Scenarios and main assumptions of the ACPR pilot climate exercise

The publication includes:

• A main document, which presents the scenarios and the main assumptions used for this exercise. This document is an update of the provisional hypotheses for the climate pilot exercise, posted online on the website of the French Prudential Supervisory Authority (ACPR) on May 25 and subject to public consultation until 19 June 2020. It takes into account in particular: the macroeconomic projections of the Eurosystem, published on June 4, 2020, which provide a first measure of the impact of the health crisis and which affect the start of the pilot exercise; the transition scenarios published on June 24, 2020 by the NGFS (Network for Greening of Financial System), the network of central banks and supervisors for the greening of the financial system; a review of certain technical parameters and assumptions; finally, taking into account several remarks or comments made by financial institutions participating in the exercise or received from associations, "think tanks" or non-governmental organizations (NGOs) during the consultation phase.

• A set of technical guides, the dataset containing all the macroeconomic and financial data and assumptions as well as the templates for banks and insurance companies. All the documents are available (in French) at the following link.

In addition, the Banque de France just released a working paper presenting the analytical framework developed especially for this pilot exercise, which was used to generate the variables and transition scenarios.