Table of Contents

PART ONE: BACKGROUND
1: Bill Berliner, Adam Quinones and Anand K. Bhattacharya: Mortgage Loans to Mortgage-Backed Securities
2: David M.Lukach,Thomas Knox, Eliza Kwong, and Anoop Lall: Understanding the Prospectus and Prospectus Supplement for Mortgage-Backed Securities
3: Frank J. Fabozzi: Cash Flow Mathematics For Agency Mortgage-Backed Securities
4: Sharon Brown-Hruska, Georgi Tsvetkov, and Trevor Wagener: New Regulations for Securitizations and Asset-Backed Securities
5: Andrew Carron, Anne Gron and Thomas Schopflocher: Impact of the Credit Crisis on Mortgage-Backed Securities
PART TWO: AGENCY RMBS: BASIC PRODUCTS
6: Frank J. Fabozzi, Glenn Schultz, and Linda Lowell: Agency Mortgage Passthrough Securities
7: Bill Berliner, Anand K. Bhattacharya, and Steve Banerjee: Hybrid ARMs
8: Anand K. Bhattacharya, Bill Berliner, and Steve Banerjee: Customized Mortgage-Backed Securities
9: Debra Chen: Single Family Rental Deals
10: Debra Chen: GSE Credit Risk Transfer Deals
11: Philip Obazee and Ion Dan: Agency Mortgage-Backed Securities: Performance, Valuation and Risk Premium Comparatives
PART THREE: AGENCY RMBS: MUTLI-CLASS
12: Frank J. Fabozzi: Agency Collateralized Mortgage Obligations
13: William Irving, Linda Lowell, and Frank J. Fabozzi: Agency Planned Amortization Class Bonds
14: Glenn Schultz, Linda Lowell, and Frank J. Fabozzi: Accrual Bonds/Z Bonds
15: Linda Lowell, Glenn Schultz, and Frank J. Fabozzi: Support Bonds with Schedules
16: Airat Chanyshev, Esther Bruegger, and Erin McHugh: Floating Rate Mortgage Securities
17: Cyrus Mohebbi, Raymond Yu, Marc Barakat, and Paula Steisel Goldfarb: Inverse Floating-Rate CMOs
18: Cyrus Mohebbi, Raymond Yu, Ardeshir Shahmaei, and Paula Steisel Goldfarb: Stripped Mortgage-Backed Securities
PART FOUR: PRIVATE LABEL MBS
19: Mark Adelson: Lessons of the Financial Crisis for Private-Label MBS
20: Frank J. Fabozzi and Bill Berliner: Credit Enhancement
21: Thomas Schopflocher and Jordan Milev: Introduction to Covered Bonds
PART FIVE: COMMERCIAL MORTGAGE-BACKED SECURITIES
22: Ed Daingerfield: Agency Commercial Mortgage Securities
23: Philip O. Obazee and Duane C. Hewlett: CMBS Collateral Performance: Measures and Valuations
PART SIX: VALUATION AND PREPAYMENT MODELING
24: Rajashri (Priya) Joshi, Tom Davis, and Bill McCoy,: Valuation of Agency Mortgage-Backed Securities
25: Jonathon Weiner: Modeling Prepayments and Defaults for MBS Valuation
26: Steve Banerjee, Anand K. Bhattacharya and Bill Berliner: Contemporary Challenges in Loan-Level Prepayment Modeling
27: Bill Berliner and Anand Bhattacharya: Issues and Challenges in Non-Agency Mortgage Securitizations
28: Faten Sabry, Ignacio Franceschelli, and Drew Claxton: Residential Mortgage Defaults, Foreclosures and Modifications
PART SEVEN: PORTFOLIO MANAGEMENT TOOLS AND TECHNIQUES
29: Eric M. Wang and Bruce D. Phelps: Managing against the Barclays MBS Index: Prices and Returns
30: Nikki Stefanelli and Bruce D. Phelps: MBS Index Replication with TBAs
31: Frank J. Fabozzi: Alternative Methods for Estimating Duration for Mortgage-Backed Securities
32: Brett R. Dunn. Kenneth B. Dunn, Frank J. Fabozzi, and Roberto Sella: Hedging Agency Mortgage-Related Securities
33: Bill Berliner and Anand Bhattacharaya: Dollar Rolls
34: Chudozie Okongwu, Timothy McKenna, Oksana Kitaychik, and Giulio Renzi-Ricci: Credit Derivatives and Mortgage-Backed Securities
35: Mark Fontanilla: A Framework for Determining Relative Value in the Agency MBS Market

About the Author

Frank J. Fabozzi is editor of the Journal of Portfolio Management, Professor of Finance at EDHEC Business School, and a Senior Scientific Adviser at EDHEC-Risk Institute. A CFA holder, Professor Fabozzi is a trustee for the BlackRock closed-end fund complex. He received the CFA Institute's 'C. Stewart Sheppard Award' in 2007, as well as the 'James R. Vertin Award' in 2015. He was inducted into the Fixed Income Analysts Society Hall of Fame in November
2002. He has authored and edited numerous books in fixed income analysis and portfolio management.