This edition, revised since the subprime mortgage crisis, is designed to provide not only the fundamentals of mortgage-backed securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage of state-of-the-art strategies for capitalizing on the opportunities in this market.

• 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

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.