Foreign ownership of RMB-denominated Chinese government bonds rose to a record high in March as interest rates slipped in some markets; and as the global economy slumped due to the coronavirus crisis.
In this FTSE Russell Product Insight, we profile a new index series—the FTSE Canada NHA MBS 975 Index—which is designed to measure the performance of Canada’s mortgage-backed securities (MBS) market, an important...
Emerging Market (EM) fixed income has developed into a substantial and investible asset class, combining local currency and hard currency categories. It is a very different asset class to the one that suffered major...
Federal Reserve announced an expansion of Term Asset-Backed Securities Loan Facility (TALF 2.0) program to include outstanding non-agency CMBS AAAs and new issue CLO AAAs. The loans will have a three-year term, and...
The Coronavirus Pandemic has brought turmoil to financial markets and the entire US economy. The Non-Agency RMBS sector may be especially susceptible to the deterioration of the broader economy. Yield Book allows...
Merseyside Pension Fund (MPF) has £8.9B in assets and nearly 140,000 scheme members. Over recent years, MPF has sought to future-proof its pension promises against the systemic risks posed by climate change....
In this paper we are trying to assess the impact of coronavirus (COVID-19) to U.S. Commercial Real Estate (CRE) and CMBS market including both agency CMBS and non-agency CMBS. While we can’t predict how soon the...
Factor allocation decisions are becoming a prominent consideration for factor investors. Which factors to allocate to, and in what magnitude, has a significant impact on investment outcomes and should be a key focus...
Foreign holdings of China bonds have grown at an annual compounded rate of 38% in the past two years, from 1.1 trillion CNY as of December 2017, to 2.2 trillion CNY by December 2019.
The growth and evolution of the REIT sector has given rise to an important new dimension of portfolio diversification. The REIT universe has expanded greatly beyond the property sectors institutional investors...
The Russell 2000 has become the preeminent representative of the US small-cap stock domain since its inception in 1984. More than 40 years of data enables deep insights into the relative performance and distinct...
Yield Book applications have covered the Agency Credit Risk Transfer (CRT) market since the introduction of STACR and CAS issuances in 2013. Foundational to CRT analytics is a comprehensive suite of models projecting...
FN DUS is one of the largest multifamily lending program with current outstanding balance over $330 billion. Yield Book FN DUS prepayment model is a loan-level model which provides clients with a tool to study and...
This paper explores the investment impact of the large and persistent home bias in the equity allocations of the Swiss pension fund markets since the global financial crisis.
The FTSE Custom Developed ex Korea SDG Aligned Index (“SDG Aligned index”) is a developed market equity benchmark launched in March 2019 that uses adjustments to constituent weights to create alignment with four of...
Factor strategies differ significantly in terms of portfolio construction. There is much debate regarding the pros and cons of alternative construction approaches. A vigorous debate has unfurled over the best way to...
Sovereign debt investors are exposed to a range of climate change risks that are generally not well understood or incorporated into the investment process. Part of the challenge has been the lack of sustainable...
Is it better for a bond index to be able to change every day, or only every month? This paper discusses the pros and cons of each approach, using examples taken from the FTSE Canada Universe Bond Index—which...
For this study, the second in our series on the effects of investor home bias, we examined the industry concentrations, performance and return-to-risk profiles of the equity markets in France, Germany, Netherlands,...
Although China-US trade tensions continue to dominate headlines, September data from the Bond Connect trading scheme – which grants international investors access to China’s interbank bond market – revealed trading...
