NATICK, Mass., July 28, 2021 /PRNewswire-PRWeb/
-- DeltaTerra Capital, an investment research firm focused on
climate risk analysis for institutional investors, released a
report assessing climate impact on the single-family housing market
across the continental United
States. Using the proprietary DeltaTerra Klima™ climate risk
measurement platform, the firm estimates that rationalization of
climate risk mispricing could begin in the next two years and
ultimately lead to value losses ranging from $1.2 trillion in the base case scenario and
$1.9 trillion in the bear case. These
losses could significantly impact investment performance for
exposed securities such as credit risk transfer (CRT) bonds for the
next five to 10 years.
DeltaTerra's Klima Climate Risk Report integrates the latest
climate science forecasts and econometric modeling to estimate
future damages and homeownership cost increases, which then inform
estimates for single-family property value loss in exposed
high-risk areas across the contiguous U.S. To make this information
actionable for institutional investors, these estimates are
incorporated into advanced proprietary financial risk models to
derive Klima climate risk metrics at the loan, deal, and bond
levels for the $50 billion CRT
market. The report uses the STACR 2020-DNA6 CRT transaction as a
case study and indicates how potential value losses would impact
its performance.
"We created Klima so that institutional investors could
accurately assess how climate change will impact investments at
both the asset and CUSIP levels. This enables not only clear risk
mitigation strategies to meet client demands and potential
regulatory changes, but also a compelling opportunity to generate
climate driven-alpha while climate risk mispricing persists," said
Founder and CEO Dave Burt.
This report marks DeltaTerra's first publication using the Klima
platform, which was developed to provide institutional investors
with climate risk metrics that accurately measure not only expected
damages from hazards but also potential property value declines
resulting from rising ownership cost expectations. The Klima
platform also maps property valuation risk to default risk for
mortgages supporting CRT bonds to arrive at decision useful bond
risk metrics, making DeltaTerra's Klima CRT an indispensable tool
for asset managers seeking actionable investment insights. To
download the report summary, request the report, and inquire about
access to Klima analytics products by subscription, data feed, or
investment platform plug-ins, please visit
http://www.DeltaTerraCapital.com/research.
About DeltaTerra Capital
DeltaTerra Capital is an investment research and consulting firm
based in Natick, MA that provides
institutional investors with the tools they need to understand,
mitigate, and manage climate risk to improve investment
performance. Founded in 2019 by a team of experienced real estate
derivatives portfolio managers, the firm's Klima Climate Risk
Platform and its analytics products bridge climate science and
investment science to deliver actionable investment insights. For
more information, visit http://www.DeltaTerraCapital.com.
Media Contact
Min Pefanis, DeltaTerra Capital,
+1 9177205661, minp@deltaterracapital.com
SOURCE DeltaTerra Capital