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The Industry's Most Comprehensive Treatment of the Modern MBS/ABS Marketplace-From the Pioneers Who Helped Create the Market
"Lakhbir Hayre's work ranks in the top echelon of fixed income research of the past two decades. Both new entrants and seasoned market professionals can benefit from the insights compiled in this volume."-Greg Parseghian, Senior Vice President and Chief Investment Officer, Freddie Mac
"This is an enormously comprehensive study of the MBS and ABS markets by one of the most respected people in the field. Its unmatched wealth of institutional and technical detail make it an invaluable reference to anyone interested in these markets."-Richard Stanton, Associate Professor of Finance, Haas School of Business, University of California, Berkeley
"This is an excellent and comprehensive guide that is clearly required reading for anyone interested in these important financial markets. I particularly liked the many explicit examples of prepayment modeling approaches."-Francis A. Longstaff, Professor of Finance, The Anderson School, University of California, Los Angeles
High credit quality and superior returns have contributed to the growth of MBSs and ABSs in the institutional investment community. Let the Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities provide you with the expert, in-depth treatment you need to understand-and profit from-MBS and ABS investments.
"Lakhbir Hayre's work ranks in the top echelon of fixed income research of the past two decades. Both new entrants and seasoned market professionals can benefit from the insights compiled in this volume."-Greg Parseghian, Senior Vice President and Chief Investment Officer, Freddie Mac
"This is an enormously comprehensive study of the MBS and ABS markets by one of the most respected people in the field. Its unmatched wealth of institutional and technical detail make it an invaluable reference to anyone interested in these markets."-Richard Stanton, Associate Professor of Finance, Haas School of Business, University of California, Berkeley
"This is an excellent and comprehensive guide that is clearly required reading for anyone interested in these important financial markets. I particularly liked the many explicit examples of prepayment modeling approaches."-Francis A. Longstaff, Professor of Finance, The Anderson School, University of California, Los Angeles
High credit quality and superior returns have contributed to the growth of MBSs and ABSs in the institutional investment community. Let the Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities provide you with the expert, in-depth treatment you need to understand-and profit from-MBS and ABS investments.
The Industry's Most Comprehensive Treatment of the Modern MBS/ABS Marketplace-From the Pioneers Who Helped Create the Market
"Lakhbir Hayre's work ranks in the top echelon of fixed income research of the past two decades. Both new entrants and seasoned market professionals can benefit from the insights compiled in this volume."-Greg Parseghian, Senior Vice President and Chief Investment Officer, Freddie Mac
"This is an enormously comprehensive study of the MBS and ABS markets by one of the most respected people in the field. Its unmatched wealth of institutional and technical detail make it an invaluable reference to anyone interested in these markets."-Richard Stanton, Associate Professor of Finance, Haas School of Business, University of California, Berkeley
"This is an excellent and comprehensive guide that is clearly required reading for anyone interested in these important financial markets. I particularly liked the many explicit examples of prepayment modeling approaches."-Francis A. Longstaff, Professor of Finance, The Anderson School, University of California, Los Angeles
High credit quality and superior returns have contributed to the growth of MBSs and ABSs in the institutional investment community. Let the Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities provide you with the expert, in-depth treatment you need to understand-and profit from-MBS and ABS investments.
"Lakhbir Hayre's work ranks in the top echelon of fixed income research of the past two decades. Both new entrants and seasoned market professionals can benefit from the insights compiled in this volume."-Greg Parseghian, Senior Vice President and Chief Investment Officer, Freddie Mac
"This is an enormously comprehensive study of the MBS and ABS markets by one of the most respected people in the field. Its unmatched wealth of institutional and technical detail make it an invaluable reference to anyone interested in these markets."-Richard Stanton, Associate Professor of Finance, Haas School of Business, University of California, Berkeley
"This is an excellent and comprehensive guide that is clearly required reading for anyone interested in these important financial markets. I particularly liked the many explicit examples of prepayment modeling approaches."-Francis A. Longstaff, Professor of Finance, The Anderson School, University of California, Los Angeles
High credit quality and superior returns have contributed to the growth of MBSs and ABSs in the institutional investment community. Let the Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities provide you with the expert, in-depth treatment you need to understand-and profit from-MBS and ABS investments.
Über den Autor
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.
Inhaltsverzeichnis
Introduction.
AN OVERVIEW OF THE MARKET.
A Concise Guide to Mortgage-Backed Securities (MBSs).
An Introduction to the Asset-Backed Securities (ABSs) Market.
The Mechanics of Investing in Mortgage- and Asset-Backed Securities.
PREPAYMENT ANALYSIS AND MODELING.
Anatomy of Prepayments: The Salomon Smith Barney (SSB) Prepayment Model.
Random Error in Prepayment Projections.
The Mortgage Origination Process.
The Impact of the Internet on Prepayments.
COLLATERAL SECTORS.
Ginnie Mae.
Adjustable Rate Mortgages (ARMs).
Hybrid ARMs.
Jumbo Loans.
Alternative-A Loans.
OPTION-ADJUSTED SPREADS AND DURATIONS.
The SSB Two-Factor Term Structure Model.
Mortgage Durations and Price Moves.
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (CMOs) AND STRIPPED MBSs.
Structuring Mortgage Cash-Flows.
COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBSs).
A Guide to CMBs.
A Guide to Interest Only CMBSs.
A Guide to Fannie Mae DUS MBSs.
MORTGAGE-RELATED ASSET-BACKED SECURITIES.
Home Equity Loan (HEL) Securities.
Prepayments on RFC Fixed-Rate Sub-Prime/HELs.
Manufactured Housing (MH) Loan Securities.
NON-MORTGAGE-RELATED ASSET-BACKED SECURITIES.
Class C Notes: Opening the Next Frontier in Credit Card Asset-Backed Securities.
A Fresh Look at Credit Card Subordinate Clauses.
Recreational Vehicle and Boat Loan ABSs.
The ABCs of CDO Equity.
Student Loans.
NON-U.S. MARKETS.
The Mortgages Market in the United Kingdom.
The CMBs Market in the United Kingdom.
The Mortgage Market in Australia.
APPENDICES.
AN OVERVIEW OF THE MARKET.
A Concise Guide to Mortgage-Backed Securities (MBSs).
An Introduction to the Asset-Backed Securities (ABSs) Market.
The Mechanics of Investing in Mortgage- and Asset-Backed Securities.
PREPAYMENT ANALYSIS AND MODELING.
Anatomy of Prepayments: The Salomon Smith Barney (SSB) Prepayment Model.
Random Error in Prepayment Projections.
The Mortgage Origination Process.
The Impact of the Internet on Prepayments.
COLLATERAL SECTORS.
Ginnie Mae.
Adjustable Rate Mortgages (ARMs).
Hybrid ARMs.
Jumbo Loans.
Alternative-A Loans.
OPTION-ADJUSTED SPREADS AND DURATIONS.
The SSB Two-Factor Term Structure Model.
Mortgage Durations and Price Moves.
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (CMOs) AND STRIPPED MBSs.
Structuring Mortgage Cash-Flows.
COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBSs).
A Guide to CMBs.
A Guide to Interest Only CMBSs.
A Guide to Fannie Mae DUS MBSs.
MORTGAGE-RELATED ASSET-BACKED SECURITIES.
Home Equity Loan (HEL) Securities.
Prepayments on RFC Fixed-Rate Sub-Prime/HELs.
Manufactured Housing (MH) Loan Securities.
NON-MORTGAGE-RELATED ASSET-BACKED SECURITIES.
Class C Notes: Opening the Next Frontier in Credit Card Asset-Backed Securities.
A Fresh Look at Credit Card Subordinate Clauses.
Recreational Vehicle and Boat Loan ABSs.
The ABCs of CDO Equity.
Student Loans.
NON-U.S. MARKETS.
The Mortgages Market in the United Kingdom.
The CMBs Market in the United Kingdom.
The Mortgage Market in Australia.
APPENDICES.
Über den Autor
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.
Inhaltsverzeichnis
Introduction.
AN OVERVIEW OF THE MARKET.
A Concise Guide to Mortgage-Backed Securities (MBSs).
An Introduction to the Asset-Backed Securities (ABSs) Market.
The Mechanics of Investing in Mortgage- and Asset-Backed Securities.
PREPAYMENT ANALYSIS AND MODELING.
Anatomy of Prepayments: The Salomon Smith Barney (SSB) Prepayment Model.
Random Error in Prepayment Projections.
The Mortgage Origination Process.
The Impact of the Internet on Prepayments.
COLLATERAL SECTORS.
Ginnie Mae.
Adjustable Rate Mortgages (ARMs).
Hybrid ARMs.
Jumbo Loans.
Alternative-A Loans.
OPTION-ADJUSTED SPREADS AND DURATIONS.
The SSB Two-Factor Term Structure Model.
Mortgage Durations and Price Moves.
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (CMOs) AND STRIPPED MBSs.
Structuring Mortgage Cash-Flows.
COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBSs).
A Guide to CMBs.
A Guide to Interest Only CMBSs.
A Guide to Fannie Mae DUS MBSs.
MORTGAGE-RELATED ASSET-BACKED SECURITIES.
Home Equity Loan (HEL) Securities.
Prepayments on RFC Fixed-Rate Sub-Prime/HELs.
Manufactured Housing (MH) Loan Securities.
NON-MORTGAGE-RELATED ASSET-BACKED SECURITIES.
Class C Notes: Opening the Next Frontier in Credit Card Asset-Backed Securities.
A Fresh Look at Credit Card Subordinate Clauses.
Recreational Vehicle and Boat Loan ABSs.
The ABCs of CDO Equity.
Student Loans.
NON-U.S. MARKETS.
The Mortgages Market in the United Kingdom.
The CMBs Market in the United Kingdom.
The Mortgage Market in Australia.
APPENDICES.
AN OVERVIEW OF THE MARKET.
A Concise Guide to Mortgage-Backed Securities (MBSs).
An Introduction to the Asset-Backed Securities (ABSs) Market.
The Mechanics of Investing in Mortgage- and Asset-Backed Securities.
PREPAYMENT ANALYSIS AND MODELING.
Anatomy of Prepayments: The Salomon Smith Barney (SSB) Prepayment Model.
Random Error in Prepayment Projections.
The Mortgage Origination Process.
The Impact of the Internet on Prepayments.
COLLATERAL SECTORS.
Ginnie Mae.
Adjustable Rate Mortgages (ARMs).
Hybrid ARMs.
Jumbo Loans.
Alternative-A Loans.
OPTION-ADJUSTED SPREADS AND DURATIONS.
The SSB Two-Factor Term Structure Model.
Mortgage Durations and Price Moves.
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (CMOs) AND STRIPPED MBSs.
Structuring Mortgage Cash-Flows.
COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBSs).
A Guide to CMBs.
A Guide to Interest Only CMBSs.
A Guide to Fannie Mae DUS MBSs.
MORTGAGE-RELATED ASSET-BACKED SECURITIES.
Home Equity Loan (HEL) Securities.
Prepayments on RFC Fixed-Rate Sub-Prime/HELs.
Manufactured Housing (MH) Loan Securities.
NON-MORTGAGE-RELATED ASSET-BACKED SECURITIES.
Class C Notes: Opening the Next Frontier in Credit Card Asset-Backed Securities.
A Fresh Look at Credit Card Subordinate Clauses.
Recreational Vehicle and Boat Loan ABSs.
The ABCs of CDO Equity.
Student Loans.
NON-U.S. MARKETS.
The Mortgages Market in the United Kingdom.
The CMBs Market in the United Kingdom.
The Mortgage Market in Australia.
APPENDICES.
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