Handbook of Mortgage Backed Securities

Frank J. Fabozzi, Ph.D., is adjunct professor of finance at Yale's School of Management and is editor of The Journal of Portfolio Management. Dr. Fabozzi--a Chartered Financial Analyst and Certified Public Accountant, and the editor or author of dozens of acclaimed financial books--is widely regarded as one of the world's foremost authorities on fixed income securities. Prior to joining Yale's faculty, he was on the faculty of MIT's Sloan School of Management.

Section I: Mortgages and Pass-Through Securities. Chapter 1: Overview of the Mortgage Market. Chapter 2: Mortgage Pass-Through Securities. Chapter 3: Securities Backed by Adjustable-Rate Mortgages. Chapter 4: Prepayment Penalty Mortgage-Backed Securities. Chapter 5: Trading, Settlement, and Clearing Procedures for Agency MBS. Chapter 6: Building an MBS Index: Conventions and Calculations. Chapter 7: Collateralized Borrowing via Dollar Rolls. Section II: Stripped Mortgage-Backed Securities and Collateralized Mortgage Obligations. Chapter 8: Stripped Mortgage-Backed Securities. Chapter 9: Collateralized Mortgage Obligations. Chapter 10: The Effect of PAC Bond Features on Performance. Chapter 11: Z Bonds. Chapter 12: Companions with Schedules. Chapter 13: Inverse Floating-Rate CMOs. Section III: Credit-Sensitive Mortgage-Backed Securities. Chapter 14: Nonagency CMOs. Chapter 15: Securities Backed by Closed-End Home Equity Loans. Chapter 16: Securities Backed by Manufactured Housing Loans. Chapter 17: Mortgage Credit Analysis. Chapter 18: Credit Performance of High LTV Loans. Section IV: Prepayment Modeling. Chapter 19: Overview of Recent Prepayment Behavior and Advances in Its Modeling. Chapter 20: GNMA ARM Prepayment Model. Chapter 21: The Next Generation of Prepayment Models to Value Nonagency MBS. Chapter 22: Prepayment Insight: Saxon Mortgage Home Equity Portfolio. Section V: Valuation Techniques, Relative Value Analysis, and Portfolio Strategies. Chapter 23: Valuation of Mortgage-Backed Securities. Chapter 24: ARMs Analysis. Chapter 25: Toward a New Approach to Measuring Mortgage Duration. Chapter 26: Duration and Convexity Drift of CMOs. Chapter 27: Understanding Inverse Floater Pricing. Chapter 28: Uncovering Value in Rotating PSA Environments. Chapter 29: Analysis of Low Loan Balance MBS. Chapter 30: Analysis of Low-WAC MBS. Chapter 31: The Combined Effects of Low WAC and Low Balance on MBS Valuation. Chapter 32: Hedging Mortgages with Swaps and Agencies. Chapter 33: Hedge Effectiveness: A Study by Price Bucket. Chapter 34: Hedging IOs and Mortgage Servicing. Section VI: Commercial Mortgage-Backed Securities. Chapter 35: Commercial Mortgage-Backed Securities. Chapter 36: Multifamily Project Securities. Chapter 37: Value and Sensitivity Analysis of CMBS IOs. Chapter 38: CMBS Collateral Performance. Section VII: Non-U.S. Mortgage-Backed Products. Chapter 39: Mortgage-Backed Securities in Germany. Chapter 40: Mortgage-Backed Securities in the Netherlands. Chapter 41: Mortgage-Backed Securities in Australia. Chapter 42: Commercial Mortgage-Backed Securities in Japan.