Collateralized mortgage obligations: analysis, valuation and portfolio strategy
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chicago, Ill. [u.a.]
Probus
1994
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | X, 292 S. graph. Darst. |
| ISBN: | 1557384991 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
¦ Chronological List of Commentaries vii
¦ Preface [x
¦ introduction j
¦ Chapter 1 CMO Structures 13
Understanding the Deal Structure: Balloon CMOs 15
Whole Loan CMO Cash Flow Allocations 19
Evaluating VADMs 24
Non Sequential PAC Structures 28
Hierarchy of PACs (I): Support and Be Supported 32
Hierarchy of PACs (II): Vector Analysis 36
¦ CHAPTER 2 CMO TRANCHE TYPES AND VALUATION 43
Sequentials: The Recent Varieties 45
Stability of Subordinate PACs 50
Evaluating TACs from Current Coupon Collateral 53
Are All Scheduled Bonds Alike? 56
Component Scheduled Floaters: How Much Risk? 61
Super Floaters: Valuing the Components 67
Understanding the Components of Inverse Floaters 72
Inverse Floater IOs: Funding Cost Risk versus
Prepayment Protection 76
IOs: Risk of Prepayment Spike 81
Identifying Value in PAC IOs 85
PAC POs: Hedge or Hindrance? 88
Multi Level Risk in Re REMICs 91
Contents
¦ Chronological List of Commentaries vii
¦ Preface ix
¦ Introduction 1
¦ Chapter 1 CMO Structures 13
Understanding the Deal Structure: Balloon CMOs 15
Whole Loan CMO Cash Flow Allocations 19
Evaluating VADMs 24
Non Sequential PAC Structures 28
Hierarchy of PACs (I): Support and Be Supported 32
Hierarchy of PACs (II): Vector Analysis 36
¦ Chapter 2 CMO Tranche Types and Valuation 43
Sequentials: The Recent Varieties 45
Stability of Subordinate PACs 50
Evaluating TACs from Current Coupon Collateral 53
Are All Scheduled Bonds Alike? 56
Component Scheduled Floaters: How Much Risk? 61
Super Floaters: Valuing the Components 67
Understanding the Components of Inverse Floaters 12
Inverse Floater IOs: Funding Cost Risk versus
Prepayment Protection 76
IOs: Risk of Prepayment Spike 81
Identifying Value in PAC IOs 85
PAC POs: Hedge or Hindrance? 88
Multi Level Risk in Re REMICs 91
¦ chapter 3 Prepayment analysis 99
Prepayments: Using Vectors versus Long Term Averages 101
How to Use PSAs—Don t! The PSA Model
Distorts MBS Analysis 105
PSA Aging Curve: Effect on PAC IOs 110
Prepayment Volatility and Vector Analysis 114 C
Using Vectors to Identify Value in Broken PACs 118 )
¦T
I Chapter 4 Value Analysis 125
1993 Outlook for Quantitative Analysis 127
Prepayment Vectors and Forward Rates 132
Perils of Mispricing Payers on the Steep Yield Curve 137 I
Valuing PACs Using the Treasury Equivalent Yield 141
Riding Down the Yield Curve with PACs 145
Valuing IOs in the Forward Market 150
Chapter 5 Risk Analysis 157
The Effect of a Flatter Curve on CMOs 159
Option Cost under a Steep Yield Curve 164
PAC Valuation: Risk Allocation Approach 168
Investments in Scenarios—Primitive Profiles 174
A Measure of Prepayment Risk: Prepayment Duration 180
FFIEC Tests: What Is a Risky CMO? 184
Flow Uncertainty Index (FLUX): A Measure of
CMO Cash Flow Volatility 190
CHAPTER 6 RELATIVE VALUE ANALYSIS 199
Evaluating Long Sequentials versus Collateral 201
Performance of PACs versus Sequentials 205
Extension Risk of PACs: Are Fifteen Year
Backed Bonds Better? 210
PACs without Companions 214
wwniEra is w
Assessing Value in POs 218
Comparing Strip IO and PAC IO Values 222
Whole Loan CMOs 226
¦ Chapter 7 portfolio Strategies 233
PACs That Fit Portfolio Needs: Using Key
Rate Durations 235
Sequentials under a Flattening Yield Curve:
Using Key Rate Durations 241
Expected Cash Flow Swap—Primitive Profile Approach 247
Using Short Premium CMOs in Portfolios 251
Duration of a Z Tranche 255
Blended Trade Using IOs and Z Bonds 258
Hedging IOs 264
¦ GLOSSARY 269
Title Date Page
IOs: Risk of Prepayment Spike March 23, 1993 81
Hedging IOs March 30, 1993 264 •
Assessing Value in POs April 6, 1993 218
Blended Trade Using IOs and Z Bonds April 13, 1993 258
Understanding the Deal Structure: Balloon CMOs April 20, 1993 15
Inverse Floater IOs:Funding Cost
Risk versus Prepayment Protection April 27, 1993 76
Super Floaters: Valuing the Components May 3, 1993 67
Sequentials: The Recent Varieties May 10, 1993 45
A Measure of Prepayment Risk: Prepayment Duration May 18, 1993 180
FFIEC Tests: What Is a Risky CMO? May 25, 1993 184
Hierarchy of PACs (Part I): Support and Be Supported June 8, 1993 32
Hierarchy of PACs (Part II): Vector Analysis June 15, 1993 36
Prepayments: Using Vectors versus Long Term Averages June 22, 1993 101 ;
Whole Loan CMO Cash How Allocations June 29, 1993 19 [
Valuing IOs in the Forward Market July 7, 1993 150
Investments in Scenarios—Primitive Profiles July 13, 1993 174
Expected Cash Flow Swap—Primitive Profile
Approach July 20, 1993 247
PSA Aging Curve: Effect on PAC IOs July 27, 1993 110
*How to Use PSAs—Don t! The PSA Model Distorts
MBS Analysis October 5, 1993 105
*Flow Uncertainty Index (FLUX): A Measure of CMO
Cash Flow Volatility October 19, 1993 190
*Prepayment Vectors and Forward Rates November 10, 1993 132
*Multi Level Risk in Re REMICs May 24, 1994 91
I
I
These articles were first published as issues of Quantitative Perspectives, © 1993, 1994 Andrew Davidson Co., Inc. |
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| isbn | 1557384991 |
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| spelling | Davidson, Andrew S. Verfasser aut Collateralized mortgage obligations analysis, valuation and portfolio strategy Andrew S. Davidson ; Thomas S. Y. Ho ; Yung C. Lim Chicago, Ill. [u.a.] Probus 1994 X, 292 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Collateralized mortgage obligations Mortgage-backed securities Valuation United States Hypothekarkredit (DE-588)4161146-9 gnd rswk-swf USA Hypothekarkredit (DE-588)4161146-9 s DE-604 Ho, Thomas S. Y. Verfasser (DE-588)131552643 aut Lim, Yung C. Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007049528&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Davidson, Andrew S. Ho, Thomas S. Y. Lim, Yung C. Collateralized mortgage obligations analysis, valuation and portfolio strategy Collateralized mortgage obligations Mortgage-backed securities Valuation United States Hypothekarkredit (DE-588)4161146-9 gnd |
| subject_GND | (DE-588)4161146-9 |
| title | Collateralized mortgage obligations analysis, valuation and portfolio strategy |
| title_auth | Collateralized mortgage obligations analysis, valuation and portfolio strategy |
| title_exact_search | Collateralized mortgage obligations analysis, valuation and portfolio strategy |
| title_full | Collateralized mortgage obligations analysis, valuation and portfolio strategy Andrew S. Davidson ; Thomas S. Y. Ho ; Yung C. Lim |
| title_fullStr | Collateralized mortgage obligations analysis, valuation and portfolio strategy Andrew S. Davidson ; Thomas S. Y. Ho ; Yung C. Lim |
| title_full_unstemmed | Collateralized mortgage obligations analysis, valuation and portfolio strategy Andrew S. Davidson ; Thomas S. Y. Ho ; Yung C. Lim |
| title_short | Collateralized mortgage obligations |
| title_sort | collateralized mortgage obligations analysis valuation and portfolio strategy |
| title_sub | analysis, valuation and portfolio strategy |
| topic | Collateralized mortgage obligations Mortgage-backed securities Valuation United States Hypothekarkredit (DE-588)4161146-9 gnd |
| topic_facet | Collateralized mortgage obligations Mortgage-backed securities Valuation United States Hypothekarkredit USA |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007049528&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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