This paper examines the impact of climate risk on loan pricing in the CMBS loan market in the US. The study reveals that higher levels of risk are associated with increased credit spreads and decreased loan-to-value ratios. Among climate risk indicators, only Trepp’s high property damage indicators show significant effects on loan credit spread. The findings also suggest potential manipulation of climate risk scores. Additionally, natural hazard data was utilized to assess the response of loan pricing to hazards. It was observed that loan prices increased one month after hazards occurred in Arizona and South Carolina, consistent with previous findings.