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Our latest research
CoCo Bonds’ Write-Down Risk Is RealMar 24, 2023
UBS Group AG’s arranged takeover of Credit Suisse AG involved heavy losses for the latter bank’s shareholders. But a more controversial part of the deal is the total write-down of contingent convertible bonds. Could investors have seen it coming?
The Silicon Valley TantrumMar 23, 2023
The past week’s change in the slope of the Treasury yield curve was its most rapid in decades. Investors may wish to contemplate the two most recent examples of such swift steepening: the 2008 global financial crisis and 2020 COVID-19 market crisis.
What Could Yield Curves Tell Us About Bond Values?Mar 22, 2023
A corporate bond’s yield curve is similar to the well-known Treasury yield curve. Could the deviation of a corporate bond’s yield from the yield curve, or mispricing spread, be a useful signal for credit investors?
A New Era for the Bank of Japan?Mar 15, 2023
Haruhiko Kuroda is stepping down after a decade as governor of the Bank of Japan, and the soon-to-be-appointed Kazuo Ueda has the potential to shake things up. What could the new regime mean for investors?
How Could China’s Reopening Impact Global Stocks?Mar 14, 2023
China’s reopening from COVID-19 lockdowns has led to the recent outperformance of the Chinese equity market. We used companies’ economic-exposure data to assess the reopening’s impact on global equities with large revenue exposure to the country.
MBS Valuation and Risk Management Under SOFRMar 13, 2023
With LIBOR’s imminent cessation, the transition from LIBOR to new benchmark the secured overnight financing rate (SOFR) is entering a new stage. We analyze the potential impact on valuation frameworks and hedging practices for mortgage-backed securities.
Real Estate Factors’ Performance: The Financial Crisis vs. NowMar 10, 2023
As U.K. real estate experiences a pricing correction at record pace, it’s natural to make comparisons to the 2008 global financial crisis. We draw on factors in private real estate to better understand current conditions and give us clues to what may happen next.
Manhattan Office Redevelopment: Still Stuck on PricingMar 9, 2023
Sales of Manhattan offices for the purpose of conversion into apartments have been minimal. We look at the barriers deterring redevelopment.