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Table Of Contents

Terminology
Types of Agency Pass-Through Collateral
Types of Pass-Through Trading
Multifamily Pass-Through Programs
Measuring Prepayments
III. Basics of Mortgage Security Analysis
The Effect of Prepayments on MBS Cash Flows
A Brief Primer on Prepayment Analysis and Modeling
Yield, Average Life, and Spread over Treasuries
Yield Curve Spread
IV. Option-Adjusted Analysis of Mortgage Securities
Option-Adjusted Spread
Interest Rate Volatility and Calculation of OAS
Option Costs and Interpretation of OAS
Effective Duration
Convexity
Development of the CMO Market
V. Structured Mortgage Securities
CMO Bond Types
Stripped Mortgage-Backed Securities
Cash Flow Structure of Nonagency Mortgage Securities
VI. The Nonagency Market
Types of Nonconforming Residential Mortgages
Commercial Mortgage-Backed Securities
The Danish MBS Market
VII. MBS Markets Outside the United States
Securitization in Europe
Appendix B. Standard Agency Definitions of CMO Bond Types
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19607027-Salomon-Smith-Barney-Guide-to-MortgageBacked-Securities

19607027-Salomon-Smith-Barney-Guide-to-MortgageBacked-Securities

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Published by ma884467

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Published by: ma884467 on Jan 27, 2011
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11/06/2012

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