Mortgage-Backed and Asset-Backed Securities
 

Professionals at Salomon Smith Barney have compiled an excellent edited collection on the MBS and ABS markets.

 

The book opens with two lengthy overview chapters on the MBS and ABS markets. It then has four chapters on mortgage origination and prepayment. Five chapters take a focused look at certain forms of residential mortgage collateral—Ginnie Maes, ARM's, hybrid ARM's, jumbo loans and alternative A loans. Two chapters look at modeling issues. There is a chapter on CMO's and related structures. Three chapters look at commercial MBS. Three chapters consider mortgage-related ABS—linked to home equity loans, etc. Six chapters consider various ABS markets. Finally, three chapters look at the MBS markets of Germany, Great Britain and Australia. There is a nice glossary as well as appendices covering mathematics, risk-based capital, standard definitions and settlement dates.

The book's discussions of MBS are not as extensive as those of Fabozzi (2001). In particular, it focuses less attention on CMO structures and it doesn't treat as many forms of mortgage collateral. However, it offers extensive information on ABS, a topic that Fabozzi does not cover. I like its treatment of settlement procedures better than Fabozzi's. Also, its treatment of pre-payment and OAS modeling is far superior. It does not treat mortgage credit analysis, while Fabozzi devotes an entire chapter to the topic. The book contains more mathematics than Fabozzi, but this is largely relegated to appendices. 

Contents

An Overview of the Market

1. A Concise Guide to Mortgage-Backed Securities

2. An Introduction to the Asset-Backed Securities Market

3. Investing in Mortgage- and Asset-Backed Securities

Prepayment Analysis and Modeling

4. Anatomy of Prepayments: The Salomon Smith Barney Prepayment Model

5. Random Error in Prepayment Projections

6. The Mortgage Origination Process

7. The Impact of the Internet on Prepayments

Collateral Sectors

8. Ginnie Mae Prepayment Behavior

9. Adjustable Rate Mortgages

10. Hybrid ARMs

11. Jumbo Loans

12. Alternative-A Loans

Option-Adjusted Spreads and Durations

13. The SSB Two-Factor Term Structure Model

14. Mortgage Durations and Price Moves

Agency Collateralized Mortgage Obligations (CMOs)

15. Structuring Mortgage Cash Flows

Commercial Mortgage-Backed Securities (CMBSs)

16. A Guide to Commercial Mortgage-Backed Securities

17. A Guide to CMBS IO

18. A Guide to Fannie Mae DUS MBSs

Mortgage-Related Asset-Backed Securities

19. Home Equity Loan (HEL) Securities

20. Prepayments on RFC Fixed-Rate Subprime/HELs

21. Manufactured Housing Loan Securities

Nonmortgage-Related Asset-Backed Securities

22. Class C Notes: Opening the Next Frontier in Credit Card Asset-Backed Securities

23. A Fresh Look at Credit Card Subordinate Classes

24. Recreational Vehicle and Boat Loan ABSs

25. The ABCs of CDO Equity

26. Student Loans

Non-U.S. Markets

27. The Mortgage Market in the United Kingdom

28. The CMBS Market in the United Kingdom

29. The Mortgage Market in Australia

App. A Mortgage Mathematics

App. B Standard Agency Definitions of CMO Bond Types

App. C Risk-Based Capital Standards

App. D Settlement Dates

App. E Resources for MBS and ABS Investors
 

 

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