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Preface | |
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About the Authors | |
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Introduction to Mortgage and MBS Markets | |
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Overview of Mortgages and the Consumer Mortgage Market | |
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Overview of Mortgages | |
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Mortgage Loan Mechanics | |
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Risks Associated with Mortgages and Mortgage Products | |
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Concepts Presented in this Chapter | |
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Overview of the Mortgage-Backed Securities Market | |
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Creating Different Types of MBS | |
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MBS Trading | |
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The Role of the MBS Markets in Generating Consumer Lending Rates | |
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Cash Flow Structuring | |
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Concepts Presented in this Chapter | |
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Payment and Default Metrics and Behavior | |
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Measurement of Prepayments and Defaults | |
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Prepayment Terminology | |
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Calculating Prepayment Speeds | |
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Delinquency, Default, and Loss Terminology | |
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Concepts Presented in this Chapter | |
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Prepayments and Factors Influencing the Return of Principal | |
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Prepayment Fundamentals | |
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Factors Influencing Prepayment Speeds | |
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Defaults and "Involuntary" Prepayments | |
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Concepts Presented in this Chapter | |
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Structuring | |
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Introduction to MBS Structuring Techniques | |
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Underlying Logic in Structuring Cash Flows | |
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Structuring Different Mortgage Products | |
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Fundamentals of Structuring CMOs | |
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Fundamental MBS Structuring Techniques: Divisions of Principal | |
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Time Tranching | |
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Planned Amortization Classes (PACs) and the PAC-Support Structure | |
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Targeted Amortization Class Bonds | |
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Z-Bonds and Accretion-Directed Tranches | |
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A Simple Structuring Example | |
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Concepts Presented in this Chapter | |
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Fundamental MBS Structuring Techniques: Division of Interest | |
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Coupon Stripping and Boosting | |
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Floater-Inverse Floater Combinations | |
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Two-Tiered Index Bonds (TTIBs) | |
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Excess Servicing IOs | |
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Concepts Presented in this Chapter | |
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Structuring Private-Label CMOs | |
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Private-LabeljCredit Enhancement | |
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Private-Labell Senior Structuring Variations | |
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Governing Documents | |
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Concepts Presented in this Chapter | |
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The Structuring of Mortgage ABS Deals | |
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Fundamentals of ABS Structures | |
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Credit Enhancement for Mortgage ABS Deals | |
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Factors Influencing the Credit Structure of Deals | |
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Additional Structuring Issues and Developments | |
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Concepts Presented in this Chapter | |
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Valuation and Analysis | |
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Techniques for Valuing MBS | |
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Static Cash Flow Yield Analysis | |
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Z-Spread | |
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Valuation Using Monte Carlo Simulation and OAS Analysis | |
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Total Return Analysis | |
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Concepts Presented in this Chapter | |
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Measuring MBS Interest Rate Risk | |
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Duration | |
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Convexity | |
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Yield Curve Risk | |
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Other Risk Measures | |
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Concepts Presented in this Chapter | |
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Evaluating Senior MBS and CMOs | |
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Yield and Spread Matrices | |
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Monte Carlo and OAS Analysis | |
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Total Return Analysis | |
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Evaluating Inverse Floaters | |
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Concepts Presented in this Chapter | |
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Analysis of Nonagency MBS | |
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Factors Impacting Returns from Nonagency MBS | |
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Understanding the Evolution of Credit Performance within a Transaction | |
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The Process of Estimating Private-Label MBS Returns | |
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Concepts Presented in this Chapter | |
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Appendix: An Option-Theoretic Approach to Valuing MBS | |
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Option-Theoretic Models for Valuing MBS | |
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An Option-Based Prepayment Model for Mortgages | |
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Valuation of Mortgages | |
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A Closer Look At Leapers and Laggards | |
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Index | |