30y vs 15y MBS RV
Agency MBSMulti
30y vs 15y MBS spread trade
Source: encyclopedia
Agency CMBS Fannie DUS
CMBSIncome
Fannie Mae DUS multifamily
Source: encyclopedia
Aircraft-lease ABS
Other ABSIncome
Aircraft-lease ABS
Source: encyclopedia
Alt-A RMBS
Non-Agency RMBSMulti
Alt-A near-prime RMBS
Source: encyclopedia
Auto loan ABS prime/subprime
Other ABSIncome
Auto-loan ABS pools
Source: encyclopedia
BSL broadly syndicated CLO
CLOIncome
BSL CLO of leveraged-loan pool
Source: encyclopedia
Balloon maturity refi risk
CMBSMulti
CMBS typically balloons - refi risk at maturity
Source: CFA
Banks largest MBS holders
Agency MBSMulti
Banks + Fed = largest MBS holders
Source: encyclopedia
Big Short Burry CDO 2007
Non-Agency RMBSShort
Burry / Eisman / Lippmann short subprime CDOs
Source: encyclopedia
Burnout prepayment fatigue
PrepayMulti
Burnout - already-refi'd borrowers won't again
Source: encyclopedia
CAS Connecticut Avenue Securities
CRTMulti
Fannie Mae CAS credit-risk transfer
Source: Intex
CLO AA A tranches
CLOIncome
AA-A tranches typically held by IG buyers
Source: encyclopedia
CLO AAA tranche income
CLOIncome
CLO AAA - 90%+ structure - bank holders
Source: encyclopedia
CLO BBB BB
CLOMulti
Mezz CLO tranches
Source: encyclopedia
CLO equity 8-15% expected
CLOLong
CLO equity tranche equity-like returns
Source: encyclopedia
CLO manager skill alpha
CLOLong
Top CLO managers add alpha
Source: encyclopedia
CLO refinance
CLOMulti
CLO refi to reduce financing cost
Source: encyclopedia
CLO reset reprice optional
CLOMulti
Reset/reprice equity option in CLOs
Source: encyclopedia
CPR conditional prepayment rate
PrepayMulti
CPR = annualized prepay speed
Source: encyclopedia
CRT high-yield first-loss
CRTLong
Below-IG first-loss CRT - 8-12% yields
Source: encyclopedia
CRT investment grade tranches
CRTIncome
IG tranches of CRT
Source: encyclopedia
Cell-tower lease ABS
Other ABSIncome
Cell-tower-lease ABS
Source: encyclopedia
Companion / Support tranche
CMO TranchesMulti
Support tranches absorb prepay variance
Source: encyclopedia
Conduit CMBS pooled
CMBSIncome
Conduit CMBS - pooled multi-borrower
Source: encyclopedia
Container-lease ABS
Other ABSIncome
Shipping-container lease ABS
Source: encyclopedia
Credit-card ABS
Other ABSIncome
Credit-card receivable ABS
Source: encyclopedia
Data-center lease ABS
Other ABSIncome
Data-center lease ABS (new growing)
Source: encyclopedia
Defeasance Treasury substitution
CMBSMulti
Defeasance: replace loan with Treasury cashflow
Source: CFA
Dollar roll trade
Agency MBSMulti
Dollar roll: sell front buy back month
Source: encyclopedia
Empirical-duration hedge
Agency MBSMulti
Hedge with Treasury duration adjusted empirically
Source: encyclopedia
Equipment-lease ABS
Other ABSIncome
Equipment-lease ABS
Source: encyclopedia
Equity / first-loss tranche
CMO TranchesLong
First-loss equity highest yield highest risk
Source: FasterCapital
FICO score prepay
PrepayMulti
Higher FICO = more refi-sensitive
Source: encyclopedia
FN30 4.0 vs 5.0 coupon stack
Agency MBSMulti
Coupon stack RV across coupons
Source: encyclopedia
Fannie Mae UMBS pass-through
Agency MBSIncome
Fannie 30y UMBS pass-through
Source: encyclopedia
Fed QE MBS purchase impact
Agency MBSMulti
Fed QE compresses MBS spreads
Source: encyclopedia
Floater tranche
CMO TranchesMulti
Floater tranche tied to SOFR
Source: encyclopedia
Freddie K-Series multifamily
CMBSIncome
Freddie Mac K-Series multifamily
Source: encyclopedia
Freddie Mac UMBS
Agency MBSIncome
Freddie 30y UMBS pass-through
Source: encyclopedia
Geo prepay variation
PrepayMulti
State-level prepay variation
Source: encyclopedia
Ginnie Mae GNMA pass-through
Agency MBSIncome
Ginnie GNMA II pools (FHA/VA backed)
Source: encyclopedia
Hotel CMBS recovery
CMBSMulti
Hotel CMBS recovered post-COVID
Source: encyclopedia
IO interest-only strip
CMO TranchesMulti
IO strip - prepay levered short
Source: Voya
Industrial logistics CMBS strength
CMBSLong
Industrial / logistics CMBS strong
Source: encyclopedia
Intex CLO model platform
CLOMulti
Intex CLO cashflow models
Source: Intex
Inverse floater tranche
CMO TranchesMulti
Inverse floater - floats vs index inversely
Source: encyclopedia
JANUS Henderson CLO ETF
CLOLong
JAAA ETF accessible CLO AAA
Source: encyclopedia
Janus JAAA growth 2024-26
CLOLong
JAAA AUM growth as RBA bond alternative
Source: encyclopedia
Jumbo prime RMBS
Non-Agency RMBSIncome
Jumbo prime RMBS
Source: encyclopedia
Loan-size prepay sensitivity
PrepayMulti
Larger loans more refi-sensitive
Source: encyclopedia
Lockout prepay protection
CMBSMulti
1-5y prepay-lockout typical
Source: Wikipedia
MBS spread historical 2022 widening
Agency MBSMulti
MBS spread blew wide 2022 (Fed runoff + supply)
Source: encyclopedia
Magnetar synthetic CDO
Non-Agency RMBSMulti
Magnetar Capital synthetic CDO Trade
Source: encyclopedia
Mezzanine BBB BB
CMO TranchesIncome
Mezz BBB BB tranches
Source: encyclopedia
Middle-market CLO
CLOIncome
Middle-market private-credit CLO
Source: encyclopedia
Mortgage spread trade vs UST
Agency MBSMulti
MBS-UST spread trade (basis)
Source: encyclopedia
Multifamily CMBS
CMBSIncome
Multifamily strong post-COVID
Source: encyclopedia
Music royalty ABS
Other ABSIncome
Music-catalog royalty ABS (Bowie bonds)
Source: encyclopedia
Negative-convexity hedge
Agency MBSShort gamma
MBS negatively convex - hedge with options
Source: encyclopedia
Non-QM RMBS post-Dodd-Frank
Non-Agency RMBSIncome
Non-QM (DSCR / bank-statement) RMBS
Source: encyclopedia
OAS option-adjusted spread
PrepayMulti
OAS strips out prepay-option value
Source: encyclopedia
Office CMBS distressed 2024
CMBSShort
Office sector under stress 2024-25
Source: encyclopedia
Owl Rock / Blue Owl CLO
CLOMulti
Blue Owl direct lending + CLOs
Source: encyclopedia
PAC Planned Amortization Class
CMO TranchesIncome
PAC: stable prepay band protected
Source: encyclopedia
PO principal-only strip
CMO TranchesLong
PO strip - levered long prepay
Source: encyclopedia
PSA prepay benchmark
PrepayMulti
PSA prepay benchmark 100% = ramp to 6 CPR
Source: encyclopedia
Palmer Square CLO ETFs
CLOLong
Palmer Square CLO ETFs
Source: encyclopedia
Pharma royalty ABS
Other ABSIncome
Pharma royalty securitization
Source: encyclopedia
Prepay model PSA Yield Book
PrepayMulti
Yield Book Bloomberg POLY models
Source: encyclopedia
Prepayment penalty points
CMBSMulti
Decreasing point penalties (e.g. 5-4-3-2-1)
Source: CFA
REMIC tax structure
CMBSMulti
REMIC pass-through tax structure
Source: Wikipedia
Refinance incentive trigger
PrepayMulti
Rate -50bps below = refi incentive
Source: encyclopedia
Reinsurance CRT
CRTMulti
Reinsurance form of CRT
Source: encyclopedia
Renewable energy ABS
Other ABSIncome
Renewable-PPA ABS
Source: encyclopedia
Retail CMBS post-COVID
CMBSMulti
Retail CMBS - mall sector secular decline
Source: encyclopedia
Reverse mortgage HMBS
Non-Agency RMBSIncome
Reverse-mortgage HMBS pools
Source: encyclopedia
S-curve prepayment
PrepayMulti
Prepay S-curve vs rate incentive
Source: encyclopedia
SBA loan ABS
Other ABSIncome
SBA-loan ABS
Source: encyclopedia
SMM single monthly mortality
PrepayMulti
SMM monthly prepay rate
Source: encyclopedia
STACR Structured Agency Credit Risk
CRTMulti
Freddie STACR credit-risk transfer
Source: Intex
Seasonal prepay summer turnover
PrepayMulti
Summer housing-turnover prepay seasonality
Source: encyclopedia
Sequential pay tranche
CMO TranchesIncome
Sequential pay - senior gets prin first
Source: encyclopedia
Single-asset SASB CMBS
CMBSIncome
SASB single-asset single-borrower
Source: encyclopedia
Single-family rental SFR
Non-Agency RMBSIncome
Invitation Homes Tricon SFR securitizations
Source: encyclopedia
Solar-loan ABS
Other ABSIncome
Solar / Sunrun loan ABS
Source: encyclopedia
Specials in dollar roll
Agency MBSMulti
Coupon trades special in roll = financing edge
Source: encyclopedia
Specified pool premium pay-up
Agency MBSLong
Specified-pool pay-ups (loan size geo etc)
Source: encyclopedia
Student loan ABS SLABS
Other ABSMulti
Student-loan ABS
Source: encyclopedia
Subprime RMBS pre-2008
Non-Agency RMBSMulti
Subprime RMBS led to GFC 2008
Source: encyclopedia
Super-senior AAA
CMO TranchesIncome
Super-senior AAA highest priority
Source: encyclopedia
TAC Targeted Amortization Class
CMO TranchesIncome
TAC: stable on contraction not extension
Source: encyclopedia
TBA forward MBS market
Agency MBSMulti
To-Be-Announced forward MBS market
Source: encyclopedia
Tobacco settlement bonds
Other ABSIncome
Tobacco settlement-payment bonds
Source: encyclopedia
UMBS unification 2019
Agency MBSMulti
Fannie/Freddie UMBS unification 2019
Source: encyclopedia
VanEck CLO ETF CLOI
CLOLong
VanEck CLO ETF
Source: encyclopedia
WAL weighted average life
PrepayMulti
WAL = principal-weighted avg time
Source: CFA
Whole-business securitization
Other ABSIncome
Whole-business (Domino's franchise etc)
Source: encyclopedia
Yield maintenance penalty
CMBSMulti
Yield-maintenance prepay penalty
Source: CFA
Z-bond accrual tranche
CMO TranchesLong
Z-bond accrues until others paid
Source: encyclopedia
Z-spread comparison
PrepayMulti
Z-spread without prepay adjustment
Source: encyclopedia
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.