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  • LendersBenchmark™ - Financial Lending Analytics

    Mortgage Market Insights: QM Rules and the GSE Patch

    By Rene Segura, Market Analysis Manager | Joseph Blute, Market Analysis Manager 20 Feb 2020

    Z's Corner

    Over the past few months, lots of commentary and speculation has been shared around the QM rule changes, the GSE patch, the patch's expiration and how it will all affect mortgage lenders. In this discussion, we will examine how these rules came about, what the expected changes are, and how these changes may affect future mortgage originations.

    Topic Industry News

  • PSN Separately Managed Accounts (SMA) Data, PSN Enterprise -...

    Q4 2019 PSN Top Guns – Markets Cap Off 2019 With a Bang

    By Ryan Nauman 19 Feb 2020

    Ryan Nauman

    A stellar 2019 finished with a bang as the geopolitical risks that dominated headlines and markets for the better part of 2019 diminished during the fourth quarter while economic data remained stable. The S&P 500 index posted a +9.07% return during the quarter as a phase one trade agreement between the U.S. and China provided a boost for global markets and increased investor optimism. Furthermore, the MSCI EAFE index posted an +8.21% return during the quarter as global investors cheered the trade agreement while hoping the easing trade tensions will provide relief to the soft global economy. Despite a 25-basis point interest rate cut by the Federal Reserve (Fed), the improved investor sentiment hurt Treasuries, as the BofA Merrill Lynch US Treasury index returned -0.89% during the quarter.

    Topic Industry News

  • EPFR Fund Flows

    Quants Corner - Getting the right balance on commodities exposure

    By Vik Srimurthy 19 Feb 2020

    Quant Corner

    It is an article of investible faith that geopolitical and financials crisis, natural disasters and epidemics translate into greater demand for gold and other precious metals. The coronavirus outbreak centered in Wuhan, China certainly fits these criteria and has generated a predictable flight to gold in its various forms. Fund flow data has, over the years, proved useful in confirming surges in demand, measuring the relative strength of that demand and identifying the inflection points that signal a shift in sentiment towards gold (see chart below). But using this information leaves investors making largely qualitative decisions about the optimum exposure to this asset class.  

    Topic Industry News

  • IGM Credit, IGM FX and Rates

    China Insight: Credit Bonds Will Play Catch up on More Supportive Measures

    By Tim Cheung 18 Feb 2020

    China Insight

    The authorities, MOF, PBOC and CBIRC, hosted a joint conference on Feb 7 to provide an update on supportive policies in light of the coronavirus situation. We believe the conference delivered a loosening bias tone as a nimble response to the virus outbreak. Next move following the huge liquidity injection and provision of first batch of special relending funds to more than a dozen of banks is going to be an LPR cut on 20 Feb. We expect a 10bp cut in both 1-year and 5-year LPRs on 20 Feb (chart 1), similar to the magnitude of the latest OMO rate cut. A more sizable cut may mean the policymakers are opting for more aggressive monetary easing to cushion the economic shocks arising from the coronavirus outbreak.      

    Topic Industry News

  • PSN Enterprise - Separate Account Analytics Software, Zephyr...

    Ryan Nauman's Weekly Recap 02.18.20

    By Ryan Nauman 18 Feb 2020

    Ryan Nauman's Weekly Recap

    The week ahead is full of housing data, from home builders' confidence to existing home sales. The housing market has recently stabilized, in large part due to a strong labor market and low mortgage rates, however, for the sector to completely rebound, inventory needs to pick up, so the release of housing starts and building permits data should be widely watched. Walmart is the headline earnings release, while providing insight into the consumer after the soft retail sales number last week. Is the consumer still willing to shoulder the economy, or are they losing some momentum? Read more from Ryan Nauman's Weekly Recap and subscribe to have it delivered to your inbox each week!

    Topic Industry News

  • IGM Credit, IGM FX and Rates

    The Context 02.18.20

    18 Feb 2020

    The Context

    Inside this week’s edition of The Context, Financial Intelligence thought leaders discuss: The JPY Week - Bias is Bearish Has the impact of coronavirus now peaked? We say such talk is premature and an underlying bid Usd/Jpy will continue to slow into 110.00-plus. Euro FIG Snapshot: Virus Protection Fully Operational With the recovery in risk assets extending into a second week, more issuers emerging from blackout and the credit market's virus protection evidently up to date, the pace picked up in the non-covered primary FIG market last week. Equities Ignore, Hope … Euro Indicates Slowing EMU Economy It doesn’t take much to light a fire under equities, but it is going to take much more to push bond yields higher... Read more from The Context and subscribe to have it delivered to your inbox each week!

    Topic Industry News

  • EPFR Fund Flows

    Bond Funds see record setting inflows for the second time year-to-date

    By Cameron Brandt 14 Feb 2020

    Global Navigator

    Investors showed signs they are learning to live with the Wuhan coronavirus during the second week of February, steering fresh money to most of the fund groups tracked by EPFR. They committed a combined $36 billion to all Equity and Bond Funds -- with Bond Funds setting their second weekly inflow record since the start of the year -- and showed increased appetite for riskier asset classes such as junk bonds, emerging markets equity and debt and alternative assets. Diversified fund groups remained popular with investors going into the second half of February. Global Equity Funds recorded their biggest inflow since 1Q18, Global Bond Funds took in fresh money for the 49th time in the past 52 weeks and Global Emerging Markets Equity (GEM) Equity Funds extended their longest inflow streak since a 19-week run ended in mid-2Q18. Overall, the week ending Feb. 12 saw Bond Funds take in a net $23.6 billion, Equity Funds $12.5 billion, Money Market Funds $9.3 billion, Balanced Funds $638 million and Alternative Funds $277 million. Equity Funds with socially responsible (SRI) or environmental, social and governance (ESG) mandates attracted nearly a third of the headline number for all Equity Funds, and those with a focus in dividend paying stocks posted inflows for the fourth time in the past five weeks and 18th in the past 22.

    Topic Industry News

  • EPFR Fund Flows

    Quants Corner - Brexit and UK markets: Picking your moment with the right tools

    By Sayad Baronyan 11 Feb 2020

    Quant Corner

    More than two decades have passed since then Prime Minister Margaret Thatcher gave the speech that many view as the catalyst for the UK’s exit from the European Union earlier this year. Speaking in the Belgium city of Bruges, Thatcher spelled out her opposition to further European integration. "We have not successfully rolled back the frontiers of the state in Britain, only to see them re-imposed at a European level, with a European super-state exercising a new dominance from Brussels,” said Thatcher, who had previously supported Britain’s involvement in the European Union. Brexit became a reality on the 31st of January 2020, after three and a half years marked by two general elections, two prime ministers, endless discussions about hard versus soft exits from the EU and the testing of British constitutional norms. How did this noisy saga play out when viewed through the lens of mutual fund flows? And does the fund flow perspective shed light on the investment case – and climate -- for the UK in the years ahead?  

    Topic Industry News

  • IGM Credit, IGM FX and Rates

    China Insight: How Does The Coronavirus Outbreak Impact Yield Curves?

    By Tim Cheung 11 Feb 2020

    China Insight

    With the coronavirus outbreak still evolving, the market signal is clear: less growth and more accommodative policy in China. Further to our forecast given in the previous issue of China Insight that "China will only achieve 4.8-5.3% GDP growth in 2020" because of the disaster, we in the current issue present our view on how the yield curves in China are being impacted. The broadening of the coronavirus outbreak in China, the lockdown of Hubei province and the extension of LNY holiday have already given a hard hit to the manufacturing sector. Due to that, we inevitably will see a fall in PMI indices in Feb and March. At worst, PMI will continue to be under downward pressure over the rest of H1. In our view, some downturn of the manufacturing sector as a result of the disaster is already priced in 5yr IRS, but a drop by 2 to 3 points in PMI from here should still be able to drive IRS much lower to sub-2016 lows. Given the strong correlation between the NBS Manufacturing PMI and 5yr CNY IRS in the past (chart 1), 5yr IRS at 2.55-2.60% appears to have priced a fall in Feb PMI to around 49.0 from January's 50.0. A further decline in PMI to the 48.0 region in March or during the March-April period, in our view, will bring 5yr IRS down further to 2.35-2.45%.      

    Topic Industry News

  • IGM Credit, IGM FX and Rates

    The Context 02.10.20

    10 Feb 2020

    The Context

    Inside this week’s edition of The Context, Financial Intelligence thought leaders discuss: Euro Corp Snapshot: LVMH Monster Drives Biggest Volume Week Since September Corporate issuance surged in the latest week as borrowers emerged from earnings enforced blackouts to hit the market and make the most of what was a more upbeat broader market tone. Policy Paralysis in South Africa Leaves Economy And State Finances on The Brink The South African Rand has always served as an EM bellwether and its increased volatility over the past few weeks is no surprise, but there are also some fundamental drivers behind the currency's current EM-beating losses. Decent US Labour Market Report. Larger Spare Capacity? On the face of it, the January US Employment Report was more than decent. Headline payrolls smashed expectations (225k vs 165k forecast). Services payrolls were +174k from 147k last time. Average earnings also topped projections at 3.1% y/y. Still, yields didn't rise. If anything, they are a little lower. Read more from The Context and subscribe to have it delivered to your inbox each week!

    Topic Industry News

  • PSN Separately Managed Accounts (SMA) Data, PSN Enterprise -...

    Introducing, PSN Top Guns Model Portfolios

    By Ryan Nauman 10 Feb 2020

    Introducing, PSN Top Guns Model Portfolios

    We are excited to introduce Top Guns Model Portfolios to our quarterly Top Guns rankings and commentary. For those of you not familiar with Top Guns… Top Guns is a quarterly ranking of the best of the best Separately Managed Account (SMA) managers in the PSN SMA database, our proprietary SMA database. We rank the managers across various metrics such as return, risk, r-squared, and information ratio to determine the Top Gun award recipients as well as naming Manager of the Decade. These rankings help wealth managers who subscribe to the PSN SMA database more efficiently identify the top managers for consideration in their client portfolios. In turn, this also helps highlight our asset manager participants who are outperforming their relative benchmarks.

    Topic Industry News

  • PSN Enterprise - Separate Account Analytics Software, Zephyr...

    Ryan Nauman's Weekly Recap 02.10.20

    By Ryan Nauman 10 Feb 2020

    Ryan Nauman's Weekly Recap

    Despite the Q4 earnings season slowing down, there remains some big-name companies who are on deck to release earnings this week including: Cisco Systems, Applied Materials, and Nvidia. While it might be a quiet week for earnings, the week ahead is full of important economic data releases, including small-business optimism, inflation, and retail sales. Read more from Ryan Nauman's Weekly Recap and subscribe to have it delivered to your inbox each week!

    Topic Industry News

  • EPFR Fund Flows

    Global and US Equity Funds ride a warm updraft in early February

    By Cameron Brandt 07 Feb 2020

    Global Navigator

    A week that started with a coronavirus-induced whimper ended on Feb. 5 with US President Donald Trump’s impeachment trial ending in acquittal, the release of data showing US private payroll growth in January hit its highest level since mid-2Q15, the UK officially outside the European Union and Chinese authorities talking about viral cures and rolling back some tariffs on American goods. As a result, benchmark US equity indexes hit fresh record highs and flows into EPFR-tracked Developed Markets Equity Funds climbed to a 13-week high. The headline number for Developed Markets – and all – Equity Funds would have been even higher were it not for over $2 billion in UK Equity Fund redemptions that reflect the liquidation dividend payouts by Blackrock to investors in the LF Equity Income Fund, the Neil Woodford-managed fund that crashed last year due to asset liquidity mismatches. While equity markets have been getting the headlines, Bond Funds continued to pull in above average amounts of fresh money with net inflows since the start of the year moving past the $85 billion mark. “Looking at flows by fund group, the balance between the desire to preserve capital and yield hunger remain tilted towards the former,” noted EPFR research Director Cameron Brandt. “But we are seeing that balance shift towards yield as the latest round of central bank easing begins to bite.”

    Topic Industry News

  • IGM Credit, IGM FX and Rates

    The Context 02.03.20

    03 Feb 2020

    The Context

    Inside this week’s edition of The Context, Financial Intelligence thought leaders discuss: European Securitisation: Nationwide Maximises Size And Pricing in All-GBP Trade Two more UK RMBS priced on Thursday, including Nationwide Building Society bringing its biggest public GBP tranche since 2009, and the first pure-GBP deal since 2009 too. The choice of currency was based on relative value between USD and GBP in the RMBS as well as unsecured market. Interest Expectations Change & US Real Yield Sharply Lower Expectations for official interest rates via OIS markets have moved towards easier policy in the wake of the coronavirus and some unflattering data. For instance, the EUR 1Y1M OIS has fallen 10bp from its most recent peak… Euro SSA Snapshot: Another Trio of Sovereigns Jumps in as Yields Plummet SSA euro supply crept up slightly last week where we saw EUR12.85bn hit the tape. Doing the heavy lifting were France, Greece and Austria, whose first syndicated deals of 2020 accounted for 84% of the weekly SSA total, jumping in to make the most of plummeting yields and a broader flight-to-quality. Read more from The Context and subscribe to have it delivered to your inbox each week!

    Topic Industry News

  • PSN Enterprise - Separate Account Analytics Software, Zephyr...

    Ryan Nauman's Weekly Recap 02.03.20

    By Ryan Nauman 03 Feb 2020

    Ryan Nauman's Weekly Recap

    Based on how this week finished, most investors will be focusing on the coronavirus outbreak and its growth. However, the week ahead has some big earnings and economic data releases that are worth monitoring. The manufacturing PMI and ISM manufacturing indexes are top of the list, as the sector has stabilized recently and will be an important sign on the overall health of the economy. The end of the week includes the ever-important jobs report. As for earnings releases, Alphabet, Ford, Disney, and GrubHub are some of the names I will be watching closely. Read more from Ryan Nauman's Weekly Recap and subscribe to have it delivered to your inbox each week!

    Topic Industry News

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