Publications
2023
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Apr04The impact of ESG on MBS performance and prepaymentThe 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.
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Mar02Credit missed with Credit Suisse?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.
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Mar08Bank woes and RMBS: a storm in a regional teacup?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.
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Mar09What does SVB failure mean for CMBS?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.
2022
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Dec12Yield Book Agency MBS: How valid is the current CMM102 calculation?Incorporating liquidity scoring to strengthen price interpolation for the CMM102 coupon
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Mar01Winding down the Fed’s MBS Agency portfolioThe 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.
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Feb01An introduction to Freddie KThis paper provides an introduction to the Freddie K product, including loan characteristics, underwriting, and securitization
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Feb03Through the Box (TTB) Report with the FedAt 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.
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Jan03Responsible Lending behavior metrics and scores - Early Pay Default RiskResponsible behavior in a lending context is the practice of extending fair and reasonable terms to borrowers during the loan origination process;
2021
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Nov01Covenant insights – Considering quantitative approaches to bond covenant scoringBondholders’ understanding of the protection offered by the provisions within bond indentures (covenants) is of high importance for a thoroughly-informed investment decision.
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Oct01Responsible lending behavior metrics and scores - Outsized RatesResponsible behavior in a lending context is the practice of extending fair and reasonable terms to borrowers during the loan origination process;
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Oct07Responsible Servicing behavior metrics and scores - Loan churnResponsible 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;
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Jul01Has the US housing crisis that never was become the housing boom no one expected?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.”
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Jun08An introduction to CLOsIn 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.
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Feb01An introduction to Ginnie Mae project loansThis paper provides an introduction of the project loans, including their characteristics and Real Estate Mortgage Investment Conduit (REMIC) features;