Table of contents

Foreword 3

Abbreviations and acronyms 6

Executive summary 7

1 Report objective and analytical approach 9

1.1. Report objective 10

1.2. Analytical method 11

References 12

2 Disclosure frameworks relevant for prudential risk assessment 15

2.1. Chapter objective 16

2.2. EU climate and sustainability regulatory framework 16

2.3. Supervisory requirements for climate-related risks 19

2.4. Voluntary frameworks for climate-related risks 22

2.5. Fragmented disclosure metrics undermine uniform climate reporting 25

References 26

Notes 27

3 Monitoring progress towards net-zero commitments in practice 29

3.1. Chapter objective 30

3.2. Overview of disclosed climate risk-related information 30

3.3. Banks 33

3.4. Pension funds 38

3.5. Insurers 40

3.6. What metrics and information are best suited for net-zero alignment? 41

References 44

Notes 45

4 Supervisory challenges 47

4.1. Chapter objective 48

4.2. Assessing prudential risks based on publicly disclosed information 48

4.3. Comparability and data quality challenges 51

4.4. The role of internal data in addressing comparability and data quality challenges 55

4.5. Considerations for supervisors and policymakers 57

References

5 Framework for risk-assessment of net-zero commitments in the financial sector 63

5.1. Chapter objective and structure 64

5.2. Quantitative risk assessment of legal and reputational risks of net-zero commitments and

climate-related prudential risks 66

5.3. Qualitative risk assessment of legal and reputational risks of net-zero commitments and

climate-related prudential risks 71

Annex A. International comparison of high-level emissions-related information 75

Annex B. Details on disclosure frameworks and reporting of financial institutions in

practice 77

References 85