After you read this post, check out my updated post In my post called The Math Behind Excel’s CUMIPMT() & CUMPRINC() Functions I showed how to calculate a single row of a simple amortization schedule, using math instead of the amortization schedule. In this post and spreadsheet I show how to calculate the starting balance, payment, interest, […]

## Calculating Historical CPR

There is a newer post that replaces the amortization schedule to calculate historic PSA with a UDF: http://pistulka.com/Other/?p=2964 Back in December of 2014 I wrote a post and Excel spreadsheet called Reverse Engineering Constant Prepayment Rate (CPR). I called it that because instead of giving a CPR to a model, we could do the reverse and calculate the […]

## Certificate of Deposit Ladder Optimizer

There are all kinds of calculators you can find to “optimize” your rate of return by laddering certificates. Of course the term optimize is a misnomer because you don’t know what the reinvestment rate will be on the shorter term CDs. There are some advantages to laddering such as, if you need the funds earlier than expected, you can […]

## Conforming the “Mega” MBS Formula to Street Conventions

See updated formula at: MBS Math Formula. Servicing, CPR, Payment Delay, Default Rate & Loss Severity http://pistulka.com/Other/?p=2384 This adjustment to the mega formula for mortgage-backed securities only affects those that use an odd first payment, by entering an amount other than 30, in the “Payment Days Delay” cell. It was pointed out by Win Smith (The Well-Tempered Spreadsheet) […]

## Chained Returns

Calculating the total rate of return on a chain of returns produces a time weighted rate of return. I covered this in my post “Time & Dollar Weighted Rates of Return Calculator“. In this spreadsheet I have segregate the time weighted return into an easier calculator for someone interested in taking their annual, monthly, quarterly, etc. […]

## Rule of 78

If you normally sell your car before it is paid off, you are going to want to stay away from lenders that still use the Rule of 78 (also known as sum-of-the-digits) to calculate the interest you have accrued. This method was used before the technology was available to calculate a prepayment on the spot. At a […]

## U.S. Treasury Forward Rate Curves

Note: A revised spreadsheet has been publish for this topic. Please see the new revised version here: http://pistulka.com/Other/?p=3459 Back in September of last year I wrote three posts and spreadsheets about Gap Analysis, Spot Rates, and Forward Rates. I put all three together in this post and Excel workbook. I have connected the Treasury’s daily Treasury yield curve […]

## Treasury Bill Calculator

It occurred to me that my last post Treasury Bill Math with twelve formulas, has little value if you are sitting on a trading desk and need to work quickly. I put together this calculator that will calculate two of the four pieces of information, given two pieces. It looks like this: The page is protected. The […]

## U.S. Treasury Bill Math

Money market securities mature in less than a year and pay simple interest (as opposed to compound interest). Treasury bills are money market instruments that pay simple interest, but are quoted (sold) based on a discount rate. Securities that use a discount rate can be thought of as paying the interest upfront, as opposed to paying interest at maturity. […]

## Financial Ratios – Bullet Charts

In May of this year I offered a template of gages that a board of directors might find useful to spot problems in their credit union or small bank. Read the post Financial Ratio Gauges for more information on why I wrote the financial gages spreadsheet. The gages looked like this: I have just put together another […]

## Bond Immunization

Bond immunization is closely related to defeasance which I discussed in posts Defeasance2.0 and Defeasance. The similarity between immunization and defeasance is that you are trying to hedge the interest rate risk involved with a given liability cash flow. The example on the spreadsheet “Immunize” may be over simplified, but I think it describes the concept sufficiently. Normally […]

## Default Rates Affect on Servicing

A reader (Justin) asked about how the CRD (Constant Default Rate) affects MSR (Mortgage Servicing Rights). I have taken a spreadsheet previously published on CDR, and added the value of servicing. The new spreadsheet is called CDR_Servicing. The CDR includes an additional CPR, which will reduce the life of the MBS and reduce the value of servicing. However, […]

## Credit Union Certificate Analysis

You will need Excel 7 or higher, due to the use of a “table” in this spreadsheet. This post is aimed at smaller credit unions and banks that don’t have a staff of financial analysts. You do need access to four pieces of information about each of your certificates. You need the current balance, maturity, original term, and […]

## Over Six Decades of Yield Curve Animation

Important An improved version of this spreadsheet can be found on post: http://pistulka.com/Other/?p=3510 This spreadsheet is mostly for fun, but it does show the volatility of the Treasury yield curve. I took the yields from Federal Reserves H.15 Selected Interest Rates, downloaded using FRED. I used the 3M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, and […]

## Mortgage Pool Pricing Tool

In April I publish an amortization schedule and I did a poor job explaining what it could be used for. Amortization Model – All Variable was the post and AllVary is the spreadsheet. I added some more options to the spreadsheet, like: 1. A Yield/Market Value/Price table. 2. Interest Only 3. Amortize out to 40 years. […]