Conventional pass-throughs

Conventional pass-throughs

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Because the quantitative criteria do not sufficiently distinguish between high-risk derivatives and "plain vanilla" pass-throughs, MBA believes the average life and average life sensitivity criteria for defining high risk should be amended using GNMA and conventional pass-throughs as benchmarks as follows: (1) a derivative product with an average life of more than 12 years; and (2) a weighted-average life that extends or shortens by more than six years assuming a gradual but parallel shift in the yield curve of plus or minus 300 basis points.

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