Customer Reviews

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

5 star:		(6)
4 star:		(1)
3 star:		(0)
2 star:		(1)
1 star:		(0)

 

 

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!

This book can be used either as a reference for specific technical securities questions or for generic background reading on a related topic. Many people in our office find it very useful and it always seems to disappear from my desk. A must have five star book!

A well-written, easy-to-follow book that serves as a fantastic addition to any fixed income or real estate curriculum. Those already in or looking to enter the mortgage securitization business should have the information contained in this book as part of their arsenal.

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.

The guy next to our office was working with AFT/Intex and doing some ABS/MBS modeling. He did some presentation on the subject, but I didn't understood a word he spoke. However, the product looked interesting. So I decided to check it out in this book.

I have to say it is presented very nicely. I only read about 3/4th of the book. I have not used the knowledge for anything yet. So I cannot say how much it has helped me. But the topic is clear and well presented.

Very disappointing. Poorly written starting from the first introductory pages. Be aware of most of the positive reviews, which must have been done by friends of the authors (I guess, since they did not review anything else on amazon). Initial section (on mortgages) is okay, but that part you find it on any financial engineering book. Nothing special or new, except that many concepts and logical connections about why things work in a certain way are already missing. The next sections on structuring are terrible: confusing, and poorly organized (it seems the authors "copied" material without being able to explain things.) If I did not know the subject matter already (a) I would not be able to understand what the book says (some of the very simple concepts are made difficult and complicated for no reason) and (b) I would understand things the wrong way (see the sections on Z-bonds, for instance, IOs, or floaters/inverse floaters), which are all a misleading representation of both market reality and underlying structuring math. Out of curiosity I checked "Wikipedia", which, in a few lines, definitely gave better, more precise and understandable definitions than the ones provides in numerous pages in the book. This book is not worth your money. Another example of a "commercial" textbook, backed by a somewhat famous name, but with no real value.

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.

Compared to other books and especially handbook of mbs this book has very uniform treatment you don't feel like it is a collection of articles written by different people. The subject is discussed with detail and flow which will allow a person to put it in practice. Have not read the book from cover to cover yet but whatever random parts I read I got answers to questions I had been having for quite sometime.