Table of Contents

1. Series Page
2. Title Page
3. Copyright
4. Dedication
5. Foreword
6. Preface
7. Acknowledgments
8. Introduction
9. Part One: Valuation of Fixed-Income Securities
   1. Chapter 1: The Time Value of Money
      1. 1.1 Present Value
      2. 1.2 Future Value
      3. 1.3 Present Value of an Annuity
      4. 1.4 Future Value of an Annuity
      5. 1.5 Solving Financial Questions with Present and Future Value
      6. 1.6 Application to Fixed-Income Securities
   2. Chapter 2: Theories of the Term Structure of Interest Rates
      1. 2.1 The Rational or Pure Expectations Hypothesis
      2. 2.2 The Market Segmentation Theory
      3. 2.3 The Liquidity Preference Theory
      4. 2.4 Modeling the Term Structure of Interest Rates
      5. 2.5 Application of Spot and Forward Rates
   3. Chapter 3: Fixed-Income Metrics
      1. 3.1 Maturity
      2. 3.2 Yield to Maturity
      3. 3.3 Weighted Average Life
      4. 3.4 Duration
      5. 3.5 Convexity
      6. 3.6 Fisher-Weil Duration and Convexity
      7. 3.7 Effective Duration
      8. 3.8 Effective Convexity
      9. 3.9 Summing the Aforementioned Measures of Duration and Convexity
      10. 3.10 Key Rate Duration
   4. Chapter 4: The Valuation of Fixed-Income Securities
      1. 4.1 A Valuation Framework for Fixed-Income Securities
      2. 4.2 Application of the Framework to Structured Securities
      3. 4.3 Twist and Shift: Characterizing Changes in the Level, Steepness, and Curvature of the Term Structure
      4. 4.4 Case Study: 4.00% 30-Year MBS
      5. 4.5 Scenario Comparative Analysis
   5. Chapter 5: Fixed-Income Return Analysis
      1. 5.1 Return Strategies
      2. 5.2 The Components of Return
      3. 5.3 The Buy-and-Hold Strategy
      4. 5.4 Total and Absolute Returns
      5. 5.5 Deconstructing the Fixed-Income Return Profile
      6. 5.6 Estimating Bond Returns with Price and Risk Measures
10. Part Two: Residential Mortgage-Backed Securities
    1. Chapter 6: Understanding Mortgage Lending and Loans
       1. 6.1 Classification of Real Estate
       2. 6.2 Residential Mortgage Loan Amortization
       3. 6.3 Deconstructing the Amortization Table
       4. 6.4 Mortgage Servicing
    2. Chapter 7: Modeling Cash Flows
       1. 7.1 Prepayment Conventions
       2. 7.2 Modeling MBS Cash Flows
    3. Chapter 8: Mortgage Prepayment Analysis
       1. 8.1 Big Data—What Is It?
       2. 8.2 The Statistical Learner
       3. 8.3 Survival Analysis
       4. 8.4 The Cox Proportional Hazards Model
       5. 8.5 Data Types
       6. 8.6 Case Study: FHLMC 30-Year Loan Level Prepayment Analysis
       7. 8.7 Survival Analysis—Modeling Loan Cohorts
    4. Chapter 9: The Predictive Prepayment Model
       1. 9.1 Turnover
       2. 9.2 Loan Seasoning
       3. 9.3 Seasonality
       4. 9.4 Borrower Incentive to Refinance
       5. 9.5 Borrower Burnout
       6. 9.6 Application of the Prepayment Model
11. Part Three: Valuation of Mortgage-Backed Securities
    1. Chapter 10: Mortgage Dollar Roll
       1. 10.1 Evaluating the Dollar Roll
       2. 10.2 Risk Associated with the Dollar Roll
    2. Chapter 11: Relative Value Analysis
       1. 11.1 Liquidity
       2. 11.2 Static Cash Flow Analysis
       3. 11.3 Return Analysis
    3. Chapter 12: Option-Adjusted Spread Analysis
       1. 12.1 Numerical Methods of Modern Financial Theory
       2. 12.2 Cox, Ingersoll, Ross Theory of the Term Structure
       3. 12.3 Calibrating the Model
       4. 12.4 Building the Option-Adjusted Spread (OAS) Model
       5. 12.5 OAS Analysis as a Decision-Making Tool
       6. 12.6 OAS Distribution Analysis
       7. 12.7 OAS Analysis Strengths and Limitations
12. Part Four: Structuring Mortgage-Backed Securities
    1. Chapter 13: Introduction to REMICs
       1. 13.1 Background and Legal Structure
       2. 13.2 Two-Tiered REMICs
       3. 13.3 REMIC Arbitrage
       4. 13.4 Bond Lab MBS Structuring Model
    2. Chapter 14: Stripped Mortgage-Backed Securities
       1. 14.1 Key Rate Duration Analysis
       2. 14.2 Option-Adjusted Spread Analysis
       3. 14.3 The Information Content of the IO-PO Market
    3. Chapter 15: Sequentially Structured REMIC
       1. 15.1 Key Rate Duration Analysis
       2. 15.2 Option-Adjusted Spread Analysis
       3. 15.3 Weighted Average Life and Spot Spread Analysis
       4. 15.4 Static Cash Flow Analysis
    4. Chapter 16: Planned Amortization Class (PAC) and Companion REMICs
       1. 16.1 The PAC Bond Sinking Fund Schedule
       2. 16.2 Key Rate Duration Analysis
       3. 16.3 Option-Adjusted Spread Analysis
       4. 16.4 OAS Distribution Analysis
       5. 16.5 A Final Word Regarding PAC Bands
       6. 16.6 Static Cash Flow Analysis
    5. Chapter 17: Sequential IO REMIC
       1. 17.1 Key Rate Duration Analysis
       2. 17.2 OAS Distribution Analysis
    6. Chapter 18: PAC-Floater-Inverse Floater REMIC
       1. 18.1 Structuring the Floater and Inverse Floater
       2. 18.2 A Framework for Floating Rate Securities
       3. 18.3 Option-Adjusted Spread Analysis
       4. 18.4 Key Rate Duration Analysis
    7. Chapter 19: Accrual REMIC Z-Bond
       1. 19.1 Key Rate Duration Analysis
       2. 19.2 Option-Adjusted Spread Analysis
13. Part Five: Mortgage Credit Analysis
    1. Chapter 20: Mortgage Default Modeling
       1. 20.1 Case Study FHLMC 30-Year Default Analysis
       2. 20.2 Other Variables Influencing Borrower Default
       3. 20.3 Spread at Origination (SATO) and Default
       4. 20.4 Default Model Selection
    2. Chapter 21: The Predictive Default Model
       1. 21.1 Constant Default Rate
       2. 21.2 Borrower Original Loan-to-Value Default Multiplier
       3. 21.3 Updated Loan-to-Value Default Multiplier
       4. 21.4 Spread at Origination (SATO) Default Multipliers
       5. 21.5 Completing the Prepayment Model
    3. Chapter 22: The Basics of Private-Label MBS
       1. 22.1 I Structure
       2. 22.2 H Structure
       3. 22.3 Y Structure
       4. 22.4 Shifting Interest
       5. 22.5 Deep Mortgage Insurance MI
       6. 22.6 Excess Interest
       7. 22.7 Overcollateralization
       8. 22.8 Structural Credit Protection
       9. 22.9 Hedging Asset/Liability Mismatches
    4. Chapter 23: Sizing Mortgage Credit Enhancement
       1. 23.1 Simulating Borrower Default Rates
       2. 23.2 Estimation of Cumulative Default Rates
       3. 23.3 Translating Credit Enhancement to a Third-Party Guarantee Fee
       4. 23.4 Role of the Credit Rating Agencies (NRSROs)
14. About the Website
    1. Introduction to BondLab
    2. Source Code for the BondLab R Package
    3. Installation Instructions
15. Bibliography
    1. Index
16. End User License Agreement

Guide

1. Cover
2. Table of Contents
3. Begin Reading

List of Illustrations

1. Chapter 1: The Time Value of Money
   1. Figure 1.1 Present Value of a Single Payment
   2. Figure 1.2 Future Value of a Single Sum Today
   3. Figure 1.3 Present Value of Annuity Payment
   4. Figure 1.4 Internal Rate of Return
2. Chapter 2: Theories of the Term Structure of Interest Rates
   1. Figure 2.1 Interest Rate Swap Curve, Jan. 30, 2006
   2. Figure 2.2 Forward and Spot Swap Rates, Jan. 30, 2006
3. Chapter 3: Fixed-Income Metrics
   1. Figure 3.1 Price to Yield to Maturity
   2. Figure 3.2 Coupon versus Duration
   3. Figure 3.3 Maturity versus Duration
   4. Figure 3.4 Convexity versus Duration
   5. Figure 3.5 Hypothetical Spot and Forward Rate Curves
   6. Figure 3.6 30-Year 4.0 MBS% Key Rate Duration
4. Chapter 4: The Valuation of Fixed-Income Securities
   1. Figure 4.1 The Valuation Framework for Fixed-Income Securities
   2. Figure 4.2 Yield Curve Steepens 50 Basis Points
   3. Figure 4.3 Cash Flow Comparison—Swap Curve Steepens 50 Basis Points
   4. Figure 4.4 Key Rate Duration—Swap Curve Steepens 50 Basis Points
   5. Figure 4.5 Yield Curve Flattens 50 Basis Points
   6. Figure 4.6 Cash Flow Comparison—Swap Curve Flattens 50 Basis Points
   7. Figure 4.7 Key Rate Duration—Swap Curve Flattens 50 bps
5. Chapter 7: Modeling Cash Flows
   1. Figure 7.1 PSA Mortgage Prepayment Assumption
   2. Figure 7.2 Cash Flow Share Assuming 0% PPC
   3. Figure 7.3 Pool Cash Flow Assuming 100% PPC
6. Chapter 8: Mortgage Prepayment Analysis
   1. Figure 8.1 FH 30-yr. Cum. Survival
   2. Figure 8.2 FH 30-yr. CPR
   3. Figure 8.3 Distribution of Borrower Incentive
   4. Figure 8.4 Loess Model—Functional Form of Borrower Incentive
   5. Figure 8.5 Actual Data—CPR
   6. Figure 8.6 Loess Data Fit—CPR
   7. Figure 8.7 Housing Turnover
   8. Figure 8.8 Model Fit—CPR
   9. Figure 8.9 Actual Data—CPR
   10. Figure 8.10 Seasonal Factors
   11. Figure 8.11 Loan Purpose
   12. Figure 8.12 Test—Refinance
   13. Figure 8.13 Test—Cash-out
7. Chapter 9: The Predictive Prepayment Model
   1. Figure 9.1 Loan Seasoning
   2. Figure 9.2 Model vs. Actual Seasonals
   3. Figure 9.3 Slope
   4. Figure 9.4 Inflection
   5. Figure 9.5 ,
   6. Figure 9.6 ,
   7. Figure 9.7 S-curve by Loan Seasoning
   8. Figure 9.8 S-curve Fast and Slow Payer
   9. Figure 9.9 Burnout
   10. Figure 9.10 Burnout
   11. Figure 9.11 Loan Seasoning Multiplier
   12. Figure 9.12 Seasonality Multiplier
   13. Figure 9.13 S-curve Fast/Slow Payer
   14. Figure 9.14 Burnout
   15. Figure 9.15 Bond Lab® Mortgage Prepayment Model
8. Chapter 10: Mortgage Dollar Roll
   1. Figure 10.1 Mechanics of the Mortgage Dollar Roll
9. Chapter 11: Relative Value Analysis
   1. Figure 11.1 Forward Yield Curve
   2. Figure 11.2 Return Analysis
10. Chapter 12: Option-Adjusted Spread Analysis
    1. Figure 12.1 CIR Simulated Interest Rate Paths
    2. Figure 12.2 CIR Model with = 0.1
    3. Figure 12.3 CIR Model with = 0.7
    4. Figure 12.4 CIR Model with = 0.02
    5. Figure 12.5 CIR Model with = 0.10
    6. Figure 12.6 CIR Model with = 0.015
    7. Figure 12.7 CIR Model with = 0.00
    8. Figure 12.8 CIR Model Fit: Actual Swap Prices less Fit Swap Prices
    9. Figure 12.9 CIR Model—Single Path
    10. Figure 12.10 CIR Model Yield Curve
    11. Figure 12.11 CIR Model, Simulated Short-Term Rate, 2- and 10-Year Swap Rates
    12. Figure 12.12 CIR Model, MBS 5.50 Predicted SMM Vector
    13. Figure 12.13 Short Rate Paths = 125
    14. Figure 12.14 Short Rate Paths = 250
    15. Figure 12.15 Short Rate Paths = 500
    16. Figure 12.16 Short Rate Paths = 5,000
    17. Figure 12.17 The Valuation Framework for Fixed-Income Securities
    18. Figure 12.18 Price Dist. MBS 4.00%
    19. Figure 12.19 Price Dist. MBS 5.50%
    20. Figure 12.20 ZV Spd. MBS 4.00%
    21. Figure 12.21 ZV Spd. MBS 5.50%
    22. Figure 12.22 WAL Dist. MBS 4.00%
    23. Figure 12.23 WAL Dist. MBS 5.50%
    24. Figure 12.24 YTM Dist. MBS 4.00%
    25. Figure 12.25 YTM Dist. MBS 5.50%
11. Chapter 13: Introduction to REMICs
    1. Figure 13.1 REMIC Execution
12. Chapter 14: Stripped Mortgage-Backed Securities
    1. Figure 14.1 Key Rate Duration MBS 4.00% Pass-Through
    2. Figure 14.2 Key Rate Duration MBS 4.00% Tranche 1 (IO)
    3. Figure 14.3 Key Rate Duration MBS 4.00%
    4. Figure 14.4 Key Rate Duration MBS 4.00% Tranche 2 (PO)
    5. Figure 14.5 WAL Dist. MBS 4.00%
    6. Figure 14.6 WAL Dist. Tranche 1 (IO)
    7. Figure 14.7 WAL Dist. MBS 4.00%
    8. Figure 14.8 WAL Dist. Tranche 2 (PO)
    9. Figure 14.9 YTM Dist. MBS 4.00%
    10. Figure 14.10 YTM Dist. Tranche 1 (IO)
    11. Figure 14.11 YTM Dist. MBS 4.00%
    12. Figure 14.12 YTM Dist. Tranche 2 (PO)
    13. Figure 14.13 Price Dist. Tranche 1 (IO)
    14. Figure 14.14 Price Dist. Tranche 2 (PO)
13. Chapter 15: Sequentially Structured REMIC
    1. Figure 15.1 Sequential Principal Cash Flow Diagram
    2. Figure 15.2 Key Rate Duration MBS 4.00%
    3. Figure 15.3 Key Rate Duration Tranche A
    4. Figure 15.4 Key Rate Duration Tranche B
    5. Figure 15.5 Key Rate Duration Tranche C
    6. Figure 15.6 WAL Dist. MBS 4.00%
    7. Figure 15.7 WAL Dist. Tranche A
    8. Figure 15.8 Tranche A—Spot Spread Distribution
    9. Figure 15.9 WAL Dist. Tranche B
    10. Figure 15.10 Spot Spd. Dist. Tranche B
    11. Figure 15.11 WAL Dist. Tranche C
    12. Figure 15.12 Spot Spd. Dist. Tranche C
    13. Figure 15.13 Average Life Analysis
14. Chapter 16: Planned Amortization Class (PAC) and Companion REMICs
    1. Figure 16.1 PAC Bond Schedule
    2. Figure 16.2 PAC Bond Schedule
    3. Figure 16.3 Broken PAC Bond Principal Repayment vs. Scheduled
    4. Figure 16.4 Key Rate Duration MBS 4.00%
    5. Figure 16.5 Key Rate Duration Tranche 1 (PAC)
    6. Figure 16.6 KRD MBS 4.00%
    7. Figure 16.7 KRD Tranche 2 (Comp.)
    8. Figure 16.8 WAL Dist. MBS 4.00%
    9. Figure 16.9 WAL Dist. PAC
    10. Figure 16.10 Spot Spd. MBS 4.00%
    11. Figure 16.11 Spot Spd. Dist. PAC
    12. Figure 16.12 WAL Dist. MBS 4.00%
    13. Figure 16.13 WAL Dist. Companion
    14. Figure 16.14 Spot Spread MBS 4.00%
    15. Figure 16.15 Spot Spread Dist. Comp.
    16. Figure 16.16 Average Life Analysis
15. Chapter 17: Sequential IO REMIC
    1. Figure 17.1 SMBS 4.00% Key Rate Duration
    2. Figure 17.2 SEQ IO Key Rate Duration
    3. Figure 17.3 SMBS 4.00% IO Price Dist
    4. Figure 17.4 SEQ IO Price Dist.
16. Chapter 18: PAC-Floater-Inverse Floater REMIC
    1. Figure 18.1 Interest Rate Cap Forward Curve Analysis
    2. Figure 18.2 Key Rate Duration—Floating Rate Bond
    3. Figure 18.3 Key Rate Duration—Inverse Floating Rate Bond
17. Chapter 19: Accrual REMIC Z-Bond
    1. Figure 19.1 Comparison of Companion Bond Execution
    2. Figure 19.2 Average Life Analysis
    3. Figure 19.3 Z-Bond Key Rate Duration Analysis
    4. Figure 19.4 MBS 4.00% Avg. Life Dist.
    5. Figure 19.5 Z-bond Avg. Life Dist.
    6. Figure 19.6 MBS 4.00% Spot Spd. Dist.
    7. Figure 19.7 Z-bond Spot Spd. Dist.
18. Chapter 20: Mortgage Default Modeling
    1. Figure 20.1 FH 30-yr. Cum. Survival
    2. Figure 20.2 FH 30-yr. CDR
    3. Figure 20.3 Default Freq. Orig. LTV
    4. Figure 20.4 Default Freq. Updated LTV
    5. Figure 20.5 Orig. LTV Odds Ratio
    6. Figure 20.6 Updated LTV Odds Ratio
    7. Figure 20.7 Orig. Loan-to-Value Odds Ratio
    8. Figure 20.8 Change in Loan-to-Value Odds Ratio
    9. Figure 20.9 Borrower Credit Score Odds Ratio
    10. Figure 20.10 Borrower Debt to Income Odds Ratio
    11. Figure 20.11 Borrower SATO Odds Ratio
    12. Figure 20.12 Default Model Comparison
    13. Figure 20.13 Default Model SATO Comparison
19. Chapter 21: The Predictive Default Model
    1. Figure 21.1 Baseline Agency Default Assumption
    2. Figure 21.2 Baseline Agency Default Assumption
    3. Figure 21.3 Updated Loan-to-Value Ratio Default Multipliers
    4. Figure 21.4 Borrower SATO Default Multipliers
    5. Figure 21.5 Predicted Default 80% LTV and −0.50% SATO
    6. Figure 21.6 Predicted Default 100% LTV and 1.25% SATO
20. Chapter 22: The Basics of Private-Label MBS
    1. Figure 22.1 Prime MBS Credit Enhancement at Deal Inception
    2. Figure 22.2 H Credit Enhancement Structure
    3. Figure 22.3 Y Credit Enhancement Structure
    4. Figure 22.4 Agency Mortgage Default Timing Curve
    5. Figure 22.5 Hedging with an Interest Rate Cap
    6. Figure 22.6 Hedging with an Interest Rate Cap
21. Chapter 23: Sizing Mortgage Credit Enhancement
    1. Figure 23.1 Home Price Paths Short Rate = 0.25%
    2. Figure 23.2 Home Price Paths Short Rate = 20.00%
    3. Figure 23.3 Simulated Annualized Default Rate
    4. Figure 23.4 Simulated Cumulative Default Rates
    5. Figure 23.5 Prime Mortgage Cumulative Loss Distribution
    6. Figure 23.6 Prime Mortgage Cumulative Density Loss Function

List of Tables

1. Chapter 2: Theories of the Term Structure of Interest Rates
   1. Table 2.1 Spot Rate Curve (zero coupon yields)
   2. Table 2.2 1-Year Forward Rate in 1 Year
   3. Table 2.3 1-Year Forward Rate in 2 Years
   4. Table 2.5 Nelson-Siegel Terms
   5. Table 2.6 Calculation of Forward Rates
2. Chapter 3: Fixed-Income Metrics
   1. Table 3.1 Estimated YTM
   2. Table 3.2 Yield to Maturity
   3. Table 3.3 Yield to Maturity, Sinking Fund Bond vs. Single Payment at Maturity
   4. Table 3.4 Zero Coupon Bond Portfolio Weighted Average Life
   5. Table 3.5 Weighted Average Life
   6. Table 3.6 Macaulay Duration Calculation
   7. Table 3.7 Calculation of Convexity
   8. Table 3.8 Hypothetical Yield Curve
   9. Table 3.9 Fisher-Weil Duration
   10. Table 3.10 Fisher-Weil Convexity
   11. Table 3.11 Parametric Comparison of Yield to Maturity vs. Spot Rate Curve Valuation
   12. Table 3.12 Comparison of Duration and Convexity Measures
   13. Table 3.13 Hypothetical Coupon and Spot Rate Curve
3. Chapter 4: The Valuation of Fixed-Income Securities
   1. Table 4.1 MBS Base Case Parametric Analysis
   2. Table 4.2 Base Case Yield Curve—Jan. 10, 2013
   3. Table 4.3 Yield Curve Scenarios
   4. Table 4.4 Effective Duration—Swap Curve Steepens 50 Basis Points
   5. Table 4.5 MBS Steepen Parametric Analysis
   6. Table 4.6 Effective Duration—Swap Curve Flattens 50 Basis Points
   7. Table 4.7 MBS Flattening Parametric Analysis
   8. Table 4.8 Comparative Analysis of Scenario Outcomes
4. Chapter 5: Fixed-Income Return Analysis
   1. Table 5.1 Return Matrix Input—Coupon Income
   2. Table 5.2 Return Matrix: Coupon Income plus Reinvestment
   3. Table 5.3 Hypothetical Swap Rate Curve
5. Chapter 6: Understanding Mortgage Lending and Loans
   1. Table 6.1 Economics of Foreclosure Liquidation
   2. Table 6.2 Economics of Foreclosure Liquidation with PMI
   3. Table 6.3 Net Operating Income
   4. Table 6.4 Mortgage Amortization Table
6. Chapter 7: Modeling Cash Flows
   1. Table 7.1 MBS Cash Flow Table
7. Chapter 8: Mortgage Prepayment Analysis
   1. Table 8.1 Kaplan-Meier Survivorship
   2. Table 8.2 Referent Cell Coding
   3. Table 8.3 Cox Model—Incentive
   4. Table 8.4 Cox Model—LoanAge, Incentive
   5. Table 8.5 ANOVA—Incentive vs. LoanAge, Incentive
   6. Table 8.6 ANOVA—Incentive, LoanAge vs. Incentive, LoanAge, Month
   7. Table 8.7 ANOVA Loan Purpose
   8. Table 8.8 Loan Purpose Coefficient Analysis
   9. Table 8.9 Results of Model Stratification on Time
8. Chapter 9: The Predictive Prepayment Model
   1. Table 9.1 Model Parameter
   2. Table 9.2 Seasonals
   3. Table 9.3 Fast, Slow Payer Tuning Parameters
   4. Table 9.4 Burnout Tuning Parameters
   5. Table 9.5 Refinance Analysis by Original Balance
9. Chapter 10: Mortgage Dollar Roll
   1. Table 10.1 Breakven Drop Calculation
   2. Table 10.2 Implied Cost of Funds
   3. Table 10.3 Hold-versus-Roll Analysis
10. Chapter 11: Relative Value Analysis
    1. Table 11.1 Bid-to-Offer Recovery Analysis
    2. Table 11.2 Jan. 10, 2013, Swap Curve
    3. Table 11.3 MBS 4.00% Cash-Flow Analysis
    4. Table 11.4 MBS 5.50% Cash Flow Analysis
11. Chapter 12: Option-Adjusted Spread Analysis
    1. Table 12.1 Option-Adjusted Spread Analysis
    2. Table 12.2 Price Distribution Summary Statistics
    3. Table 12.3 Spot Spread-Adjusted Spread Analysis
12. Chapter 14: Stripped Mortgage-Backed Securities
    1. Table 14.1 REMIC IO-PO Analysis
    2. Table 14.2 REMIC IO-PO OAS Analysis
    3. Table 14.3 REMIC IO-PO OAS Analysis
    4. Table 14.4 IO Prepayment Sentiment
13. Chapter 15: Sequentially Structured REMIC
    1. Table 15.1 REMIC Sequential Analysis
    2. Table 15.2 REMIC Sequential OAS Analysis
14. Chapter 16: Planned Amortization Class (PAC) and Companion REMICs
    1. Table 16.1 PAC Bond Cash Flow Example
    2. Table 16.2 REMIC PAC-Companion Analysis
    3. Table 16.3 REMIC PAC-Companion OAS Analysis
15. Chapter 17: Sequential IO REMIC
    1. Table 17.1 REMIC Sequential OAS Analysis
    2. Table 17.2 REMIC Sequential OAS Analysis
16. Chapter 18: PAC-Floater-Inverse Floater REMIC
    1. Table 18.1 REMIC PAC-PAC IO-Floater-Inverse Floater
    2. Table 18.2 REMIC PAC-PAC IO-Floater-Inverse Floater OAS Analysis
17. Chapter 19: Accrual REMIC Z-Bond
    1. Table 19.1 REMIC PAC-Companion-Z OAS Analysis
18. Chapter 20: Mortgage Default Modeling
    1. Table 20.1 Logistic Default Model
    2. Table 20.2 Logistic Default Model
    3. Table 20.3 Confusion Matrix Model Comparison
19. Chapter 21: The Predictive Default Model
    1. Table 21.1 OAS Analysis
    2. Table 21.2 OAS Analysis
20. Chapter 22: The Basics of Private-Label MBS
    1. Table 22.1 Available Funds Cap Calculation