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4-Factor Prepayment Model

In previous posts, I have covered CPR, PSA, and a spreadsheet that allows for any prepayment vector you might want to create. There have been many attempts to describe what the prepayment pattern for MBS will look like in the future. One of the models that...
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Floater & Inverse-Floater CMO

This is a follow-up to my last post, Sequential Pay CMO. The purpose of this example spreadsheet is to show a simple example of how floating and inverse-floating rate securities can be produced from a fixed rate pool of mortgages. It is not the only...
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Sequential Pay CMO

A reader ask me if I had published a sequential pay CMO example. I had not. I did start a spreadsheet at one time, but never completed it. I worked on it over the weekend and came up with a simple, three tranche and residual sequential. I’m going to...
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