Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques (Frank J. Fabozzi Series)
Over the past quarter of a century, the market for mortgage-related securities has become the largest cash financial market in the world. The growing size and scope of the mortgage-backed securities (MBS) market—along with the broad range of products related to it—has forced many financial professionals to become more mindful of developments in MBS markets and the factors driving MBS issuance and performance.Frank Fabozzi, Anand Bhattacharya, and William Berliner all have many years of experience working in the fixed-income markets, and have witnessed many cycles of change in the mortgage and MBS sectors. And now, withMortgage-Backed Securities, they share their knowledge and insights on many of the product and structuring innovations that have impacted this financial market.Written 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—including detailed explanations of how MBS products, such as agency CMOs and mortgage ABS, are structured—as well as in-depth discussions of option-adjusted spreads, a variety of duration measures, and other analytical approaches used to assess relative value.Divided into four comprehensive parts, this reliable resource:Part One:provides you with a complete introduction to mortgage and MBS marketsPart Two:highlights the essential elements of prepayment and default behavior and performance metricsPart Three:illustrates a variety of structuring techniques, with an emphasis on defining both differences and commonalities across various mortgage products and techniquesPart Four:describes the methodologies and techniques used to value MBS products and assess interest-rate riskAn information-filled Appendix rounds out the discussion of mortgage-backed securities. This part of the book will introduce you to a new approach to mortgage valuation—called the option theoretic approach—which has been adopted by a number of Wall Street firms and received a great deal of interest from market professionals.A proliferation in the types of different loan products; the growth of lending to borrowers with non-traditional financial profiles; and a fluctuation in real estate prices have created the need for a reassessment of the MBS universe. Filled with in-depth insights and expert advice,Mortgage-Backed Securitiesoffers you a realistic assessment of this field and outlines the products, structures, and analytical techniques about which any successful investor needs to know.