2024與氣候有關的風險和核算報告 Climate-related risks and accounting

Climate-relatedrisksand

accountingApril2024

ESRB

EuropeansystemicRiskBoard

EuropeansystemofFinancialsupervision

Climate-relatedrisksandaccountingApril2024Contents

1

Contents

Executivesummary2

1Introduction5

2Conceptualandmethodologicalconsiderations10

2.1Theboundariesoffinancialreporting10

2.2Climate-relatedrisks,accountingandfinancialstability12

3Mainissuesidentified17

3.1Theextenttowhichmarketpricesincorporateclimate-relatedrisks17

3.2Thevaluationofnon-financialassetsandliabilities20

3.3Theincorporationofclimatefactorsintomodels24

Box1ECBobservationsonclimatechangeinexpectedcreditlosses24

3.4Disclosures27

4Conclusionsandpolicydiscussion29

References33

Annex1:Workonclimate-relatedrisksbyESMAinitsroleascoordinatorofaccounting

enforcers36

EuropeanCommonEnforcementPriorities36

ECEPassessment37

Reporttitled“Theheatison:disclosuresofclimate-relatedmattersinthefinancial

statements”39

Nextsteps39

Annex2:ESRSE1Climatechange41

Annex3:IFRSaccountingstandardsandthemainissuesidentified45

Imprintandacknowlegements46

Climate-relatedrisksandaccountingApril2024Executivesummary

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Executive

summary

Thisreportanalyseshowclimate-relatedrisksareaddressedinInternationalFinancialReporting

Standards(IFRS)andreflectedinfinancialstatementspreparedinaccordancewiththose

standards,allfromafinancialstabilityperspective.ItconsidersongoingworkbytheIFRS

Foundation,theEuropeanCommissionandtheEuropeanSecuritiesandMarketsAuthority

(ESMA).Thereportdoesnot,however,discusssustainabilitystandards(e.g.,theEuropean

SustainabilityReportingStandardsorthoseissuedbytheInternationalSustainabilityStandardsBoard),exceptwheretheyrelatetoconnectivity.

Climate-relatedriskscanaffectaccounting,aswellastherelevance,reliabilityandmaterialityof

theinformationdisclosedinthefinancialstatements.Theimpactsofclimate-relatedrisksshouldbeincludedinthefinancialstatementstotheextentthattherecognitioncriteriasetoutinIFRS

accountingstandardsaremet–onlyinthatcasewilltheeconomiceventsandtransactions

carryingthoserisksresultinanasset,liability,incomeorexpense,gainorlossbeingreportedin

thefinancialstatements.Forthisreason,financialstatementsmaynotalwaysbeabletofully

capturetheimpactsofclimate-relatedrisksonareportingentity’sfinancialposition,resultsand

risks.Inparticular,financialstatementsmaynotadequatelyreflect(i)risksthatmaterialisebeyondthetimehorizonoverwhichtheentityexpectstoderiveeconomicbenefitsfromitsassetsandcashoutflowstosettleitsliabilities,and(ii)thefutureactionsthatanentitymaybecompelledtotakein

ordertomitigateandaddressclimate-relatedrisksandtooperateasagoingconcern.Inthis

regard,prevailinguncertaintyaboutthefutureimpactandtimingofthematerialisationofclimate-relatedrisksisanimportantfactortoconsiderwhenassessingtheextenttowhichaccounting

shouldreflectsuchrisks.

Althoughaccountingisnotprimarilymeanttofosterfinancialstability,thereareatleastthreechannelsoftransmission:(i)transparency,(ii)behaviouralresponseofeconomicagentstoaccountinginformation,and(iii)regulation(asaccountingiseitherthestartingpointorkey

referencepointwhendefiningprudentialrequirementsforregulatedfinancialinstitutions).

Accountingforclimate-relatedriskscouldaffectfinancialstabilitythroughanyorallofthesethree

channels.Moreover,whilefinancialinstitutionshaveonlylimiteddirectexposuretoclimate-relatedrisks,theirinteractionswiththerealeconomy(i.e.,throughloans,insurancecontractsorholdingsof

securities)indirectlyexposethemtoclimate-relatedrisks.Thewayinwhichnon-financial

corporationsincludeclimate-relatedrisksintheirfinancialinformationmayalsoraisefinancialstabilityconcerns.

Withtheseconsiderationsinmind,theEuropeanSystemicRiskBoard(ESRB)hasassessedhowclimate-relatedrisksareaddressedinexistingIFRSaccountingstandardsandreflectedinfinancialstatements,identifyingfourrelevantissuesforfinancialstability:

1.Theincompleteincorporationofclimate-relatedrisksinmarketpricescancauseassetstobeoverestimatedorliabilitiestobeunderestimated,affectingbothfinancialinstitutions(mainly

throughholdingsoffinancialassets)andnon-financialcorporations(particularlythrough

tangibleassetsmeasuredatfairvalue,suchasinvestmentproperty).Theexpectationwouldbeformarketpricestograduallyincorporateclimate-relatedfactors,asthetransitiontoalow-

carboneconomyunfoldsandastheuncertaintysurroundingthephysicalimpactsofclimate

changedissipates.However,ascenarioofsuddenadjustmentcannotbecompletelyruledout.Forinstance,thiscouldoccurintheeventofasuddenanddisorderlytransition,orduetonon-linearitiesandthesuddenmanifestationofthephysicalimpactsofclimatechange.Inany

case,havingclimate-relatedrisksreflectedinthemarketpriceofassetsisanissuethatgoesbeyondtheaccountingrealmandshouldbeaddressedbyappropriatepolicytools.1

2.Theeffectofclimate-relatedrisksontheinitialandsubsequentvaluationofnon-financial

assetsandliabilities,includingproperty,plantandequipment,intangibles,goodwill,provisionsandoff-balancesheetitems(e.g.,contingentliabilities).Failingtofullyincluderelevantclimate-relatedrisksinimpairmenttestsfornon-financialassetsmaydistorttheirvaluation,affecting

non-financialcorporationsand,indirectly,thefinancialsectorthroughtheirexposuresthereto.Asacaseinpointnowadays,failuretoadequatelyconsiderclimate-relatedriskswhenvaluingrealestate,whichplaysanimportantroleascollateralinbanklending,couldaffectfinancial

stabilityintheeventofsuddenvalueadjustments.Moreover,non-financialcorporations

operatingincertainsectorsmayfailtoadequatelyreportclimate-relatedliabilitiesduetotheprevailinguncertaintyaboutthefuturefinancialimpactsoftheserisks,amongotherfactors.

3.Theincorporationofclimatefactorsintothemodelsusedtoestimateexpectedcreditlosses

underIFRS9FinancialInstrumentsorexpectedcashflowsfrominsurancecontractsaccordingtoIFRS17InsuranceContracts.Itmaybeoperationallydifficultforbanksandinsurance

corporationstoincorporateclimate-relatedrisksintotheirmodels,astheywouldneedto

frequentlycollect,reviewandupdatereliableandsufficientlygranularsustainabilitydata.

Furthermore,inthecaseofcatastropherisksandinsurancecorporations,relyingexcessivelyonpastdatacouldleadtoinaccurateestimatesofinsuranceliabilities.

4.Disclosures.Effortsshouldbemadetoenhancedisclosurerequirementsabouthowclimate-relatedrisksarereflectedinthefinancialstatements.EvenifIFRSaccountingstandards

containimplicitrequirementstodiscloserelevantinformationonclimate-relatedrisks,thoserequirementsmaygounnoticedandbecomeineffective,particularlyifdrivenbyastrong

judgementalcomponent.Thisputstheonusonenforcingappropriateinterpretationand

applicationofIFRSaccountingstandards.Furthermore,expandingtheexistingdisclosurerequirementswithoutdueconsiderationoftheunderlyingestimatesanddatasourcescouldhaveunintendedconsequences.

Thefourissuesidentifiedultimatelyrelatetotheexistinguncertaintyaboutthematerialisationofclimate-relatedrisks.Theyalsoshowthatclimate-relatedrisksarevieweddifferentlyamong

stakeholdersandrevealalackofcommonlyacceptedandsoundmethodologiesforestimatingtheirfinancialimpact.Thisincreasestheriskofdelayedrecognitionofclimate-relatedrisksinthe

financialstatements,whichcouldinturnleadto“informationshocks”ifsuddenchangesmustbe

madetothefinancialstatementsasexpectationsareabruptlyreassessed,potentiallydamaging

financialstabilityviafiresales,highercostofcapitalandsuboptimalallocationofresources.Evenifoutsidetheaccountingrealm,furtherworkshouldbecarriedoutonmethodologiestoobjectively

1See,amongothers,EuropeanCentralBankandEuropeanSystemicRiskBoard(2022and2023).

Climate-relatedrisksandaccountingApril2024Executivesummary

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gaugetheimpactofclimate-relatedrisks,inordertoensurecomparabilityandaggregationoftheimpactsdisclosedbyindividualinstitutions.

TheESRBhasconsideredpossibleactionsrelatedtothedesignandimplementationofIFRS

accountingstandardsthatcouldbebeneficialforthetimelyandaccurateincorporationofclimate-relatedrisksintothefinancialstatements.2

Withregardstotheirdesign,IFRSaccountingstandardsgenerallyallowanentitytoreflectclimate-relatedrisksinthefinancialstatements,withintheboundariesoffinancialreporting.However,

severalamendmentscouldprovebeneficialforusersofsuchfinancialinformationand,indirectly,

forfinancialstability.Theseamendmentsrelateto(i)theapplicationofthematerialityprinciple

underIAS1;(ii)theadditionofclimatefactorstothelistofindicatorsofimpairmentunderIAS36;

(iii)howIAS37shouldbeappliedinviewofclimate-related-risks;and(iv)disclosurerequirements,examplesandguidanceonhowclimate-relatedrisksshouldbeincorporatedintotheestimationofexpectedcreditlossesandthefairvalueoffinancialinstruments(affectingIFRS7andIFRS13).

Workontheaccountingtreatmentofpollutant-pricing(i.e.,carbon-pricing)mechanismsshouldalsobeprioritised.

TurningtotheimplementationofIFRSaccountingstandards,regulators,microprudential

supervisorsand/oraccountingenforcersshouldconsiderdevelopingguidanceondisclosuresbyfinancialinstitutions,onhowclimate-relatedriskscanaffecttheexpectedcreditlossestimatesofbanks,andonhowtocomputecashflowsfrominsurancecontractsdirectlyexposedtoclimate

factors(includingnaturalcatastropheeventsandhomeinsuranceinareasmostaffectedby

climate).Disclosurewouldbeanotherareawarrantingfurtherattentionbyregulators,microprudentialsupervisorsand/oraccountingenforcers.

Giventheboundariesofaccounting,sustainabilitystandardsarecrucialwhenitcomestodisclosingthelong-termfinancialimpactsofclimate-relatedrisks.Theentryintoforceofsustainability

standardswillnothavetheintendedeffectsifreportingentitiesdonotproperlyconnect

sustainabilityinformationwithfinancialinformationintheirfinancialstatements.Insufficient

connectivitycanleadtoduplicationsanddivergentdisclosuresunderfinancialandsustainability

reporting,and,morebroadly,deterioratethequalityoftheinformationdisclosedtocapitalmarkets,withpotentialconsequencesforfinancialstability.Toavoidsuchanundesirablescenario,further

workinthisareabytherespectivestandard-setterswouldbewelcome.

Lastbutnotleast,thescopeoftheassuranceworkcarriedoutbyauditorsiscrucialinthisregard.

Auditorscanplayanimportantrole,particularlywhenassessingexistingdisclosuresand

challengingestimatesaffectedbyclimate-relatedrisks.Furthermore,ensuringthatsustainabilityreporting(includingtransitionplans)issubjecttoassuranceworkaspartofstatutoryauditscouldbeavaluabletoolinaddressingthelackofconnectivitybetweenaccountingandsustainability

standards.WorkbytheInternationalAuditingandAssuranceStandardsBoardatthegloballevelandbytheCommitteeofEuropeanAuditOversightBodiesattheEUlevelisafirststeptowardsequippingauditorswithacommonapproachtotheassuranceofsustainabilityinformation.

2Theterm“implementation”shouldnotbeinterpretedinconnectionwithRegulation(EC)No1606/2002oftheEuropeanParliamentandoftheCouncilof19July2002ontheapplicationofinternationalaccountingstandards,butratherinthetraditionalsenseoftheprocessofputtingadecisionorplanintoeffect.

Climate-relatedrisksandaccountingApril2024Executivesummary

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Climate-relatedrisksandaccountingApril2024Introduction

5

1Introduction

Inrecentyears,theEuropeanSystemicRiskBoard(ESRB)hasbeenanalysingaccountingissuesthatcouldaffectfinancialstability,withastrongfocusontheirmacroprudential

policyimplications.Startingin2017withthepublicationofareportcommissionedbythe

EuropeanParliamentonthefinancialstabilityimplicationsofIFRS9FinancialInstruments,3theESRBhasbeenanalysingtheexpectedcreditlossapproachunderIFRS9,themacroprudentialimplicationsoffinancialinstrumentsatfairvalueclassifiedunderLevels2and3,andIFRS17

InsuranceContracts.4Thesepublicationsprovideevidenceoftheinteractionbetweenaccountingandfinancialstability.

Inthisreport,theESRBanalyseshowclimate-relatedrisksareaddressedinaccounting

standardsandreflectedinfinancialstatements,takingafinancialstabilityperspective.5Inparticular,thereportassesses,fromafinancialstabilityperspective,whetherthecurrentbodyof

IFRSaccountingstandardscontainsadequaterequirementsandposesnorestrictionstoreportingentitiesin(i)recognisinginanadequateandtimelymanner,(ii)consistentlyestimating,and(iii)

fullypresentinganddisclosingtheimpactofclimate-relatedrisksinIFRSfinancialstatements.6Assuch,thereportislimitedtoIFRSaccountingstandardsanddoesnot,therefore,covernational

accountingstandardsoraddressthenon-financialpartoftheannualreport.Ingeneral,IFRS

financialstatementscomprise,asaminimum,thestatementoffinancialposition(balancesheet),thestatementofprofitorlossandothercomprehensiveincomefortheperiod,thestatementof

changesinequity,thestatementofcashflows,thenotes,andcomparativeinformationas

prescribedbyIFRSaccountingstandards.7Asidefromtheinformationonclimate-relatedrisks

containedinthefinancialstatements,theremaybefurtherreferencestosuchrisksinotherpartsoftheannualreport,suchasthemanagementreportorthecorporategovernancestatement,which

arenotcoveredbythisreport.8

BasedonthedefinitionsprovidedbytheFinancialStabilityBoard(2020a),thisreport

considersbothphysicalandtransitionriskswithintheexposure-riskframeworkasdefinedbytheECB/ESRB(Figure1).9TheFinancialStabilityBoard(2020a)definesphysicalrisksasthepossibilitythattheeconomiccostsoftheincreasingseverityandfrequencyofclimatechange-

relatedextremeweatherevents,aswellasmoregradualchangesinclimate,mighterodethevalue

3SeeEuropeanSystemicRiskBoard(2017).

4SeeEuropeanSystemicRiskBoard(2019a,2019b,2020aand2021a).

5FollowingtheterminologyoftheFinancialStabilityBoard(FSB),thereportusestheterm“climate-relatedrisks”.Itcanbetreatedasasynonymof“climaterisks”,whichisalsousedinthefield.

6Climatechangepresentsnotonlyrisksbutalsoopportunities,althoughthisreportfocusesontherisks.

7SeeIAS1.10.

8SeeArticle19andArticle20ofDirective2013/34/EU.

9ThesedefinitionsarebroadlyconsistentwiththoseprovidedbytheBaselCommitteeonBankingSupervision(2021).

AccordingtotheBaselCommitteeonBankingSupervision,physicalrisksarethoserelatedto“economiccostsand

financiallossesresultingfromtheincreasingseverityandfrequencyof:(i)extremeclimatechange-relatedweatherevents(orextremeweatherevents)suchasheatwaves,landslides,floods,wildfiresandstorms(i.e.,acutephysicalrisks);(ii)

longer-termgradualshiftsoftheclimatesuchaschangesinprecipitation,extremeweathervariability,oceanacidification,andrisingsealevelsandaveragetemperatures(i.e.,chronicphysicalrisksorchronicrisks);and(iii)indirecteffectsof

climatechangesuchaslossofecosystemservices(e.g.,desertification,watershortage,degradationofsoilqualityor

marineecology).”Meanwhile,transitionrisksaredefinedas“therisksrelatedtotheprocessofadjustmenttowardsalow-carboneconomy”.

offinancialassets,and/orincreaseliabilities.Transitionrisksrelatetotheprocessofadjustmenttowardsalow-carboneconomy.Physicalandtransitionrisksthusdefinedareplacedinan

exposure-riskframework,whichidentifiessystem-widevulnerabilitiesaswellasinstitution-specificvulnerabilities(EuropeanCentralBankandEuropeanSystemicRiskBoard,2022).

Figure1

Climate-relatedexposure-riskframework

Source:EuropeanCentralBankandEuropeanSystemicRiskBoard(2022).

Thisreportdoesnotelaborateonpotentialamendmentstotheprudentialframeworkto

addressthesystemicimpactofclimate-relatedrisks,andnordoesitaddresstheinteractionbetweentheprudentialframeworkandaccounting.Rather,thescopeofthisreportislimitedto

areflectiononclimate-relatedrisksinIFRSaccountingstandardsandtheresultingfinancial

statements.Consequently,itdoesnotdiscusshowtheprudentialframeworkcouldbeusedby

authoritiestopreventormitigatethefinancialstabilityimpactsofthematerialisationofclimate-

relatedrisks.10IntheEU,thereareongoingdiscussionsonhowclimate-relatedriskscouldleadtoamendmentstothecapitalrequirementsforbanksandinsurancecorporations(EuropeanBankingAuthority,2023;EuropeanInsuranceandOccupationalPensionsAuthority,2023).11While

acknowledgingthepossibleroleofprudentialregulation,thisreportdoesnotperformany

comparativeanalysisonthebenefitsandcostsofusingprudentialregulationtoaddressclimate-relatedrisks.

TheIFRSFoundation,theEuropeanCommissionandESMAhavebeencarryingoutvaluable

workintherealmofaccountingandclimate-relatedrisks.12TheInternationalAccounting

StandardsBoard(IASB)oftheIFRSFoundation,whichissuesIFRSaccountingstandardsand

interpretationsthereof,hasissuedtwonotesonhowclimate-relatedrisksmightinteractwithIFRS

10Recommendationsonadequateriskmanagementwithinfinancialinstitutionscouldalsocontributetoalleviatingtheimpactofclimate-relatedrisksbutareneitherthegoalofthisreport.

11SeealsoEuropeanCentralBankandEuropeanSystemicRiskBoard(2023).

12SeealsoMartínezandPérezRodríguez(2023).

Climate-relatedrisksandaccountingApril2024Introduction

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accountingstandards(Anderson,2019;InternationalFinancialReportingStandardsFoundation,2023).InMarch2023theIASBlaunchedaprojecttoexplorewhetherandhowcompaniescan

providebetterinformationaboutclimate-relatedrisksintheirfinancialstatements,andin

September2023itinitiatedtargetedactionstoimprovethereportingofclimate-relatedandother

uncertaintiesinthefinancialstatements.13MovingtotheEuropeanUnion(EU),respondentstoa

consultationontheRenewedSustainableFinanceStrategyin2020identifiedseveralareasinIFRSaccountingstandardsthatcouldhampertheadequateandtimelyrecognitionandconsistent

estimationoftheimpactofclimate-relatedrisks,particularlyinrelationtoimpairment,provisions

andcontingentliabilities(EuropeanCommission,2020).Followingonfromthatconsultation,the

EuropeanCommissionisworkingwithEFRAG(theEuropeanFinancialReportingAdvisoryGroup),ESMA,theIASBandtheindustrytoensurethatfinancialreportingstandardsareabletocapture

relevantsustainabilityandclimate-relatedrisks.Additionally,theEUTaxonomyRegulationwas

adoptedin2020,withtheaimofcreatingadictionaryofactivitiesconsideredgreenandeffectiveincombating“greenwashing”practices.Recently,ESMAhasflaggedclimate-relatedmatterswith

regardtofinancialinformationasanenforcementpriority.14

ThisreportdoesnotconsidersustainabilitystandardsissuedbytheInternational

SustainabilityStandardsBoard(ISSB)ortheEuropeanSustainabilityReportingStandards

(ESRS).InNovember2021,theIFRSFoundationdecidedtocreatetheISSB,todelivera

comprehensiveglobalframeworkforsustainability-relateddisclosures.TheIFRSaccounting

standardsandtheIFRSsustainabilitystandardsissuedbytheISSBshouldcomplementeachothertoprovideinvestorsandothercapitalmarketparticipantswithcomprehensiveinformationtomeet

theirneeds.Inthissense,neitherofthosesetsofstandardsshouldbeconsideredinisolation.

ISSBstandardsrelatetodisclosuresonmaterialsustainability-relatedfinancialrisksand

opportunitiesandarenotdirectlydrawnfromtheIFRSaccountingframework.On26June2023theISSBissuedfinalisedstandardsongeneralsustainability-relateddisclosurerequirementsandon

climate-relateddisclosurerequirements.15InNovember2022EFRAGissued12ExposureDraftsofESRScoveringenvironmental,socialandgovernancetopics.16TheCommissionadoptedthefirst

setofESRSasDelegatedActsinJuly2023andpublishedtheminDecember2023.17Annex2

describesthecontentofESRSE1ClimateChange.Furtherstandard-settingactivitiesareongoingregardingasecondsetofESRS,includingsector-specificstandardsandotherstandardstailoredtolistedsmallandmedium-sizedentities,scheduledforJune2024.TheESRSandthefirsttwo

standardsissuedbytheISSBatthegloballevelweredevelopedinparallelandinclose

cooperation,resultinginaveryhighdegreeofalignment,asevidencedbyoverlappingsectionsofISSBstandardshavingbeenintegratedintotheEUframework.18Suchalignmentdoesnotcallinto

13See

IASBinitiatesprojecttoconsiderclimate-relatedrisksinfinancialstatements.

14Annex1describesinfurtherdetailtheworkofESMAinthisarea.

15See

ISSBissuesinauguralglobalsustainabilitydisclosurestandards.

16See

PublicconsultationonthefirstsetofDraftESRS

and

FirstsetofdraftESRS.

17See

CommissionDelegatedRegulation(EU)2023/2772of31July2023supplementingDirective2013/34/EUofthe

EuropeanParliamentandoftheCouncilasregardssustainabilityreportingstandards.

18SeeEuropeanCommission,

QuestionsandAnswersontheAdoptionofEuropeanSustainabilityReporting

Standards.

Climate-relatedrisksandaccountingApril2024Introduction

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questiontheconsistencyofESRSwiththeEU’sownlegalframeworkandtheobjectivesoftheEuropeanGreenDeal,whicharebroaderinscopethantheISSBstandards.19

Connectivitybetweenaccountingandsustainabilitystandardsisimportanttoensurethattheybothcontributetotheprovisionofaccurateinformationtothepublic.Insustainabilityreporting,connectivityreferstothedirectconnectionbetweensustainabilityinformationand

informationinthefinancialstatementsorthegeneralledger(EFRAG,2021).20Theconceptofconnectivityislinkedtotheprovisiontothepublicofasetofcoherentandcomprehensive

informationintheannualreport(Figure2).Thesustainabilityreport,whichisbasedon

sustainabilitystandards,shouldcomplementandsupplementtheinformationcontainedinthe

financialstatements,whichisbasedonaccountingstandards.IntheEUcontext,ESRS1GeneralRequirementscallsforreportingentitiestoconnecttheirsustainabilityinformationwiththe

informationtheydiscloseinthefinancialstatements.21Moreprecisely,ESRSE1ClimateChangerequiresareconciliationofassetsandnetrevenuelinkedtomaterialphysicalriskstospecificlineitemsinthefinancialstatements.22ThisisoneofthedifferencesbetweenIFRSS2Climate-relatedDisclosures(issuedbytheISSB)andESRSE1,asIFRSS2doesnothaveasimilarrequirement.

Connectivityshouldalsopreventoverlapofinformationindifferentpartsoftheannualreport

(EFRAG,2021).23Alackofconnectivitybetweensustainabilityandaccountinginformationcandiminishtransparency,withpotentiallyadverseimpactsonthecredibilityoftheinformation

disclosed,thusweakeningmarkettrust.

19FormoreinformationontheEuropeanGreenDeal,see

TheEuropeanGreenDeal-Strivingtobethefirstclimate-

neutralcontinent.

20Whilethiscouldbedefinedas“direct”connectivity,itwouldalsobepossibletodefine“indirect”connectivityasreferringtosustainabilitydisclosuresthatcannotbedirec