white paper

The Fast Path to the Best MBS

Nicholas Gunther

Chief Solutions Officer

In the current high-rate environment, higher speeds and bigger discounts generally mean higher returns. But speed and discount aren’t everything; an investor must also consider, for example, option-adjusted spread (OAS) and option-adjusted convexity (OAC). Unfortunately, rarely – if ever – does a pool or cohort offer simultaneously the biggest discount, fastest speed, highest OAS, and least negative convexity.

How should an investor manage the tradeoffs between these measures of value (metrics) that the market determines? The answer depends on many factors, including the investor’s (1) expectations for the future, (2) existing portfolio and (3) investment policy. One size does not fit all.

This white paper describes two simple, quick, comprehensive and (largely) automated methods using Infima’s tools that together will help you find the right balance of MBS metrics for all your particular views and requirements.

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