Mortgage portability would enable borrowers in the U.S. to move their mortgages from their current homes to new homes. How could it affect portfolios of mortgage-backed securities? Our new paper appeared in the Journal of Fixed Income. 

The market for collateralized mortgage obligations backed by agency residential mortgage-backed securities is a major source of financing for U.S. homeownership. But what is this market’s total emissions footprint? We use our model to calculate it. 

Agency residential mortgage-backed securities (RMBS) finance about 17% of U.S. residential greenhouse-gas emissions annually. We break down that number to help issuers and investors understand emissions sources and drivers behind agency RMBS.  

Our state-level analysis of carbon emissions for U.S. residential properties indicates strong regional differences in emissions and their drivers. Such data could improve understanding of emissions from holdings in mortgage-backed securities and property loans.

China’s green-bond market has grown rapidly in recent years and is now second in size only to the U.S. Understanding the reasons behind this market’s growth and performance may help investors as they consider incorporating Chinese green bonds in portfolios.

As the U.S. job market has begun to recover, so have consumer credit levels. The issuance of U.S. consumer asset-backed securities (ABS) had a strong bounce back in 2021. What drove this surge across ABS markets?

The U.S. in the past year recorded the highest national house-price appreciation in recent decades. Does the run-up in home prices represent housing-bubble déjà vu? And what can MBS investors do to assess their mortgage credit risk?

U.S. regulators required issuers by Nov. 23, 2016, to disclose data on individual loans bundled into auto-loan asset-backed securities. We looked at whether incorporating loan-level data into our model could sharpen our analysis of this ABS segment.

Could coronavirus-induced economic shocks hurt U.S. house prices as much as the 2008 global financial crisis did? This article identifies four drivers that could produce much milder house-price depreciation this time. 

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.

Will the securitization industry be ready for the transition from LIBOR to the secured overnight financing rate (SOFR), as it faces the fact that LIBOR can no longer be guaranteed beyond the end of 2021? As the industry mobilizes, significant challenges remain.

After the U.S. COVID-19 lockdown, new monthly remittance reports for asset-backed securities indicated performance deterioration and signaled potential challenges ahead. Meanwhile, in China, ABS showed signs of recovery.

Machine learning using neural networks has been successfully applied to fields in which extremely complex patterns can prove challenging for other algorithms. Are neural networks suited for modeling prepayment risk in agency mortgage-backed securities?

Beyond COVID-19’s steep human toll, the pandemic’s disruption of economic life has led to widespread loss of income and impaired some borrowers’ ability to repay loans. What could the impact be for investors in consumer asset-backed securities in the U.S. and China?

The large economic shocks unleashed by the coronavirus pandemic could be comparable to or even exceed those of the 2008 global financial crisis (GFC). We used our models to assess whether these shocks could hurt U.S. housing prices as much as the GFC did.

The market for collateralized loan obligations is under severe stress during the COVID-19 pandemic. We used MSCI’s loan and CLO models to assess a sample CLO’s loan-default risk characteristics. Could a wave of defaults harm CLOs?

Artificial intelligence has broken through in fields previously dominated by humans. Could AI surpass humans in modeling the complex risks of agency mortgage-backed securities?

Despite the Fed’s silence on the matter, the MBS market may be indicating that a new round of QE is coming.

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.

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...

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.