物理气候风险与公司债券：来自飓风的证据

Physical Climate Risk and Corporate Bonds:Evidence from Hurricanes 6 minread Key findings The bonds of issuers most exposed to hurricanes traded at wider residual spreads than those of their least-exposed peers, particularly in the USD high-yield market.Credit investors using asset-level geospatial data can better identify where physical climate risk is concentrated. The most exposed issuers experienced weaker profitability and bond performance following hurricanes, Mentioned in this blog post:GeoSpatial Asset Intelligence As extreme weather events become more frequent and severe, portfolio managers and risk allocators face apractical question: Do physical risks show up in bond pricing, and if so, how? Prior MSCI research found that firmswith assets in hurricane pathsexperienced measurable stock underperformance. This analysis examines whether a To assess the impact on bondholders, we extended our hurricane event study to the credit market, analyzing 29Category 3 to Category 5 hurricanes from 2022 to 2024.UsingMSCI GeoSpatial Asset Intelligencedata,weexamined how hurricanes affected corporate bonds across the USD and EUR investment-grade and high-yieldmarkets.12 Spreads were wider where exposure was most concentrated At first glance, bonds issued by hurricane-impacted companies appeared to trade at tighter spreads than those oftheir unimpacted peers — a counterintuitive result. Two factors help explain this finding. First, larger, morediversified companies were disproportionately represented among impacted issuers during peak storm seasons. exposed companies faced higher borrowing costs than the least exposed. After controlling for credit quality,duration, liquidity and sector, bonds issued by companies in the most exposed decile (D10) carried residual creditspreads approximately 76 basis points wider than those in the least exposed decile (D1) in the USD high-yield The spread premium observed over a 35-business-day window around each storm suggests that bond investorsmay have been pricing the probability of hurricane-related losses into the cost of debt for materially exposedissuers. This cross-sectional premium was observed consistently across the 29 hurricanes in our sample when Residual credit spread by hurricane exposure This chart shows the mean residual option-adjusted spread (OAS) — the portion of the spread remaining after controlling for sector,credit quality, duration and liquidity — by exposure deciles. Decile 1 (D1) contains issuers with the least exposure concentration, whileDecile 10 (D10) contains those with the highest. In the composite portfolio, D10 issuers had between 0.9% and 51% of asset valueexposed to hurricanes, while D1 issuers ranged from 0.0004% to 0.09%. Source: MSCI Sustainability and Climate Research. MSCI This finding is consistent with results from MSCI’s previous equity event study, which found that higher exposureconcentrationswere associated with greater financial impacts. In credit markets, the effect appeared as a spreadpremium concentrated in the USD high-yield market. The result is also consistent with prior evidence from credit Hurricane exposure went hand in hand with deteriorating returns The spread premium documented above raises a natural question: Why would hurricane exposure be associatedwith a higher cost of debt? Fundamental data offers a possible explanation. Return on assets (ROA) deterioratedmarkedly for the most physically exposed issuers after hurricane impacts, relative to the least exposed issuers. ROA These results suggest that physical risk was associated with a measurable effect on profitability during the study Financial metrics by exposure quintile: Return on assets, composite(impacted issuers) The bar chart shows the mean sector-neutral Z-scored return on assets (ROA) for the least exposed (Q1) and most exposed (Q5)quintiles from Q-4 (four quarters before hurricane) through Q6 (six quarters after hurricane). Beginning in Q0, the ROA gap betweenthe highest- and lowest-exposure quintiles widened and became statistically significant after correction for multiple tests, reaching−0.12 at Q1 (p = 0.09*), −0.27 at Q3 (p = 0.005***) and 0.31 at Q6 (p = 0.024**). ROA for the least exposed issuers remained broadly Hurricane Milton: Where the signal was clearest The aggregate pattern observed across 29 storms becomes clearer when examining individual storms with bothhigh intensity and broad exposure footprints. Hurricane Milton, which reached Category 5 intensity and struck just When bonds issued by companies impacted by Hurricane Milton were ranked by asset exposure, a clear divergenceemerged. The most exposed issuers substantially underperformed the least exposed issuers over the 35-business- Cumulative specific return of bonds of the most to least exposed issuersbefore and after Hurricane Milton This chart shows the mean cumulative geometric specific return (in basis points) for highly exposed bonds (> 5% asset valueexposed) and m