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Definition of Conventional pass-throughs
Also called private-label pass-throughs, any mortgage pass-through security not
Mortgage pass-through securities whose principal and interest payments are
A loan based on the credit of the borrower and on the collateral for the mortgage.
A project with a negative initial cash flow (cash outflow), which is expected to be
A time series regression to estimate the betas of securities portfolios.
Agency pass-throughs that guarantee the timely payment of both interest and
Agency pass-throughs that guarantee (1) timely interest payments and (2) principal
Also called a passthrough, a security created when one or more mortgage
The interest rate paid on a securitized pool of assets, which is less than the rate
The net interest rate passed through to investors after deducting servicing, management,
A pool of fixed-income securities backed by a package of assets (i.e. mortgages)
Buying a well-diversified portfolio to represent a broad-based market
See: passive management.
A market index portfolio.
A strategy that involves minimal expectational input, and instead relies on
Related: conventional pass-throughs.
Second pass regression
A cross-sectional regression of portfolio returns on betas. The estimated slope is the
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