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Definition of Modified pass-throughs
Agency pass-throughs that guarantee (1) timely interest payments and (2) principal
Agency pass-throughs that guarantee the timely payment of both interest and
Mortgage pass-through securities whose principal and interest payments are
Also called private-label pass-throughs, any mortgage pass-through security not
A time series regression to estimate the betas of securities portfolios.
A depreciation method created by the IRS under the Tax Reform Act of 1986. Companies must use it to depreciate all plant and equipment assets installed after December 31, 1986 (for tax purposes).
Depreciation method that allows higher tax deductions in early years and lower deductions later.
The ratio of Macaulay duration to (1 + y), where y = the bond yield. modified duration is
The Macaulay duration discounted by the per-period
the method of cost assignment that uses FIFO to compute a cost per
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.
Passive portfolio strategy
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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