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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
Introduction | p. 1 |
Part 1 An Overview of the Market | p. 7 |
Chapter 1 A Concise Guide to Mortgage-Backed Securities (MBSs) | p. 9 |
Chapter 2 An Introduction to the Asset-Backed Securities Market | p. 69 |
Chapter 3 The Mechanics of Investing in Mortgage- and Asset-Backed Securities | p. 105 |
Part 2 Prepayment Analysis and Modeling | p. 129 |
Chapter 4 Anatomy of Prepayments: The Salomon Smith Barney Prepayment Model | p. 131 |
Chapter 5 Random Error in Prepayment Projections | p. 193 |
Chapter 6 The Mortgage Origination Process | p. 206 |
Chapter 7 The Impact of the Internet on Prepayments | p. 220 |
Part 3 Collateral Sectors | p. 231 |
Chapter 8 Ginnie Mae Prepayment Behavior | p. 233 |
Chapter 9 Adjustable Rate Mortgages | p. 254 |
Chapter 10 Hybrid ARMs | p. 259 |
Chapter 11 Jumbo Loans | p. 277 |
Chapter 12 Alternative-A Loans | p. 281 |
Part 4 Option-Adjusted Spreads and Durations | p. 313 |
Chapter 13 The SSB Two-Factor Term Structure Model | p. 315 |
Chapter 14 Mortgage Durations and Price Moves | p. 347 |
Part 5 Agency Collateralized Mortgage Obligations (CMOs) | p. 367 |
Chapter 15 Structuring Mortgage Cash Flows | p. 369 |
Part 6 Commercial Mortgage-Backed Securities (CMBSs) | p. 399 |
Chapter 16 A Guide to Commercial Mortgage-Backed Securities | p. 401 |
Chapter 17 A Guide to CMBS 10 | p. 452 |
Chapter 18 A Guide to Fannie Mae DUS MBSs | p. 476 |
Part 7 Mortgage-Related Asset-Backed Securities | p. 489 |
Chapter 19 Home Equity Loan (HEL) Securities | p. 491 |
Chapter 20 Prepayments on RFC Fixed-Rate Subprime/HELs | p. 519 |
Chapter 21 Manufactured Housing Loan Securities | p. 559 |
Part 8 Nonmortgage-Related Asset-Backed Securities | p. 625 |
Chapter 22 Class C Notes: Opening the Next Frontier in Credit Card Asset-Backed Securities | p. 627 |
Chapter 23 A Fresh Look at Credit Card Subordinate Classes | p. 643 |
Chapter 24 Recreational Vehicle and Boat Loan ABSs: A Prepayment Analysis | p. 656 |
Chapter 25 The ABCs of CDO Equity | p. 663 |
Chapter 26 Student Loans | p. 692 |
Part 9 Non-U.S. Markets | p. 733 |
Chapter 27 The Mortgage Market in the United Kingdom | p. 735 |
Chapter 28 The CMBS Market in the United Kingdom | p. 757 |
Chapter 29 The Mortgage Market in Australia | p. 775 |
Glossary | p. 832 |
Appendix A Mortgage Mathematics | p. 839 |
Appendix B Standard Agency Definitions of CMO Bond Types | p. 844 |
Appendix C Risk-Based Capital Standards | p. 845 |
Appendix D Settlement Dates | p. 849 |
Appendix E Resources for MBS and ABS Investors | p. 851 |
Index | p. 855 |