Collateralized Mortgage Obligations: Structures and Analysis, 3rd EditionISBN: 978-1-883249-62-5
Hardcover
256 pages
July 1999
 This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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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.
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.
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