Hybrids vs High Yield

Notwithstanding the franking debate last year, ASX hybrids were the second-best performing asset-class behind long-dated government bonds in 2018 with an attractive 4.9% gross return, smashing the AusBond Floating-Rate Note Index (2.3%) and the Aussie equities market including dividends (down -3.5%). Major bank hybrids are rated by S&P at BB+, which is technically in the …

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August RMBS Default Index Results

Key Take-Aways:  Contrary to S&P data, Coolabah’s globally unique hedonic index of compositionally-adjusted Australian RMBS default rates shows defaults trending higher after controlling for the date of the RMBS issue, the average life of the loans, the average LVRs and geographic biases Coolabah has also developed another global first, which is a hedonically-adjusted mortgage prepayment …

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A new hedonic approach to measuring mortgage default risk

Measuring and monitoring the true level of mortgage delinquencies across an economy is essential for asset pricing and financial system stability. Yet public measures of mortgage default risk almost always use simple averages across pools of individual assets, including balance-sheet loans or indices tracking default risk across portfolios of residential mortgage-backed securities (RMBS). These approaches …

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