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| Mortgage-Backed Securities | |
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| Origins of the Market | |
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| From the Primary to the Secondary Mortgage Market | |
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| The Agency Market | |
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| The Private-Label Market | |
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| Agency and Nonagency Market Segments Compared | |
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| Credit Risk Considerations | |
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| Mortgage and Funds Flow in the Secondary Market | |
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| Industry Illustration | |
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| Pricing of Newly Originated Mortgages | |
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| Freddie Mac Sample Purchase Pricing | |
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| Mortgage Pricing from the Bank’s Perspective | |
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| Price Dynamics of Mortgages and Cash Flows | |
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| Bond and Mortgage Basics | |
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| Bond Valuation | |
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| Price/Yield Relationship | |
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| Fixed-Rate Mortgages | |
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| Prepayment Option | |
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| Macauley and Modified Duration | |
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| Convexity | |
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| Risk Exposures | |
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| Valuation of Mortgage- and Asset-Backed Securities | |
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| Modeling Cash Flows of Pass-Through, PO, and IO Securities | |
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| Information Set | |
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| Model | |
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| Cash Flow over Time | |
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| Effective Duration | |
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| Effective Convexity | |
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| Case Study: A Pass-Through Security Issued by FNMA | |
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| Prepayment Standard Assumption Levels | |
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| S-Curve Prepayment Function | |
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| Weighted Average Life and Different Spreads Measurements | |
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| Spread I, Static Spread (Spread Z), and Spread S | |
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| Option-Adjusted Spread | |
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| Negative Option Cost | |
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| Case Study: Principal-Only and Interest-Only Securities | |
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| PO Strip | |
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| IO Strip | |
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| Other Structures in Asset-Backed Securities: CMOs, PACs | |
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| Floaters, and Inverse Floaters | |
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| Collateralized Mortgage Obligations | |
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| Planned Amortization Class | |
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| Floaters and Inverse Floaters | |
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| Corporate Debt and the Securitization Markets | |
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| How Ford Motor Credit Corporation | |
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| Has Used Securitization | |
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| The Case of Ford Motor Credit | |
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| Securitized Receivables | |
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| Advantages of Securitization | |
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| Special-Purpose Structure | |
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| Allocating and Funding Credit Risk: Subordinate Classes and Residual | |
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| Interests | |
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| The Two-Step Securitization Transaction | |
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| Credit Ratings and On-Balance-Sheet versus Off-Balance-Sheet | |
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| Cost of Funding | |
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| Ford Credit Auto Owner Trust 2000-A: A Case Study | |
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| Waterfall of Cash Flows | |
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| Credit Enhancement | |
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| Overcollateralization | |
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| Rating Agency Parameters | |
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| Leveraging Credit Risk | |
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| Asset-Backed Commercial Paper | |
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| Why Companies Use Asset-Backed Commercial Paper Programs | |
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| GE Capital Example | |
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| Ford Motor Credit Example | |
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| Countrywide Home Loans Example | |
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| ABCP Characteristics | |
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| Relationship of Conduit, Originator, and Seller | |
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| Securitization Structure and Cash Flow | |
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| Credit Enhancement and Liquidity Support | |
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| Fully Supported versus Partially Supported | |
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| Liquidity Facilities | |
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| Cost of Funding | |
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| Financier Conduit Hypothetical Example D&K Example | |
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| GE Capital Example | |
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| Labor Ready, Inc., Example | |
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| Accounting Treatment | |
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| Financial Interpretation | |
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| Primary Beneficiary Status | |
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| Risk-Based Capital Regulations | |
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| Tier-One Leverage Ratio | |
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| Conversion Factor for Liquidity Facilities | |
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| Restructuring Possibilities | |
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| Securitization of Revolving Credit | |
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| Dea | |