My last post was a comparison of my default CDR formulas (I will refer to this model as “my model” only because I have no idea who to credit) and that of an alternative model used as the industry standard. I put together a spreadsheet that, although not an official SIFMA product, gives an indication […]

A reader has questioned the model I use for calculating defaults (CDR) and loss severity. It was pointed out that my model uses the expected P&I, even though a stated percent of principal is in default each month. The reader also pointed out that my model is not the same as the Bond Market Association’s […]

In previous commercial loan amortizations I have used the standard 30/360 basis, compound interest amortization. More often than not, lenders will use simple interest for commercial loans. Don’t let the word simple in “simple interest” vs “compound interest” fool you.  Lenders are not looking to give borrowers a cheaper loan, based on simple interest. Chances […]

This is the fourth in a series of differently weighted butterfly swaps. I will adjust the list below, as I add more butterfly swaps: Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell) Fifty-Fifty Butterfly Swap Regression Weighted Butterfly Swap Maturity Weighted Butterfly Swap Note: Although this type of swap shows positive convexity at changes of […]

This the 3rd in a series of butterfly swaps. Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell) Fifty-Fifty Butterfly Swap Regression Weighted Butterfly Swap Maturity Weighted Butterfly Swap Note: Although this type of swap shows positive convexity at changes of + or – 25 basis points, it does not necessary display positive convexity for smaller […]

This is the second in a series of differently weighted butterfly swaps. I will adjust the list below, as I add more butterfly swaps: Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell) Fifty-Fifty Butterfly Swap Regression Weighted Butterfly Swap Maturity Weighted Butterfly Swap Note: Although this type of swap shows positive convexity at changes of […]

First in a series of butterfly Swaps. I will adjust the list below, as I add more butterfly swaps: 1. Cash & Duration Neutral Butterfly (aka Duration-Hedged Barbell) 2. Fifty-Fifty Butterfly Swap 3. Regression Weighted Butterfly Swap 4. Maturity Weighted Butterfly Swap This Excel spreadsheet shows how to set up a cash & duration neutral butterfly […]

I was playing with some assumptions for commercial loan amortizations and came up with the this Excel spreadsheet. For example: Assume the borrower wants to make payments quarterly, semi-annually, annually, or bi-monthly, instead of monthly, in order to match the borrowers source of income. You might want to oblige the borrower, but you still want […]

Just what everyone has been waiting for, another CPR vector analysis. I have at least two other CPR vector posts. This one allows for your own CPR model, with CPRs potentially changing each year. I say potentially, because one could keep the same CPR for numerous years. First enter a description of the pool on […]

Technical trading is a little out of my wheelhouse, but when I came across the exponential moving average (EMA), I thought it was interesting enough to build a model. You can do a Google search to see how various traders use a simple moving average (SMA) and an EMA. As is true in all my […]

Readers might remember my original post and spreadsheet http://pistulka.com/Other/?p=1473 in August 2015 called Cherry-Picking a Loan Portfolio.  That spreadsheet relied upon going through a loan portfolio and placing an X next to the loans you were interested in purchasing. It was one way I used to purchase participation loans from other credit unions. They would show […]

Most of my 50 year career was in fixed income investments (Bonds, MBS, etc.). We did not use MIRR, but we did have concepts that had some of the same advantages. If you have been following this blog, you have seen terms such as Holding Period Return (HPR) or Horizon Analysis. My posts on bond […]

Disclaimer: I am not an lawyer, and offer this spreadsheet free with no guarantees either written or implied, as to the appropriate use of this spreadsheet, or its accuracy. I am not recommending this spreadsheet to be used for any particular state or municipality.     Let us assume that you live in a state […]

Note: I have updated this post and spreadsheet with another way to create your own CPR vectors: Annual CPR Vectors Previously, I showed a way to vary the CPR prepayment rates http://pistulka.com/Other/?p=1300 on an amortization schedule. That method did not include ramps. This spreadsheet shows how to ramp CPRs up, down, and flat. In this […]

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 decreases to the standard 100 HEL are made the same […]