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MBS investors: quantitative easing déjà vu? 

Despite the Fed’s silence, the mortgage-backed securities (MBS) to-be-announced (TBA) market may be indicating that a new round of MBS purchases is coming. This, in turn, has led to significant lengthening of durations for the TBA coupon stack. In such an environment, MBS investors and risk managers have an additional risk factor to consider.

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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.