KBRA Releases Research – EPA Greenhouse Gas Scores Shed Light on Auto Loan ABS ESG

NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) releases research mapping the Environmental Protection Agency’s (EPA) vehicle greenhouse gas (GHG) score to make/model/year information provided in auto loan asset-level disclosures. As a result, we were able to calculate an average GHG score for each loan pool, providing an insightful data point regarding the relative environmental impact of each securitization. Some of the key takeaways of our analysis are as follows:

• Securitizations issued by Asian manufacturers typically had a higher average GHG score (lower emissions) compared to those issued by their U.S. counterparts, partly driven by a lower mix of financed SUVs and trucks.
• Lower income borrowers tended to finance vehicles with higher GHG scores, as they were more likely to finance sedans compared with more affluent borrowers, which partly explains why non-prime ABS securitizations often scored higher than their prime counterparts.

Click here to view the report.

About KBRA

KBRA is a full-service credit rating agency registered in the U.S., the EU and the UK, and is designated to provide structured finance ratings in Canada. KBRA’s ratings can be used by investors for regulatory capital purposes in multiple jurisdictions.