Description

Book Synopsis
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.

Table of Contents
About the Authors.

1. Introduction.

SECTION I: AGENCY CMOS.

2. Collateral for CMOs.

3. Prepayment Conventions and Factors Affecting Prepayments.

4. Sequential-Pay and Accrual Tranches.

5. Floater, Inverse Floater, and Notional IO Tranches.

6. Planned Amortization Class Tranches.

7. TAC, VADM, Support Tranches, and Re-REMICs.

SECTION II: NONAGENCY CMOS.

8. Nonagency CMOs.

9. The Rating of Nonagency CMOs.

10. Prepayment Analysis of Nonagency Mortgage-Backed Collateral.

SECTION III: ANALYSIS OF CMOS.

11. Valuation and Spread Measures.

12. Measuring Interest Rate Risk: Duration, Convexity, and Key Rate Duration.

13. Total Return Analysis.

14. Analysis of Inverse Floaters.

Index.

Collateralized Mortgage Obligations: Structures and Analysis

    Product form

    A Hardback by Frank J. Fabozzi, Chuck Ramsey

    £72.25

    Includes FREE delivery

    RRP £85.00 – you save £12.75 (15%)

    Order before 4pm today for delivery by Wed 7 Oct 2026.

    15 in stock

      Trusted by thousands of customers. See 2,385+ Customer Reviews

      View other formats and editions of Collateralized Mortgage Obligations: Structures and Analysis by Frank J. Fabozzi

      Book details

      Publisher John Wiley & Sons Inc
      Published 31 July 1999
      ISBN-13 9781883249625
      978-1883249625
      ISBN-10 1883249627
      Also in:
      Finance and accounting

      Description

      Book Synopsis
      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.

      Table of Contents
      About the Authors.

      1. Introduction.

      SECTION I: AGENCY CMOS.

      2. Collateral for CMOs.

      3. Prepayment Conventions and Factors Affecting Prepayments.

      4. Sequential-Pay and Accrual Tranches.

      5. Floater, Inverse Floater, and Notional IO Tranches.

      6. Planned Amortization Class Tranches.

      7. TAC, VADM, Support Tranches, and Re-REMICs.

      SECTION II: NONAGENCY CMOS.

      8. Nonagency CMOs.

      9. The Rating of Nonagency CMOs.

      10. Prepayment Analysis of Nonagency Mortgage-Backed Collateral.

      SECTION III: ANALYSIS OF CMOS.

      11. Valuation and Spread Measures.

      12. Measuring Interest Rate Risk: Duration, Convexity, and Key Rate Duration.

      13. Total Return Analysis.

      14. Analysis of Inverse Floaters.

      Index.

      Recently viewed products

      © 2026 Book Curl

        • American Express
        • Apple Pay
        • Diners Club
        • Discover
        • Google Pay
        • Maestro
        • Mastercard
        • PayPal
        • Shop Pay
        • Union Pay
        • Visa

        Login

        Forgot your password?

        Don't have an account yet?
        Create account