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Description of The Handbook of Mortgage-Backed Securities

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, the book explains both the fundamentals and investment characteristics of mortgage-backed securities, as well as state-of-the-art strategies for capitalizing on opportunities.

The fourth edition of the Handbook is very much a new book. Twenty-seven of the chapters are either new or have been substantially revised. The book fully reflects the recent developments in the market in terms of both product development and financial technology.

Topics covered in much greater depth in the new edition include: prepayment behavior and modelling; whole-loan CMOs; commercial mortgage-backed securities; and option-adjusted spread analysis. Moreover, sections on stripped mortgage-backed securities, risk management, and taxation have been updated and revised.

Expertly compiled by Frank J. Fabozzi, the Handbook features contributions from a wide range of experts, most of whom are actively involved in the mortgage-backed securities market. As a result, the Handbook provides readers with a well-rounded, real-world, perspective on this dynamic and multi-faceted market.

By providing information vital to market participants, previous editions of the Handbook were instrumental in fuelling the growth of the mortgage-backed securities market. The fourth edition of the Handbook contains all the elements that made the three previous editions so successful and continues the book's long tradition of providing cutting-edge information for investors, traders and other market practitioners.

Title Information

ISBN:

9781557385765

Pages:

1000 pages

Format:

Hardback

Product Code:

4791

Publisher:

McGraw-Hill Professional

Published:

30/11/-0001

Edition:

4th Edition

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Contents of The Handbook of Mortgage-Backed Securities

SECTION I: Mortgage and Pass-Through Securities
1. Mortgages
2. Mortgage Pass-Through Securities
3. Agency Adjustable-Rate Mortgage Securities
4. Trading, Settlement, and Clearing Procedures for Agency MBS
5. Collateralized Borrowing via Dollar Rolls
6. Multifamily Project Securities


SECTION II: Prepayment Behavior and Forecasting
8. Mortgage Prepayment Modeling: I
9. Mortgage Prepayment Modeling: II
10. Modifying the PSA Curve for Newly-Issued Mortgage Pass-Throughs
12. Homeowner Mobility and Mortgage-Prepayment Forecasting
13. An Unbiased Method of Applying Historical Prepayment
14. RFC Whole Loan Prepayment Behavior


SECTION III: Stripped Mortgage-Backed Securities
14. Stripped Mortgage-Backed Securities
15. Synthetic Mortgage-Backed Securities


SECTION IV: Collateralized Mortgage Obligations
16. Introduction to Collateralized Mortgage Obligations
17. Prospects of Derivative Mortgage Securities
18. The Effect of PAC Bond Features on Performance
19. Z-Bonds
20. Companions with Schedules
21. Inverse Floaters and Inverse IOs
22. CMO Residuals
23.Whole-Loan CMOs
24. Understanding and Valuing Mortgage Security Credit


SECTION V: Commercial Mortgage-Backed Securities
25. Commercial Mortgage-Backed Securities
26. Quantifying Credit Risk in CMBS
27. New Ways to Model Default Scenarios


SECTION VI: Valuation Techniques and Risk Measurement
28. A Comparison of Models for Analyzing Mortgage-Backed Securities
29. Introduction to the Option-Adjusted Spread Method
30. A Further Look at Option-Adjusted Spread Analysis
31. Consistent, Fair and Robust Methods of Valuing Mortgage-Backed Securities
32. Towards a New Approach to Measuring Mortgage Duration
33. Duration and Convexity Drift of CMOs
34. Understanding Inverse Floater Pricing


SECTION VIII: Hedging Strategies
35. Hedging Interest-Rate Risks with Futures, Swaps and Options
36. Risk, Return and Hedging Fixed-Rate Mortgages
37. Options on Mortgage-Backed Securities


SECTION IX: Accounting and Tax Considerations
38. FAS 115 and MBS Portfolio Management
39. Federal income Tax treatment of Mortgage-Backed Securities

Appendix
Index