Collateralized Mortgage Obligations: Structures and Analysis

by Frank J. Fabozzi, Chuck Ramsey

The market for collateralized mortgage obligations is extraordinarily dynamic and innovative. CMO bond classes have been customized to satisfy the most particular needs of institutional investors, resulting in remarkable growth and a myriad of bonds with appealing risk/reward charactersistics. Written by three of the principal players in the field, Collateralized Mortgage Obligations shows investors how to evaluate various types of CMOs in order to make wise investment decisions. The book covers every aspect of the market, from a description of CMO structures to analytical techniques to accounting and regulatory issues. Other topics factors affecting prepayments; basic and complex CMO structures; static cash flow yield analysis and OAS analysis; analysis of inverse floaters.

267 pages, Paperback

First published December 31, 1993

About the author

Frank J. Fabozzi is a Professor in the Practice of Finance and Becton Fellow in the Yale School of Management. He is well known as the author of numerous books on finance, both practitioner-focused and academic. Professor Frank J. Fabozzi will be joining Edhec Risk Institute on August 1, 2011. EDHEC-Risk Institute is part of EDHEC Business School, one of Europe’s leading business schools.