Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques -- Contents -- Preface -- About the Authors -- Part One: Introduction to Mortgage and MBS Markets -- Chapter 1: Overview of Mortgages and the Consumer Mortgage Market -- Overview of Mortgages -- Mortgage Loan Mechanics -- Risks Associated with Mortgages and Mortgage Products -- Concepts Presented in this Chapter -- Chapter 2: Overview of the Mortgage-Backed Securities Market -- Creating Different Types of MBS -- MBS Trading -- The Role of the MBS Markets in Generating Consumer Lending Rates -- Cash Flow Structuring -- Concepts Presented in this Chapter -- Part Two: Prepayment and Default Metrics and Behavior -- Chapter 3: Measurement of Prepayments and Defaults -- Prepayment Terminology -- Calculating Prepayment Speeds -- Delinquency, Default, and Loss Terminology -- Concepts Presented in this Chapter -- Chapter 4: Prepayments and Factors Influencing the Return of Principal -- Prepayment Fundamentals -- Factors Influencing Prepayment Speeds -- Defaults and "Involuntary" Prepayments -- Concepts Presented in this Chapter -- Part Three: Structuring -- Chapter 5: Introduction to MBS Structuring Techniques -- Underlying Logic in Structuring Cash Flows -- Structuring Different Mortgage Products -- Fundamentals of Structuring CMOs -- Chapter 6: Fundamental MBS Structuring Techniques: Divisions of Principal -- Time Tranching -- Planned Amortization Classes (PACs) and the PAC-Support Structure -- Targeted Amortization Class Bonds -- Z-Bonds and Accretion-Directed Tranches -- A Simple Structuring Example -- Concepts Presented in this Chapter -- Chapter 7: Fundamental MBS Structuring Techniques: Divisions of Interest -- Coupon Stripping and Boosting -- Floater-Inverse Floater Combinations -- Two-Tiered Index Bonds (TTIBs) -- Excess Servicing IOs.

Concepts Presented in this Chapter -- Chapter 8: Structuring Private-Label CMOs -- Private-Label Credit Enhancement -- Private-Label Senior Structuring Variations -- Governing Documents -- Concepts Presented in this Chapter -- Chapter 9: The Structuring of Mortgage ABS Deals -- Fundamentals of ABS Structures -- Credit Enhancement for Mortgage ABS Deals -- Factors Influencing the Credit Structure of Deals -- Additional Structuring Issues and Developments -- Concepts Presented in this Chapter -- Part Four: Valuation and Analysis -- Chapter 10: Techniques for Valuing MBS -- Static Cash Flow Yield Analysis -- Z-Spread -- Valuation Using Monte Carlo Simulation and OAS Analysis -- Total Return Analysis -- Concepts Presented in this Chapter -- Chapter 11: Measuring MBS Interest Rate Risk -- Duration -- Convexity -- Yield Curve Risk -- Other Risk Measures -- Concepts Presented in this Chapter -- Chapter 12: Evaluating Senior MBS and CMOs -- Yield and Spread Matrices -- Monte Carlo and OAS Analysis -- Total Return Analysis -- Evaluating Inverse Floaters -- Concepts Presented in this Chapter -- Chapter 13: Analysis of Nonagency MBS -- Factors Impacting Returns from Nonagency MBS -- Understanding the Evolution of Credit Performance within a Transaction -- The Process of Estimating Private-Label MBS Returns -- Concepts Presented in this Chapter -- Appendix: An Option-Theoretic Approach to Valuing MBS -- Option-Theoretic Models for Valuing MBS -- An Option-Based Prepayment Model for Mortgages -- Valuation of Mortgages -- A Closer Look At Leapers and Laggards -- Valuation of MBS -- Index.