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Joy Zhang
Head of Non-Agency Securitization Research
About the Contributor
Joy Zhang is an Executive Director and Head of Non-Agency Securitization Research. Previously, Joy was a Director at Credit Suisse, responsible for mortgage collateral and regulatory modeling for securitized products trading. She also has worked as a senior developer at Goldman Sachs responsible for developing a firm-wide risk management system. Joy has an M.S. in Computational Finance from the Carnegie Mellon University and a Ph.D. in Chemistry from University of Kansas.
Blog posts by Joy Zhang
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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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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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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.