The Handbook of Mortgage-Backed Securities, 7th Edition

by Fabozzi, Frank J.

• ISBN13: 9780198785774
• ISBN10: 0198785771
• Edition: 7th
• Format: Hardcover
• Copyright: 2016-10-18
• Publisher: Oxford University Press

Summary

This edition of The Handbook of Mortgage-Backed Securities, the first revision following the subprime mortgage crisis, is designed to provide not only the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage on the state-of-the-art strategies for capitalizing on the opportunities in this market. The book is intended for both the individual investor and the professional manager. The volume includes contributions from a wide range of experts most of whom have been actively involved in the evolution of the mortgage-backed securities market.

Author Biography

Frank J. Fabozzi, Professor of Finance, EDHEC Business School

Frank J. Fabozzi is editor of the Journal of Portfolio Management, Professor of Finance at EDHEC Business School, and a Senior Scientific Adviser at EDHEC-Risk Institute. A CFA holder, Professor Fabozzi is a trustee for the BlackRock closed-end fund complex. He received the CFA Institute's 'C. Stewart Sheppard Award' in 2007, as well as the 'James R. Vertin Award' in 2015. He was inducted into the Fixed Income Analysts Society Hall of Fame in November 2002. He has authored and edited numerous books in fixed income analysis and portfolio management.

Table of Contents

PART ONE: BACKGROUND
1. Mortgage Loans to Mortgage-Backed Securities, Bill Berliner, Adam Quinoes and Anand K. Bhattacharya
2. Understanding the Prospectus and Prospectus Supplement, David M. Lukach,Thomas Knox, Eliza Kwong, and Anoop Lall
3. Cash Flow Mathematics For Agency Mortgage-Backed Securities, Frank J. Fabozzi
4. New Regulations for Securitizations and Asset-Backed Securities, Sharon Borwn-Hruska, and Georgi Tsvetkov
5. Impact of the Credit Crisis on MBS Markets, Andrew Carron, Anne Gron, and Tom Schopflocher
PART TWO: AGENCY RMBS: BASIC PRODUCTS
6. Agency Passthroughs, Frank J. Fabozzi, Glenn Schultz, and Linda Lowell
7. Hybrid ARMs, Bill Berliner, Anand K. Bhattacharya, and Steve Banerjee
8. Customized Mortgage-Backed Securities, Anand K. Bhattacharya, Bill Berliner, and Steve Banerjee
9. Single Family Rental Deals, Debra Chen
10. Agency Credit Risk Sharing Deals, Debra Chen
11. Agency Mortgage-Backed Securities: Performance, Valuation and Risk Premium Comparatives, Philip Obazee and Ion Dan
PART THREE: AGENCY RMBS: MUTLI-CLASS
12. Agency CMOs, Frank Fabozzi
13. Agency Planned Amortization Class Bonds, William Irving, Linda Lowell, and Frank J. Fabozzi
14. Accrual Bonds/Z Bonds, Glenn Schultz, Linda Lowell, and Frank J. Fabozzi
15. Support Bonds with Schedules, Linda Lowell, Glenn Schultz, and Frank J. Fabozzi
16. Floating Rate Mortgage Securities: CMOs and RMBS, Airat Chanyshev, Esther Bruegger, and Erin McHugh
17. Inverse Floating-Rate CMOs, Cyrus Mohebbi, Raymond Yu, Marc Barakat, and Paula Steisel Goldfarb
18. Stripped Mortgage-Backed Securities, Cyrus Mohebbi, Gary Li, and Todd White
PART FOUR: PRIVATE LABEL MBS
19. Lessons of the Financial Crisis for Private-Label MBS, Mark Adelson
20. Credit Enhancement, Frank J. Fabozzi and Bill Berliner
21. Covered Bonds, Thomas Schopflocher and Jordan Milev
PART FIVE: COMMERCIAL MORTGAGE-BACKED SECURITIES
22. Agency Commercial Mortgage Securities, Ed Daingerfield
23. CMBS Collateral Performance: Measures and Valuations, Philip O. Obazee and Duane C. Hewlett
PART SIX: VALUATION AND PREPAYMENT MODELING
24. Valuation of Agency Mortgage-Backed Securities, Rajashri (Priya) Joshi, Tom Davis, and Bill McCoy,
25. Prepayment Modeling, Jonathon Weiner
26. Contemporary Challenges in Loan-Level Prepayment Modeling, Steve Banerjee, Anand K. Bhattacharya and Bill Berliner
27. Issues and Challenges in Non-Agency Mortgage Securitizations, William Berliner and Anand Bhattacharya
28. Residential Mortgage Defaults, Foreclosures and Modifications, Faten Sabry, Ignacio Franceschelli, and Drew Claxton
PART SEVEN: PORTFOLIO MANAGEMENT TOOLS AND TECHNIQUES
29. Managing Against the Barclays Capital MBS Index: MBS Index Prices, Eric M. Wang and Bruce D. Phelps
30. MBS Index Replication with TBAs, Nikki Stefanelli and Bruce D. Phelps
31. Alternative Methods for Estimating Duration for Mortgage-Backed Securities, Frank J. Fabozzi
32. Hedging Agency Mortgage-Related Securities, Brett R. Dunn. Kenneth B. Dunn, Frank Fabozzi, and Roberto Sella
33. Dollar Rolls, William Berliner and Anand Bhattacharaya
34. Credit Derivatives and MBS, Chu Okongwu, Tim McKenna, Oksana Kitaychik, and Giulio Renzi Ricci
35. A Framework for Determining Relative Value in the Agency MBS Market, Mark Fontanilla