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Abstract
In Investment Performance of Credit Risk Transfer Securities (CRTs): The Early Evidence, published in the Fall 2018 issue of The Journal of Fixed Income, Chao Gao and John McConnell, both of Purdue University, analyze the returns on the credit risk transfer (CRT) securities issued by Fannie Mae and Freddie Mac since 2013. They report that CRT securities have generally outperformed relevant benchmarks. However, they caution that the period examined was one of benign conditions, including low interest rates and steadily rising home prices.
TOPICS: CLOs, CDOs, and other structured credit, credit risk management, performance measurement
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