Emad
The market for Federal Housing Authority (FHA) multi-family home loans represents a large sector of the secondary mortgage market, with an outstanding balance of approximately $40 billion.
When the Federal Reserve began its interest rate tightening cycle in March 2022, interest rates across the curve increased, but the increases were particularly pronounced on the shorter end of the yield curve.
The Small Business Administration (SBA) is a government agency that works with lenders to provide loans to small business borrowers who comply with its eligibility requirements.
A hallmark of a strong economy is consumers who are employed and spending. A strong consumer sector points to strengths within investment sectors of the economy that are linked to consumer spending.
Inflation is the rate of change in the price level of an economy. In the United States, several measures of inflation are used to gauge, among other things, the effectiveness
The natural real rate of interest is a concept that originated with Knut Wicksell, a prominent Swedish economist who theorized the existence of a short-term interest rate that
In an interest rate market characterized by rising rates, and a stock market engulfed in high, fluctuating volatility, an allocation to short duration fixed income securities is a thoughtful investment choice.
We humans are generally orderly beasts. We like crisp categorizations of people, places and things. It makes things easier to deal with as it allows for neater storage of our ideas and concepts.
In a surprising and explosive development, the US Treasury announced on October 31, 2001 that it would suspend issuance of 30-year securities, including both the nominal and inflation adjusted securities.
A security type that bridges the gap between public bonds and traditional private placements has worked itself into the fabric of fixed income investing.
This table shows the sensitivity of measurement o assumptions about alpha and correlations. The first line indicates that if a manager had a true alpha of 1% and returns which had a correlation coefficient
It is important to completely understand the price movement of fixed income securities in order to take full advantage of their potential return.
The CMO Glossary contains terms used commonly in the CMO market. Some of the terms presented may have multiple meanings. Only those definitions pertaining to the mortgage market are shown.
Companies in the Sector have returned to a back-to-basic strategy that focuseson their core competences. They are cleaning up their balance sheets throughthe sale of non-core operations and foreign assets.
Jerome Powell, was recently nominated by President Trump to serve as the next Chair man of the Federal Reserve. He will succeed current Federal Reserve Chairwoman Janet Yellen,
As we approach the 9th anniversary of the end of the last recession, it is natural to ponder what, if anything, can interrupt this expansion? The expansion, coming up on its 105th month,
Total household debt is back on the rise. According to the latest figures from the New York Fed, total debt increased nearly $200 billion to an all time high of $13.15 trillion at year-end 2017.
The corporate bond market turned in its eighth straight quarterly outperformance versus comparable U.S. Treasury bonds. As measured by the BofA Merrill Lynch
Mortgage Backed Securities (“MBS”) are a type of asset-backed security supported by one or more pool of mortgages. MBS are issued either by a government agency, such as Fannie Mae,
While automobile loans have displayed some increasing defaults in recent months, the absolute level of defaults remains low, especially within Prime Auto ABS loans.
In his last days in the White House, President Obama signed legislation that had been floating around for over a year. He lowered the Mortgage Insurance Premium (MIP) for FHA loans from 0.85% to 0.60%.
Most quarter ends are turbulent time for banks. Banks typically increase their balance sheets while decreasing their REPO activity. This is partly due to the liquidity coverage
Contrary to popular belief, few laws are immutable in economics. While physics presents us with maybe 4 laws that explain something like 90% of the observed universe, economics has
The digital asset has taken the world of payment systems by storm. Since its development in 2008, by an anonymous programmer,
In an investment environment characterized by credit market uncertainty, we analyze a lesser known security type: SBA pools. Small Business Administration (“SBA”)
The most recent deterrent to the repo market is not more pressure from government regulation, but a more 21st century problem: technical difficulties
A key input into deciding how to position a portfolio is, of course, the future direction of interest rates. Given the recent low interest rate environment, market participants have been anticipating an increase
While the bond market offers something for everyone, at times there just isn’t enough. For some institutions there isn’t enough cash, while others seek more investments.
Time series techniques describe a collection of methods used for analyzing data. Time series data is a sequence of data points describing the behavior of a variable over a period of time.
The 2008 financial crisis raised serious questions regarding the health, security and viability of the money market mutual fund industry
Portfolio managers at Vanderbilt Avenue Asset Management analyze bonds daily, looking for relative value across sectors and securities
MPT assumes that investors are risk averse, meaning that given two portfolios that offer the same expected return, investors will prefer the less risky one. Thus, an investor will take on increased risk
Please find below our thoughts on the credit rating downgrade of U.S. long-term debt by Standard & Poor’s Rating Services. We anticipate continued volatility in the marketplace over the short run.
Exchange Traded Funds (“ETF”) have become a significant investment option for institutional and individual investors. Vanderbilt Avenue Asset Management will occasionally invest in ETFs
The investment objective with non-dollar fixed income securities is to attain an excess return versus similar duration to US Treasury issues. The total return is comprised of interest income,
Sukuk, commonly known as Islamic bonds, are a recent entry to the world of finance. (Sukuk were used extensively in the Middle Ages, but not in the
On January 27, 2010, the US Securities and Exchange Commission approved amendments to Rule 2a-7. The amendments impose new requirements on money market
Securitized products experienced an extraordinary rebound in 2009 following the blowout experiencedinthe4thquarter of 2008. The government implemented many programs with the objective of stabilizing and restoring liquidity
On February 10, 2009 US Treasury Secretary Tim Geithner introduced a new Financial Stability Plan. This new plan was not only a defense of the financial system and its importance to an economic
Much has been written lately about the government’s announced plans to repurchase debt and reduce or eliminate the federal deficit by the second decade of the 21st century.
In a CSO transaction, an investor buys notes from or sells protection to a specialpurpose vehicle (“SPV”) that provides exposure/risk to an underlying
The financial community has become intimately familiar with Credit Default Swaps(CDS) since their advent in the 1990’s.
Option Arm Mortgages emerged somewhat innocuously in 1995 as a monthly cash-flow management tool offered by California mortgage originators.
With the insolvency of several insurance companies many retirement plan sponsors have become increasingly concerned about the guaranteed investment contracts
Credit market investors have to assess yield against the probability of default constantly. In this regard, many tools have been developed to
Over the last few years mortgage production trends have shifted from fixed rate to adjustable rate mortgages. Many home borrowers are
Net Interest Margin (NIMs) deals are most commonly backed by either Home Equity(HEL) or Manufactured Housing (MH) deals. These structures are collateralized
As portfolio managers, we strive to outperform our clients’ benchmarks using every piece of data that is available in the marketplace.
The structures used for both CBOs and CLOs are similar to traditional ABS structures. The issuing vehicle is usually a stand-alone, special purpose vehicle
As a few of you may know, I come from Rhode Island, and as a good “Ocean Stater”, I still sometimes read the local paper. This is in no small part because an
The mortgage market continues to develop and change, leading both borrowers and investors to demand more product choice than just the traditional fixed rate or adjustable rate mortgage.
Fed Chairman Greenspan offered a new paradigm for monetary policy. Tossing aside irrelevantly-behaved monetary aggregates. Greenspan now steers by the sextant
Being stuck in LaGuardia Airport during a blizzard while trying to get home for your wife’s birthday(ultimately unsuccessfully I might add) isn’t fun. After a couple of hours you have read and re-read all the
In recent years, the management of risk in internationally diversified bond portfolios held by U.S. investors has been guided by the following principles:
Aristotle highlights a key consideration in risk management – how to derive as ym metric probabilities of outcome that can be utilized to avoid pitfalls and take advantage of
Over the past several months, and especially as the Fed has aggressively injected liquidity into the market after the events of September
As I have the benefit of dictionary and thesaurus at hand while I write (thank-you, Bloomberg, Inc.),and you may not have the same luxury while you read, allow me to explain the title.
Financial Accounting Standards Board (FASB) Statements 87 and 88 have given rise to a great deal of confusion over the concept of discounting pension liabilities at market rates.
Collateralized Mortgage Obligations, or CMOs, have become a major part of the fixed income market with approximately $1 trillion of bonds outstanding.
Efforts to deregulate U.S. local electricity markets in the Nineties culminated in 1996 in the enactment of legislation by the states of California and Pennsylvania establishing state-mandated
Investors can create a synthetic security by using various combinations of interest only (IO) strip sand long U.S. Treasury principal strip issues. Independently, IOs and Treasury strips are considered volatile securities.
Cocktail parties always bring about an interesting experience for me and for people who do what I do. I’m a bond guy, and have been one for more than a quarter of a century
No, I haven’t completely lost my mind. The point of this essay is that we are all human and we have common, natural characteristics. Primary among them is that
In an ‘unprecedented’ recent event, the Treasury Department moved on October 4th to hold an unscheduled auction of 10-year Treasury notes in an effort to improve conditions
The following presentation of the High Yield market is constructed in two segments: (1) an overview of the market itself, answering the question
A typical non-agency mortgage deal consists of whole loan mortgages that are pooled together to create one security. This large security is then broken up into individual CMO
Recent studies have provided anecdotal evidence to support the effectiveness of capturing excess returns in a fixed income portfolio by trading the mortgage/agency basis.
Not that many years ago there were 38 Primary Dealers, that is firms designated to bid directly in Treasury debt auctions. But a lot has happened in the past few years.
In a perfect world, interest rates would not fluctuate and the value of the bonds in your portfoliowould not change over time Unfortunately, we live in a world where
During his testimony before the House Banking Subcommittee on March 22nd, Treasury Under Secretary Gary Gensler voiced the Treasury’s support of a House bill
There exists a dichotomy between the foreign exchange market and the bond market. We have recently witnessed a sustained period of depressed bond
In light of the frequent media attention to the Federal Reserve and the recent change inmonetary policy, it is important to understand the Repurchase
It seems as though everywhere you turn Wall Street’s investment bankers have created and investment vehicle in conjunction with a new acronym.
Non-agency loans are usually made in the form of jumbo loans to prime borrowers where the loan size exceeds FNMA/FHLMC standards. Residential subordinate mortgage backed securities(“RSUBS”)
Commercial Mortgage Backed Securities (“CMBS”) are mortgage securities backed by commercial property loans.
Among the benefits that employers have accorded employees the provision ofhealth care, and particularly the provision of health care after retirement hasbecome an expensive
The largest issuers of mortgage securities are, by far, the government agencies: GNMA, FNMA, and FHLMC. Securities backed by these agencies enjoy the explicit or implicit guarantee
Since the passage of the Federal Energy Policy Act of 1992 allowing wholesale electric competition, a number of individual states have begun expanding
Options have been developed on a variety of investment vehicles. The effectiveness of optionsin hedging for risk management and in enhancing return has led
We use OAS as a “robust” measure of value for mortgage securities. Mortgages have uncertain cash flows due to prepayments. Simple static spread assumes a fixed series
On October 21, 1996, the Federal Reserve Board announced that bank holdingcompanies could treat certain kinds of tax-deductible preferred securities as equity capital, or Tier 1 capital.
In a report to the Senate Finance Committee, the Bo skin Commission (an advisory group set up by the Senate Finance Committee to study biases in the calculation of the consumer price
Electric utility companies face substantial costs associated with the future decommissioning of their nuclear power plants. Cost estimates for this procedure range
A money-management approach that seeks to outperform the market throughthe application of informed, independent investment judgment.
Portfolio managers should be aware of the opportunities to enhance return through the use of mortgage dollar rolls. Once an investment decision is made to invest in the mortgage sector
“An economic policy, if there had been one in the Bush administration, would have focused on the real economy, not solely on its adjuncts such as interest rates.
