TAILIEUCHUNG - Mortgage-backed securities (mbs) and collateralized mortgage obligations (cmos)

On the theory side, research has proceeded along two distinct fronts. First, one needs to explain what prevents rational arbitrageurs from eliminating these and other predictable patterns in returns. Work in this “limits to arbitrage” vein has focused on the risks and market frictions that arbitrageurs face. These include simple transactional impediments, like short-selling constraints, as well as a variety of other complications. Potential arbitrageurs face the risk that when they bet against a given mispricing, this mispricing may subsequently worsen, with the ultimate correction coming only much later (DeLong et al., 1990; Shleifer and. | investor s guide MORTGAGE-BACKED SECURITIES MBS And collateralized MORTGAGE OBLIGATIONS CMOS CONTENTS Securitization An Overview 1 Mortgage Securities An Overview 2 The Building Blocks of Mortgage-Backed Securities 4 A Different Sort of Bond Prepayment Rates and Average Lives 5 Agency vs. Private Label 7 Interest Rates and Yields on Mortgage Securities 9 Mortgage Security Typ es 11 Types of CMOs 1 4 Tax Considerations 19 Minimum Investments Transaction Costs and Liquidity 21 Important Considerations for Investing in Mortgage Securities 22 Comparison of Pass-Through Mortgage Securities Characteristics 23 Comparison of CMO REMIC Mortgage Securities Characteristics 24 Glossary 25 All information and opinions contained in this publication were produced by the Securities Industry and Financial Markets Association SIFMA from our membership and other sources believed by SIFMA to be accurate and reliable. By providing this general information SIFMA is neither recommending investing in securities nor providing investment advice for any investor. Due to rapidly changing market conditions and the complexity of investment decisions please consult your investment advisor regarding investment decisions. SECURITIZATION AN OVERVIEW Securitization is the process of creating securities by pooling together various cash-flow producing financial assets. These securities are then sold to investors. Securitization in its most basic form is a method of financing assets. Any asset may be securitized as long as it is cashflow producing. The terms asset-backed security ABS and mortgage-backed security MBS are reflective of the underlying assets in the security. Securitization provides funding and liquidity for a wide range of consumer and business credit needs. These include securitizations of residential and commercial mortgages automobile loans student loans credit card financing equipment loans and leases business trade receivables and the issuance of asset-backed commercial paper among .

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