Cover image for Salomon Smith Barney guide to mortgage-backed and asset-backed securities
Title:
Salomon Smith Barney guide to mortgage-backed and asset-backed securities
Series:
Wiley finance series
Publication Information:
New York, NY : John Wiley & Sons, 2001
ISBN:
9780471385875
Added Author:

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30000010098641 HG4655 S24 2001 Open Access Book Book
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Summary

Summary

Mortgage-backed and asset-backed securities are fixed-income securities, like bonds, which derive their return from an underlying mortgage or basket of mortgages, or an asset or basket of assets. This market has increased from about $100 billion in 1980 to over $2.5 trillion today. Filling the void for a new book on fixed-income, Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities provides a coherent and comprehensive approach to the subject. Featuring material used by the company, this book is an ideal training tool and resource for investment professionals, institutional investors, pension fund investors, and hedge-fund investors.
Lakhbir Hayre (New York, NY) is a mortgage officer at Salomon Smith Barney, and their leading expert on mortgage-backed and asset-backed securities. He is a Certified Financial Analyst and a Doctor of Philosophy.


Author Notes

Lakhbir Hayre is a Managing Director at Salomon Smith Barney, whose responsibilities include global mortgage- and asset-backed research. He is a recognized expert on the market, has published numerous articles on the topic, and is a former Chairman of the Mortgage Research Committee of the Bond Market Association. He has a doctorate in mathematical statistics from Oxford University, and was a Professor of Statistics at the Wharton School, University of Pennsylvania, before coming to Wall Street in the mid-1980s.


Table of Contents

Lakhbir HayreLakhbir HayreMary E. KaneRobert Young and Lakhbir HayreLakhbir Hayre and Robert YoungLakhbir HayreLakhbir HayreLakhbir Hayre and Sergei IvanovLakhbir Hayre and Robert Young and Vera ChenLakhbir Hayre and Debashis BhattacharyaDebashis Bhattacharya and Lakhbir HayreLakhbir Hayre and Robert YoungPeter A. DiMartinoY.K. Chan and Robert A. RussellLakhbir HayreBob KulasonDarrell WheelerDarrell Wheeler and Jeffrey BerenbaumDarrell WheelerIvan Gjaja and Lakhbir HayreIvan GjajaIvan Gjaja and Lakhbir Hayre and Arvind RajanPaul Jablansky and Ronald E. Thompson, Jr.Peter DiMartino and Mary E. KaneRonald E. Thompson, Jr. and Ivan GjajaGlen McDermottFrank Tallerico and Ivan GjajaLakhbir Hayre and Ronald E. Thompson, Jr.Darrell WheelerPeter DiMartino and Robert YoungLakhbir Hayre and Robert YoungLakhbir HayreLakhbir Hayre and Robert YoungLakhbir Hayre and Robert YoungLakhbir Hayre and Robert Young
Introductionp. 1
Part 1 An Overview of the Marketp. 7
Chapter 1 A Concise Guide to Mortgage-Backed Securities (MBSs)p. 9
Chapter 2 An Introduction to the Asset-Backed Securities Marketp. 69
Chapter 3 The Mechanics of Investing in Mortgage- and Asset-Backed Securitiesp. 105
Part 2 Prepayment Analysis and Modelingp. 129
Chapter 4 Anatomy of Prepayments: The Salomon Smith Barney Prepayment Modelp. 131
Chapter 5 Random Error in Prepayment Projectionsp. 193
Chapter 6 The Mortgage Origination Processp. 206
Chapter 7 The Impact of the Internet on Prepaymentsp. 220
Part 3 Collateral Sectorsp. 231
Chapter 8 Ginnie Mae Prepayment Behaviorp. 233
Chapter 9 Adjustable Rate Mortgagesp. 254
Chapter 10 Hybrid ARMsp. 259
Chapter 11 Jumbo Loansp. 277
Chapter 12 Alternative-A Loansp. 281
Part 4 Option-Adjusted Spreads and Durationsp. 313
Chapter 13 The SSB Two-Factor Term Structure Modelp. 315
Chapter 14 Mortgage Durations and Price Movesp. 347
Part 5 Agency Collateralized Mortgage Obligations (CMOs)p. 367
Chapter 15 Structuring Mortgage Cash Flowsp. 369
Part 6 Commercial Mortgage-Backed Securities (CMBSs)p. 399
Chapter 16 A Guide to Commercial Mortgage-Backed Securitiesp. 401
Chapter 17 A Guide to CMBS 10p. 452
Chapter 18 A Guide to Fannie Mae DUS MBSsp. 476
Part 7 Mortgage-Related Asset-Backed Securitiesp. 489
Chapter 19 Home Equity Loan (HEL) Securitiesp. 491
Chapter 20 Prepayments on RFC Fixed-Rate Subprime/HELsp. 519
Chapter 21 Manufactured Housing Loan Securitiesp. 559
Part 8 Nonmortgage-Related Asset-Backed Securitiesp. 625
Chapter 22 Class C Notes: Opening the Next Frontier in Credit Card Asset-Backed Securitiesp. 627
Chapter 23 A Fresh Look at Credit Card Subordinate Classesp. 643
Chapter 24 Recreational Vehicle and Boat Loan ABSs: A Prepayment Analysisp. 656
Chapter 25 The ABCs of CDO Equityp. 663
Chapter 26 Student Loansp. 692
Part 9 Non-U.S. Marketsp. 733
Chapter 27 The Mortgage Market in the United Kingdomp. 735
Chapter 28 The CMBS Market in the United Kingdomp. 757
Chapter 29 The Mortgage Market in Australiap. 775
Glossaryp. 832
Appendix A Mortgage Mathematicsp. 839
Appendix B Standard Agency Definitions of CMO Bond Typesp. 844
Appendix C Risk-Based Capital Standardsp. 845
Appendix D Settlement Datesp. 849
Appendix E Resources for MBS and ABS Investorsp. 851
Indexp. 855