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Are Securitized Products Ready for the LIBOR-SOFR Transition? 

Will the securitization industry be ready for the transition from LIBOR to the secured overnight financing rate (SOFR), as it faces the fact that LIBOR can no longer be guaranteed beyond the end of 2021? As the industry mobilizes, significant challenges remain.

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Consumer ABS: Recovering from Coronavirus? 

After the U.S. COVID-19 lockdown, new monthly remittance reports for asset-backed securities indicated performance deterioration and signaled potential challenges ahead. Meanwhile, in China, ABS showed signs of recovery.

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Can AI Model the Complexities of MBS Prepayment? 

Machine learning using neural networks has been successfully applied to fields in which extremely complex patterns can prove challenging for other algorithms. Are neural networks suited for modeling prepayment risk in agency mortgage-backed securities?

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Consumer ABS Under Coronavirus in the US and China 

Beyond COVID-19’s steep human toll, the pandemic’s disruption of economic life has led to widespread loss of income and impaired some borrowers’ ability to repay loans. What could the impact be for investors in consumer asset-backed securities in the U.S. and China?

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Could coronavirus depress US housing prices? 

The large economic shocks unleashed by the coronavirus pandemic could be comparable to or even exceed those of the 2008 global financial crisis (GFC). We used our models to assess whether these shocks could hurt U.S. housing prices as much as the GFC did.

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Could coronavirus lead to default contagion in CLOs? 

The market for collateralized loan obligations is under severe stress during the COVID-19 pandemic. We used MSCI’s loan and CLO models to assess a sample CLO’s loan-default risk characteristics. Could a wave of defaults harm CLOs?

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MBS prepayment modeling: AI 1, Humans 0? 

Artificial intelligence has broken through in fields previously dominated by humans. Could AI surpass humans in modeling the complex risks of agency mortgage-backed securities?

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MBS investors: quantitative easing déjà vu? 

Despite the Fed’s silence on the matter, the MBS market may be indicating that a new round of QE is coming.

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Are Subprime Auto Loans at a Tipping Point? 

Investors and the media have lately turned their attention to credit risk in U.S. subprime automotive lending — concerns that increased during the recent market volatility.

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Is MBS refinance risk increasing? 

With the Federal Reserve raising interest rates and the majority of agency mortgage-backed securities (MBS) under the refinance threshold, how much do investors need to worry about refinance risk? Our model indicates that future refinance regimes would be similar to recent 2016 experiences, and this view is consistent with current behavior of MBS empirical durations. However, investors may want to remain vigilant, as the recent trend toward looser mortgage credit standards by agencies and regulators could increase the prepayment intensity of future refinance waves.

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As credit risk rises, beware of selection bias in CLOs 

Investors in the booming U.S. Collateralized Loan Obligation (CLO) market likely need to be aware of the risks: record tight spreads, deteriorating credit quality, and, as our expanded CLO data analytics reveal, selection bias risk.