Mortgage-Backed Securities 2e

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.