it’s not all about the economy: climate change and the u.k
TRANSCRIPT
PowerPoint PresentationApril 2021
It’s Not All About the Economy: Climate Change and the U.K. and U.S. Mortgage Credit Risk
Dr Petr Zemcik • Dr Pouyan Mashayekh • Cecilia Bocchio • Muhammad Jafree
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 2
Moody's Analytics operates independently of the credit ratings activities of Moody's Investors Service. We do not comment on credit ratings or potential rating changes, and no opinion or analysis you hear during this presentation can be assumed to reflect those of the ratings agency.
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 3
Today’s Speakers
Predictive Analytics
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 4
Retail loan-level econometric models for credit and impairment metrics Portfolio Analyser (PA) Suite of Models
Delinquency/Arrears (Flow rates or migration matrices)
Default Rates & PDs (Dynamic term-structures)
Prepayment Risk (Closed-good physical risk)
Exposure at Default (EADs) (Amortization curves or utilization
factors)
Impairments
M o r t g a g e s (With relevant sub-categories)
C r e d i t C a r d s (Bank cards & Retail cards)
P e r s o n a l L o a n s & L i n e s (Unsecured & Secured)
Ve h i c l e / Au t o F i n a n c e (Loans & Leases)
O v e r d r a f t s (Across account types)
S t u d e n t L o a n s (Government & Private)
R e t a i l S M E s (With relevant sub-categories)
Portfolio Loss Analytics (Dynamic multi-period Loss Distributions, VaRs, Tail-risk-contribution analysis,
Economic Capital, Risk Concentration)
Retai l Asset Classes
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 5
1. From climate to credit risk: Methodological Challenges 2. Impact of frequency and severity of natural disasters on the PD for
U.S. mortgages 3. Simulations of natural disasters in credit models using the U.S.
Mortgage Portfolio Analyzer 4. The effect of climate scenarios on the U.K. mortgages credit
parameters 5. Usage of location-specific climate risk scores to forecast climate-
adjusted credit risk metrics
Climate Risk Assessment 7
Panel logit model of the form Pr
= e α+∑=1
γ
β+∑=1 µ.+∑=1
γ
the impact of the climate-adjusted macro scenario
Location / Climate Hazards for a specific counterparty in high risk area
2416 2228 16 12
Moody’s Climate Change Forecast
427 Data, Physical Risk Scores
* Weighted average of the macroeconomic variables shocks by associated weights ** Weighted average of Hazard damage factors and 427 Climate Hazards scores – those factors have an indicative value as they will be estimated during the project over the relevant sample
Climate Risk Assessment 8
Default/Prepayment
LGD
EAD
as ECL, Loss Distribution, Credit
VaR
Carbon price pathways Emissions pathways
Commodity & energy prices; energy mix
Global & regional temperature pathways Climate-related perils (e.g. flood, subsidence)
Longevity Agricultural productivity
Corporate profits & household income Residential & commercial property prices
Physical Variables Macroeconomic Variables
Financial Market Variables
Macro-financial VariablesClimate Risk Variables
Start with parameters from regulators or clients and expand scenarios to populate additional variables using our Global Macro Model with climate risk components
Illustrative Variable Pathways in each ScenarioCO2 Pathway Temperature Pathway
Physical Risk Shock Inputs
Climate Risk Scenarios
Climate Risk Assessment 10
427 Data – Physical Risk Score On-Demand Scoring Key Features of 427 Data
Score single assets or large portfolios via an interactive, browser-based application or API
Analyze data and underlying climate indicators via multiple visualizations
Score thousands of properties in minutes
Identify hotspots and analyze the detailed drivers of exposure to six physical climate hazards
Use Cases
Asset Owners – evaluate the long-term risk exposure of your portfolio holdings and engage with asset operators to improve resilience and risk management
Portfolio Managers – enhance the analysis of your portfolio and monitor risk as portfolio holdings change over time. Screen assets for their exposure to climate hazards, pre-acquisition
Banks – identify the climate-related risks in commercial and residential mortgage portfolios. Incorporate climate risks into loan acquisition
» Best-in-class, peer-reviewed, publicly available climate models, supplemented by commercially available data.
» Assessments on virtually any property or corporate facility globally based on its exposure to key climate hazards.
» Ground-up climate risk scores for real assets, listed companies, REITs, U.S. municipalities and global sovereigns
» Available through an API or online user interface for real assets.
Facility Risk Score
2 Impact of frequency and severity of natural disasters on the PD for U.S. mortgages
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 12
Hurricane Harvey Mortgage default rate in Texas
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
0.70%
0.80%
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 14
Federal Emergency Management Agency (FEMA) data Close to 13,000 events for 24 different event types: Year, month, State, number of deaths & the estimated amount of damage to property incurred by the weather event Event Level Event Type
1 flood 2 hurricane_typhoon 3 wildfire 4 tornado_waterspout 5 tsunami 6 blizzard 7 thunderstorm wind_heavy rain 8 high wind 9 hail 10 rip current 11 avalanche 12 landslide 13 lightning 14 fog 15 volcanic ash 16 heat 17 low tide 18 dense smoke 19 drought 20 dust storm 21 funnel cloud 22 northern lights 23 seiche 24 other
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 15
Top 9 natural disasters 56 natural disasters with more than $500M estimated damage
state yrm damage property deaths Disaster
TX 201708 43,704,268,000$ 67 Harvey NJ 201210 20,950,000,000$ 2 Sandy PR 201709 19,018,177,000$ 20 Irma CA 201811 17,000,000,000$ 86 Wildfire LA 200508 16,933,030,000$ 816 Katrina MS 200508 13,482,120,000$ 181 Katrina FL 200409 10,562,815,000$ 13 Stewart FL 200510 10,215,603,000$ 1 Wilma LA 201608 8,992,219,000$ 12 32 inches of rainfall
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 16
There are many events with significant impacts on PD Multipliers in FRM pd model
0
5
10
15
20
25
30
35
40
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44
M ul
tip lie
el
Event #
3 Simulations of natural disasters in credit models using the U.S. Mortgage Portfolio Analyzer
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 18
The distribution of damages in California Wildfire Flood, Hurricane, Tornado &Heavy Rain
0 .0
5 .1
.1 5
.2 D
en si
0 .0
5 .1
.1 5
D en
si ty
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 19
The distribution of damages in Wyoming Wildfire Flood, Hurricane, Tornado &Heavy Rain
0 .0
5 .1
.1 5
.2 .2
5 D
en si
0 .0
5 .1
.1 5
.2 .2
5 D
en si
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 20
Portfolio: 2688 loans, Total Balance = $803M
# % 537 19.90 331 12.53 360 13.24 356 13.31 356 13.35 356 13.06 392 14.61
0 0.00 0 0.00 0 0.00
# % 0 0.00 65 3.08
318 14.55 322 13.95 294 11.98 326 12.52 345 12.40 356 11.88 341 10.54 321 9.10 >= 55 73,100,000$
>= 65 95,428,000$ >= 60 84,676,000$
>= 75 100,532,000$ >= 70 99,572,000$
>= 85 112,000,000$ >= 80 96,244,000$
>= 95 24,700,000$ >= 90 116,896,000$
>= 630 107,248,000$ >= 590 104,916,000$
>= 710 106,328,000$ >= 670 106,868,000$
>= 790 159,792,000$ >= 750 100,668,000$
FICO Exposure # % 181 8.48 327 14.66 247 10.53 244 9.89 268 10.35 282 10.31 256 8.86 298 9.73 264 8.09 321 9.10
# % 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
2,688 100.00 >= 0 803,148,000.00
>= 10 0.00 >= 5 0.00
>= 20 0.00 >= 15 0.00
>= 30 0.00 >= 25 0.00
>= 40 0.00 >= 35 0.00
>= 236,500 64,964,000$ >= 220,000 73,100,000$
>= 269,500 71,148,000$ >= 253,000 78,128,000$
>= 302,500 83,132,000$ >= 286,000 82,836,000$
>= 335,500 84,544,000$ >= 319,000 79,444,000$
>= 368,500 68,108,000$ >= 352,000 117,744,000$
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 21
Simulation results for loans in TX; Without natural disasters (above) and with natural disasters (below)
Number of Simulations 10,000 Mean (Portfolio EL) 5.8959% Standard Deviation 2.6908 Interquartile Range 3.3077 Skewness 1.4992 Kurtosis 5.3347 95th / 50th Percentile 2.0578
5% 2.6345 10% 3.0726 25% 3.9670 50% 5.3252 75% 7.2746 90% 9.4209 95% 10.9580
Portfolio Loss Distribution Aggregate Statistics
Percentiles
0.0000%
1.0000%
2.0000%
3.0000%
4.0000%
5.0000%
6.0000%
7.0000%
8.0000%
9.0000%
10.0000%
Number of Simulations 10,000 Mean (Portfolio EL) 6.4705% Standard Deviation 2.6704 Interquartile Range 3.4410 Skewness 1.0242 Kurtosis 1.7184 95th / 50th Percentile 1.8817
5% 2.9795 10% 3.4734 25% 4.4881 50% 6.0788 75% 7.9291 90% 9.9837 95% 11.4384
Portfolio Loss Distribution Aggregate Statistics
Percentiles
0.0000%
1.0000%
2.0000%
3.0000%
4.0000%
5.0000%
6.0000%
7.0000%
Total Balance
76.54% / 76.54% / .00%
Total Loan Count
0.00%
E:\MPA2020\FEMA\Sample file TX.xlsx
75
728.00%
Wtd. Avg. FICO
Wtd. Avg. IO Term / IO%
/ .00%
** The loan exposure amount is 'Max Drawn Amount' for HELOCs and 'Current Amount' for mortgages
Color Legend
>= 790
537
19.90
159,792,000.00
1.0176
>= 9.50
0
0.00
0.00
0.0000
>= 368,500
181
8.48
68,108,000.00
10.0863
>= 750
331
12.53
100,668,000.00
2.5697
>= 9.00
0
0.00
0.00
0.0000
>= 352,000
327
14.66
117,744,000.00
9.2810
>= 710
360
13.24
106,328,000.00
3.6704
>= 8.50
0
0.00
0.00
0.0000
>= 335,500
247
10.53
84,544,000.00
7.5553
>= 670
356
13.31
106,868,000.00
5.5447
>= 8.00
0
0.00
0.00
0.0000
>= 319,000
244
9.89
79,444,000.00
6.7041
>= 630
356
13.35
107,248,000.00
8.2040
>= 7.50
0
0.00
0.00
0.0000
>= 302,500
268
10.35
83,132,000.00
5.9102
>= 590
356
13.06
104,916,000.00
9.5138
>= 7.00
0
0.00
0.00
0.0000
>= 286,000
282
10.31
82,836,000.00
4.9058
>= 550
392
14.61
117,328,000.00
12.3856
>= 6.50
0
0.00
0.00
0.0000
>= 269,500
256
8.86
71,148,000.00
3.6011
>= 510
0
0.00
0.00
0.0000
>= 6.00
0
0.00
0.00
0.0000
>= 253,000
298
9.73
78,128,000.00
3.3802
>= 470
0
0.00
0.00
0.0000
>= 5.50
2,688
100.00
803,148,000.00
5.8959
>= 236,500
264
8.09
64,964,000.00
3.0462
>= 430
0
0.00
0.00
0.0000
>= 5.00
0
0.00
0.00
0.0000
>= 220,000
321
9.10
73,100,000.00
2.3023
13 * Portfolio EL < Bucket EL
LTV
0
0.00
0.00
0.0000
0
0.00
0.00
0.0000
0
0.00
0.00
0.0000
2,688
100.00
803,148,000.00
5.8959
0
0.00
0.00
0.0000
0
0.00
0.00
0.0000
0
0.00
0.00
0.0000
0
0.00
0.00
0.0000
0
0.00
0.00
0.0000
2424.72%
3171.52%
1002.406
Loan_Level
Version:
Mortgage Portfolio Analyzer - v5.20.3.1
An (*) means a custom model is being used in this analysis run
Loan ID
Rate Type
Lien Pos
Orig Term
Amor Term
IO Term
WAL
Segment
Loan ID
Discount Rate
Loan ID
Discount Rate
Frequency
Economic_Sensitivities
Calculated by sampling simulated distributions based on US-level factors 2 yrs after start of simulation
Version:
National Home Price Appreciation
HPI
LIBOR
Unemployment
Item
Fuller
Sparse
Item
Fuller
Sparse
Item
Fuller
Sparse
>= -16.00
0
10.1716433103
>= 0.00
5.7079748702
0
>= 2.00
5.3923504526
0
>= -10.00
9.3989535755
0
>= 1.00
6.131072659
0
>= 4.00
5.8827585684
0
>= -4.00
7.3096838757
0
>= 2.00
6.9220791121
0
>= 6.00
6.8193099263
0
>= 2.00
6.3554922514
0
>= 3.00
0
9.0236912439
>= 8.00
8.2827273405
0
>= 8.00
5.6437763935
0
>= 4.00
0
11.4965945419
>= 10.00
0
8.1481054663
>= 14.00
4.9795131487
0
>= 5.00
0
13.6219594773
>= 12.00
0
15.7171066978
>= 20.00
4.5888673034
0
>= 6.00
0
10.1205937681
>= 26.00
0
4.2950275313
>= 7.00
0
0
>= 32.00
0
3.8712739348
>= 38.00
0
0
National Unemployment
Fuller > = 0.00 > = 1.00 > = 2.00 > = 3.00 > = 4.00 > = 5.00 > = 6.00 > = 7.00 5.7079748702347102 6.1310726589679696 6.9220791120732796 0 0 0 0 0 Sparse > = 0.00 > = 1.00 > = 2.00 > = 3.00 > = 4.00 > = 5.00 > = 6.00 > = 7.00 0 0 0 9.0236912439159198 11.496594541889401 13.621959477337599 10.120593768128 0
EL (%)
Fuller > = -16.00 > = -10.00 > = -4.00 > = 2.00 > = 8.00 > = 14.00 > = 20.00 > = 26.00 > = 32.00 > = 38.00 0 9.3989535755013307 7.3096838756974796 6.35549225139959 5.6437763935212599 4.979513148 6641599 4.5888673033685503 0 0 0 Sparse > = -16.00 > = -10.00 > = -4.00 > = 2.00 > = 8.00 > = 14.00 > = 20.00 > = 26.00 > = 32.00 > = 38.00 10.1716433103327 0 0 0 0 0 0 4.29502753126929 3.8712739347511298 0
EL (%)
Fuller > = 2.00 > = 4.00 > = 6.00 > = 8.00 > = 10.00 > = 12.00 5.39235045255659 5.8827585683558201 6.81930992630656 8.2827273404530608 0 0 Sparse > = 2.00 > = 4.00 > = 6.00 > = 8.00 > = 10.00 > = 12.00 0 0 0 0 8.1481054663122805 15.717106697841499
EL (%)
Loan_Factor_Sensitivities
Calculated by sampling simulated individual loan losses over all paths. Each bar represents mean of all loans' ELs in bucket.
Version:
CLTV
Composition
Documentation
CLTV
Composition
Documentation
DTI
FICO
0
0
>= 42
5.895924884
0
>= 430
0
0
>= 220,000
2.302313189
0
>= 55
2.302313189
0
>= 0.00
0
0
0
0
>= 43
0
0
>= 470
0
0
>= 236,500
3.0462206943
0
>= 60
3.0978840746
0
>= 0.50
0
0
0
0
>= 44
0
0
>= 510
0
0
>= 253,000
3.3802347102
0
>= 65
3.4438747792
0
>= 1.00
0
0
0
0
>= 45
0
0
>= 550
12.3856130836
0
>= 269,500
3.6011110169
0
>= 70
4.5087190305
0
>= 1.50
0
0
0
0
>= 46
0
0
>= 590
9.5138068386
0
>= 286,000
4.9057620511
0
>= 75
5.7294965984
0
>= 2.00
0
0
5.895924884
0
>= 47
0
0
>= 630
8.2039547651
0
>= 302,500
5.9102057829
0
>= 80
6.738136266
0
>= 2.50
0
0
0
0
>= 48
0
0
>= 670
5.544692382
0
>= 319,000
6.7041406246
0
>= 85
8.1104044513
0
>= 3.00
0
0
0
0
>= 49
0
0
>= 710
3.6703895905
0
>= 335,500
7.5552862849
0
>= 90
9.5540553275
0
>= 3.50
0
0
0
0
>= 50
0
0
>= 750
2.5696857784
0
>= 352,000
9.2810374652
0
>= 95
11.2308263174
0
>= 4.00
0
0
Fuller > = 55 > = 60 > = 65 > = 70 > = 75 > = 80 > = 85 > = 90 > = 95 > = 100 2.3023131889698298 3.0978840746115499 3.4438747791503301 4.5087190305343698 5.7294965984298303 6.73813 62660428099 8.1104044513029407 9.5540553274573199 11.2308263174367 0 Sparse > = 55 > = 60 > = 65 > = 70 > = 75 > = 80 > = 85 > = 90 > = 95 > = 100 0 0 0 0 0 0 0 0 0 0
EL (%)
Fuller Second homes (S) Rental (R) Owner-occupied (P) Investor (I) 0 0 5.8959248839766198 0 Sparse Second homes (S) Rental (R) Owner-occupied (P) Investor (I) 0 0 0 0
EL (%)
Fuller Manufactured Housing (M) Coop (J) Deminimus PUD (D) Two-four family (F) Single family (S) Townhouse (T) PUD (P) New construction (N) Condotel (O) Condominium (C) 0 0 0 0 0 0 0 0 0 5.8959248839766198 Sparse Manufactured Housing (M) Coop (J) Deminimus PUD (D) Two-four family (F) Single family (S) Townhouse (T) PUD (P) New construction (N) Condotel (O) Condominium (C) 0 0 0 0 0 0 0 0 0 0
EL (%)
Fuller Home improvement (H) Debt consolidate (D) Rate/term refin. (R) Purchase money (P) Cash out refin. (C) 0 0 0 0 5.8959248839766198 Sparse Home improvement (H) Debt consolidate (D) Rate/term refin. (R) Purchase money (P) Cash out refin. (C) 0 0 0 0 0
EL (%)
Fuller > = 5.00 > = 5.50 > = 6.00 > = 6.50 > = 7.00 > = 7.50 > = 8.00 > = 8.50 > = 9.00 > = 9.50 0 5.8959248839766198 0 0 0 0 0 0 0 0 Sparse > = 5.00 > = 5.50 > = 6.00 > = 6.50 > = 7.00 > = 7.50 > = 8.00 > = 8.50 > = 9.00 > = 9.50 0 0 0 0 0 0 0 0 0 0
EL (%)
Fuller Adjustable (ARM) Fixed (FRM) 0 5.8959248839766198 Sparse Adjustable (ARM) Fixed (FRM) 0 0
EL (%)
Fuller Defaulted Prepaid 90DPD 60DPD 30DPD Current 0 0 0 0 0 5.8959248839766198 Sparse Defaulted Prepaid 90DPD 60DPD 30DPD Current 0 0 0 0 0 0
EL (%)
Fuller > = 0 > = 5 > = 10 > = 15 > = 20 > = 25 > = 30 > = 35 > = 40 > = 45 5.8959248839766198 0 0 0 0 0 0 0 0 0 Sparse > = 0 > = 5 > = 10 > = 15 > = 20 > = 25 > = 30 > = 35 > = 40 > = 45 0 0 0 0 0 0 0 0 0 0
EL (%)
Fuller > = 0 > = 40 > = 80 > = 120 > = 160 > = 200 > = 240 > = 280 > = 320 > = 360 0 0 0 0 0 0 0 0 0 5.8959248839766198 Sparse > = 0 > = 40 > = 80 > = 120 > = 160 > = 200 > = 240 > = 280 > = 320 > = 360 0 0 0 0 0 0 0 0 0 0
EL (%)
EL (%)
Fuller Modified Balloon 2nd Lien 1st Lien HELOC Negam 0 0 0 5.8959248839766198 0 0 Sparse Modified Balloon 2nd Lien 1st Lien HELOC Negam 0 0 0 0 0 0
EL (%)
Fuller No income - No assets - No VOE (C9) No income - No assets - VOE (C8) No income - stated assets (C7) No Income - partial assets (C6) Stated income - part assets etc (C5) Part Inc - stated assets etc. (C4) Full income - No assets (C3) Full Assets - Part Income etc. (C2) Full income - Full Assets (C1) 0 0 0 0 0 5.8959248839766198 0 0 0 Sparse No income - No assets - No VOE (C9) No income - No assets - VOE (C8) No income - stated assets (C7) No Income - partial assets (C6) Stated income - part assets etc (C5) Part Inc - stated assets etc. (C4) Full income - No assets (C3) Full Assets - Part Income etc. (C2) Full income - Full Assets (C1) 0 0 0 0 0 0 0 0 0
EL (%)
Fuller > = 42 > = 43 > = 44 > = 45 > = 46 > = 47 > = 48 > = 49 > = 50 > = 51 5.8959248839766198 0 0 0 0 0 0 0 0 0 Sparse > = 42 > = 43 > = 44 > = 45 > = 46 > = 47 > = 48 > = 49 > = 50 > = 51 0 0 0 0 0 0 0 0 0 0
EL (%)
Fuller > = 430 > = 470 > = 510 > = 550 > = 590 > = 630 > = 670 > = 710 > = 750 > = 790 0 0 0 12.385613083629501 9.5138068385910195 8.2039547651332203 5.5446923820443903 3.6703895905391302 2.56968577838364 1.0176496326841999 Sparse > = 430 > = 470 > = 510 > = 550 > = 590 > = 630 > = 670 > = 710 > = 750 > = 790 0 0 0 0 0 0 0 0 0 0
EL (%)
EL (%)
Fuller > = 55 > = 60 > = 65 > = 70 > = 75 > = 80 > = 85 > = 90 > = 95 > = 100 2.3023131889698298 3.0978840746115499 3.4438747791503301 4.5087190305343698 5.7294965984298303 6.73813 62660428099 8.1104044513029407 9.5540553274573199 11.2308263174367 0 Sparse > = 55 > = 60 > = 65 > = 70 > = 75 > = 80 > = 85 > = 90 > = 95 > = 100 0 0 0 0 0 0 0 0 0 0
EL (%)
Fuller > = 0.00 > = 0.50 > = 1.00 > = 1.50 > = 2.00 > = 2.50 > = 3.00 > = 3.50 > = 4.00 > = 4.50 0 0 0 0 0 0 0 0 0 0 Sparse > = 0.00 > = 0.50 > = 1.00 > = 1.50 > = 2.00 > = 2.50 > = 3.00 > = 3.50 > = 4.00 > = 4.50 0 0 0 0 0 0 0 0 0 0
EL (%)
Risk_Tolerance
Version:
Aggregate Statistics
Capital Relief
45% / 545
65% / 919
5% / 47 10% / 97 15% / 150 20% / 207 25% / 267 30% / 331 35% / 398 40% / 470 45% / 545 50% / 627 55% / 716 60% / 812 65% / 919 70% / 1037 75% / 1170 80% / 1323 85% / 1502 90% / 1721 95% / 2014 6497114.8346059704 12946941.017789099 19410661.867522001 25900021.1 588668 32333564.7149189 38795841.8248768 45196545.835488804 51711899.724664599 58083382.369177401 64571711.938373901 71038547.002533004 77448035.347193107 83944476.360608399 90371129.4730113 96802670.999291107 103287355.94742 109726791.35961901 116170061.14506701 122617144.83092199
Capital Relief Percentage / Loan Count
Amount
Portfolio_Cashflows
Version:
Current 44317 44348 44378 44409 44440 44470 44501 44531 44562 44593 44621 44652 44682 44713 44743 44774 44805 44835 44866 44896 44927 44958 44986 45017 45047 45078 45108 45139 45170 45200 45231 45261 45292 45323 45352 45383 45413 45444 45474 45505 45536 45566 45597 45627 45658 45689 45717 45748 45778 45809 45839 45870 45901 45931 45962 45992 46023 46054 46082 46113 46143 46174 46204 46235 46266 46296 46327 46357 46388 46419 46447 46478 46508 46539 46569 46600 46631 46661 46 692 46722 46753 46784 46813 46844 46874 46905 46935 46966 46997 47027 47058 47088 47119 47150 47178 47209 47239 47270 47300 47331 47362 47392 47423 47453 47484 47515 47543 47574 47604 47635 47665 47696 47727 47757 47788 47818 47849 47880 47908 47939 0 0 5.9341407631739998E-3 8.9849308105200004E-3 1.4135631458525E-2 2.0844356269903001E-2 2.8881371112976E-2 4.2537120314763997E-2 5.5755439090650998E-2 6.960043273555E-2 6.0831073798623E-2 5.3869230682465997E-2 5.2478516824871001E-2 5.4344918336563998E-2 5.5457610939380002E-2 5.4262999463919999E-2 5.6651920257727001E-2 5.9247570868084999E-2 5.7504425262959E-2 6.1423500329544002E-2 5.9907506316408003E-2 5.8584497793817997E-2 4.915270708602E-2 4.2984812081203999E-2 4.1447546434436003E-2 4.2017771046040001E-2 4.2924895322626999E-2 4.2107510732800002E-2 4.4593294727600999E-2 4.6704901344608002E-2 4.6365625792375999E-2 4.9541616293308E-2 4.9038848917479998E-2 4.8763596281264997E-2 4.1557856190199999E-2 3.6665964929275E-2 3.5501987888143002E-2 3.6066001498161998E-2 3.7662824226598002E-2 3.6729383268826001E-2 3.9124121922952997E-2 4.1253822928467E-2 4.1050347063317998E-2 4.4041920942144999E-2 4.3661892346194997E-2 4.3426865252573998E-2 3.6817393354088998E-2 3.2736837765094E-2 3.1531837105499998E-2 3.2375374682472001E-2 3.3476224062217001E-2 3.3128161928199E-2 3.5352338318686997E-2 3.7175743846026003E-2 3.6903021006704E-2 4.0045023578381002E-2 3.9673273819234002E-2 3.9491679872450003E-2 3.3828981881557002E-2 2.9544213541474001E-2 2.9039712234581998E-2 2.9561744010214001E-2 3.0636231791228E-2 3.0085515799909E-2 3.2335195638215998E-2 3.4258137947909002E-2 3.3676363022796002E-2 3.6554326351469997E-2 3.6452008523049001E-2 3.6072447816335999E-2 3.0698041444319001E-2 2.7266079704080001E-2 2.6405327562028E-2 2.7101020310123999E-2 2.7901553106096998E-2 2.7639770766908E-2 2.9507172033976001E-2 3.1502027232102998E-2 3.0983512114801999E-2 3.3371360281936997E-2 3.3159333794007997E-2 3.3219362051332003E-2 2.8302493925996E-2 2.4695606075205E-2 2.4050287000538E-2 2.4227488186514001E-2 2.5622635037176E-2 2.5275708075322999E-2 2.6839207266074999E-2 2.8483930540789001E-2 2.8205186889370001E-2 3.0556028929131999E-2 3.01724968909E-2 2.9890468002809999E-2 2.5640776720267999E-2 2.2576513495759998E-2 2.2176457917622999E-2 2.2733873031624999E-2 2.3389251964726999E-2 2.2792168258695001E-2 2.4331488923176998E-2 2.5677699786419001E-2 2.5618231122798998E-2 2.7292577148378998E-2 2.6916301539601999E-2 2.7326503405903001E-2 2.3255341837577E-2 2.0616925097251E-2 2.0001142732780999E-2 2.0692275881867998E-2 2.0871410971632001E-2 2.0691845380252E-2 2.2246061469321E-2 2.3392300815351E-2 2.2512772299097001E-2 2.4197961013036E-2 2.3956403110668E-2 2.4038050638281998E-2 2.0167243022591E-2 1.7650283544055002E-2
Current 44317 44348 44378 44409 44440 44470 44501 44531 44562 44593 44621 44652 44682 44713 44743 44774 44805 44835 44866 44896 44927 44958 44986 45017 45 047 45078 45108 45139 45170 45200 45231 45261 45292 45323 45352 45383 45413 45444 45474 45505 45536 45566 45597 45627 45658 45689 45717 45748 45778 45809 45839 45870 45901 45931 45962 45992 46023 46054 46082 46113 46143 46174 46204 46235 46266 46296 46327 46357 46388 46419 46447 46478 46508 46539 46569 46600 46631 46661 46692 46722 46753 46784 46813 46844 46874 46905 46935 46966 46997 47027 47058 47088 47119 47150 47178 47209 47239 47270 47300 47331 47362 47392 47423 47453 47484 47515 47543 47574 47604 47635 47665 47696 47727 47757 47788 47818 47849 47880 47908 47939 0 0 0 0 0 0 0 0 2.6807834080799998E-4 7.6985378242500004E-4 1.463205905932E-3 2.5876269011130002E-3 4.1963529900119999E-3 6.4153496196789998E-3 9.6334077847909996E-3 1.346062247404E-2 1.7254874358282001E-2 2.0371809398014001E-2 2.3589258760081E-2 2.6352279439996001E-2 2.9089158399208E-2 3.1255771008848E-2 3.3532791054445003E-2 3.5669462810378E-2 3.7357473985215002E-2 3.9557561877187002E-2 4.0760890828354997E-2 4.2494796090985998E-2 4.3494018049027999E-2 4.3826209827937002E-2 4.4034786773380998E-2 4.4348067775625E-2 4.4203814279342002E-2 4.4617861908380997E-2 4.4465318626543002E-2 4.4274843587016E-2 4.4357891284233002E-2 4.4732265158322002E-2 4.4881411319612E-2 4.5632563825911999E-2 4.5084334291398999E-2 4.5089418545464E-2 4.4735503575200002E-2 4.4572316564367997E-2 4.3978682143181E-2 4.4088377517414998E-2 4.3601821763533999E-2 4.3761310383705003E-2 4.3859836106525003E-2 4.3909255373747999E-2 4.4072623112460997E-2 4.4546568582606E-2 4.4345862819252999E-2 4.4092369558367997E-2 4.3827123626709999E-2 4.3546808934456997E-2 4.3010236316353E-2 4.259287018756E-2 4.2243287828903998E-2 4.1896418971279999E-2 4.2142386353285002E-2 4.2079911512327997E-2 4.1943791976674999E-2 4.2161349662979998E-2 4.1973653394521998E-2 4.1491986030184003E-2 4.1274774021402998E-2 4.0899342263758999E-2 4.0831044890571003E-2 4.0288066184703999E-2 3.9865193056942999E-2 4.0117381042117997E-2 3.9732353514385997E-2 3.9955141690592E-2 3.9803454083836003E-2 3.9986936233343998E-2 4.0044224478597998E-2 3.9773128251165003E-2 3.9243345938033997E-2 3.8988037506908997E-2 3.8426361993758998E-2 3.8064911019382003E-2 3.7605600271723001E-2 3.7372250226960002E-2 3.7171965973141999E-2 3.6861337913252003E-2 3.6778715696969E-2 3.6971779308743E-2 3.6534996277488997E-2 3.6540811612244997E-2 3.5895015024170002E-2 3.5160751173303001E-2 3.4651130775771997E-2 3.4412358203431997E-2 3.4292318453383E-2 3.3826475172737E-2 3.3818201290751998E-2 3.3369703970254003E-2 3.3370073027938998E-2 3.3755251737843002E-2 3.3511597796812002E-2 3.2979786425648999E-2 3.286152689724E-2 3.2381462464122997E-2 3.1847084362412001E-2 3.1569240781927001E-2 3.1268805198307999E-2 3.0829791183996001E-2 3.0713728528314999E-2 3.0797196781321999E-2 3.0341691871645999E-2 3.0623731165243001E-2 3.0702212468003E-2 3.0390861114814999E-2 3.0232783396855999E-2 2.9504684507219998E-2 2.9111889068004E-2 2.8995653037111001E-2 2.8191354534350999E-2 0.42914371802308299
Current 44317 44348 44378 44409 44440 44470 44501 44531 44562 44593 44621 44652 44682 44713 44743 44774 44805 44835 44866 44896 44927 44958 44986 45017 45047 45078 45108 45139 45170 45200 45231 45261 45292 45323 45352 45383 45413 45444 45474 45505 45536 45566 45597 45627 45658 45689 45717 45748 45778 45809 45839 45870 45901 45931 45962 45992 46023 46054 46082 46113 46143 46174 46204 46235 46266 46296 46327 46357 46388 46419 46447 46478 46508 46539 46569 46600 46631 46661 46692 46722 46753 46784 46813 46844 46874 46905 46935 46966 46997 47027 47058 47088 47119 47150 47178 47209 47239 47270 47300 47331 47362 47392 47423 47453 47484 47515 47543 47574 47604 47635 47665 47696 47727 47757 47788 47818 47849 47880 47908 47939 0 0 0 0 0 0 0 0 0.202 04095187721399 0.208487130592096 0.212456701623122 0.224330031356375 0.230061382965076 0.23018347208489401 0.22801019547770601 0.23150644486299099 0.234262890469632 0.23837166565357401 0.2427679805936 0.244321936932718 0.24905142422581 0.24948802394039299 0.25013010752166998 0.25197490104747 0.25384542337256399 0.25502255412145303 0.25361386659802998 0.25579158571575999 0.25719427041172699 0.25791538611119602 0.25977245215898298 0.26423060667361697 0.262535351973464 0.26534554254970899 0.26774192296785498 0.26853720077281801 0.26999911202010701 0.26960901759175498 0.27089228642402002 0.26957611506474299 0.27155650868839498 0.27097956452528099 0.27080419947470802 0.27197168520178 0.27410482185752399 0.27547113543504698 0.27510741548309903 0.273430517961474 0.2 7449520754312601 0.27296225677124403 0.27291302241843701 0.27177129703171499 0.27277998233867001 0.27502748993000498 0.27381957041778598 0.27472047221024198 0.27798940102520903 0.27531062170512899 0.27573380600165798 0.27414523580262401 0.27338787324599501 0.27299798469020797 0.27212406780683401 0.27197274770979002 0.270522657710492 0.27070302458304701 0.27052376921472299 0.27098921282277399 0.27216921027840502 0.272050352354687 0.27136176443708399 0.27221811536572599 0.27174957182237702 0.27165427655333102 0.26917390710192302 0.269437355969529 0.27004420406338298 0.27066682697939798 0.27197326824531398 0.26900222780428801 0.26892922044820899 0.27125861113852201 0.27000494094688798 0.26587841029553 0.26725794110616902 0.26395708726647099 0.26286505449771203 0.26235485463165698 0.26243634950254502 0.26177461496993798 0.26092960932110698 0.262560251088992 0.25982290477807501 0.25676206904716897 0.25994396819365301 0.25756570734253498 0.258160634767718 0.25826145948362 0.25584145509712303 0.25320937240729302 0.25125014220195602 0.25093964203764701 0.251250931029327 0.24978372436554599 0.24898716676930399 0.24600633011739201 0.24515777093910401 0.249623007656256 0.24598261453062101 0.243520606396705 0.24353591145168499 0.241218640716999 0.23893638295230299 0.23841609699939501 0.23921497360511601 0.238003133872976 0.23645957622029401 0.23552859286349201 0.23189763257680299 0.194608907278499
Current 44317 44348 44378 44409 44440 44470 44501 44531 44562 44593 44621 44652 44682 44713 44743 44774 44805 44835 44866 44896 44927 44958 44986 45017 45 047 45078 45108 45139 45170 45200 45231 45261 45292 45323 45352 45383 45413 45444 45474 45505 45536 45566 45597 45627 45658 45689 45717 45748 45778 45809 45839 45870 45901 45931 45962 45992 46023 46054 46082 46113 46143 46174 46204 46235 46266 46296 46327 46357 46388 46419 46447 46478 46508 46539 46569 46600 46631 46661 46692 46722 46753 46784 46813 46844 46874 46905 46935 46966 46997 47027 47058 47088 47119 47150 47178 47209 47239 47270 47300 47331 47362 47392 47423 47453 47484 47515 47543 47574 47604 47635 47665 47696 47727 47757 47788 47818 47849 47880 47908 47939 0 0 0.31042788391619203 0.30636554955005202 0.30938397524229 0.30498067715826499 0.30242617394551202 0.30285519047279502 0.30181704765019302 0.29901727257104499 0.29912442361172398 0.29692452787141399 0.294858902531623 0.29395962229026401 0.29222790741507698 0.29093257852259802 0.28930905473457202 0.28641498807391202 0.28548344690642202 0.284187460125012 0.283867821825592 0.28234832691311301 0.280938320340616 0.278924129564106 0.27726412317413801 0.27777709746386098 0.27580766066516499 0.27532463623838999 0.27295045130609802 0.271517597568744 0.27181447960180699 0.27049374196096199 0.270077585168849 0.26920530047295299 0.266731147052088 0.26935909452585599 0.266742413518685 0.26522383825864398 0.26355889502547403 0.26176582884698102 0.26096720660015299 0.26164709501349498 0.25963447822865598 0.25972968592816298 0.25796063236188199 0.25846029826526501 0.25463264968663002 0.25641136844758 0.25645229815174198 0.25603078793578199 0.25458434802605401 0.25343611334066102 0.251205450300787 0.24947164706144401 0.250688089084868 0.25104814237409001 0.25055030595295902 0.24872815692427999 0.24793721417221201 0.24950870319643101 0.24730982233690499 0.24634070953564999 0.24666209983455401 0.245942023212783 0.24378612451044099 0.242664833419201 0.24437683391484299 0.24088822853873501 0.23923165618116901 0.23967954145339701 0.241933749720253 0.239204470667778 0.23849431003997101 0.238348399633936 0.23818780815978899 0.235904603237958 0.23727205117381001 0.23355422399763301 0.23487115628001401 0.23181238830797399 0.22937339013309399 0.23087865364374999 0.228463026695646 0.22805272780192001 0.226601264858389 0.226335705379937 0.22297578112542801 0.22149773743968701 0.22169482265099799 0.220474271258464 0.21940739929194 0.21697677907421001 0.216830074496177 0.21250657154381 0.20815070026774399 0.210672130236921 0.20534885858307 0.203509198633674 0.20057283158903899 0.19914353232350801 0.195451753862319 0.18820786101671599 0.185357232202813 0.18141065408325199 0.176209485280995 0.17430288389336401 0.16712346702991401 0.16319250687681 0.15469508495894599 0.15098366610981601 0.139814672005243 0.134803801852102 0.12497764811445999 0.11821714343305401 0.10887652890698001 0.102029440398784 9.6182577029121002E-2 8.8187745037536999E-2 8.1550761053410997E-2 7.6605342367317003E-2
Current 44317 44348 44378 44409 44440 44470 44501 44531 44562 44593 44621 44652 44682 44713 44743 44774 44805 44835 44866 44896 44927 44958 44986 45017 45 047 45078 45108 45139 45170 45200 45231 45261 45292 45323 45352 45383 45413 45444 45474 45505 45536 45566 45597 45627 45658 45689 45717 45748 45778 45809 45839 45870 45901 45931 45962 45992 46023 46054 46082 46113 46143 46174 46204 46235 46266 46296 46327 46357 46388 46419 46447 46478 46508 46539 46569 46600 46631 46661 46692 46722 46753 46784 46813 46844 46874 46905 46935 46966 46997 47027 47058 47088 47119 47150 47178 47209 47239 47270 47300 47331 47362 47392 47423 47453 47484 47515 47543 47574 47604 47635 47665 47696 47727 47757 47788 47818 47849 47880 47908 47939 0 0 0 0 0 0 0 0 4.359831393E-6 1.2852144855000001E-5 2.4761446722000001E-5 4.6016253181999997E-5 7.6093241131000005E-5 1.15750408858E-4 1.7126731725700001E-4 2.41747934812E-4 3.11927825145E-4 3.72542960768E-4 4.3686680304800001E-4 4.8829445354799995E-4 5.4641617572100001E-4 5.8460994887700002E-4 6.2506657430099995E-4 6.6574396127699995E-4 6.9725894246899995E-4 7.3632827689500005E-4 7.4842990854299995E-4 7.8076836642700001E-4 7.9683826783600003E-4 7.9818129515699999E-4 8.0089094787800001E-4 8.1358855583900001E-4 7.9922261176099997E-4 8.0891776261399998E-4 8.0690450614199995E-4 7.9941682714099996E-4 7.9829416252599999E-4 7.9692140007499995E-4 7.9620239630499997E-4 7.9865764646600002E-4 7.8749365577900001E-4 7.7887349208999996E-4 7.6543212916200002E-4 7.5934854489199998E-4 7.48806744302E-4 7.4834314054100001E-4 7.3304334806999997E-4 7.2556865973200004E-4 7.2368369624800004E-4 7.1410336077399998E-4 7.1021924162199997E-4 7.0859073195099996E-4 7.0161294192200004E-4 6.9697429481999995E-4 6.8368448801400003E-4 6.7565487978799997E-4 6.6966881324100004E-4 6.5134079575299999E-4 6.4177365996300004E-4 6.2783159697399999E-4 6.2441047734000004E-4 6.1712040584199995E-4 6.0765875815099995E-4 6.0512347643299999E-4 5.9386033568100001E-4 5.8208112312899997E-4 5.7363239256800005E-4 5.6449804072199997E-4 5.6147327359799999E-4 5.4917267975899996E-4 5.3765346056899995E-4 5.3862561160799996E-4 5.2782052059199998E-4 5.2599457724699999E-4 5.1453523023299997E-4 5.12848751541E-4 5.1019140162400002E-4 5.0330716771299999E-4 4.9456976264899998E-4 4.8180440064300001E-4 4.7078058221999998E-4 4.6649703203600001E-4 4.54996331635E-4 4.4171745341499999E-4 4.3769737495600003E-4 4.24815638794E-4 4.18287860565E-4 4.1592086210999999E-4 4.0735605619899998E-4 4.0274875349899998E-4 3.9079589557300002E-4 3.8177646173900002E-4 3.69243635413E-4 3.5941247968199999E-4 3.5969913238499999E-4 3.48722834093E-4 3.4636689170299998E-4 3.3877825092300002E-4 3.3254539983599998E-4 3.2995172033599998E-4 3.2205515582699998E-4 3.1358510187400003E-4 3.1010176209199998E-4 3.0110411121699997E-4 2.92720640008E-4 2.84323616982E-4 2.7836058894700001E-4 2.7718256790499999E-4 2.6966239670799999E-4 2.6527191905899999E-4 2.5889487496399998E-4 2.5646379666499999E-4 2.5236402815599998E-4 2.4692012606099999E-4 2.4425849311800001E-4 2.3502261308899999E-4 2.2846369215800001E-4 2.2478346794299999E-4 2.13367514808E-4 3.4066625068280001E-3
Parameters
Version:
US Interest Rate
E:\MPA2020\FEMA\Sample file TX.xlsx
US GDP
No
Default
No
No
PREPAYMENT
2017
FANNIEMAE
Severity
No
No
PREPAYMENT
2017
GINNIEMAE
No
SEVERITY
2017
ALL
No
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 22
Simulation results for loans in WY; Without natural disasters (above) and with natural disasters (below)
Number of Simulations 10,000 Mean (Portfolio EL) 4.4758% Standard Deviation 2.0276 Interquartile Range 2.3861 Skewness 1.4464 Kurtosis 3.6947 95th / 50th Percentile 2.0704
5% 2.0342 10% 2.3689 25% 3.0490 50% 4.0534 75% 5.4351 90% 7.1330 95% 8.3922
Portfolio Loss Distribution Aggregate Statistics
Percentiles
0.0000%
1.0000%
2.0000%
3.0000%
4.0000%
5.0000%
6.0000%
7.0000%
8.0000%
Number of Simulations 10,000 Mean (Portfolio EL) 4.4757% Standard Deviation 2.0274 Interquartile Range 2.3868 Skewness 1.4468 Kurtosis 3.6980 95th / 50th Percentile 2.0699
5% 2.0342 10% 2.3689 25% 3.0490 50% 4.0544 75% 5.4358 90% 7.1301 95% 8.3922
Portfolio Loss Distribution Aggregate Statistics
Percentiles
0.0000%
1.0000%
2.0000%
3.0000%
4.0000%
5.0000%
6.0000%
7.0000%
8.0000%
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 23
Simulation results for loans in CA; Without natural disasters (above) and with natural disasters (below)
Number of Simulations 10,000 Mean (Portfolio EL) 2.3528% Standard Deviation 2.0021 Interquartile Range 1.7891 Skewness 3.8773 Kurtosis 35.5313 95th / 50th Percentile 3.3797
5% 0.6207 10% 0.7803 25% 1.1276 50% 1.7676 75% 2.9166 90% 4.6195 95% 5.9740
Portfolio Loss Distribution Aggregate Statistics
Percentiles
0.0000%
5.0000%
10.0000%
15.0000%
20.0000%
25.0000%
Number of Simulations 10,000 Mean (Portfolio EL) 2.9007% Standard Deviation 2.2573 Interquartile Range 2.3703 Skewness 2.4709 Kurtosis 13.9273 95th / 50th Percentile 3.2391
5% 0.7171 10% 0.9091 25% 1.3603 50% 2.2364 75% 3.7306 90% 5.7722 95% 7.2440
Portfolio Loss Distribution Aggregate Statistics
Percentiles
0.0000%
2.0000%
4.0000%
6.0000%
8.0000%
10.0000%
12.0000%
14.0000%
16.0000%
18.0000%
Fre qu
en cy
4 The effect of climate scenarios on the U.K. mortgages credit parameters
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 25
Mortgage Characteristics December 2020 snapshot
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
0.0% 5.0% 10.0% 15.0% 20.0% 25.0%
%
» 126,396 mortgages totaling an outstanding balance of £12,149m.
» There are 877 under- performing accounts, representing 0.55% of the total exposure.
» Nearly 91% of customers are employed, whilst an additional 7.5% are self- employed.
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 26
Climate Change Scenarios for the UK
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
HPI, % change yr ago
Unemployment Rate, %
20 20
Q 4
20 23
Q 3
20 26
Q 2
20 29
Q 1
20 31
Q 4
20 34
Q 3
20 37
Q 2
20 40
Q 1
20 42
Q 4
20 45
Q 3
20 48
Q 2
20 51
Q 1
20 53
Q 4
20 56
Q 3
20 59
Q 2
Real GDP Index, 2020Q4 = 100
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 27
Impact of Climate Scenarios on Credit Risk
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8
20 21
M 1
20 21
M 8
20 22
M 3
20 22
M 10
20 23
M 5
20 23
M 12
20 24
M 7
20 25
M 2
20 25
M 9
20 26
M 4
20 26
M 11
20 27
M 6
20 28
M 1
20 28
M 8
20 29
M 3
20 29
M 10
20 30
M 5
20 30
M 12
20 31
M 7
20 32
M 2
20 32
M 9
20 33
M 4
20 33
M 11
20 34
M 6
20 35
M 1
20 35
M 8
Annualised Conditional PD, %
%
%
Expected Losses by Geographic Region, %
0.0
1.0
2.0
3.0
4.0
5.0
6.0
LGD, %
5 Usage of location-specific climate risk scores to forecast climate-adjusted credit risk metrics
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 29
427 Climate Risk Scores Obtain climate risk scores at the facility level. 427 returns six climate event risk scores based on the geographic location provided.
Climate Scenarios Build country-specific climate scenarios (e.g., NGFS Current Policy, NGFS Early Policy, NGFS Late Policy).
Score-Adjusted Scenario Compute climate event risk adjustments to the economy based on 427 climate risk scores and location such that riskier areas face more severe scenarios.
Climate-Adjusted Credit Risk Metrics Forecast credit risk metrics (PDs, LGDs, EADs) based on score-adjusted climate scenarios.
Modelling Steps
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 30
Physical Climate Risk Score 427 Data
Floods Score Sea Level Rise Score Water Stress Score
U K
Sa m
pl e
(1 00
0 fa
ci lit
ie s)
» 1,000 random names of the portfolio and ran the physical risk climate scores within the on-demand scoring application
» Six climate hazards assessed at the facility-level: floods, sea level rise, water stress, heat stress, wildfire, and hurricanes & typhons
» Majority of the portfolio is low risk but some material hotspots across specific climate hazards
» While few UK facilities may lead to Red Flags, UK Floods and Seal Level Risk scores can easily double or triple, amplifying damages for local economies and assets
» Flood risk followed by Water Stress appears to the be prominent climate hazards affecting the portfolio analysed
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 31
Credit Risk Impact of Flooding Exposure A Worked Example on a UK Residential Mortgage Assume 7 loans with the same characteristics (exposure, LTV, interest rate, DPD status, etc.) but located in different areas of the UK.
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 32
Linking Probability of Climate Events to Credit Risk Example for flood events
Return period of inundation 1-in-5 years 1-in-10 years 1-in-20 years 1-in-50 years 1-in-75 years
1-in-100 years 1-in-200 years 1-in-250 years 1-in-500 years 1-in-1000 years
None
probability of events based on the
property’s location.
Climate Event Simulation
How severe will the hazard be?
» Impact on macroeconomic drivers (e.g., HPI).
» Impact on credit risk metrics such as PDs & LGDs (idiosyncratic impact).
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 33
Linking Severity of Climate Events to Credit Risk Impact of flooding in HPI 1. Analyse 70+ flooding events in the UK. 2. Classify the events based on severity. 3. Analyse the impact on HPI after the event is observed by severity buckets.
= + + + + where : HPI for LAU i at time t, : Time effect (year−quarter dummy), : Region fixed effect, : Time-varying flood event effect, : flooded LAU (dummy)
Fixed effect model
Impact of Flooding in Location-specific HPI
-6.00%
-4.00%
-2.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
Baseline Early Policy
2021Q4
-8.00% -6.00% -4.00% -2.00% 0.00% 2.00% 4.00% 6.00% 8.00%
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16
Yo Y
-12.00% -10.00%
-8.00% -6.00% -4.00% -2.00% 0.00% 2.00% 4.00% 6.00% 8.00%
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16
Yo Y
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 35
Impact of Flooding Events in LGD Location-specific LGD
0.0
2.0
4.0
6.0
8.0
10.0
%
More severeLess severe
Climate-Adjusted Credit Risk Approach: Summary
Standard Model
HPI(S), UR(S)
West Chester, EBA-HQ +1.610.235.5299 121 North Walnut Street, Suite 500 West Chester PA 19380 USA
New York, Corporate-HQ +1.212.553.1653 7 World Trade Center, 14th Floor 250 Greenwich Street New York, NY 10007 USA
London +44.20.7772.5454 One Canada Square / Canary Wharf London E14 5FA United Kingdom
Dubai +971 (450) 397-45 Dubai International Financial Centre Al Fattan Currency House Tower 1, Level 2 /P. O. Box 506845 Dubai, UAE
Prague +420 (234) 747-532 Pernerova 691/42 186 00 Prague 8 Czech Republic
Sydney +61.2.9270.8111 Level 10 1 O'Connell Street Sydney, NSW, 2000 Australia
Singapore +65.6511.4400 6 Shenton Way #14-08 OUE Downtown 2 Singapore 068809
Shanghai +86.21.6101.0172 Unit 2306, Citigroup Tower 33 Huayuanshiqiao Road Pudong New Area, 200120 China
Contact Us: Content Solutions - Economics & Business Analytics Offices
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 39
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.
MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS, AND PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS OR PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.
ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.
MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.
All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing its Publications.
To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.
To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.
NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.
Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $5,000,000. MCO and Moody’s Investors Service also maintain policies and procedures to address the independence of Moody’s Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody’s Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”
Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.
Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.
MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY550,000,000.
MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.
Agenda
1
Mortgage Portfolio Analyzer
427 Data – Physical Risk Score
2
Top 9 natural disasters
3
The distribution of damages in California
The distribution of damages in Wyoming
Portfolio: 2688 loans, Total Balance = $803M
Simulation results for loans in TX; Without natural disasters (above) and with natural disasters (below)
Simulation results for loans in WY; Without natural disasters (above) and with natural disasters (below)
Simulation results for loans in CA; Without natural disasters (above) and with natural disasters (below)
4
Impact of Climate Scenarios on Credit Risk
5
Linking Probability of Climate Events to Credit Risk
Linking Severity of Climate Events to Credit Risk
Impact of Flooding in Location-specific HPI
Impact of Flooding Events in LGD
Climate-Adjusted Credit Risk Approach: Summary
Slide Number 37
Slide Number 38
Slide Number 39
It’s Not All About the Economy: Climate Change and the U.K. and U.S. Mortgage Credit Risk
Dr Petr Zemcik • Dr Pouyan Mashayekh • Cecilia Bocchio • Muhammad Jafree
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 2
Moody's Analytics operates independently of the credit ratings activities of Moody's Investors Service. We do not comment on credit ratings or potential rating changes, and no opinion or analysis you hear during this presentation can be assumed to reflect those of the ratings agency.
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 3
Today’s Speakers
Predictive Analytics
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 4
Retail loan-level econometric models for credit and impairment metrics Portfolio Analyser (PA) Suite of Models
Delinquency/Arrears (Flow rates or migration matrices)
Default Rates & PDs (Dynamic term-structures)
Prepayment Risk (Closed-good physical risk)
Exposure at Default (EADs) (Amortization curves or utilization
factors)
Impairments
M o r t g a g e s (With relevant sub-categories)
C r e d i t C a r d s (Bank cards & Retail cards)
P e r s o n a l L o a n s & L i n e s (Unsecured & Secured)
Ve h i c l e / Au t o F i n a n c e (Loans & Leases)
O v e r d r a f t s (Across account types)
S t u d e n t L o a n s (Government & Private)
R e t a i l S M E s (With relevant sub-categories)
Portfolio Loss Analytics (Dynamic multi-period Loss Distributions, VaRs, Tail-risk-contribution analysis,
Economic Capital, Risk Concentration)
Retai l Asset Classes
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 5
1. From climate to credit risk: Methodological Challenges 2. Impact of frequency and severity of natural disasters on the PD for
U.S. mortgages 3. Simulations of natural disasters in credit models using the U.S.
Mortgage Portfolio Analyzer 4. The effect of climate scenarios on the U.K. mortgages credit
parameters 5. Usage of location-specific climate risk scores to forecast climate-
adjusted credit risk metrics
Climate Risk Assessment 7
Panel logit model of the form Pr
= e α+∑=1
γ
β+∑=1 µ.+∑=1
γ
the impact of the climate-adjusted macro scenario
Location / Climate Hazards for a specific counterparty in high risk area
2416 2228 16 12
Moody’s Climate Change Forecast
427 Data, Physical Risk Scores
* Weighted average of the macroeconomic variables shocks by associated weights ** Weighted average of Hazard damage factors and 427 Climate Hazards scores – those factors have an indicative value as they will be estimated during the project over the relevant sample
Climate Risk Assessment 8
Default/Prepayment
LGD
EAD
as ECL, Loss Distribution, Credit
VaR
Carbon price pathways Emissions pathways
Commodity & energy prices; energy mix
Global & regional temperature pathways Climate-related perils (e.g. flood, subsidence)
Longevity Agricultural productivity
Corporate profits & household income Residential & commercial property prices
Physical Variables Macroeconomic Variables
Financial Market Variables
Macro-financial VariablesClimate Risk Variables
Start with parameters from regulators or clients and expand scenarios to populate additional variables using our Global Macro Model with climate risk components
Illustrative Variable Pathways in each ScenarioCO2 Pathway Temperature Pathway
Physical Risk Shock Inputs
Climate Risk Scenarios
Climate Risk Assessment 10
427 Data – Physical Risk Score On-Demand Scoring Key Features of 427 Data
Score single assets or large portfolios via an interactive, browser-based application or API
Analyze data and underlying climate indicators via multiple visualizations
Score thousands of properties in minutes
Identify hotspots and analyze the detailed drivers of exposure to six physical climate hazards
Use Cases
Asset Owners – evaluate the long-term risk exposure of your portfolio holdings and engage with asset operators to improve resilience and risk management
Portfolio Managers – enhance the analysis of your portfolio and monitor risk as portfolio holdings change over time. Screen assets for their exposure to climate hazards, pre-acquisition
Banks – identify the climate-related risks in commercial and residential mortgage portfolios. Incorporate climate risks into loan acquisition
» Best-in-class, peer-reviewed, publicly available climate models, supplemented by commercially available data.
» Assessments on virtually any property or corporate facility globally based on its exposure to key climate hazards.
» Ground-up climate risk scores for real assets, listed companies, REITs, U.S. municipalities and global sovereigns
» Available through an API or online user interface for real assets.
Facility Risk Score
2 Impact of frequency and severity of natural disasters on the PD for U.S. mortgages
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 12
Hurricane Harvey Mortgage default rate in Texas
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
0.70%
0.80%
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 14
Federal Emergency Management Agency (FEMA) data Close to 13,000 events for 24 different event types: Year, month, State, number of deaths & the estimated amount of damage to property incurred by the weather event Event Level Event Type
1 flood 2 hurricane_typhoon 3 wildfire 4 tornado_waterspout 5 tsunami 6 blizzard 7 thunderstorm wind_heavy rain 8 high wind 9 hail 10 rip current 11 avalanche 12 landslide 13 lightning 14 fog 15 volcanic ash 16 heat 17 low tide 18 dense smoke 19 drought 20 dust storm 21 funnel cloud 22 northern lights 23 seiche 24 other
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 15
Top 9 natural disasters 56 natural disasters with more than $500M estimated damage
state yrm damage property deaths Disaster
TX 201708 43,704,268,000$ 67 Harvey NJ 201210 20,950,000,000$ 2 Sandy PR 201709 19,018,177,000$ 20 Irma CA 201811 17,000,000,000$ 86 Wildfire LA 200508 16,933,030,000$ 816 Katrina MS 200508 13,482,120,000$ 181 Katrina FL 200409 10,562,815,000$ 13 Stewart FL 200510 10,215,603,000$ 1 Wilma LA 201608 8,992,219,000$ 12 32 inches of rainfall
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 16
There are many events with significant impacts on PD Multipliers in FRM pd model
0
5
10
15
20
25
30
35
40
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44
M ul
tip lie
el
Event #
3 Simulations of natural disasters in credit models using the U.S. Mortgage Portfolio Analyzer
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 18
The distribution of damages in California Wildfire Flood, Hurricane, Tornado &Heavy Rain
0 .0
5 .1
.1 5
.2 D
en si
0 .0
5 .1
.1 5
D en
si ty
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 19
The distribution of damages in Wyoming Wildfire Flood, Hurricane, Tornado &Heavy Rain
0 .0
5 .1
.1 5
.2 .2
5 D
en si
0 .0
5 .1
.1 5
.2 .2
5 D
en si
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 20
Portfolio: 2688 loans, Total Balance = $803M
# % 537 19.90 331 12.53 360 13.24 356 13.31 356 13.35 356 13.06 392 14.61
0 0.00 0 0.00 0 0.00
# % 0 0.00 65 3.08
318 14.55 322 13.95 294 11.98 326 12.52 345 12.40 356 11.88 341 10.54 321 9.10 >= 55 73,100,000$
>= 65 95,428,000$ >= 60 84,676,000$
>= 75 100,532,000$ >= 70 99,572,000$
>= 85 112,000,000$ >= 80 96,244,000$
>= 95 24,700,000$ >= 90 116,896,000$
>= 630 107,248,000$ >= 590 104,916,000$
>= 710 106,328,000$ >= 670 106,868,000$
>= 790 159,792,000$ >= 750 100,668,000$
FICO Exposure # % 181 8.48 327 14.66 247 10.53 244 9.89 268 10.35 282 10.31 256 8.86 298 9.73 264 8.09 321 9.10
# % 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
2,688 100.00 >= 0 803,148,000.00
>= 10 0.00 >= 5 0.00
>= 20 0.00 >= 15 0.00
>= 30 0.00 >= 25 0.00
>= 40 0.00 >= 35 0.00
>= 236,500 64,964,000$ >= 220,000 73,100,000$
>= 269,500 71,148,000$ >= 253,000 78,128,000$
>= 302,500 83,132,000$ >= 286,000 82,836,000$
>= 335,500 84,544,000$ >= 319,000 79,444,000$
>= 368,500 68,108,000$ >= 352,000 117,744,000$
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 21
Simulation results for loans in TX; Without natural disasters (above) and with natural disasters (below)
Number of Simulations 10,000 Mean (Portfolio EL) 5.8959% Standard Deviation 2.6908 Interquartile Range 3.3077 Skewness 1.4992 Kurtosis 5.3347 95th / 50th Percentile 2.0578
5% 2.6345 10% 3.0726 25% 3.9670 50% 5.3252 75% 7.2746 90% 9.4209 95% 10.9580
Portfolio Loss Distribution Aggregate Statistics
Percentiles
0.0000%
1.0000%
2.0000%
3.0000%
4.0000%
5.0000%
6.0000%
7.0000%
8.0000%
9.0000%
10.0000%
Number of Simulations 10,000 Mean (Portfolio EL) 6.4705% Standard Deviation 2.6704 Interquartile Range 3.4410 Skewness 1.0242 Kurtosis 1.7184 95th / 50th Percentile 1.8817
5% 2.9795 10% 3.4734 25% 4.4881 50% 6.0788 75% 7.9291 90% 9.9837 95% 11.4384
Portfolio Loss Distribution Aggregate Statistics
Percentiles
0.0000%
1.0000%
2.0000%
3.0000%
4.0000%
5.0000%
6.0000%
7.0000%
Total Balance
76.54% / 76.54% / .00%
Total Loan Count
0.00%
E:\MPA2020\FEMA\Sample file TX.xlsx
75
728.00%
Wtd. Avg. FICO
Wtd. Avg. IO Term / IO%
/ .00%
** The loan exposure amount is 'Max Drawn Amount' for HELOCs and 'Current Amount' for mortgages
Color Legend
>= 790
537
19.90
159,792,000.00
1.0176
>= 9.50
0
0.00
0.00
0.0000
>= 368,500
181
8.48
68,108,000.00
10.0863
>= 750
331
12.53
100,668,000.00
2.5697
>= 9.00
0
0.00
0.00
0.0000
>= 352,000
327
14.66
117,744,000.00
9.2810
>= 710
360
13.24
106,328,000.00
3.6704
>= 8.50
0
0.00
0.00
0.0000
>= 335,500
247
10.53
84,544,000.00
7.5553
>= 670
356
13.31
106,868,000.00
5.5447
>= 8.00
0
0.00
0.00
0.0000
>= 319,000
244
9.89
79,444,000.00
6.7041
>= 630
356
13.35
107,248,000.00
8.2040
>= 7.50
0
0.00
0.00
0.0000
>= 302,500
268
10.35
83,132,000.00
5.9102
>= 590
356
13.06
104,916,000.00
9.5138
>= 7.00
0
0.00
0.00
0.0000
>= 286,000
282
10.31
82,836,000.00
4.9058
>= 550
392
14.61
117,328,000.00
12.3856
>= 6.50
0
0.00
0.00
0.0000
>= 269,500
256
8.86
71,148,000.00
3.6011
>= 510
0
0.00
0.00
0.0000
>= 6.00
0
0.00
0.00
0.0000
>= 253,000
298
9.73
78,128,000.00
3.3802
>= 470
0
0.00
0.00
0.0000
>= 5.50
2,688
100.00
803,148,000.00
5.8959
>= 236,500
264
8.09
64,964,000.00
3.0462
>= 430
0
0.00
0.00
0.0000
>= 5.00
0
0.00
0.00
0.0000
>= 220,000
321
9.10
73,100,000.00
2.3023
13 * Portfolio EL < Bucket EL
LTV
0
0.00
0.00
0.0000
0
0.00
0.00
0.0000
0
0.00
0.00
0.0000
2,688
100.00
803,148,000.00
5.8959
0
0.00
0.00
0.0000
0
0.00
0.00
0.0000
0
0.00
0.00
0.0000
0
0.00
0.00
0.0000
0
0.00
0.00
0.0000
2424.72%
3171.52%
1002.406
Loan_Level
Version:
Mortgage Portfolio Analyzer - v5.20.3.1
An (*) means a custom model is being used in this analysis run
Loan ID
Rate Type
Lien Pos
Orig Term
Amor Term
IO Term
WAL
Segment
Loan ID
Discount Rate
Loan ID
Discount Rate
Frequency
Economic_Sensitivities
Calculated by sampling simulated distributions based on US-level factors 2 yrs after start of simulation
Version:
National Home Price Appreciation
HPI
LIBOR
Unemployment
Item
Fuller
Sparse
Item
Fuller
Sparse
Item
Fuller
Sparse
>= -16.00
0
10.1716433103
>= 0.00
5.7079748702
0
>= 2.00
5.3923504526
0
>= -10.00
9.3989535755
0
>= 1.00
6.131072659
0
>= 4.00
5.8827585684
0
>= -4.00
7.3096838757
0
>= 2.00
6.9220791121
0
>= 6.00
6.8193099263
0
>= 2.00
6.3554922514
0
>= 3.00
0
9.0236912439
>= 8.00
8.2827273405
0
>= 8.00
5.6437763935
0
>= 4.00
0
11.4965945419
>= 10.00
0
8.1481054663
>= 14.00
4.9795131487
0
>= 5.00
0
13.6219594773
>= 12.00
0
15.7171066978
>= 20.00
4.5888673034
0
>= 6.00
0
10.1205937681
>= 26.00
0
4.2950275313
>= 7.00
0
0
>= 32.00
0
3.8712739348
>= 38.00
0
0
National Unemployment
Fuller > = 0.00 > = 1.00 > = 2.00 > = 3.00 > = 4.00 > = 5.00 > = 6.00 > = 7.00 5.7079748702347102 6.1310726589679696 6.9220791120732796 0 0 0 0 0 Sparse > = 0.00 > = 1.00 > = 2.00 > = 3.00 > = 4.00 > = 5.00 > = 6.00 > = 7.00 0 0 0 9.0236912439159198 11.496594541889401 13.621959477337599 10.120593768128 0
EL (%)
Fuller > = -16.00 > = -10.00 > = -4.00 > = 2.00 > = 8.00 > = 14.00 > = 20.00 > = 26.00 > = 32.00 > = 38.00 0 9.3989535755013307 7.3096838756974796 6.35549225139959 5.6437763935212599 4.979513148 6641599 4.5888673033685503 0 0 0 Sparse > = -16.00 > = -10.00 > = -4.00 > = 2.00 > = 8.00 > = 14.00 > = 20.00 > = 26.00 > = 32.00 > = 38.00 10.1716433103327 0 0 0 0 0 0 4.29502753126929 3.8712739347511298 0
EL (%)
Fuller > = 2.00 > = 4.00 > = 6.00 > = 8.00 > = 10.00 > = 12.00 5.39235045255659 5.8827585683558201 6.81930992630656 8.2827273404530608 0 0 Sparse > = 2.00 > = 4.00 > = 6.00 > = 8.00 > = 10.00 > = 12.00 0 0 0 0 8.1481054663122805 15.717106697841499
EL (%)
Loan_Factor_Sensitivities
Calculated by sampling simulated individual loan losses over all paths. Each bar represents mean of all loans' ELs in bucket.
Version:
CLTV
Composition
Documentation
CLTV
Composition
Documentation
DTI
FICO
0
0
>= 42
5.895924884
0
>= 430
0
0
>= 220,000
2.302313189
0
>= 55
2.302313189
0
>= 0.00
0
0
0
0
>= 43
0
0
>= 470
0
0
>= 236,500
3.0462206943
0
>= 60
3.0978840746
0
>= 0.50
0
0
0
0
>= 44
0
0
>= 510
0
0
>= 253,000
3.3802347102
0
>= 65
3.4438747792
0
>= 1.00
0
0
0
0
>= 45
0
0
>= 550
12.3856130836
0
>= 269,500
3.6011110169
0
>= 70
4.5087190305
0
>= 1.50
0
0
0
0
>= 46
0
0
>= 590
9.5138068386
0
>= 286,000
4.9057620511
0
>= 75
5.7294965984
0
>= 2.00
0
0
5.895924884
0
>= 47
0
0
>= 630
8.2039547651
0
>= 302,500
5.9102057829
0
>= 80
6.738136266
0
>= 2.50
0
0
0
0
>= 48
0
0
>= 670
5.544692382
0
>= 319,000
6.7041406246
0
>= 85
8.1104044513
0
>= 3.00
0
0
0
0
>= 49
0
0
>= 710
3.6703895905
0
>= 335,500
7.5552862849
0
>= 90
9.5540553275
0
>= 3.50
0
0
0
0
>= 50
0
0
>= 750
2.5696857784
0
>= 352,000
9.2810374652
0
>= 95
11.2308263174
0
>= 4.00
0
0
Fuller > = 55 > = 60 > = 65 > = 70 > = 75 > = 80 > = 85 > = 90 > = 95 > = 100 2.3023131889698298 3.0978840746115499 3.4438747791503301 4.5087190305343698 5.7294965984298303 6.73813 62660428099 8.1104044513029407 9.5540553274573199 11.2308263174367 0 Sparse > = 55 > = 60 > = 65 > = 70 > = 75 > = 80 > = 85 > = 90 > = 95 > = 100 0 0 0 0 0 0 0 0 0 0
EL (%)
Fuller Second homes (S) Rental (R) Owner-occupied (P) Investor (I) 0 0 5.8959248839766198 0 Sparse Second homes (S) Rental (R) Owner-occupied (P) Investor (I) 0 0 0 0
EL (%)
Fuller Manufactured Housing (M) Coop (J) Deminimus PUD (D) Two-four family (F) Single family (S) Townhouse (T) PUD (P) New construction (N) Condotel (O) Condominium (C) 0 0 0 0 0 0 0 0 0 5.8959248839766198 Sparse Manufactured Housing (M) Coop (J) Deminimus PUD (D) Two-four family (F) Single family (S) Townhouse (T) PUD (P) New construction (N) Condotel (O) Condominium (C) 0 0 0 0 0 0 0 0 0 0
EL (%)
Fuller Home improvement (H) Debt consolidate (D) Rate/term refin. (R) Purchase money (P) Cash out refin. (C) 0 0 0 0 5.8959248839766198 Sparse Home improvement (H) Debt consolidate (D) Rate/term refin. (R) Purchase money (P) Cash out refin. (C) 0 0 0 0 0
EL (%)
Fuller > = 5.00 > = 5.50 > = 6.00 > = 6.50 > = 7.00 > = 7.50 > = 8.00 > = 8.50 > = 9.00 > = 9.50 0 5.8959248839766198 0 0 0 0 0 0 0 0 Sparse > = 5.00 > = 5.50 > = 6.00 > = 6.50 > = 7.00 > = 7.50 > = 8.00 > = 8.50 > = 9.00 > = 9.50 0 0 0 0 0 0 0 0 0 0
EL (%)
Fuller Adjustable (ARM) Fixed (FRM) 0 5.8959248839766198 Sparse Adjustable (ARM) Fixed (FRM) 0 0
EL (%)
Fuller Defaulted Prepaid 90DPD 60DPD 30DPD Current 0 0 0 0 0 5.8959248839766198 Sparse Defaulted Prepaid 90DPD 60DPD 30DPD Current 0 0 0 0 0 0
EL (%)
Fuller > = 0 > = 5 > = 10 > = 15 > = 20 > = 25 > = 30 > = 35 > = 40 > = 45 5.8959248839766198 0 0 0 0 0 0 0 0 0 Sparse > = 0 > = 5 > = 10 > = 15 > = 20 > = 25 > = 30 > = 35 > = 40 > = 45 0 0 0 0 0 0 0 0 0 0
EL (%)
Fuller > = 0 > = 40 > = 80 > = 120 > = 160 > = 200 > = 240 > = 280 > = 320 > = 360 0 0 0 0 0 0 0 0 0 5.8959248839766198 Sparse > = 0 > = 40 > = 80 > = 120 > = 160 > = 200 > = 240 > = 280 > = 320 > = 360 0 0 0 0 0 0 0 0 0 0
EL (%)
EL (%)
Fuller Modified Balloon 2nd Lien 1st Lien HELOC Negam 0 0 0 5.8959248839766198 0 0 Sparse Modified Balloon 2nd Lien 1st Lien HELOC Negam 0 0 0 0 0 0
EL (%)
Fuller No income - No assets - No VOE (C9) No income - No assets - VOE (C8) No income - stated assets (C7) No Income - partial assets (C6) Stated income - part assets etc (C5) Part Inc - stated assets etc. (C4) Full income - No assets (C3) Full Assets - Part Income etc. (C2) Full income - Full Assets (C1) 0 0 0 0 0 5.8959248839766198 0 0 0 Sparse No income - No assets - No VOE (C9) No income - No assets - VOE (C8) No income - stated assets (C7) No Income - partial assets (C6) Stated income - part assets etc (C5) Part Inc - stated assets etc. (C4) Full income - No assets (C3) Full Assets - Part Income etc. (C2) Full income - Full Assets (C1) 0 0 0 0 0 0 0 0 0
EL (%)
Fuller > = 42 > = 43 > = 44 > = 45 > = 46 > = 47 > = 48 > = 49 > = 50 > = 51 5.8959248839766198 0 0 0 0 0 0 0 0 0 Sparse > = 42 > = 43 > = 44 > = 45 > = 46 > = 47 > = 48 > = 49 > = 50 > = 51 0 0 0 0 0 0 0 0 0 0
EL (%)
Fuller > = 430 > = 470 > = 510 > = 550 > = 590 > = 630 > = 670 > = 710 > = 750 > = 790 0 0 0 12.385613083629501 9.5138068385910195 8.2039547651332203 5.5446923820443903 3.6703895905391302 2.56968577838364 1.0176496326841999 Sparse > = 430 > = 470 > = 510 > = 550 > = 590 > = 630 > = 670 > = 710 > = 750 > = 790 0 0 0 0 0 0 0 0 0 0
EL (%)
EL (%)
Fuller > = 55 > = 60 > = 65 > = 70 > = 75 > = 80 > = 85 > = 90 > = 95 > = 100 2.3023131889698298 3.0978840746115499 3.4438747791503301 4.5087190305343698 5.7294965984298303 6.73813 62660428099 8.1104044513029407 9.5540553274573199 11.2308263174367 0 Sparse > = 55 > = 60 > = 65 > = 70 > = 75 > = 80 > = 85 > = 90 > = 95 > = 100 0 0 0 0 0 0 0 0 0 0
EL (%)
Fuller > = 0.00 > = 0.50 > = 1.00 > = 1.50 > = 2.00 > = 2.50 > = 3.00 > = 3.50 > = 4.00 > = 4.50 0 0 0 0 0 0 0 0 0 0 Sparse > = 0.00 > = 0.50 > = 1.00 > = 1.50 > = 2.00 > = 2.50 > = 3.00 > = 3.50 > = 4.00 > = 4.50 0 0 0 0 0 0 0 0 0 0
EL (%)
Risk_Tolerance
Version:
Aggregate Statistics
Capital Relief
45% / 545
65% / 919
5% / 47 10% / 97 15% / 150 20% / 207 25% / 267 30% / 331 35% / 398 40% / 470 45% / 545 50% / 627 55% / 716 60% / 812 65% / 919 70% / 1037 75% / 1170 80% / 1323 85% / 1502 90% / 1721 95% / 2014 6497114.8346059704 12946941.017789099 19410661.867522001 25900021.1 588668 32333564.7149189 38795841.8248768 45196545.835488804 51711899.724664599 58083382.369177401 64571711.938373901 71038547.002533004 77448035.347193107 83944476.360608399 90371129.4730113 96802670.999291107 103287355.94742 109726791.35961901 116170061.14506701 122617144.83092199
Capital Relief Percentage / Loan Count
Amount
Portfolio_Cashflows
Version:
Current 44317 44348 44378 44409 44440 44470 44501 44531 44562 44593 44621 44652 44682 44713 44743 44774 44805 44835 44866 44896 44927 44958 44986 45017 45047 45078 45108 45139 45170 45200 45231 45261 45292 45323 45352 45383 45413 45444 45474 45505 45536 45566 45597 45627 45658 45689 45717 45748 45778 45809 45839 45870 45901 45931 45962 45992 46023 46054 46082 46113 46143 46174 46204 46235 46266 46296 46327 46357 46388 46419 46447 46478 46508 46539 46569 46600 46631 46661 46 692 46722 46753 46784 46813 46844 46874 46905 46935 46966 46997 47027 47058 47088 47119 47150 47178 47209 47239 47270 47300 47331 47362 47392 47423 47453 47484 47515 47543 47574 47604 47635 47665 47696 47727 47757 47788 47818 47849 47880 47908 47939 0 0 5.9341407631739998E-3 8.9849308105200004E-3 1.4135631458525E-2 2.0844356269903001E-2 2.8881371112976E-2 4.2537120314763997E-2 5.5755439090650998E-2 6.960043273555E-2 6.0831073798623E-2 5.3869230682465997E-2 5.2478516824871001E-2 5.4344918336563998E-2 5.5457610939380002E-2 5.4262999463919999E-2 5.6651920257727001E-2 5.9247570868084999E-2 5.7504425262959E-2 6.1423500329544002E-2 5.9907506316408003E-2 5.8584497793817997E-2 4.915270708602E-2 4.2984812081203999E-2 4.1447546434436003E-2 4.2017771046040001E-2 4.2924895322626999E-2 4.2107510732800002E-2 4.4593294727600999E-2 4.6704901344608002E-2 4.6365625792375999E-2 4.9541616293308E-2 4.9038848917479998E-2 4.8763596281264997E-2 4.1557856190199999E-2 3.6665964929275E-2 3.5501987888143002E-2 3.6066001498161998E-2 3.7662824226598002E-2 3.6729383268826001E-2 3.9124121922952997E-2 4.1253822928467E-2 4.1050347063317998E-2 4.4041920942144999E-2 4.3661892346194997E-2 4.3426865252573998E-2 3.6817393354088998E-2 3.2736837765094E-2 3.1531837105499998E-2 3.2375374682472001E-2 3.3476224062217001E-2 3.3128161928199E-2 3.5352338318686997E-2 3.7175743846026003E-2 3.6903021006704E-2 4.0045023578381002E-2 3.9673273819234002E-2 3.9491679872450003E-2 3.3828981881557002E-2 2.9544213541474001E-2 2.9039712234581998E-2 2.9561744010214001E-2 3.0636231791228E-2 3.0085515799909E-2 3.2335195638215998E-2 3.4258137947909002E-2 3.3676363022796002E-2 3.6554326351469997E-2 3.6452008523049001E-2 3.6072447816335999E-2 3.0698041444319001E-2 2.7266079704080001E-2 2.6405327562028E-2 2.7101020310123999E-2 2.7901553106096998E-2 2.7639770766908E-2 2.9507172033976001E-2 3.1502027232102998E-2 3.0983512114801999E-2 3.3371360281936997E-2 3.3159333794007997E-2 3.3219362051332003E-2 2.8302493925996E-2 2.4695606075205E-2 2.4050287000538E-2 2.4227488186514001E-2 2.5622635037176E-2 2.5275708075322999E-2 2.6839207266074999E-2 2.8483930540789001E-2 2.8205186889370001E-2 3.0556028929131999E-2 3.01724968909E-2 2.9890468002809999E-2 2.5640776720267999E-2 2.2576513495759998E-2 2.2176457917622999E-2 2.2733873031624999E-2 2.3389251964726999E-2 2.2792168258695001E-2 2.4331488923176998E-2 2.5677699786419001E-2 2.5618231122798998E-2 2.7292577148378998E-2 2.6916301539601999E-2 2.7326503405903001E-2 2.3255341837577E-2 2.0616925097251E-2 2.0001142732780999E-2 2.0692275881867998E-2 2.0871410971632001E-2 2.0691845380252E-2 2.2246061469321E-2 2.3392300815351E-2 2.2512772299097001E-2 2.4197961013036E-2 2.3956403110668E-2 2.4038050638281998E-2 2.0167243022591E-2 1.7650283544055002E-2
Current 44317 44348 44378 44409 44440 44470 44501 44531 44562 44593 44621 44652 44682 44713 44743 44774 44805 44835 44866 44896 44927 44958 44986 45017 45 047 45078 45108 45139 45170 45200 45231 45261 45292 45323 45352 45383 45413 45444 45474 45505 45536 45566 45597 45627 45658 45689 45717 45748 45778 45809 45839 45870 45901 45931 45962 45992 46023 46054 46082 46113 46143 46174 46204 46235 46266 46296 46327 46357 46388 46419 46447 46478 46508 46539 46569 46600 46631 46661 46692 46722 46753 46784 46813 46844 46874 46905 46935 46966 46997 47027 47058 47088 47119 47150 47178 47209 47239 47270 47300 47331 47362 47392 47423 47453 47484 47515 47543 47574 47604 47635 47665 47696 47727 47757 47788 47818 47849 47880 47908 47939 0 0 0 0 0 0 0 0 2.6807834080799998E-4 7.6985378242500004E-4 1.463205905932E-3 2.5876269011130002E-3 4.1963529900119999E-3 6.4153496196789998E-3 9.6334077847909996E-3 1.346062247404E-2 1.7254874358282001E-2 2.0371809398014001E-2 2.3589258760081E-2 2.6352279439996001E-2 2.9089158399208E-2 3.1255771008848E-2 3.3532791054445003E-2 3.5669462810378E-2 3.7357473985215002E-2 3.9557561877187002E-2 4.0760890828354997E-2 4.2494796090985998E-2 4.3494018049027999E-2 4.3826209827937002E-2 4.4034786773380998E-2 4.4348067775625E-2 4.4203814279342002E-2 4.4617861908380997E-2 4.4465318626543002E-2 4.4274843587016E-2 4.4357891284233002E-2 4.4732265158322002E-2 4.4881411319612E-2 4.5632563825911999E-2 4.5084334291398999E-2 4.5089418545464E-2 4.4735503575200002E-2 4.4572316564367997E-2 4.3978682143181E-2 4.4088377517414998E-2 4.3601821763533999E-2 4.3761310383705003E-2 4.3859836106525003E-2 4.3909255373747999E-2 4.4072623112460997E-2 4.4546568582606E-2 4.4345862819252999E-2 4.4092369558367997E-2 4.3827123626709999E-2 4.3546808934456997E-2 4.3010236316353E-2 4.259287018756E-2 4.2243287828903998E-2 4.1896418971279999E-2 4.2142386353285002E-2 4.2079911512327997E-2 4.1943791976674999E-2 4.2161349662979998E-2 4.1973653394521998E-2 4.1491986030184003E-2 4.1274774021402998E-2 4.0899342263758999E-2 4.0831044890571003E-2 4.0288066184703999E-2 3.9865193056942999E-2 4.0117381042117997E-2 3.9732353514385997E-2 3.9955141690592E-2 3.9803454083836003E-2 3.9986936233343998E-2 4.0044224478597998E-2 3.9773128251165003E-2 3.9243345938033997E-2 3.8988037506908997E-2 3.8426361993758998E-2 3.8064911019382003E-2 3.7605600271723001E-2 3.7372250226960002E-2 3.7171965973141999E-2 3.6861337913252003E-2 3.6778715696969E-2 3.6971779308743E-2 3.6534996277488997E-2 3.6540811612244997E-2 3.5895015024170002E-2 3.5160751173303001E-2 3.4651130775771997E-2 3.4412358203431997E-2 3.4292318453383E-2 3.3826475172737E-2 3.3818201290751998E-2 3.3369703970254003E-2 3.3370073027938998E-2 3.3755251737843002E-2 3.3511597796812002E-2 3.2979786425648999E-2 3.286152689724E-2 3.2381462464122997E-2 3.1847084362412001E-2 3.1569240781927001E-2 3.1268805198307999E-2 3.0829791183996001E-2 3.0713728528314999E-2 3.0797196781321999E-2 3.0341691871645999E-2 3.0623731165243001E-2 3.0702212468003E-2 3.0390861114814999E-2 3.0232783396855999E-2 2.9504684507219998E-2 2.9111889068004E-2 2.8995653037111001E-2 2.8191354534350999E-2 0.42914371802308299
Current 44317 44348 44378 44409 44440 44470 44501 44531 44562 44593 44621 44652 44682 44713 44743 44774 44805 44835 44866 44896 44927 44958 44986 45017 45047 45078 45108 45139 45170 45200 45231 45261 45292 45323 45352 45383 45413 45444 45474 45505 45536 45566 45597 45627 45658 45689 45717 45748 45778 45809 45839 45870 45901 45931 45962 45992 46023 46054 46082 46113 46143 46174 46204 46235 46266 46296 46327 46357 46388 46419 46447 46478 46508 46539 46569 46600 46631 46661 46692 46722 46753 46784 46813 46844 46874 46905 46935 46966 46997 47027 47058 47088 47119 47150 47178 47209 47239 47270 47300 47331 47362 47392 47423 47453 47484 47515 47543 47574 47604 47635 47665 47696 47727 47757 47788 47818 47849 47880 47908 47939 0 0 0 0 0 0 0 0 0.202 04095187721399 0.208487130592096 0.212456701623122 0.224330031356375 0.230061382965076 0.23018347208489401 0.22801019547770601 0.23150644486299099 0.234262890469632 0.23837166565357401 0.2427679805936 0.244321936932718 0.24905142422581 0.24948802394039299 0.25013010752166998 0.25197490104747 0.25384542337256399 0.25502255412145303 0.25361386659802998 0.25579158571575999 0.25719427041172699 0.25791538611119602 0.25977245215898298 0.26423060667361697 0.262535351973464 0.26534554254970899 0.26774192296785498 0.26853720077281801 0.26999911202010701 0.26960901759175498 0.27089228642402002 0.26957611506474299 0.27155650868839498 0.27097956452528099 0.27080419947470802 0.27197168520178 0.27410482185752399 0.27547113543504698 0.27510741548309903 0.273430517961474 0.2 7449520754312601 0.27296225677124403 0.27291302241843701 0.27177129703171499 0.27277998233867001 0.27502748993000498 0.27381957041778598 0.27472047221024198 0.27798940102520903 0.27531062170512899 0.27573380600165798 0.27414523580262401 0.27338787324599501 0.27299798469020797 0.27212406780683401 0.27197274770979002 0.270522657710492 0.27070302458304701 0.27052376921472299 0.27098921282277399 0.27216921027840502 0.272050352354687 0.27136176443708399 0.27221811536572599 0.27174957182237702 0.27165427655333102 0.26917390710192302 0.269437355969529 0.27004420406338298 0.27066682697939798 0.27197326824531398 0.26900222780428801 0.26892922044820899 0.27125861113852201 0.27000494094688798 0.26587841029553 0.26725794110616902 0.26395708726647099 0.26286505449771203 0.26235485463165698 0.26243634950254502 0.26177461496993798 0.26092960932110698 0.262560251088992 0.25982290477807501 0.25676206904716897 0.25994396819365301 0.25756570734253498 0.258160634767718 0.25826145948362 0.25584145509712303 0.25320937240729302 0.25125014220195602 0.25093964203764701 0.251250931029327 0.24978372436554599 0.24898716676930399 0.24600633011739201 0.24515777093910401 0.249623007656256 0.24598261453062101 0.243520606396705 0.24353591145168499 0.241218640716999 0.23893638295230299 0.23841609699939501 0.23921497360511601 0.238003133872976 0.23645957622029401 0.23552859286349201 0.23189763257680299 0.194608907278499
Current 44317 44348 44378 44409 44440 44470 44501 44531 44562 44593 44621 44652 44682 44713 44743 44774 44805 44835 44866 44896 44927 44958 44986 45017 45 047 45078 45108 45139 45170 45200 45231 45261 45292 45323 45352 45383 45413 45444 45474 45505 45536 45566 45597 45627 45658 45689 45717 45748 45778 45809 45839 45870 45901 45931 45962 45992 46023 46054 46082 46113 46143 46174 46204 46235 46266 46296 46327 46357 46388 46419 46447 46478 46508 46539 46569 46600 46631 46661 46692 46722 46753 46784 46813 46844 46874 46905 46935 46966 46997 47027 47058 47088 47119 47150 47178 47209 47239 47270 47300 47331 47362 47392 47423 47453 47484 47515 47543 47574 47604 47635 47665 47696 47727 47757 47788 47818 47849 47880 47908 47939 0 0 0.31042788391619203 0.30636554955005202 0.30938397524229 0.30498067715826499 0.30242617394551202 0.30285519047279502 0.30181704765019302 0.29901727257104499 0.29912442361172398 0.29692452787141399 0.294858902531623 0.29395962229026401 0.29222790741507698 0.29093257852259802 0.28930905473457202 0.28641498807391202 0.28548344690642202 0.284187460125012 0.283867821825592 0.28234832691311301 0.280938320340616 0.278924129564106 0.27726412317413801 0.27777709746386098 0.27580766066516499 0.27532463623838999 0.27295045130609802 0.271517597568744 0.27181447960180699 0.27049374196096199 0.270077585168849 0.26920530047295299 0.266731147052088 0.26935909452585599 0.266742413518685 0.26522383825864398 0.26355889502547403 0.26176582884698102 0.26096720660015299 0.26164709501349498 0.25963447822865598 0.25972968592816298 0.25796063236188199 0.25846029826526501 0.25463264968663002 0.25641136844758 0.25645229815174198 0.25603078793578199 0.25458434802605401 0.25343611334066102 0.251205450300787 0.24947164706144401 0.250688089084868 0.25104814237409001 0.25055030595295902 0.24872815692427999 0.24793721417221201 0.24950870319643101 0.24730982233690499 0.24634070953564999 0.24666209983455401 0.245942023212783 0.24378612451044099 0.242664833419201 0.24437683391484299 0.24088822853873501 0.23923165618116901 0.23967954145339701 0.241933749720253 0.239204470667778 0.23849431003997101 0.238348399633936 0.23818780815978899 0.235904603237958 0.23727205117381001 0.23355422399763301 0.23487115628001401 0.23181238830797399 0.22937339013309399 0.23087865364374999 0.228463026695646 0.22805272780192001 0.226601264858389 0.226335705379937 0.22297578112542801 0.22149773743968701 0.22169482265099799 0.220474271258464 0.21940739929194 0.21697677907421001 0.216830074496177 0.21250657154381 0.20815070026774399 0.210672130236921 0.20534885858307 0.203509198633674 0.20057283158903899 0.19914353232350801 0.195451753862319 0.18820786101671599 0.185357232202813 0.18141065408325199 0.176209485280995 0.17430288389336401 0.16712346702991401 0.16319250687681 0.15469508495894599 0.15098366610981601 0.139814672005243 0.134803801852102 0.12497764811445999 0.11821714343305401 0.10887652890698001 0.102029440398784 9.6182577029121002E-2 8.8187745037536999E-2 8.1550761053410997E-2 7.6605342367317003E-2
Current 44317 44348 44378 44409 44440 44470 44501 44531 44562 44593 44621 44652 44682 44713 44743 44774 44805 44835 44866 44896 44927 44958 44986 45017 45 047 45078 45108 45139 45170 45200 45231 45261 45292 45323 45352 45383 45413 45444 45474 45505 45536 45566 45597 45627 45658 45689 45717 45748 45778 45809 45839 45870 45901 45931 45962 45992 46023 46054 46082 46113 46143 46174 46204 46235 46266 46296 46327 46357 46388 46419 46447 46478 46508 46539 46569 46600 46631 46661 46692 46722 46753 46784 46813 46844 46874 46905 46935 46966 46997 47027 47058 47088 47119 47150 47178 47209 47239 47270 47300 47331 47362 47392 47423 47453 47484 47515 47543 47574 47604 47635 47665 47696 47727 47757 47788 47818 47849 47880 47908 47939 0 0 0 0 0 0 0 0 4.359831393E-6 1.2852144855000001E-5 2.4761446722000001E-5 4.6016253181999997E-5 7.6093241131000005E-5 1.15750408858E-4 1.7126731725700001E-4 2.41747934812E-4 3.11927825145E-4 3.72542960768E-4 4.3686680304800001E-4 4.8829445354799995E-4 5.4641617572100001E-4 5.8460994887700002E-4 6.2506657430099995E-4 6.6574396127699995E-4 6.9725894246899995E-4 7.3632827689500005E-4 7.4842990854299995E-4 7.8076836642700001E-4 7.9683826783600003E-4 7.9818129515699999E-4 8.0089094787800001E-4 8.1358855583900001E-4 7.9922261176099997E-4 8.0891776261399998E-4 8.0690450614199995E-4 7.9941682714099996E-4 7.9829416252599999E-4 7.9692140007499995E-4 7.9620239630499997E-4 7.9865764646600002E-4 7.8749365577900001E-4 7.7887349208999996E-4 7.6543212916200002E-4 7.5934854489199998E-4 7.48806744302E-4 7.4834314054100001E-4 7.3304334806999997E-4 7.2556865973200004E-4 7.2368369624800004E-4 7.1410336077399998E-4 7.1021924162199997E-4 7.0859073195099996E-4 7.0161294192200004E-4 6.9697429481999995E-4 6.8368448801400003E-4 6.7565487978799997E-4 6.6966881324100004E-4 6.5134079575299999E-4 6.4177365996300004E-4 6.2783159697399999E-4 6.2441047734000004E-4 6.1712040584199995E-4 6.0765875815099995E-4 6.0512347643299999E-4 5.9386033568100001E-4 5.8208112312899997E-4 5.7363239256800005E-4 5.6449804072199997E-4 5.6147327359799999E-4 5.4917267975899996E-4 5.3765346056899995E-4 5.3862561160799996E-4 5.2782052059199998E-4 5.2599457724699999E-4 5.1453523023299997E-4 5.12848751541E-4 5.1019140162400002E-4 5.0330716771299999E-4 4.9456976264899998E-4 4.8180440064300001E-4 4.7078058221999998E-4 4.6649703203600001E-4 4.54996331635E-4 4.4171745341499999E-4 4.3769737495600003E-4 4.24815638794E-4 4.18287860565E-4 4.1592086210999999E-4 4.0735605619899998E-4 4.0274875349899998E-4 3.9079589557300002E-4 3.8177646173900002E-4 3.69243635413E-4 3.5941247968199999E-4 3.5969913238499999E-4 3.48722834093E-4 3.4636689170299998E-4 3.3877825092300002E-4 3.3254539983599998E-4 3.2995172033599998E-4 3.2205515582699998E-4 3.1358510187400003E-4 3.1010176209199998E-4 3.0110411121699997E-4 2.92720640008E-4 2.84323616982E-4 2.7836058894700001E-4 2.7718256790499999E-4 2.6966239670799999E-4 2.6527191905899999E-4 2.5889487496399998E-4 2.5646379666499999E-4 2.5236402815599998E-4 2.4692012606099999E-4 2.4425849311800001E-4 2.3502261308899999E-4 2.2846369215800001E-4 2.2478346794299999E-4 2.13367514808E-4 3.4066625068280001E-3
Parameters
Version:
US Interest Rate
E:\MPA2020\FEMA\Sample file TX.xlsx
US GDP
No
Default
No
No
PREPAYMENT
2017
FANNIEMAE
Severity
No
No
PREPAYMENT
2017
GINNIEMAE
No
SEVERITY
2017
ALL
No
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 22
Simulation results for loans in WY; Without natural disasters (above) and with natural disasters (below)
Number of Simulations 10,000 Mean (Portfolio EL) 4.4758% Standard Deviation 2.0276 Interquartile Range 2.3861 Skewness 1.4464 Kurtosis 3.6947 95th / 50th Percentile 2.0704
5% 2.0342 10% 2.3689 25% 3.0490 50% 4.0534 75% 5.4351 90% 7.1330 95% 8.3922
Portfolio Loss Distribution Aggregate Statistics
Percentiles
0.0000%
1.0000%
2.0000%
3.0000%
4.0000%
5.0000%
6.0000%
7.0000%
8.0000%
Number of Simulations 10,000 Mean (Portfolio EL) 4.4757% Standard Deviation 2.0274 Interquartile Range 2.3868 Skewness 1.4468 Kurtosis 3.6980 95th / 50th Percentile 2.0699
5% 2.0342 10% 2.3689 25% 3.0490 50% 4.0544 75% 5.4358 90% 7.1301 95% 8.3922
Portfolio Loss Distribution Aggregate Statistics
Percentiles
0.0000%
1.0000%
2.0000%
3.0000%
4.0000%
5.0000%
6.0000%
7.0000%
8.0000%
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 23
Simulation results for loans in CA; Without natural disasters (above) and with natural disasters (below)
Number of Simulations 10,000 Mean (Portfolio EL) 2.3528% Standard Deviation 2.0021 Interquartile Range 1.7891 Skewness 3.8773 Kurtosis 35.5313 95th / 50th Percentile 3.3797
5% 0.6207 10% 0.7803 25% 1.1276 50% 1.7676 75% 2.9166 90% 4.6195 95% 5.9740
Portfolio Loss Distribution Aggregate Statistics
Percentiles
0.0000%
5.0000%
10.0000%
15.0000%
20.0000%
25.0000%
Number of Simulations 10,000 Mean (Portfolio EL) 2.9007% Standard Deviation 2.2573 Interquartile Range 2.3703 Skewness 2.4709 Kurtosis 13.9273 95th / 50th Percentile 3.2391
5% 0.7171 10% 0.9091 25% 1.3603 50% 2.2364 75% 3.7306 90% 5.7722 95% 7.2440
Portfolio Loss Distribution Aggregate Statistics
Percentiles
0.0000%
2.0000%
4.0000%
6.0000%
8.0000%
10.0000%
12.0000%
14.0000%
16.0000%
18.0000%
Fre qu
en cy
4 The effect of climate scenarios on the U.K. mortgages credit parameters
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 25
Mortgage Characteristics December 2020 snapshot
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
0.0% 5.0% 10.0% 15.0% 20.0% 25.0%
%
» 126,396 mortgages totaling an outstanding balance of £12,149m.
» There are 877 under- performing accounts, representing 0.55% of the total exposure.
» Nearly 91% of customers are employed, whilst an additional 7.5% are self- employed.
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 26
Climate Change Scenarios for the UK
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
HPI, % change yr ago
Unemployment Rate, %
20 20
Q 4
20 23
Q 3
20 26
Q 2
20 29
Q 1
20 31
Q 4
20 34
Q 3
20 37
Q 2
20 40
Q 1
20 42
Q 4
20 45
Q 3
20 48
Q 2
20 51
Q 1
20 53
Q 4
20 56
Q 3
20 59
Q 2
Real GDP Index, 2020Q4 = 100
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 27
Impact of Climate Scenarios on Credit Risk
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8
20 21
M 1
20 21
M 8
20 22
M 3
20 22
M 10
20 23
M 5
20 23
M 12
20 24
M 7
20 25
M 2
20 25
M 9
20 26
M 4
20 26
M 11
20 27
M 6
20 28
M 1
20 28
M 8
20 29
M 3
20 29
M 10
20 30
M 5
20 30
M 12
20 31
M 7
20 32
M 2
20 32
M 9
20 33
M 4
20 33
M 11
20 34
M 6
20 35
M 1
20 35
M 8
Annualised Conditional PD, %
%
%
Expected Losses by Geographic Region, %
0.0
1.0
2.0
3.0
4.0
5.0
6.0
LGD, %
5 Usage of location-specific climate risk scores to forecast climate-adjusted credit risk metrics
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 29
427 Climate Risk Scores Obtain climate risk scores at the facility level. 427 returns six climate event risk scores based on the geographic location provided.
Climate Scenarios Build country-specific climate scenarios (e.g., NGFS Current Policy, NGFS Early Policy, NGFS Late Policy).
Score-Adjusted Scenario Compute climate event risk adjustments to the economy based on 427 climate risk scores and location such that riskier areas face more severe scenarios.
Climate-Adjusted Credit Risk Metrics Forecast credit risk metrics (PDs, LGDs, EADs) based on score-adjusted climate scenarios.
Modelling Steps
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 30
Physical Climate Risk Score 427 Data
Floods Score Sea Level Rise Score Water Stress Score
U K
Sa m
pl e
(1 00
0 fa
ci lit
ie s)
» 1,000 random names of the portfolio and ran the physical risk climate scores within the on-demand scoring application
» Six climate hazards assessed at the facility-level: floods, sea level rise, water stress, heat stress, wildfire, and hurricanes & typhons
» Majority of the portfolio is low risk but some material hotspots across specific climate hazards
» While few UK facilities may lead to Red Flags, UK Floods and Seal Level Risk scores can easily double or triple, amplifying damages for local economies and assets
» Flood risk followed by Water Stress appears to the be prominent climate hazards affecting the portfolio analysed
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 31
Credit Risk Impact of Flooding Exposure A Worked Example on a UK Residential Mortgage Assume 7 loans with the same characteristics (exposure, LTV, interest rate, DPD status, etc.) but located in different areas of the UK.
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 32
Linking Probability of Climate Events to Credit Risk Example for flood events
Return period of inundation 1-in-5 years 1-in-10 years 1-in-20 years 1-in-50 years 1-in-75 years
1-in-100 years 1-in-200 years 1-in-250 years 1-in-500 years 1-in-1000 years
None
probability of events based on the
property’s location.
Climate Event Simulation
How severe will the hazard be?
» Impact on macroeconomic drivers (e.g., HPI).
» Impact on credit risk metrics such as PDs & LGDs (idiosyncratic impact).
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 33
Linking Severity of Climate Events to Credit Risk Impact of flooding in HPI 1. Analyse 70+ flooding events in the UK. 2. Classify the events based on severity. 3. Analyse the impact on HPI after the event is observed by severity buckets.
= + + + + where : HPI for LAU i at time t, : Time effect (year−quarter dummy), : Region fixed effect, : Time-varying flood event effect, : flooded LAU (dummy)
Fixed effect model
Impact of Flooding in Location-specific HPI
-6.00%
-4.00%
-2.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
Baseline Early Policy
2021Q4
-8.00% -6.00% -4.00% -2.00% 0.00% 2.00% 4.00% 6.00% 8.00%
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16
Yo Y
-12.00% -10.00%
-8.00% -6.00% -4.00% -2.00% 0.00% 2.00% 4.00% 6.00% 8.00%
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16
Yo Y
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 35
Impact of Flooding Events in LGD Location-specific LGD
0.0
2.0
4.0
6.0
8.0
10.0
%
More severeLess severe
Climate-Adjusted Credit Risk Approach: Summary
Standard Model
HPI(S), UR(S)
West Chester, EBA-HQ +1.610.235.5299 121 North Walnut Street, Suite 500 West Chester PA 19380 USA
New York, Corporate-HQ +1.212.553.1653 7 World Trade Center, 14th Floor 250 Greenwich Street New York, NY 10007 USA
London +44.20.7772.5454 One Canada Square / Canary Wharf London E14 5FA United Kingdom
Dubai +971 (450) 397-45 Dubai International Financial Centre Al Fattan Currency House Tower 1, Level 2 /P. O. Box 506845 Dubai, UAE
Prague +420 (234) 747-532 Pernerova 691/42 186 00 Prague 8 Czech Republic
Sydney +61.2.9270.8111 Level 10 1 O'Connell Street Sydney, NSW, 2000 Australia
Singapore +65.6511.4400 6 Shenton Way #14-08 OUE Downtown 2 Singapore 068809
Shanghai +86.21.6101.0172 Unit 2306, Citigroup Tower 33 Huayuanshiqiao Road Pudong New Area, 200120 China
Contact Us: Content Solutions - Economics & Business Analytics Offices
Climate-Adjusted Credit Risk Metrics for Residential Mortgages 39
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.
MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS, AND PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS OR PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.
ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.
MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.
All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing its Publications.
To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.
To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.
NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.
Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $5,000,000. MCO and Moody’s Investors Service also maintain policies and procedures to address the independence of Moody’s Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody’s Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”
Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.
Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.
MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY550,000,000.
MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.
Agenda
1
Mortgage Portfolio Analyzer
427 Data – Physical Risk Score
2
Top 9 natural disasters
3
The distribution of damages in California
The distribution of damages in Wyoming
Portfolio: 2688 loans, Total Balance = $803M
Simulation results for loans in TX; Without natural disasters (above) and with natural disasters (below)
Simulation results for loans in WY; Without natural disasters (above) and with natural disasters (below)
Simulation results for loans in CA; Without natural disasters (above) and with natural disasters (below)
4
Impact of Climate Scenarios on Credit Risk
5
Linking Probability of Climate Events to Credit Risk
Linking Severity of Climate Events to Credit Risk
Impact of Flooding in Location-specific HPI
Impact of Flooding Events in LGD
Climate-Adjusted Credit Risk Approach: Summary
Slide Number 37
Slide Number 38
Slide Number 39