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Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques by WILLIAM S. BERLINER, ANAND K. BHATTACHARYA, FRANK J. FABOZZI

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Index
e indicates entries in exhibits.
n indicates entries in the footnotes.
Above-market coupon
ABSs. SeeAsset-backed securities
Accretion-directed cash flows, generation
Accretion-directed tranches
Accretion direction
Accrued interest, addition
Adjustable rate agency pooling
Adjustable rate mortgage (ARM) 5/1 ARM
loans, amortizing
market
base servicing
growth
pools, coupon rate
pricing
resets
Adjustable rate tail
Adverse selection
Agency ARM pools
Agency bonds, evaluation
Agency CMOs
deal
key rate duration
structures
structuring techniques
total return
difference
Agency-guaranteed pools
Agency inverse floater, yield-to-index table
Agency MBS, creation
Agency PAC
price-yield table
structuring
Agency PAC2 CMO
average lives
modified duration
price-yield table
Agency pass-through pool
cash flow allocation
Agency pass-throughs, prices/spreads/ risk measures
Agency pooling, private label deal execution (contrast)
Agency pools
market
Agency support CMO, price-yield table
Agency tranches, analysis
Aggregate monthly mortgage payments
Aggregate refinancing/prepayment behavior
Alternative-A (Alt-A) loans
execution
Alty characteristics
Amortization
schedules
type
Amortizing/IO 5/1 Hybrid ARMs, monthly borrower payments
Annualized total return
Annual rate
Anti-TTIB
Asset-backed securities (ABSs). See Subprime ABSs
Asset-backed securities (ABSs) structures
excess spread
fundamentals
Asset pools
At-the-money amortizing 5/1 hybrid ARM, prepayment ramp
At-the-money loans
Available funds cap ...

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