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Research Paper

MSCI Liquidity Risk Monitor

Mar 2, 2021

The MSCI Liquidity Risk Monitor is a quarterly publication that shows the development of several liquidity risk indicators over the previous 12 months.


Climate Transition and Bonds: Risk or Opportunity?

Feb 23, 2021 Bruno Rauis, Juan Sampieri, Andy Sparks

The transition to a low-carbon economy could significantly redirect the flow of investments toward greener companies and technologies that limit carbon emissions. We consider the potential risk — and opportunity — for bond investors.


A New COVID-19 Regime for MBS?

Feb 17, 2021 Yihai Yu, Miklós Vörös

In 2020, the Federal Reserve’s purchases of mortgage-backed securities, low interest rates, mortgage-underwriting policy changes and technology advancements led to a historic refinance frenzy and posed an unprecedented challenge for MBS risk management.


Cross-Currency Credit Spreads: Mind the Gap

Feb 8, 2021 Michael Hayes, Zach Tokura

An issuer’s credit spread should be consistent when measured in the USD- or EUR-denominated markets, because both are measuring the same credit risk. Yet divergence can occur as a result of liquidity or supply-demand imbalances, such as those in the COVID crisis.

How Are High-ESG-Rated Bond Portfolios Distinct?

How Are High-ESG-Rated Bond Portfolios Distinct?

Feb 5, 2021 Hitendra D Varsani, Rohit Mendiratta, Guido Giese

ESG investing makes up an increasingly large footprint in equity portfolios, but ESG integration in bond portfolios is still in its early days. We examine the characteristics that make high-ESG-rated corporate-bond portfolios distinct.

Research Paper

MSCI Liquidity Risk Monitor Report

Feb 2, 2021 MSCI Research

Liquidity Risk Monitor Report highlights the trends of select liquidity risk indicators, involving U.S. and non-U.S. corporate bonds and bank loans liquidity, and is designed to help you identify strategies for liquidity risk management.


COVID Stimulus Helped Resilience of US ABS

Jan 29, 2021 Yini Yang, Joy Zhang

Issuance of U.S. asset-backed securities fell by a quarter in 2020 from the previous year, as credit tightened during the COVID-19 crisis. The performance of loans underpinning ABS proved resilient, however, as economic relief helped support consumers.

Research Paper

MSCI Agency MBS Model Performance Review 2020

Jan 28, 2021 YU Yihai

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