Describes a number of Collateralized Mortgage Obligations of Travelers Insurance offered. Provides a general description of the life insurance business and the role of life insurance in the capital markets. Also describes a variety of mortgage-backed instruments, including pass-through securities, pay-through bonds, mortgage bonds and CMOs, and describes trends in the securitization of mortgage loans. Background on the pricing of mortgage-backed securities and models of prepayment on mortgage … Read more »

Describes a number of Collateralized Mortgage Obligations of Travelers Insurance offered. Provides a general description of the life insurance business and the role of life insurance in the capital markets. Also describes a variety of mortgage-backed instruments, including pass-through securities, pay-through bonds, mortgage bonds and CMOs, and describes trends in the securitization of mortgage loans. Background on the pricing of mortgage-backed securities and models of prepayment on mortgage instruments is included. The protagonist, an insurance company, portfolio managers, wonders why travelers is issuing this safety (and maintaining a class of bonds) and holds the purchase of one or more of the binding classes offered. The student should understand the term structure arbitrage drive the issue of CMO, undertook the reason travelers the transaction, and the interaction of the primary and secondary mortgage markets.
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from
Scott P. Mason,
Sally E. Durdan
Source: Harvard Business School
22 pages.
Publication Date: Feb 18, 1986. Prod #: 286061-PDF-ENG
Travelers Mortgage Securities CMO HBR case solution

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