Unpacking One Agency CMO --- FHR 4924 BS

As we mentioned in our previous blogs, Recursion’s proprietary tools Cohort Analyzer, and Pool Level Analyzer can analyze FED and CMO portfolios recursively down to the “simple pool” level. There are a wide range of applications of these powerful tools. We previously demonstrated how to calculate FED portfolio and CMO lockup rates at the macro level. Another important application is to study the collateral of mortgage bonds directly at the loan level in order to support investor’s trading decisions.

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