华能集团改善资产负债建议方案

-1-EnvironmentalRiskAnalysisResearchYinHongEnvironmentalRiskAnalysisResearchProgram,ICBCContent3.TypicalCases1.Overview2.GreenCreditSystem1.Overview2.GreenCreditSystem3.TypicalCases1.Overview2.GreenCreditSystem1.Overview2.GreenCreditSystem3.TypicalCases1.Overview2.GreenCreditSystem1.Overview2.GreenCreditSystem3.ESGRating1.Background2.Stresstest

1.1BackgroundClimatechange,environmentalandresourceconstraintshavebeenbecomingglobalissues.InChina,aftermorethan30years’high-speeddevelopment,theproblemsofenvironmentpollutionandhighresourceconsumptionarebecomingincreasinglyprominent.Theenvironmentalriskconfrontingenterpriseskeepsgrowingandmassdisturbanceshappenoccasionally.Thesefactorsbringthecommercialbankspaymoreattentiontoenvironmentalandreputationalriskthaninthepast.Chinahasalreadyincludedthe“ecologicalcivilizationconstruction”aspartofnationalstrategy,it’sexpectedthattheenvironmentalemissionstandardswouldbetightenedconstantly,andthecreditriskoftraditionallyheavypollutingsectorswouldbebecomingmoresignificantinthefuture.ThisstresstestingisonemajortaskoftheGreenFinanceCommitteeofChinaSocietyforFinanceandBanking.AttherequestoftheCommittee,ICBChaslaunchedthestresstestingprogramsincethebeginningof2015.Besidesthestresstesting,ICBCalsodevelopedtheESGIndex.1.2Significances4

EnvironmentalRiskAnalysisQuantifytheeffectofenvironmentalfactorsoncreditrisk.1Providemethodologyforpricingofcreditandinvestmentproductsacountingenvironmentalrisk.25Helpbanksadjustcredit,investmentportfolio&otherbusinessstructure.3Provideareferenceforbankingregulatorswhentheyconsiderenvironmentalrisks.Provideareferenceforbankingregulatorswhentheyconsiderenvironmentalrisks.4Provideareferenceforbankingregulatorswhentheyconsiderenvironmentalrisks.forbankingregulatorswhentheyconsiderenvironmentalrisks.5Offera

toolforquantificationofenvironmentalrisksoastodivertfundstogreeninvestment.

Provideareferenceforbankingregulatorswhentheyconsiderenvironmentalrisks.1.3

ICBCReleasedtheStressTestingStudyOn23rdMarch2016,ICBCreleasedtheachievementsfromthe“StudyontheStressTestingfortheImpactofEnvironmentalFactoronCreditRiskofCommercialBanks”atthe“Thefutureofgreenfinanceinternationalevent”inLondon.Andrewvoyseysays,thishaspowerfulimplicationsforfirmsofalltypes.Asknowledgeandmethodologiesdeveloptoenablefinancialinstitutionstofactorenvironmentalrisksintodecisionsaboutwheretheyputtheirmoney,firmsseekingtoraisedebt,maintaintheirequityvalueorbuyinsurancemayincreasinglyfindthattheirmanagementofenvironmentalfactorsisadecisivefactorintheircostof,orevenaccessto,capital.SeanKidney,CEOandcofounderoftheClimateBondInitiative,saidtheICBCresearchishelpfultoaccelerateglobalgrowthofthegreen-financemarket.MatsOlausson,senioradviserofclimateandsustainablefinancialsolutionsattheSEB,said“whatICBChasdoneisapplaudable,andhighlightsthefactthatincreasinglythefinancialindustryneedstoconsidersustainabiliyintheirdaytodayactivities.”1.4

DifferenceBetweenStressTestandESGIndexstresstestESGRatingforcastingfuturehypotheticalsenariostruthfuldatareflectthepastContent3.TypicalCases1.Overview2.GreenCreditSystem1.Overview2.GreenCreditSystem3.TypicalCases1.Overview2.GreenCreditSystem1.Overview2.GreenCreditSystem3.TypicalCases1.Overview2.GreenCreditSystem1.Overview2.GreenCreditSystem3.ESGRating1.Background2.Stresstest

2.1Notions

Climateandenvironmentproblemshavedistinctexternalities.Bothexternaleconomyandexternaldiseconomygeneratedfromenvironmentchangescanbeconvertedintoendogenousvariablesintheproductionandoperationofenterprises.Theinternalizedenterpriseenvironmentcostwillimpacttherisksofcommercialbanks.environmentalfactorswillexaggeratebusinessriskofcommercialbanksinatleastthreeways:1、creditrisk2、theriskoftakingajointliability3、reputationrisk

Relatively,thecreditrisk,asthemainriskconfrontedbycommercialbanks,isconsideredasthefocusofourresearchproject.2.2

ModelRelationshipbetweenRiskExposureofBankLoansandEnvironmentalRisk:enterprise’sloandemand:lendingrate:environmentalrisk:bankloans:depositrate:lendingrate:environmentalriskAmodeltoillustratestheimpactofenvironmentalriskonenterprisesandbanks’lendingrisk.2.3

Basicprocess

Stresstest`s6steps:1.selectingtheportfoliostobetested;2.selectingthestressfactorsandindicatorstobeapplied;3.selectingstress-bearingobjectsanddeterminingstress-bearingindicators;4.buildingscenarios;5.constructingthetransmissionmodel;6.performingthestresstestandanalysingresultsFlowChartofStressTest：

2.4Methodology

Firstly,Webeginourstresstestingincementindustry

andthermalpowerindustry,whichareamongthehigherpollutionandhigherenergycomsuptionindustriesinChina.

Secondly,wemeasuretheimpactofstricterenvironmentalstandardsonenterprises`unitcost,underthreedifferentscenarios:mild,moderate,severe.Intermsofcementindustry,wetake3aspectspoliciesintoacount,includingonemissionsstandardsenhancement,sewagechargesstandardimprovment,wastedisposalassistance.

Intermsofthermalpowerindustry，wetakeacount3aspectspolicies,includingon

emissionsstandardsenhancement,sewagechargesstandardimprovment,thedifferenceofregionalstandards.

Thirdly,conductstresstestinICBC’Sfinancialtransmissionmodel.wemeasuretheimpactofenterprises'unitcostincreaseoncreditrating,probabilityofdefault(PD)andnon-performingloanratio(NPLR)forthosetwoindustries2.5casestudy:

ThermalPowerWithregardstothethermalpowerindustry,theresearchgroupconstructedheavy,mediumandlightstressscenariosfortheenergysavingandemissionsreductionofthermalpowerfirmsaccordingto:thestandardsreleasedbytheMinistryofEnvironmentalProtection(endof2014),thestandardsoftheStateCouncil(endof2015),andthespeciallimitsforeasternareasreleasedbytheStateCouncil(endof2020).Basedonthat,theimpactofincreasingpollutantdischargefeesbyfour,threeandtwotimesonfirmcostswastakenintoconsideration.2.5casestudy:

ThermalPower2.5casestudy:

ThermalPower

Results:1、stricterenvironmentalprotectionstandardsimposegreatcostpressureonthethermalpower

industry,buttheindustrywillmaintainstableonthe

whole,owingtothesteadygrowthofthemacroeconomy

andhugedemandforelectricitygenerated

intheprocessofChina’sindustrialization.2、enhancedenvironmentalprotectionstandards

willhavemajorstructuralimpactonthethermal

powerindustry;particularly,smallandmediumsized

firms(SMEs)willbeconfrontedwithobvious

financialpressures,2.5casestudy:

ThermalPowerPolicyrecommendations:thefirstistomaintainexistingAAA

customersandcontinuetoattractnewhigh-qualitycustomers

fromthefivemajorpowercompanies.Thesecondistopay

attentiontotheimpactofchangesinenvironmentalprotection

policyonthefinancialcostandcreditriskoffirmswiththerating

ofAA+andbelow,especiallythe

corporatecustomerswiththe

possibilityofbeingdegradedtoBBB+andbelow.Thethirdis

toattachgreaterprioritytoopportunitiestograntloanstofirms

withenergysavingandemissionsreductionplans.Thefourth

istolayemphasisontheupstreamanddownstreammarket

segmentsgeneratedduetoenvironmentalprotectiontechnology,e.g.solidwastetreatmentindustry.Thefifthistostrictly

controltheaccesstofundingforthermalpowerfirmsthatviolate

environmentalprotectionlawsandregulations..2.5casestudy:StealWesetthestressscenariosbyconsideringtwomain

factors:pollutiontreatmentpressureandemissionreductionpressure.Firstly,analyzingthemajorprocesseswhichconsumeresourcesandenergyinlargeamounts.Thesintering(palletizing),ironmakingandsteelmakingprocessesarechosenasmajorpollutiondischargesourcesforanalysis.

Secondly,mainlytakingintoaccountsmokedust,industrialdust,SO2,NOx,andVOCs.Accordingtotheinvestigationresults,thesteelindustrynowhasalmostbeenabletorecycleallwastewaterwithoutdischarginganyofitoutside.Therefore,thecostofwaterpollutantdischargeisexcludedfromconsiderationofthisstresstest.2.5casestudy:Steal2.5casestudy:StealPolicyrecommendations:1.Generalindustryestimates:Thesteelindustrydemonstratessignsofrecoveryanditstotalsizewilldecreaseslightlywithoutcompromisingitsstabilityinthefuture.However,asthede-capacitydriveandthereformonsupplysidetakeeffect,theindustrywillseeitsconcentrationontherise,anditsleadingandbackbonecompaniesareabletogainaconsiderablespaceforfurtherdevelopment.2.Commercialbanksshouldcontinuetheirdifferentiatedcreditpoliciesandseizemoremarketopportunities.3.Althoughlarge-sizedmajorsteelcompaniescanwithstandgreatcostarisingfromenvironmentalprotectioninput,theinfluenceofthede-capacityandthesupply-sidereformonthemstillrequirescloseattention.Effortsaretobemadetohelpthembuilduptheawarenessofriskprevention.

Content3.TypicalCases1.Overview2.GreenCreditSystem1.Overview2.GreenCreditSystem3.TypicalCases1.Overview2.GreenCreditSystem1.Overview2.GreenCreditSystem3.TypicalCases1.Overview2.GreenCreditSystem1.Overview2.GreenCreditSystem3.ESGIndex1.Background2.Stresstest

ICBC'sESGRating:ThreelevelsFrameworkESGRatingEnvironmentSocialGovernanceEmissionIntensityPenaltyPolicy&DisclosureClassificationofEnvironmentalFriendlessLevel1:

3DimensionLevel2:Specific

Content

LaborProtectionLaborTrainingPublicWelfareComprehensiveAssessmentEmergencyEventComprehensiveAssessmentOperationFootprintAnti-CorruptionTaxTransparencyBusinessEthicsComplianceOperationLevel3:KPIsPolicy&DisclosurePolicy&DisclosureESGRating:HighlightsBasedonthepracticeofgreencreditandriskmanagementofChina.Diversityandreliabilityofdatasourcesimprovedratingaccuracyandeffectiveness.Highlightedenvironmentalfactorsinthewholeassessmentsystem.Developedindexoperationmanagementsystemanddatasourcesystematthesametime.ResultsoftheESGRatingonSSE180Enterprisestheaverageperformanceofenvironmentandgovernanceisbetterthansocialresponsibility.enterprisesvaryalotintheirESGperformance,whichismainlycausedbyinformationdisclosurequalityandenvironmentalperformance.thoughthereisapositivecorr