Yihai Yu

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Yihai Yu

Yihai Yu
Global Head of Mortgage Research

About the Contributor

Yihai Yu is an Executive Director and Global Head of Mortgage Research, focusing on development of mortgage models and research strategies. Previously, Yihai was a Director at Credit Suisse and Head of Agency MBS Modeling. Yihai received his Ph.D. in Physics and an M.S. in Computer Science from the University of Georgia.

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Blog posts by Yihai Yu

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  1. BLOG

    Fed policy, the credit cycle and real estate 

    May 28, 2019 Yihai Yu , David Zhang

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    Amid the uncertainty over Federal Reserve policy, investors in commercial real estate (CRE) are confronting asset-allocation challenges and growing concerns about CRE valuation and debt levels, after an extended period of easy credit.

  2. BLOG

    Are you ready for uniform MBS? (Part 2) 

    Apr 26, 2019 Yihai Yu

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    Aligning prepayment speeds of Fannie Mae and Freddie Mac securities presents a major challenge to the success of uniform mortgage-backed securities (UMBS), which the two government-sponsored enterprises will launch on June 3.

  3. BLOG

    Are You Ready For Uniform MBS? (Part 1) 

    Apr 8, 2019 Yihai Yu

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    Fannie & Freddie will conclude Single Security Initiative (SSI) June 3, 2019, creating a single to-be-announced (TBA) market & a new TBA security: the uniform mortgage-backed security (UMBS)

  4. BLOG

    How mortgage fees affect rates and spreads 

    Feb 7, 2019 Yihai Yu

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    How could potential changes in U.S. mortgage policy and possible long-term industry trends affect mortgage-related fees and rate spreads?

  5. BLOG

    Managing MBS risk in a rising rate environment (Part 2) 

    Nov 21, 2018 Yihai Yu

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    Will U.S. homeowners slow down the heady prepayment rate on their mortgages — even if interest rates remain unchanged, thus potentially harming returns of mortgage-backed securities (MBS) and extending the duration of these securities?

  6. BLOG

    Managing MBS risk in a rising rate environment (Part 1) 

    Sep 17, 2018 Yihai Yu

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    Bond investors lost $1 trillion during “the great bond massacre”1 of 1994, which was triggered by the Federal Reserve’s aggressive tightening of interest rates. Many U.S. mortgage-backed securities (MBS) investors and broker-dealers misjudged the risk that fixed-rate prime mortgage borrowers would defer prepayments due to market conditions. This risk — known as “extension risk” — means that borrowers may hold onto mortgages longer than previously expected.

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