Structures and Analysis
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.
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.