Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques (Frank J. Fabozzi Series) (Hardcover)

by Frank J. Fabozzi (Author), Anand K. Bhattacharya (Author), William S. Berliner (Author)
Key Phrases: parent tranche, structuring band, disburse principal payments, Monte Carlo, Freddie Mac, Fannie Mae (more...)

Editorial Reviews

Product Description
An in-depth look at the latest innovations in mortgage-backed securities

The largest sector of the fixed-income market is the mortgage market. Understanding this market is critical for portfolio managers, as well as issuers who must be familiar with how these securities are structured. Mortgage-Backed Securities is a timely guide to the investment characteristics, creation, and analysis of residential real estate-backed securities. Each chapter contains cutting-edge information for investors, traders, and other professionals involved in this market, including discussions of structuring mortgage products-such as agency CMOs and new types of mortgages-and an in-depth explanation of the concept of option-adjusted spreads and other analytical concepts used to assess relative value.

From the Inside Flap
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, with Mortgage-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 markets

Part Two: highlights the essential elements of prepayment and default behavior and performance metrics

Part Three: illustrates a variety of structuring techniques, with an emphasis on defining both differences and commonalities across various mortgage products and techniques

Part Four: describes the methodologies and techniques used to value MBS products and assess interest-rate risk

An 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 Securities offers you a realistic assessment of this field and outlines the products, structures, and analytical techniques about which any successful investor needs to know.

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Product Details

• Hardcover: 336 pages
• Publisher: Wiley (July 9, 2007)
• Language: English
• ISBN-10: 0470047739
• ISBN-13: 978-0470047736
• Product Dimensions: 9.1 x 6.2 x 1.3 inches
• Shipping Weight: 1.2 pounds (View shipping rates and policies)
• Average Customer Review: 4.8 out of 5 stars See all reviews (6 customer reviews)
• Amazon.com Sales Rank: #73,856 in Books (See Bestsellers in Books)

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Customer Reviews

Most Helpful Customer Reviews

2 of 2 people found the following review helpful:

5.0 out of 5 stars the gold standard, August 6, 2008

By	Yodo (Calabasas, CA) - See all my reviews

I think this book is the new gold standard for MBS. Unlike previous MBS books I have read, this one flows well from chapter to chapter and can actually walk someone new to the field through collateral, structuring and valuation in a logical manner. Excellent job!

2 of 2 people found the following review helpful:

5.0 out of 5 stars A must read for those involved in the MBS market, July 1, 2008

By	mgsanchez (Los Angeles) - See all my reviews

The book provides a very complete overview the residential mortgage-backed securities market and is written by two gentlemen that were arguably at "the center of the storm" at Countrywide Securities.

The book is structured nicely taking the reader from a general overview of the MBS market to a detailed look of the process of securitization through to investing in the end securities.

The chapters dedicated to the structuring and credit enhancement techniques of residential ABS deals a particularly useful to people just entering the current market. The unique perspectives on measuring loan performance and influences on collateral prepayments are also very useful reading.

All in all a must read for those beginning in the industry and a great reference for those of us that might have forgotten a few things.

6 of 8 people found the following review helpful:

4.0 out of 5 stars understand some innovative instruments, September 5, 2007

By	W Boudville (Terra, Sol 3) - See all my reviews (TOP 50 REVIEWER)    (REAL NAME)

If you are a securities analyst wanting to understand recent innovations in financial instruments, Fabozii's topic can be very germane. He describes the myriad ways that bundling together mortgages can produce, in terms of cash flow and risk. Naturally, the book delves heavily into how well both can be modelled.

Specifically, there is a key section on how to measure prepayments and defaults. Both act against the "ideal" nature of a given instrument. Where ideal means that all debtholders will repay the debts in full and on the regular predicated schedule. We see different measures of delinquency - for example - current, 30 days delinquent, 60 days delinquent, and 90+ days delinquent. This is one very common classification, used by the US Office of Thrift Supervision. Other groups has similar measures.

Much other space in the book explains how the cash flow can be divided into tranches. Different ones based on differing yields and risk.

A cynical reader might surmise that the implementation of ideas like those in the book have contributed to the recent turmoil in the mortgage industry. Aiding and abetting.