CBAM cost-at-risk 2026–2034: a Monte Carlo simulation with global sensitivity analysis

This study estimates the distribution of the payments due under the EU Carbon Border Adjustment Mechanism (CBAM) on Moroccan goods imported in 2026–2034 and how much of their risk EU allowance (EUA) futures could hedge. A Monte Carlo model applies the definitive-period legal parameters to the 78 CN codes of Moroccan CBAM goods. The certificate price follows the EUA futures curve of 23 October 2026 as a geometric Brownian motion (GBM), a mean-reverting or a two-factor process; the verification share, actual emissions, phase-out path and default-value revision are drawn from stated ranges or fixed on a scenario grid. Group Sobol indices decompose the variance. The mean 2026 payment is EUR 19.1 million, as tonnage fell by almost half in January–August 2026; from 2027, on 2025 volumes, it rises to EUR 122.9 million in 2034, with a 95th percentile of EUR 352.4 million under the GBM and EUR 241.5 million with a three-year half-life. The price explains 86%, 63% or 58–77% (two factors) of the variance of the cumulative payment. Under stated conditions this first-order index equals the variance share removed by an ideal average-price hedge. With zero basis, a static hedge with ICE Endex futures listed to December 2032 removes 80% or 55%, and 62% or 29% for 2034 imports; rolling into contracts listed later removes almost the ideal share. Emission data and rules set the level of the payment more than its risk. The results concern the payment due from EU declarants, not its incidence on exporters. Keywords: carbon border adjustment mechanism; cost-at-risk; Sobol indices; hedging; Morocco. JEL codes: F13; F18; G32; Q54; Q58; C63