机构抵押贷款支持证券指定池及其凸性概况入门

Journal of Fixed Income Pub Date : 2022-02-28 DOI:10.3905/jfi.2022.1.133

Glenn M. Schultz, F. Fabozzi

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引用次数: 0

摘要

指定池是机构抵押贷款支持证券，其贷款池已被发现相对于待公布的通用池表现出不同的(即，优于或劣于)凸性。在本文中，作者描述了指定池市场的各个部门，指定池市场部门的凸性轮廓，以及指定池提前支付差异的监测。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Primer on Agency Mortgage-Backed Securities Specified Pools and Their Convexity Profiles

Specified pools are agency mortgage-backed securities whose loan pools have been found to exhibit different (i.e., superior or inferior to) convexity relative to generic to-be-announced pools. In this article, the authors describe the various sectors of the specified pool market, the convexity profile of the sectors of the specified pool market, and the monitoring of specified pool prepayment differentials.

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.