Capturing the interest rate risk in MBS investments
Document ID: 2010-1843
Published on: 14th July 2010
Author: Nick Jessop
Mortgage-Backed Securities (MBS) issued by Freddie Mac, Fannie Mae and Ginnie Mae are common holdings in US insurers’ fixed income portfolios. Over the past few years the annual issues of MBS securities by these three agencies has averaged close to a trillion dollars per year. During the credit boom annual issue of MBS directly by commercial banks became increasingly common, often as complex ‘structured’ Collateralised Mortgage Obligations (CMOs). While commercial CMO annual issues have effectively ground to a halt following the credit crisis, great efforts have been made to keep the agencies operating and providing liquidity within the US mortgage market.
