A0444
Title: Mutual funds' appetite for sustainability in European auto ABS
Authors: Carmelo Latino - Leibniz Institute for Financial Research SAFE (Germany) [presenting]
Yue Wang - SAFE (Germany)
Loriana Pelizzon - SAFE - Goethe University (Germany)
Max Riedel - SAFE (Germany)
Abstract: The purpose is to study how mutual funds contribute to financing the transition to zero- or low-emission vehicles (ZLEVs) in Europe. Hand-collected data uncover three novel types of sustainability measures for auto asset-backed securities (auto ABS) based on prospectus-, loan-, and manufacturer-level sustainability information. It is found that green funds tend to tilt their exposure to sustainability-transparent auto ABS and invest marginally more in deals with a higher proportion of ZLEVs in the underlying collateral pool. However, in the absence of a globally accepted framework for green securitizations, asset managers use sustainability proxies that are associated with the lowest disclosure processing costs.
