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

1. Auflage 2001
ISBN: 978-0-471-38587-5
Verlag: Wiley

Buch, Englisch, 896 Seiten, Format (B × H): 162 mm x 239 mm, Gewicht: 1312 g

Der Markt für hypothekarisch gedeckte und forderungsbesicherte Wertpapiere ist seit 1980 von etwa 1 Milliarde US Dollar auf über 2,5 Billionen US Dollar angestiegen. Der "Salomon Smith Barney Guide to Mortgaged-Backed and Asset-Backed Securities" trägt dieser Entwicklung Rechnung. Autor Lakhbir Hayre, Mitarbeiter von Salomon Smith Barney, New York, erläutert dieses Thema anhand von unternehmeninternem Material anschaulich, zusammenhängend, praxisnah und umfassend. Dieses Buch ist nicht nur ein nützlicher Leitfaden für die Praxis, sondern auch ein ideales Übungsbuch und Nachschlagewerk für alle Investmentprofis, institutionelle Anleger und Anleger in Pensionsfonds und Hedge Funds.

Autoren/Hrsg.

Hayre, Lakhbir

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung

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.

Über Autor(innen)

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.