Fixed Income Indexes Blurb

 
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Announcing the Launch of CAD Currency Fixed Income Indexes

Building on MSCI's market leading Climate, ESG and Factor (Carry, Quality, Value, Size and Risk) capabilities, we have extended our range of differentiated Fixed Income Indexes with the launch of CAD currency especially relevant to Canadian investors

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Our Latest Research

MSCI Blog

Managing Against MBS Indexes: A Duration Perspective

Jul 30, 2021 Yihai Yu, Anant Bhatnagar

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.

MSCI Blog

Credit Strategies During the COVID-19 Crisis

Jul 27, 2021 Chenlu Zhou, Shuyin Hua

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?

MSCI Blog

What Could a Rate Hike Mean for Portfolios?

Jul 22, 2021 Daniel Szabo, Thomas Verbraken

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.

Research Paper

MSCI Liquidity Risk Monitor

Jul 12, 2021

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

MSCI Blog

Chinese RMBS: A Way to Diversify Fixed-Income Portfolios?

Jul 7, 2021 Jian Chen, Yihai Yu

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.

MSCI Blog

Securitized Products’ LIBOR Transition Picking Up Pace

Jun 22, 2021 Vikram Tuteja, Yihai Yu

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.

MSCI Blog

CDS Fading as a Measure of Value in Emerging Markets

Jun 17, 2021 Zoltan Fekete, Reka Janosik

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?

MSCI Blog

What Can Loan-Level Data Reveal About US Auto-Loan ABS?

Jun 15, 2021 Yini Yang, Joy Zhang

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.

Fixed Income Related Content