{"title":"机构抵押贷款支持证券指定池及其凸性概况入门","authors":"Glenn M. Schultz, F. Fabozzi","doi":"10.3905/jfi.2022.1.133","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"31 1","pages":"33 - 49"},"PeriodicalIF":0.0000,"publicationDate":"2022-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Primer on Agency Mortgage-Backed Securities Specified Pools and Their Convexity Profiles\",\"authors\":\"Glenn M. Schultz, F. Fabozzi\",\"doi\":\"10.3905/jfi.2022.1.133\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":53711,\"journal\":{\"name\":\"Journal of Fixed Income\",\"volume\":\"31 1\",\"pages\":\"33 - 49\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-02-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Fixed Income\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jfi.2022.1.133\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfi.2022.1.133","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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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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.
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