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Primer on Agency Mortgage-Backed Securities Specified Pools and Their Convexity Profiles

Glenn M. Schultz and Frank J. Fabozzi
The Journal of Fixed Income Spring 2022, jfi.2022.1.133; DOI: https://doi.org/10.3905/jfi.2022.1.133
Glenn M. Schultz
is the Director of Mortgage Prepayment Modeling of MUFG Securities in New York, NY
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Frank J. Fabozzi
is a professor of finance at EDHEC Business School in Nice, France
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Abstract

Specified pools are agency mortgage-backed securities whose loan pools have been found to exhibit different (i.e., superior to or inferior) 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: 31 (4)
The Journal of Fixed Income
Vol. 31, Issue 4
Spring 2022
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Primer on Agency Mortgage-Backed Securities Specified Pools and Their Convexity Profiles
Glenn M. Schultz, Frank J. Fabozzi
The Journal of Fixed Income Feb 2022, jfi.2022.1.133; DOI: 10.3905/jfi.2022.1.133

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Primer on Agency Mortgage-Backed Securities Specified Pools and Their Convexity Profiles
Glenn M. Schultz, Frank J. Fabozzi
The Journal of Fixed Income Feb 2022, jfi.2022.1.133; DOI: 10.3905/jfi.2022.1.133
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  • Article
    • Abstract
    • DEFINING SPECIFIED POOLS
    • SPECIFIED POOL SECTORS
    • CONVEXITY PROFILE OF SPECIFIED POOLS
    • LOAN BALANCE SECTOR
    • PREFIX SECTORS
    • GEOGRAPHIC SECTOR
    • REFINANCE, INVESTOR, AND FICO SECTORS
    • NEW AND SEASONED SECTORS
    • MONITORING SPECIFIED POOL PREPAYMENT DIFFERENTIALS
    • HOUSING TURNOVER
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCE
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

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