Report
Mortgage security hedging and the yield curve
Mosser, Patricia C.; Keane, Frank M.; Fernald, Julia D. (1994)
Research Paper , Paper 9411

Journal Article
The pricing and hedging of index amortizing rate swaps
Fernald, Julia D. (1993-01)
Index amortizing rate (IAR) swaps have proved difficult to price because of the complexity of their embedded options. Since these options depend on the path of interest rates, pricing requires a model of interest rate movements. This article uses a simple interest rate model to illustrate the pricing and hedging of an IAR swap.
Quarterly Review , Volume 18 , Issue Win , Pages 71-74

Report
The market for collateralized mortgage obligations (CMOs)
Mair, Martin; Keane, Frank M.; Fernald, Julia D. (1994)
Research Paper , Paper 9413

Journal Article
Mortgage security hedging and the yield curve
Mosser, Patricia C.; Keane, Frank M.; Fernald, Julia D. (1994-07)
The authors find that the use of Treasury securities to hedge mortgage-backed security extension risk may have magnified increases in long-term interest rates after the tightening of monetary policy in early 1994. Substantial increases in the duration of mortgage securities appear to have caused realignments of hedges and portfolios that, in turn, had a significant impact on the short-run movements of the Treasury market, particularly for ten-year securities. This phenomenon may have altered the short-run dynamics of the yield curve and thus changed the transmission of monetary policy.
Quarterly Review , Volume 19 , Issue Sum , Pages 92-100