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The Handbook of Fixed Income Securities, Eighth Edition, 8th Edition by Steven V. Mann, Frank J. Fabozzi

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CHAPTERTHIRTYSTRIPPED MORTGAGE-BACKED SECURITIES

CYRUS MOHEBBI, PH.D.

Managing DirectorMorgan StanleyandAdjunct ProfessorNew York University

GARY LI

Senior Vice PresidentHSBC

TODD WHITE

Managing DirectorColumbia Management Investment Advisors, LLC

DAVID KWUN

Managing DirectorHSBC

In 1983, Freddie Mac launched the collateralized mortgage obligation (CMO) structure that enabled issuers to tailor-make mortgage securities according to investor coupon, maturity, and prepayment risk specifications. In July 1986, Fannie Mae introduced a new addition to the mortgage security product line—stripped mortgage-backed securities (SMBS). In this chapter we will discuss the particular investment characteristics of SMBS and how they can be used in various investment ...

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