ESG’s impact on MBS performance

Presented by

Katie Prideaux, Sustainable Investment Analytics | Marina Manoim, Quantitative MBS Data Modeling | Irene Shi, Data Analyst

About this talk

Appetite for ESG metrics in the mortgage-backed securities sector is gaining momentum, but finding relevant and quantitative approaches to this complex sector remains a challenge, as does identifying the resultant impact of this integration to financial risk and return of portfolios. Yield Book’s latest research shows that our proprietary metrics identifying Responsible Lending and Responsible Servicing behaviors can provide significant value and deeper insights when integrated into MBS workflows. Join us to discuss our ESG framework for securitized assets and our research on May 23rd at 10:00 ET / 15:00 BST for a live webinar presentation and Q&A. The session will cover the following: • Recap of Yield Book’s ESG framework and principles of our approach; • Evidence for the linkage between ESG metrics on US Agency RMBS and prepayment speeds; • Discussion of dispersion among ESG-aligned cohorts of total returns, WALA ramps and S-curves. Presented by: - Katie Prideaux, Sustainable Investment Analytics Lead - Marina Manoim, Quantitative MBS Data Modeling Lead - Irene Shi, Data Analyst Manager
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