Mortgage-Backed Securities

Frank J. Fabozzi , CFA 지음

Wiley 2011년 08월 31일 출간

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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 performanceAddresses revised valuation techniques in which all non-agency MBS must be treated as credit piecesExamines 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.

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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 92Concepts Presented in this Chapter 97PART THREE: Structuring 99CHAPTER 5: Introduction to MBS Structuring Techniques 101Underlying Logic in Structuring Cash Flows 102Structuring Different Mortgage Products 103Fundamentals of Structuring CMOs 106CHAPTER 6: Fundamental MBS Structuring Techniques: Divisions of Principal 109Time Tranching 110Planned Amortization Classes (PACs) and the PAC&~Support Structure 116Targeted Amortization Class Bonds 130Z-Bonds and Accretion-Directed Tranches 130A Simple Structuring Example 134Concepts Presented in this Chapter 140CHAPTER 7: Fundamental MBS Structuring Techniques: Divisions of Interest 141Coupon Stripping and Boosting 143Floater&~Inverse Floater Combinations 147Two-Tiered Index Bonds (TTIBs) 156Excess Servicing IOs 160Concepts Presented in this Chapter 166CHAPTER 8:

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저자(글) Frank J. Fabozzi

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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.

저자(글) CFA