Frank J. Fabozzi Associates, 1995 - Business & Economics - 297 pages
The definitive book on one of the fastest growing segments of the collateralized mortgage obligations market. Unlike traditional CMOs which are backed by government agencies, whole loan CMOs are backed by private entities. As a result, whole loan CMOs expose investors to credit risk, in addition to the traditional prepayment risk. Containing contributions from the top people in the field, Whole Loan CMOs expose investors to credit risk, in addition to the traditional prepayment risk. Containing contributions from the top people in the field, Whole Loan CMOs provides investors with the analytical tools they need to capitalize in this exciting, new market. Specific topics include: introduction to whole-loan CMOs; investment characteristics of whole-loan CMOs; evaluating the credit risk of whole-loan CMOs; prepayment analysis of whole-loan CMOs.
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WHOLELOAN CMO STRUCTURES
Fundamental Differences Between Agency
WholeLoan CMO Modeling Systems
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advancing allocated amortization analysis analyze appraisals assets average balance basis points borrowers cash flows CMBS collateral commercial mortgages compensating interest corporate bonds coupon credit enhancement credit enhancement levels credit quality credit risk credit support deal default delinquencies DSCR economic equity evaluate example Exhibit Fabozzi factors first-loss fixed-rate foreclosure funds guidelines higher home prices homeowner impact income interest rate investment investors issued issuers jumbo loans jumbo mortgages lender liquidity loan-to-value ratios loss coverage loss severity Management ment million modeling Moody's Mortgage Securities mortgage-backed securities multi-family non-agency MBS originated payment performance pool portfolio prepay prepayments principal private-label property types rating agencies real estate refinancing residential reverse engineering scenarios sector securitized senior class senior-subordinate servicing fee single-family spread Standard & Poor's standards structure structured finance subordinate classes subordinated tranches transactions typically underlying underwriting whole-loan CMOs yield