United States

Valuation matters: US high yield and US equities

Like other predictive measures such as economic outlooks, inflation expectations and central bank policies, starting valuation plays an important role in forecasting investment returns. In this research, we look at the US high yield credits (US HY) and US equities to find out how starting valuations have historically predicted future returns, where current valuations are, and what they could imply for future returns.

Our key findings include:

Yield Book Agency MBS: How valid is the CMM102 calculation?

While employed as a linchpin for models that incorporate primary/secondary mortgage rate spreads, which ultimately charts prepayments, the CMM102 coupon has been equally as volatile as the markets It underpins, raising questions over the validity of its inherent characteristics.

In this paper, we conduct a theoretical examination of CMM102 to explore the option of incorporating liquidity scoring to strengthen price interpolation for the CMM102 coupon.

Mind the gap: Creating an ESG framework for securitized assets

By Katie Prideaux, Yield Book's Sustainable Investment Analytics Lead

The securitization market accounts for over a quarter of the fixed income sector in the US, and yet integration of environmental, social and governance (ESG) measures remains a work in progress. Although the financial crisis of 2008 highlighted major need for responsible lending and servicing behaviours, predatory practices such as loan churning and excessive rates have shown to remain.

The market faces a unique set of challenges including: