Collateralized Mortgage Obligations
Cash flow generation, pricing, and sensitivity analysis for CMO
|Generate cash flows for sequential collateralized mortgage obligation (CMO)|
|Generate cash flows for scheduled collateralized mortgage obligation (CMO) using PAC or TAC model|
|Generate principal balance schedule for planned amortization class (PAC) or targeted amortization class (TAC) bond|
|Cash flow and time mapping for mortgage pool|
|Compute spread over yield curve for cash flow|
|Compute price for cash flow given yield to maturity|
|Compute yield to maturity for cash flow given price|
- Create PAC and Sequential CMO
This example shows how to use an underlying MBS pool for a 30-year fixed-rate mortgage to define a PAC bond and then define a sequential CMO.
- Using Collateralized Mortgage Obligations (CMOs)
Financial Instruments Toolbox™ supports collateralized mortgage obligations (CMOs) to provide a greater range of risk and return characteristics than mortgage-backed securities (MBS).
- Prepayment Risk
Prepayment risk is the risk that the term of the security varies according to differing rates of repayment of principal by borrowers.
- CMO Workflow
Workflow for developing a CMO.