Skip to Main Content
Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques, 2nd Edition
book

Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques, 2nd Edition

by Frank J. Fabozzi, Anand K. Bhattacharya, William S. Berliner
September 2011
Intermediate to advanced content levelIntermediate to advanced
352 pages
9h 45m
English
Wiley
Content preview from Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques, 2nd Edition

INDEX

AAA-rated senior bonds, 173

Accretion, 131

Accretion-directed (AD) bonds, 132

Accretion-directed (AD) cash flows, generation, 131e

Accretion-directed (AD) tranches, 130134

Accretion direction, 106

Accrual bond class, 133e

Adjustable rate agency pooling, 2930

Adjustable-rate mortgage (ARM), 89

base servicing, 2930

fixed rate loan, refinancing, 78

payments, 9

products, trading, 37

unpopularity, 88

Adverse selection, 96, 172

Agency ARM market, pooling practices, 2930

Agency ARM pools, 32

Agency-backed MBS, 245246

Agency CMOs

deal, creation, 2526

key rate durations, 273e

total returns, 270e–272e

Agency inverse floater, yield-to-index matrix, 261e

Agency MBS

analysis, 281

creation, 2730

Agency PAC, yield-to-price table, 252e

Agency PAC CMO

average lives/modified durations, 257e

yield-to-price table, 256e

Agency pass-through, cash flow allocation, 28e

Agency pooling, private-label deal execution (contrast), 173176

Agency pools, cash flow generation, 4445

Agency support CMO, yield-to-price table, 251e

Alternative-A loans (alt-A loans), 5, 78

securitization, 174

Amortizations

ARM loans, 1516

exclusion, 52

schemes, alternatives, 80

types, 910

Annualized total return, calculation, 227

Anti-TTIB, initial coupon rate, 160

Asset-backed securities (ABSs) deal

residual, 196

structural components, 201202

structuring, focus, 207208

Asset-backed securities (ABSs) structures

basis risk, 197198

excess spread, 205e

fundamentals, 194199

Asset-backed securities (ABSs) transactions, ...

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Start your free trial

You might also like

Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques

Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques

FRANK J. FABOZZI, ANAND K. BHATTACHARYA, WILLIAM S. BERLINER

Publisher Resources

ISBN: 9781118004692Purchase book