- Shopping Bag ( 0 items )
The largest sector of the fixed-income market is the mortgage market. Understanding this market is critical for portfolio managers, as well as issuers who must be familiar with how these securities are structured. Mortgage-Backed Securities is a timely guide to the investment characteristics, creation, and analysis of residential real estate-backed securities. Each chapter contains cutting-edge information ...
The largest sector of the fixed-income market is the mortgage market. Understanding this market is critical for portfolio managers, as well as issuers who must be familiar with how these securities are structured. Mortgage-Backed Securities is a timely guide to the investment characteristics, creation, and analysis of residential real estate-backed securities. Each chapter contains cutting-edge information for investors, traders, and other professionals involved in this market, including discussions of structuring mortgage products-such as agency CMOs and new types of mortgages-and an in-depth explanation of the concept of option-adjusted spreads and other analytical concepts used to assess relative value.
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.
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.
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.
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.
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.