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Webinar - Agency RMBS Experimental Model Release Update

On April third Yield Book released the Experimental Version (v99) of the agency prepayment model, as well as Experimental Version (v98) where all COVID-19 related adjustments are replaced by pre-COVID-19 expectations but is otherwise identical to v99.

The webinar will cover the following model release updates:
•COVID-19 pandemic impact
•Introduction of multiple economic scenarios into the Monte Carlo simulation
•Primary/secondary spread model update
•Refinance response recalibration
•TBA definition update
•Upcoming model release schedules

Please join us on May 4th at 4:00 PM ET for the live webinar with Q&A presented by: Hui Ding, Director, Senior Agency RMBS Prepayment Modeler, Yield Book Mortgage Research and Joseph Reel, Managing Director, MQA Mortgage Analysis, Citigroup, Inc.
Recorded May 4 2020 64 mins
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Presented by
Hui Ding, London Stock Exchange Group & Joseph Reel, Citigroup, Inc.
Presentation preview: Webinar - Agency RMBS Experimental Model Release Update
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  • Sustainable Investing in Fixed Income portfolios: what do I need to know? Sep 9 2020 1:30 pm UTC 60 mins
    Sylvain Chateau, London Stock Exchange Group - Joshua Palmer, Willis Towers Watson - Hilary Norris, FTSE Russell
    We would like to invite you to attend our live webinar on integrating sustainable investing into fixed income investment strategies which will take place on 9 September 2020 at 2:30pm BST.

    Recently investors have been looking into how sustainable investing can be incorporated into Fixed Income asset allocations. However, there has not always been clear definition of how this can be done and what tools are available for integration.

    During this webinar we aim to discuss a number of key issues investors have experienced in the past, such as:

    • How does the sovereign ESG performance framework differ from corporate?
    • How to measure sustainable investment performance of multi asset/fixed income portfolios
    • The quantitative tools available for portfolio managers
    * How do we aggregate ESG performance at portfolio level?
    • How sustainable investment performance and materiality are connected

    Speakers:

    • Chair: Hilary Norris, Product Manager, Sustainable Investment, EMEA, FTSE Russell

    • Joshua Palmer, Fixed Income Hedge Fund and ESG Research, Willis Towers Watson

    • Sylvain Chateau Co-Founder, Beyond Ratings and Global Head of SI Product Management, London Stock Exchange Group
  • Chinese bond market: Evolution and characteristics Aug 11 2020 9:00 am UTC 60 mins
    Jonathon Orr, CFA, and Jürgen Blumberg (Goldman Sachs Asset Management), Robin Marshall (FTSE Russell)
    Chinese financial markets have developed rapidly in recent years, both relative to the size of the domestic economy and the global economy.

    The Chinese government bond market has a market capitalization that now exceeds that of UK gilts and German Bunds. Reforms in Chinese financial markets, and inclusion of Chinese equities and bonds in major global indexes, have improved access to, and increased foreign participation in Chinese markets.

    In a recent research paper, FTSE Russell reviewed the transformation of this rising financial asset with a number of considerations, including:

    • Evolution and structure of the Chinese bond market
    • Relative performance of Chinese bonds versus other markets
    • Correlation of returns with other major markets
    • Impact of introduction into global bond indexes
    • Risks to the Chinese bond market

    Join experts from Goldman Sachs Asset Management and index provider FTSE Russell as they discuss the evolution and characteristics of the Chinese bond market, the FTSE Goldman Sachs China Government Bond Index and potential ways for investors to access it.

    Speakers:
    • Jonathon Orr, CFA, Fixed Income Portfolio Manager, Goldman Sachs Asset Management
    • Robin Marshall, Director of Fixed Income Research, FTSE Russell
    Moderator:
    • Jürgen Blumberg, Head of ETF Capital Markets EMEA, Goldman Sachs Asset Management

    In the meantime, you may be interested in reading FTSE Russell's research report: https://bit.ly/30ItLuN

    *** Please note that this webinar is addressed exclusively to investors in Europe and/or jurisdictions where Goldman Sachs Asset Management's products are approved for distribution. ***
  • Webinar - Agency RMBS Experimental Model Release August Update Aug 5 2020 8:00 pm UTC 60 mins
    Hui Ding, Yield Book Mortgage Research and Joseph Reel, Citigroup, Inc.
    Yield Book will release the new Experimental Version (v99) of the agency prepayment model on August 3rd.

    Please join us on August 5th at 4:00 p.m. ET for a live webinar presentation with Q&A to find out the latest details on the model release update.

    The webinar will cover the following:
    •Default/buyout model update with announcements regarding forbearance and post-forbearance modification policy from GSEs and FHA incorporated
    •Primary/secondary spread model and base GNMA primary rate model update
    •Recalibration across collateral sectors and attributes with recent factors incorporated
    •Upcoming model release schedules

    Presented by: Hui Ding, Director, Senior Agency RMBS Prepayment Modeler, Yield Book Mortgage Research and Joseph Reel, Managing Director, MQA Mortgage Analysis, Citigroup, Inc. Moderated by Barry Pavel, Lead, Relationship Management, Index & Analytics, Americas
  • Introducing Digital Assets to Institutional Infrastructure Recorded: Jul 28 2020 40 mins
    Laura Stanley - SEDOL senior product manager, London Stock Exchange Group; Erin Friez - COO, DIgital Asset Research
    SEDOL expansion and the evolution of the digital economy
  • European listed real estate: Impact of the COVID-19 crisis Recorded: Jul 22 2020 46 mins
    Lloyd Barton (Oxford Economics), Dilek Pekdemir (EPRA), Catherine Yoshimoto (FTSE Russell)
    FTSE Russell is joined by special guest Oxford Economics’ Head of global trade services, Lloyd Barton to examine the current and potential future state of the European listed real estate sector.

    During this webinar, Lloyd Barton (Oxford Economics) and Dilek Pekdemir (EPRA) will elaborate on the findings of a recently published research paper (download here:https://bit.ly/3iOZhQ0):

    • Why the sector is trading at a discount to net asset value (NAV)
    • Output losses will be significantly greater than during the global financial crisis over a one-year timeframe. This has negative implications for the performance of property assets that underpin listed real estate prices
    • The knock-on impact to employment and incomes from the crisis will also influence the near-term outlook for the performance of listed real estate companies with exposure to residential property.

    Speakers:
    • Guest expert: Lloyd Barton, Head of global trade services, Oxford Economics
    • Speaker: Dilek Pekdemir, PhD, Research manager, EPRA (European Public Real Estate Association)
    • Moderator: Catherine Yoshimoto, Director, Product management, FTSE Russell

    In the meantime, you may be interested in reading Oxford Economics and EPRA's research report: https://bit.ly/3iOZhQ0
  • Rates Redux: the only way is up? Recorded: Jul 21 2020 40 mins
    Robin Marshall (FTSE Russell), Jayni Kosoff (FTSE Russell), Simeon Hyman (ProShares)
    Credit market analysis and scenarios for FTSE Rate Hedged Indexes

    Quantitative easing, including first-time high yield buying. Protection against credit default risk. Low, range-bound rates. Join the experts from FTSE Russell and ProShares to better understand fixed income market scenarios and the value of a rate hedge.

    The broadening of central bank QE to credit has driven strong credit market returns, even if many challenges remain for policy-makers. FTSE Russell and ProShares are thinking about the Fed, rates and credit spreads. Talk to the experts to unravel what’s happening now and take a deeper look at rate hedged indexes and ETFs in this environment.

    A robust discussion on the fixed income markets will be followed by a look at how index construction can drive performance in different market scenarios. ProShares will discuss the ETFs that track these indexes and their potential value in the current market.

    Join our presenters:
    • Robin Marshall – Director of Fixed Income Research, Global Market Research FTSE Russell
    • Jayni Kosoff – Managing Director, Head of Fixed Income ETP Strategy, FTSE Russell
    • Simeon Hyman, CFA – Head of Investment Strategy, ProShares

    ***Please note that this webinar is addressed exclusively to investors in the US and/or jurisdictions where ProShares’ products are approved for distribution.***
  • How has Covid-19 affected factor performance and valuations? (Americas timezone) Recorded: Jul 16 2020 23 mins
    Philip Lawlor, MD and Head of Global Investment Research & Marlies van Boven, Head of Global Investment Research, EMEA
    Join our Global Investment Research webinar for analysis and examination of Factor Performance across the globe and the long term shift in Factor Valuations.

    Our presenters from the Global Investment Research team, will address key developments and questions including:

    • What rotation has there been in factors through the period of COVID-19 volatility?

    • What has happened to the valuation of factors in both absolute and relative terms?

    • What is driving the divergence in performance between Quality and Value stocks across regions?

    They will draw upon data and analysis from our Market Maps “Factor Indicator” quarterly report, to help inform their discussions.

    CPD Certified: 0.5 CE Credit
  • Factor Performance across the globe and the long term shift in Factor Valuations Recorded: Jul 16 2020 22 mins
    Philip Lawlor, MD and Head of Global Investment Research & Marlies van Boven, Head of Global Investment Research, EMEA
    Join our Global Investment Research webinar for analysis and examination of Factor Performance across the globe and the long term shift in Factor Valuations.

    Our presenters from the Global Investment Research team, will address key developments and questions including:

    • What rotation has there been in factors through the period of COVID-19 volatility?

    • What has happened to the valuation of factors in both absolute and relative terms?

    • What is driving the divergence in performance between Quality and Value stocks across regions?

    They will draw upon data and analysis from our Market Maps “Factor Indicator” quarterly report, to help inform their discussions.

    CPD Certified: 0.5 CE Credit
  • How has Covid-19 affected factor performance and valuations? (APAC timezone) Recorded: Jul 16 2020 23 mins
    Philip Lawlor, MD and Head of Global Investment Research and Marlies van Boven, Head of Global Investment Research, EMEA
    Join our Global Investment Research webinar for analysis and examination of Factor Performance across the globe and the long term shift in Factor Valuations.

    Our presenters from the Global Investment Research team, will address key developments and questions including:

    • What rotation has there been in factors through the period of COVID-19 volatility?

    • What has happened to the valuation of factors in both absolute and relative terms?

    • What is driving the divergence in performance between Quality and Value stocks across regions?

    They will draw upon data and analysis from our Market Maps “Factor Indicator” quarterly report, to help inform their discussions.

    CPD Certified: 0.5 CE Credit
  • ソブリン債市場の気候リスク分析 Recorded: Jul 16 2020 36 mins
    FTSE Russell 日本リレーションシップ・マネジメント責任者 売野隆一
    • イールドブックのExcelアドインを通じて、300を超える気候、社会、ガバナンス関連のファクターについて、オンデマンドで気候リスクに関する透明性の高いポートフォリオ分析を実施
    • ポートフォリオの現在のカーボン・フットプリント、温度の軌跡、2℃シナリオとのギャップの測定など、気候リスク調整後ポートフォリオおよびベンチマークの分析を実施
    • ESGパフォーマンスのスナップショットを提供し、サステナビリティ・レーティングの決定要因を把握し、気候関連財務情報開示タスクフォース(TCFD)や責任投資原則(PRI)などの数多くの開示要件を満たす報告書を自動作成
  • Global Fixed Income - Looking through the apocalypse Recorded: Jul 15 2020 30 mins
    Robin Marshall, director of fixed income research, Global Investment Research, FTSE Russell
    Risk rally, or risky rally?. Join our quarterly fixed income webinar to get expert insights into the global bond markets post-lockdown and beyond.

    Robin Marshall, director of fixed income research, Global Investment Research will address key developments across conventional, inflation-linked, corporate and MBS indexes, and markets, including:

    -Is the key message from the Great Lockdown, don’t fight the Fed...

    …or have central banks only won the first battle in a long war against recession and deflation?

    Is the credit market pricing default risk accurately, given the depth of the recession?

    Does the persistence of ultra-low govt. yields, despite the risk rally, suggest transition to lower trend growth rates?

    Is helicopter money inevitable?

    Robin will draw upon data and analysis from our Market Maps Fixed Income Insight report to inform his discussion, and assessments.
  • Global Fixed Income - Looking through the apocalypse. For investors in APAC Recorded: Jul 15 2020 30 mins
    Robin Marshall, director of fixed income research, Global Investment Research, FTSE Russell
    Risk rally, or risky rally?.Join our quarterly fixed income webinar to get expert insights into the global bond markets post-lockdown and beyond.

    Robin Marshall, director of fixed income research, Global Investment Research will address key developments across conventional, inflation-linked, corporate and MBS indexes, and markets, including:

    - Is the key message from the Great Lockdown, don’t fight the Fed...

    …or have central banks only won the first battle in a long war against recession and deflation?

    - Is the credit market pricing default risk accurately, given the depth of the recession?

    - Does the persistence of ultra-low govt. yields, despite the risk rally, suggest transition to lower trend growth rates?

    - Is helicopter money inevitable?

    Robin will draw upon data and analysis from our Market Maps Fixed Income Insight report to inform his discussion, and assessments.

    *This webinar qualifies for 0.5 PL credit under the guidelines of the CFA Institute Professional Learning Program.
  • Canadian Fixed Income Insight – introducing report content Recorded: Jul 14 2020 30 mins
    Robin Marshall (FTSE Russell), Mark Raes, CFA, MBA (BMO)
    Hear from both BMO and FTSE Russell as BMO launches its bespoke monthly Canadian Fixed Income report

    FTSE Russell and BMO Global Asset Management are pleased to join forces for a webinar launching a new co-branded monthly report from BMO providing timely commentary and data on BMO fixed income ETFs and the broad Canadian Fixed Income market.

    Robin Marshall, Director of Fixed Income Research, FTSE Russell, and author of the new report, will be joined by Mark Raes, Head of Product Management, BMO ETFs to discuss:
    • Key developments in the Canadian bond market post-lockdown including QE and the Canadian credit conundrum
    • Shifts in yields, spreads and curves across Canadian government and corporate indexes
    • Analysis of key macro-economic drivers and market performance
    • Insights into the Institutional use of Fixed Income ETFs

    Join the conversation:
    • Robin Marshall – Director of Fixed Income Research, Global Market Research, FTSE Russell
    • Mark Raes, CFA, MBA – Head of Product Management & ETF Business Development, BMO Global Asset Management
  • Global Fixed Income - Looking through the Apocalypse. Americas timezone Recorded: Jul 14 2020 30 mins
    Robin Marshall, director of fixed income research, Global Investment Research, FTSE Russell
    Risk rally, or risky rally?. Join our quarterly fixed income webinar to get expert insights into the global bond markets post-lockdown and beyond.

    Robin Marshall, director of fixed income research, Global Investment Research will address key developments across conventional, inflation-linked, corporate and MBS indexes, and markets, including:

    - Is the key message from the Great Lockdown, don’t fight the Fed...

    …or have central banks only won the first battle in a long war against recession and deflation?

    - Is the credit market pricing default risk accurately, given the depth of the recession?

    - Does the persistence of ultra-low govt. yields, despite the risk rally, suggest transition to lower trend growth rates?

    - Is helicopter money inevitable?

    Robin will draw upon data and analysis from our Market Maps Fixed Income Insight report to inform his discussion, and assessments.
  • Canada Fixed Income Performance Review & Insight: Looking through the apocalypse Recorded: Jul 9 2020 32 mins
    Robin Marshall, director, fixed income research, Global Investment Research & Paul Bowes, country manager and head of Canada
    Join our webinar to gain expert insight into key developments in the Canadian bond market post-lockdown - Canadian fixed income, QE and economic recovery.

    Robin Marshall, director of fixed income research, Global Investment Research, will address main developments in Canadian credit, government, and provincial bond markets, including:

    Financial conditions, and the prospects for economic recovery.

    Is the investment conclusion from Q2 “don’t fight the Bank of Canada?"

    Are Canadian government bonds turning Japanese?

    The COVID-19 credit conundrum – why has high yield outperformed?

    Robin will draw upon data and analysis from our Market Maps Canadian Fixed Income Insight report to inform this discussion.
  • JSE and FTSE Russell fixed income indexes partnership Recorded: Jul 3 2020 87 mins
    Waqas Samad, CEO of FTSE Russell; Mark Randall (JSE); Robin Marshall, Scott Harman and Gary Rynhoud (FTSE Russell)
    The Johannesburg Stock Exchange (JSE) and the leading index provider FTSE Russell are extending their existing equity index partnership to include fixed income – combining JSE's regional expertise in Africa and the exchange’s market standard bond prices, with FTSE Russell’s world-class fixed income index expertise and multi-asset capabilities.

    Join the CEO of FTSE Russell and the Director of Information Services of the JSE, as well as fixed income experts from FTSE Russell as they discuss the characteristics of the enhanced index offering, the opportunities the partnership will bring to the market, and what it can do for investors locally and internationally.

    Presenters will touch on South Africa’s evolving debt market, the trends in Fixed income investing, and deliberate what lies ahead for this market against the backdrop of a global pandemic.

    Ahead of this webinar, you may be interested in the following announcement and microsite:
    - Press release: FTSE Russell and JSE launch fixed income indexes [www.ftserussell.com/press/ftse-russell-and-jse-launch-fixed-income-indexes]
    - FTSE/JSE Africa Indexes [www.ftserussell.com/products/indices/jse]
  • 2020年Q2マーケット・レビュー & アウトルック Recorded: Jul 2 2020 35 mins
    FTSE Russell アジア・パシフィック リサーチ・ヘッド 田村浩道
    今回のオンラインセミナーにて、新型コロナウイルスがグローバル株式および債券市場に及ぼす継続的な影響についての重要な洞察をご提供いたします。
    FTSE Russellアジア・パシフィックリサーチ・ヘッドの田村浩道より、「マーケットマップ」レポートからの主要な観察を利用し、ロックダウン後の市場について語ります。
    - バリエーション、予想利益、財政状況などの市場要因に対する新型コロナウイルスの継続的な影響は?(「良いもの、悪いもの、醜いもの」に分類)
    - 主要なマクロリスクとは、何が織り込まれているのか?
    - 債券市場から伝えられるメッセージとは?
    - マーケットローテーションはどのようにファクターリターンに影響を与えたか?

    Supported by the CFA Society Japan
  • Webinar 2: Investors as catalysts of the climate transition Recorded: Jun 30 2020 120 mins
    David Schwimmer, LSEG / Mark Carney, Former Governor of the Bank England / David Blood, Generation Investment Management
    COP26: Investor Action on Climate Webinar Series

    We would like to invite you to the second of our three part webinar series in partnership with LSEG & PRI. The webinars aim to build momentum ahead of COP26 taking place in Glasgow 2021. Given the challenges society, economies & the world face in coming out of COVID-19 it is critical for investors to address potential crises of the future & their role to achieve green growth & recovery.

    Webinar 2: 30 June 2020 - 9-11am BST / 10-12pm CEST / 4-6pm HKT

    AGENDA

    Welcome
    David Schwimmer, CEO, London Stock Exchange Group

    Keynote Discussion: Supporting innovation and driving climate transition
    Moderator: Fiona Reynolds, CEO, PRI
    David Schwimmer, CEO, London Stock Exchange Group
    David Blood, Co-Founder, Generation Investment Management
    Mark Carney, UN special envoy for climate and finance, Former Governor of the Bank England and the UK Prime Minister’s Finance Advisor for COP26

    PRI State of Investor TCFD reporting
    Edward Baker, Senior Specialist, Climate and the Energy Transition, PRI

    Panel: Measuring the Transition: Carbon targets and Portfolio Metrics
    Chair: Jaakko Kooroshy, Head of Data & Methodologies, Sustainable Investment, FTSE Russell
    Dr. Rory Sullivan, Visiting Professor, London School of Economics & CEO Chronos Sustainability
    Stephanie Pfeifer, CEO, IIGCC
    Sylvain Vanston, Group Head of Climate & environment, AXA group

    Panel: How can investors help to drive the transition
    Chair: Sagarika Chatterjee, Director of Climate Change, PRI & COP26 High-Level Champions Team member
    Adam Mathews, Director of Ethics and Engagement, Church of England Pensions Board
    Meaghan Muldoon, Managing Director, Global Head of ESG Integration, BlackRock
    Stephanie Maier, Director, Responsible Investment Specialist, HSBC Global Asset Management
    Crystal Geng, Director ESG, Ping An Insurance
    Claudia Kruse, Managing Director Global Responsible Investment & Governance, APG Asset Management
  • 2020 Russell US Indexes Reconstitution: Unlike any seen before? Recorded: Jun 25 2020 51 mins
    Jermal Chandler (Cboe Options Institute), Amy Whitelaw (BlackRock), Philip Lawlor and Catherine Yoshimoto (FTSE Russell)
    The story about a growing gap between the largest and smallest US stocks.

    The annual Russell US Indexes reconstitution, happening like clockwork every year in June, is a report card of sorts for the US equity markets. And with approximately $9Tn in investor assets tracking the Russell US Indexes, the event is closely watched by key market participants.

    The 2020 Russell US Indexes Reconstitution, which began with Rank Day May 8th and concludes June 26th, underscores a notable divergence between the large and small ends of the US equity market.

    In a year in which total US market capitalization decreased by 1%, the market cap of the 10 largest US companies increased by more than 23%. In fact, three companies (Microsoft, Apple & Amazon), surpassed $1Tn in size as of May 8th Rank Day.

    On the eve of its annual US index rebalance, FTSE Russell has gathered market participants to examine the upcoming event.

    Ahead of this webinar, you may be interested in reading our recent related blogs:
    - What explains the recon cap gap? www.ftserussell.com/blogs/what-explains-recon-cap-gap
    - Big getting bigger and small getting smaller: www.ftserussell.com/blogs/what-explains-recon-cap-gap
    - Experts share perspectives on the annual Russell reconstitution: www.ftserussell.com/blogs/experts-share-perspectives-annual-russell-reconstitution
  • Beyond growth equity: Large cap hyper growth in a time of change Recorded: Jun 24 2020 46 mins
    Ross French, CFA, CQF - Senior Research Analyst (FTSE Russell), David Mazza, Managing Director, Head of Product (Direxion)
    FTSE Russell and Direxion ETFs come together to discuss large cap hyper growth.

    FTSE Russell will discuss large cap hyper growth in volatile markets and takes a deep dive into the methodology to understand the factor influences that determine index constituents of the Russell 1000 Hyper Growth Index.

    Direxion will look at growth exposure, the metrics that matter in long term portfolio construction, and their new ETF market entrant.

    Ahead of this webinar, you may be interested in reading our recent related blog:
    - "The growth, quality and momentum trifecta": www.ftserussell.com/blogs/index-idea-growth-quality-and-momentum-trifecta

    *** Please note that this webinar is addressed exclusively to investors in the US and/or jurisdictions where Direxion’s products are approved for distribution. ***
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  • Title: Webinar - Agency RMBS Experimental Model Release Update
  • Live at: May 4 2020 8:00 pm
  • Presented by: Hui Ding, London Stock Exchange Group & Joseph Reel, Citigroup, Inc.
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