Handbook of Mortgage-Backed Securities

<body stylesrc="../_private/template_title.htm" topmargin="10" leftmargin="10" bgcolor="#FFFFFF" link="#333366" vlink="#000000" alink="#000000"> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" id="table2"> <tr> <td width="780"> <div align="center"> <table border="0" cellpadding="5" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table3"> <tr> <td valign="top" align="right" height="198" width="1%"> <p align="left"> <img border="0" src="../images/book_fabozzi_MBS.gif" width="136" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" id="table4"> <tr> <td colspan="3" width="0%"> <p class="book_title">Handbook of Mortgage-Backed Securities</td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"><img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> <td width="52%" class="book_details_tags" valign="top" height="144" align="left" rowspan="9"> <map name="FPMap2"> <area href="../main/ratings.htm" shape="rect" coords="73, 0, 164, 33"> </map> <img border="0" src="../images_title/fabozz6.gif" usemap="#FPMap2" width="215" height="158"></td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="bottom" height="48" align="center" width="50%" rowspan="3">  </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" height="32" align="center" width="50%" rowspan="2"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <center> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table5"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </center> </div> <table border="0" cellpadding="5" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table6"> <tr> <td width="45%" valign="top"> <p align="left" class="body_expanded" style="line-height: 135%">This has long been the bible of the MBS market. Unlike many edited collections, the chapters form a cohesive, well-thought-out whole. The book reflects tremendous practical experience. </p> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="125" align="left" id="table7"> <tr> <td width="120"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td><td width="5"> </td> </tr> </table> <p align="left" class="body_expanded" style="line-height: 135%">There are chapters on structures, including pass-throughs, PAC bonds, Z bonds, inverse floaters. Other chapters look at forms of collateral. There is a nice chapter on settlement procedures. Another looks at MBS credit analysis. Still other chapters look at special situations, such as rotating PSA environments or valuing low loan balance instruments. </p> <p align="left" class="body_expanded" style="line-height: 135%">The book is primarily focused on United States markets, but there are nice chapters looking at markets in Germany, the Netherlands, Australia and Japan. My one criticism of the book is that its treatment of prepayment and OAS modeling is shallow—even for a largely non-technical book. Otherwise, this is an excellent resource. <b> [Review and table of contents based on the 5th edition]</b></p> <p align="center" class="body"> </p> </td> <td width="55%" valign="top" class="body" height="50%" rowspan="2"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table8"> <tr> <td width="100%" bgcolor="#333366"> <p class="header_yellow" align="center">Contents</td> </tr> <tr> <td width="100%" class="explanatory_text"> <table border="1" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#CCCCFF" bgcolor="#CCCCFF" width="100%" id="table9"> <tr> <td class="contents_expanded"> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:6; margin-bottom:2"><b> Mortgages and Pass-Through Securities </b></p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 1. Overview of the Mortgage Market</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 2. Mortgage Pass-Through Securities</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 3. Securities Backed by Adjustable-Rate Mortgages</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 4. Prepayment Penalty Mortgage-Backed Securities</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 5. Trading, Settlement, and Clearing Procedures for Agency MBS</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 6. Building an MBS Index: Conventions and Calculations</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 7. Collateralized Borrowing via Dollar Rolls</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:6; margin-bottom:2"><b> Stripped Mortgage-Backed Securities and Collateralized Mortgage Obligations </b></p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 8. Stripped Mortgage-Backed Securities</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 9. Collateralized Mortgage Obligations</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 10. The Effect of PAC Bond Features on Performance</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 11. Z Bonds</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 12. Companions with Schedules</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 13. Inverse Floating-Rate CMOs</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:6; margin-bottom:2"><b> Credit-Sensitive Mortgage-Backed Securities </b></p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 14. Nonagency CMOs</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 15. Securities Backed by Closed-End Home Equity Loans</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 16. Securities Backed by Manufactured Housing Loans</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 17. Mortgage Credit Analysis</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 18. Credit Performance of High LTV Loans</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:6; margin-bottom:2"><b> Prepayment Modeling </b></p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 19. Overview of Recent Prepayment Behavior and Advances in Its Modeling</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 20. GNMA ARM Prepayment Model</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 21. The Next Generation of Prepayment Models to Value Nonagency MBS</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 22. Prepayment Insight: Saxon Mortgage Home Equity Portfolio</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:6; margin-bottom:2"><b> Valuation Techniques, Relative Value Analysis, and Portfolio Strategies </b></p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 23. Valuation of Mortgage-Backed Securities</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 24. ARMs Analysis</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 25. Toward a New Approach to Measuring Mortgage Duration</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 26. Duration and Convexity Drift of CMOs</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 27. Understanding Inverse Floater Pricing</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 28. Uncovering Value in Rotating PSA Environments</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 29. Analysis of Low Loan Balance MBS </p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 30. Analysis of Low-WAC MBS</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 31. The Combined Effects of Low WAC and Low Balance on MBS Valuation</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 32. Hedging Mortgages with Swaps and Agencies</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 33. Hedge Effectiveness: A Study by Price Bucket</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 34. Hedging IOs and Mortgage Servicing </p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:6; margin-bottom:2"><b> Commercial Mortgage-Backed Securities </b></p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 35. Commercial Mortgage-Backed Securities</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 36. Multifamily Project Securities</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 37. Value and Sensitivity Analysis of CMBS IOs</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 38. CMBS Collateral Performance</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:6; margin-bottom:2"><b> Non-U.S. Mortgage-Backed Products </b></p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 39. Mortgage-Backed Securities in Germany</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 40. Mortgage-Backed Securities in the Netherlands</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:2"> 41. Mortgage-Backed Securities in Australia</p> <p class="contents_compressed" style="margin-left:10; margin-right:4; margin-top:2; margin-bottom:8"> 42. Commercial Mortgage-Backed Securities in Japan</td> </tr> </table> </td> </tr> </table> </td> </tr> <tr> <td width="50%" valign="bottom"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table10"> <tr> <td width="100%"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </td> </tr> </table> <div align="left"> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" bgcolor="#FFFFCC" id="table11"> <tr> <td width="100%" align="center"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" bgcolor="#FFFFCC" id="table12"> <tr> <td> <p class="body" style="margin-bottom: 6; margin-left:10"><b><font color="#333366" size="3">For related books, see sections:</font></b></p> <p class="bullet" style="margin-left: 10"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/markets_industries_MBS_ABS.htm">Markets - MBS, ABS</a></p> <p class="bullet" style="margin-left: 10"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/markets_industries_fixed_income.htm">Markets - Fixed Income</a><p class="bullet" style="margin-left: 10"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/portfolio_management_fixed_income.htm">Portfolio Management - Fixed Income</a></td> </tr> </table> </td> </tr> </table> </div> </td> <td>  </td> </tr> </table>  <table border="0" style="border-collapse: collapse" width="100%" cellpadding="0" id="table1" bgcolor="#FFFFFF"> <tr> <td colspan="2" height="12"> <p style="margin-top: 0"> </td> </tr> <tr> <td align="right"> <p align="left" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Ads by Contingency Analysis.</font></a></td> <td align="left"> <p align="right" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Advertise on this site.</font></a></td> </tr> <tr> <td align="center" colspan="2">  <iframe src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=iframe" allowtransparency="true" background-color="transparent" style="margin: 0px; padding: 0px; border-width: 0px" width="300" height="250" frameborder="0" marginwidth="0" marginheight="0" scrolling="no"> <![if lt IE 4]> <script src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=js" type="text/javascript"> </script> <noscript> <a href="http://servedbyadbutler.com/go2/;ID=147917;size=300x250;setID=93136"> <img src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=img" border="0" height="250" width="300" alt=""></a> </noscript><![endif]> </iframe>   </td> </tr> </table> <p align="center" style="margin-top: 20"> <map name="FPMap0_I1"> <area href="http://www.riskbook.com" shape="rect" coords="0, 0, 184, 29" target="_top"></map> <img border="0" src="../images/open_book_riskbook.gif" usemap="#FPMap0_I1" width="185" height="30"></p> <p class="a" align="center"><font face="Arial" size="2"><a href="../main/disclaimer.htm">disclaimer</a></font></p> <p class="a" align="center"><span class="verdana10">website:</span> <a target="_top" href="http://www.contingencyanalysis.com"> <font size="2" face="Arial">http://www.contingencyanalysis.com</font></a><br> <span class="verdana10">books direct link:</span> <a target="_top" href="http://www.riskbook.com"><font size="2" face="Arial">http://www.riskbook.com</font></a><br> copyright <font face="Times New Roman">©</font> Contingency Analysis, 1996 - current</p> <p class="a" align="center"><map name="FPMap1_I1"> <area target="_top" href="http://www.contingencyanalysis.com" shape="rect" coords="0, 0, 240, 88"> </map><img border="0" src="../images/logo_book_white.gif" usemap="#FPMap1_I1" width="241" height="89"></p>  </body>