In the latest episode of our “Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, is joined by Christian Aufsatz, Managing Director of European Structured Finance Ratings, and Steven Fortier, Vice President of Global Physical Climate Risk Data and Analytics, to discuss climate risk exposure in residential mortgage-backed securities (RMBS).
This topic sits at the intersection of structured finance, property markets, and climate risk. In European RMBS, investors have traditionally relied on tools like diversification, borrower behaviour, and credit enhancement to assess risk. But as physical climate risk becomes more prominent, we ask how we can actually measure exposure and whether it matters for credit today.
With new datasets and analytical approaches, we can now link property-level exposure with regional climate risk in a much more structured way. But this also raises broader questions about what the data tells us, what it misses, and how investors should interpret it.
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