La CNMV publica dos artículos sobre los emisores de valores y los fondos de inversión españoles y su relación con el cambio climático

The CNMV has released two working papers that analyze the impact of climate change on investment funds and issuers of securities. The first report, authored by Ricardo Crisóstomo Ayala, develops a methodology to quantify how the ecological transition affects the value of investment funds. According to this method, the loss experienced by each asset is obtained from the carbon intensity and economic sector of each counterparty, as well as the credit risk, volatility, duration, and convexity of each exposure.
The analysis shows that in the event of an uncontrolled transition scenario, that is, abrupt, investment funds would suffer an average loss of -5.7%. However, the risk distribution is very asymmetrical, and the loss of the worst-performing funds increases to -21.3%. By asset class, equity funds suffer the greatest declines (-12.7%), followed by corporate bond funds (-5.6%), and government bond funds (-4.7%). The report concludes that sustainable funds would perform better than the general fund sector and that Spanish investment funds have, on average, a lower transition risk than their European counterparts.
The second report, authored by Ramiro Losada López and Albert Martínez Pastor, provides a first estimate of the evolution of greenhouse gas emissions from Spanish securities issuers. It also conducts an initial exercise on the alignment of their emissions reduction targets with the goals set out in the Paris Agreement and the European Union. In addition, it evaluates the incorporation of climate change challenges in business management, particularly in the field of corporate governance, risk and opportunity identification, and the establishment of specific emission reduction targets.
The report also notes limitations in the available data, particularly in relation to indirect emissions from suppliers, whose total scope is unknown. The information used in this study is diverse and incomplete, including survey responses from 99 issuers on the requirements of Article 32.1 of the Ley de Cambio Climático (Ley 7/2021), as well as commercial database information and some of the estimates from the first report. The analysis shows a progressive decrease in greenhouse gas emissions from Spanish issuers, but further improvement in data is needed to provide more precise assessments.