Intercontinental Exchange (ICE), which runs the New York Stock Exchange, has partnered with DeltaTerra Capital to offer climate-adjusted credit risk analytics for residential and commercial mortgage-backed securities (MBS).
The 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 mortgage-backed securities markets. It provides climate risk analytics insights at the property, loan, deal, and bond levels.
“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,” Evan Kodra, head of sustainable finance research and development at ICE, said. “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 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. Together, ICE and DeltaTerra’s joint solution translates physical climate risk estimates into financial risk assessments. This includes 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,” David Burt, CEO at DeltaTerra, said. “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.”