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Collateralized Mortgage Obligations

Cash flow generation, pricing, and sensitivity analysis for CMO

For information about CMO functions, see the CMO Workflow.


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
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.


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.

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