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Analytic tools and rates: Non-Agency tools and the post-IBOR world

Welcome remarks & key takeaways from day 1 (5min)

Presenter:
• Ming Xue, Head of Analytics Model Development, London Stock Exchange Group (LSEG)
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Non-Agency models and tools (20mins)

• Enhanced data processing for CRT, Jumbo near Prime, and Non-QM & MSA Level HPA as a key economic driver

Presenter:
Jake Katz, Non-Agency RMBS Modeler, Director, LSEG
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Impact of IBOR migration (15 mins)
· Overview of the impact of IBOR transition on the industry and Yield Book
· Supporting the new risk-free rates: outlining recent developments
· Commentary on future enhancements

Presenters:
- Mikhail Bezroukov, Analytics Product Manager, Rates & Credit Lead, LSEG
- Sung Joon Moon, Quantitative Research Analyst, Director, LSEG
- Seunghyeon Son, Quantitative Analyst, Director, LSEG
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Panel discussion: Reflecting on a post-IBOR world (20mins)
Panelists:
- Al Jugoo, Head of Clearing Solutions, SwapClear & Listed Rates, LCH
- Ameez Nanjee, Vice President, Asset & Liability Management, Freddie Mac
- Matthew Scott, Senior Vice President Trader; Head, Global Rates, Securitized Assets & Currency Trading, Alliance Bernstein
• Moderator: Brian Organ, Relationship Manager, Senior Vice President, LSEG

Please join us on October 8th for more insights from industry experts. October 6th replay is also available. Click here to view and register:

October 6: Analytic landscape: Impact of COVID-19 and moving forwards
https://bit.ly/36wndDR

October 8: Analytic innovations:Securitized considerations as part of sustainable investing
https://bit.ly/2SnQLLL

*Please note that no press is allowed for this event.
Recorded Oct 7 2020 64 mins
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Presentation preview: Analytic tools and rates: Non-Agency tools and the post-IBOR world
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  • European listed real estate: Taking stock for 2022 Dec 15 2021 2:00 pm UTC 60 mins
    David Moreno (EPRA); Lloyd Barton (Oxford Economics); Ali Zaidi (FTSE Russell)
    Office sector’s drivers + Covid’s impact on European listed real estate

    Join experts from EPRA, Oxford Economics and FTSE Russell for a roundup discussion about the impact of the Covid-19 crisis on European listed real estate and about the the evolution of the European office sector and the Emerging markets. Our panellists will share their views backed by recent research reports.

    Agenda:
    • Listed Real Estate sector: Offices
    - EPRA’s research highlighting the main drivers of the European office sector and the performance of the FTSE EPRA Nareit Developed Europe Index.
    - The increase of office landlords in the index over the last decade.
    • Impact of the Covid-19 crisis on European listed real estate
    - The uneven recovery across geographies and sectors and its implications for listed real estate investors.
    - Recent trends in European listed real estate and implications of the economic and sectoral outlook for future performance.

    Presenters:
    • Lloyd Barton, Head of global trade services, Oxford Economics
    • David Moreno, CFA, Indexes Manager, EPRA
    • Ali Zaidi, Head of real assets research, FTSE Russell
  • ESG in fixed income Dec 8 2021 10:00 pm UTC 30 mins
    Katie Prideaux and Jake Katz
    Product and research overview of the impact of ESG across all products.

    Featuring:
    Katie Prideaux, Fixed Income Analytics Specialist, Sustainable Investment Lead, London Stock Exchange Group
    Jake Katz, Director, Senior Non-Agency RMBS Modeller, London Stock Exchange Group
  • CLOs in Yield Book Dec 8 2021 9:30 pm UTC 30 mins
    Anastasia Andrianova-Ushakova, Luke Lu and Hugo Pereira
    Summary of CLO analytics across Yield Book applications and market research updates.

    Featuring:
    Anastasia Andrianova-Ushakova, Senior Manager, Analytics Product Lead, London Stock Exchange Group
    Luke Lu, Head of CMBS/CLO Research and Quantitative Modeling, London Stock Exchange Group
    Hugo Pereira, Director of Market Analysis, London Stock Exchange Group
  • Technology roundtable discussion with the Head of Product Analytics Technology Dec 8 2021 9:00 pm UTC 60 mins
    Barry Pavel, Rebecca Burkey and Yair Lenga
    The second day will kick off with a recap of day one and an introduction to the technology session including a lively roundtable discussion.

    Featuring:
    Barry Pavel, Head of North America Client Relationships for Analytics and Index, London Stock Exchange Group
    Rebecca Burkey, Head of Product Analytics Technology, London Stock Exchange Group
    Yair Lenga, Director, Quantitative Analyst, London Stock Exchange Group
  • Track 1: Agency RMBS Dec 7 2021 9:30 pm UTC 60 mins
    Aysegul Erdem, Paul Sinkevics, Adam Rilander, Derek Chen and Hui Ding
    Overview of recent RMBS product enhancements and research update. Market leaders discuss trends and offer insights on today’s RMBS market.

    Featuring:
    Aysegul Erdem, Head of Analytics Product Management, London Stock Exchange Group
    Paul Sinkevics, Managing Director, Citigroup
    Adam Rilander, Galton Managing Partner, CIO, PM, & Head of Agency MBS Strategies, Mariner Investment Group
    Derek Chen, Senior Portfolio Manager, Voya Investment Management
    Hui Ding, Head of Agency RMBS Research, London Stock Exchange Group
  • Track 2: Non-Agency / CRT Dec 7 2021 9:30 pm UTC 60 mins
    Jake Katz, Paul Edelen, Christian Valencia, Shekhar Shah and Roman Shimonov
    Product and research teams will cover recent non-agency and CRT enhancements. Hear from a panel of industry leaders on CRT market observations and trends.

    Featuring:
    Jake Katz, Director, Head of Non-Agency RMBS Research and Data Science, London Stock Exchange Group
    Paul Edelen, RMBS Product Manager, London Stock Exchange Group
    Christian Valencia, Vice President of Credit Risk Transfer Capital Markets, Freddie Mac
    Shekhar Shah, Head of the Residential Securitization & Advisory, Citigroup
    Roman Shimonov, Managing Director, Annaly Capital Management, Inc.
  • Track 3: CMBS Dec 7 2021 9:30 pm UTC 60 mins
    Tadvana Narayanan, Luke Lu, Shujaat Islam and Hiten Motipara
    Get updates on the latest product and research enhancements in CMBS. Listen to an in-depth conversation on the Agency CMBS industry.

    Featuring:
    Tadvana Narayanan, Senior Product Manager, CMBS and ABS, London Stock Exchange Group
    Luke Lu, Head of CMBS/CLO Research and Quantitative Modeling, London Stock Exchange Group
    Shujaat Islam, Citadel
    Hiten Motipara, Citigroup
  • Welcome remarks, product roadmap and research update Dec 7 2021 9:00 pm UTC 30 mins
    Emily Prince, Aysegul Erdem and Mikhail Shefter
    Yield Book CEO will provide key business updates and overview the two-day event followed by the Head of product management and Head of fixed income analytics research who will highlight recent product releases and enhancements, provide research update, and what’s next for 2022.

    Featuring:
    Emily Prince, CEO of Yield Book, London Stock Exchange Group
    Aysegul Erdem, Head of Analytics Product Management, London Stock Exchange Group
    Mikhail Shefter, Head of Fixed Income Analytics Research, London Stock Exchange Group
  • How is climate change influencing investment strategies and what is net zero? Recorded: Nov 25 2021 42 mins
    Brunel Pension Partnership & FTSE Russell
    Date: 25 November, 2021 Time: 14:30-15:15 GMT We are delighted to invite you to register for our webinar, ‘How is climate change influencing investment strategies and what is net zero investing?’. COP26 has just finished and during this millstone event, the role of finance has become even more important than it used to be. World leaders discussed why climate investing and the transition to net zero is one of the ways we can save the world we live in today. During the webinar our speakers will discuss: • What are the main challenges in implementing climate change policy? • How well-aligned are policymakers’ and global investors’ views in this area? • Why are net zero investment strategies even more important now, especially after COP26? • How the partnering of the finance sector can help change to happen? Speakers: • Faith Ward, chief responsible investment officer, Brunel Pension Partnership • David Cox, head of listed market investments, Brunel Pension Partnership • Aled Jones, head of EMEA sustainable Investments, FTSE Russell
  • FTSE Digital Asset Index Series - A new standard of measurement Recorded: Nov 16 2021 50 mins
    Doug Schwenk (Digital Asset Research); Kristen Mierzwa (FTSE Russell)
    A look at index development and the regulatory landscape

    As interest in digital assets continues to rise, but this volatile asset class still raises many questions and concerns from investors. In association with the experts at Digital Asset Research, FTSE Russell has taken these issues into account, creating a reliable index methodology that thoughtfully monitors the 24/7 data and hundreds of exchanges that make up the crypto and digital asset market.

    As with any index, understanding the regulatory landscape is critical to index developments. Join us for a webinar on November 16th to learn more about the crypto market, industry regulation, our risk sensitive approach to index family expansion.

    During this event we will discuss digital asset index development in the context of:
    • The rise of digital assets
    • Digital asset regulatory landscape
    • Delivering expertise, governance and structure for a new asset

    As interest in digital assets continues to rise, but this volatile asset class still raises many questions and concerns from investors. In association with the experts at Digital Asset Research, FTSE Russell has taken these issues into account, creating a reliable index methodology that thoughtfully monitors the 24/7 data and hundreds of exchanges that make up the crypto and digital asset market.
  • Russell US ESG Indexes Recorded: Nov 1 2021 3 mins
    FTSE Russell
    Increasingly investors seek the ability to incorporate sustainable investment considerations within a broad market portfolio, without impacting the risk and return characteristics of the underlying benchmark. The Russell US ESG Indexes are designed for investors that want an institutional-grade benchmark with an improved ESG profile. The indexes are constructed using robust screening criteria and the ‘ESG Enhanced’ sub-family also use Refinitiv ESG Scores to provide an ESG lens on the US market.
  • What are asset owners saying about sustainable investment? Recorded: Nov 1 2021 2 mins
    FTSE Russell
    FTSE Russell's 2021 annual survey of the market conducts in-depth research to better understand how sustainable investment is perceived, considered and used by asset owners around the world.
  • Global factor behavior: winners & losers in Q3, for an audience in the Americas Recorded: Oct 20 2021 27 mins
    Mark Barnes, head of investment research, Americas; Marlies van Boven head of investment research, EMEA, FTSE Russell
    Join FTSE Russell’s Global Investment Research team for expert analysis and strategic insights on factor behavior and valuations, and answers to the following questions:

    • Which factors benefited from rising inflation expectations and bond yields during the quarter — and which faltered?

    • Where were the biggest divergences in factor behavior regionally?

    • What impact did shifts in industry performance over the quarter affect factor preferences within and across regions?

    The discussion will draw upon key findings from our quarterly Market Maps Regional Factor Indicator report, being published shortly before the webinar.
  • PRI/LSEG COP26: Investor Action on Climate Series - Webinar 6 Recorded: Oct 20 2021 138 mins
    LSEG & PRI
    As part of the PRI Digital Conference, the PRI and the LSEG will be co-hosting the sixth and final event in the PRI and LSEG COP26 Investor Action on Climate Series.

    Industrial Transition to Net Zero - How can business and the investment sector come together to achieve global decarbonisation?

    Date: 20 October 2021
    Time: 2:00pm - 4:30 pm BST

    Agenda and confirmed speakers

    Series overview
    Sagarika Chatterjee, Director of Climate Change, PRI and COP26 High-Level Champions Finance Co-Lead
    David Harris, Global Head of Sustainable Finance, Data & Analytics, LSEG

    Opening remarks
    Fiona Reynolds, CEO, PRI
    David Schwimmer, CEO, LSEG

    Opening C-Suite panel – The engagement between the finance sector and businesses to support transition and rapid decarbonisation of the economy
    David Schwimmer and Fiona Reynolds are joined by:
    Alison Rose, CEO, NatWest Group
    Renaud Guidée, Group Chief Risk Officer, AXA

    Keynote Speaker
    John Kerry, U.S. Special Presidential Envoy for Climate

    Keynote Speaker
    Commissioner Allison Herren Lee, U.S. Securities and Exchange Commission

    IEA Presentation
    Tim Gould, Chief Energy Economist, International Energy Agency (IEA)

    Panel: Accelerating commitments and getting the vision right
    Chair: Sagarika Chatterjee, Director of Climate Change, PRI and COP26 High-Level Champions Finance Co-Lead
    Anne Simpson, Managing Investment Director, Board Governance & Sustainability, CalPERS & Steering Committee and Asia Advisory Group for Climate Action 100+
    Rachael Everard, Head of Sustainability, Rolls-Royce
    Jaakko Kooroshy, Head of Sustainable Investment Research, FTSE Russell

    Panel: Driving Action on Climate Change Management & Effective Target Setting
    Chair: Julia Hoggett, CEO, London Stock Exchange
    Adam Matthews, Chief Responsible Investment Officer, Church of England Pensions Board & Chair of TPI
    Claudia Bolli, Head Responsible Investing, Director, Swiss Re Group Asset Management
    Sam Peacock, Director of Corporate Affairs and Strategy, SSE
  • Global factor behaviour: winners & losers in Q3 Recorded: Oct 20 2021 27 mins
    Marlies van Boven head of investment research, EMEA and Mark Barnes, head of investment research, Americas; FTSE Russell
    Join FTSE Russell’s Global Investment Research team for expert analysis and strategic insights on factor behaviour and valuations, and answers to the following questions:

    • Which factors benefited from rising inflation expectations and bond yields during the quarter — and which faltered?

    • Where were the biggest divergences in factor behaviour regionally?

    • What impact did shifts in industry performance over the quarter affect factor preferences within and across regions?

    The discussion will draw upon key findings from our quarterly Market Maps Regional Factor Indicator report, being published shortly before the webinar.
  • Global factor behavior: winners & losers in Q3, for an audience in APAC Recorded: Oct 20 2021 27 mins
    Mark Barnes, head of investment research, Americas; Marlies van Boven head of investment research, EMEA, FTSE Russell
    Join FTSE Russell’s Global Investment Research team for expert analysis and strategic insights on factor behavior and valuations, and answers to the following questions:

    • Which factors benefited from rising inflation expectations and bond yields during the quarter — and which faltered?

    • Where were the biggest divergences in factor behavior regionally?

    • What impact did shifts in industry performance over the quarter affect factor preferences within and across regions?

    The discussion will draw upon key findings from our quarterly Market Maps Regional Factor Indicator report, being published shortly before the webinar.

    Supported by the CFA Institute this webinar qualifies for 0.5 CE credit under the guidelines of the CFA Institute Continuing Education Program
  • US equities: We analyse Q3, to give you insights for Q4. iShares & FTSE Russell Recorded: Oct 19 2021 48 mins
    Gargi Pal Chaudhuri (BlackRock/iShares); Mark Barnes & Catherine Yoshimoto (FTSE Russell)
    Join us for the inaugural in our new series of "US Equities Performance and Insight" webinars, to hear our expert speakers review core themes and trends in the US equity market. During this session, our panellists will discuss:
    • How have persistent inflationary pressures and rising bond yields in the third quarter affected the Value-Growth rotation?
    • What impact has industry performance had on the Value-Growth rotation?
    • How has the reopening/reflation trade played out in industry performances and small vs large-cap leadership this year?

    During the webinar, we will draw upon key findings from our new quarterly Russell US Indexes Spotlight Report, authored by FTSE Russell's Global Investment Research team and published shortly before the webinar. This report provides a deep-dive into the performance and key market drivers of US equities, viewed through the lens of Russell large-cap (Russell 1000), small-cap (Russell 2000) and Growth and Value indexes.
  • Introducing default adjusted analytics for corporate bonds Recorded: Oct 14 2021 56 mins
    Mikhail Bezroukov, Yield Book; Dominic Tatakis, Yield Book; Preethi Bala Mohan, Credit Research Initiative
    Yield Book has partnered with the Credit Research Initiative (CRI), a non-profit organization under the National University of Singapore, to incorporate their probability of default dataset and create default adjusted analytical measures for the global corporate bond market to address increasing needs for default risk management.

    The webinar will cover:
    • Downloading daily corporate probability of default data, provided by a leading research institute
    • Conducting analysis of your fixed-income portfolio while incorporating the probability of default, using the new default adjusted analytics: default adjusted spread, default adjusted yield, PD implied theoretical price
    • Analyzing fixed income portfolios against benchmarks, with a tracking error adjusted on probabilities of defaults

    Presented by:
    Mikhail Bezroukov, Applied Analytics Lead, Senior Manager, Yield Book, an LSEG business
    Dominic Tatakis, Analytics Product Lead, Quantitative Analyst, Yield Book, an LSEG business
    Preethi Bala Mohan, Research Associate, Credit Research Initiative
  • FTSE ESG Ratings & climate change: Enhancements affecting JSE-listed companies Recorded: Sep 9 2021 61 mins
    Shameela Soobramoney (Johannesburg Stock Exchange); Sarah Williams (FTSE Russell)
    Understanding enhancements to the assessment of climate change management in FTSE’s ESG Ratings.

    Investor focus on climate and transition risk has grown significantly in recent years. In response to this, FTSE Russell has developed a number of data and index tools to better measure and manage these risks. As part of these efforts, FTSE Russell enhanced the way climate change is addressed as part of its ESG Ratings, and this affects JSE-listed companies being assessed as part of the FTSE/JSE Responsible Investment Index series.

    This enhancement was the result of two years of intensive collaboration between FTSE Russell and the Grantham Institute of the London School of Economics in the context of the Transition Pathway Initiative. Adoption of the proposed enhancements has aligned the Climate Change theme with the Transition Pathway Initiative’s Management Quality (MQ) score, which itself uses data inputs from FTSE Russell’s ESG assessment to assess companies’ readiness for transition to a low carbon economy. The enhancement was centred around three key changes in the way the Climate Change theme is scored:
    1. Focus on a distilled set of indicators drawn from the existing theme to calculate a Management Quality score.
    2. Assessing companies on a “staircase”, rather than as a percentage of indicators met.
    3. Importance of carbon intensity relative to peers.

    This enhancement is the latest in a series of changes to the way FTSE Russell assesses climate change management in the ESG model, keeping pace with evolving global standards and investor expectations.

    Join a conversation between experts from FTSE Russell and the Johannesburg Stock Exchange (JSE) as they discuss:
    • The climate disclosure landscape
    • FTSE Russell’s ESG Ratings and data model, with particular focus on the changes to the climate change theme
    • The performance of South African companies on the basis of their ESG scores
    • The performance of the FTSE/JSE Responsible Investment Indexes
  • Solving an ESG paradox – targeting high ESG and low carbon in the UK market Recorded: Aug 20 2021 35 mins
    Michael Ridley & Bhavick Patel (HSBC Asset Management); Sergiy Lesyk (FTSE Russell)
    UK equity investors are looking for benchmarks that have high ESG, low carbon reserves and low carbon emissions intensity metrics.

    However, many constituents of the FTSE UK Index have high ESG scores with relatively high carbon emissions—a seemingly paradoxical issue. Our recent research paper discusses the index that seeks to resolve this issue, and also addresses:

    The challenges of finding stocks with higher ESG scores and lower carbon emission intensities.

    How a simple construction methodology that simultaneously tilts away from carbon intensive stocks and toward stocks with higher ESG ratings can meet demand for index solutions that incorporate precise Low Carbon and ESG outcomes.

    Please join us for an educational webinar, led by Sergiy Lesyk, director of research at FTSE Russell, Michael Ridley, director of responsible investment at HSBC Asset Management and Bhavick Patel, head of UK ETF sales at HSBC Asset Management.

    The panel will examine the specifics of the UK market, index methodology and construction, and a discussion about how the FTSE ESG Low Carbon Select Index Series was developed to meet market needs.

    *** Please note that this webinar is addressed exclusively to professional investors in the UK and/or jurisdictions where HSBC funds or products are approved for distribution. ***
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