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 Even with the recent events that have occurred in this field, mortgage-backed securities (MBS) continue to comprise one of the largest securities markets in the world. However, since the publication of the first edition of Mortgage-Backed Securities , both the consumer mortgage and MBS sectors have undergone significant changes?many of them resulting directly, and indirectly, from the collapse in mortgage performance that initially appeared in late 2006 and led to the financial crisis of 2007?2008. That's why the expert author team of Frank Fabozzi, Anand Bhattacharya, and William Berliner?who have witnessed many cycles of change in the mortgage and MBS sectors?have returned to create the Second Edition of Mortgage-Backed Securities . In it, they skillfully reassess the MBS sector in the context of the changes resulting from the crisis, as well as explore the insights gained in the post-crisis period. Engaging and informative, this updated edition continues to address the investment characteristics, creation, and analysis of mortgage-backed securities, but now does so with the lessons and data accumulated from post-2006 events in mind. Along the way, it offers valuable insights that reflect the current market environment: reexamining prepayment behavior and analysis to describe the latest thinking on prepayment speeds and behavior, while taking into account credit and housing-related factors; and devoting an entirely new chapter to the evaluation of non-agency MBS. Divided into four comprehensive parts, this reliable resource contains cutting-edge concepts you'll need to understand in order to succeed within this arena. Part One: introduces the essential aspects of the mortgage and MBS markets Part Two: discusses prepayment and default behavior, along with an array of metrics and conventions used to quantify these activities Part Three: describes a variety of structures and tranches, along with techniques used in structuring them Part Four: outlines the metrics and methodologies necessary to evaluate the potential risks and returns associated with mortgage-backed securities The mortgage and MBS markets remain in a highly unsettled state, which makes a broad and sophisticated understanding of MBS markets and products essential. The Second Edition of Mortgage-Backed Securities offers you a realistic assessment of this field and will put you in a better position to excel in one of the most dynamic and challenging areas of finance. 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.<...

List of contents

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

Product details

• Authors: Berliner, W Berliner, William S. Berliner, Berliner William S., Bhattacharya, Anand Bhattacharya, Anand K Bhattacharya, Anand K. Bhattacharya, Bhattacharya Anand K., 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, Fabozzi Frank J.
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 21.10.2011
• EAN: 9781118004692
• ISBN: 978-1-118-00469-2
• No. of pages: 352
• Series: Frank J. Fabozzi Series; Frank J. Fabozzi; Frank J. Fabozzi Series
• Subjects: Social sciences, law, business > Business > Business administration; Finance & Investments, Finanz- u. Anlagewesen, Institutionelle Finanzplanung, Institutional & Corporate Finance