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The Journal of Fixed Income

The Journal of Fixed Income

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Article

A Fixed-Income Market View of Mortgage REIT Valuations

Laurent Gauthier
The Journal of Fixed Income Spring 2014, 23 (4) 6-17; DOI: https://doi.org/10.3905/jfi.2014.23.4.006
Laurent Gauthier
is managing director at Amerigo Capital Analytics in Strasbourg, France. laurent.gauthier@ amerigo-capital.com
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Abstract

This article discusses the use of mortgage-backed securities and fixed-income derivatives analytics in order to model agency mortgage real estate investment trust (REIT) holdings in more detail than standard equity market practice. The author shows that book value projections derived from a full bottom-up modeling approach are quite accurate. He also computes such metrics as duration, convexity, and basis risk of mortgage REITs, and suggests hedging strategies. Finally the author explores performance attribution and how to fundamentally explain the large yields observed on these stocks.

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The Journal of Fixed Income: 23 (4)
The Journal of Fixed Income
Vol. 23, Issue 4
Spring 2014
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A Fixed-Income Market View of Mortgage REIT Valuations
Laurent Gauthier
The Journal of Fixed Income Mar 2014, 23 (4) 6-17; DOI: 10.3905/jfi.2014.23.4.006

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A Fixed-Income Market View of Mortgage REIT Valuations
Laurent Gauthier
The Journal of Fixed Income Mar 2014, 23 (4) 6-17; DOI: 10.3905/jfi.2014.23.4.006
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  • Article
    • Abstract
    • REPRESENTATION OF AN AGENCY MORTGAGE REIT’S ASSETS AND LIABILITIES
    • ACCURATE REPRESENTATION OF DERIVATIVES
    • BOOK VALUE PROJECTIONS
    • RISK MEASURES
    • PERFORMANCE ATTRIBUTION
    • CONCLUSION
    • REFERENCES
  • Info & Metrics
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