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Sustainable Finance Insights

Climate risk and U.S. fixed income fundamentals


June 2022

Research report

We used our data to look at how property values, population growth and mortgage delinquency correlated with higher climate risks.

Here are some takeaways:

  1. Higher climate risk correlates to lower home appreciation — increasing the risQ Score by one integer implies a 2% discount for home price appreciation.
  2. Higher flood risk correlates to lower population growth — a Flood risQ Score of 3.5 and above is a high confidence driver for net population loss
  3. Higher climate risk correlates with higher mortgage delinquency — increasing a risQ Score by one integer can imply a ~25% increase in probability of 4+ months of loan delinquency.

Home prices, population growth, and mortgage delinquency are all crucial fundamentals of the MBS and muni bond markets. Climate risks have the potential to affect an issuer’s ability to retain that stream of income and can affect bondholders down the road.

All data and charts used in this report are based on data obtained by ICE Data Services and available via its product offerings, unless otherwise cited.

Read more in our research report