Mortgage-backed securities: products, structuring, and analytical techniques
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2007
|
| Series: | The Frank J. Fabozzi Series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVI, 318 S. graf. Darst. |
| ISBN: | 9780470047736 |
Staff View
MARC
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| 100 | 1 | |a Fabozzi, Frank J. |d 1948- |e Verfasser |0 (DE-588)129772054 |4 aut | |
| 245 | 1 | 0 | |a Mortgage-backed securities |b products, structuring, and analytical techniques |c Frank J. Fabozzi ; Anand K. Bhattacharya ; William S. Berliner |
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2007 | |
| 300 | |a XVI, 318 S. |b graf. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 490 | 0 | |a The Frank J. Fabozzi Series | |
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Record in the Search Index
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|---|---|
| adam_text |
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
11
Risks Associated with Mortgages and Mortgage Products
16
CHAPTER
2
Overview of the Mortgage-Backed Securities Market
21
Creating Different Types of MBS
22
MBS Trading
32
The Role of the MBS Markets in Generating Consumer Lending Rates
37
Cash Flow Structuring
41
PART TWO
Prepayment and Default Metrics and Behavior
45
chapter
з
Measurement of Prepayments and Defaults
47
Prepayment Convention Terminology
47
Delinquency, Default, and Loss Terminology
63
CHAPTER
4
Prepayment Behavior and Performance
71
Prepayment Behavior
71
vii
Vi
CONTENTS
Drivers of Prepayment Activity
74
Additional Factors Affecting Prepayment Speeds
90
Prepayment Behavior or "Nonfixed-Payment" Products
92
Summary
96
PART THREE
Structuring
97
CHAPTER
5
Introduction to MBS Structuring Techniques
99
Underlying Logic in Structuring Cash Flows
100
Structuring Different Mortgage Products
101
Fundamentals of Structuring CMOs
104
CHAPTER
6
Fundamental MBS Structuring Techniques: Divisions of Principal
107
Time Tranching
108
Planned Amortization Classes (PACs) and the
PAC/Support
Structure
114
Targeted Amortization Class Bonds
127
Z-Bonds and Accretion-Directed Tranches
128
A Simple Structuring Example
132
CHAPTER
7
Fundamentai MBS
Structuring Techniques: Divisions of Interest
139
Coupon Stripping and Boosting
141
FloaterAnverse Floater Combinations
145
Two-Tiered Index Bonds (TTIBs)
154
Excess Servicing IOs
158
CHAPTER
8
Structuring Private Label CMOs
165
Private Label Credit Enhancement
167
Private Label Senior Structuring Variations
174
CHAPTER
9
The Structuring of Mortgage
ABS
Deais
1
87
Fundamentals of
ABS
Structures
188
Credit Enhancement for Mortgage
ABS
Deals
193
Factors Influencing the Credit Structure of Deals
195
Additional Structuring Issues and Developments
196
Contents
ЇХ
PART FOUR
Valuation and Analysis
203
CHAPTER
10
Techniques for Valuing MBS
205
Static Cash Flow Yield Analysis
206
Zero-Volatility Spread
207
Valuation Using Monte Carlo Simulation and
OAS
Analysis
208
Total Return Analysis
220
CHAPTER
11
Measuring MBS Interest Rate Risk
225
Duration
225
Convexity
232
Yield Curve Risk
235
Other Risk Measures
236
Illustration of Risk Measures
238
Summary
238
CHAPTER
12
Evaluating Senior MBS and CMOs
241
Yield and Spread Matrices
242
Monte Carlo and
OAS
Analysis
258
Total Return Analysis
263
Comparing the Analysis of Agency and Private Label Tranches
270
Evaluating Inverse Floaters
272
Summary
276
APPENDIX
An Option-Theoretic Approach to Valuing MBS
277
Option-Theoretic Models for Valuing MBS
278
An Option-Based Prepayment Model for Mortgages
279
Valuation of Mortgages
283
A Closer Look at Leapers and Laggards
291
Valuation of MBS
295
Summary
299
INDEX
301 |
| adam_txt |
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
11
Risks Associated with Mortgages and Mortgage Products
16
CHAPTER
2
Overview of the Mortgage-Backed Securities Market
21
Creating Different Types of MBS
22
MBS Trading
32
The Role of the MBS Markets in Generating Consumer Lending Rates
37
Cash Flow Structuring
41
PART TWO
Prepayment and Default Metrics and Behavior
45
chapter
з
Measurement of Prepayments and Defaults
47
Prepayment Convention Terminology
47
Delinquency, Default, and Loss Terminology
63
CHAPTER
4
Prepayment Behavior and Performance
71
Prepayment Behavior
71
vii
Vi
CONTENTS
Drivers of Prepayment Activity
74
Additional Factors Affecting Prepayment Speeds
90
Prepayment Behavior or "Nonfixed-Payment" Products
92
Summary
96
PART THREE
Structuring
97
CHAPTER
5
Introduction to MBS Structuring Techniques
99
Underlying Logic in Structuring Cash Flows
100
Structuring Different Mortgage Products
101
Fundamentals of Structuring CMOs
104
CHAPTER
6
Fundamental MBS Structuring Techniques: Divisions of Principal
107
Time Tranching
108
Planned Amortization Classes (PACs) and the
PAC/Support
Structure
114
Targeted Amortization Class Bonds
127
Z-Bonds and Accretion-Directed Tranches
128
A Simple Structuring Example
132
CHAPTER
7
Fundamentai MBS
Structuring Techniques: Divisions of Interest
139
Coupon Stripping and Boosting
141
FloaterAnverse Floater Combinations
145
Two-Tiered Index Bonds (TTIBs)
154
Excess Servicing IOs
158
CHAPTER
8
Structuring Private Label CMOs
165
Private Label Credit Enhancement
167
Private Label Senior Structuring Variations
174
CHAPTER
9
The Structuring of Mortgage
ABS
Deais
1
87
Fundamentals of
ABS
Structures
188
Credit Enhancement for Mortgage
ABS
Deals
193
Factors Influencing the Credit Structure of Deals
195
Additional Structuring Issues and Developments
196
Contents
ЇХ
PART FOUR
Valuation and Analysis
203
CHAPTER
10
Techniques for Valuing MBS
205
Static Cash Flow Yield Analysis
206
Zero-Volatility Spread
207
Valuation Using Monte Carlo Simulation and
OAS
Analysis
208
Total Return Analysis
220
CHAPTER
11
Measuring MBS Interest Rate Risk
225
Duration
225
Convexity
232
Yield Curve Risk
235
Other Risk Measures
236
Illustration of Risk Measures
238
Summary
238
CHAPTER
12
Evaluating Senior MBS and CMOs
241
Yield and Spread Matrices
242
Monte Carlo and
OAS
Analysis
258
Total Return Analysis
263
Comparing the Analysis of Agency and Private Label Tranches
270
Evaluating Inverse Floaters
272
Summary
276
APPENDIX
An Option-Theoretic Approach to Valuing MBS
277
Option-Theoretic Models for Valuing MBS
278
An Option-Based Prepayment Model for Mortgages
279
Valuation of Mortgages
283
A Closer Look at Leapers and Laggards
291
Valuation of MBS
295
Summary
299
INDEX
301 |
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| indexdate | 2024-07-20T04:39:08Z |
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| series2 | The Frank J. Fabozzi Series |
| spelling | Fabozzi, Frank J. 1948- Verfasser (DE-588)129772054 aut Mortgage-backed securities products, structuring, and analytical techniques Frank J. Fabozzi ; Anand K. Bhattacharya ; William S. Berliner Hoboken, NJ Wiley 2007 XVI, 318 S. graf. Darst. txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi Series Mortgage-backed securities Wertpapier (DE-588)4065674-3 gnd rswk-swf Innovation (DE-588)4027089-0 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Sicherungshypothek (DE-588)4181174-4 gnd rswk-swf Mortgage-Backed Security (DE-588)4593741-2 gnd rswk-swf Asset-Backed Security (DE-588)4343344-3 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf Mortgage-Backed Security (DE-588)4593741-2 s Kreditmarkt (DE-588)4073788-3 s Innovation (DE-588)4027089-0 s Asset-Backed Security (DE-588)4343344-3 s DE-604 USA (DE-588)4078704-7 g Sicherungshypothek (DE-588)4181174-4 s Wertpapier (DE-588)4065674-3 s 1\p DE-604 Bhattacharya, Anand K. Verfasser aut Berliner, William S. Verfasser aut Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015513457&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Fabozzi, Frank J. 1948- Bhattacharya, Anand K. Berliner, William S. Mortgage-backed securities products, structuring, and analytical techniques Mortgage-backed securities Wertpapier (DE-588)4065674-3 gnd Innovation (DE-588)4027089-0 gnd Kreditmarkt (DE-588)4073788-3 gnd Sicherungshypothek (DE-588)4181174-4 gnd Mortgage-Backed Security (DE-588)4593741-2 gnd Asset-Backed Security (DE-588)4343344-3 gnd |
| subject_GND | (DE-588)4065674-3 (DE-588)4027089-0 (DE-588)4073788-3 (DE-588)4181174-4 (DE-588)4593741-2 (DE-588)4343344-3 (DE-588)4078704-7 |
| title | Mortgage-backed securities products, structuring, and analytical techniques |
| title_auth | Mortgage-backed securities products, structuring, and analytical techniques |
| title_exact_search | Mortgage-backed securities products, structuring, and analytical techniques |
| title_exact_search_txtP | Mortgage-backed securities products, structuring, and analytical techniques |
| title_full | Mortgage-backed securities products, structuring, and analytical techniques Frank J. Fabozzi ; Anand K. Bhattacharya ; William S. Berliner |
| title_fullStr | Mortgage-backed securities products, structuring, and analytical techniques Frank J. Fabozzi ; Anand K. Bhattacharya ; William S. Berliner |
| title_full_unstemmed | Mortgage-backed securities products, structuring, and analytical techniques Frank J. Fabozzi ; Anand K. Bhattacharya ; William S. Berliner |
| title_short | Mortgage-backed securities |
| title_sort | mortgage backed securities products structuring and analytical techniques |
| title_sub | products, structuring, and analytical techniques |
| topic | Mortgage-backed securities Wertpapier (DE-588)4065674-3 gnd Innovation (DE-588)4027089-0 gnd Kreditmarkt (DE-588)4073788-3 gnd Sicherungshypothek (DE-588)4181174-4 gnd Mortgage-Backed Security (DE-588)4593741-2 gnd Asset-Backed Security (DE-588)4343344-3 gnd |
| topic_facet | Mortgage-backed securities Wertpapier Innovation Kreditmarkt Sicherungshypothek Mortgage-Backed Security Asset-Backed Security USA |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015513457&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT fabozzifrankj mortgagebackedsecuritiesproductsstructuringandanalyticaltechniques AT bhattacharyaanandk mortgagebackedsecuritiesproductsstructuringandanalyticaltechniques AT berlinerwilliams mortgagebackedsecuritiesproductsstructuringandanalyticaltechniques |