Intercontinental Exchange and DeltaTerra Capital announced a collaboration to offer climate-adjusted credit risk analytics for residential and commercial mortgage-backed securities.
The new joint offering integrates ICE’s Physical Climate Risk Data with DeltaTerra’s climate analytics, financial risk models, and market data to deliver risk impact estimates for investors in the residential and commercial mortgage-backed securities markets.
By combining key data from both firms, the service offers a climate risk analytics solution that provides insights at the property, loan, deal, and bond levels, which is easily translated into investment analysis.
“Our climate risk data can help inform investment decisions of U.S. municipal and MBS market participants by providing transparency into securities climate risk exposure,” said Evan Kodra, Head of Sustainable Finance R&D at ICE.
“We are excited to work with DeltaTerra to offer customers this new joint product that estimates the potential change in value of real estate and mortgage-backed securities directly attributable to physical climate risk, which may not be reflected in market prices.”
ICE’s Physical Risk Climate Data applies geospatial climate, economic, and demographic data to specific U.S. municipalities, MBS pools, and related fixed-income securities.
The DeltaTerra Klima suite of climate risk analysis tools provides metrics and reports for securitized credit investors who manage risk in some of the most climate-exposed capital markets, such as RMBS, CMBS, and credit risk transfer securities (CRT).
Together, ICE and DeltaTerra’s joint solution translates physical climate risk estimates into financial risk assessments, including asset price depreciation risk and default risk for mortgage-backed securities.
“In our prior roles as asset managers, we saw the need to simplify the translation of hazard risk to bond performance risk to assist market practitioners as they deal with the current state of change,” said David Burt, CEO at DeltaTerra.
“The Klima models and analytics are an important toolkit providing transparency into whether markets are adequately factoring in future insurance costs and other climate-related fundamental drivers when buying and selling property, loans, and related securities. The collaboration with ICE can bring these solutions to the market rapidly at scale with a leading climate and market data provider and we could not be more pleased to participate in this joint effort.”
ICE offers a suite of Physical Risk Climate Data, which includes geospatial climate, economic, and demographic data to help investors quantify climate risk exposure across municipal bond and MBS portfolios.
