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  • Mortgage Security Hedging and the Yield Curve
    short-run dynamics of the yield curve. When interest rates rise, both the duration and the expected maturity of a mortgage-backed security (MBS) increase If .
    http://ftp.ny.frb.org/research/quarterly_review/1994v19/v19n2article5.pdf

 

  • Negative Convexity Definition | Investopedia
    When the shape of a bond's yield curve is concave. A bond's convexity is the rate of . of price with respect to yield.Most mortgage bonds are negatively convex.
    http://www.investopedia.com/terms/n/negative_convexity.asp

 

  • With a Flat Yield Curve, Which Mortgages Are Best? - Mortgage ...
    Developments in the MBS market, in turn, are immediately reflected in the primary . When the bond yield curve flattens, the mortgage yield curve facing .
    http://www.mtgprofessor.com/A%20-%20Selection%20Decisions/with_a_flat_yield_curve,_which_mortgages_are_best_buys.htm

 

  • Advanced Bond Investing
    Understanding Yield Curves: The Spread is the Key for Investors. A yield curve is . What are Commercial Mortgage-Backed Securities (CMBS)? A commercial .
    http://bonds.about.com/od/advancedbonds/Learn_More_About_Advanced_Conc.htm

 

Archive

Agency MBS Outlook for 2011
Jan 4, 2011 . be elevated rate volatility, which will keep the yield curve steep. A steep yield curve will benefit agency MBS as prepayments will remaining .
http://www.tcw.com/News_and_Commentary/Market_Commentary/Insights/~/media/Downloads/Commentary/Fixed%20Income%20Research/Fixed%20Income%20Commentary/MBS_ABS/010411_DFIrsch903.ashx

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  • Z-spread - Wikipedia, the free encyclopedia
    The Z-spread, ZSPRD, Zero-volatility spread or Yield curve spread on a simple mortgage-backed security (MBS) is the flat spread over the treasury yield curve .
    http://en.wikipedia.org/wiki/Z-spread

  • Large-Scale Asset Purchases by the Federal Reserve: Did They ...
    of duration is affected by changes in the shape of the Treasury yield curve, and by the level of interest rates through their effect on prepayment of MBS. 16 Note .
    http://www.newyorkfed.org/research/epr/11v17n1/1105gagn.pdf

  • Introduction to the yield curve | Finance | Khan Academy
    Introduction to the treasury yield curve. . so keen on investing in mortgage backed securities,; essentially loaning this money to all these people who are; buying .
    http://www.khanacademy.org/finance-economics/core-finance/v/introduction-to-the-yield-curve

  • Estimated Impact of the Fed's Mortgage-Backed Securities Purchase ...
    MBS yield to decline by a total of 113 basis points (recall that we are considering . the number of basis points ? that the discount curve needs to be adjusted .
    http://www.stanford.edu/~stroebel/MBS%20Purchase%20Program%20-%20Stroebel%20and%20Taylor.pdf

 

Friday
Sep142012

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Authormortgage backed securities yield curve | Date

Investing In Bonds
Treasury Yield Curve. Click For More US . General information regarding the mortgage-backed securities and asset-backed securities markets. See MBS/ABS .
http://www.investinginbonds.com/

Mortgage yield - Wikipedia, the free encyclopedia
In finance, mortgage yield is a measure of yield of mortgage backed bonds. . backed bond's yield and a conventional bond is called the yield curve spread.
http://en.wikipedia.org/wiki/Mortgage_yield

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Friday
Sep142012

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Authormortgage backed securities yield curve | Date

Federal Reserve puzzled by yield curve steepening | Reuters
May 31, 2009 . Do rising U.S. Treasury yields and a steepening yield curve suggest . The Fed purchases of agency MBS total $507.075 billion so far in 2009.
http://www.reuters.com/article/2009/05/31/us-usa-fed-yieldcurve-idUSTRE54U1NZ20090531

2/22/10--Yield Curve Shifts, Coupon Swaps, MBA Delinquency Report
Written by Bill Berliner. The Treasury market looked to be on a trajectory toward higher long rates and a steeper curve, but the trend was interrupted late .
http://fixedincomecolor.com/articles/mortgage-mbs/416-22210-yield-curve-shifts-coupon-swaps-mba-delinquency-report

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Tuesday
Apr242012

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Authormortgage backed securities yield curve | Date

Yield Curve Risk Factors: Domestic And Global Contexts
practice, of course, non-parallel shifts in the yield curve often occur, and represent a . curve. Fourth, key rate durations for mortgage-backed securities must be .
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.195.3752&rep=rep1&type=pdf

MBS MORNING: Explaining Yield Spreads and the Curve
MBS MORNING: Explaining Yield Spreads and the Curve. Nov 5 2009, 12:26PM. Lets do a quick recap of yield spreads... Debt issued by the US Government .
http://www.mortgagenewsdaily.com/mortgage_rates/blog/117469.aspx

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Sunday
Oct022011

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Authormortgage backed securities yield curve | Date

Scenario and Total Return Analysis
In a portfolio of MBS, where the exposures are quite long the key terms can be grouped. Recall, that the yield curve in the bootstrapping homework problem had .
http://www.math.umn.edu/~vina0007/MFM/201011/scenario.pdf

Yield curve - Wikipedia, the free encyclopedia
Yield curves are used by fixed income analysts, who analyze bonds and related . of long dated zero coupon bonds and the creation of long dated mortgages.
http://en.wikipedia.org/wiki/Yield_curve

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Wednesday
Sep142011

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Authormortgage backed securities yield curve | Date

In This Issue:
Nov 8, 2011 . short-term rates—that is, to twist the yield curve. . effects were seen immediately on MBS yields for . Mortgage-Backed Security Yields .
http://www.clevelandfed.org/research/trends/2011/1111/ET_nov11.pdf

Analysis of Yield Spreads on Commercial Mortgage-Backed
related to yield spreads on single-family mortgages and the associated MBS. Similarly, according to the expectations theory of the term structure, the yield curve .
http://www.reri.org/research/article_pdf/wp80.pdf

Bond Market Pricing Conventions - NASDAQ.com
Mortgage-Backed Securities (MBS): A bond collateralized by the cash flows of . This Treasury curve is known as the interpolated yield curve (or I-curve) by .
http://www.nasdaq.com/investing/bond-market-pricing-conventions.stm

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MBS Sensitivities /2011 GARP Practice Exams L2 E1 Q2 | Bionic Turtle
Which of the following statement about mortgage-backed securities (MBS) is correct? i) The price of a MBS is more sensitive to yield curve .
http://www.bionicturtle.com/forum/threads/mbs-sensitivities-2011-garp-practice-exams-l2-e1-q2.4486/