Collateralized Mortgage Obligations

Cash flow generation, pricing, and sensitivity analysis for CMO

For information about CMO functions, see the CMO Workflow.

Functions

CMOs

`cmoseqcf`	Generate cash flows for sequential collateralized mortgage obligation (CMO)
`cmoschedcf`	Generate cash flows for scheduled collateralized mortgage obligation (CMO) using PAC or TAC model
`cmosched`	Generate principal balance schedule for planned amortization class (PAC) or targeted amortization class (TAC) bond

Cash Flow

`mbscfamounts`	Cash flow and time mapping for mortgage pool
`cfspread`	Compute spread over yield curve for cash flow
`cfprice`	Compute price for cash flow given yield to maturity
`cfyield`	Compute yield to maturity for cash flow given price

Examples and How To

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.

Concepts

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.

Financial Instruments Toolbox Documentation

Support

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