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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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CHAPTERTHIRTY-ONENONAGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES

DAPENG HU, PH.D., CFA

Managing DirectorBlackRock Solutions

ROBERT GOLDSTEIN

Managing DirectorBlackRock Solutions

Nonagency RMBS refers to residential mortgage-backed securities that are not guaranteed by government-sponsored enterprises (GSEs) or government agencies. It includes securities backed by prime jumbo, alternative-A (Alt-A), pay-option adjustable-rate mortgages (Option ARMs), subprime, second lien, and manufactured housing (MH) mortgage loans. While the category encompasses a wide range of instruments, from high-quality vanilla loans to loans at the most creative but risky end of the spectrum, these mortgages are mostly nonconforming, either larger than the agency conforming ...

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