Frank J. Fabozzi's Mortgage-Backed Securities: Products, Structuring, and PDF

By Frank J. Fabozzi

ISBN-10: 0470047739

ISBN-13: 9780470047736

ISBN-10: 0470179740

ISBN-13: 9780470179741

An up to date examine the newest thoughts in mortgage-backed securities

Since the final version of Mortgage-Backed Securities used to be released over 3 years in the past, a lot has replaced within the established credits industry. Frank Fabozzi, Anand Bhattacharya, and William Berliner all have decades of expertise operating within the fixed-income securitization markets, and feature witnessed many cycles of switch within the loan and MBS sectors. And now, with the second one variation of Mortgage-Backed Securities, they proportion their wisdom on a few of the items and structuring ideas that experience taken position because the monetary concern and financial reform.

Written in a simple and available kind, and containing a variety of illustrations, this well timed consultant skillfully addresses the funding features, production, and research of mortgage-backed securities. every one bankruptcy comprises state of the art innovations that you will have to comprehend on the way to thrive inside of this arena.

  • Discusses the dynamic interplay among the loan undefined, domestic costs, and credits performance
  • Addresses revised valuation suggestions during which all non-agency MBS has to be taken care of as credits pieces
  • Examines the shift during this industry because the challenge and the impression on and investors

Filled with in-depth insights and professional suggestion, Mortgage-Backed Securities, moment Edition will give you a practical evaluate of this box and descriptions the goods, constructions, and analytical thoughts you must find out about during this evolving arena.

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Extra resources for Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques

Example text

Both the range of note rates included in a deal, as well as the desire to include loans with note rates below the deal’s coupon (once base servicing and fees are taken into account), necessitate the creation of WAC IOs and POs, securities unique to the private label market. The decision with respect to which coupon is to be produced is a function of market conditions, including investor’s interest rate and prepayment outlook. Once the coupon is designated, the loans are divided into “discount” and “premium” loan groups.

The creation of so-called “structured securities” involves dividing (or “tranching”) the underlying pools’ cash flows into securities that have varying average lives and durations,3 different degrees of prepayment protection or exposure, and (in the case of private label deals) different degrees of credit risk. These types of securities are broadly referred to as collateralized mortgage obligations (CMOs). The flexibility inherent in tranching, along with the broad range of loan instruments, allows the MBS market to reflect a large degree of market segmentation.

This resulted in periodic shortages of mortgage money when local financial conditions were relatively illiquid; in addition, lenders’ profitability was tied to the shape of the yield curve and the ability to earn a spread over funding costs. The development of an actively traded market for mortgage products over the last quarter-century has resulted in the growth of a national primary mortgage market. Mortgage lending has evolved from a fragmented industry, where rates and availability of financing were T 21 22 INTRODUCTION TO MORTGAGE AND MBS MARKETS based on local liquidity conditions, to a market where sources and users of funds interact on a massive scale.

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Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques by Frank J. Fabozzi


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