Citigroup Fixed Income Research: Guide to Mortgage-Backed Securities

作者：Lakhbir S. Hayre

资源类别：报告

资源格式: PDF 83 Pages 英 0.98 MB

目录:

I. Introduction 6

Why Mortgage Securities?................................................................................................................ 7

Outline of Paper ............................................................................................................................... 8

II. Agency Pass-Through Securities 9

Terminology ................................................................................................................................... 10

Types of Agency Pass-Through Collateral ........................................................................................ 13

Types of Pass-Through Trading........................................................................................................ 15

An Agency Pass-Through Trade ....................................................................................................... 17

Multifamily Pass-Through Programs................................................................................................. 20

III. Basics of Mortgage Security Analysis 22

Measuring Prepayments.................................................................................................................... 22

The Effect of Prepayments on MBS Cash Flows ............................................................................... 23

A Brief Primer on Prepayment Analysis and Modeling ..................................................................... 24

Yield, Average Life, and Nominal Spreads ....................................................................................... 28

IV. Option-Adjusted Analysis of Mortgage Securities 30

The Z-Spread .................................................................................................................................. 30

Option-Adjusted Spread ................................................................................................................... 31

Interest Rate Volatility and Calculation of OAS................................................................................ 32

Option Costs and Interpretation of OAS............................................................................................ 33

Effective Duration........................................................................................................................... 35

Convexity ....................................................................................................................................... 36

V. Mortgage Securities Lending 39

Repurchase Transactions .................................................................................................................. 39

Dollar Rolls..................................................................................................................................... 42

VI. Structured Mortgage Securities 45

Development of the CMO Market..................................................................................................... 45

A CMO Trade ................................................................................................................................. 47

CMO Bond Types ............................................................................................................................ 49

Stripped Mortgage-Backed Securities ............................................................................................... 52

VII. The Nonagency Market 55

Cash Flow Structure of Nonagency Mortgage Securities ................................................................... 55

Types of Nonconforming Residential Mortgages............................................................................... 56

Commercial Mortgage-Backed Securities ......................................................................................... 59

Appendix A. Resources for MBS and ABS Investors 61

Appendix B. Glossary of Common Terms 64

Appendix C. Standard Agency Definitions of CMO Bond Types 70

Appendix D. Settlement Dates 71

Appendix E. Mortgage Mathematics 73

Appendix F. Clearance and Settlement in the Back Office 77

Appendix G. Risk-Based Capital Standards