Hi guys, Welcome to the Advanced Video Search Engine, and you are watching Lecture 2: Mortgage-Backed Securities (Pass-Throughs, Agencies, Prepayment, Repos and Dollar Rolls). That video is uploaded by Lauren James at 2020-09-20T22:59:56-07:00. We are promoting this video only for entertainment and educational purpose only. So, I hope you like & enjoy it. [g4K3uyMdVUo]
| Name | Lecture 2: Mortgage-Backed Securities (Pass-Throughs, Agencies, Prepayment, Repos and Dollar Rolls) |
| Video Uploader | Video From Lauren James |
| Upload Date | This Video Uploaded At 21-09-2020 05:59:56 |
| Video Discription | This is the second installment of the Sunday evening lecture series, with a rigorous introduction to MBS. With pass-through notes short convexity and strips and derivatives fit for any investor profile, MBSs are a fascinating product. This video explains why prepayment risk leads to short convexity around small shifts in the parallel yield curve, how CPR (using PSA) and SMM measures are quoted, differences between TBA and Spec agency pools, differences between GSEs (Fannie and Freddie) and Ginnie, characteristics of private vs agency MBS and how repo funding using MBS paper differs from dollar rolling. 0:30: What is securitization and why securitize mortgages? 2:40: Why invest in MBS? 6:12: Flow of funds and tranching 9:46: Fixed income review, duration 13:00: Fixed income review, convexity 15:00: Why are MBS short convexity? 17:38: How does prepayment risk occur? 20:40: How do you measure prepayment? CPR, PSA, SMM and burnout 23:37: Graphical representation of payments - P&I breakdown. 24:56: Effect of parallel shifts of interest rates: CPR, price, effective duration and effective convexity 28:01: Types of agency MBS: GSE (Freddie and Fannie) vs Ginnie 33:26: TBA vs Spec pools for Agency MBS 35:14: Buyers of agency MBS, pre-/post-crisis 36:41: Private-label RMBS 41:59: Repo with MBS (repo books, overnight, term and open) 46:41: Dollar rolls: cheaper version of repos with MBS to avoid taking delivery, and returned securities do not have to be the same as the original security! g4K3uyMdVUo |
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