The handbook of mortgage-backed securities / edited by Frank J. Fabozzi.

Format:

Book

Contributor:

Fabozzi, Frank J., editor.

Language:

English

Subjects (All):

Mortgage-backed securities--United States.

Mortgage-backed securities.

United States.

Portfolio management--United States.

Portfolio management.

Physical Description:

xxvi, 804 pages : illustrations ; 25 cm

Edition:

Seventh edition.

Place of Publication:

Oxford : Oxford University Press, [2016]

Summary:

This edition of The Handbook of Mortgage-Backed Securities the first revision following the subprime mortgage crisis, is designed to provide not only then fundamental of these securities and the investment characteristies that make them attractive to a broad range of investor, but also extensive coverage of 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 contributors from a wide range of experts, most of whom have been actively involved in the evolution of the mortgage-backed securities market. Book jacket.

Contents:

Part I Background

1 Mortgage Loans to Mortgage-Backed Securities / Bill Berliner Berliner, Bill, Adam Quinones Quinones, Adam, Anand Bhattacharya Bhattacharya, Anand 3

2 Understanding the Prospectus and Prospectus Supplement for Mortgage-Backed Securities / David M. Lukach Lukach, David M., Thomas Knox Knox, Thomas, Eliza Kwong Kwong, Eliza, Anoop Lall Lall, Anoop 30

3 Cash Flow Mathematics for Agency Mortgage-Backed Securities / Frank J. Fabozzi Fabozzi, Frank J. 87

4 New Regulations for Securitizations and Asset-Backed Securities / Sharon Brown-Hruska Brown-Hruska, Sharon, Georgi Tsvetkov Tsvetkov, Georgi, Trevor Wagener Wagener, Trevor 104

5 Impact of the Credit Crisis on Mortgage-Backed Securities / Andrew S. Carron Carron, Andrew S., Anne Gron Gron, Anne, Thomas Schopflocher Schopflocher, Thomas 131

Part II Agency RMBS: Basic Products

6 Agency Mortgage Passthrough Securities / Frank J. Fabozzi Fabozzi, Frank J., Glenn Schultz Schultz, Glenn, Linda Lowell Lowell, Linda 167

7 Hybrid ARMs / Bill Berliner Berliner, Bill, Anand Bhattacharya Bhattacharya, Anand, Steve Banerjee Banerjee, Steve 194

8 Customized Mortgage-Backed Securities / Anand Bhattacharya Bhattacharya, Anand, Bill Berliner Berliner, Bill, Steve Banerjee Banerjee, Steve 204

9 Single-Family Rental Deals / Debra Chen Chen, Debra 219

10 GSE Credit Risk Transfer Deals / Debra Chen Chen, Debra 235

11 Agency Mortgage-Backed Securities: Performance, Valuation, and Risk Premium Comparatives / Ion Dan Dan, Ion, Philip O. Obazee Obazee, Philip O. 246

Part III Agency RMBS: Multi-Class

12 Agency Collateralized Mortgage Obligations / Frank J. Fabozzi Fabozzi, Frank J. 273

13 Agency Planned Amortization Class Bonds / William Irving Irving, William, Frank J. Fabozzi Fabozzi, Frank J., Linda Lowell Lowell, Linda 301

14 Accrual Bonds/Z Bonds / Linda Lowell Lowell, Linda, Glenn Schultz Schultz, Glenn, Frank J. Fabozzi Fabozzi, Frank J. 319

15 Support Bonds with Schedules / Glenn Schultz Schultz, Glenn, Linda Lowell Lowell, Linda, Frank J. Fabozzi Fabozzi, Frank J. 336

16 Floating-Rate Mortgage Securities / Airat Chanyshev Chanyshev, Airat, Erin McHugh McHugh, Erin, Esther Bruegger Bruegger, Esther 354

17 Inverse Floating-Rate CMOs / Cyrus Mohebbi Mohebbi, Cyrus, Raymond Yu Yu, Raymond, Marc Barakat Barakat, Marc, Paula Steisel Goldfarb Goldfarb, Paula Steisel 375

18 Stripped Mortgage-Backed Securities / Cyrus Mohebbi Mohebbi, Cyrus, Raymond Yu Yu, Raymond, Ardeshir Shahmaei Shahmaei, Ardeshir, Paula Steisel Goldearb Goldearb, Paula Steisel 383

Part IV Private-Label MBS

19 Lessons of the Financial Crisis for Private-Label MBS / Mark Adelson Adelson, Mark 401

20 Credit Enhancement / Frank J. Fabozzi Fabozzi, Frank J., Bill Berliner Berliner, Bill 429

21 Introduction to Covered Bonds / Thomas Schopelocher Schopelocher, Thomas, Jordan Milev Milev, Jordan 444

Part V Commercial Mortgage-Backed Securities

22 Agency Commercial Mortgage Securities / Ed Daingerfield Daingerfield, Ed 475

23 CMBS Collateral Performance: Measures and Valuations / Philip O. Obazee Obazee, Philip O., Duane C. Hewlett Hewlett, Duane C. 486

Part VI Valuation and Prepayment Modeling

24 Valuation of Mortgage-Backed Securities / Rajashri (Priya) Joshi Joshi, Rajashri (Priya), Tom Davis Davis, Tom, Bill McCoy McCoy, Bill 503

25 Modeling Prepayments and Defaults for MBS Valuation / Jonathon Weiner Weiner, Jonathon 531

26 Contemporary Challenges in Loan-Level Prepayment Modeling / Steve Banerjee Banerjee, Steve, Anand Bhattacharya Bhattacharya, Anand, Bill Berliner Berliner, Bill 560

27 Issues and Challenges in Non-Agency Mortgage Securitizations / Anand Bhattacharya Bhattacharya, Anand, Bill Berliner Berliner, Bill 581

28 Residential Mortgage Defaults, Foreclosures, and Modifications / Eaten Sabry Sabry, Eaten, Ignacio Franceschelli Franceschelli, Ignacio, Drew Claxton Claxton, Drew 592

Part VII Portfolio Management Tools and Techniques

29 Managing against the Barclays MBS Index: Prices and Returns / Eric M. Wang Wang, Eric M., Bruce D. Phelps Phelps, Bruce D. 635

30 MBS Index Replication with TBAs / Nikki Stefanelli Stefanelli, Nikki, Bruce D. Phelps Phelps, Bruce D. 675

31 Alternative Methods for Estimating Duration for Mortgage-Backed Securities / Frank J. Fabozzi Fabozzi, Frank J. 691

32 Hedging Agency Mortgage-Related Securities / Brett R. Dunn Dunn, Brett R., Kenneth B. Dunn Dunn, Kenneth B., Frank J. Fabozzi Fabozzi, Frank J., Roberto Sella Sella, Roberto 709

33 Dollar Rolls / Bill Berliner Berliner, Bill, Anand Bhattacharya Bhattacharya, Anand 720

34 Credit Derivatives and Mortgage-Backed Securities / Chudozie Okongwu Okongwu, Chudozie, Timothy McKenna McKenna, Timothy, Oksana Kitaychik Kitaychik, Oksana, Glulio Renzi-Ricci Renzi-Ricci, Glulio 733

35 A Framework for Determining Relative Value in the Agency MBS Market / Mark Fontanilla Fontanilla, Mark 758.

Notes:

Previous edition: New York: McGraw-Hill, 2006.

Includes bibliographical references and index.

ISBN:

9780198785774

0198785771

OCLC:

958464331