ESG Taxonomy For Securitized Products - A Quantitative Approach To Detecting Responsible Lending And Servicing Behaviours In RMBS Markets

Katie Prideaux & Vlad-lonut Ene

Research Organisation
Yield Book

Report Date
Sept. 1, 2020

Document summary

Investors are increasingly recognizing the value of incorporating sustainable investment principles in financial analysis, but integration of these within fixed income has typically lagged behind equity due to complexity and data reliability. In this paper the authors present Yield Book’s ESG Taxonomy suite for securitized assets, focusing on the methodologies behind the construction of quantitative metrics and scores for the measurement of responsible lending and responsible servicing in Agency and non-Agency RMBS markets. The methodologies presented in this paper aim to facilitate the industry, as a whole, to begin meaningful discussion and incorporation of these concepts through a bottom-up approach, addressing the need for a quantitative methodology using a golden source of data.