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Case
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Reference no. 9-286-061
Published by: Harvard Business Publishing
Originally published in: 1986
Version: 1 September 1994
Length: 22 pages
Data source: Published sources

Abstract

Describes a series of collateralized mortgage obligations offered by Travelers Insurance. 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 related instruments, including pass- through securities, pay-through bonds, mortgage-backed bonds, and CMOs; and outlines trends in the securitization of mortgage assets. Background on the pricing of mortgage securities and models of prepayment on mortgage instruments is included. The protagonist, an insurance company portfolio manager, wonders why Travelers is issuing this security (and retaining one class of the bonds) and considers purchasing one or more of the bond classes offered. The student should understand the yield curve arbitrage driving the issuance of CMOs, the reason Travelers undertook the transaction, and the interaction of the primary and secondary residential mortgage markets.
Location:
Other setting(s):
1984

About

Abstract

Describes a series of collateralized mortgage obligations offered by Travelers Insurance. 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 related instruments, including pass- through securities, pay-through bonds, mortgage-backed bonds, and CMOs; and outlines trends in the securitization of mortgage assets. Background on the pricing of mortgage securities and models of prepayment on mortgage instruments is included. The protagonist, an insurance company portfolio manager, wonders why Travelers is issuing this security (and retaining one class of the bonds) and considers purchasing one or more of the bond classes offered. The student should understand the yield curve arbitrage driving the issuance of CMOs, the reason Travelers undertook the transaction, and the interaction of the primary and secondary residential mortgage markets.

Settings

Location:
Other setting(s):
1984

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