Authors: Frank Fabozzi
ISBN-13: 9780071460743, ISBN-10: 0071460748
Format: Hardcover
Publisher: McGraw-Hill Companies, The
Date Published: December 2005
Edition: REV
Frank J. Fabozzi, Ph.D., CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management. One of the world's foremost authorities on fixed income securities and derivative instruments, Dr. Fabozzi is editor of the Journal of Portfolio Management and the bestselling author of more than forty books, including the acclaimed The Handbook of Fixed Income Securities. Prior to joining the Yale faculty, he was on the faculty of MIT's Sloan School of Management.
The classic and still the best investor's guide to the mortgage-backed securities market
Mortgage-backed securities continue to be one of the most exciting, fastest-growing sector of the fixed income market. According to the Mortgage Bankers Association, of the estimated $3 trillion in mortgage loans made in 2005, fully 80 percent ended up in mortgage-backed securities, representing a phenomenal 61 percent growth since 2001.
For more than twenty-five years, the number-one resource for both private investors and professional portfolio managers looking to gain a practical understanding of the rapidly evolving MBS market has been The Handbook of Mortgage-Backed Securities. Like its predecessors, this latest edition of Frank Fabozzi's classic draws upon the insights and expertise of an impressive team of international experts to fill you in on MBS fundamentals and bring you up to speed on state-of-the-art investment strategies. Covering the full range of MBS products (agency, nonagency, and resident ABS) and derivatives, the Handbook explores the many advantages and potential pitfalls inherent in the market and shows you how to:
Fully revised and expanded to provide coverage of the latest MBS products, valuation methodologies, prepayment models, and trading strategies, Handbook of Mortgage-Backed Securities, Sixth Edition is the definitive guide to capitalizing on the opportunities in today's MBS marketplace.
First introduced more than thirty-five years ago, mortgage-backed securities have, over the past decade, burgeoned into one of the most dynamic sector of the fixed income market. Nowadays no investment portfolio would be considered truly balanced without a significant exposure to the MBS sector to match that of a broad-based bond market index and enhance returns relative to a benchmark.
From the beginning, Frank J. Fabozzi's investment classic, The Handbook of Mortgage Backed Securities, has been instrumental in fueling the phenomenal growth of the market. Through five successive editions, the Handbook has armed investors with timely, authoritative coverage of all key fundamental and technical aspects of MBS, along with frank appraisals of the opportunities as well as the risks involved with these continually evolving instruments.
This new edition is no exception. Like its predecessors, it brings together contributions by an all-star team of experts who share what they know about today's MBS markets. Much more than a mere revision, The Handbook of Mortgage-Backed Securities, Sixth Edition has been substantially updated and expanded. In it you'll find up-to-the-minute coverage of the latest mortgage-backed products, valuation methodogies, prepayment models, relative value analysis, trading techniques, and portfolio strategies, organized around the seven key areas of:
Following in a proud tradition begun a quarter century ago, The Handbook of Mortgage-Backed Securities, Sixth Edition is the definitive resource for those seeking to understand and capitalize on the latest generation of MBS products and trading techniques.
Frank J. Fabozzi, Ph.D., CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management. One of the world's foremost authorities on fixed income securities and derivative instruments, Dr. Fabozzi is editor of the Journal of Portfolio Management and the bestselling author of more than forty books, including the acclaimed The Handbook of Fixed Income Securities. Prior to joining the Yale faculty, he was on the faculty of MIT's Sloan School of Management.
A thorough survey of state-of-the-art strategies for capitalizing on the opportunities in the mortgage-backed securities market, examining the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors. This edition (2nd was 1988) is substantially rewritten: 32 of the 41 chapters are new, while the other nine contain updated information. Annotation c. Book News, Inc., Portland, OR (booknews.com)
Preface | ||
Contributing Authors | ||
1 | Overview | 1 |
2 | Mortgages | 9 |
3 | Mortgage Pass-Through Securities | 29 |
4 | Agency Adjustable-Rate Mortgage Securities | 59 |
5 | Trading, Settlement, and Clearing Procedures for Agency MBS | 81 |
6 | Collateralized Borrowing via Dollar Rolls | 91 |
7 | Multifamily Project Securities | 103 |
8 | Mortgage Prepayment Modeling: I | 127 |
9 | Mortgage Prepayment Modeling: II | 143 |
10 | Modifying the PSA Curve for Newly Issued Mortgage Pass-Throughs | 169 |
11 | Homeowner Mobility and Mortgage Prepayment Forecasting | 177 |
12 | An Unbiased Method of Applying Historical Prepayment Speeds to Project Future Cash Flows | 187 |
13 | RFC Whole Loan Prepayment Behavior | 195 |
14 | Stripped Mortgage-Backed Securities | 225 |
15 | Synthetic Mortgage-Backed Securities | 249 |
16 | Introduction to Collateralized Mortgage Obligations | 263 |
17 | Prospects of Derivative Mortgage Securities | 293 |
18 | The Effect of PAC Bond Features on Performance | 301 |
19 | Z-Bonds | 327 |
20 | Companions with Schedules | 349 |
21 | Inverse Floaters and Inverse IOs | 367 |
22 | CMO Residuals | 395 |
23 | Whole-Loan CMOs | 413 |
24 | Understanding and Valuing Mortgage Security Credit | 449 |
25 | Commercial Mortgage-Backed Securities | 491 |
26 | Quantifying Credit Risk in CMBS | 545 |
27 | New Ways to Model Default Scenarios for Income Property Loans | 565 |
28 | A Comparison of Methods for Analyzing Mortgage-Backed Securities | 587 |
29 | Introduction to the Option-Adjusted Spread Method | 611 |
30 | A Further Look at Option-Adjusted Spread Analysis | 625 |
31 | Consistent, Fair and Robust Methods of Valuing Mortgage Securities | 641 |
32 | Towards a New Approach to Measuring Mortgage Duration | 667 |
33 | Duration and Convexity Drift of CMOs | 677 |
34 | Understanding Inverse Floater Pricing | 691 |
35 | Hedging Interest-Rate Risks with Futures, Swaps and Options | 703 |
36 | Risk, Return and Hedging of Fixed-Rate Mortgages | 783 |
37 | Options on Mortgage-Backed Securities | 827 |
38 | FAS 115 and MBS Portfolio Management | 843 |
39 | Federal Income Tax Treatment of Mortgage-Backed Securities | 867 |
Appendix | 933 | |
Index | 941 |