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> Mortgage Backed Securities and the Covid-19 Pandemic

商品編號: 9-221-010
出版日期: 2020/07/27
作者姓名:
Siriwardane, Emil Nuwan;Viceira, Luis M.;Xu, Dean
商品類別: Finance
商品規格: 25p

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個案年度: -  

 


商品敘述:

In April 2020, global financial markets were still reeling as the Covid-19 pandemic spread rapidly across the world. Global equity markets had initially fallen by 30% in response to the pandemic, and high-yield credit markets had dropped by nearly 20%. In contrast, U.S. Treasury markets were up 20% year-to-date (YTD). Interestingly, the U.S. Mortgage Backed Security (MBS) market had been much less responsive to the health crisis, exhibiting very low volatility throughout this period and returning about 2% YTD. Maya Russell, head of asset allocation research at a large global institutional investor, must make a recommendation on whether her fund''s board should invest in MBS, and if so, whether this is a good time for the fund to implement the allocation and whether it should do so pursuing an active or a passive investment approach. This case covers a wide range of topics in fixed-income investing, including duration and interest rate risk, prepayment risk, mortgage securitization, and the design of mortgage-backed securities. These concepts are analyzed from the perspectives of both individual and professional investors in fixed-income and mortgage markets.


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Finance


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