CLIMATE VALUE-AT-RISK HIGHLIGHT
Neuberger Berman has implemented top-down scenario analysis for modelling transition and physical risks at the company level in line with the recommendations of the Task Force on Climate-Related Financial Disclosures (TCFD). Multiple scenarios estimate the impact of warming average temperatures at levels of less than 1.5°C, 2°C and 3°C. The analysis measures physical climate risks, such as the impact of extreme weather events, wildfires and floods, as well as transition risks, which are business risks associated with the net-zero transition. Different securities and companies will have varying levels of exposure to physical risk depending on the nature of their business models and physical locations. Additionally, the analysis considers potential regulatory costs, as well as technology opportunities related to low-carbon technology solutions for companies that need to comply with GHG reduction requirements. This scenario analysis currently focuses on our listed public equity and corporate-issuer fixed income holdings in the firm’s U.S. mutual funds and international UCITS range. The portfolio analytics output helps us understand the Climate Value-at-Risk (“CVaR”) for the portfolio.
EQUITIES CLIMATE VALUE-AT-RISK Over 15 Years
FIXED INCOME CLIMATE VALUE-AT-RISK Over 15 Years
1.5 DS
2 DS
3 DS
1.5 DS
2 DS
3 DS
0%
0%
-4%
-4%
-8%
-8%
NB equity book climate Value-at-Risk vs. benchmark is lower in varying scenarios.
NB FI book climate Value-at-Risk vs. benchmark is lower in varying scenarios.
-12%
-12%
-16%
-16%
NB Fixed Income Book
Blended Benchmark
Benchmark
NB Equity Book
2021 ESG ANNUAL REPORT
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