Daily Archives: 13 February 2013

The Education of a Mortgage Bond Manager, Part IX

The Negative Convexity Project Me: We can’t buy the majority of Residential Mortgage Backed Securities [RMBS] anymore. Boss: What! That is a staple asset class of ours.  There’s nothing illegal about life companies owning RMBS. Me: nothing illegal, yes, but because of new cash flow testing rules which our client is subject to, the negative […]