Mortgage Backed Securities – Valuation and Disclosure Considerations. May 2011 Christina K. Catalina, CPA. Types of Structured Securities.
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Christina K. Catalina, CPA
Common Valuation Methods
The price of a mortgage-backed security is determined by several factors: the type of mortgage backing the security,
NOTE: This is an excerpt from Fair value measurements table. Determine “class” on the basis of the nature and risks of the investments - consider, for example activity or business sector, vintage, geographic concentration, credit quality, and economic characteristic In addition to nature and risks, also consider placement in fair value hierarchy (i.e., Levels 1, 2, or 3)—e.g., greater number of classes may be necessary for fair value measurements with significant unobservable inputs (Level 3) due to increased uncertainty and subjectivity.