportunities
they face. Many investors and other users of
disclosure therefore seek to better evaluate
how carbon exposures associated with theirinvestments could evolve over time.
As described in Section D. Metric for
Consideration: Implied Temperature Rise, a
few large financial institutions have started to
calculate and disclose an “implied temperaturerise” associated with investments. This is one
approach to considering the position of theirassets in relation to the transition to a lowercarbon economy. Other financially focused
approaches may relate to potential costs
associated with carbon emissions, such as
unpriced carbon cost or carbon earnings at risk.14“Emissions are a prime driver of rising global temperatures
and, as such, are a key focal point of policy, regulatory, market,
and technology responses to limit climate change. As a result,organizations with significant emissions are likely to be impacted
more significantly by transition risk than other organizations.
In addition, current or future constraints on emissions, either
directly by emission restrictions or indirectly through carbon budgets,
may impact organizations financially.” 13

Appendices11 or example, the Monetary Authority of Singapore released consultation papers for banks, asset managers, and insurance companies
F
in June 2020, which included proposed requirements on forward-looking climate-related tools and metrics. An excerpt from theconsultation for banks is as follows: “4.5 At the portfolio level, MAS proposes for the bank to develop tools and metrics to monitor
and assess its exposures to environmental risk. For example, these metrics may be used to assess the bank’s portfolio exposures
to geographical areas and sectors with higher environmental risk, measure the carbon intensity of customers in high-risk sectors,
or consider the impact of environmental risk on its collateral valuations. MAS also proposes for the bank to develop capabilities inscenario analysis and stress testing to assess the impact of environmental risk on its risk profile and business strategies, and explore
its resilience to financial losses. These scenarios should incorporate forward-looking information to complement historical data, as thelatter might systemically underestimate potential risks, in view of the uncertainties and long-term horizon associated with changes inthe environment.” Monetary Authority of Singapore, Proposed Guidelines on Environmental Risk Management (Banks), 2020.

12

 OP25 Chile UN Climate Change Conference, Climate Ambition Alliance: Nations Renew their Push to Upscale Action by 2020 and Achieve Net
CZero CO2 Emissions by 2050, December 11, 2019.

13

TCFD, Implementing the Recommendations of the Task Force on Climate-related Financial Disclosures, 2017, p. 17.

14

S&P Global, Trucost Carbon Earnings at Risk: Forward-looking Estimates of Financial Risk, 2019.

4

The Task Force on Climate-related Financial Disclosures

2. OTHER METRICS
Financial sector organizations may also use
forward-looking metrics to assess climate-related
risk and opportunity outside of carbon exposure.
Other forward-looking metrics could focus on
physical climate-related risk, future valuations ofspecific assets, and applications of climate withinmore traditional financial valuation metrics.

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise

One example of a forward-looking financial
metric is climate Value-at-Risk (climate VaR).
Value-at-Risk metrics are estimates of the risk ofloss for investments and have become standard
for measuring financial risk.15 VaR is calculated
by assessing the amount of a potential loss,
the probability of occurrence for the amount ofloss, and the relevant timeframe. Climate VaRaims to assess potential financial sensitivity to
climate-related risks and opportunities, with an
output expressed as a numeric value or range
in a selected currency. For example, in 2016,
one study used integrated assessment models
to estimate that the “expected [climate VaR] of
global financial assets today is 1.8% [or US$2.5
trillion] along a business-as-usual emissions
path. However, the 99th percentile climate
VaR is 16.9%, or US$24.2 trillion.”16 Additional
information on Climate VaR and examples of
disclosure are provided in Appendix 2: Examplesof Climate Value-at-Risk Disclosure.
Public sector efforts to better understandclimate-related risks within the financial system
may also lead to greater disclosure of forwardlooking metrics. The European Union’s Taxonomy
Regulation for environmentally sustainable
activities (Taxonomy) requires “financial market
participants offering financial products in theEU” to disclose a metric on “the proportion ofunderlying investments that are Taxonomyaligned, expressed as a percentage of theinvestment, fund or portfolio.”17 Under the
regulation, the determination of “taxonomy-aligned” products includes forward-looking
assessments of “transition” activities as definedby the Taxonomy.
Similarly, the 2020 consultation on the European
Central Bank’s Guide on climate-related
and environmental risks notes that financial
institutions are expected to disclose “the amountor percentage of carbon-related assets in eachportfolio in € millions or as a percentage ofthe current portfolio value and, to the extent
possible, a forward-looking best estimate of thisamount or percentage over the course of theirplanning horizon [emphasis added].”18 Other
Metrics may emerge as outputs from climaterelated scenario analysis and stress testing thatare integrated into financial stability monitoringand supervision.19

3. CHALLENGES OF FORWARD-LOOKING
INFORMATION
Certain challenges might limit the extent towhich current forward-looking metrics are usefulfor financial decision-making — and necessitate
further innovations or refinements to make such
metrics more suitable and robust. In particular:• Lack of Reliable Emissions Data. Poor
quality and availability of historical emissions
data is currently a significant obstacle tothe calculation of carbon-related metrics.
For example, the share of MSCI world index
companies — collectively around 60% ofworld market capitalization — that disclose
their GHG emissions has stalled at around
50% in recent years.20 CDP currently provides
estimated data for around a third of the Scope
1 GHG emissions and slightly more than halfof Scope 2 GHG emissions from the over
5,000 companies it covers.21 In particular, few
companies report Scope 3 GHG emissions,although they could account for more than

Appendices15

Jorion, Phillipe, How Informative Are Value-at-Risk Disclosures?, The Accounting Review, October 2002.

16

 ietz, Simon; Bowen, Alex; Dixon, Charlie; and Gradwell, Phillip, ‘Climate Value at Risk’ of Global Financial Assets, Nature Climate Change,
D
676–679, 2016.

17

 uropean Parliament and the Council of the European Union, “Regulation (EU) 2020/852 of the European Parliament and of the Council
Eof 18 June 2020 on the establishment of a framework to facilitate sustainable investment, and amending Regulation (EU) 2019/2088,”
Official Journal of the European Union, June 18, 2020.

18

 uropean Central Bank, Guide on climate-related and environmental risks: Supervisory expectations relating to risk management andE
disclosure, May 2020.

19

 ee, for example, the Bank of England’s Discussion Paper on a biennial exploratory scenario for climate-related risk and the climateS
scenarios produced by the Central Banks and Supervisors’ Network for Greening the Financial System.

20

Climate Finance Leadership Initiative, Financing the Low-Carbon Future, 2019.

21

CDP, CDP Full GHG Emissions Dataset 2019 Summary, 2019.

5

The Task Force on Climate-related Financial Disclosures

50% of the carbon footprint for companies inmany industries.22, 23 Many forward-looking
carbon and emissions metrics rely on past
GHG emissions data to estimate future trends
and, therefore, a lack of historical data canexacerbate uncertainty in future assumptions.
Conversely, when including all scopes of GHG
emissions in calculations related to a range ofcompanies across a portfolio, investors andothers must often take precautions to avoid
double or triple counting of emissions, which
could overstate potential climate-related risk.24• Lack of Transparency and Comparability.
Many forward-looking methodologies are newand evolving, and there is little transparency
from methodology providers on how they
are calculated or compare to each other.
Where methodologies are publicly described,
differences across data providers can still
make resulting disclosures difficult to compare
for investors and others evaluating climate
exposure across their holdings. For forwardlooking metrics to be more useful in financial
decision-making, disclosure must be based ontransparent and comparable methodologies.

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics• Reliance on Assumptions and Future
Uncertainty. Calculations of forward-looking
metrics are complex and require manymethodological choices and assumptions.
Some assumptions attempt to compensate
for existing data gaps, such as past emissions
trends or comparable and reliable companyspecific targets. Other assumptions rely on
climate scenarios and transition pathway
models, the details of which can vary widely
despite representing similar outcomes. In
particular, uncertainty around future climaterelated policy can contribute to greater
variation in transition pathway models.
Even with perfect historical information andmature, widely accepted, and transparent
methodologies, assessing potential future
outcomes remains an uncertain exercise. It
is important to note that forward-looking
disclosures are not intended to be exact
predictions or forecasts that would expose anorganization to litigation risk. In fact, a number

D.
Metric for Consideration:
Implied Temperature Rise
Appendices22

of jurisdictions offer safe-harbor protections forforward-looking disclosures made in good faithusing the best information reasonably available
at the time.25• Complexity of Calculation. Until otherchallenges are addressed, there may be a large
resource burden associated with calculating
and disclosing forward-looking metrics, which
often require the assistance of one or more
external data and methodology providers.
• Suitability for Public Disclosure. Financial
sector organizations may use several forwardlooking metrics in various states of maturity
as inputs to capital allocation decisions.
However, while useful internally, thosemetrics may be considered proprietary or
may not meet an organization’s quality
standard for public disclosure.
Similar challenges are relevant to forwardlooking climate assessments outside of metrics.
However, the disclosures resulting from those
assessments can still be useful. For example, in
its recommended disclosure Strategy c) the Task
Force recommends that organizations describe
the resilience of their strategy, taking into
consideration different climate-related scenarios,
including a 2°C or lower scenario. Climate-related
scenario analysis has become more widely used
and robust since the Task Force released its
recommendations in 2017. In a 2019 TCFD survey
on effective disclosure aligned with the TCFD
recommendations, a select group of expert
users most often rated disclosure aligned with
Strategy c) “Very Useful.”26
Greater availability of high-quality emissions
data, future climate-related targets andstrategies, and convergence around businessrelevant climate-related scenarios or transition
pathways are needed to serve as a foundation
for developing more forward-looking metrics
that are useful for financial decision-making.
The Task Force encourages further work in theseareas and welcomes insights on how challenges
related to forward-looking financial sector
metrics could be addressed.

 ccording to data available through the Bloomberg Professional Service, only 8% of the nearly 11,500 companies in the BESGPRO Index
A
report Scope 3 GHG emissions.

23

Kepler Cheuvreux, Carbon Compass: Investor Guide to Carbon Footprinting, November 23, 2015, pp. 20–23.

24

In addition, emissions-focused metrics may lead to emphasis from clients or other stakeholders on near-term reductions in the metrics
and, consequently, incentivize divestment over engagement to achieve those reductions quickly.

25

 taker, Alexia; Garton, Alice; and Barker, Sarah, Concerns misplaced: Will compliance with the TCFD recommendations really expose companies
Sand directors to liability risk?, Commonwealth Climate and Law Institute, September 2017, pp. 10–11.

26

TCFD, 2020 status report, November 2020.

6

The Task Force on Climate-related Financial Disclosures

D. Metric for Consideration:
Implied Temperature Rise
A new climate-related metric that several
institutional investors have begun to use anddisclose is implied temperature rise (ITR).27
Implied temperature rise metrics aim to provide
a forward-looking view of carbon exposure thatcan be applied to a wide range of industries,
companies, and asset classes.
In its consultation, the Task Force seeks broad
input on whether, and how, ITR disclosure would
be useful in financial decision-making. It alsoseeks input on which types of organizations
might disclose ITR, which types of investments
an ITR disclosure could address, as well as its
limitations, potential challenges, and what might
be needed to improve its usefulness.

1. OVERVIEW

A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
Appendices

The ITR metric is expressed in a single
temperature unit or range that is comparable
to widely understood potential climate
outcomes (e.g., 1.5°C, 2°C, 3.5°C). As
summarized in Appendix 1: Examples of
Implied Temperature Rise Disclosure, a few
large asset owners and asset managers
currently disclose the implied temperaturerise of their portfolios. The extent to which ITR
is forward-looking depends on whether the
calculation methodology uses only historicalemissions data or if it also takes projected
GHG emissions into account. An example ofdisclosure on implied temperature rise over
two years is provided in Figure D1.

Figure D1

Example of Implied Temperature Rise Disclosure
5.0

Warming Potential

Table of Contents

An implied temperature rise metric attempts toestimate a global temperature rise associatedwith the greenhouse gas emissions of a single
entity (e.g., a company) or a selection of entities(e.g., those in a given investment portfolio, fund,or investment strategy). Expressed as a numericdegree rating, ITR incorporates current GHG
emissions or other data and assumptions toestimate expected future emissions associatedwith the selected entities. Then, the estimate
is translated into a projected increase inglobal average temperature (in °C) above
preindustrial levels that would occur if allcompanies in corresponding sectors had thesame carbon intensity as the selected asset(s).

4.6°C 4.6°C
4.0°C 4.0°C

4.0

3.5°C 3.6°C
2.9°C 2.8°C

3.0°C 3.0°C

AXA Corporate
AssetsBenchmarkCorporate
Assets

3.0

3.0°C

2.8°C

2.9°C 2.8°C

2.0
1.0

2018

AXA Sovereign
Benchmark
AXA Aggregate
Debt
Sovereign Debt

BenchmarkAggregate

AXA Divested
Coal Assets

2019

AXA, 2020 Climate Report: renewed action in a time of crisis, p. 2

27

 he ITR metric may be referred to by other names including portfolio warming, warming potential, degree warming, portfolio alignment,T
portfolio temperature, and temperature score.

7

The Task Force on Climate-related Financial Disclosures

While ITR can be used as an impact metricor communication and engagement tool, its
disclosure could also provide insight on climaterelated risks and opportunities associated withselect assets to better inform capital allocation
decisions. In alignment with the Task Force’s
supplemental guidance, a few asset owners thatcurrently consider ITR “in investment decisions
and monitoring” or “the positioning of their
total portfolio with respect to the transition
to a lower-carbon energy supply, production,and use,” including how they “actively manage
their portfolios’ positioning in relation to thistransition,” have begun to disclose ITR.28, 29
However, the ITR metric is new and still evolving.
There are several technical and methodologicalchallenges related to calculating ITR, nocommonly agreed terminology to refer to themetric, and little understanding of advancementsthat would be needed to improve the usefulnessof ITR disclosures.

2. POTENTIAL BENEFITS

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
Appendices

Based on input from several institutional investors
that use and disclose implied temperature rise, as
well as data and methodology providers, the Task
Force understands that ITR disclosure has thepotential to be useful in several ways. Appendix 1:
Examples of Implied Temperature Rise Disclosure
describes perspectives on the ITR metric from anasset owner and two insurance companies that
disclose ITR metrics.
Proponents of ITR disclosure note that it could
represent a proxy for climate-related transition
risks or opportunities associated with a selected
portfolio, fund, or investment strategy. For
example, ITR disclosure could inform the positionof an investment in relation to 1.5–2°C legislationand targets, or assist users with identifying
investment opportunities in line with their own
objectives. ITR disclosure could help the clientsand beneficiaries of financial institutions assess
strategic resilience and inform investment
strategies and portfolio allocation. ITR ratings
provided over time could also provide insight
into progress against strategic objectives ortargets. Although the underlying calculations
can be complex, the output could be used as adirectional indicator when compared to nationalemissions policies or commitments.

Disclosure by different types of organizations
within the financial sector may align withdifferent user needs as follows:• Disclosure by Asset Owners. Whether
asset owners invest directly or through asset
managers, they bear the outcomes of climaterelated transition and physical risks to which
their investments are exposed. Similarly, asset
owners can benefit from the potential returns
on the investment opportunities associatedwith a low-carbon transition. Climate-related
disclosure by asset owners allows beneficiaries
and other audiences to assess the asset
owners’ investment strategies and approaches
to managing their portfolios.
ITR disclosure could help asset owners’
beneficiaries make a forward-looking
assessment of an asset owner portfolios’
exposure to climate-related risks, theirability to capitalize on opportunities in the
low-carbon transition over time, and overall
investment strategy. Moreover, asset owners
sit at the top of the investment chain andtherefore their disclosure of ITR may encourage
better forward-looking disclosure across theinvestment chain, from other asset owners,
asset managers, and underlying companies.
An example of an asset owner’s perspective
on its ITR disclosure is described in Figure
A1-1 (p. 13) in Appendix 1: Examples of Implied
Temperature Rise Disclosure.
• Disclosure by Asset Managers. Assetmanagers’ clients, as owners of the underlying
assets within a portfolio, bear the potential
transition and physical risks to which theirinvestments are exposed. Similarly, they
enjoy the potential returns on opportunities
associated with the transition to a lower-carbon
economy. Clients and shareholders of asset
managers may use ITR disclosures as a proxy
to evaluate potential climate-related risks
and opportunities within portfolio allocation
decisions or as a key performance indicatorwithin an investment mandate.
As major clients of asset managers, asset
owners may depend on information fromasset managers to calculate and disclose
their own ITR assessment. An example ofdisclosure on the implied temperature rise ofa shareholder equity portfolio is described in
Figure A1-2 (p. 14) in Appendix 1: Examples of
Implied Temperature Rise Disclosure.

28

TCFD, Implementing the Recommendations of the Task Force on Climate-related Financial Disclosures, 2017, p. 17.

29

Novethic, 173 Shades of Reporting: Climate Spin-Off Season III, 2019.

8

The Task Force on Climate-related Financial Disclosures• Disclosure by Banks and Insurance
Companies. Banks and insurers serve avariety of beneficiaries and stakeholders,some of whom could use disclosure of ITR asa directional proxy for exposure to climaterelated risks. As such, disclosure of ITR bybanks and insurers could also indicate how
well positioned these institutions are to capture
opportunities for the transition to a low-carbon
economy. Users of disclosure must be able
to distinguish among banks’ and insurancecompanies’ exposures and risk profiles tomake informed financial decisions.30
However, current disclosures from banks
and insurance companies often omit key
parts of the business, for example capital
market financing for banks and underwriting
portfolios for insurers. In part, this is due toa lack of consistent ITR methodologies forlending and insurance portfolios.

3. CURRENT CHALLENGES

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise

While ITR may have potential to be an
informative metric, its calculation, disclosure, anduse are currently subject to several significant
challenges. Implied temperature rise is a newly
developed metric and therefore methodologies
and approaches are still evolving. Further work
and input from preparers and users of disclosure
will likely be needed to improve its quality andavailability. In addition to challenges generally
applicable to forward-looking metrics describedin Section C.3. Challenges of Forward-Looking
Information, ITR disclosure is currently subject
to the following:• Variation in Approaches and Outcomes.
In response to recent interest in ITR, several
NGOs and companies — including 2° Investing
Initiative, Arabesque, Carbon Delta, CDP, MSCI,
Science Based Targets Initiative, and Trucost— are developing a range of ITR calculation
methodologies. The methodologies vary widelyin their approaches, for example:- Some methodologies use company-specifichistorical emissions data while others take a“top-down” approach to allocate emissions
based on sectoral or geographical data.
- Methodologies vary in their use of Scope 1,
Scope 2, and/or Scope 3 GHG emissions. Someuse only Scope 1 data, while others use Scope
1 and 2, and yet others take Scope 1, 2, and 3
GHG emissions into account.
- Certain methodologies take cumulative
historical GHG emissions into account whileothers incorporate point-in-time assessmentsof emissions intensity.
- Some methodologies incorporate companyspecific future emissions targets, while others
take a “top-down” approach to estimate future
emissions based on sector or geography. Of
those that incorporate emissions targets,there are different criteria for the types oftargets that can and cannot be used.
- Methodologies may incorporate different
climate-related scenarios or emissions
pathways, or even utilize internal proprietary
future emissions pathways.
- Certain methodologies may be better suited
to assessing certain asset classes and mayvary in whether some asset classes are able tobe assessed at all.
	Different methodologies will lead to different
ITR estimates that are not directly comparable.
Variations in methodologies may also lead tounder- or overestimates of implied temperaturerise, and consequently an exaggerated
indication of climate-related risk.

Appendices

30

TCFD, Implementing the Recommendations of the Task Force on Climate-related Financial Disclosures, 2017, p. 23.

9

The Task Force on Climate-related Financial Disclosures• Coverage Limitations. Currently, calculationof ITR seems to be feasible only for certain
carbon-intensive sectors (e.g., utilities, oiland gas, and road transport) or specific asset
classes rather than for a fully diversified
portfolio. For example, of the ITR disclosure
examples provided in Table A1-1 (p. 13) ofAppendix 1: Examples of Implied Temperature
Rise Disclosure none specify 100% portfolio
coverage. Moreover, some available
methodologies may only include a limited
number of technologies and indicators, whileother important levers/indicators that areneeded to understand transition risks andopportunities in certain sectors may not be
included. Assessing other factors, such as
the company’s business model, historicalperformance, and management actions, mayalso be relevant but not taken into account intoday’s methodologies.
Challenges are to be expected in thedevelopment of new forward-looking metrics.
The Task Force recognizes that multiple
initiatives, comprised of investors and others,
are working to encourage more consistent ITR
disclosure and address its challenges.31, 32, 33

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
Appendices31

 or example, the Net-Zero Asset Owners Alliance, an international group of 27 institutional investors, has formed a working group thatF
is exploring methodologies related to the low-carbon transition including implied temperature rise metrics.

32

In December 2019, the Bank of England published a discussion paper proposing that, as part of a climate stress test, banks and insurers
submit to the Bank the implied temperature rise associated with their exposures. The stress test would not be prescriptive about how
to calculate ITR and would not require firm-level public disclosure.

33

 s background to support public input to the TCFD consultation, an external team of analysts from several financial institutions haveA
prepared an analytical report on ITR and other forward-looking climate assessment methodologies for the financial sector. Their reportwill be released on November 9, 2020 and sets out common building blocks across different methodologies, key judgments along which
methods differ, and initial views on best practices.

10

The Task Force on Climate-related Financial Disclosures

Appendix 1: Examples of Implied
Temperature Rise Disclosure
Certain financial institutions have begun to disclose implied temperature rise (ITR) estimatesover the past two years, including the nine organizations listed in Table A1-1. As shown in thecomparison, the estimates address various portions of the organizations’ portfolios and weredeveloped in collaboration with several methodology providers.

Table A1-1

Comparison of Select ITR Disclosures34
Organization

Disclosed ITR

Coverage

Emissions

Methodology
ProviderLocation ofDisclosure

Aviva

2.9°C (all)80% ofaggregate(incl. equities,
corporate credit,
sovereign,real estate,
infrastructure)

Scope 1 only

Carbon Delta

Aviva, Aviva
Climate-Related
Financial
Disclosure
2019, Metrics
and Targets
Summary, p. 3

AXA

3.2°C (equity)

95% coverage

Scope 1 only

Carbon Delta

A.
Background and Purpose

2.8°C (corporate
debt)

70% coverage

AXA, 2020
Climate Report,
p. 19

B.
Scope and Approach

2.8°C (sovereign
debt)

99.7% coverage

Banque deFrance>3°C>70% of equity
portfolios

Not specified

Trucost, 2°
Investing
Initiative

Banquede France,
Responsible
Investment
Report 2020,
p. 18

BNP Paribas
Cardif

2.3–4.3°C(equity)

Not specified

Not specified

BNP Paribas,
2019 TCFD
Report, p. 41

2.2–3.1°C(bonds)

Not specified

Not specified

Science-Based
2°C Alignment(lower bound),Carbon Impact
Analytics (upperbound)

Table of Contents

C.
Forward-Looking
Financial Sector Metrics

Beyond Ratings

D.
Metric for Consideration:
Implied Temperature Rise
AppendicesContinued on next page34

 nderlying methodologies for calculating implied temperature rise vary from vendor to vendor. Example disclosures listed in Table A2-1
U
did not specify targets used within the ITR calculations.

11

The Task Force on Climate-related Financial Disclosures

Table A1-1: Comparison of Select ITR Disclosures(Continued)

Organization

Disclosed ITR

Coverage

Emissions

Methodology
ProviderLocation ofDisclosure

CNP

2.8°C

ca 78% coverage

Scope 1, 2, and 3

Carbone 4

CNP Assurances,
2018 CSR
Report, p. 41

Government
PensionInvestment
Fund (GPIF)>3°C

ca 50%–60% ofeach asset class

Scope 1 and 2

TrucostGPIF, GPIF
Climate Related
Risk Assessment
2019, p. 28

Ircantec

2.1°C (equity)

Not specified

Not specified

3°C (bonds)

Not specified

Not specified

I Care & Consult,
Beyond Ratings,
Carbone 4

Ircantec, Climate
Actions and ESG
Report, p. 35

ca 43% coverage

Not specified

Baringa

Legal & General,
TCFD Report
2019, p. 12

85% of portfolio

Not specified

Carbone 4

Legal & General

2.9°C (equity)
3.1°C (bonds)

Table of Contents
A.
Background and Purpose

SCOR

3.7–3.8°C

Scor, 2018
Climate Report,
p. 37

B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
Appendices

12

The Task Force on Climate-related Financial Disclosures

Excerpts from an asset owner’s disclosure of ITR are provided in Figure A1-1.

Figure A1-1

Asset Owner Perspective on ITR Disclosure
In 2019, the Japanese Government Pension Investment Fund (GPIF), the world’s largest pension fund,undertook and disclosed the results of a climate-related portfolio risk assessment. The resulting report
includes a variety of disclosures such as carbon footprint metrics, fossil fuel and stranded asset exposure
metrics, and implied temperature rise metrics, referred to as “temperature trajectory” in the report.
GPIF worked with the data provider Trucost to provide ITR ratings at an aggregate level for all assets undermanagement as well as for various asset classes and sectors within its portfolio. The disclosure covers
a ten-year period (2012–2023) to show current information, historical changes, and future projections.

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise

GPIF’s report describes the relevance of the ITR metrics as follows: “Companies with emissions significantly
above what is required to be in line with a low-carbon transition pathway, are likely to be impacted more bycurrent or future constraints on GHG emissions. The [disclosure] presented aims to highlight leaders andlaggards at the company level, as well as overall portfolio performance and performance by sector.”
However, GPIF also notes that current data gaps limit the usefulness of ITR in decision-making. A lack ofemissions data on some asset classes allows GPIF to estimate ITR only for about 50%–60% of their assets.

Appendices

GPIF, GPIF Climate Related Portfolio Risk Assessment, pp. 28–31

13

The Task Force on Climate-related Financial Disclosures

Excerpts from an insurance company’s disclosure of ITR are provided in Figure A1-2.

Figure A1-2

Insurance Company Perspective on ITR Disclosure
Aviva Group, a diversified fund manager and general insurance and pension provider, has included an ITR
rating since 2018 in its annual climate-related disclosures. Aviva’s reports include a wide range of metrics forclimate transition and physical risk, including levels of investment in green assets, carbon foot printing,climate Value-at-Risk, and weather-related losses.
Aviva worked with Carbon Delta to derive its ITR rating for its shareholders funds’ credit, equities, and realestate as a weighted average of individual issuers’ warming potential. As shown below, Aviva reports its 2019
rating alongside its 2018 rating to show Aviva’s year-to-year progress.

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
Appendices

Aviva describes its use of ITR ratings as exploratory, noting that Aviva “is exploring the uses of a numberof different emerging metrics designed to help analyse the alignment of investment portfolio to the Paris
Agreement’s target of limiting the global temperature rise to well below 2°C. However, we fully anticipate
that these approaches will evolve over time and be improved in the light of new research, data andemerging best practice. We have fed this analysis into investment strategy reviews of our business.”
Aviva notes that the level of coverage of its ITR rating continues to evolve. Aviva discloses that only 80%
of shareholder funds were analyzed, which nonetheless represents an increase in coverage from 2018
due to the inclusion of real estate, sovereign bonds, and green assets.

Aviva, Aviva Climate-Related Financial Disclosure 2019, Metrics and Targets Summary, p. 3
Aviva, Aviva Climate-Related Financial Disclosure 2019, p. 17

14

The Task Force on Climate-related Financial Disclosures

Excerpts from an insurance company’s disclosure of ITR are provided in Figure A1-3.

Figure A1-3

Insurance Company Perspective on ITR Disclosure
BNP Paribas Cardif, the international insurance company associated with BNP Paribas Group, has publishedinformation on the temperature alignment of its directly owned equity and bond portfolios since 2017.
Due to a lack of methodological consensus, BNP reports results from two different providers: Carbon
Impact Analytics and the Science-Based 2°C Alignment. While both methodologies are largely based on theInternational Energy Agency’s 2°C scenario (2DS), they yield significantly different results. These differences
are largely due to how Carbon Impact Analytics’ method reflects current carbon performance of companies,
without adjusting for potential or promised reduction efforts.
BNP notes that it “presents the results of both methods to foster discussion in the marketplace. By
researching and assimilating new appropriate metrics, climate-related goals can be incorporated in longterm investment decisions.”

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
Appendices

BNP Paribas, BNP Paribas TCFD Report 2019, p. 41

15

The Task Force on Climate-related Financial Disclosures

Appendix 2: Examples of Climate
Value-at-Risk Disclosure
Value-at-Risk (VaR) measures the size of the loss
a portfolio may experience, within a given time
horizon, at a particular probability. Climate VaRquantifies the size of loss attributable to climaterelated financial risks by comparing the value of
assets in a world with climate change relative tothe same world without climate change.35
Given that Climate VaR is a relatively new metric,
there are few available methodologies and thosethat are available are not yet fully transparent orcomparable. Generally, estimates of climate VaR
could take a bottom-up or top-down approach:• A bottom-up approach would be built
around a relatively detailed portfolio analysis
model, which takes as its input various
macroeconomic variables and goes on tomodel the returns to different asset classes
in different countries or regions. It is modeland data-intensive, and it is unclear whether
the uncertainty inherent in providing thishigh level of detail would provide particularly
accurate estimates.
• A top-down approach uses a simple macroeconomic model that has been integrated
with emissions and climate modules. A small
number of integrated assessment models ofclimate change exist, which have been built inorder to estimate the economic cost of climatechange. However, these can be conservative intheir estimates as they can fail to fully accountfor the full range and deep uncertainty ofclimate impacts.

Figure A2-1

Excerpt from an Asset Manager’s Climate VaR Disclosure
Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
Appendices

AXA Investment Managers, Article 173 – TCFD combined report, p. 35

35

Economist Intelligence Unit, The Cost of Inaction: Recognising the Value at Risk from Climate Change, 2015.

16

The Task Force on Climate-related Financial Disclosures

A few financial institutions have disclosed
information on their use of climate VaR
and climate VaR estimates related to theirportfolios. Figure A2-1 (p. 16) and Figure A2-2

include examples of climate VaR disclosuresfrom an asset manager and an insurancecompany, respectively.

Figure A2-2

Excerpt from an Insurance Company’s
Climate VaR Disclosure
Aviva’s Climate VaR measure
Climate-related risks and opportunities have the potential to affect insurers’ balance sheets as well as thelong-term business model. Traditional approaches based largely on backward looking analysis may need tobe refined or enhanced to capture these risks going forward. In order to address this challenge, Aviva hasdeveloped a Climate VaR measure, in conjunction with the UNEP FI investor pilot project and Carbon Delta
as well as Elseware (a risk management and quantification expert consultancy). This measure enables thepotential business impacts of future climate-related risks and opportunities to be assessed in each of the
IPCC scenarios and in aggregate (see Appendix for more details of our Climate VaR methodology) as well as
providing an indication of the resilience of our strategy…
Calculated on a like for like basis the YE18 and YE19 Climate VaRs are similar, indicating that Aviva’s overall
exposure to climate-related risks and opportunities remains broadly unchanged.

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
AppendicesFigure 9 compares a plausible range of outcomes (5th to 95th percentile) from our Climate VaR analysis forthe different scenarios considered. Consistent with last year, Aviva is most exposed to the business-as-usual(BAU) 4°C scenario where physical risk dominates, negatively impacting long-term investment returns onequities, corporate bonds, real estate, real estate loans and sovereign exposures. The aggressive mitigation
1.5°C and 2°C scenarios are the only scenarios with potential upside. Physical risk impacts are more limited
but there is still downside risk on long-term investment returns from carbon intensive sectors (for example
utilities) as a result of transition policy actions. This is offset partially by revenues on new technologies fromsome sectors (for example automotives).
When aggregated together to determine an
overall impact of climate-related risks andopportunities across all scenarios, the plausible
range is dominated by the results of the 3°C and
4°C scenarios, reflecting that neither existing norplanned policy actions are sufficiently ambitious
to meet the 1.5°C Paris Agreement target. In
the 1.5°C scenario transition risk is larger thanphysical risk (see figure 10) even after taking into
account mitigating technology opportunities. In
the 2°C scenario, transition and physical risks are
somewhat balanced, whereas in the 3°C and 4°C
scenarios physical risk dominates…
We will continue to develop and incorporate
Climate VaR into our overall strategy, risk
management and reporting frameworks. In
particular, we will further refine and improve our
Climate VaR approach in the light of new researchand data as well as emerging best practiceincluding using output from the UNEP FI Insurance
TCFD pilot.

Aviva, Aviva Climate-Related Financial Disclosure 2019, pp. 14–15

17

The Task Force on Climate-related Financial Disclosures

Appendix 3: Glossary
CLIMATE-RELATED OPPORTUNITY refers to
the potential positive impacts related to climatechange on a company or organization. Efforts
to mitigate and adapt to climate change canproduce opportunities for companies, such as
through resource efficiency and cost savings, theadoption and utilization of low-emission energy
sources, the development of new products andservices, and building resilience along the supply
chain. Climate-related opportunities will varydepending on the region, market, and industry
in which an organization operates.

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
Appendices

CLIMATE-RELATED RISK refers to thepotential negative impacts of climate change
on a company or organization. Physical risks
emanating from climate change can be eventdriven (acute) such as increased severityof extreme weather events (e.g., cyclones,
droughts, floods, and fires). They can also relate
to longer-term shifts (chronic) in precipitationand temperature and increased variability inweather patterns (e.g., sea level rise). Climaterelated risks can also be associated with thetransition to a lower-carbon global economy, themost common of which relate to policy and legal
actions, technology changes, market responses,
and reputational considerations.
CLIMATE VALUE-AT-RISK measures the sizeof the loss a portfolio may experience, within agiven time horizon, at a particular probability
attributable to climate-related financial risks.
GOVERNANCE refers to “the system by which
an organization is directed and controlled
in the interests of shareholders and otherstakeholders.”36 “Governance involves a setof relationships between an organization’s
management, its board, its shareholders, andother stakeholders. Governance provides the
structure and processes through which theobjectives of the organization are set, progressagainst performance is monitored, and results
are evaluated.” 37

GREENHOUSE GAS (GHG) EMISSIONSSCOPE LEVELS38• Scope 1 refers to all direct GHG emissions.
• Scope 2 refers to indirect GHG emissions
from consumption of purchased electricity,heat, or steam.
• Scope 3 refers to other indirect emissions
not covered in Scope 2 that occur in the value
chain of the reporting company, including both
upstream and downstream emissions. Scope
3 emissions could include: the extraction andproduction of purchased materials and fuels,transport-related activities in vehicles not
owned or controlled by the reporting entity,
electricity-related activities (e.g., transmission
and distribution losses), outsourced activities,
and waste disposal.39
IMPLIED TEMPERATURE RISE (ITR) refers
to an estimate of a global temperaturerise associated with the greenhouse gas
emissions of a single entity (e.g., a company)
or a selection of entities (e.g., those in a given
investment portfolio, fund, or investment
strategy). Expressed as a numeric degree
rating, ITR metrics incorporate current GHG
emissions or other data and assumptions toestimate expected future emissions associatedwith the selected entity or entities. Then theestimate is translated into a projected increasein global average temperature (in °C) above
preindustrial levels that would occur if allcompanies in corresponding sectors had thesame carbon intensity as the selected asset(s).
NET-ZERO refers to achieving an equal balance
between GHG emissions produced and GHG
emissions removed from the atmosphere.
RISK MANAGEMENT refers to a set ofprocesses that are carried out by a company
or organization’s board and management
to support the achievement of its objectives
by addressing its risks and managing the
combined potential impact of those risks.

36

Cadbury, A., Report of the Committee on the Financial Aspects of Corporate Governance, London, 1992.

37

 rganisation for Economic Co-operation and Development (OECD), G20/OECD Principles of Corporate Governance, OECDO
Publishing, Paris, 2015.

38

 orld Resources Institute and World Business Council for Sustainable Development, The Greenhouse Gas Protocol: A Corporate
W
Accounting and Reporting Standard (Revised Edition), March 2004.

39

 orld Resources Institute and World Business Council for Sustainable Development, The Corporate Value Chain (Scope 3)
WAccounting and Reporting Standard, April 16, 2014.

18

The Task Force on Climate-related Financial Disclosures

SCENARIO ANALYSIS is a process for identifying
and assessing a potential range of outcomes of
future events under conditions of uncertainty.
In the case of climate change, for example,
scenarios allow an organization to explore anddevelop an understanding of how the physicaland transition risks of climate change may
impact its businesses, strategies, and financial
performance over time.

SECTOR refers to a segment of companies
performing similar business activities in an
economy. A sector generally refers to a large
segment of the economy or grouping of businesstypes, while “industry” is used to describe more
specific groupings of companies within a sector.

STRATEGY refers to an organization’s desired
future state. An organization’s strategy
establishes a foundation against which it canmonitor and measure its progress in reachingthat desired state. Strategy formulation generally
involves establishing the purpose and scope ofthe organization’s activities and the nature ofits businesses, taking into account the risks andopportunities it faces and the environment inwhich it operates.

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
Appendices

19

The Task Force on Climate-related Financial Disclosures

Appendix 4: References
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Aviva. Aviva Climate-Related Financial Disclosure 2019, Metrics and Targets Summary. 2019. https://www.aviva.com/content/dam/aviva-corporate/documents/socialpurpose/pdfs/climate-relatedfinancial-disclosure-dashboard-2019.pdf.
AXA. 2020 Climate Report: Renewed Action in a Time of Crisis. 2020. https://www-axa-com.cdn.axacontento-118412.eu/www-axa-com%2F3800520b-ce0f-4aa7-908d-3ec367b21d39_2020_climate_report_axa.pdf.
AXA Investment Managers. Article 173 – TCFD Combined Report. April 2020. https://www.axa-im.com/
documents/20195/607482/AXA+IM+Art+173_TCFD+report+2020_EN+Final.pdf/75285f5c-ea5c1b7f-79f1-d244dd67ad26?t=1588253218494.
Bank of England. Discussion Paper: The 2021 Biennial Exploratory Scenario on the Financial Risks
from Climate Change. December 2019. https://www.bankofengland.co.uk/-/media/boe/files/
paper/2019/the-2021-biennial-exploratory-scenario-on-the-financial-risks-from-climate-change.
pdf?la=en&hash=73D06B913C73472D0DF21F18DB71C2F454148C80.
Banque de France. Responsible Investment Report 2020. 2020. https://www.banque-france.fr/sites/
default/files/media/2019/03/26/banque-de-france-responsible-investment-report-2018_0.pdf.
BNP Paribas. 2019 TCFD Report. 2019. https://group.bnpparibas/uploads/file/bnpparibas_tcfd_report_
en.pdf.

Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
AppendicesBoyd, Emma Howard. “Climate Change: Is Your Equities Portfolio Too Hot to Touch?” Financial Times.
July 16, 2019. https://www.ft.com/content/16c15e67-8e5d-30b7-87a9-0b98a3d0d0ad.
Cadbury, Adrian. Report of the Committee on the Financial Aspects of Corporate Governance. London,
1992. http://cadbury.cjbs.archios.info/report.
CDP. CDP Full GHG Emissions Dataset 2019 Summary. 2019. https://6fefcbb86e61af1b2fc4c70d8ead6ced550b4d987d7c03fcdd1d.ssl.cf3.rackcdn.com/comfy/cms/files/files/000/003/025/
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Climate Finance Leadership Initiative. Financing the Low-Carbon Future. 2019. https://assets.bbhub.io/
company/sites/55/2019/09/Financing-the-Low-Carbon-Future_CFLI-Full-Report_September-2019.
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CNP Assurances. 2018 CSR Report. 2018. https://www.cnp.fr/en/the-cnp-assurances-group/newsroom/
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Upscale Action by 2020 and Achieve Net Zero CO2 Emissions by 2050. December 11, 2019. https://
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Dietz, Simon; Bowen, Alex; Dixon, Charlie; and Gradwell, Phillip. "Climate Value at Risk’ of Global
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Economist Intelligence Unit. The Cost of Inaction: Recognising the Value at Risk from Climate Change. 2015.
European Central Bank. Guide on climate-related and environmental risks: Supervisory expectations
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Government Pension Investment Fund. GPIF Climate Related Portfolio Risk Assessment. September 6,
2019. https://www.gpif.go.jp/en/investment/trucost_report_en.pdf.

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Intergovernmental Panel on Climate Change. Global Warming of 1.5°C: Summary for Policymakers.
October 2018. https://www.ipcc.ch/site/assets/uploads/sites/2/2018/07/SR15_SPM_version_
stand_alone_LR.pdf.
Ircantec. Climate Actions and ESG Report. 2018. https://www.ircantec.retraites.fr/sites/default/files/
public/actionsclimat19_en2_0.pdf.
Jorion, Phillipe. "How Informative Are Value-at-Risk Disclosures?" The Accounting Review. October
2002. https://www.jstor.org/stable/3068876?seq=1.
Kepler Cheuvreux. Carbon Compass: Investor Guide to Carbon Footprinting. November 23, 2015. https://www.longfinance.net/media/documents/Kepler_Cheuvreux_2015_-_Carbon_Compass.pdf.
Legal & General. TCFD Report 2019. https://www.legalandgeneralgroup.com/media/17720/lg_
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Monetary Authority of Singapore. Proposed Guidelines on Environmental Risk Management (Banks). 2020.
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Net-Zero Asset Owners Alliance. “UN-Convened Net-Zero Asset Owner Alliance.” 2020. https://www.
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final_version_v6.pdf.
NewClimate Institute, Germanwatch, and 2° Investing Initiative. Developing Criteria to Align
Investments with 2°C Compatible Pathways. May 2015. https://newclimate.org/wp-content/
uploads/2015/06/2015-06-01-investments-global-temperature-increase.pdf.
Table of Contents
A.
Background and Purpose
B.
Scope and ApproachC.
Forward-Looking
Financial Sector Metrics
D.
Metric for Consideration:
Implied Temperature Rise
AppendicesNovethic. 173 Shades of Reporting: Climate Spin-Off Season III. 2019. https://www.novethic.fr/fileadmin/
user_upload/tx_ausynovethicetudes/pdf_complets/Novethic_2019_173-Shades-of-ReportingSeason3.pdf.
S&P Global. Trucost Carbon Earnings at Risk: Forward-looking Estimates of Financial Risk. 2019. https://www.spglobal.com/en/Perspectives/IIF-2019/Trucost-Carbon-Earnings-at-Risk.pdf.
Scor. 2018 Climate Report. 2018. https://www.scor.com/sites/default/files/scor_esg_2018_en.pdf.
Staker, Alexia; Garton, Alice; and Barker, Sarah. Concerns Misplaced: Will Compliance with the TCFD
Recommendations Really Expose Companies and Directors to Liability Risk? Commonwealth Climate
and Law Institute. September 2017. https://www.smithschool.ox.ac.uk/research/sustainablefinance/publications/CCLI-TCFD-Concerns-Misplaced-Report-Final-Briefing.pdf.
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TCFD. Implementing the Recommendations of the Task Force on Climate-related Financial Disclosures.
June 29, 2017. https://www.fsb-tcfd.org/wp-content/uploads/2017/12/FINAL-TCFD-AnnexAmended-121517.pdf.
World Resources Institute and World Business Council for Sustainable Development. The Greenhouse
Gas Protocol: A Corporate Accounting and Reporting Standard (Revised Edition). March 2004. https://
ghgprotocol.org/corporate-standard.

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For more information, please visit fsb-tcfd.org
Nothing in this document constitutes an offer or a solicitation of an offer to buy or sell a security or financial instrument or investment advice orrecommendation of a security or financial instrument. The Task Force on Climate-related Financial Disclosures believes the information herein
was obtained from reliable sources but does not guarantee its accuracy. Copyright 2020 The Task Force on Climate-related Financial Disclosures.