Collateralized Mortgage Obligations Structures and Analysis

by Fabozzi, Frank J.; Ramsey, Chuck

• ISBN13: 9781883249625
• ISBN10: 1883249627
• Edition: 3rd
• Format: Hardcover
• Copyright: 1999-07-15
• Publisher: Wiley

Summary

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.

Author Biography

Frank J. Fabozzi is editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University&#146;s School of Management. Frank is a Chartered Financial Analyst and Certified Public Accountant. He is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate of economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Human Letters from Nova Southeastern University. Frank is a Fellow of the International Center for Finance at Yale University.<BR>

Table of Contents

About the Authors	iv
Introduction	1	(8)
Section I: Agency CMOs
Collateral for CMOs	9	(12)
Prepayment Conventions and Factors Affecting Prepayments	21	(20)
Sequential-Pay and Accrual Tranches	41	(14)
Floater, Inverse Floater, and Notional IO Tranches	55	(14)
Planned Amortization Class Tranches	69	(22)
TAC, VADM, Support Tranches, and Re-REMICs	91	(20)
Section II: Nonagency CMOs
Nonagency CMOs	111	(22)
The Rating of Nonagency CMOs	133	(12)
Prepayment Analysis of Nonagency Mortgage-Backed Collateral	145	(18)
Section III: Analysis of CMOs
Valuation and Spread Measures	163	(20)
Measuring Interest Rate Risk: Duration, Convexity, and Key Rate Duration	183	(22)
Total Return Analysis	205	(22)
Analysis of Inverse Floaters	227	(12)
Index	239