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

Informationen zum Autor 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. Klappentext An up-to-date look at the latest innovations in mortgage-backed securitiesSince the last edition of Mortgage-Backed Securities was published over three years ago, much has changed in the structured credit market. Frank Fabozzi, Anand Bhattacharya, and William Berliner all have many years of experience working in the fixed-income securitization markets, and have witnessed many cycles of change in the mortgage and MBS sectors. And now, with the Second Edition of Mortgage-Backed Securities, they share their knowledge on many of the products and structuring innovations that have taken place since the financial crisis and fiscal reform.Written in a straightforward and accessible style, and containing numerous illustrations, this timely guide skillfully addresses the investment characteristics, creation, and analysis of mortgage-backed securities. Each chapter contains cutting-edge concepts that you'll need to understand in order to thrive within this arena.* Discusses the dynamic interaction between the mortgage industry, home prices, and credit performance* Addresses revised valuation techniques in which all non-agency MBS must be treated as credit pieces* Examines the shift in this marketplace since the crisis and the impact on industry and investorsFilled with in-depth insights and expert advice, Mortgage-Backed Securities, Second Edition offers you a realistic assessment of this field and outlines the products, structures, and analytical techniques you need to know about in this evolving arena. Zusammenfassung An up-to-date look at the latest innovations in mortgage-backed securities Since the last edition of Mortgage-Backed Securities was published over three years ago, much has changed in the structured credit market. Inhaltsverzeichnis Preface xiAbout the Authors xvPART ONE: Introduction to Mortgage and MBS Markets 1CHAPTER 1: Overview of Mortgages and the Consumer Mortgage Market 3Overview of Mortgages 4Mortgage Loan Mechanics 12Risks Associated with Mortgages and Mortgage Products 17Concepts Presented in this Chapter 22CHAPTER 2: Overview of the Mortgage-Backed Securities Market 23Creating Different Types of MBS 24MBS Trading 35The Role of the MBS Markets in Generating Consumer Lending Rates 40Cash Flow Structuring 44Concepts Presented in this Chapter 46PART TWO: Prepayment and Default Metrics and Behavior 47CHAPTER 3: Measurement of Prepayments and Defaults 49Prepayment Terminology 50Calculating Prepayment Speeds 52Delinquency, Default, and Loss Terminology 66Concepts Presented in this Chapter 76CHAPTER 4: Prepayments and Factors Influencing the Return of Principal 77Prepayment Fundamentals 77Factors Influencing Prepayment Speeds 85Defaults and "Involuntary" Prepayments ...

Inhaltsverzeichnis

Preface xi
 
About the Authors xv
 
PART ONE: Introduction to Mortgage and MBS Markets 1
 
CHAPTER 1: Overview of Mortgages and the Consumer Mortgage Market 3
 
Overview of Mortgages 4
 
Mortgage Loan Mechanics 12
 
Risks Associated with Mortgages and Mortgage Products 17
 
Concepts Presented in this Chapter 22
 
CHAPTER 2: Overview of the Mortgage-Backed Securities Market 23
 
Creating Different Types of MBS 24
 
MBS Trading 35
 
The Role of the MBS Markets in Generating Consumer Lending Rates 40
 
Cash Flow Structuring 44
 
Concepts Presented in this Chapter 46
 
PART TWO: Prepayment and Default Metrics and Behavior 47
 
CHAPTER 3: Measurement of Prepayments and Defaults 49
 
Prepayment Terminology 50
 
Calculating Prepayment Speeds 52
 
Delinquency, Default, and Loss Terminology 66
 
Concepts Presented in this Chapter 76
 
CHAPTER 4: Prepayments and Factors Influencing the Return of Principal 77
 
Prepayment Fundamentals 77
 
Factors Influencing Prepayment Speeds 85
 
Defaults and "Involuntary" Prepayments 92
 
Concepts Presented in this Chapter 97
 
PART THREE: Structuring 99
 
CHAPTER 5: Introduction to MBS Structuring Techniques 101
 
Underlying Logic in Structuring Cash Flows 102
 
Structuring Different Mortgage Products 103
 
Fundamentals of Structuring CMOs 106
 
CHAPTER 6: Fundamental MBS Structuring Techniques: Divisions of Principal 109
 
Time Tranching 110
 
Planned Amortization Classes (PACs) and the PAC-Support Structure 116
 
Targeted Amortization Class Bonds 130
 
Z-Bonds and Accretion-Directed Tranches 130
 
A Simple Structuring Example 134
 
Concepts Presented in this Chapter 140
 
CHAPTER 7: Fundamental MBS Structuring Techniques: Divisions of Interest 141
 
Coupon Stripping and Boosting 143
 
Floater-Inverse Floater Combinations 147
 
Two-Tiered Index Bonds (TTIBs) 156
 
Excess Servicing IOs 160
 
Concepts Presented in this Chapter 166
 
CHAPTER 8: Structuring Private-Label CMOs 167
 
Private-Label Credit Enhancement 169
 
Private-Label Senior Structuring Variations 176
 
Governing Documents 189
 
Concepts Presented in this Chapter 191
 
CHAPTER 9: The Structuring of Mortgage ABS Deals 193
 
Fundamentals of ABS Structures 194
 
Credit Enhancement for Mortgage ABS Deals 199
 
Factors Influencing the Credit Structure of Deals 201
 
Additional Structuring Issues and Developments 203
 
Concepts Presented in this Chapter 208
 
PART FOUR: Valuation and Analysis 209
 
CHAPTER 10: Techniques for Valuing MBS 211
 
Static Cash Flow Yield Analysis 211
 
Z-Spread 213
 
Valuation Using Monte Carlo Simulation and OAS Analysis 214
 
Total Return Analysis 226
 
Concepts Presented in this Chapter 229
 
CHAPTER 11: Measuring MBS Interest Rate Risk 231
 
Duration 231
 
Convexity 238
 
Yield Curve Risk 241
 
Other Risk Measures 242
 
Concepts Presented in this Chapter 244
 
CHAPTER 12: Evaluating Senior MBS and CMOs 245
 
Yield and Spread Matrices 246
 
Monte Carlo and OAS Analysis 262
 
Total Return Analysis 268
 
Evaluating Inverse Floaters 274
 
Concepts Presented in this Chapter 279
 
CHAPTER 13: Analysis of Nonagency MBS 281
 
Factors Impacting Returns from Nonagency MBS 281
 
Understanding the Evolution of Cred

Produktdetails

• Autoren: Berliner, W Berliner, William S. Berliner, Bhattacharya, Anand Bhattacharya, Anand K Bhattacharya, Anand K. Bhattacharya, Fabozzi, Fj Fabozzi, Frank Fabozzi, Frank J Fabozzi, Frank J. Fabozzi, Frank J. (School of Management Fabozzi, Frank J. Bhattacharya Fabozzi, FABOZZI FRANK J BHATTACHARYA AN
• Verlag: Wiley, John and Sons Ltd
• Sprache: Englisch
• Produktform: Fester Einband
• Erschienen: 21.10.2011
• EAN: 9781118004692
• ISBN: 978-1-118-00469-2
• Seiten: 352
• Serien: Frank J. Fabozzi Series; Frank J. Fabozzi; Frank J. Fabozzi Series
• Themen: Sozialwissenschaften, Recht,Wirtschaft > Wirtschaft > Betriebswirtschaft; Finance & Investments, Finanz- u. Anlagewesen, Institutionelle Finanzplanung, Institutional & Corporate Finance