ICE and DeltaTerra partner on climate-informed credit risk analytics solutions for MBS investors

Solution aimed to measure the potential change in the value of real estate and MBS due to climate risk

Intercontinental Exchange, Inc. (ICE) and investment research firm Delta Terra Capital announced a partnership to offer climate-adjusted credit risk analytics for residential and commercial mortgage-backed securities (MBS). 

The credit risk analytics will combine ICE’s physical climate risk data and 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, both firms said.

ICE and DeltaTerra’s joint solution aims to translate physical climate risk estimates into financial risk assessments, including asset price depreciation risk and default risk for mortgage-backed securities.

“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. 

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). 

“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,” David Burt, CEO at DeltaTerra, said.

DeltaTerra Capital is an investment research and consulting firm focused on climate risk analysis for institutional investors.

Its DeltaTerra Klima suite of proprietary models bridges climate science and investment science by translating scientific estimates of physical risk into actionable investment insights, according to the firm.

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