FRANKFURT, GERMANY—29 November 2023

Following its first year of collaboration on the Green Auto Securitisation (GAS) initiative with the Leibniz Institute for Financial Research SAFE, European DataWarehouse (EDW) is pleased to share that it is developing a dedicated database related to auto and leasing asset-backed securities (ABS) in France, Germany and Spain for research purposes.

The GAS database is one of the major deliverables related to a three-year sustainable finance project supported by the German Federal Ministry for Education and Research under the Climate Protection and Finance (KlimFi) funding initiative.

Of the 20 million loans reported to EDW’s securitisation repository upon which institutional investors are required to carry out their due diligence under Securitisation Regulation Article 5, only 20% of transactions in auto and leasing asset classes contain valid Energy Performance Certificate (EPC) data. Investor appetite for additional sustainability-related data is, however, growing.

In response to this, and through its involvement in the GAS initiative, EDW has developed various dedicated queries to extract emissions data based on the car manufacturer, model, and engine type fields reported on a loan-level basis via the European Securities Markets Authority and European Central Bank templates to its platform.

The methodology is based on the Worldwide Harmonized Light Vehicles Test Procedure (WLTP) for the vehicles and their emissions, as derived from the European Environmental Agency dataset, and involves combining this data with the transaction information in the securitised loan pools present in the GAS database.

For more information about the GAS database and preliminary results of the emissions estimations for vehicles included in the GAS dataset, please download the slides from EDW’s Q4 Research Update on 14 December or email enquiries@eurodw.eu.

Further information, findings, and supporting data related to the GAS initiative were presented at a workshop, hosted by EDW and the Leibniz Institute for Financial Research SAFE, on 8 November in Frankfurt. Visit the ‘Archived Events’ section of the EDW website to download presentation slides from the ‘Driving the Future: European Green Auto Securitisation’ workshop by clicking here.

About European DataWarehouse

European DataWarehouse (EDW) is a Securitisation Repository designated by both the European Securities and Markets Authority and the Financial Conduct Authority. It was established in 2012 as the first Securitisation Repository in Europe to facilitate the collection, validation, and dissemination of standardised 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 analyse underlying portfolios in a more efficient way and compare portfolios on a systematic basis.

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Media Contact:

European DataWarehouse GmbH

Carla Scarsella
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Email: carla.scarsella@eurodw.eu