The MSCI Climate Value-At-Risk (Climate VaR), provided by MSCI ESG Research LLC, provides forward looking and return-based valuation assessments to measure the potential impact of climate change on company valuations. It provides financial institutions – including investment managers, banks, asset owners and insurers – with the means to identify assets that may be at risk from the worst effects resulting from climate change, while helping to identify innovative low carbon investment opportunities, through security specific modelling.

Remy Briand, Head of ESG, at MSCI, commented, "The world's attitude to climate change is rapidly evolving due to dramatic environmental, social and governance shifts driving a move to a low-carbon economy. As we reach this inflection point, investors are now publicly expressing a desire to take action and address the urgent reality of climate change themselves, and they are also urging others in the investment industry to do so too. As a result, managing climate risk has become an increasingly important tenet of the investment process along with the ability to measure the impact of climate change and build portfolios resilient to climate risk.

"Until now, investors did not have the tools to measure the potential impact of transitional or physical risks or the economic impact of climate change on their portfolios. The launch of the MSCI Climate VaR is the result of MSCI's commitment to create solutions to support investors in the critical quest to integrate ESG considerations in their portfolios. We acquired Carbon Delta in 2019 and MSCI Climate VaR combines MSCI ESG Research's industry leading capabilities in ESG risk management and Carbon Delta's expertise in climate change scenario analysis."

• Policy transition scenarios: The policy scenarios aggregate future policy costs based on an end of the century time horizon. By overlaying climate policy outlooks and future emission reduction price estimates onto company data, MSCI's model provides insights into how current and forthcoming climate policies will affect companies
• Innovation transition scenarios: The low carbon technology scenario is based on company specific patent data, providing insight into the strategic investments companies are making to help the transition to a low-carbon economy
• Portfolio warming potential: the warming potential methodology computes the contribution of a company's activities towards climate change, delivering an exact temperature value that signifies what future temperature a company's activities are currently aligned with
• Physical risks and opportunities: The physical scenarios evaluate the impact and financial risk relating to several extreme weather hazards, such as extreme heat and cold and flood risk.

MSCI announced it had acquired Carbon Delta in October 2019. For more information, please visit msci.com.

MSCI ESG Research products and services are provided by MSCI ESG Research LLC, and are designed to provide in-depth research, ratings and analysis of environmental, social and governance-related business practices to companies worldwide. ESG ratings, data and analysis from MSCI ESG Research LLC. are also used in the construction of the MSCI ESG Indexes. MSCI ESG Research LLC is a Registered Investment Adviser under the Investment Advisers Act of 1940 and a subsidiary of MSCI Inc.

MSCI is a leading provider of critical decision support tools and services for the global investment community. With over 45 years of expertise in research, data and technology, we power better investment decisions by enabling clients to understand and analyze key drivers of risk and return and confidently build more effective portfolios. We create industry-leading research-enhanced solutions that clients use to gain insight into and improve transparency across the investment process. To learn more, please visit www.msci.com.

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