Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities [Hardcover]

Lakhbir Hayre (Editor)

Book Description

Series: Wiley Finance | Publication Date: April 23, 2001

Mortgage-backed and asset-backed securities are fixed-income securities, like bonds, which derive their return from an underlying mortgage or basket of mortgages, or an asset or basket of assets. This market has increased from about $100 billion in 1980 to over $2.5 trillion today. Filling the void for a new book on fixed-income, Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities provides a coherent and comprehensive approach to the subject. Featuring material used by the company, this book is an ideal training tool and resource for investment professionals, institutional investors, pension fund investors, and hedge-fund investors.
Lakhbir Hayre (New York, NY) is a mortgage officer at Salomon Smith Barney, and their leading expert on mortgage-backed and asset-backed securities. He is a Certified Financial Analyst and a Doctor of Philosophy.

Editorial Reviews

From the Inside Flap

Mortgage-backed securities (MBSs) and asset-backed securities (ABSs) are the largest sector of today's bond market, with billions of dollars of securities traded every day. They constitute a core holding of almost all U.S. institutional fixed income investors. The authoritative Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities assembles recent research conducted by analysts at Salomon Smith Barney—as well as insightful analysis of this research—to provide a comprehensive, sophisticated, and unambiguous examination of today's MBS and ABS markets.

Organized sequentially, with self-contained chapters that can be read on their own to eliminate the confusion so often found in other books of its type, this invaluable guide is an ideal training tool and resource for investment professionals, institutional investors, pension funds, hedge funds, and all others looking for clear, concise, and complete treatment of this multifaceted subject. Look to this guide for information on topics including:

• A general framework for modeling of prepayment rates on residential mortgage loans—critical in estimating security cashflows and investment characteristics
• How the Internet is changing the mortgage origination process, and the resulting implications for prepayment patterns
• Option-adjusted spreads—the standard valuation methodology that combines prepayment and term structure models
• Collateralized mortgage obligations (CMOs), one of the largest sectors of today's market
• Nonmortgage-related ABSs, including up-to-date innovations in credit card ABSs
• MBS and collateralized mortgage-backed securities (CMBS) markets in the United Kingdom, and the rapidly growing MBS market in Australia
• Appendices that include a glossary of common terms, a guide to investor resources including Web sites, information on risk-based capital standards, and basic mortgage mathematics

The MBS and ABS market has grown to become a key area for institutional investors, and up-to-date knowledge is crucial for investment success. Let the Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities provide you with the fundamentals, characteristics, and insights you need to fully understand—and capitalize on opportunities in—today's transformed MBS and ABS marketplace.

From the Back Cover

The Industry's Most Comprehensive Treatment of the Modern MBS/ABS Marketplace—From the Pioneers Who Helped Create the Market

"Lakhbir Hayre's work ranks in the top echelon of fixed income research of the past two decades. Both new entrants and seasoned market professionals can benefit from the insights compiled in this volume."
—Greg Parseghian, Senior Vice President and Chief Investment Officer, Freddie Mac

"This is an enormously comprehensive study of the MBS and ABS markets by one of the most respected people in the field. Its unmatched wealth of institutional and technical detail make it an invaluable reference to anyone interested in these markets."
—Richard Stanton, Associate Professor of Finance Haas School of Business, University of California, Berkeley

"This is an excellent and comprehensive guide that is clearly required reading for anyone interested in these important financial markets. I particularly liked the many explicit examples of prepayment modeling approaches."
—Francis A. Longstaff, Professor of Finance The Anderson School, University of California, Los Angeles

High credit quality and superior returns have contributed to the growth of MBSs and ABSs in the institutional investment community. Let the Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities provide you with the expert, in-depth treatment you need to understand—and profit from—MBS and ABS investments.

See all Editorial Reviews

Product Details

• Hardcover: 888 pages
• Publisher: Wiley; 1 edition (April 23, 2001)
• Language: English
• ISBN-10: 0471385875
• ISBN-13: 978-0471385875
• Product Dimensions: 9.1 x 6.1 x 1.8 inches
• Shipping Weight: 2.8 pounds (View shipping rates and policies)
• Average Customer Review: 4.6 out of 5 stars  See all reviews (8 customer reviews)
• Amazon Best Sellers Rank: #562,404 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

12 of 12 people found the following review helpful:

3.0 out of 5 stars A collection of client reports: a Handbook (simplified), but not a Textbook, February 16, 2007

By 

Matteo Gadioli (London, United Kingdom) - See all my reviews
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This review is from: Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities (Hardcover)

If you are a professional working on ABS and you want to have a handy collection of the client reports that were distributed by Salomon Smith Barney (now Citigroup), well this book might be very useful for you. The book covers a large breadth of topics and generally they are written quite well. But putting together 700 pages of reports written by different authors doesn't make it an organized book. Most of the chapters are neither a logical consequence of the previous one nor self contained, and they require you to be already familiar with the terminology. Furthermore, this book lacks examples of implementation details, and the mathematics involved doesn't go beyond the very basic. For example, you won't get much detail on how to structure a CMO or how to calibrate a prepayment model.
If you don't already know ABS and want to learn the details of securitization I advise you to consider the book of Stone and Zissu.

5 of 5 people found the following review helpful:

5.0 out of 5 stars Excellent, December 11, 2006

By 

Dr. Lee D. Carlson (Baltimore, Maryland USA) - See all my reviews
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This review is from: Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities (Hardcover)

By covering topics of great practical importance in the mortgage industry, both from the standpoint of mortgage-backed securities and from the mortgage origination process, this handbook should be helpful to those entering the field of fixed income securities and those who are seasoned veterans. The authors of the different articles emphasize the applied and practical aspects of the subject, and so no heavy guns from mathematics are brought in (as they could be in the discussions on term structure models and option-adjusted spreads), but even those readers interested in these tools from mathematics could view the handbook as an introduction to the key ideas used. In this regard the part of the handbook on prepayment analysis and modeling will be of great interest to those responsible for financial modeling, as will the part on option-adjusted spreads and durations. Readers will probably not read the handbook from cover to cover, but instead will select those articles that they have the greatest interest in. The handbook can be consulted as needed and compared with other more current literature on the topics discussed.

Financial revolutions are not as common as revolutions in other fields, due to the conservative nature of financiers and venture capitalists, but when they happen they do so with a vengeance. The mortgage industry is currently undergoing such a revolution, due not only to the innovations that are occurring in mortgage-lending but also to the willingness of homeowners to cash in on their equity. In addition, techniques from artificial intelligence (usually called "smart automation" in the mortgage industry) are being used to automate the loan origination process, particularly that of underwriting and estimation of borrower credit-worthiness. The mortgage loan origination process can now be tuned to the profile of the individual applicant and parameters such as interest rates, to produce a loan that is structured optimally for this applicant. In addition, the sheer number of regulations that must be complied with, both from municipal, state, and federal agencies can be daunting to financial and mortgage firms. But there are now technologies that have automated compliance. All of these developments are dependent on the concepts discussed in this handbook, along with others of course that are not included in it. No doubt as the mortgage revolution reaches maturity, this handbook will have to be rewritten, and might indeed include concepts that at the present time seem extremely radical or even alien, much as the current ones would have just two decades ago.

12 of 15 people found the following review helpful:

5.0 out of 5 stars Hayre is lucid and informative! The Best Prepayment book, October 13, 2003

By 

V. Ghazarian "RG" (New York) - See all my reviews
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This review is from: Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities (Hardcover)

As other reviewers have mentioned this is a must for anyone involved with MBS ABS markets. Outstanding discussions on prepayment. Very detailed analysis of MBS ABS structures and related processes. A must for all people working with MBS.
Some modeling is hidden and not well explained...