Questions tagged [mbs]
Mortgage-backed securities.
70 questions
1 vote
1 answer
291 views
Resources for MBS Derivative hedging?
I was wondering if anyone could suggest resources that delve into how MBS deriv books are managed. I've read fabozzi but he only touches very briefly on OAS modeling which seems key to MBS derivative ...
- 23
4 votes
1 answer
2k views
Why would anyone want to own a mortgage?
A fixed rate mortgage has negative convexity. If interest rates fall, the borrower will prepay the mortgage and refinance at the lower rate. If interest rates rise, the borrower will keep the loan ...
- 6,897
0 votes
1 answer
113 views
Non agency (R/C)MBS & ABS pricing available tools & instructions
What tools and instructions can I use to model non agency MBS/ABS products, I would like to be able to price those securities, and compare my result against data vendors (markit, Reuters, etc). ...
- 109
0 votes
0 answers
162 views
Does adverse selection affect roll seller more than buyer?
This paper that analyzes the determinants of dollar roll specialness seems to make the underlying assumption that adverse selection related to CTD pools affects the roll-seller more than the roll ...
- 865
1 vote
1 answer
111 views
What's the rate of return on a mortgage?
I'm trying to understand mortgages from first principles, from the perspective of a borrower. Let $S_t$ be the price of the asset bought with the loan at time $t$ (i.e. house). Let $\alpha$ be the ...
- 525
1 vote
2 answers
2k views
TBA - what is and isn't a TBA? (help please)
this is probably a naming issue - but i am totally confused as the documentation is never clear. I understand well what a generic TBA is, what is a "STIP"? is it also a form of TBA? One doc ...
- 51
1 vote
1 answer
581 views
Does TBA become MBS after pool is announced?
Is TBA still called TBA after the pool is announced? Can it be said that TBAs are still traded after the announcement or are all those trades effectively in MBS? I am looking to understand market for ...
- 65
2 votes
2 answers
235 views
Should one use the 30y bond alongside shorter tenors to hedge a MBS book?
Say I build a US treasury curve or swap by bootstrapping 2/3/5/7/10/20/30y on the run bonds. Say I have a prepayment model and an OAS model and I can generate key rate dv01s for the book as dBookNPV / ...
2 votes
2 answers
339 views
MBS benchmarking
I am trying to find some resources online on how to perform mbs benchmarking, but I was unable to find anything. Could someone explain how to perform mbs benchmarking and provide some resources?
- 105
1 vote
1 answer
716 views
Economics of buying a dollar roll
This is a basic question. But I wanted to understand how a TBA short (buying the dollar roll) is economically short an MBS? For example, if an investor believes a specific coupon is rich, they could ...
- 865
1 vote
1 answer
131 views
What is "Call a Deal" in structured finance space?
There are couple triggers in a structured finance deal . like when pool balance fall blow to a certian ration ( or bond balance fall below to a certain ratio agaist original issuance balance. But what ...
- 141
1 vote
1 answer
668 views
Comparing TBA and Spec OAS
For a specific coupon, if TBA TOAS is greater than a Specs TOAS, does that imply that the Specs are trading too rich to TBAs (given liquidity risk, payup risk, etc)? I realize relative value ...
- 865
1 vote
1 answer
135 views
MBS Index replication month-end flows
Several investors track indices to gain exposure to specific asset classes. And these indices may be re-balanced on a monthly basis, based on market-cap etc which generates month-end flows from ...
1 vote
1 answer
200 views
Why did Ginnie Mae MBS Net issuance decrease significantly in 2020-2021?
Net Issuance of Agency MBS can be thought of as driven by Existing Home Sales, New Home Sales, Cash out Refis, Amortization and Non-Agency MBS runoff. Based on this definition of net issuance, is ...
1 vote
1 answer
922 views
MBS Dollar roll mechanics
Had a few questions on MBS Dollar rolls: How are dollar rolls affected by Interest rate Volatility? Does the OAS of underlying pools matter to dollar rolls, and if so, how do they affect it? Does the ...
- 865