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Question about CMO Tranch Type

Joined
5/6/06
Messages
384
Points
28
Hello,

I've tried to find some more detailed information about CMO tranche structures.

Can anyone recommend any paper or book that have introduction to the tranche structure of CMO: say,
(1) what makes a companion tranch in CMO? Can I say a SUSS Companion tranch, because it surbodinate to the Senior one?
(2) what is WAR defined under CMO tranches ?


:sos::sos:

Thanks a lot.
 
CMP/SUP tranches are usually ones highly effected by prepayments. There's no seniority/sub as best I can tell.

What do you mean by WAR?

I have some Fabozzi books you can borrow.
 
Thank you Mike!

"CMP/SUP tranches are usually ones highly effected by prepayments. There's no seniority/sub as best I can tell."

--- So, in other words, can I think of CMP/SSUP as kind of independent tranch that used to absorb prepayment risk.

WAR --- should be tranche type, but somehow I couldn't figure out. Bloomberg doesn't have the description for WAR neither..
 
I think thats correct but I havent looked at these in a a long time. WAR, are you looking at agencies?
 
WAR, are you looking at agencies?

Yes, Mike, Agencies, JPMorgan as collateral.....

:wall
 
Usually CMOs are backed by government securities (I believe this is the main difference between CMO and MBS). Therefore they have a very low risk and as a result a very low return.

Because risk is very low, tranching affects only average life of the bonds. If you want to put it in terms of prepayments - senior tranches have higher reinvestment risk if prepayments are high.
 
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