Report Contents

June 1, 2021

The pricing of carbon risk in syndicated loans: which risks are priced and why?

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Originally published on by Bank of International Settlements . Link to original report

( < 1 min)

Do banks price the risks of climate policy change? Combining syndicated loan data with carbon intensity data (CO2 emissions relative to revenue) of borrowers across a wide range of industries, we find a significant “carbon premium” since the Paris Agreement. The loan risk premium related to CO2 emission intensity is apparent across industries and broader than that due simply to “stranded assets” in fossil fuel or other carbon-intensive industries. …

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