Collateralized Mortgage Obligations 3e
Financial experts Chuck Ramsey and Frank Ramirez join Frank Fabozzi for the third edition of Collateralized Mortgage Obligations: Structure & Analysis. Because of the complexity and the risk associated with CMOs, portfolio managers need specific keys to understand and unlock the potential of these unique investment tools. Fabozzi and company provide this understanding with detailed explanations of all aspects of CMOs, including factors affecting prepayment behavior; whole loan CMO...
Search in google:
Financial experts Chuck Ramsey and Frank Ramirez join Frank Fabozzi for the third edition of Collateralized Mortgage Obligations: Structure & Analysis. Because of the complexity and the risk associated with CMOs, portfolio managers need specific keys to understand and unlock the potential of these unique investment tools. Fabozzi and company provide this understanding with detailed explanations of all aspects of CMOs, including factors affecting prepayment behavior; whole loan CMO structures; and accounting for CMO investments. Filled with relevant examples and in-depth discussions, Collateralized Mortgage Obligations: Structure & Analysis sheds light on this somewhat controversial and highly technical subject-which is one of the fastest-growing sectors of the fixed-income securities market.
About the Authors1Introduction1Sect. IAgency CMOs2Collateral for CMOs93Prepayment Conventions and Factors Affecting Prepayments214Sequential-Pay and Accrual Tranches415Floater, Inverse Floater, and Notional IO Tranches556Planned Amortization Class Tranches697TAC, VADM, Support Tranches, and Re-REMICs91Sect. IINonagency CMOs8Nonagency CMOs1119The Rating of Nonagency CMOs13310Prepayment Analysis of Nonagency Mortgage-Backed Collateral145Sect. IIIAnalysis of CMOs11Valuation and Spread Measures16312Measuring Interest Rate Risk: Duration, Convexity, and Key Rate Duration18313Total Return Analysis20514Analysis of Inverse Floaters227Index239
