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Preface.
About the Authors.

PART ONE: Introduction to Mortgage and MBS Markets.
Chapter 1: Overview of Mortgages and the Consumer Mortgage Market.
Overview of Mortgages.
Mortgage Loan Mechanics.
Risks Associated with Mortgages and Mortgage Products.

Chapter 2: 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.

PART TWO: Prepayment and Default Metrics and Behavior.
Chapter 3: Measurement of Prepayments and Defaults.
Prepayment Convention Terminology.
Delinquency, Default, and Loss Terminology.

Chapter 4: Prepayment Behavior and Performance.
Prepayment Behavior.
Drivers of Prepayment Activity.
Additional Factors Affecting Prepayment Speeds.
Prepayment Behavior of “Nonfixed-Payment” Products.
Summary.

PART THREE: Structuring.
Chapter 5: Introduction to MBS Structuring Techniques.
Underlying Logic in Structuring Cash Flows.
Structuring Different Mortgage Products.
Fundamentals of Structuring CMOs.

Chapter 6: 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.

Chapter 7: Fundamental MBS Structuring Techniques: Divisions of Interest.
Coupon Stripping and Boosting.
Floater/Inverse Floater Combinations.
Two-Tiered Index Bonds (TTIBs).
Excess Servicing IOs.

Chapter 8: Structuring Private Label CMOs.
Private Label Credit Enhancement.
Private Label Senior Structuring Variations.

Chapter 9: 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.

PART FOUR: Valuation and Analysis.
Chapter 10: Techniques for Valuing MBS.
Static Cash Flow Yield Analysis.
Zero-Volatility Spread.
Valuation Using Monte Carlo Simulation and OAS Analysis.
Total Return Analysis.

Chapter 11: Measuring MBS Interest Rate Risk.
Duration.
Convexity.
Yield Curve Risk.
Other Risk Measures.
Illustration of Risk Measures.
Summary.

Chapter 12: Evaluating Senior MBS and CMOs.
Yield and Spread Matrices.
Monte Carlo and OAS Analysis.
Total Return Analysis.
Comparing the Analysis of Agency and Private Label Tranches.
Evaluating Inverse Floaters.
Summary.

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.
Valuation of MBS.
Summary.

INDEX.

Mortgage-Backed Securities

In the last two decades, the market for mortgage-backed securities (MBS) has quickly grown. In addition to its size, this market has also become increasingly flexible and dynamic.

Frank Fabozzi, Anand Bhattacharya, and William Berliner understand the intricacies of the MBS market, and now, with Mortgage-Backed Securities, they share this essential information with you.

Filled with in-depth insights and expert advice, this comprehensive guide skillfully addresses the investment characteristics, creation, and analysis of mortgage-backed securities. Each informative chapter outlines the products, structures, and analytical techniques traders and investors need to be familiar with in order to succeed on a daily basis.

Written for financial professionals by financial professionals, this book covers a variety of MBS-related issues, including:

* An overview of prepayment and default behavior and performance metrics
* Fundamental MBS structuring techniques-such as divisions of principal and interest
* The structuring of private-label CMOs
* Measuring MBS interest-rate risk
* Evaluating senior MBS and CMOs
* An option theoretic approach to valuing MBS