We provide an overview of data requirements necessary to monitor repurchase agreements (repos) and securities lending …

Remarks at the Securities Industry and Financial Markets Association and Pension Real Estate Association's Public …

contingent claims framework in which to estimate market values of these CAP securities. The interaction between the competing … options held by the buyer and issuer of these securities creates a game between the two parties, and our approach captures …) launched together with the CAP. On average, we estimate that, compared to a market transaction, the CAP securities carry a net …

Prepayment plays a critical role in the performance of mortgage-backed securities. For this reason, market participants …