Mortgage-Backs at Ticonderoga Harvard Case Solution & Analysis

Ticonderoga small hedge fund that trades in mortgage-backed securities - securities created from pooled mortgage loans. They often appear so simple, so-called "pass-through", but can also be combined again to create collateral for mortgage known as collateralized mortgage obligations (CMO). CMOs allow cash flows from the main passage-through should be sent, allowing you to create different classes of securities - tranches - with varying maturities, coupons, and risk profiles. In April 2005, the general managers of Ticonderoga look at data on the market, trying to build a trade based on their view of the rate of prepayment of mortgage loans, compared with an implied rate of payment they receive from the Director of Marketing in the market. "Hide
by George Chacko, Peter Hecht, Vincent Dessain, Anders Sjoman Source: Harvard Business School 16 pages. Publication Date: May 16, 2005. Prod. #: 205122-PDF-ENG

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