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A collateralized mortgage obligation (CMO) is a type of complex debt security that repackages and directs the payments of principal and interest from a collateral pool to different types and maturities of securities, thereby meeting investor needs.〔Lemke, Lins and Picard, ''Mortgage-Backed Securities'', Chapter 4 (Thomson West, 2013 ed.).〕 CMOs were first created in 1983 by the investment banks Salomon Brothers and First Boston for the U.S. mortgage liquidity provider Freddie Mac. (The Salomon Brothers team was led by Gordon Taylor. The First Boston team was led by Dexter Senft〔("FIAS: Dexter Senft" )〕). Legally, a CMO is a debt security issued by an abstraction - a special purpose entity - and is not a debt owed by the institution creating and operating the entity. The entity is the legal owner of a set of mortgages, called a ''pool''. Investors in a CMO buy bonds issued by the entity, and they receive payments from the income generated by the mortgages according to a defined set of rules. With regard to terminology, the mortgages themselves are termed ''collateral'', 'classes' refers to groups of mortgages issued to borrowers of roughly similar credit worthiness, ''tranches'' are specified fractions or slices, metaphorically speaking, of a pool of mortgages and the income they produce that are combined into an individual security, while the ''structure'' is the set of rules that dictates how the income received from the collateral will be distributed. The legal entity, collateral, and structure are collectively referred to as the ''deal''. Unlike traditional mortgage pass-through securities, CMOs feature different payment streams and risks, depending on investor preferences.〔 For tax purposes, CMOs are generally structured as Real Estate Mortgage Investment Conduits, which avoid the potential for "double-taxation."〔Lemke, Lins and Picard, ''Mortgage-Backed Securities'', §4:20 (Thomson West, 2013 ed.).〕 Investors in CMOs include banks, hedge funds, insurance companies, pension funds, mutual funds, government agencies, and most recently central banks. This article focuses primarily on CMO bonds as traded in the United States of America. The term "collateralized mortgage obligation" technically refers to a security issued by specific type of legal entity dealing in residential mortgages, but investors also frequently refer to deals put together using other types of entities such as real estate mortgage investment conduits as CMOs. ==Purpose== The most basic way a mortgage loan can be transformed into a bond suitable for purchase by an investor would simply be to "split it". For example, a $300,000 30 year mortgage with an interest rate of 6.5% could be split into 300 1000 dollar bonds. These bonds would have a 30 year amortization, and an interest rate of 6.00% for example (with the remaining .50% going to the servicing company to send out the monthly bills and perform servicing work). However, this format of bond has various problems for various investors *Even though the mortgage is 30 years, the borrower could theoretically pay off the loan earlier than 30 years, and will usually do so when rates have gone down, forcing the investor to have to reinvest his money at lower interest rates, something he may have not planned for. This is known as ''prepayment risk''. *A 30 year time frame is a long time for an investor's money to be locked away. Only a small percentage of investors would be interested in locking away their money for this long. Even if the average home owner refinanced their loan every 10 years, meaning that the average bond would only last 10 years, there is a risk that the borrowers would not refinance, such as during an extending high interest rate period, this is known as ''extension risk''. In addition, the longer time frame of a bond, the more the price moves up and down with the changes of interest rates, causing a greater potential penalty or bonus for an investor selling his bonds early. This is known as ''interest rate risk''. *Most normal bonds can be thought of as "interest only loans", where the borrower borrows a fixed amount and then pays interest only before returning the principal at the end of a period. On a normal mortgage, interest and principal are paid each month, causing the amount of interest earned to decrease. This is undesirable to many investors because they are forced to reinvest the principal. This is known as reinvestment risk. *On loans not guaranteed by the quasi-governmental agencies Fannie Mae or Freddie Mac, certain investors may not agree with the risk reward tradeoff of the interest rate earned versus the potential loss of principal due to the borrower not paying. The latter event is known as default risk. Salomon Brothers and First Boston created the CMO concept to address these issues. A CMO is essentially a way to create many different kinds of bonds from the same mortgage loan so as to please many different kinds of investors. For example: *A group of mortgages could create 4 different classes of bonds. The first group would receive any prepayments before the second group would, and so on. Thus the first group of bonds would be expected to pay off sooner, but would also have a lower interest rate. Thus a 30 year mortgage is transformed into bonds of various lengths suitable for various investors with various goals. *A group of mortgages could create 4 different classes of bonds. Any losses would go against the first group, before going against the second group, etc. The first group would have the highest interest rate, while the second would have slightly less, etc. Thus an investor could choose the bond that is right for the risk they want to take (i.e. a conservative bond for an insurance company, a speculative bond for a hedge fund). *A group of mortgages could be split into principal-only and interest-only bonds. The "principal-only" bonds would sell at a discount, and would thus be zero coupon bonds (e.g., bonds that you buy for $800 each and which mature at $1,000, without paying any cash interest). These bonds would satisfy investors who are worried that mortgage prepayments would force them to re-invest their money at the exact moment interest rates are lower; countering this, principal only investors in such a scenario would also be getting their money earlier rather than later, which equates to a higher return on their zero-coupon investment. The "interest-only" bonds would include only the interest payments of the underlying pool of loans. These kinds of bonds would dramatically change in value based on interest rate movements, e.g., prepayments mean less interest payments, but higher interest rates and lower prepayments means these bonds pay more, and for a longer time. These characteristics allow investors to choose between interest-only (IO) or principal-only (PO) bonds to better manage their sensitivity to interest rates, and can be used to manage and offset the interest rate-related price changes in other investments.〔("The Various Types of CMOs" )〕 Whenever a group of mortgages is split into different classes of bonds, the risk does not disappear. Rather, it is reallocated among the different classes. Some classes receive less risk of a particular type; other classes more risk of that type. How much the risk is reduced or increased for each class depends on how the classes are structured. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「collateralized mortgage obligation」の詳細全文を読む スポンサード リンク
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