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The Handbook of Mortgage Backed Securities By Frank J. Fabozzi Publisher: McGraw-Hill Number Of Pages: 877 Publication Date: 2001-04-23 ISBN-10 / ASIN: 007135946X ISBN-13 / EAN: 9780071359467 Product Description: The definitive guide to mortgage-backed securities --now revised and updated The classic -- and single best -- resource for understanding and trading mortgage-backed securities has been brought fully up to date with The Handbook of Mortgage-Backed Securities, Fifth Edition, giving you timely insights into everything from fundamentals to investment characteristics of mortgage-backed securities, as well as state-of-the-art strategies for capitalizing on opportunities. The Handbook's seven sections bring you up to speed on mortgages and pass-through securities; stripped mortgage-backed securities and collateralized mortgage obligations; credit-sensitive mortgage-backed securities; prepayment modeling; valuation techniques, relative value analysis, and portfolio strategies; commercial mortgage-backed securities; and non-U.S. mortgage-backed securities. This edition is more than just a revised edition – it's practically a new book: twenty-nine of the chapters are either new or have been substantially revised, reflecting the most recent developments in the mortgage-backed securities market, in terms of both product development and financial technology. These entirely new sections give you a seamless transition into the 24-hour, global financial of the 21st century. Content: Preface xxi Contributors xxv SECTION ONE MORTGAGE-BACKED SECURITIES (MBS) PRODUCTS AND THE MORTGAGE MARKET Chapter 1 An Overview of Mortgages and the Mortgage Market 3 Anand K. Bhattacharya, Frank J. Fabozzi, and William S. Berliner Product Definition and Terms 4 Mortgage-Loan Mechanics 9 The Mortgage Industry 15 The Loan Underwriting Process 17 Generation of Mortgage Lending Rates 20 Risks Associated with Mortgages and MBS 27 The Evolving Roles of the GSEs 32 Chapter 2 MBS Investors 35 Steven Abrahams The Sources of Competitive Advantage in Investing in MBS 35 Fannie Mae and Freddie Mac 39 Insurers 41 Total-Return Portfolios 42 Change in the Competitive Landscape 44 The Portfolio Meets the Market 44 FabozziMBS-FM.qxd 1/12/05 12:52 PM Page vChapter 3 Mortgage Pass-Through Securities 45 Linda Lowell and Michael Corsi Federally Sponsored Mortgage Pass-Through Programs 46 Pass-Through Cash Flows 52 Impact of Cash-Flow Variability on Yield and Average Life 58 Determinants of Prepayment Speeds 62 Gauging a Pool’s Prepayment Risk 68 Anatomy of the Pass-Through Market 74 Chapter 4 Trading, Settlement, and Clearing Procedures for Agency MBS 81 Jeffrey D. Biby, Srinivas Modukuri, and Brian Hargrave TBA Trading: Turning Pool-Specific Securities into Generic Securities 81 Settlement Procedures for Agency Pass-Throughs 82 BMA Good Delivery Guidelines 83 Variance 85 Trading and Settlement Procedures for Other MBS Products 86 Clearing Procedures for MBS 86 Summary 87 Appendix: What Happens When an Investor Buys a Mortgage-Backed Security? 88 What if the Dealer Fails to Deliver 90 Chapter 5 Defining Nonagency MBS 93 Thomas Zimmerman The Nonagency Market 93 Defining Characteristics 94 Credit 98 Distribution of Characteristics 101 Evolution of Loan and Borrower Characteristics 104 Credit and Prepayment Performance 106 Agency Expansion into Nonagency Zones 111 Summary 111 vi Contents FabozziMBS-FM.qxd 1/12/05 12:52 PM Page viChapter 6 Credit Enhancements for Nonagency MBS Products 113 Frank J. Fabozzi External Credit Enhancements 113 Internal Credit Enhancements 116 Use of Interest-Rate Derivative Instruments 122 Chapter 7 Understanding the Prospectus and Prospectus Supplement 127 David M. Lukach, Yogesh Gupta, Thomas Knox, and John Gibson Securities Act Registration Statements: The Disclosure Framework 128 Disclosures for Form S-3 Registered MBS Offerings 129 Typical Sections of a Prospectus and Prospectus Supplement 132 Conclusion 156 Chapter 8 Waterfall Cash-Flow Mechanics in European RMBS 157 Alexander Batchvarov, William Davies, and Altynay Davletova General Forms of Waterfalls 157 Variations in European RMBS Waterfalls by Country 159 Combined or Split RMBS Waterfalls: Compare and Contrast 165 Summary 168 SECTION TWO ALTERNATIVE MORTGAGE PRODUCTS Chapter 9 Exploring the MBS/ABS Continuum: The Growth and Tiering of the Alt-A Hybrid Sector 171 Satish Mansukhani Exploring the MBS/ABS Continuum: Defining the Risk Space 172 The MBS/ABS Continuum in the Hybrid Sector 173 Prepayment and Credit Performance Follow Relative Placement along the Continuum 175 Deal Structures also Mirror Relative Placement along the Continuum 179 Sufficient Credit Enhancement to Withstand Multiples of Default Frequency Experienced on Weaker Subprime Mortgages 180 The Value of Available Funds CAPS 183 Contents vii FabozziMBS-FM.qxd 1/12/05 12:52 PM Page viiChapter 10 Alt-A Mortgages and MBS 187 Anand K. Bhattacharya, William S. Berliner, and Jonathan Lieber Background 187 Loan-Level Characteristics 190 Factors Underlying Prepayment Behavior 192 Empirical Prepayment Performance 200 Recent Developments 204 Chapter 11 Fixed-Rate Alt-A MBS 207 Satish Mansukhani, Arjune Budhram, and Mu’taz Qubbaj Fixed-Rate Alt-A Collateral 208 Alt-A Prepayments 222 Historical Drivers of Prepayments and Defaults 228 Credit Performance and Enhancement 234 Practical Portfolio Manager Opportunities and Considerations 252 Chapter 12 Hybrid Adjustable-Rate Mortgages (ARMs) 259 Anand K. Bhattacharya, Steve Banerjee, Ricardo Horowicz, and Wei Wang Popularity and Issuance of Hybrid ARMs 260 Characteristics of Hybrid ARM Loans 261 Hybrid ARM Refinance Incentive 266 Comparing Hybrid ARM S-Curves 272 Comparing Hybrid ARM Seasoning Curves 275 Loan-Level Drivers of Hybrid ARMs 277 Interest-Only (IO) Hybrid ARMs 282 Jumbo Hybrid ARM Credit Performance 284 Conclusions 285 Chapter 13 Hybrids: Product, Performance, Investor Base, and Frameworks to Assess Relative Value 287 Satish Mansukhani, Adama Kah, and Mu’taz Qubbaj Hybrid Origination and Issuance 288 Securitization of Hybrids 290 The Hybrid Borrower 291 viii Contents FabozziMBS-FM.qxd 1/12/05 12:52 PM Page viiiPrepayment Profiles of Hybrids 295 Trading Conventions in the Hybrid Market 311 Investors in the Hybrid Secondary Markets 314 A Conceptual Framework for Relative-Value Assessments of Hybrids 316 Cap Valuations on Hybrids 319 Index Levels: Implied Forwards and Historical Peaks 319 Relative Value of Hybrids 320 Identifying Characteristics/Features of Hybrids 327 Chapter 14 Interest-Only ARMs 333 David Liu Overview of IO ARMs 335 Credit Implications 347 Prepayment Experience 353 Conclusion 361 Chapter 15 Residential Asset-Backed Securities 363 John McElravey Market Development 364 Characteristics of Subprime Borrowers 366 Prepayment Speeds 369 Relative-Value Consequences 372 Key Aspects of Credit Analysis 374 Structural Considerations 378 Conclusion 387 Chapter 16 Customized Mortgage-Backed Securities 389 Anand K. Bhattacharya and Paul Jacob Historical Perspective 389 Major Categories of Customized MBS 391 Determinants of Market Payups 397 Evaluation of Customized Pools: Current-Yield Approach 400 Evaluation of Customized Pools: Option-Adjusted Spread Analysis 401 Measuring the Duration of a Customized Pool 407 Challenges and Issues in Customized MBS Valuation 410 Contents ix FabozziMBS-FM.qxd 1/12/05 12:52 PM Page ixChapter 17 The Prepayment and Credit Characteristics of Reperforming FHA/VA Loans 413 Anand K. Bhattacharya, William S. Berliner, and Jonathan Lieber The Process of Delinquency Curing 414 Prepayments 416 Credit Fundamentals: Overview 426 Chapter 18 rSubprimemortgagemorgage Zh CN Tag Stockbrokers Subprime Mortgage Mortgage The Handbook of Mortgage Backed Securities - 金融投资学 - 经济学家 z High Subprime Mortgage Mortgage bSubprimemortgagemorgage Zh CN Tag Stockbrokers Subprime Mortgage Mortgage The Handbook of Mortgage Backed Securities - 金融投资学 - 经济学家 w o a Subprime Mortgage Mortgage f Subprime Mortgage Mortgage Comodity Subprime Mortgage Mortgage |