September 25, 2023
Yield Book and Sust Global partner to integrate pricing impact of physical climate risks in US MBS portfolios
Yield Book, an LSEG business and leading provider of fixed-income models, analytics, and data products, announced today that it has partnered with specialist climate analytics provider Sust Global to launch tailored physical climate risk analytics for US mortgage-backed securities (MBS).
The partnership combines Yield Book’s best-in-class analytics and asset-level data with Sust Global’s satellite-augmented global climate models across multiple asset classes to create a holistic solution. The end result is a quantitative view into the pricing impact of physical climate risks, such as hurricanes, wildfires, rising sea levels and in-land flooding, to clients’ US MBS portfolios.
With physical climate risk analytics, clients can access forward-looking exposures to various climate disasters across multiple IPCC-aligned climate scenarios to make decisions on investment selection, portfolio rebalancing and risk mitigation. When paired with Yield Book's industry-standard MBS models, impacts on security valuation from key disasters can also be identified and measured relative to geographical and asset class benchmarks.
Developed with feedback from clients, the solution is designed for a wide range of use-cases relevant to investors trading in US MBS, including:
- Climate Scenario Analysis – enables fulfilment of regulatory requirements and best-in-class risk management.
- Reporting to Stakeholders – automates reports to monitor climate risk credentials on portfolios and provide regular updates to key stakeholders, or as part of a prospectus.
- Fundamental Research & Risk Management – enables back-testing, deep research and risk mitigation strategies using historical data.
- Deal Structuring – enables the addition of climate risk dimensions to obtain desired deal-level characteristics.
Emily Prince, Group Head of Analytics, LSEG, said:
“With over $2 trillion in damages caused by natural disasters and events since 1980 in the US alone, alongside tightening regulation, enhanced risk management and reporting requirements, there is an acute need for the market to integrate best-in-class approaches to physical climate risk. Leveraging Yield Book’s comprehensive view of the securitised market, our physical climate risk offering empowers risk management, scenario analysis, portfolio benchmarking, and the fulfilment of regulatory requirements via flexible, scalable data delivery mechanisms.”
Cornelia Andersson, Group Head of Sustainable Finance and Investing, LSEG, said:
“This strongly supports LSEG’s role in mobilising capital for a sustainable global economy. This product is a great addition to our existing portfolio and efforts to support clients across the globe on sustainability challenges, through quantitative integration of climate risks and considerations in existing workflows and tooling.”
Josh Gilbert, Founder and CEO, Sust Global, said:
“We’re delighted to partner with the team at Yield Book to bring climate-informed RMBS solutions to the market. Through the combination of Sust Global’s geospatial AI with Yield Book’s analytics suite, it is now possible to provide crucial insights on the current and future physical climate risks facing mortgage-backed securities. With this new product, investors can deploy broad portfolio risk management techniques adapted to 21st century climate conditions.”
LSEG Press Office
Simon Henrick/Lemuel Brewster
+44 (0)20 7797 1222
LSEG (London Stock Exchange Group) is a leading global financial markets infrastructure and data provider, playing a vital social and economic role in the world’s financial system.
With our open approach, trusted expertise and global scale, we enable the sustainable growth and stability of our customers and their communities. We are dedicated partners with extensive experience, deep knowledge and a worldwide presence in data and analytics; indices; capital formation; and trade execution, clearing and risk management across multiple asset classes.
LSEG is headquartered in the United Kingdom, with significant operations in 70 countries across EMEA, North America, Latin America and Asia Pacific. We employ 23,000 people globally, more than half located in Asia Pacific. LSEG’s ticker symbol is LSEG.