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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 | |