The Handbook of Mortgage Backed Securities 7th edition by Frank Fabozzi – Ebook PDF Instant Download/Delivery: B01LD7OV3U, 978-0191088780
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ISBN 10: B01LD7OV3U
ISBN 13: 978-0191088780
Author: Frank Fabozzi
This edition of The Handbook of Mortgage-Backed Securities, the first revision following the subprime mortgage crisis, is designed to provide not only the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage on the state-of-the-art strategies for capitalizing on the opportunities in this market. The book is intended for both the individual investor and the professional manager. The volume includes contributions from a wide range of experts most of whom have been actively involved in the evolution of the mortgage-backed securities market.
The Handbook of Mortgage Backed Securities 7th Table of contents:
Part I Background
1. Mortgage Loans to Mortgage-Backed Securities
Mortgage Loans
Mortgage-Backed Securities
Interactions between the Mortgage and MBS Markets
2. Understanding the Prospectus and Prospectus Supplement for Mortgage-Backed Securities
The Mortgage Industry
Securities Act Registration Statements—The Disclosure Framework
Disclosures for Registered MBS Offerings
Typical Sections of a Prospectus and Prospectus Supplement (Private-Label)
Typical Sections of a Prospectus and Prospectus Supplement (Agency)
3. Cash Flow Mathematics for Agency Mortgage-Backed Securities
Constructing the Cash Flow for Mortgage Loans
Describing the Mortgage Pool
Prepayments Measures
Constructing the Projected Cash Flow for a Mortgage Passthrough Security
Cash Flow for an Agency Multi-Class MBS Structure
Average Life
4. New Regulations for Securitizations and Asset-Backed Securities
Challenges in the Asset-Backed Securities Markets in the Financial Crisis
Market Opaqueness and Reliance on Credit Ratings
Alignment of Incentives and Underwriting Standards
Valuation Challenges and Contagion
The Dodd-Frank Act and Other New Regulations Following the Financial Crisis
Regulation AB-II
New Asset-Level Disclosure Requirements
New Shelf-Registration Eligibility Requirements
Draft Proposals Excluded from Final Regulation AB-II
Credit Risk Retention Rule
Standard Risk Retention
Special Risk Retention
Other Exemption and Exception Criteria
Volcker Rule
Prohibitions on Covered Funds and Exemptions for Traditional Securitization Structures
Remaining Areas of Concern
Developments in the Regulation of Credit Derivatives
Rules Related to Security-Based Swaps on ABS
New Margin and Collateral Requirements
Rules Relating to Clearing and Disclosure
Expected Consequences of New Regulations for ABS
5. Impact of the Credit Crisis on Mortgage-Backed Securities
The Evolution and Growth of the Non-Agency RMBS Market
Structural Innovation at Loan Level
Credit Enhancement and the Market for Non-Agency RMBS
Non-Agency RMBS and CDOs
Investors in Non-Agency RMBS
The Collapse of the Non-Agency RMBS Market
Rising Mortgage Defaults and Delinquencies
Pricing and Performance of Agency and Non-Agency Securities
Exit of Mortgage Originators
Ratings Downgrades of Non-Agency RMBS
Factors that Affected the Mortgage Securities Market
Reliance on Uncorrelated Regional House Prices and Growth in House Prices
Insufficiently Robust Underwriting Standards
Illiquidity in Credit Markets
Federal Government Response to the Crisis
Mortgage Assistance Programs
Changes in FHA Fees
Expansion of the Role of the GSEs
Conservatorship of the GSEs
Ongoing Debate over the Role for the Federal Government in Housing Finance
US Mortgage Finance, Then and Now
Part II Agency RMBS: Basic Products
6. Agency Mortgage Passthrough Securities
Federally Sponsored Passthrough Programs
Agency Passthrough Cash Flows
Impact of Cash Flow Variability on Yield and Average Life
Determinants of Prepayment Speeds
Gauging a Pool’s Prepayment Risk
Anatomy of the Agency Passthrough Market
TBA Coupons
7. Hybrid ARMs
Hybrid Arm Products
Borrower and Investor Clienteles
Prepayment Behavior of Hybrid ARMs
Securitized ARM Markets
Securitized ARM Trading and Analysis
8. Customized Mortgage-Backed Securities
Conceptual Underpinnings of Custom MBS
Categories of Custom MBS
Determinants of Market Pay-Ups
Relative Value Assessment of Customized MBS
Option-Adjusted Spread Analysis
Challenges and Issues in Customized MBS Valuation
9. Single-Family Rental Deals
Securitization Structure
Parties Involved in Securitization
Deal Analysis
Risk of the Sector
10. GSE Credit Risk Transfer Deals
Deal Structure
Deal Analysis
Secondary Trading Activity
Risk and Future
11. Agency Mortgage-Backed Securities: Performance, Valuation, and Risk Premium Comparatives
Agency MBS Returns: A Historical Perspective
Risks Associated with Agency Mortgage Investments
Agency MBS Index, Replication, and Exchange-Traded Funds
Assessing the Risk/Reward of Agency MBS
Part III Agency RMBS: Multi-Class
12. Agency Collateralized Mortgage Obligations
Prepayment Risk: Contraction and Extension Risks
Collateral
Sequential-Pay Bond Classes
Rules for Distribution of Principal and Interest
Accrual Bonds
Rules for Distribution of Principal and Interest
Floating-Rate Bond Classes
Rules for Distribution of Principal and Interest
Planned Amortization Bond Classes
Rules for Distribution of Principal and Interest
Rules for Distribution of Principal and Interest
Targeted Amortization Class Bonds
Very Accurately Determined Maturity Bonds
Interest-Only and Principal-Only Bond Classes
Support Bonds
13. Agency Planned Amortization Class Bonds
The Term Structure of CMO Yields
Mechanics of Defining Collars and Payment Schedule
Collars and Collateral
PAC Collar Drift
When the PAC Breaks
Windows
Lockout
Effect of Z (Accrual) Bonds on PAC Performance
Effect of Jump-Z and VADM Structures on PAC Bonds
Priority to Receive Excess Cash Flows
The Option Costs of PAC Features
14. Accrual Bonds/Z Bonds
The Basic Accrual Structure
How the Z Interacts with Other Bonds in the Structure
CMOs with PACs and a Z Bond
Performance of Z Bonds
More Fun with Accrual Bonds
Z PACs
Structures with More Than One Z Bond
15. Support Bonds with Schedules
Support Bond Class Basics
Support TAC Bonds
Reverse TACs
Layered PAC Bonds
Summary of Average-Life Volatility
16. Floating-Rate Mortgage Securities
Introduction to Floating-Rate Mortgage Securities
Investment Characteristics of Floating-Rate Mortgage Securities
Valuation and Analytics
Market Overview
17. Inverse Floating-Rate CMOs
Structural Features
Investment Characteristics
Reasons for Including Inverse Floaters in an Investment Strategy
18. Stripped Mortgage-Backed Securities
Overview of the SMBS Market
Investment Characteristics
Part IV Private-Label MBS
19. Lessons of the Financial Crisis for Private- Label MBS
What Happened in the Financial Crisis?
Lessons from the Crisis
20. Credit Enhancement
Structural Credit Enhancement
Originator/Seller-Provided Credit Enhancement
Third-Party Credit Enhancements
Use of Interest Rate Derivative Instruments
Recent Changes in Credit Support Structures
21. Introduction to Covered Bonds
Overview and Introduction to Mortgage Covered Bonds
Performance Characteristics of Covered Bonds
Covered Bonds and Mortgage Funding in Europe
The Case for Covered Bonds in the US
Part V Commercial Mortgage-Backed Securities
22. Agency Commercial Mortgage Securities
Ginnie Mae Project Securities
GNMA Origination Trends
GNMA’s Multifamily REMIC Program
GNMA Multifamily Prepayments
Prepayments and GNMA REMICs
GNMA Programs Facilitate Refinancing
Fannie Mae Multifamily DUS
Freddie Mac Multifamily K Series Bonds
Conservatorship of Freddie Mac and Fannie Mae
23. CMBS Collateral Performance: Measures and Valuations
CMBS Capital Structure
CMBS Commercial Mortgage Default and Loss Rates
Factors Influencing Default Rates and Loss Severity
Default Rate, Loss Severity, and Valuation Issues
Part VI Valuation and Prepayment Modeling
24. Valuation of Mortgage-Backed Securities
Basics of Valuation
Sources of Prepayments in MBS Pools
Elements of MBS Valuation
Static Valuation Metrics
Approaches to Valuing the Embedded Prepayment Option
Using Monte Carlo Models for Valuing Path-Dependent Instruments
Option-Adjusted Valuation Metrics
An Illustrative Example
25. Modeling Prepayments and Defaults for MBS Valuation
The Economic Environment
The Data for Loans Backing Securities
The Limitations of Traditional Econometric Modeling Techniques
Looking Beyond Historical Data to Determine Model Structure and Parameters
A Changing Mortgage Industry
Uncertainty and Burnout
Valuation Techniques
26. Contemporary Challenges in Loan-Level Prepayment Modeling
Minimizing Loan Dispersion
The Full Picture
Post-Financial-Crisis Challenges
Loan-Level Modeling
Key Points
27. Issues and Challenges in Non-Agency Mortgage Securitizations
Resolution of Regulatory (QM and QRM) Issues
Investor Preferences and Rating Agency Dynamics
Public versus Private Securitizations
28. Residential Mortgage Defaults, Foreclosures, and Modifications
Trends in Delinquencies, Defaults, and Foreclosures by Mortgage Product and Vintage over Time
Academic Analysis of Mortgage Defaults
Developments in the Econometric Modeling of Mortgage Defaults
Mortgage Default Models Used in the Mortgage Industry
Mortgage Loan Modification Programs and Impact on Default Behavior
Part VII Portfolio Management Tools and Techniques
29. Managing against the Barclays MBS Index: Prices and Returns
MBS Index Prices and Returns: Overview
MBS Index Prices (Pindex)
MBS Index Returns (TRindex)
Illustration: Comparing MTD TRindex and TRpsa
30. MBS Index Replication with TBAs
The Barclays US MBS Index
Index Pricing and Returns
MBS Replication Strategies Using TBAs
MBS Replication Using Large Pools
MBS Replication Strategies Using Total Return Index Swaps
31. Alternative Methods for Estimating Duration for Mortgage-Backed Securities
Price/Yield Relationship for a Mortgage Passthrough Security
Duration
Model Duration for MBS
Market-Based Duration for MBS
Duration of an Inverse Floater
32. Hedging Agency Mortgage-Related Securities
Yield Curve Risk and Key Rate Duration
How Interest Rates Change Over Time
How to Implement Three-Factor Hedging
33. Dollar Rolls
Dollar Roll Fundamentals
Using Dollar Rolls
Dollar Roll Valuations
TBA Vintages and Roll Valuations
34. Credit Derivatives and Mortgage-Backed Securities
General Overview of Credit Derivatives
Credit Default Swaps on Mortgage-Backed Securities and Collateralized Debt Obligations
Synthetic ABS CDOs
Hedging MBS with Credit Derivatives
Impact of the Credit Crisis on the ABS Credit Derivatives Market
35. A Framework for Determining Relative Value in the Agency MBS Market
The Relative Value Framework
Putting It All Together
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