Floating-Rate Securities / Edition 1

Floating-Rate Securities / Edition 1

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Floating-Rate Securities / Edition 1

Floating-Rate Securities is the only complete resource on "floaters" that fills the information void surrounding these complex securities. It explains the basics of floating rate securities, how to value them, techniques to compute spread measures for relative value analysis, and much more.

Product Details

ISBN-13: 9781883249656
Publisher: Wiley
Publication date: 06/01/2000
Series: Frank J. Fabozzi Series , #59
Pages: 233
Product dimensions: 6.14(w) x 9.21(h) x 0.56(d)

Table of Contents

About the Authors.

1. Features and Investment Characteristics of Floaters.

2. The Choice of a Floater's Reference Rate.

3. Introduction to the Valuation of Floaters.

4. Valuing Floaters with Embedded Options.

5. Spread Measures and Spread Duration.

6. Relative Value Analysis Using the Interest Rate Swap Market.

7. Adjustable-Rate Mortgage Passthrough Securities.

8. CMO Floaters.

9. ABS Floaters.

10. Analysis of MBS and ABS Floaters.

11. Inverse Floaters.


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