The Handbook of Mortgage-Backed Securities / Edition 6

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The definitive MBS guide, with fully updated material on the latest mortgage-backed products, methods, models, and portfolio strategies

By providing hands-on information vital to market participants, previous editions of The Handbook of Mortgage-Backed Securities were instrumental in fueling the growth of the mortgage-backed securities market. The sixth edition contains all the elements that made previous editions so successful and influential, and provides you with more than 25 new chapters on topics including collateralized mortgage obligations, prepayment derivatives, loan level determinants of repayments, new approaches to MBS valuation, and a survey of non-U.S. mortgage rates.

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Editorial Reviews

A thorough survey of state-of-the-art strategies for capitalizing on the opportunities in the mortgage-backed securities market, examining the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors. This edition (2nd was 1988) is substantially rewritten: 32 of the 41 chapters are new, while the other nine contain updated information. Annotation c. Book News, Inc., Portland, OR (
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Product Details

  • ISBN-13: 9780071460743
  • Publisher: McGraw-Hill Professional Publishing
  • Publication date: 12/21/2005
  • Edition description: REV
  • Edition number: 6
  • Pages: 950
  • Sales rank: 369,316
  • Product dimensions: 6.40 (w) x 9.30 (h) x 2.50 (d)

Meet the Author

Frank J. Fabozzi, Ph.D., CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management. One of the world's foremost authorities on fixed income securities and derivative instruments, Dr. Fabozzi is editor of the Journal of Portfolio Management and the bestselling author of more than forty books, including the acclaimed The Handbook of Fixed Income Securities. Prior to joining the Yale faculty, he was on the faculty of MIT's Sloan School of Management.

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Table of Contents

Contributing Authors
1 Overview 1
2 Mortgages 9
3 Mortgage Pass-Through Securities 29
4 Agency Adjustable-Rate Mortgage Securities 59
5 Trading, Settlement, and Clearing Procedures for Agency MBS 81
6 Collateralized Borrowing via Dollar Rolls 91
7 Multifamily Project Securities 103
8 Mortgage Prepayment Modeling: I 127
9 Mortgage Prepayment Modeling: II 143
10 Modifying the PSA Curve for Newly Issued Mortgage Pass-Throughs 169
11 Homeowner Mobility and Mortgage Prepayment Forecasting 177
12 An Unbiased Method of Applying Historical Prepayment Speeds to Project Future Cash Flows 187
13 RFC Whole Loan Prepayment Behavior 195
14 Stripped Mortgage-Backed Securities 225
15 Synthetic Mortgage-Backed Securities 249
16 Introduction to Collateralized Mortgage Obligations 263
17 Prospects of Derivative Mortgage Securities 293
18 The Effect of PAC Bond Features on Performance 301
19 Z-Bonds 327
20 Companions with Schedules 349
21 Inverse Floaters and Inverse IOs 367
22 CMO Residuals 395
23 Whole-Loan CMOs 413
24 Understanding and Valuing Mortgage Security Credit 449
25 Commercial Mortgage-Backed Securities 491
26 Quantifying Credit Risk in CMBS 545
27 New Ways to Model Default Scenarios for Income Property Loans 565
28 A Comparison of Methods for Analyzing Mortgage-Backed Securities 587
29 Introduction to the Option-Adjusted Spread Method 611
30 A Further Look at Option-Adjusted Spread Analysis 625
31 Consistent, Fair and Robust Methods of Valuing Mortgage Securities 641
32 Towards a New Approach to Measuring Mortgage Duration 667
33 Duration and Convexity Drift of CMOs 677
34 Understanding Inverse Floater Pricing 691
35 Hedging Interest-Rate Risks with Futures, Swaps and Options 703
36 Risk, Return and Hedging of Fixed-Rate Mortgages 783
37 Options on Mortgage-Backed Securities 827
38 FAS 115 and MBS Portfolio Management 843
39 Federal Income Tax Treatment of Mortgage-Backed Securities 867
Appendix 933
Index 941
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