Frank Fabozzi is joined by financial experts Chuck Ramsey and Frank Ramirez for the third edition of Collateralized Mortgage Oblligations: Structure whole loan CMO structures; accounting for CMO investments.
Book Details:
- Author: Frank J. Fabozzi
- ISBN: 9780470330258
- Year Published: 1999
- Pages: 256
- BISAC: BUS036050, BUSINESS & ECONOMICS/Investments & Securities / Real Estate
About the Book and Topic:
Frank Fabozzi is joined by financial experts Chuck Ramsey and Frank Ramirez for the third edition of Collateralized Mortgage Oblligations: Structure whole loan CMO structures; accounting for CMO investments.
1. Introduction 2. Collateral for Agency CMOs 3. Prepayment Conventions and Factors Affecting Prepayments 4. Sequential-Pay and Accrual Tranches 5. Floater, Inverse Floater, Notional IO Tranches 6. Planned Amortization Class Tranches 7. TAC, VADM, and Support Tranches and Re-REMICs 8. Nonagency CMOs 9. The Rating of Nonagency CMOs 10. Prepayment Analysis of Nonagency Collateral 11. Static Cash Flow Yield Analysis 12. Option-Adjusted Spread Analysis 13. Total Return Framework 14. Analysis of Inverse Floaters
About the Author
Frank J. Fabozzi is editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University’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. Chuck Ramsey is the Chairman and cofounder of Mortgage Risk Assessment Corporation. He was previously a General Partner at Bear Stearns & Co., where he ran the FHLMC/FNMA trading desk and was cohead of fixed income sales. At Bear Stearns he developed the first system on Wall Street for issuer analysis of mortgage-backed securities and the first prepayment model that used geographical differences in forecasting prepayments. He is considered the innovator of specified pool trading. Mr. Ramsey is the coeditor of The Handbook of Nonagency Mortgage-Backed Securities and a contributor to The Handbook of Fixed Income Securities. He holds an undergraduate degree from Lamar University.