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

Overview

An in-depth look at the latest innovations in mortgage-backed securities

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 ...

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Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques

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Overview

An in-depth look at the latest innovations in mortgage-backed securities

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.

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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
  • Sales rank: 1,330,032
  • File size: 4 MB

Meet the Author

Frank J. Fabozzi, PhD, CFA, is Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute. Prior to joining EDHEC, he held various professorial positions in finance at Yale University's School of Management from 1994 to 2011 and, from 1986 to 1992, was a visiting professor of finance and accounting at MIT's Sloan School of Management. He is also Editor of the Journal of Portfolio Management.

Anand K. Bhattacharya, PhD, is a Professor of Practice in the Department of Finance, W. P. Carey School of Business, Arizona State University, and a Fixed Income Strategist with Stifel, Nicolaus & Company, Inc. He has consulted with various financial institutions on issues of balance sheet restructuring and asset valuation.

William S. Berliner is the Principal of Berliner Consulting & Research, LLC, a boutique firm specializing in mortgages and mortgage-backed securities. His primary focus is security and loan valuation and hedging, serving both institutional investors and mortgage originators. Berliner also writes a monthly column for Asset Securitization Report.

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Table of Contents

Preface.

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.

Summary.

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.

Duration.

Convexity.

Yield Curve Risk.

Other Risk Measures.

Illustration of Risk Measures.

Summary.

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.

Summary.

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.

Summary.

INDEX.

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