The Handbook of Mortgage Backed Securities

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9780071359467: The Handbook of Mortgage Backed Securities

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

The classic -- and single best -- 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 – 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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From the Back Cover:

The Definitive Book on Mortgage-Backed Securities­­Now Revised and Updated

The Handbook of Mortgage-Backed Securities is the classic­­ and single best­­ resource for understanding and trading mortgage-backed securities. All professionals in the MBS market­­ from portfolio managers and traders to originators and consultants­­will gain new insights from its discussions of the latest fundamentals, characteristics, and profit strategies.

New material in this updated fifth edition includes:

  • Updated Overview of the Mortgage Market
  • Securities Backed by Adjustable-Rate Mortgages
  • Prepayment Penalty Mortgage-Backed Securities
  • Building an MBS Index: Conventions and Calculations
  • Nonagency CMOs
  • Securities Backed by Closed-End Home Equity Loans
  • Securities Backed by Manufacturing Housing Loans
  • Mortgage Credit Analysis
  • Credit Performance of High LTV Loans
  • Overview of Recent Prepayment Behavior and Advances in Its Modeling
  • GNMA ARM Prepayment Model
  • The Next Generation of Prepayment Models to Value Nonagency MBS
  • Prepayment Insight: Saxon Mortgage Home Equity Portfolio
  • ARMS Analysis
  • Uncovering Value in Terminal Value PSA
  • Analysis of Low Loan Balance MBS
  • Analysis of Low-WAC MBS
  • The Combined Effects of Low-WAC and Low-Balance on MBS Valuation
  • Hedging with Swaps and Agencies
  • Hedge Effectiveness: A Study by Price Bucket
  • Hedging IOs and Mortgage Servicing
  • Commercial Mortgage-Backed Securities
  • Value and Sensitivity of CMBS IOs
  • CMBS Collateral Performance
  • Mortgage-Backed Securities in Germany, the Netherlands, and Australia
  • Commercial-Backed Securities in Japan

A classic of investment literature, The Handbook of Mortgage-Backed Securities provides unparalleled coverage of every aspect of the mortgage-backed securities market. Authoritative and comprehensive, it explains both the fundamentals and investment characteristics of mortgage-backed securities, as well as state-of-the-art strategies for capitalizing on opportunities.

The fifth edition of the Handbook is very much a new book. Twenty-nine of the chapters are either new or have been substantially revised. The book fully reflects the most recent developments in the mortgage-backed securities market, in terms of both product development and financial technology.

Compiled by Frank J. Fabozzi, the Handbook features contributions from a wide range of experts. Entirely new sections on credit sensitive mortgage-backed securities, prepayment modeling, and non-U.S. mortgage-backed securities help to provide a seamless transition into the 24-hour, global financial markets of the 21st century. As a result, readers are given a well-rounded, real-world perspective on this dynamic and multifaceted market­­with the Handbook's well-known focus on applied materials and techniques making this updated edition required reading for all market practitioners.

The Handbook is divided into seven sections:

  • 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
  • Non-U.S. Mortgage-Backed Securities

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 fifth edition contains all the elements that made the previous four editions so successful and influential­­and continues the book's long tradition of providing cutting edge information for investors, traders, and other professionals involved in the mortgage-backed securities market.

About the Author:

Frank J. Fabozzi, Ph.D., is adjunct professor of finance at Yale's School of Management and is editor of The Journal of Portfolio Management. Dr. Fabozzi­­a Chartered Financial Analyst and Certified Public Accountant, and the editor or author of dozens of acclaimed financial books­­is widely regarded as one of the world's foremost authorities on fixed income securities. Prior to joining Yale's faculty, he was on the faculty of MIT's Sloan School of Management.

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