富时罗素--评估绿色经济：绿色收入和欧盟分类法.docx

sAUTHORSJaakko KooroshyHead of SI Data & Methodologies, ISD +44 0 7557 782101 Lily DaiSenior SI Research Lead, ISD +44 0 7890 382666 Lee ClementsHead of SI Solutions, ISD +44 0 207 797 3812 Market NavigationSustainable Investment I Green RevSizing the gree Green Revenues EU taxonomySeptember 2020OverviewThe greening of the global economy presents significant opportunities to investors. However, investors and policymakers face a common challenge: How can green business activities be systematically identified, categorized, and measured across diverse sectors, supply chains and asset classes to mobilize investment at scale?The EU Taxonomy is an ambitious regulatory initiative that aims to address this challenge. However, while the EU Taxonomy will set out a catalogue of green criteria, it leaves it to markets to assess individual companies against these criteria.Yet in their current form, corporate disclosures are typically insufficient-FTSE Russell research has found that less than 30% of companies with green revenues provide disclosures that are granular enough to allow investors to systematically break out and quantify companies, green business activities.The research paper explains the need for green taxonomies, summarizes the development of and approaches taken by the EU Taxonomy and the FTSE Russell Green Revenues Classification System (GRCS), and examines the overlaps and points of difference between the two approaches. Crucially, it explains how GRCS dataset can provide a steppingstone for investors to comply with the requirements of the EU Taxonomy regulation.ftserussell Other financial products will need to state that “The investments underlying this financial product do not take into account the EU criteria for environmentally sustainable investments."We expect that regulations surrounding disclosure against the Taxonomy will over time generate much greater volumes of dataand higher quality dataabout sustainable economic activity. This data will facilitate more sophisticated analytics that will help investors anticipate and respond to emerging trends in the green economy. In turn, these will help to inform policymakers as they seek to encourage investment that facilitates the transition to sustainable global economy.However until companies globally, not only those in the EU, provide full transparency on the extent to which taxonomy-aligned activities contribute to their revenues and capital expenditures, it will prove challenging to precisely measure the green exposure of global investment portfolios and calculate the size of the green economy. See more details s: The requirement for related disclosure by companies covered by the EU's Non-Financial Reporting Directive will, over time, address this issue (at least for companies covered by the NFRD), but it is likely to take time for standardized disclosures to emerge. Investors must, therefore, choose datasets that provide the best proxy to measure alignment with the EU Taxonomy.Section 3: FTSE RusselPs Green RevenuesClassification System (GRCS)FTSE RusselPs Green Revenues Classification System (GRCS) was created to help investors and financial markets to better identify companies with green products and services, track their performance and facilitate the construction of financial products that seek exposure to such companies.It offers a practical solution to the challenges that financial market participants face in complying with the EU Taxonomy Regulation. Indeed, in undertaking its financial impact assessment of the Taxonomy, the Joint Research Centre of the European Commission used the FTSE Russell Green Revenues data to estimate the share of financial investments that are currently funding EU Taxonomy-eligible activities. European Commission Joint Research Centre (2019), The EU Sustainability Taxonomy: a Financial Impact AssessmentThe GRCS identifies green products and services across the whole value chain covering 10 green sectors, 64 subsectors and 133 micro sectors (see Figure 2), based on seven environmental objectivesall six environmental objectives set by the European Commission, plus "sustainable and efficient agriculture.nFigure 2 The Green Revenues Classification System 2.0Bio FustsENERGY GENERATION EG 19EHERGY MANAGEMENTAND EFHCIENCY EM 13ENERGY EQUIPMENT EQ 22ENVIRONMENTAL RESOURCES ER 11ENV1RONMENIAL SUPPORTSERVICES ES 5Bio FutHnEnvircrmental CansutanaesFinance A Irwstmen!Cogeneration EquipmentEnergy Management Logtsxs & Support Fossil Fue>s IntegratediSmart City Design & EngineenngCogenerationFossi FuelsBuidngs & Property (Integrated | ControlsAitif<anced & bgM Materuiis Key Raw Mneralit & Metds RecycktUe Products & F«1ateriabFuel CelsHydroNudearfT ProcessesGeothennalOcean & TidartSohrbghbngPaw-f StorageSmart & Efficient GridsHydroNuclearOcean & TidsalIndustnal ProcessesSustanatie Property OpensrccSotefFOOD& AGRICULTURE FA17TRANSPORT EQUIPMENT TE 12TRANSPORT SOLUTIONS TS 9WASTE & POLLUTION CONTROL WP 15WATER INFRASTRUCTURE & TECHNOLOGY (Wl 10AgncuttureAvisietanOperatorOeaner PowerAdvanced Irrabon Systems & DevKxsAquacdtureRaik'jysRoad VtehiotesDeccrrtamination Services & DeucesDesain aiKxiUnd ErosionRoad thictesVidpo ConferencingEnvircrwnental Testing & Gaa SensingRood ControlLcgsbcsShippingParbdes & Emi55k3n Redjctkxi DevicesMeteorologic SdiZonsFood Safety,Processing &Sustanbie PackagngRecycing EqucirnentNa!皿 Disaster ReparseSustanabte RantaticnsRecyclng ServkjsWaiter InfrastructureWaste MsanagefnerrWater Trealmertio Energy WndWaste to Energy WindWater Lhdties10I 64I 133SECTORSI SUBSECTORS I MICRO SECTORSThe GRCS is developed with guidance and input from the FTSE Russell Green Industries Advisory Committee FTSE Russell Green Industries Advisory Committee (formally the *FTSE Environmental Markets Advisory Committee') includes members of the global investment community, including asset managers and banks, as well as technical experts in environmental industries. The Committee is currently chaired by Jack Ehnes, CEO of CalSTRS, and includes, or has included members with expertise from Aberdeen Standard Investments, GIC, Joint US-China Collaboration on Clean Energy, Jupiter Asset Management, Morgan Stanley, PGGM, Pictet Asset Management, the World Bank and USS Investment Management. The Committee has played an critical role in shaping this work and been meeting twice a year to incrementally develop the classification system since FTSE's work in this area began in 2007., consisting of senior and leading expert members from the investment community, ensuring that the classification system follows best practice and addresses market needs.Over 16,000 equities across 50 developed and emerging markets are assessed and categorized against the GRCS as part of the FTSE Russell Green Revenues dataset. Approximately 3,000 of these companies are identified as being engaged in providing green products and services. For these companies, the Green Revenues dataset provides a detailed breakdown of green activities and associated revenues, as well as an overall company green revenue estimate. This is compiled through a thorough research process in a series of stepsBox 4: Example - Green Revenues from General ElectricThe industrial multinational General Electric (GE) categorizes its business into eight segments and reports revenues.Revenues from renewable energy and lighting segments, which fully qualify under GRCS, and separately disclosed revenue from locomotives manufactures (0.7%) in the transportation segment, result in GE's 9.7% minimum green revenue. By adding the full revenue from the power and transportation segments (which contain both green and non-green activities) the maximum green revenue is established at 33.9%.Information such as technology types, numbers of product lines and revenues at acquisition are then used to estimate green revenues from the power and transportation segments at 5.9% and 0.8%, respectively. Adding this to the revenue from the fully green segments yields the more precise company-specific green revenue estimate of 15.7% (see Appendix 1 for more details).Because all of GE's activities that qualify under the GRCS are also eligible under the EU Taxonomy, this also represents the estimate of GE's EU taxonomy-aligned revenue (see Section 4).1. Semantic screening.The first stage is an automated “big data" step. Keywords based on the GRCS such as “biofuel" or "electric vehicles15 are being used for automated screening of corporate disclosures to identify companies involved in green business activities. Any companies with matches are then verified by analysts for actual involvement in products or services that qualify under the GRCS.2. Business segments identification.For those companies, where involvement of green products or services is confirmed, the company-reported business segments are analyzed and microsectors under the GRCS classification are attached to the relevant segments. In this process, analysts will also assess each reported segment to determine whether it contains: (a) no green activities; (b) a mix of green and non-green activities; or (c) only green activities. This provides the basis for determining minimum green revenues (=revenue from category c segments) and maximum green revenues (=revenue from category b and c segments) for each company, which are directly based on corporate disclosures.3. Micro-sector breakdown.For the lion's share of companies with green revenues, public disclosures will be insufficient to determine exact revenues from individual types of green business activities (green 'micro sectors'). This is because revenue segments reported by companies typically aggregate multiple green activities (say 'renewables' comprising wind, solar and biomass), or both green and non-green business activities (say 'power generation5 consisting of gas, solar and hydro power). This prevents not only a granular revenue breakdown across green activities, but in many cases makes it difficult to establish the overall green revenue for a company.In these cases, further research is required to break down the revenues associated with each business segment to obtain revenues associated with each green micro sector and to establish their share in the company's overall revenues. FTSE Russell achieves this through: Requests for supplementary disclosure. All companies are engaged directly by FTSE Russell to verify the green revenue assessment, and, where required, are asked to confirm the breakdown of revenues by green activity and the overall green revenue. Company-specific estimates. Where companies provide limited revenue disclosures and do not respond to the request for disclosure, analysts will identify additional data, such as nonrevenue data (e.g. production volumes) and/or relevant market or peer data (such as market share of a product) that can form a reasonable basis for estimating revenues from each green micro sector. Sector-specific estimates. For companies, where limited additional information is available to generate robust company-specific estimates, a quantitative model is used to estimate green revenues using reported data from sector peers (an approach akin to carbon emissions models). The model uses data input from disclosure and company-specific estimates to extrapolate green revenues at sector level. The green revenue of a specific company depends on the sector in which the company operates.In all three cases, the resulting data is triangulated against the minimum and maximum green revenue data established during the business segment identification, to ensure robust estimates are built on publicly available corporate disclosure.As corporates begin to make more detailed disclosures on green revenues-currently less than 30% of companies with green revenues provide disclosures (either as part of public filings or on request) that are granular enough to identify their green revenuesthe role of estimated data in measuring green revenues will decline over time. The new mandatory disclosures for EU companies are likely to be an important catalyst for such disclosures.However, disclosure improvements are likely to be gradual, and estimated green revenue data will play a critical role for investors in coming years - not only in enabling investors to allocate capital to green investment opportunities at scale, but also in reporting on green revenues and complying with the reporting requirements under the EU taxonomy.Box 5: GRCS - A Decade of EvolutionThe roots of the GRCS stretch as far as 2008 when FTSE Russell and the Im pax Asset Management launched the Environmental Markets Index Series. hups : www Jtsenjssell /producls/isdices/env-markels. The collaboration between FTSE Russell and Im pax continues today. The initial Environmental Markets Classification System had a thematic focus on sectors including clean energy, energy efficiency, water and waste management and were assessed and included in the index family based on revenue thresholds. Companies are required to have at least 50% of their business derived from environmental markets and technologies to be eligible for the FTSE Environmental Technology Index Series; at least 20% of their business derived from environmental markets and technologies to be eligible for the FTSE Environmental Opportunities Index Series.On this basis, FTSE Russell created the GRCS in 2013 that offered a wider scope and improved granularity. It provided a broader view of what could be considered green and therefore catered to a wider range of use cases including portfolio monitoring and reporting, portfolio construction and benchmarks.The latest iteration of the classification system, GRCS 2.0, was launched in September 2020. It takes a broad, bottom-up view of the green economy, capturing products and services across the whole value chain. These products and services are analyzed based on their impact on climate change mitigation and adaptation, water, resource use, pollution, and agricultural efficiency, which are well aligned with the EU's environmental objectives.200820132020EMCSEMCSGRCS 1.0GRCS 2.0Thematic,green focus across7 SectorsThematic,green focus across7 SectorsWider range of activities8 SectorsExpanded set of activities-10 Sectors,providing comprehensiveEU Taxonomy alignmentMinimum revenuethreshold (20% or 50%)Minimum revenuethreshold (20% or 50%)No minimum revenuethresholdGreen Tiering coveringall 6 EU objectivesWider range of use casesTransparent estimationmodel to improve revenuedata accuracySingular use case: index / benchmark construction (FTSE Env.Markets)Core use cases includecomplianc