LEADER 05488nam 2200697 a 450 001 9910812707003321 005 20200520144314.0 010 $a1-283-25808-0 010 $a9786613258083 010 $a1-118-14929-7 010 $a1-118-14927-0 035 $a(CKB)2550000000051538 035 $a(EBL)818785 035 $a(OCoLC)759040871 035 $a(SSID)ssj0000630365 035 $a(PQKBManifestationID)12226456 035 $a(PQKBTitleCode)TC0000630365 035 $a(PQKBWorkID)10744967 035 $a(PQKB)11789453 035 $a(Au-PeEL)EBL818785 035 $a(CaPaEBR)ebr10494487 035 $a(CaONFJC)MIL325808 035 $a(CaSebORM)9781118004692 035 $a(MiAaPQ)EBC818785 035 $a(EXLCZ)992550000000051538 100 $a20111010d2011 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aMortgage-backed securities$b[electronic resource] $eproducts, structuring, and analytical techniques /$fFrank J. Fabozzi, Anand K. Bhattacharya, William S. Berliner 205 $a2nd ed. 210 $aHoboken, N.J. $cWiley$d2011 215 $a1 online resource (354 p.) 225 1 $aFrank J. Fabozzi series 300 $aIncludes index. 311 $a1-118-00469-8 320 $aIncludes bibliographical references and index. 327 $aMortgage-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 Structuring 327 $aConcepts 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 Techniques 327 $aUnderlying 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) 327 $aExcess 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 MBS 327 $aStatic 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 MBS 327 $aUnderstanding the Evolution of Credit Performance within a Transaction 330 $aAn up-to-date look at the latest innovations in mortgage-backed securities Since the last edition of Mortgage-Backed Securities was published over three years ago, much has changed in the structured credit market. Frank Fabozzi, Anand Bhattacharya, and William Berliner all have many years of experience working in the fixed-income securitization markets, and have witnessed many cycles of change in the mortgage and MBS sectors. And now, with the Second Edition of Mortgage-Backed Securities, they share their knowledge on many of the products and structuring innovations that have t 410 0$aFrank J. Fabozzi series. 606 $aMortgage-backed securities 615 0$aMortgage-backed securities. 676 $a332.6323 676 $a332.63232 700 $aFabozzi$b Frank J$0109596 701 $aBhattacharya$b Anand K$01679883 701 $aBerliner$b William S$01679884 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910812707003321 996 $aMortgage-backed securities$94048463 997 $aUNINA