Agency Mortgage-Backed Securities推荐.pdfVIP

CHAPTER TWENTY-THREE AGENCY MORTGAGE-BACKED SECURITIES ANDREW DAVIDSON President Andrew Davidson Co., Inc. ANNE CHING Senior Analyst Andrew Davidson Co. Agency mortgage-backed securities (MBS) are a unique asset class. They repre- sent a core fixed income sector and have surpassed the size of the corporate debt market, as shown in Exhibit 23–1. They have essentially no credit risk and are preferred investments from the standpoint of capital requirements and other reg- ulations. Yet, at the same time, they pose tremendous risk to investors owing to the uncertainty of prepayments on the underlying mortgages. The purpose of this chapter is to provide an overview of the distinguishing characteristics of agency MBS, securities issued by government-sponsored enterprises (GSEs), and to pro- vide an analytical framework for evaluating the risk and relative value of these complex securities. MORTGAGE LOANS Mortgage loans are the building blocks of MBS. In order to develop an under- standing of how MBS work, one first must become familiar with the structure and characteristics of mortgages. A mortgage is a loan that is secured by real proper- ty. A borrower or mortgagor is under legal obligation to repay the loan or risk for- feiture of the property backing the loan. A mortgage loan consists of two parts: