Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Fixed Income
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Fixed Income

The Journal of Fixed Income

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

Jumbo Hybrid ARM Securities

A Comprehensive Introduction

Sharad Chaudhary and Laurent Gauthier
The Journal of Fixed Income Spring 2002, 11 (4) 64-77; DOI: https://doi.org/10.3905/jfi.2002.319312
Sharad Chaudhary
A managing director, Banc of America Securities, in Charlotte, NC.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: sharad.chaudhary@bankofamerica.com
Laurent Gauthier
A director, mortgage strategy team at UBS Warburg in New York.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: laurent.gauthier@ubsw.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

Non-agency securities collateralized by jumbo hybrid adjustable-rate mortgages (ARMs) are continuing to develop in the private-label sector. Securitization volumes from certain issuers rival or exceed their fixed-rate production. It is only a matter of time before other significant hybrid ARM lenders start securitizing their hybrid ARM production, thus increasing liquidity in the sector. Pricing in the sector should become consistent as production gradually shifts from constant-maturity Treasury-based hybrid ARMs to hybrid ARM products indexed to LIBOR. This report addresses the typical questions about prepayment characteristics of these bonds, their relative value, and the expected credit performance of the underlying loans, with particular emphasis on 5/1 hybrids, which constitute the most heavily originated and securitized hybrid ARM loans.

  • © 2002 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Fixed Income
Vol. 11, Issue 4
Spring 2002
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Fixed Income.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Jumbo Hybrid ARM Securities
(Your Name) has sent you a message from The Journal of Fixed Income
(Your Name) thought you would like to see the The Journal of Fixed Income web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Jumbo Hybrid ARM Securities
Sharad Chaudhary, Laurent Gauthier
The Journal of Fixed Income Mar 2002, 11 (4) 64-77; DOI: 10.3905/jfi.2002.319312

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Jumbo Hybrid ARM Securities
Sharad Chaudhary, Laurent Gauthier
The Journal of Fixed Income Mar 2002, 11 (4) 64-77; DOI: 10.3905/jfi.2002.319312
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • The Efficiency Gains of Long-Short Credit Strategies
  • Cyclical Considerations in Valuing Emerging Markets Debt
  • A Model for Convexity-Based Cross-Hedges with Treasury Futures
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log in
  • Update your Profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1059-8596 | E-ISSN: 2168-8648

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies