Mortgage-Backed Securities
Products, Structuring, and Analytical Techniques
2. Auflage
Erschienen am 31. August 2011
352 Seiten
978-1-118-14927-0 (ISBN)
Beschreibung
An up-to-date look at the latest innovations in mortgage-backedsecurities
Since the last edition of Mortgage-Backed Securities waspublished over three years ago, much has changed in the structuredcredit market. Frank Fabozzi, Anand Bhattacharya, and WilliamBerliner all have many years of experience working in thefixed-income securitization markets, and have witnessed many cyclesof change in the mortgage and MBS sectors. And now, with the SecondEdition of Mortgage-Backed Securities, they share their knowledgeon many of the products and structuring innovations that have takenplace since the financial crisis and fiscal reform.
Written in a straightforward and accessible style, andcontaining numerous illustrations, this timely guide skillfullyaddresses the investment characteristics, creation, and analysis ofmortgage-backed securities. Each chapter contains cutting-edgeconcepts that you'll need to understand in order to thrive withinthis arena.
* Discusses the dynamic interaction between the mortgageindustry, home prices, and credit performance
* Addresses revised valuation techniques in which all non-agencyMBS must be treated as credit pieces
* Examines the shift in this marketplace since the crisis and theimpact on industry and investors
Filled with in-depth insights and expert advice,Mortgage-Backed Securities, Second Edition offers you arealistic assessment of this field and outlines the products,structures, and analytical techniques you need to know about inthis evolving arena.
Weitere Details
Weitere Ausgaben
Personen
Frank J. Fabozzi, PhD, CFA, is Professor of Finance at EDHECBusiness School and a member of the EDHEC-Risk Institute. Prior tojoining EDHEC, he held various professorial positions in finance atYale University's School of Management from 1994 to 2011 and, from1986 to 1992, was a visiting professor of finance and accounting atMIT's Sloan School of Management. He is also Editor of the Journalof Portfolio Management.
Anand K. Bhattacharya, PhD, is a Professor of Practice inthe Department of Finance, W. P. Carey School of Business, ArizonaState University, and a Fixed Income Strategist with Stifel,Nicolaus & Company, Inc. He has consulted with variousfinancial institutions on issues of balance sheet restructuring andasset valuation.
William S. Berliner is the Principal of BerlinerConsulting & Research, LLC, a boutique firm specializing inmortgages and mortgage-backed securities. His primary focus issecurity and loan valuation and hedging, serving both institutionalinvestors and mortgage originators. Berliner also writes a monthlycolumn for Asset Securitization Report.
Inhalt
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 Credit Performance within a Transaction 284
The Process of Estimating Private-Label MBS Returns 290
Concepts Presented in this Chapter 304
APPENDIX: An Option-Theoretic Approach to Valuing MBS 305
Option-Theoretic Models for Valuing MBS 306
An Option-Based Prepayment Model for Mortgages 307
Valuation of Mortgages 311
A Closer Look At Leapers and Laggards 319
Valuation of MBS 323
Index 327
