Climate Risk Measurement of Assets Eligible as Collateral for Refinancing Operations Focus on Asset Backed Securities (ABS)

Andr Loris, Grept AliceLaut Nadia, Plantier GabrielSapey-Triomphe Zako and Weber Pierre-Fran Ois

Working papers from Banque de France

Abstract: This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the European Central Bank (ECB) refinancing operations. This paper focuses on ABS backed by auto loans or loans granted to Small and Medium Enterprises (SMEs) and explores ways to measure their climate risk based on the characteristics of the underlying loans, using existing loan-level data requirements. The ultimate goal was to come up with an alignment metric, i.e. to judge whether ABS related emissions would meet the Paris Agreements objectives, a task hindered by the lack of data available. Despite these limits, we were able to come up with relevant indicators related to ABS carbon impact, enabling the computation of ABS climate related risk proxies. Without necessarily being able to measure a concrete impact, we carved a series of indicators to serve as a reference. However, we conclude that an improved and harmonized framework for the provision of non-financial information seems essential to achieve an accurate analysis and monitoring of the financial sector's exposure to climate change.

Keywords: Collateral Framework; Asset-Backed Securities (ABS); Securitisation; Climate Change (search for similar items in EconPapers)
JEL-codes: D81 E51 E52 E58 G21 Q51 Q54 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2022
New Economics Papers: this item is included in nep-cba, nep-eec, nep-env and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... documents/wp-858.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:858

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().