HEL (Home Equity Prepayment) is similar to the PSA prepayment model in that it starts a 2% CPR in the first month and increasing at 2% CPR until month 10. It then remains at 20% CPR for the remaining life of the pool. Increases or...
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I have to admit that I have never purchased or sold manufactured housing loan pools, but am aware that those that do own or trade these pools, have different assumptions when applying prepayment rates. The MHP calculation is very close the PSA ramp, except that...
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In the previous spreadsheet used to calculate historic CPR and PSA, I used a separate sheet in the workbook to run an iteration on an amortization schedule in order to calculate PSA. An iteration is only necessary if the loan pools are 29 months old...
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A reader asked if I had an example of a CMO Inverse IO, and I did not. Although I have not had access to a Bloomberg to check my assumption, I thought I would give it a try. Actual IO’s may vary from my example,...
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This is my fourth free CMO Excel spreadsheet. This post is going to be very short. You can find a lot of information online, so I am not going to add much. After entering the information on the “Inputs” sheet (yellow cells only), go to...
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I have posted two other examples (and Excel workbooks) of CMO structures in the past. Floater & Inverse-Floater CMO and Sequential Pay CMO. Now, we are going to look at a CMO PAC (Planned Amortization Class). It is a simple example, with only two tranches, the...
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