Mortgage-Backed Securities Products, Structuring, and Analytical Techniques

ISBN-10: 1118004698
ISBN-13: 9781118004692
Edition: 2nd 2011
List price: $80.00
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Book details

List price: $80.00
Edition: 2nd
Copyright year: 2011
Publisher: John Wiley & Sons, Limited
Publication date: 10/21/2011
Binding: Hardcover
Pages: 352
Size: 6.25" wide x 9.50" long x 1.50" tall
Weight: 1.474

Douglas J. Lucas is Executive Director and Head of CDO Research at UBS. He is also Chairman of The Bond Market Association's CDO Research Committee and ranked top three in CDO research in the Institutional Investor's fixed income analyst survey. Lucas has been involved in the CDO market for nearly two decades, having developed Moody's rating methodology for CDOs in 1989.LAURIE S. GOODMAN, PhD, is Managing Director and co-Head of Global Fixed Income Research at UBS. She manages U.S. Securitized Products and Treasury/Agency/Derivatives Research. Goodman has worked on Wall Street for over twenty years and is well regarded by the investor community, having won more #1 slots on the Institutional Investor All-American Fixed Income Team than any other analyst.FRANK J. FABOZZI, PhD, CFA, CPA, is an Adjunct Professor of Finance and Becton Fellow at Yale University's School of Management and a Fellow of the International Center for Finance. Fabozzi is the Editor of the Journal of Portfolio Management.

Preface
About the Authors
Introduction to Mortgage and MBS Markets
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
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
Concepts Presented in this Chapter
Payment and Default Metrics and Behavior
Measurement of Prepayments and Defaults
Prepayment Terminology
Calculating Prepayment Speeds
Delinquency, Default, and Loss Terminology
Concepts Presented in this Chapter
Prepayments and Factors Influencing the Return of Principal
Prepayment Fundamentals
Factors Influencing Prepayment Speeds
Defaults and "Involuntary" Prepayments
Concepts Presented in this Chapter
Structuring
Introduction to MBS Structuring Techniques
Underlying Logic in Structuring Cash Flows
Structuring Different Mortgage Products
Fundamentals of Structuring CMOs
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
Fundamental MBS Structuring Techniques: Division of Interest
Coupon Stripping and Boosting
Floater-Inverse Floater Combinations
Two-Tiered Index Bonds (TTIBs)
Excess Servicing IOs
Concepts Presented in this Chapter
Structuring Private-Label CMOs
Private-LabeljCredit Enhancement
Private-Labell Senior Structuring Variations
Governing Documents
Concepts Presented in this Chapter
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
Valuation and Analysis
Techniques for Valuing MBS
Static Cash Flow Yield Analysis
Z-Spread
Valuation Using Monte Carlo Simulation and OAS Analysis
Total Return Analysis
Concepts Presented in this Chapter
Measuring MBS Interest Rate Risk
Duration
Convexity
Yield Curve Risk
Other Risk Measures
Concepts Presented in this Chapter
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
Analysis of Nonagency MBS
Factors Impacting Returns from Nonagency MBS
Understanding the Evolution of Credit Performance within a Transaction
The Process of Estimating Private-Label MBS Returns
Concepts Presented in this Chapter
Appendix: An Option-Theoretic Approach to Valuing MBS
Option-Theoretic Models for Valuing MBS
An Option-Based Prepayment Model for Mortgages
Valuation of Mortgages
A Closer Look At Leapers and Laggards
Index

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