Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques (Frank J. Fabozzi Series)

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9780470047736: Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques (Frank J. Fabozzi Series)

An in-depth look at the latest innovations in mortgage-backed securities

The largest sector of the fixed-income market is the mortgage market. Understanding this market is critical for portfolio managers, as well as issuers who must be familiar with how these securities are structured. Mortgage-Backed Securities is a timely guide to the investment characteristics, creation, and analysis of residential real estate-backed securities. Each chapter contains cutting-edge information for investors, traders, and other professionals involved in this market, including discussions of structuring mortgage products-such as agency CMOs and new types of mortgages-and an in-depth explanation of the concept of option-adjusted spreads and other analytical concepts used to assess relative value.

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From the Inside Flap:

Over the past quarter of a century, the market for mortgage-related securities has become the largest cash financial market in the world. The growing size and scope of the mortgage-backed securities (MBS) market—along with the broad range of products related to it—has forced many financial professionals to become more mindful of developments in MBS markets and the factors driving MBS issuance and performance.

Frank Fabozzi, Anand Bhattacharya, and William Berliner all have many years of experience working in the fixed-income markets, and have witnessed many cycles of change in the mortgage and MBS sectors. And now, with Mortgage-Backed Securities, they share their knowledge and insights on many of the product and structuring innovations that have impacted this financial market.

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—including detailed explanations of how MBS products, such as agency CMOs and mortgage ABS, are structured—as well as in-depth discussions of option-adjusted spreads, a variety of duration measures, and other analytical approaches used to assess relative value.

Divided into four comprehensive parts, this reliable resource:

Part One: provides you with a complete introduction to mortgage and MBS markets

Part Two: highlights the essential elements of prepayment and default behavior and performance metrics

Part Three: illustrates a variety of structuring techniques, with an emphasis on defining both differences and commonalities across various mortgage products and techniques

Part Four: describes the methodologies and techniques used to value MBS products and assess interest-rate risk

An information-filled Appendix rounds out the discussion of mortgage-backed securities. This part of the book will introduce you to a new approach to mortgage valuation—called the option theoretic approach—which has been adopted by a number of Wall Street firms and received a great deal of interest from market professionals.

A proliferation in the types of different loan products; the growth of lending to borrowers with non-traditional financial profiles; and a fluctuation in real estate prices have created the need for a reassessment of the MBS universe. Filled with in-depth insights and expert advice, Mortgage-Backed Securities offers you a realistic assessment of this field and outlines the products, structures, and analytical techniques about which any successful investor needs to know.

From the Back Cover:

Mortgage-Backed Securities

In the last two decades, the market for mortgage-backed securities (MBS) has quickly grown. In addition to its size, this market has also become increasingly flexible and dynamic.

Frank Fabozzi, Anand Bhattacharya, and William Berliner understand the intricacies of the MBS market, and now, with Mortgage-Backed Securities, they share this essential information with you.

Filled with in-depth insights and expert advice, this comprehensive guide skillfully addresses the investment characteristics, creation, and analysis of mortgage-backed securities. Each informative chapter outlines the products, structures, and analytical techniques traders and investors need to be familiar with in order to succeed on a daily basis.

Written for financial professionals by financial professionals, this book covers a variety of MBS-related issues, including:

  • An overview of prepayment and default behavior and performance metrics

  • Fundamental MBS structuring techniques—such as divisions of principal and interest

  • The structuring of private-label CMOs

  • Measuring MBS interest-rate risk

  • Evaluating senior MBS and CMOs

  • An option theoretic approach to valuing MBS

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Fabozzi, Frank J., Bhattacharya, Anand K
Published by Wiley (2007)
ISBN 10: 0470047739 ISBN 13: 9780470047736
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Frank J. Fabozzi, Anand K. Bhattacharya, William S. Berliner
Published by Wiley (2007)
ISBN 10: 0470047739 ISBN 13: 9780470047736
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