Mortgage-backed securities constitute a significant portion of fixed-income indexes. Managing MBS portfolios against these indexes depends heavily on an understanding of the dynamics of MBS duration, especially in volatile markets.

Short-term credit spreads widened to a greater extent than long-term spreads during the March 2020 COVID-19 crisis. As a result, many U.S. corporate-issuer spread curves flattened or even inverted. What were the implications for corporate-bond investors?

Although the Federal Reserve may not begin raising rates anytime soon, U.S. and global markets are scrutinizing the Fed’s communications about the likely course of policy actions. We consider three scenarios for the timing of policy responses.

The MSCI Liquidity Risk Monitor is a quarterly publication that shows the development of several liquidity risk indicators over the previous 12 months.

The market in Chinese residential mortgage-backed securities is growing, as global investors are eying the segment’s relatively high yield and potential for diversification, but seeking improved credit ratings and transparency in data and pricing.

In 2021, there has been significant progress in the transition from the LIBOR reference rate to its replacement, SOFR. But investors in securitized products are grappling with the challenge of the LIBOR-SOFR transition and its impact on their analytics.

Credit investors use spreads to compare relative value and risk. Studies of emerging-market sovereign debt have shown that credit-default swaps tended to be a better measure of value than spreads computed from bonds. But is it still the case?

U.S. regulators required issuers by Nov. 23, 2016, to disclose data on individual loans bundled into auto-loan asset-backed securities. We looked at whether incorporating loan-level data into our model could sharpen our analysis of this ABS segment.