Over the past few decades, the residential mortgage market in the United States has emerged as one of the world’s largest asset classes. At its peak in the first quarter of 2008, the total face value of household mortgage debt exceeded $10.6 trillion dollars. The growth of the residential mortgage market reflected the rapid ... click here for more details.

The growth of the real estate and primary mortgage markets led, quite naturally, to the rapid expansion of the mortgage-backed securities—or MBS—market. According to the Securities Industry and Financial Markets Association (SIFMA), there were approximately $6.5 trillion in MBS outstanding at the end of the second quarter of 2009, which would make it roughly as ... click here for more details.

This chapter discusses various measures used to gauge potential returns, while Chapter 11 is dedicated to explaining the methods for estimating the interest rate risk of MBS. Chapters 12 and 13 conclude with discussions of the actual processes for evaluating agency and privatelabel MBS. Because many approaches to measuring the interest rate risk of MBS ... click here for more details.