Abstract
Mortgage-backed securities (MBSs), or pass-through securities, are instruments backed by ‘pools’ of mortgages, which pay a periodic (generally monthly) coupon of interest and principal. In essence, MBSs represent the securitised and tradeable form of residential and commercial mortgages. The most commonly traded MBSs are based on mortgages packaged by loan originators and guaranteed by one of three US Government agencies: the Government National Mortgage Association (GNMA or Ginnie Mae), the Federal National Mortgage Association (FNMA or Fannie Mae) and the Federal Home Loan Mortgage Corporation (FHLMC or Freddie Mac).KeywordsCredit RiskMarket RiskStrike PricePrivate LabelFederal Housing AdministrationThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
Published Version
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