Apologies, but my understanding is very poor, as I have just started.Before comparing them, do you know what the two of these terms actually stand for?
TBAs are instruments in the market. The set of coupons for a given collateral type (FN30, FN15, FH30, FH15, GN30, GN15, etc.) is called the coupon stack. The first two maturities are usually the liquid points. The CMM rate is a rate that is implied by a basket of TBAs. Usually, "bracketing coupons" and "bracketing maturities" are selected to find some 30-day rate for a given price level. CMM100 is the CMM Rate for a par rate. Given low coupon points are less liquid, CMM102 is also used.
Thanks Risk neutral
Sorta... Crucially, one is a spread, while the other is a rate. That's one big difference right there, right?Apologies, but my understanding is very poor, as I have just started.Before comparing them, do you know what the two of these terms actually stand for?
OAS is the spread added to yield, to price the bonds to current market value
CMM: Is the bond equivalent rate used to price MBS to the par value
Is my understanding correct, should these to be related anyhow?
Are you looking for a book on Fixed Income more broadly or on mortgages specifically?Thanks
Also, could you please recommend any book for this. I was planning to go through Fixed Income Modeling by Claus Munk. Please let me know if you have any other recommendation.
Thanks in advance.