KIC000077 - General Strategies Cant. ~ Mortgage backed...

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General Strategies Cant. ~ Mortgage backed strategies Default rates on mortgages Mortgage rate bets Prepayment positions 5 Capital Structure strategies Loans "5 Bonds of same company -. F-t. .tJ.:N'-e,y; Classes of bonds for same company.J. ~ 1 Debtvs Equity of same company 1h"'~ MOd-U b Option Strategies Treasury swaps, options and futures Corporate CDS, CDX, and ABX What Kind of Information? Depending on the strategy, certain information is more important. For Treasury related strategies, macro data is the most important. FED takes action based on data and data can be forecasted. Default forecasting models rely On default data and other fundamental information. Security selection requires sector, balance sheet, and forecasting of performance in the future (inside info helps II Prepayment trade would require data to build forecasting model (depends on macro too). Can you Invest in Bond Strategies? Implementing
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This note was uploaded on 09/06/2011 for the course FIN 428 taught by Professor Hood during the Fall '11 term at Iowa State.

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KIC000077 - General Strategies Cant. ~ Mortgage backed...

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