ABSTRACT
Chapter 9 starts with a classification of the types of collateralized mortgage obligations. RMBS, CMBS, and covered bonds are introduced as packages of investment properties offered for sale to the market. The subjectivity of value for MBS is introduced focusing on the complex repayment structures and the Herfindahl index. From there, MBS and investor preference is highlighted, with a specific case and model for selecting between two distinct CMBS investments introduced. The market vignette for chapter 9 focuses on how an investment bank might create a new CMBS pool to offer for sale to the investment public.
