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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
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