The Handbook of Mortgage Backed Securities

This Handbook shows you how to:

1. Invest in the full range of products backed by mortgage loans

2. Value all types of mortgage-backed securities

3. Control interest rate risk

4. Exploit proven portfolio management tools and techniques

5. Use sophisticated hedging strategies and tools

Up-to-the-minute coverage of the following are also provided:

1. The fundamentals of MBS products and the mortgage market

2. Alternative mortgage products - from hybrids and Alt-A mortgages to asset-backed securities

3. Mortgage derivatives, including stripped MBS, PAC bonds, Z bonds, companion bonds with schedules, and inverse floating-rate CMOs

4. Prepayment models and behaviors, with an emphasis on the latest advances in prepayment modeling and valuation

5. Portfolio management tools and techniques, from MBS valuation models to drivers of the call decision

6. Hedging tools and approaches, including the use of options and prepayment derivatives and tips on how to improve the structure of MSR Hedging programs

7. Commercial mortgage-backed securities--including CMBS default risk management, types of CMBS IOs, cash flow characteristics, and more

Table of Contents

Part I. Background

• Chapter 1: Mortgage Loans to Mortgage-Backed Securities

• Chapter 2: Understanding the Prospectus and Prospectus Supplement for Mortgage-Backed Securities

• Chapter 3: Cash Flow Mathematics for Agency Mortgage-Backed Securities

• Chapter 4: New Regulations for Securitizations and Asset-Backed Securities

• Chapter 5: Impact of the Credit Crisis on Mortgage-Backed Securities

Part II. Agency RMBS:Basic Products

• Chapter 6: Agency Mortgage Passthrough Securities

• Chapter 7: Hybrid ARMs

• Chapter 8: Customized Mortgage-Backed Securities

• Chapter 9: Single-Family Rental Deals

• Chapter 10: GSE Credit Risk Transfer Deals

• Chapter 11: Agency Mortgage-Backed Securities

Part III. Agency RMBS: Multi-Class

• Chapter 12: Agency Collateralized Mortgage Obligations

• Chapter 13: Agency Planned Amortization Class Bonds

• Chapter 14: Accrual Bonds/Z Bonds

• Chapter 15: Support Bonds with Schedules

• Chapter 16: Floating-Rate Mortgage Securities

• Chapter 17: Inverse Floating-Rate CMOs

• Chapter 18: Stripped Mortgage-Backed Securities

Part IV. Private-Label MBS

• Chapter 19: Lessons of the Financial Crisis for Private- Label MBS

• Chapter 20: Credit Enhancement

• Chapter 21: Introduction to Covered Bonds

Part V. Commercial Mortgage-Backed Securities

• Chapter 22: Agency Commercial Mortgage Securities

• Chapter 23: CMBS Collateral Performance

Part VI. Valuation and Prepayment Modeling

• Chapter 24: Valuation of Mortgage-Backed Securities

• Chapter 25: Modeling Prepayments and Defaults for MBS Valuation

• Chapter 26: Contemporary Challenges in Loan-Level Prepayment Modeling

• Chapter 27: Issues and Challenges in Non-Agency Mortgage Securitizations

• Chapter 28: Residential Mortgage Defaults, Foreclosures, and Modifications

Part VII. Portfolio Management Tools and Techniques

• Chapter 29: Managing against the Barclays MBS Index

• Chapter 30: MBS Index Replication with TBAs

• Chapter 31: Alternative Methods for Estimating Duration for Mortgage-Backed Securities

• Chapter 32: Hedging Agency Mortgage-Related Securities

• Chapter 33: Dollar Rolls

• Chapter 34: Credit Derivatives and Mortgage-Backed Securities

• Chapter 35: A Framework for Determining Relative Value in the Agency MBS Market