Mortgage-backed securities (MBS)
State Street HQLA shift dampens investment yields
Allocations to agency mortgage-backed securities increase to 38.4% of portfolio total
Wells Fargo swells MBS trading portfolio
San Francisco-based dealer grows allocation by $11 billion from end-2016
BlueMountain hunts for mispricings in rates markets
As QE rolls off, Colin Teichholtz sees rich pickings for relative-value fixed-income strategies
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
FICC liquidity facility swells to $36 billion
Capped contingent liquidity facility adjusts in response to heightened liquidity risk
Dodge & Cox turns to MBS as Treasury yields rise
Income Fund grows securitised allocations from 36.1% to 39.7%
Top 10 op risks 2018: mis-selling
Speculation rife among survey participants over ‘the next PPI’
ABS set for revival under US Treasury’s liquidity buffer plans
Allowing securitisations to count towards LCR and NSFR buffers could boost ABS market
US hedge accounting changes could spur small bank swaps boom
Banks eye opportunities to claim hedge accounting treatment for fixed-rate portfolios and callable debt
SSA deal of the year: Fannie Mae
Risk Awards 2017: Mortgage giant refines risk-sharing deals as political landscape shifts
Bank merger ban key to stability, conference hears
"Hypercompetition" fatal to UK and US banks
$1.5bn subprime hit at HSBC dwarfs other op risk losses
Megan van Ooyen from SAS rounds up the top five op risk losses for June
Mortgage investors grapple with negative swap spreads
Collapse of US swap rate creates problems for valuation models
Freddie Mac reviews $600bn hedge book as losses mount
Swap spread inversion contributed to derivatives losses of $2.7 billion in 2015
Why we should all long The Big Short
Hit film will allow more people to have an informed dialogue on regulation, free markets, finance and opportunity
Chenavari exploiting opportunities in energy, Asia and liquid alts
Credit player launches Ucits European vehicle and eyes '40 Act funds
Asset manager of the year: DoubleLine Capital
Risk Awards 2015: Critics challenged to look at the data by fund branded ‘not rateable’
Asset correlation in residential mortgage-backed security reference portfolios
This paper contributes to the literature about estimating asset correlation in two ways. First, we compare the performance of different estimation approaches in a simulation study.
Positive MBS momentum from R&W settlement trades
Legacy non-agency market benefits from anticipated payouts
Hedge funds, leverage and mortgages: why Fannie and Freddie's new deals worry some experts
Hedge funds have been keen buyers of the new mortgage risk-sharing deals issued by Fannie Mae and Freddie Mac, but as spreads have tightened, worries about leverage have grown. Some now argue mortgage finance requires a more stable source of capital. By…
From big data to smart data
Sponsored forum: State Street Global Exchange
Securitised credit tops profitability league for hedge funds
Performance and asset flows of securitised credit products have combined to make this group one of the most profitable for investors and hedge fund managers. But there are now signs of waning interest
Insurers developing internal model risk calibrations for non-standard credit assets
Underlines growing strategic importance of infrastructure bonds and MBS, finds survey