'The Emperors New Climate Scenarios' - Find a freedom of information request

Since publication of 'The Emperors New Climate Scenarios' by the Institute and Faculty of Actuaries (IFoA) in July 2023, there have been a *series of critical reports (refer to partial list below) warning of the failures of climate modelling/ climate scenario analysis widely used by investment consultants, central banks and the NGFS.

These reports demonstrate that both the market price of bonds & securities, and future expectations of damages - do not reflect growing physical climate risks - including the failure to assess climate tipping points.

I am interested to understand what corrective action the fund, its external consultants & asset managers have taken to assess & manage mounting physical climate risks in the period since publication(s)?

Please confirm/ explain - for the 2023/24 and 2024/25 financial years only - providing copies of source/reference documents where available:

1. If/how you've updated internal risk registers to reflect physical climate risks not being adequately priced/forecast? due to the exclusion of tipping points and other known limitations?

2. If/ how investment consultants you engage with have updated their models to include climate tipping points following expert and member criticisms since 2023?

3. Have you updated investment strategy statements & other related investment policy documents to reflect growing physical climate risks?

4. Have you discussed climate risk modelling flaws/limitations at the pension fund committee since the 2023/24 report publications? and if so have you changed your approach to correct for them?

5. Have you reviewed/ updated investment consultant procurement briefs/ mandates to include tipping points & reflect/ help manage mounting physical climate risks since July 2023?

6. Have you reviewed/ updated AM mandates to reflect/ help manage mounting physical climate risks since July 2023?

7. In your experience, have Asset Managers meaningfully changed where and how they invest on your members behalf - based on investment consultants climate scenario analysis modelling outputs?

If so how? - providing relevant examples.

*The above refers in particular to the following reports on climate scenario analysis by:

_ IFoA - 'Emperors New Climate Scenarios' - July 2023

- Carbon Tracker - 'Loading the Dice Against Pension Funds' - July 2023

- Finance Watch - 'Finance in a Hothouse World' - October 2023

- IFoA - Climate Scorpion - The Sting is In the Tail - March 2024

I can confirm that the information requested is held by Lincolnshire County Council. I have detailed below the information that is being released to you.

1. The Fund's risk register is reviewed annually, but does not show this level of detail. The high level a risk is: 'Failure to meet requirements as a responsible investor - across all ESG risks (including climate change and a move to a low carbon economy)'.

The risk register was reviewed at the pensions Committee Meeting in October 2024.

2. We are not aware of any changes made. The Fund uses scenario modelling as part of the three yearly review of the Investment Strategy Statement, linked to the triennial valuation.

3. No

4. The Pensions Committee has undertaken climate training with a view to publishing its first Taskforce on Climate-Related Disclosures in 2025.

5. No

6. No

7. We are not aware of any changes made. The Pensions Committee received quarterly reports on carbon metrics for holdings with Border to Coast.