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Navigating market volatility with agency MBS models 

Fixed Income , Risk Management

We performed our annual review of MSCI’s model for managing prepayment and interest-rate risk in agency mortgage-backed securities. How closely did the model’s forecasts anticipate what we observed in the market?

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The coronavirus epidemic: Implications for markets 

Economic Exposure , Emerging Markets , Factor Investing , Fixed Income , Global Investing , Risk Management

The toll from the coronavirus has been felt throughout societies, leading to repercussions on the global economy and financial markets. We examine investor impact through markets’ economic exposures to China and factors and by stress testing portfolios.

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Trade deal broadened access to China’s nonperforming loans 

Risk Management , Fixed Income , Global Investing , Emerging Markets

The phase-one U.S.-China trade deal lets U.S. asset managers acquire nonperforming loans directly from Chinese banks. We assess the market’s characteristics, as investors face challenges estimating recovery rates and liquidation timing of these loans.

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Did corporate-credit factors offer a risk-return edge? 

Factor Indexes , Factor Investing , Factors , Fixed Income , Risk Management

Factors have gained popularity in equity investing for providing insight into the key drivers of portfolio risk and returns. Did tilting hypothetical fixed-income portfolios toward some bond-specific factors benefit investors?

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Counterparty credit risk and the initial-margin big bang 

Risk Management

A forthcoming global regulatory standard will require derivatives users to estimate mandatory initial margin on their portfolios. The choice of model methodology may have a significant impact on this calculation.

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MBS prepayment in 2020: Looking back, looking ahead 

Fixed Income , Risk Management

Drawing on two decades of U.S. data on MBS prepayment and borrower incentives to refinance, we used our model to look at three potential prepayment themes for 2020.

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Synthetic CDOs: Back in vogue but not without risk 

Fixed Income , Risk Management

As credit spreads have gradually declined, investors have increasingly been focusing their attention on more complex instruments including synthetic Collateralized Debt Obligations in the search for yield. However, the risks of these investments — including the senior tranches — should not be overlooked.

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Looking to the futures of emerging markets 

Global Investing , Risk Management , Economic Exposure , Emerging Markets

Emerging-market (EM) equities have delivered unique risk and return characteristics over the last 30 years. Are futures on EM stocks a liquid enough means to gain exposure during normal and stressed conditions?

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Has global sovereign rates momentum headed in reverse? 

Risk Management , Fixed Income

Momentum can be an important factor in sovereign-rates markets. But investors concerned with exposures to short-term rate movements in global bond markets may wish to ask themselves whether the trend is indeed their friend.

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Are EU corporate bonds all alike? 

Economic Exposure , Fixed Income , Risk Management

The integration of the eurozone’s economy may tempt investors to view corporate debt issued by European companies as undifferentiated. On average, this view has seemed correct — but not always durings times of market stress.