The Leibniz Institute for Financial Research SAFE and the Securitisation Repository European DataWarehouse (EDW) have been awarded a grant from the German Federal Ministry for Education and Research under the Climate Protection and Finance (KlimFi) funding initiative to undertake a three-year project for the promotion of the green auto asset-backed securities (ABS) market.
The project called “Green Auto Securitisation” (GAS) aims to create meaningful incentives for the automotive industry, as well as stakeholders and end users, to design a framework for a green finance mechanism that supports the financing of low-emission vehicles (LEVs) through bank lending.
“SAFE will be responsible for carrying out an in-depth analysis of the probability of default of car owners for electric vehicles vs. less efficient means of transport across countries and vintages with the aim of developing an appropriate risk framework with specific incentives,” says Loriana Pelizzon, Director of SAFE’s Financial Markets Research Department, who coordinates the project for the Leibniz Institute. “EDW is pleased to continue leveraging its database to promote lending and financing of the real economy via car loans and leasing whilst at the same time reducing emissions and working towards European Commission targets,” adds Christian Thun, CEO of EDW.
Creating a database for ESG information
Specifically, the GAS project will contribute to the objectives of the KlimFi funding initiative by means of proposing a framework for new, climate-friendly products, and by improving data quality and availability through the creation of a mockup database for ESG information. The database would facilitate the reporting of ESG-related information at single exposure level and the enrichment of loan and lease-level data with manufacturers’ ESG ratings and details on car emissions and characteristics. In this context, EDW will develop the ESG database as useful tool for the study of the nascent market for green auto loans/leases and for the development of corresponding credit risk models thus enabling the researchers of Loriana Pelizzon’s team at SAFE to deliver reliable research results.
As a Securitisation Repository designated by both the European Securities and Markets Authority and the Financial Conduct Authority, EDW was established in 2012 as the first Securitisation Repository in Europe to facilitate the collection, validation, and download of standardized loan-level data for Asset-Backed Securities and private whole loan portfolios.
EDW stores loan-level data and corresponding documentation for investors and other market participants. Operating as a market infrastructure, EDW aims to increase transparency and restore confidence in the ABS market. Through EDW's data, users can analyze underlying portfolios in a more efficient way and compare portfolios on a systematic basis.