Effective Duration – No VBA or Amortization

Back in October I showed how to calculate effective duration and convexity on a pool of fixed rate mortgages with the help of amortization schedules. In November I posted a formula that could calculate the price of a fixed rate pool of mortgages, including the use of CPR and servicing, in one cell. That same month I […]

California Home Prices Dashboard

The California Association of Realtors® (CAR) publishes monthly home price data for each county in California. I produced a dashboard using their data and the 2010 census for income and population data. In order to keep the dashboard up to date, the “All Counties” sheet stores the data from CAR. There is a link to […]

Purchasing Power – FRED Add-In

If you are interested in the economy, interest rates, stock prices, etc., you will want to get the Federal Reserve Bank of St. Louis Economic Data (FRED) Add-In. The FRED add-in provides free access to over 240,000 data series from various sources (e.g., BEA, BLS, Census, and OECD) directly through Microsoft Excel. I created a spreadsheet […]

Asset Growth vs. ROA – Net Worth Ratio

This concept came from a calculator that was readily available on the internet years ago. I would give credit to the original author, but I don’t remember the name. It was made available online by either CUNA or one of the other credit union associations. I have only embellished it with the addition of charts and a […]

Simple Formula for Converting Compound Interest Rates

 This workbook has a simple formula to convert compound interest rates. =IF(t>500,f*LN(1+g/f),IF(f>=500,t*(EXP(g/t)-1),(t*((1+g/f)^(f/t))-t)))  Where: g = Current interest rate f = Number of times the current rate compounds per year t = Number of times the converted new rate compounds per year This lookup table grabs two of the numbers for the formula Continuous compounding in Excel […]

Constant Default Rate (CDR)

Also see this post: Comparing CDR Default Formulas to Industry Standard Default Formulas   Constant Default Rate (CDR) is an annualized rate of default on a pool of loans. The default rate on loans depends on a number of conditions, such as the age of the loans, seasonality, burnout levels, FICO, LTV, income, etc. Since […]

Convert CPR, SMM & ABS (APS)

We have already discussed Constant Prepayment Rate (CPR) and Single Monthly Mortality Rate (SMM). Another prepayment rate is the Absolute Prepayment Speed (APS), used mostly for  securities backed by auto, truck, and RV loans. The acronym for Absolute Prepayment Speed (APS) is also referred to as ABS, which is confusing because ABS is also the acronym for Asset-Backed […]

Reverse Engineering Constant Prepayment Rate (CPR)

This post has been updated in a new post called Calculating Historic CPR. The spreadsheets has also been updated “CalCPR.xlsm” After you review this post, please see the updated post. Unless you work for a firm that packages pools of mortgages, you will probably never need to calculate the historic CPR on an existing pool. Even so, […]

Mortgage Pool Price and Average Life One Cell Formulas

See updated formula at: MBS Math Formula. Servicing, CPR, Payment Delay, Default Rate & Loss Severity http://pistulka.com/Other/?p=2384 A few posts back I showed the “megaformula” I used back in the day for calculating the price of a mortgage pool with prepayments (CPR). Rather than treating the one cell formula as just an interesting antique, I […]