Agency-MBS Risk and Return: Social-Impact Factors
U.S. agency mortgage-backed securities (MBS), with an outstanding balance of approximately USD 9 trillion, represent a cornerstone of global fixed-income investment. The ongoing modernization of mortgage securitization and of housing agencies the Federal Housing Administration, Fannie Mae, Ginnie Mae and Freddie Mac — particularly through increasingly granular data disclosures over the years — has enabled a more refined and targeted approach to advancing housing sustainability.
As a result, investments in agency MBS now exhibit more nuanced risk-return profiles, with markets beginning to price in social-impact factors, either explicitly or implicitly. These emerging dynamics have motivated us to develop new tools and analytical metrics to better understand and evaluate MBS risks and returns in this evolving landscape.
Source: MSCI, Refinitiv, Recursion Co.
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