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Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques, by Frank J. Fabozzi, Anand K. Bhattacharya, William S. Berli
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An up-to-date look at the latest innovations in mortgage-backed securities
Since the last edition of Mortgage-Backed Securities was published over three years ago, much has changed in the structured credit market. Frank Fabozzi, Anand Bhattacharya, and William Berliner all have many years of experience working in the fixed-income securitization markets, and have witnessed many cycles of change in the mortgage and MBS sectors. And now, with the Second Edition of Mortgage-Backed Securities, they share their knowledge on many of the products and structuring innovations that have taken place since the financial crisis and fiscal reform.
Written in a straightforward and accessible style, and containing numerous illustrations, this timely guide skillfully addresses the investment characteristics, creation, and analysis of mortgage-backed securities. Each chapter contains cutting-edge concepts that you'll need to understand in order to thrive within this arena.
- Discusses the dynamic interaction between the mortgage industry, home prices, and credit performance
- Addresses revised valuation techniques in which all non-agency MBS must be treated as credit pieces
- Examines the shift in this marketplace since the crisis and the impact on industry and investors
Filled with in-depth insights and expert advice, Mortgage-Backed Securities, Second Edition offers you a realistic assessment of this field and outlines the products, structures, and analytical techniques you need to know about in this evolving arena.
- Sales Rank: #72263 in Books
- Published on: 2011-09-21
- Original language: English
- Number of items: 1
- Dimensions: 9.30" h x 1.18" w x 6.30" l, 1.09 pounds
- Binding: Hardcover
- 352 pages
From the Inside Flap
Even with the recent events that have occurred in this field, mortgage-backed securities (MBS) continue to comprise one of the largest securities markets in the world. However, since the publication of the first edition of Mortgage-Backed Securities, both the consumer mortgage and MBS sectors have undergone significant changes—many of them resulting directly, and indirectly, from the collapse in mortgage performance that initially appeared in late 2006 and led to the financial crisis of 2007–2008.
That's why the expert author team of Frank Fabozzi, Anand Bhattacharya, and William Berliner—who have witnessed many cycles of change in the mortgage and MBS sectors—have returned to create the Second Edition of Mortgage-Backed Securities. In it, they skillfully reassess the MBS sector in the context of the changes resulting from the crisis, as well as explore the insights gained in the post-crisis period.
Engaging and informative, this updated edition continues to address the investment characteristics, creation, and analysis of mortgage-backed securities, but now does so with the lessons and data accumulated from post-2006 events in mind. Along the way, it offers valuable insights that reflect the current market environment: reexamining prepayment behavior and analysis to describe the latest thinking on prepayment speeds and behavior, while taking into account credit and housing-related factors; and devoting an entirely new chapter to the evaluation of non-agency MBS.
Divided into four comprehensive parts, this reliable resource contains cutting-edge concepts you'll need to understand in order to succeed within this arena.
Part One: introduces the essential aspects of the mortgage and MBS markets
Part Two: discusses prepayment and default behavior, along with an array of metrics and conventions used to quantify these activities
Part Three: describes a variety of structures and tranches, along with techniques used in structuring them
Part Four: outlines the metrics and methodologies necessary to evaluate the potential risks and returns associated with mortgage-backed securities
The mortgage and MBS markets remain in a highly unsettled state, which makes a broad and sophisticated understanding of MBS markets and products essential. The Second Edition of Mortgage-Backed Securities offers you a realistic assessment of this field and will put you in a better position to excel in one of the most dynamic and challenging areas of finance.
From the Back Cover
Despite the recent changes and dislocations experienced by the mortgage industry, mortgage-backed securities (MBS) continue to comprise one of the largest securities markets in the world. The expert author team of Frank Fabozzi, Anand Bhattacharya, and William Berliner understands the intricacies of the MBS market, and now, with the Second Edition of Mortgage-Backed Securities, they skillfully reassess the MBS sector in the context of the recent financial crisis.
Divided into four comprehensive parts, this reliable guide skillfully addresses the investment characteristics, creation, and analysis of mortgage-backed securities with post-crisis lessons in mind. Each informative chapter outlines the products, structures, and analytical techniques traders and investors need to be familiar with in order to succeed in this arena.
Updated to reflect the reality of today's market environment, this book covers a variety of MBS-related issues, including:
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The current thinking on prepayment speeds and behavior, which take into account credit and housing-related factors
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Fundamental MBS structuring techniques such as divisions of principal and interest
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The structuring of private-label CMOs
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Measuring MBS interest-rate risk
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An option theoretic approach to valuing MBS
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The evaluation of non-agency MBS
Filled with in-depth insights and expert advice, Mortgage-Backed Securities, Second Edition offers you a realistic assessment of this field and provides you with the tools to make the most of your time within it.
About the Author
Frank J. Fabozzi, PhD, CFA, is Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute. Prior to joining EDHEC, he held various professorial positions in finance at Yale University's School of Management from 1994 to 2011 and, from 1986 to 1992, was a visiting professor of finance and accounting at MIT's Sloan School of Management. He is also Editor of the Journal of Portfolio Management.
Anand K. Bhattacharya, PhD, is a Professor of Practice in the Department of Finance, W. P. Carey School of Business, Arizona State University, and a Fixed Income Strategist with Stifel, Nicolaus & Company, Inc. He has consulted with various financial institutions on issues of balance sheet restructuring and asset valuation.
William S. Berliner is the Principal of Berliner Consulting & Research, LLC, a boutique firm specializing in mortgages and mortgage-backed securities. His primary focus is security and loan valuation and hedging, serving both institutional investors and mortgage originators. Berliner also writes a monthly column for Asset Securitization Report.
Most helpful customer reviews
22 of 23 people found the following review helpful.
Not for Practitioners
By Nick
Background:
I'm a recent college grad (finance) who has passed level 1 of the CFA and sat for level 2. I've been working in securitized products with two others colleagues at a large institutional investment firm for 3-4 months now. Since my colleagues don't have the time or are not always helpful in teaching me (one is chinese), I've bought or rented most of the books on the subject matter and by trial and error whittled down the ones that are most useful for someone working in or new to the industry. I've never written a review, but feel obligated to save others time and money on this one.
Review:
Don't buy. There are better alternatives and little if any has been updated from previous Fabozzi texts. Berliner (one of the authors) comment on another customers review is wrong. He wrote, [the book] "contains material on evaluating non-agency MBS which has never been published before." This is false. The Handbook of Nonagency Mortgage-Backed Securities was published by Fabozzi in 1997.
Better Book Suggestions: Fabozzi's Handbook of MBS is far more useful and detailed, which is evident by the number of pages. It's old (2006), but still way better than wasting time or money on this book.
Mortgage Valuation Models (Davidson) - just released so it's up to date and good. It builds on one of the very important chapters the author contributed to Fabozzi's handbook of MBS.
Salamon Smith Barney Guide to MBS is good, but VERY dated and all of the chapters available on Citi's online research portal for free if you have access.
Fabozzi's Fixed Income Handbook is good reference as well as Fixed Income Mathematics.
If you need problems to practice, Mortgage Backed Securities Workbook (Davidson) has some as does another one of his books. Another book also with practice problems and which would be useful if you're new to Bloomberg is Debt Markets and Analysis (Johnson).
Whatever you do, don't invest in this book if you work on MBS.
15 of 18 people found the following review helpful.
not worth your money
By Ordinary guy
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.
5 of 6 people found the following review helpful.
A must read for those involved in the MBS market
By mgsanchez
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.
See all 12 customer reviews...
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