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The Securitization Markets Handbook: Structures and Dynamics of Mortgage-and Asset-Backed Securities by Anne Zissu, Charles Austin Stone

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Chapter Four
Other Structures in Asset-Backed Securities: CMOs, PACs, Floaters, and Inverse Floaters
CHAPTER 3 introduced the basic structure of asset-backed securities: the pass-through structure and its derivatives, interest-only (IO) and principal-only (PO) structures. This chapter explains other securities structures derived from the plain-vanilla pass-through security.

Collateralized Mortgage Obligations

WHEN A special-purpose vehicle (SPV) finances the purchase of pass-through certificates or pools of mortgages with multiple classes of debt that differ with respect to amortization and accrual schedules, the securities are referred to as collateralized mortgage obligations (CMOs). The important distinction between the CMO structure ...

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