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Are You Ready For Uniform MBS? (Part 1) 

Models/Client Cases , Fixed Income , Risk Management

Fannie & Freddie will conclude Single Security Initiative (SSI) June 3, 2019, creating a single to-be-announced (TBA) market & a new TBA security: the uniform mortgage-backed security (UMBS)

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Factors and ESG: the truth behind three myths 

Models/Client Cases , ESG Research , Factor Investing

There are misconceptions of the relationship between factors and ESG issues. We debunked three common myths about ESG, momentum, quality and smaller-cap stocks.

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Santander’s coco extension: The new market norm? 

Models/Client Cases , Fixed Income , Risk Management , Integrated Risk Management

Banco Santander announced it would extend — i.e., not call — its additional-tier-one contingent-convertible (coco) bond. Was the market caught off guard?

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Are Subprime Auto Loans at a Tipping Point? 

Models/Client Cases , Economic Exposure , Fixed Income

Investors and the media have lately turned their attention to credit risk in U.S. subprime automotive lending — concerns that increased during the recent market volatility.

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How mortgage fees affect rates and spreads 

Models/Client Cases , Real Estate Investing , Fixed Income

How could potential changes in U.S. mortgage policy and possible long-term industry trends affect mortgage-related fees and rate spreads?

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CDS hedging: exploring all the options 

Models/Client Cases , Fixed Income , Risk Management

The credit-default-swap (CDS) market previously offered a cost-effective means to make short-term hedges or place bets on an individual issuer’s credit.

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From credit crunch to liquidity crunch: managing liquidity 

Models/Client Cases , Fixed Income , Risk Management

Volatility of credit spreads in both emerging- and developed-market debt increased significantly in 2018. Large rises in credit spread levels were followed by increased bid-ask spreads, making it expensive to reduce exposure within a short time frame.

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Equity markets in November – Do pro-cyclical risks remain? 

Models/Client Cases , Factor Indexes , Factor Investing

In our recent blog, “Equity markets in October – Has the tide turned?” we highlighted a rotation from pro-cyclical to defensive factors and sectors that began in June and accelerated in October. We also found that crowding in the momentum factor in the U.S. remained high, which suggested continued risks to momentum and other pro-cyclical themes.

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Investing in convertible bonds when rates rise 

Models/Client Cases , Fixed Income , Risk Management , Integrated Risk Management

Is my convertible bond more like a stock or a bond? How can I identify convertible bonds offering protection from rising rates?

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What it may mean for Japanese stocks if easy money ends 

Models/Client Cases , Global Investing , Factor Investing

Some observers are concerned that when the Bank of Japan (BOJ) eventually ends its ultra-easy monetary policy, it could hurt the Japanese stock market. Part of this concern stems from the fact that the BOJ’s unconventional monetary policy involves purchasing Japanese exchange-traded funds (ETFs).