Spreads Between the 10-Year Treasury and 30-Year Mortgage

The relationship between 10-year U.S. Treasury Notes and 30-year mortgage rates has been used for years by investors. One of the obvious problems with using this relationship is that we are comparing an option-free Treasury note with an amortizing loan that is callable at any time. The average life of a 30-year mortgage with a 4.0% interest rate […]

Mortgage Pool Price Given Yield, Amortization vs. Mega-Formula

See updated formula at: MBS Math Formula. Servicing, CPR, Payment Delay, Default Rate & Loss Severity http://pistulka.com/Other/?p=2384 I think I owe the readers of my blog a better explanation of what I call the “Mega-Formula“. The formula solves for price given yield, CPR, servicing fees, and the number of days delayed in receiving payments, on a […]

Cherry-Picking a Loan Portfolio

I have an updated version of this post. Click here http://pistulka.com/Other/?p=3009: Have you ever wanted to cherry-pick a portfolio of fixed rate mortgages or throw out the mortgages you don’t want from a pool? That is what this spreadsheet called  “Cherry“ is for. A picture of the data needed for the calculations is shown below: Here is […]

Mortgage Loan Pool Settlements

When purchasing or selling a residential mortgage pool between credit unions, or other financial institutions, accrued interest must be considered. One way to get around accrued interest is to settle on the 1st of the month. That is not always practical however. The first of the next month might be a weekend, or a large pool might have some loans […]