Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques [NOOK Book]


Mortgage-Backed Securities

In the last two decades, the market for mortgage-backed securities (MBS) has quickly grown. In addition to its size, this market has also become increasingly flexible and dynamic.

Frank Fabozzi, Anand Bhattacharya, and William Berliner understand the intricacies of the MBS market, and now, with Mortgage-Backed Securities, they share this essential information with you.

Filled with ...

See more details below
Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques

Available on NOOK devices and apps  
  • NOOK Devices
  • Samsung Galaxy Tab 4 NOOK 7.0
  • Samsung Galaxy Tab 4 NOOK 10.1
  • NOOK HD Tablet
  • NOOK HD+ Tablet
  • NOOK eReaders
  • NOOK Color
  • NOOK Tablet
  • Tablet/Phone
  • NOOK for Windows 8 Tablet
  • NOOK for iOS
  • NOOK for Android
  • NOOK Kids for iPad
  • PC/Mac
  • NOOK for Windows 8
  • NOOK for PC
  • NOOK for Mac
  • NOOK for Web

Want a NOOK? Explore Now

NOOK Book (eBook)
$51.49 price
(Save 42%)$90.00 List Price
Note: This NOOK Book can be purchased in bulk. Please email us for more information.


Mortgage-Backed Securities

In the last two decades, the market for mortgage-backed securities (MBS) has quickly grown. In addition to its size, this market has also become increasingly flexible and dynamic.

Frank Fabozzi, Anand Bhattacharya, and William Berliner understand the intricacies of the MBS market, and now, with Mortgage-Backed Securities, they share this essential information with you.

Filled with in-depth insights and expert advice, this comprehensive guide skillfully addresses the investment characteristics, creation, and analysis of mortgage-backed securities. Each informative chapter outlines the products, structures, and analytical techniques traders and investors need to be familiar with in order to succeed on a daily basis.

Written for financial professionals by financial professionals, this book covers a variety of MBS-related issues, including:

  • An overview of prepayment and default behavior and performance metrics

  • Fundamental MBS structuring techniques—such as divisions of principal and interest

  • The structuring of private-label CMOs

  • Measuring MBS interest-rate risk

  • Evaluating senior MBS and CMOs

  • An option theoretic approach to valuing MBS

Read More Show Less

Product Details

  • ISBN-13: 9781118044711
  • Publisher: Wiley
  • Publication date: 12/30/2010
  • Series: Frank J. Fabozzi Series, #157
  • Sold by: Barnes & Noble
  • Format: eBook
  • Edition number: 1
  • Pages: 336
  • File size: 4 MB

Meet the Author

Frank J. Fabozzi is Professor in the Practice of Finance in the School of Management at Yale University. Prior to joining the Yale faculty, he was a Visiting Professor of Finance in the Sloan School at MIT. He is a Fellow of the International Center for Finance at Yale University and on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University. Professor Fabozzi is the editor of the Journal of Portfolio Management and an associate editor of the Journal of Fixed Income. He earned a doctorate in economics from the City University of New York in 1972. In 2002 was inducted into the Fixed Income Analysts Society’s Hall of Fame and is the 2007 recipient of the C. Stewart Sheppard Award given by the CFA Institute. He earned the designation of Chartered Financial Analyst and Certified Public Accountant. He has authored and edited numerous books in finance.

Anand K. Bhattacharya is a Managing Director at Countrywide Securities Corporation (CSC), a wholly owned affiliate of Countrywide Financial Corporation. He joined CSC in 1999, where he is responsible for the management of fixed income research and strategies. Immediately prior to joining Countrywide, he was Managing Director responsible for capital markets, risk management and portfolio management oversight at Imperial Credit Industries Inc (ICII) from March 1998 to January 1999. Prior to his employment at ICII, Dr. Bhattacharya held positions at Prudential Securities Inc. from 1990 to 1998 with the most recent position as Managing Director, Global Head of Fixed Income Research. His prior employment includes positions in fixed income research and product management at Merrill Lynch Capital Markets, Franklin Savings Association and its subsidiaries and Security Pacific Merchant Bank. Dr. Bhattacharya has written extensively in various facets of fixed income analysis and portfolio management. He has authored or coauthored over 65 publications in various academic and professional journals and industry handbooks. He holds a Ph.D. in Finance and Quantitative Methods from Arizona State University.

William S. Berliner is Executive Vice President in charge of the Mortgage Strategies group at Countrywide Securities Corporation. In this capacity, he oversees the generation of relative value analysis and strategies, and writes and edits many of the firm’s reports and publications. He began his career in the Government Operations Department of Bear, Stearns and Co. in 1985. He moved to the Mortgage trading desk in 1987 as a clerk and joined the CMO desk in 1989. He worked on the CMO desk at Bear until 1993, when he left to join Nikko Securities, where he eventually ran CMO trading. He joined Countrywide as a trader in 1996 and moved to the Research Department in early 1998. Mr. Berliner has a BA in Interpersonal Communications from Rutgers College and an MBA in Finance from the Rutgers Graduate School of Business.

Read More Show Less

Table of Contents


About the Authors.

PART ONE: Introduction to Mortgage and MBS Markets.

Chapter 1: Overview of Mortgages and the Consumer Mortgage Market.

Overview of Mortgages.

Mortgage Loan Mechanics.

Risks Associated with Mortgages and Mortgage Products.

Chapter 2: Overview of the Mortgage-Backed Securities Market.

Creating Different Types of MBS.

MBS Trading.

The Role of the MBS Markets in Generating Consumer Lending Rates.

Cash Flow Structuring.

PART TWO: Prepayment and Default Metrics and Behavior.

Chapter 3: Measurement of Prepayments and Defaults.

Prepayment Convention Terminology.

Delinquency, Default, and Loss Terminology.

Chapter 4: Prepayment Behavior and Performance.

Prepayment Behavior.

Drivers of Prepayment Activity.

Additional Factors Affecting Prepayment Speeds.

Prepayment Behavior of “Nonfixed-Payment” Products.


PART THREE: Structuring.

Chapter 5: Introduction to MBS Structuring Techniques.

Underlying Logic in Structuring Cash Flows.

Structuring Different Mortgage Products.

Fundamentals of Structuring CMOs.

Chapter 6: Fundamental MBS Structuring Techniques: Divisions of Principal.

Time Tranching.

Planned Amortization Classes (PACs) and the PAC/Support Structure.

Targeted Amortization Class Bonds.

Z-Bonds and Accretion-Directed Tranches.

A Simple Structuring Example.

Chapter 7: Fundamental MBS Structuring Techniques: Divisions of Interest.

Coupon Stripping and Boosting.

Floater/Inverse Floater Combinations.

Two-Tiered Index Bonds (TTIBs).

Excess Servicing IOs.

Chapter 8: Structuring Private Label CMOs.

Private Label Credit Enhancement.

Private Label Senior Structuring Variations.

Chapter 9: The Structuring of Mortgage ABS Deals.

Fundamentals of ABS Structures.

Credit Enhancement for Mortgage ABS Deals.

Factors Influencing the Credit Structure of Deals.

Additional Structuring Issues and Developments.

PART FOUR: Valuation and Analysis.

Chapter 10: Techniques for Valuing MBS.

Static Cash Flow Yield Analysis.

Zero-Volatility Spread.

Valuation Using Monte Carlo Simulation and OAS Analysis.

Total Return Analysis.

Chapter 11: Measuring MBS Interest Rate Risk.



Yield Curve Risk.

Other Risk Measures.

Illustration of Risk Measures.


Chapter 12: Evaluating Senior MBS and CMOs.

Yield and Spread Matrices.

Monte Carlo and OAS Analysis.

Total Return Analysis.

Comparing the Analysis of Agency and Private Label Tranches.

Evaluating Inverse Floaters.


APPENDIX: An Option-Theoretic Approach to Valuing MBS.

Option-Theoretic Models for Valuing MBS.

An Option-Based Prepayment Model for Mortgages.

Valuation of Mortgages.

A Closer Look at Leapers and Laggards.

Valuation of MBS.



Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star


4 Star


3 Star


2 Star


1 Star


Your Rating:

Your Name: Create a Pen Name or

Barnes & Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation


  • - By submitting a review, you grant to Barnes & and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Terms of Use.
  • - Barnes & reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)