Contents
Introduction to Mortgage and MBS Markets
Overview of Mortgages and the Consumer Mortgage Market
Risks Associated with Mortgages and Mortgage Products
Concepts Presented in this Chapter
Overview of the Mortgage-Backed Securities Market
Creating Different Types of MBS
The Role of the MBS Markets in Generating Consumer Lending Rates
Concepts Presented in this Chapter
Prepayment and Default Metrics and Behavior
Measurement of Prepayments and Defaults
Delinquency, Default, and Loss Terminology
Concepts Presented in this Chapter
Prepayments and Factors Influencing the Return of Principal
Factors Influencing Prepayment Speeds
Defaults and “Involuntary” Prepayments
Concepts Presented in this Chapter
Introduction to MBS Structuring Techniques
Underlying Logic in Structuring Cash Flows
Structuring Different Mortgage Products
Fundamentals of Structuring CMOs
Fundamental MBS Structuring Techniques: Divisions of Principal
Planned Amortization Classes (PACs) and the PAC-Support Structure
Targeted Amortization Class Bonds
Z-Bonds and Accretion-Directed Tranches
Concepts Presented in this Chapter
Fundamental MBS Structuring Techniques: Divisions of Interest ...
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