Frank J Fabozzi。英文原版，免积分下载，有需要的童鞋请自便~~THE HANDBOOK OFMORTGAGE-BACKEDSECURITIESSixth editionFRANKJ. FABOZZI, Ph. D, CFA, CPAEditorMcGraw-HillNew York Chicago San Francisco Lisbon London MadridMexico City Milan New Delhi San Juan Seoulgapore Sydney TorontoThe Mc Graw. Hill companiesCopyright O 2006, 2001, 1995 by Frank J. Fabozzi. All rights reserved. Printed in the UnitedStates of America. Except as permitted under the United States Copyright Act of 1976, no part ofthis publication may be reproduced or distributed in any form or by any means, or stored in a database or retrieval system, without the prior written permission of the publisher1234567890DOC/DOC098765ISBN0-07-146074-8This publication is designed to provide accurate and authoritative information in regard to the subjectmatter covered. It is sold with the understanding that neither the author nor the publisher is engaged inrendering legal, accounting, futures/securities trading, or other professional service. If legal advice orother expert assistance is required, the services of a competent professional person should be sought-From a Declaration of Principles jointly adopted by a committeeof the american Bar Association and a Committee of publishersMcGraw-Hill books are available at special quantity discounts to use as premiums and sales promotions,or for use in corporate training programs. For more information, please write to the Director of SpecialSales Professional Publishing. Mc Graw-Hill. Two Penn Plaza. New york. NY10121-2298 Or contactour local bookstoreThis book is printed on recycled, acid-free paper containing a minimum of 50%recycled, de-inked fiberLibrary of Congress Cataloging-in-Publication DataThe handbook of mortgage-backed securities /edited by Frank J. Fabozzi.6th edIncludes bibliographical references and indexisBN 0-07-146074-8(hardcover: alk. paper)1. Mortgage-backed securities--United States. 2. Portfolio management--United States. LFabozzi. frank jHG4655H362005332.6323-dc222005017828CONTENT SPreface xxiContributors xXvSECTION ONEMORTGAGE-BACKED SECURITIES (MBS) PRODUCTS ANDTHE MORTGAGE MARKETChapter 1An Overview of Mortgages and the mortgage Market 3Anand K. Bhattacharya, Frank Fabozzi, and William S. BerlinerProduct definition and terms 4Mortgage-Loan Mechanics 9The Mortgage Industry 15The loan underwriting process 17Generation of Mortgage Lending Rates 20Risks associated with Mortgages and MBs 27The evolving roles of the gses 32Chapter 2MBS Investors 35Steven abrahamsThe Sources of Competitive Advantage in Investing in MBS 35Fannie mae and Freddie mac 39Insurers 41Total-Return portfolios 42Change in the Competitive Landscape 44The portfolio meets the market 44ContentsChapter 3Mortgage Pass-Through Securities 45Linda lowell and michael corsiFederally Sponsored Mortgage Pass-Through Programs 46Pass-Through Cash Flows 52Impact of Cash-Flow Variability on Yield and Average Life 58Determinants of Prepayment Speeds 62Gauging a pool,s prepayment risk 68Anatomy of the Pass-Through Market 74Chapter 4Trading, Settlement, and Clearing Procedures forAgency Mbs 81Jeffrey D. Biby, Srinivas Modukuri, and Brian HargraveTBA Trading: Turning Pool-Specific securities intoGeneric securities 81Settlement Procedures for Agency Pass-Throughs 82BMA Good Delivery Guidelines 83Variance 85Trading and settlement Procedures for OtherMBS Products 86Clearing procedures for mbs 86ummaAppendix: What Happens When an Investor Buysa mortgage-Backed security? 88What if the Dealer Fails to deliver 90Chapter5Defining Nonagency MBS 93Thomas zimmermanThe nonagency market 93Defining Characteristics 94Credit 98Distribution of characteristics 101Evolution of loan and borrower characteristics 104Credit and Prepayment Performance 106Agency Expansion into Nonagency Zones 111SummaryContentsChapter 6Credit Enhancements for Nonagency mBs Products 113frank fabozziExternal Credit Enhancements 113Internal Credit Enhancements 116Use of interest -Rate derivative instruments 122Chapter 7Understanding the Prospectus and Prospectus Supplement 127David M. Lukach, Yogesh Gupta, Thomas Knox, and John gibsonSecurities Act Registration Statements: The Disclosure framework 128Disclosures for Form S-3 Registered MBS Offerings 129Typical Sections of a Prospectus and Prospectus Supplement 132Conclusion 156Chapter 8Waterfall Cash-Flow Mechanics in European RMBS 157Alexander Batchvarov, William Davies, and Altynay davletovaGeneral Forms of Waterfalls 157Variations in European RMBS Waterfalls by Country 159Combined or Split rMBs Waterfalls: Compare and Contrast 165Sumn168SECTION TWOALTERNATIVE MORTGAGE PRODUCTSChapter 9Exploring the mbs/ABS Continuum: The growth andTiering of the Alt-A Hybrid Sector 171Satish mansukhaniExploring the MBS/ABS Continuum: Defining the Risk Space 172The MBS/ABS Continuum in the Hybrid Sector 173Prepayment and credit Performance Follow Relative Placementalong the continuum 175Deal Structures also mirror Relative Placement along the Continuum 179Sufficient Credit Enhancement to Withstand Multiples of Default FrequencyExperienced on Weaker Subprime Mortgages 180The value of available funds caps 183ontentsChapter 10Alt-A Mortgages and MBs 187Anand K. Bhattacharya, William s. Berliner, and Jonathan LieberBackground 187Loan-Level Characteristics 190Factors Underlying prepayment behavior 192Empirical Prepayment Performance 200Recent Developments 204Chapter 11Fixed-Rate alt-A MBS 207Satish Mansukhani, Arjune Budhram, and Mutaz QubbajFixed-Rate Alt-A Collateral 208Alt-A Prepayments 222Historical Drivers of Prepayments and Defaults 228Credit Performance and enhancement 234Practical Portfolio Manager Opportunities and Considerations 252Chapter 12Hybrid Adjustable-Rate Mortgages(ARMs) 259Anand K Bhattacharya, Steve Banerjee, Ricardo Horowicz, and Wei wangPopularity and Issuance of Hybrid ARMs 260Characteristics of Hybrid ARM Loans 261Hybrid ARM Refinance Incentive 266Comparing Hybrid ARM S-Curves 272Comparing hybrid ARM Seasoning Curves 275Loan-Level Drivers of Hybrid ARMs 277Interest-Only(IO) Hybrid ARMs 282Jumbo hybrid ARM Credit Performance 284Conclusions 285Chapter 13Hybrids: Product, Performance, Investor Base, and frameworks toAssess relative value 287Satish Mansukhani, Adama Kah, and Mu'taz QubbaHybrid Origination and Issuance 288Securitization of Hybrids 29The hybrid borrower 291ContentsPrepayment Profiles of Hybrids 295Trading Conventions in the hybrid Market 311Investors in the Hybrid Secondary Markets 314A Conceptual framework for Relative-Value Assessments of hybrids 316Cap Valuations on Hybrids 319Index levels: Implied Forwards and Historical Peaks 319Relative value of Hybrids 320Identifying Characteristics/Features of Hybrids 327Chapter 14Interest-Only ARMs 333David liuOverview of Io arms 335Credit Implications 347Prepayment Experience 353Conclusion 361Chapter 15Residential asset-Backed securities 363John mcelraveyMarket Development 364Characteristics of Subprime borrowers 366Prepayment speeds 369Relative-Value Consequences 372Key Aspects of Credit Analysis 374Structural Considerations 378Conclusion 387Chapter 16Customized mortgage-Backed Securities 389Anand K. Bhattacharya and Paul JacobHistorical Perspective 389Major Categories of Customized MBs 391Determinants of Market Payups 397Evaluation of Customized Pools: Current-Yield Approach 400Evaluation of Customized Pools: Option-Adjusted Spread Analysis 401Measuring the duration of a customized pool 407Challenges and issues in customized mbs valuation 410ContentsChapter 17The Prepayment and Credit Characteristics of ReperformingFHA/VA Loans 413Anand K. Bhattacharya, William s. Berliner, and Jonathan LieberThe Process of Delinquency Curing 414Prepayments 416Credit Fundamentals: Overview 426Chapter 18Prepayment-Penalty Mortgage-Backed Securities 441Anand K Bhattacharya, William S. Berliner, and Jonathan lieberLegal framework for Imposition of prepayment penalties 442Prepayment-Penalty Loan Structures 443The Dynamics of the Prepayment Penalty 448Borrower and Lender dynamics 449Prepayment Behavior of Prepayment-Penalty Loans 452The Impact of Prepayment Penalties on Security Performance and Duration 458Conclusions 462SECTION THREEMORTGAGE DERIVATIVES: CMOS AND STRIPPED MBSChapter 19Stripped Mortgage-Backed Securities 465Cyrus Mohebbi, Gary Li, and Todd whiteOverview of the smbs market 466Investment Characteristics 470Summary 480Chapter 20PAC Bond Features and performance 481Linda lowell and Michael CorsiCollars 482Effective Collars 484PAC Collar drift 485How Likely Is Breaking the PAC Bands? 486Pay Order and Average Life Stability 488Average-Life Profile versus Option-Pricing models 490