Daily Fixed-Income Insights
Stress Testing Multiperiod Inflation Scenarios
Chinese Government Bonds: Higher Yield, Less Risk?
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Our Latest Research
MSCI Liquidity Risk Monitor ReportJan 5, 2021
Liquidity Risk Monitor Report highlights the trends of select liquidity risk indicators, involving U.S. and non-U.S. corporate bonds and bank loans liquidity, and is designed to help you identify strategies for liquidity risk management.
Stress Testing Multiperiod Inflation ScenariosNov 19, 2020
Will inflation rear its ugly head in the U.S.? Although the outcome of the U.S. elections might have lowered inflation expectations, investors can prepare for scenarios where inflation goes up. In this stress test, we examine three scenarios for inflation over varying time horizons.
Will Interest Rates Surge? Evidence from Options MarketsNov 3, 2020
With long-term interest rates near record lows, conventional wisdom suggests that they can only go up. But the interest-rate option markets seem to be telling a different story — that rate decreases are also a distinct possibility.
Hertz So Good?Sep 30, 2020
We look at the unusual bankruptcy of Hertz Global Holdings Inc. — whose equity rallied in early June, when holders of Hertz bonds were expecting losses as high as 90% in default — to discuss the importance and subtleties of firms’ capital structures.
Can MBS Duration Turn Negative?Sep 29, 2020
As mortgage rates have hit record-breaking lows, prepayment speeds have doubled. With the combination of a high price premium and elevated prepayment speed, could duration of mortgage-backed securities stray into negative territory?
Stress Testing Inflation ScenariosSep 24, 2020
Market-implied expectations indicate modest inflation. But some observers are concerned inflation may significantly rise, while others fear deflation. We discuss four inflation scenarios — and their potential implications for stocks and bonds.
MBS Performance through COVID-19Sep 21, 2020
Missed Rents’ Impact on Real EstateSep 11, 2020
Some commercial tenants have stopped paying rent amid COVID-19. Without rental income, property funds are not able to pay distributions to shareholders and borrowers cannot service their debt. We analyzed property-fund data to assess the impact on investors.