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商品編號: 9-205-122 出版日期: 2005/05/16 作者姓名: Chacko, George;Hecht, Peter;Dessain, Vincent;Sjoman, Anders 商品類別: Finance 商品規格: 16p 再版日期: 2006/01/23 地域: England 產業: Financial service sector 個案年度: 2005 - 2005
商品敘述:
Ticonderoga is a small hedge fund that trades in mortgage-backed securities--securities created from pooled mortgage loans. They often appear as straightforward so-called "pass-throughs," but can also be pooled again to create collateral for a mortgage security known as a collateralized mortgage obligation (CMO). CMOs allow cash flows from the underlying pass-throughs to be directed, allowing the creation of different classes of securities--tranches--with different maturities, coupons, and risk profiles. In April 2005, the general managers of Ticonderoga are looking at the market data, trying to construct a trade given their view on the prepayment speed of mortgages vs. the implied prepayment speed they derive from CMOs in the market.
涵蓋領域:
Fixed income securities;Hedging;Stock markets
相關資料:
Spreadsheet Supplement, (XLS709), 0p, by Peter Hecht, George Chacko, Anders Sjoman, Vincent Dessain
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