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Collateralized mortgage obligations : structures and analysis

Author: Frank J Fabozzi; Chuck Ramsey
Publisher: New Hope, Pa. : Frank J. Fabozzi Associates, ©1999.
Edition/Format:   Print book : English : 3rd edView all editions and formats
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Document Type: Book
All Authors / Contributors: Frank J Fabozzi; Chuck Ramsey
ISBN: 1883249627 9781883249625
OCLC Number: 41969637
Description: iv, 242 pages : illustrations ; 24 cm
Contents: Agency CMOs --
Collateral for CMOs --
Prepayment Conventions and Factors Affecting Prepayments --
Sequential-Pay and Accrual Tranches --
Floater, Inverse Floater, and Notional IO Tranches --
Planned Amortization Class Tranches --
TAC, VADM, Support Tranches, and Re-REMICs --
Nonagency CMOs --
Nonagency CMOs --
The Rating of Nonagency CMOs --
Prepayment Analysis of Nonagency Mortgage-Backed Collateral --
Analysis of CMOs --
Valuation and Spread Measures --
Measuring Interest Rate Risk: Duration, Convexity, and Key Rate Duration --
Total Return Analysis --
Analysis of Inverse Floaters.
Responsibility: Frank J. Fabozzi, Chuck Ramsey.

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