This document provides an introduction to various types of mortgage derivatives, including floaters, inverse floaters, inverse IOs, TTIBs, digital IOs, and toggle floaters. It discusses how these derivatives offer different exposures to interest rates, prepayment risk, and parts of the yield curve. Floaters have coupons that reset periodically based on an index like LIBOR, while inverse floaters have coupons that move inversely to the index. Inverse IOs are interest-only securities with coupons linked inversely to an index. TTIBs, digital IOs, and super floaters offer various payoff structures related to interest rate movements. Toggle floaters pay higher spreads than typical floaters but take on some
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finance
Original Title
An Introduction to Agency MBS Derivatives-[Bank of America]
This document provides an introduction to various types of mortgage derivatives, including floaters, inverse floaters, inverse IOs, TTIBs, digital IOs, and toggle floaters. It discusses how these derivatives offer different exposures to interest rates, prepayment risk, and parts of the yield curve. Floaters have coupons that reset periodically based on an index like LIBOR, while inverse floaters have coupons that move inversely to the index. Inverse IOs are interest-only securities with coupons linked inversely to an index. TTIBs, digital IOs, and super floaters offer various payoff structures related to interest rate movements. Toggle floaters pay higher spreads than typical floaters but take on some
This document provides an introduction to various types of mortgage derivatives, including floaters, inverse floaters, inverse IOs, TTIBs, digital IOs, and toggle floaters. It discusses how these derivatives offer different exposures to interest rates, prepayment risk, and parts of the yield curve. Floaters have coupons that reset periodically based on an index like LIBOR, while inverse floaters have coupons that move inversely to the index. Inverse IOs are interest-only securities with coupons linked inversely to an index. TTIBs, digital IOs, and super floaters offer various payoff structures related to interest rate movements. Toggle floaters pay higher spreads than typical floaters but take on some