Case Study: Building a comprehensive climate strategy at a bank covering both sides of the double materiality

Situation

Our client faced the challenge of navigating the growing sustainable finance landscape and to identify the most fitting climate change methodologies for steering its corporate credit portfolio towards a climate-positive portfolio as well as identifying the appropriate road ahead with respect to climate-related risks.

• Creating a common understanding for different methods and their requirements especially in terms of data
• Developing a consistent understanding of climate scenarios across organization
• Integrating climate scenarios into the existing credit approval process
• Collecting CO₂ data of companies in the corporate loan book

Our Approach

The team supported the client in two work streams:

• Climate strategy workshops: Based on our long-term experience and participation in method development in the market as well as our extensive network we analysed and discussed the climate scenario basis as well as different methods for climate target setting and climate risk analysis in cross-organizational workshops. Through rapid prototyping different target options were tested on chosen sub-portfolios. This workstream resulted in two roadmaps: 1) Science Based Targets roadmap and 2) TCFD roadmap.
• Scenario analysis: Following the TCFD commitment of the bank, the corporate loan book was analysed with Climate Excellence w.r.t. transition and physical risks. Through selected sector deep dives the integration into the credit approval process and the probability of default calculations was tested.

Project result

• Workshop-based concept with interactive sessions for cross-functional teams creating a solid knowledge and support basis for all climate efforts ahead
• Comprehensive scenario analysis for physical and transition risk for the entire corporate loan book as well as overview of key risk drivers and financial impacts for a variety of sectors
• On-the-fly testing of integration options
• Cross-cutting PwC Team with technical engineering as well as financial expertise