资源描述：
《collateralized mortgage obligations》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、CHAPTERTWENTY-FOURCOLLATERALIZEDMORTGAGEOBLIGATIONSALEXANDERCRAWFORDManagingDirectorHead,MortgageandCrossRatesStrategyDeutscheBankSecurities,Inc.ThischapterintroducesthereadertotheU.S.collateralizedmortgageobligation(CMO)market.Thefirstsectionofthischaptergivesthebackgroundofthe
2、CMOmarketandexplainsthedifferencebetweenagencyandnonagencyCMOs.ThechapterthencoversallofthemajorCMOtranchetypesintermsofstructureandanalysis,providingpracticalexamples.Italsocoversinformationaboutoption-adjustedspread(OAS)andprepaymentmodelsandhowtousethatinformationtohedgeCMOs
3、ordeterminerelativevalue.WhilethechapterisaimedattheCMOnoviceorthosewhoneedarefresher,someoftheanalysistechniquescov-eredareappropriateforinvestorsalreadyfamiliarwiththeCMOmarket.THECMOMARKETTheCMOmarkethasexistedsincethemid-1980s.Itsoriginalpurposewastoallowinvestorstomoreclos
4、elycontrolwhentheyreceiveprincipalfrommortgage-backedsecurities(MBS).Withpass-throughs,principalisreceivedeachmonththroughoutthelifeofthesecurity,oftenforafull30years.InaCMO,theprin-cipalisdividedupintopieces,ortranches,creatingsomebondsthatreceiveprin-cipalrightaway(andhenceha
5、veshorterdurations)andsomebondsthatdonot,typicallyresultinginlongerdurations.Thecreationofso-calledplannedamorti-zationclass(PAC)bondstooktheCMOastepfurther,attemptingtocreateacor-poratebondsurrogatethatinvestorscouldgetcomfortablewith.NowtheCMOmarkethasexplodedintoamyriadarray
6、oftranchesusingdifferenttypesofcollateral.Thecash-flowpriorityoftranchescanevenjumparoundbasedonprepayments.ThesamefinancialtechnologyusedtocreateCMOswasusedtocreatethedomesticasset-backedsecurities(ABS)andcol-lateralizeddebtobligations(CDO)marketsandothersecuritizedproductsmarke
7、tsoverseas.541Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.542PART3SecuritiesWhyDoTheyExist?Likeanysecurity,CMOsexistbecausethereisamarkettobuyandsellthem.Fromthedemandside,thereareinvestorsthatstillwanttomorecloselycontrolthe
8、cashflowstheygetfromanMBSinvestment.Inaddition,theCMOma
