Guide to Mortgage- New York Backed Securities
Lakhbir S. Hayre
(212) 816-8327 lakhbir.s.hayre@
New York
Robert Young
(212) 816-8332 robert.a.young@
New York
See the Disclosure Appendix for the Analyst Certification and Other Disclosures.
UNITED STATES FIXED INCOME RESEARCH
Mortgage Securities
NOVEMBER 3, 2004
UNITED STATES
Guide to MortgageBacked Securities
This report can be accessed electronically via:
FI Direct
Yield Book
E-Mail Please contact your salesperson to receive fixed-income research electronically.
UNITED STATES FIXED INCOME RESEARCH
Mortgage Securities
See the Disclosure Appendix for the Analyst Certification and Other Disclosures.
NOVEMBER 3, 2004
UNITED STATES
Lakhbir S. Hayre
(212) 816-8327 lakhbir.s.hayre@
New York
Robert Young
(212) 816-8332 robert.a.young@
New York
Guide to MortgageBacked Securities
This report can be accessed electronically via:
FI Direct
Yield Book
E-Mail
Please contact your salesperson to receive fixedincome research electronically.
November 3, 2004
Contents
Guide to Mortgage-Backed Securities
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
80
4
Citigroup Global Markets
Guide to Mortgage-Backed Securities
November 3, 2004
Acknowledgments
This is the third edition of the Guide to Mortgage-Backed Securities, originally published in 1995. For this updated version, sections on MBS trade mechanics, mortgage securities lending, and a number of useful appendices have been added. We thank Ana DiStefano for her careful and patient preparation of this paper and Peg Pisani for her fine editing of all three editions. We also thank Darrell Wheeler, Ivan Gjaja, and Gaurav Bansal for their helpful comments. Last, but certainly not least, we thank Ben Hebert for his extensive help in updating this paper.
Citigroup Global Markets
5
................
................
In order to avoid copyright disputes, this page is only a partial summary.
To fulfill the demand for quickly locating and searching documents.
It is intelligent file search solution for home and business.
Related download
- for paying off your mortgage faster and reducing your
- chapter 15 mortgage mechanics interest only vs fully
- hula mae mortgage loan program dbedt hawaii
- modeling of mortgage prepayments and defaults
- calculating mortgage loans texas a m university
- guide to mortgage new york backed securities
- 1 mortgages » department of mathematics
- adjustable rate mortgage loan disclosure
- us mortgage industry white paper how digital mortgage
- qualified mortgages math securing your safe harbor
Related searches
- new york to legalize marijuana
- how to obtain new york nursing license
- where to live in new york city
- new york criminal records free to public
- new york mortgage lenders
- new york new york map
- scotsman guide top mortgage lenders
- new york state healthy new york
- first trip to new york city
- new york state tourism guide free
- new york to legalize pot
- new york tourism guide 2020