Recent content by jdc

That's a good summary of the feedback effect taking place in MBS hedging. I think 3.69% was the high tick for bonds, though, looks like we are aiming for 4.60% real soon now, so that hasn't come to pass. The outstanding MBS universe has largely been 'recouponned' (i.e. most stuff has been...

It's pretty hard to predict expressions of systemic risk factors, but yeah, I tend to agree... largely because I believe the "too big to fail" argument. (That is, our financial system cannot survive the failure of the MBS asset class and as such it will be bailed out by any means necessary.)

Unfortunately I don't know a lot about financial history as I just started learning about finance two years ago, and in a very practical way. Rates have been this low before, but what is new is the massive amount of structured, securitized debt out there. Because the amount of MBS paper...

A mortgage-backed security (MBS) has cashflows linked to the payment characteristics of the mortgage pool underlying them. They possess at least two kinds of risk: 1. Principal repayment risk - the par value of the bonds is a claim versus a trust that is backed by some entity, be it MBIA or...