9780071359467

Updated profit-enhancement strategies for today's hottest investment marketMortgage backed securities are a tremendously popular low-risk/high-return investment class--and Frank Fabozzi's revised, expanded The Handbook of Mortgage Backed Securities remains the essential high-level book for trading and understanding these innovative products. This authoritative classic explains the latest fundamentals, characteristics, and strategies for ensuring greater profits in his growing market.Fabozzi's focus on applied materials made previous editions required reading for market practitioners. In addition, 20 new or substantially revised chapters in this edition both increase and expand the book's coverage of:Latest valuation techniquesBond portfolio managementHedging strategiesPrepayment behavior and modelingWhole loan CMOsDefault modelsOption-adjusted spread analysis

Section I: Mortgages and Pass-Through Securities.
Chapter 1: Overview of the Mortgage Market.
Chapter 2: Mortgage Pass-Through Securities.
Chapter 3: Securities Backed by Adjustable-Rate Mortgages.
Chapter 4: Prepayment Penalty Mortgage-Backed Securities.
Chapter 5: Trading, Settlement, and Clearing Procedures for Agency MBS.
Chapter 6: Building an MBS Index: Conventions and Calculations.
Chapter 7: Collateralized Borrowing via Dollar Rolls.
Section II: Stripped Mortgage-Backed Securities and Collateralized Mortgage Obligations.
Chapter 8: Stripped Mortgage-Backed Securities.
Chapter 9: Collateralized Mortgage Obligations.
Chapter 10: The Effect of PAC Bond Features on Performance.
Chapter 11: Z Bonds.
Chapter 12: Companions with Schedules.
Chapter 13: Inverse Floating-Rate CMOs.
Section III: Credit-Sensitive Mortgage-Backed Securities.
Chapter 14: Nonagency CMOs.
Chapter 15: Securities Backed by Closed-End Home Equity Loans.
Chapter 16: Securities Backed by Manufactured Housing Loans.
Chapter 17: Mortgage Credit Analysis.
Chapter 18: Credit Performance of High LTV Loans.
Section IV: Prepayment Modeling.
Chapter 19: Overview of Recent Prepayment Behavior and Advances in Its Modeling.
Chapter 20: GNMA ARM Prepayment Model.
Chapter 21: The Next Generation of Prepayment Models to Value Nonagency MBS.
Chapter 22: Prepayment Insight: Saxon Mortgage Home Equity Portfolio.
Section V: Valuation Techniques, Relative Value Analysis, and Portfolio Strategies.
Chapter 23: Valuation of Mortgage-Backed Securities.
Chapter 24: ARMs Analysis.
Chapter 25: Toward a New Approach to Measuring Mortgage Duration.
Chapter 26: Duration and Convexity Drift of CMOs.
Chapter 27: Understanding Inverse Floater Pricing.
Chapter 28: Uncovering Value in Rotating PSA Environments.
Chapter 29: Analysis of Low Loan Balance MBS.
Chapter 30: Analysis of Low-WAC MBS.
Chapter 31: The Combined Effects of Low WAC and Low Balance on MBS Valuation.
Chapter 32: Hedging Mortgages with Swaps and Agencies.
Chapter 33: Hedge Effectiveness: A Study by Price Bucket.
Chapter 34: Hedging IOs and Mortgage Servicing.
Section VI: Commercial Mortgage-Backed Securities.
Chapter 35: Commercial Mortgage-Backed Securities.
Chapter 36: Multifamily Project Securities.
Chapter 37: Value and Sensitivity Analysis of CMBS IOs.
Chapter 38: CMBS Collateral Performance.
Section VII: Non-U.S. Mortgage-Backed Products.
Chapter 39: Mortgage-Backed Securities in Germany.
Chapter 40: Mortgage-Backed Securities in the Netherlands.
Chapter 41: Mortgage-Backed Securities in Australia.
Chapter 42: Commercial Mortgage-Backed Securities in Japan.

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Handbook of Mortgage Backed Securities

Handbook of Mortgage Backed Securities

007135946X

Summary

Table of Contents

Chapter 1: Overview of the Mortgage Market.

Chapter 2: Mortgage Pass-Through Securities.

Chapter 3: Securities Backed by Adjustable-Rate Mortgages.

Chapter 4: Prepayment Penalty Mortgage-Backed Securities.

Chapter 5: Trading, Settlement, and Clearing Procedures for Agency MBS.

Chapter 6: Building an MBS Index: Conventions and Calculations.

Chapter 7: Collateralized Borrowing via Dollar Rolls.

Section II: Stripped Mortgage-Backed Securities and Collateralized Mortgage Obligations.

Chapter 8: Stripped Mortgage-Backed Securities.

Chapter 9: Collateralized Mortgage Obligations.

Chapter 10: The Effect of PAC Bond Features on Performance.

Chapter 11: Z Bonds.

Chapter 12: Companions with Schedules.

Chapter 13: Inverse Floating-Rate CMOs.

Section III: Credit-Sensitive Mortgage-Backed Securities.

Chapter 14: Nonagency CMOs.

Chapter 15: Securities Backed by Closed-End Home Equity Loans.

Chapter 16: Securities Backed by Manufactured Housing Loans.

Chapter 17: Mortgage Credit Analysis.

Chapter 18: Credit Performance of High LTV Loans.

Section IV: Prepayment Modeling.

Chapter 19: Overview of Recent Prepayment Behavior and Advances in Its Modeling.

Chapter 20: GNMA ARM Prepayment Model.

Chapter 21: The Next Generation of Prepayment Models to Value Nonagency MBS.

Chapter 22: Prepayment Insight: Saxon Mortgage Home Equity Portfolio.

Section V: Valuation Techniques, Relative Value Analysis, and Portfolio Strategies.

Chapter 23: Valuation of Mortgage-Backed Securities.

Chapter 24: ARMs Analysis.

Chapter 25: Toward a New Approach to Measuring Mortgage Duration.

Chapter 26: Duration and Convexity Drift of CMOs.

Chapter 27: Understanding Inverse Floater Pricing.

Chapter 28: Uncovering Value in Rotating PSA Environments.

Chapter 29: Analysis of Low Loan Balance MBS.

Chapter 30: Analysis of Low-WAC MBS.

Chapter 31: The Combined Effects of Low WAC and Low Balance on MBS Valuation.

Chapter 32: Hedging Mortgages with Swaps and Agencies.

Chapter 33: Hedge Effectiveness: A Study by Price Bucket.

Chapter 34: Hedging IOs and Mortgage Servicing.

Section VI: Commercial Mortgage-Backed Securities.

Chapter 35: Commercial Mortgage-Backed Securities.

Chapter 36: Multifamily Project Securities.

Chapter 37: Value and Sensitivity Analysis of CMBS IOs.

Chapter 38: CMBS Collateral Performance.

Section VII: Non-U.S. Mortgage-Backed Products.

Chapter 39: Mortgage-Backed Securities in Germany.

Chapter 40: Mortgage-Backed Securities in the Netherlands.

Chapter 41: Mortgage-Backed Securities in Australia.

Chapter 42: Commercial Mortgage-Backed Securities in Japan.

Supplemental Materials

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