IFRS S2下氣候相關財務風險量化： 應用於臺灣頂級乳品產業之權益價值評估架構

Abstract

本研究旨在回應國際財務報導準則第S2號（IFRS S2）之揭露要求，針對企業實體氣候風險建立一套權益價值評估架構，以回應臺灣頂級乳品產業中「氣候與金融轉譯」（Climate-Finance Translation）之方法學缺口。本模型應用於去識別化之 pre-IPO 精品優格個案公司「Crown Select」。該公司近期完成銀行融資之產能擴張後，面臨高度氣候敏感之生乳與鮮果採購曝險。方法上，本研究將分位數情境建構方法與確定性股東自由現金流量（Free Cash Flow to Equity, FCFE）評價方法相結合。在主要無成本轉嫁下行情境邊界（k = 0）下，本架構得以隔離並檢視採購成本壓力對毛利率、現金流量、權益價值及償債韌性之直接影響。 個案模型結果顯示，生乳採購成本占銷貨收入具一定重要性；在生乳P99極端採購壓力情境下，權益價值較基準情境出現明顯折減。雖然各情境之模型現金流量檢核仍為正數，但生乳P99情境下投產首年的償債備付率（Debt Service Coverage Ratio, DSCR）已降至接近內部預警水準，顯示信用安全邊際明顯收窄。因此，當前瞻DSCR接近管理階層設定之內部預警門檻時，可考慮啟動限制盈餘分配等治理措施。由於本研究採用之股東自由現金流量（FCFE）評價方法已反映利息及本金償還等融資活動，各情境下之權益價值應解讀為股權層級的風險篩選結果，而非IAS 36下資產或現金產生單位之使用價值（Value in Use, VIU）。若執行正式IAS 36減損測試，應將氣候資訊所反映之銷貨成本壓力重新套用至CGU層級、融資前的現金流量，以維持融資中性原則。 整體而言，本研究示範如何將氣候相關揭露假設連結至評價、償債分析、採購風險管理及財務報導判斷，並為 pre-IPO 盡職調查與氣候避險採購策略提供可審查之量化決策支持。

This thesis develops an IFRS S2-oriented equity valuation framework to quantify corporate physical climate risks and address the Climate-Finance Translation gap in Taiwan’s premium dairy sector. The framework is applied to Crown Select, an anonymized pre-IPO boutique yogurt brand with climate-sensitive raw milk and fresh-fruit procurement exposures following a recent debt-financed capacity expansion. Methodologically, the study integrates quantile-based commodity price-stress scenarios with a deterministic Free Cash Flow to Equity (FCFE) valuation approach. Under the primary no-pass-through downside boundary (k = 0), the framework isolates the direct effects of procurement-cost stress on margins, cash flows, equity value, and debt-service resilience. The case-model results indicate that raw milk represents a meaningful share of sales and is the dominant climate-sensitive procurement channel. Under the raw-milk P99 stress scenario, equity value declines materially relative to the climate-blind baseline. Although the workbook cash-flow check remains positive across all modeled scenarios, first-year Debt Service Coverage Ratio (DSCR) declines to a level near the internal watch threshold under raw-milk severe stress, indicating materially reduced credit headroom. This result supports proactive governance measures, such as restricting discretionary distributions when forward-looking DSCR approaches an internally defined governance watch threshold. Because the FCFE approach incorporates interest and principal repayments, the resulting scenario-specific equity values should be interpreted as equity-level risk-screening outputs rather than direct asset-level Value in Use measurements under IAS 36. A formal IAS 36 impairment test would require the climate-informed COGS stress to be re-applied to management-approved, CGU-level cash flows before financing activities.