Publications

The incorporation of sustainability and social responsibility measures into investment practices has often been handled separately from traditional financial assessment; however, in this publication we demonstrate that ESG considerations can provide significant value when integrated into workflows.

Following the dramatic demise of SVB and Signature Bank in the US, the banking turmoil quickly spread to Europe and took down Credit Suisse, which was forced to merge with its domestic rival UBS by Swiss regulator FINMA on Sunday.

In the RMBS market, the market value for typical bank portfolio MBS securities have already adjusted price and duration to the significant rates tightening through 2022.

A forced sale upon liquidity stress (caused by tech-concentrated client withdrawal) crystalized the loss, triggering a bank run which sealed the fate of SVB.

Incorporating liquidity scoring to strengthen price interpolation for the CMM102 coupon

The FOMC meeting for March will likely put an end to “new” MBS Agency purchases as it strives to reduce its $2.7 Trillion balance sheet.

This paper provides an introduction to the Freddie K product, including loan characteristics, underwriting, and securitization

At the November 2021 FOMC meeting, the Federal Reserve bank announced plans to scale back its MBS and Treasury purchases as it was deemed that the markets had sufficiently improved to warrant such a move.

Responsible behavior in a lending context is the practice of extending fair and reasonable terms to borrowers during the loan origination process;

Bondholders’ understanding of the protection offered by the provisions within bond indentures (covenants) is of high importance for a thoroughly-informed investment decision.

Responsible behavior in a lending context is the practice of extending fair and reasonable terms to borrowers during the loan origination process;

Responsible behavior in a servicing context is the practice of extending fair and reasonable terms to borrowers throughout the life of the loan in the regular servicing processes;

We assessed whether despite the deep COVID recession in 2020, record employment losses, and legacy of the US sub-prime housing crash in the GFC, this was proving to be the “Housing crisis that never was.”

In this paper, we explore the key features of a CLO, including the underlying leveraged loan portfolio, deal structural protections, and the role of a CLO manager.

This paper provides an introduction of the project loans, including their characteristics and Real Estate Mortgage Investment Conduit (REMIC) features;