05488nam 2200697 a 450 991081270700332120200520144314.01-283-25808-097866132580831-118-14929-71-118-14927-0(CKB)2550000000051538(EBL)818785(OCoLC)759040871(SSID)ssj0000630365(PQKBManifestationID)12226456(PQKBTitleCode)TC0000630365(PQKBWorkID)10744967(PQKB)11789453(Au-PeEL)EBL818785(CaPaEBR)ebr10494487(CaONFJC)MIL325808(CaSebORM)9781118004692(MiAaPQ)EBC818785(EXLCZ)99255000000005153820111010d2011 uy 0engur|n|---|||||txtccrMortgage-backed securities[electronic resource] products, structuring, and analytical techniques /Frank J. Fabozzi, Anand K. Bhattacharya, William S. Berliner2nd ed.Hoboken, N.J. Wiley20111 online resource (354 p.)Frank J. Fabozzi seriesIncludes index.1-118-00469-8 Includes bibliographical references and index.Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques; Contents; Preface; About the Authors; Part One: Introduction to Mortgage and MBS Markets; Chapter 1: Overview of Mortgages and the Consumer Mortgage Market; Overview of Mortgages; Mortgage Loan Mechanics; Risks Associated with Mortgages and Mortgage Products; Concepts Presented in this Chapter; Chapter 2: Overview of the Mortgage-Backed Securities Market; Creating Different Types of MBS; MBS Trading; The Role of the MBS Markets in Generating Consumer Lending Rates; Cash Flow StructuringConcepts Presented in this ChapterPart Two: Prepayment and Default Metrics and Behavior; Chapter 3: Measurement of Prepayments and Defaults; Prepayment Terminology; Calculating Prepayment Speeds; Delinquency, Default, and Loss Terminology; Concepts Presented in this Chapter; Chapter 4: Prepayments and Factors Influencing the Return of Principal; Prepayment Fundamentals; Factors Influencing Prepayment Speeds; Defaults and ""Involuntary"" Prepayments; Concepts Presented in this Chapter; Part Three: Structuring; Chapter 5: Introduction to MBS Structuring TechniquesUnderlying Logic in Structuring Cash FlowsStructuring Different Mortgage Products; Fundamentals of Structuring CMOs; Chapter 6: Fundamental MBS Structuring Techniques: Divisions of Principal; Time Tranching; Planned Amortization Classes (PACs) and the PAC-Support Structure; Targeted Amortization Class Bonds; Z-Bonds and Accretion-Directed Tranches; A Simple Structuring Example; Concepts Presented in this Chapter; Chapter 7: Fundamental MBS Structuring Techniques: Divisions of Interest; Coupon Stripping and Boosting; Floater-Inverse Floater Combinations; Two-Tiered Index Bonds (TTIBs)Excess Servicing IOsConcepts Presented in this Chapter; Chapter 8: Structuring Private-Label CMOs; Private-Label Credit Enhancement; Private-Label Senior Structuring Variations; Governing Documents; Concepts Presented in this Chapter; Chapter 9: The Structuring of Mortgage ABS Deals; Fundamentals of ABS Structures; Credit Enhancement for Mortgage ABS Deals; Factors Influencing the Credit Structure of Deals; Additional Structuring Issues and Developments; Concepts Presented in this Chapter; Part Four: Valuation and Analysis; Chapter 10: Techniques for Valuing MBSStatic Cash Flow Yield AnalysisZ-Spread; Valuation Using Monte Carlo Simulation and OAS Analysis; Total Return Analysis; Concepts Presented in this Chapter; Chapter 11: Measuring MBS Interest Rate Risk; Duration; Convexity; Yield Curve Risk; Other Risk Measures; Concepts Presented in this Chapter; Chapter 12: Evaluating Senior MBS and CMOs; Yield and Spread Matrices; Monte Carlo and OAS Analysis; Total Return Analysis; Evaluating Inverse Floaters; Concepts Presented in this Chapter; Chapter 13: Analysis of Nonagency MBS; Factors Impacting Returns from Nonagency MBSUnderstanding the Evolution of Credit Performance within a TransactionAn up-to-date look at the latest innovations in mortgage-backed securities Since 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 tFrank J. Fabozzi series.Mortgage-backed securitiesMortgage-backed securities.332.6323332.63232Fabozzi Frank J109596Bhattacharya Anand K1679883Berliner William S1679884MiAaPQMiAaPQMiAaPQBOOK9910812707003321Mortgage-backed securities4048463UNINA