20210610-瑞士信贷集团-The_Carbon_Cycle_Series_The_carbon_transition_risk_continuum_31页_1mb

报告摘要

Summary of The Carbon Cycle Series: The Carbon Transition Risk Continuum

Core Content

The Carbon Cycle Series, launched by Credit Suisse ahead of the 26th UN Climate Change Conference of Parties in Glasgow, focuses on the key market debates around carbon transition risk. The series emphasizes the need for investors to understand and manage the risks associated with the shift to a low-carbon economy, particularly in the context of accelerating climate policy, shareholder activism, and regulatory changes.

The report introduces the Carbon Transition Risk Toolkit (CTRT), a framework designed to help investors assess the risk of carbon transition at the sector, portfolio, and benchmark level. The CTRT evaluates Materiality, Momentum, and Resilience to provide a comprehensive view of carbon risk exposure.

Main Points

Global Climate Commitments and Emissions Gap

131 countries account for 73% of global emissions and have committed to net zero by 2050.
There is still a significant emissions gap, with 24 GtCO2-e not covered by current targets.
To meet the Paris Agreement, emissions need to be reduced by 7.6% annually until 2030.
The abatement gap creates policy risk and is expected to increase carbon prices.

Carbon Transition Risk Toolkit (CTRT) Overview

The CTRT helps investors benchmark portfolios, identify embedded carbon risks, and stress test carbon price scenarios.
It uses over 25 carbon price trajectories from the IPCC, IEA, and World Bank to model different warming outcomes.
The framework assesses:
- Materiality: The size of the carbon risk relative to the sector and earnings.
- Momentum: The change in emissions and carbon intensity over the past 5 and 3 years.
- Resilience: The ability of companies to reduce emissions and adapt to carbon pricing.

ASX200 Emissions and Carbon Earnings at Risk (CEAR)

94% of emissions in the ASX200 come from six sectors: Metals & Mining (33%), Utilities (18%), Telco (16%), Energy (14%), Materials (8%), and Industrials (5%).
Companies with the highest CEAR exposures are SKI, AGL, S32, and ORG.
Companies with the lowest transition risk are REA, PRN, and FMG.
Under a US$25 carbon price, US$106bn of earnings is at risk globally.
Under a US$100 carbon price, CEAR for emission-intensive sectors could reach 80% and for energy sectors over 300%.

Asia Pacific Exposure

1,217 companies in the Asia Pacific coverage universe are analyzed.
Under a low carbon price, CEAR in emission-intensive industries is above 10% on average.
The 20 stocks with the lowest risk rank over 80%, while the 20 with the highest risk rank below 22%.
Investors are increasingly pricing in carbon risk, which can significantly impact alpha and portfolio performance.

Policy and Regulatory Developments

EU has introduced the Carbon Border Adjustment Mechanism (CBAM), which may position Australia as a carbon price taker.
Australia may face policy changes such as lowering emissions via the Safeguard Mechanism, which could affect ACCU market and earnings.
Regulators in Singapore, China, India, Japan, and Hong Kong are introducing mandatory climate-related disclosures and stress testing.
Climate litigation is increasing, with corporate entities like Shell facing legal challenges to reduce emissions.

Carbon Pricing Trends

There are 64 carbon pricing initiatives globally, covering 24% of emissions.
Current carbon prices are significantly lower than what is needed to align with the Paris Agreement.
The IMF estimates the global average carbon price is only US$2/tCO2.
The IPCC and IEA suggest carbon prices could rise to US$100/tCO2 by 2030 and over US$200/tCO2 by 2050.

Investor Actions

The Net Zero Asset Managers initiative has 87 signatories with $37tn in AUM, committed to net zero by 2050.
ClimateAction 100+ has released a Net Zero Company Benchmark, requiring investors to engage with 167 focus companies.
Shareholder activism is intensifying, with ExxonMobil and Chevron under pressure to improve climate strategies.

Key Metrics and Tools

Toolkit Section	Metric	Units	Description
Materiality	Carbon Emissions	Tonnes CO2e	Measures absolute emissions across scope 1, 2, and 3
	Carbon Intensity	Tonnes CO2e/Revenue, Tonnes CO2e/EBITDA	Normalizes emissions to compare company and sector performance
	Carbon Earnings at Risk (CEAR)	% of EBITDA	Estimates earnings loss under carbon price scenarios
Momentum	Change in carbon emissions	% change over 5 years	Tracks the evolution of emissions
	Change in carbon intensity	% change over 3 or 5 years	Measures how emissions intensity has evolved
Resilience	Ability to abate	Ratio of CEAR from scope 1 to scope 1 and 2	Indicates how much risk is inherent to the business model
	Emission Policy	Yes/No	Checks if a company has an emissions policy
	Emission Target	Yes/No	Checks if a company has an emissions target aligned with the Paris Agreement
	Track Record	% reduction over 5 years	Measures if emissions have been reduced in line with the Paris Agreement

Conclusion

The report underscores the increasing importance of carbon risk in investment decision-making. As climate policy accelerates, carbon prices are expected to rise, and investors must understand their exposure to these risks. The CTRT is a key tool for portfolio benchmarking, risk identification, and scenario stress testing. With emissions-intensive sectors facing the greatest risk, companies with low transition risk such as REA, PRN, and FMG are better positioned for the future. The gap between current and necessary carbon prices is a major concern, and policy changes, litigation, and regulatory shifts are likely to further increase transition risk.