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Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities

Lakhbir Hayre (Editor)
ISBN: 978-0-471-38587-5
888 pages
May 2001
Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities (0471385875) cover image

Description

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.
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Table of Contents

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.
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Author Information

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.
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