Handbook of Mortgage Backed Securities / Edition 5

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The definitive guide to mortgage-backed securities ā€”now revised and updated

The classic ā€” and single best ā€” 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 ā€“ 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 markets of the 21st century.

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Product Details

  • ISBN-13: 9780071359467
  • Publisher: McGraw-Hill Companies, The
  • Publication date: 4/28/2001
  • Edition description: Older Edition
  • Edition number: 5
  • Pages: 877
  • Product dimensions: 6.38 (w) x 9.30 (h) x 2.53 (d)

Table of Contents

Sect. I Mortgages and Pass-Through Securities
Ch. 1 Overview of the Mortgage Market 3
Ch. 2 Mortgage Pass-Through Securities 25
Ch. 3 Securities Backed by Adjustable-Rate Mortgages 51
Ch. 4 Prepayment Penalty Mortgage-Backed Securities 75
Ch. 5 Trading, Settlement, and Clearing Procedures for Agency MBS 105
Ch. 6 Building an MBS Index: Conventions and Calculations 115
Ch. 7 Collateralized Borrowing via Dollar Rolls 139
Sect. II Stripped Mortgage-Backed Securities and Collateralized Mortgage Obligations
Ch. 8 Stripped Mortgage-Backed Securities 151
Ch. 9 Collateralized Mortgage Obligations 169
Ch. 10 The Effect of PAC Bond Features on Performance 197
Ch. 11 Z Bonds 221
Ch. 12 Companions with Schedules 239
Ch. 13 Inverse Floating-Rate CMOs 255
Sect. III Credit-Sensitive Mortgage-Backed Securities
Ch. 14 Nonagency CMOs 267
Ch. 15 Securities Backed by Closed-End Home Equity Loans 281
Ch. 16 Securities Backed by Manufactured Housing Loans 299
Ch. 17 Mortgage Credit Analysis 315
Ch. 18 Credit Performance of High LTV Loans 329
Sect. IV Prepayment Modeling
Ch. 19 Overview of Recent Prepayment Behavior and Advances in Its Modeling 365
Ch. 20 GNMA ARM Prepayment Model 379
Ch. 21 The Next Generation of Prepayment Models to Value Nonagency MBS 397
Ch. 22 Prepayment Insight: Saxon Mortgage Home Equity Portfolio 445
Sect. V Valuation Techniques, Relative Value Analysis, and Portfolio Strategies
Ch. 23 Valuation of Mortgage-Backed Securities 499
Ch. 24 ARMs Analysis 523
Ch. 25 Toward a New Approach to Measuring Mortgage Duration 531
Ch. 26 Duration and Convexity Drift of CMOs 541
Ch. 27 Understanding Inverse Floater Pricing 555
Ch. 28 Uncovering Value in Rotating PSA Environments 565
Ch. 29 Analysis of Low Loan Balance MBS 577
Ch. 30 Analysis of Low-WAC MBS 605
Ch. 31 The Combined Effects of Low WAC and Low Balance on MBS Valuation 617
Ch. 32 Hedging Mortgages with Swaps and Agencies 627
Ch. 33 Hedge Effectiveness: A Study by Price Bucket 639
Ch. 34 Hedging IOs and Mortgage Servicing 647
Sect. VI Commercial Mortgage-Backed Securities
Ch. 35 Commercial Mortgage-Backed Securities 661
Ch. 36 Multifamily Project Securities 677
Ch. 37 Value and Sensitivity Analysis of CMBS IOs 697
Ch. 38 CMBS Collateral Performance 717
Sect. VII Non-U.S. Mortgage-Backed Products
Ch. 39 Mortgage-Backed Securities in Germany 733
Ch. 40 Mortgage-Backed Securities in the Netherlands 769
Ch. 41 Mortgage-Backed Securities in Australia 807
Ch. 42 Commercial Mortgage-Backed Securities in Japan 821
Appendix 843
Index 849
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