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Mortgage Pass-Through

Determine cash flows, convexity, and duration for mortgage pools, compute option-adjusted spreads and model prepayment speeds


mbscfamounts Cash flow and time mapping for mortgage pool
mbsconvp Convexity of mortgage pool given price
mbsconvy Convexity of mortgage pool given yield
mbsdurp Duration of mortgage pool given price
mbsdury Duration of mortgage pool given yield
mbsnoprepay End-of-month mortgage cash flows and balances without prepayment
mbspassthrough Mortgage pool cash flows and balances with prepayment
mbsprice Mortgage-backed security price given yield
mbswal Weighted average life of mortgage pool
mbsyield Mortgage-backed securities yield given price
mbsprice2speed Implied PSA prepayment speeds given price
mbsyield2speed Implied PSA prepayment speeds given yield
psaspeed2default Benchmark default
psaspeed2rate Single monthly mortality rate given PSA speed
mbsoas2price Price given option-adjusted spread
mbsoas2yield Yield given option-adjusted spread
mbsprice2oas Option-adjusted spread given price
mbsyield2oas Option-adjusted spread given yield

Examples and How To

Fixed-Rate Mortgage Pool

Generic fixed-rate mortgage pools and balloon mortgages have pass-through certificates (PC) that typically have embedded call options in the form of prepayment.

Pricing Mortgage Backed Securities Using the Black-Derman-Toy Model

This example illustrates how the Financial Toolbox™ and Financial Instruments Toolbox™ are used to price a level mortgage backed security using the BDT model.

Computing Option-Adjusted Spread

The option-adjusted spread (OAS) is an amount of extra interest added to the reference zero curve.

Prepayments with Fewer Than 360 Months Remaining

When fewer than 360 months remain in the pool, the applicable PSA prepayment vector is "seasoned" by the pool's age.

Pools with Different Numbers of Coupons Remaining

Pools with different numbers of coupons remaining require a specific prepayment matrix format.


What Are Mortgage-Backed Securities?

Mortgage-backed securities (MBSs) are a type of investment that represents ownership in a group of mortgages.

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