{"product_id":"mortgage-backed-securities-isbn-9781118004692","title":"Mortgage-Backed Securities","description":"\u003cb\u003eAn up-to-date look at the latest innovations in mortgage-backed securities\u003c\/b\u003e \u003cp\u003eSince the last edition of \u003ci\u003eMortgage-Backed Securities\u003c\/i\u003e 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.\u003c\/p\u003e \u003cp\u003eWritten 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.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eDiscusses the dynamic interaction between the mortgage industry, home prices, and credit performance\u003c\/li\u003e \u003cli\u003eAddresses revised valuation techniques in which all non-agency MBS must be treated as credit pieces\u003c\/li\u003e \u003cli\u003eExamines the shift in this marketplace since the crisis and the impact on industry and investors\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eFilled with in-depth insights and expert advice, \u003ci\u003eMortgage-Backed Securities, Second Edition\u003c\/i\u003e 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.\u003c\/p\u003e \u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003eAbout the Authors xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART ONE Introduction to Mortgage and MBS Markets 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1 Overview of Mortgages and the Consumer Mortgage Market 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOverview of Mortgages 4\u003c\/p\u003e \u003cp\u003eMortgage Loan Mechanics 12\u003c\/p\u003e \u003cp\u003eRisks Associated with Mortgages and Mortgage Products 17\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 22\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2 Overview of the Mortgage-Backed Securities Market 23\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCreating Different Types of MBS 24\u003c\/p\u003e \u003cp\u003eMBS Trading 35\u003c\/p\u003e \u003cp\u003eThe Role of the MBS Markets in Generating Consumer Lending Rates 40\u003c\/p\u003e \u003cp\u003eCash Flow Structuring 44\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 46\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART TWO Prepayment and Default Metrics and Behavior 47\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3 Measurement of Prepayments and Defaults 49\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePrepayment Terminology 50\u003c\/p\u003e \u003cp\u003eCalculating Prepayment Speeds 52\u003c\/p\u003e \u003cp\u003eDelinquency, Default, and Loss Terminology 66\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 76\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4 Prepayments and Factors Influencing the Return of Principal 77 \u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePrepayment Fundamentals 77\u003c\/p\u003e \u003cp\u003eFactors Influencing Prepayment Speeds 85\u003c\/p\u003e \u003cp\u003eDefaults and “Involuntary” Prepayments 92\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 97\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART THREE Structuring 99\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5  Introduction to MBS Structuring Techniques 101\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eUnderlying Logic in Structuring Cash Flows 102\u003c\/p\u003e \u003cp\u003eStructuring Different Mortgage Products 103\u003c\/p\u003e \u003cp\u003eFundamentals of Structuring CMOs 106\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6 Fundamental MBS Structuring Techniques: Divisions of Principal 109\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTime Tranching 110\u003c\/p\u003e \u003cp\u003ePlanned Amortization Classes (PACs) and the PAC–Support Structure 116\u003c\/p\u003e \u003cp\u003eTargeted Amortization Class Bonds 130\u003c\/p\u003e \u003cp\u003eZ-Bonds and Accretion-Directed Tranches 130\u003c\/p\u003e \u003cp\u003eA Simple Structuring Example 134\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 140\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7 Fundamental MBS Structuring Techniques: Divisions of Interest 141\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCoupon Stripping and Boosting 143\u003c\/p\u003e \u003cp\u003eFloater–Inverse Floater Combinations 147\u003c\/p\u003e \u003cp\u003eTwo-Tiered Index Bonds (TTIBs) 156\u003c\/p\u003e \u003cp\u003eExcess Servicing IOs 160\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 166\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8 Structuring Private-Label CMOs 167\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePrivate-Label Credit Enhancement 169\u003c\/p\u003e \u003cp\u003ePrivate-Label Senior Structuring Variations 176\u003c\/p\u003e \u003cp\u003eGoverning Documents 189\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 191\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9 The Structuring of Mortgage ABS Deals 193\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFundamentals of ABS Structures 194\u003c\/p\u003e \u003cp\u003eCredit Enhancement for Mortgage ABS Deals 199\u003c\/p\u003e \u003cp\u003eFactors Influencing the Credit Structure of Deals 201\u003c\/p\u003e \u003cp\u003eAdditional Structuring Issues and Developments 203\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 208\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART FOUR Valuation and Analysis 209\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 10 Techniques for Valuing MBS 211\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStatic Cash Flow Yield Analysis 211\u003c\/p\u003e \u003cp\u003eZ-Spread 213\u003c\/p\u003e \u003cp\u003eValuation Using Monte Carlo Simulation and OAS Analysis 214\u003c\/p\u003e \u003cp\u003eTotal Return Analysis 226\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 229\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 11 Measuring MBS Interest Rate Risk 231\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDuration 231\u003c\/p\u003e \u003cp\u003eConvexity 238\u003c\/p\u003e \u003cp\u003eYield Curve Risk 241\u003c\/p\u003e \u003cp\u003eOther Risk Measures 242\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 244\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 12 Evaluating Senior MBS and CMOs 245\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eYield and Spread Matrices 246\u003c\/p\u003e \u003cp\u003eMonte Carlo and OAS Analysis 262\u003c\/p\u003e \u003cp\u003eTotal Return Analysis 268\u003c\/p\u003e \u003cp\u003eEvaluating Inverse Floaters 274\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 279\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 13 Analysis of Nonagency MBS 281\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFactors Impacting Returns from Nonagency MBS 281\u003c\/p\u003e \u003cp\u003eUnderstanding the Evolution of Credit Performance within a Transaction 284\u003c\/p\u003e \u003cp\u003eThe Process of Estimating Private-Label MBS Returns 290\u003c\/p\u003e \u003cp\u003eConcepts Presented in this Chapter 304\u003c\/p\u003e \u003cp\u003eAPPENDIX An Option-Theoretic Approach to Valuing MBS 305\u003c\/p\u003e \u003cp\u003eOption-Theoretic Models for Valuing MBS 306\u003c\/p\u003e \u003cp\u003eAn Option-Based Prepayment Model for Mortgages 307\u003c\/p\u003e \u003cp\u003eValuation of Mortgages 311\u003c\/p\u003e \u003cp\u003eA Closer Look At Leapers and Laggards 319\u003c\/p\u003e \u003cp\u003eValuation of MBS 323\u003c\/p\u003e \u003cp\u003eIndex 327\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eFRANK J. FABOZZI, P\u003csmall\u003eH\u003c\/small\u003eD, CFA,\u003c\/b\u003e 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 \u003ci\u003eJournal of Portfolio Management.\u003c\/i\u003e \u003c\/p\u003e\u003cp\u003e\u003cb\u003eANAND K. BHATTACHARYA, P\u003csmall\u003eH\u003c\/small\u003eD,\u003c\/b\u003e 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 \u0026amp; Company, Inc. He has consulted with various financial institutions on issues of balance sheet restructuring and asset valuation. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eWILLIAM S. BERLINER\u003c\/b\u003e is the Principal of Berliner Consulting \u0026amp; 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 \u003ci\u003eAsset Securitization Report.\u003c\/i\u003e   \u003c\/p\u003e\u003cp\u003eEven 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 \u003ci\u003eMortgage-Backed Securities\u003c\/i\u003e, 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. \u003c\/p\u003e\u003cp\u003eThat'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 \u003ci\u003eSecond Edition\u003c\/i\u003e of \u003ci\u003eMortgage-Backed Securities\u003c\/i\u003e. 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. \u003c\/p\u003e\u003cp\u003eEngaging 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. \u003c\/p\u003e\u003cp\u003eDivided into four comprehensive parts, this reliable resource contains cutting-edge concepts you'll need to understand in order to succeed within this arena. \u003c\/p\u003e\u003cp\u003e\u003cb\u003ePart One:\u003c\/b\u003e introduces the essential aspects of the mortgage and MBS markets \u003c\/p\u003e\u003cp\u003e\u003cb\u003ePart Two:\u003c\/b\u003e discusses prepayment and default behavior, along with an array of metrics and conventions used to quantify these activities \u003c\/p\u003e\u003cp\u003e\u003cb\u003ePart Three:\u003c\/b\u003e describes a variety of structures and tranches, along with techniques used in structuring them \u003c\/p\u003e\u003cp\u003e\u003cb\u003ePart Four:\u003c\/b\u003e outlines the metrics and methodologies necessary to evaluate the potential risks and returns associated with mortgage-backed securities \u003c\/p\u003e\u003cp\u003eThe mortgage and MBS markets remain in a highly unsettled state, which makes a broad and sophisticated understanding of MBS markets and products essential. The\u003ci\u003e Second Edition\u003c\/i\u003e of \u003ci\u003eMortgage-Backed Securities\u003c\/i\u003e 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.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989655666917,"sku":"NP9781118004692","price":100.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781118004692.jpg?v=1761784980","url":"https:\/\/k12savings.com\/products\/mortgage-backed-securities-isbn-9781118004692","provider":"K12savings","version":"1.0","type":"link"}