Mortgage Pass-Through Bonds

Mortgage Pass-Through Bonds

• 1990 – SOA – Cash-Flow Projection Methods and Assumptions, rsa90v16n4a20 – Society of Actuaries – 28p
  • (p6) – MORTGAGE PASS-THROUGH BONDS FLOW OF FUND

• 2020 Q1 – FHLBC – Balance Sheet Leverage Strategies Using Agency MBS – [link]

• 1989 – FRB-KC – The Prepayment Risk of Mortgage-backed Securities, By Sean Becketti – 15p

  • Since their creation in 1970, mortgage pass-through securities have played an increasing role in the portfolios of depository institutions.

    • By 1988, savings and loan associations held 16 percent of their assets in mortgage-backed securities (MBSs).

    • Commercial banks also have been increasing their share of the MBS market in recent years; they currently hold 3 percent of their assets in MBSs.

    • Moreover, the participation of commercial banks in this market is likely to increase since mortgage pass-throughs receive favorable treatment under risk-based capital guidelines recently approved by federal regulators.