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.
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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