EDIT: This primer from Goldman is a couple years old but still a great guide: http://www.classiccmp.org/transputer/finengineer/%5BGoldman%20Sachs%5D%20A%20Mort

EDIT: This primer from Goldman is a couple years old but still a great guide: http://www.classiccmp.org/transputer/finengineer/%5BGoldman%20Sachs%5D%20A%20Mortgage%20Product%20Primer.pdf http://www.classiccmp.org/transputer/finengineer/%5BGoldman%... As far as books go, there aren't any, unfortunately. I think it's because the mortgage-backed securities market is largely confined to professional investors and traders who learn everything on the job. Stocks are the opposite: it's dead easy to open an ETrade account and buy some shares, so there's a ton of information for individual investors. Lots of people use Fabozzi (http://www.amazon.com/Handbook-Mortgage-Backed-Securities-Frank-Fabozzi/dp/0071460748/ref=pd_bbs_sr_1?ie=UTF8&s=books&qid=1215915490&sr=8-1 http://www.amazon.com/Handbook-Mortgage-Backed-Securities-Fr...) as a reference, but I'm not a fan... it's disorganized, not particularly well written, and doesn't provide much information on how the market works on a day to day basis. The Salomon book (http://www.amazon.com/Salomon-Barney-Mortgage-Backed-Asset-Backed-Securities/dp/0471385875/ref=sr_1_1?ie=UTF8&s=books&qid=1215915811&sr=1-1 http://www.amazon.com/Salomon-Barney-Mortgage-Backed-Asset-B...) is popular too, but I've never read it.