MHP (Prepayment Rate for Manufactured-Housing)

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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CMO -IO/PO PAIR

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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CMO – PAC

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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Future Value Bank Interest in Leap Years

Not all banks treat leap years the same, when calculating interest on deposits. Many financial institutions use basically the same method (or a close variation) I used in this formula. Check with your bank before relying on this method. The method I am referring to...
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A Fourth Way To Bootstrap Spot Rates

In May of 2015 I published a post called “3 -Ways to Bootstrap Spot Rates for the Treasury Yield Curve”. There was also an Excel workbook linked to that post. The workbook link is: http://pistulka.com/Excel_Shared/3_Spot_Rates.xlsm Rather than posting a new workbook, I am leaving the old...
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Flat Rate Loans

I have to be honest. I had never heard of a flat rate loan, until Rishi asked me to create an Excel spreadsheet for one. According to Wikipedia, flat rate loans are: “Loans with interest quoted using a flat rate originated before currency was invented...
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Required Minimum Distribution (RMD) 3.0

This is my third post on RMD, thus the 3 point 0. The other two post are: http://pistulka.com/Other/?p=2422 http://pistulka.com/Other/?p=2674 Read my first post if you are not familiar with RMD. This Excel workbook came about at the request of a reader who’s firm manages hundreds...
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Defeasance 3.0

If you are involved in commercial lending or perhaps municipal bonds you are probably familiar with the term defeasance. Commercial loans normally have hefty prepayment penalties, while some loan documents prohibit prepayment altogether. Commercial loan defeasance is a collateral substitution method that guarantees the lender...
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MBS Amortization With VBA

If you search my blog, you will find dozens of amortization schedules produced by formulas. So why would you need an amortization produced with VBA? Every time you change any inputs, you have recalculate the schedule, while all my other amortizations are automatic. I created...
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Counting Binomial Lattice Paths

This is not an academic or financial post, but a fun look at the large number of possible paths available in the binomial lattice used in certain types of financial models. Although there is a small model in the accompanying spreadsheet, this post is mostly...
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