mbspassthrough - Mortgage pool cash flows and balances with prepayment

Syntax

[Balance, Payment, Principal, Interest, Prepayment] =  
mbspassthrough(OriginalBalance, GrossRate, OriginalTerm, 
TermRemaining,  PrepaySpeed, PrepayMatrix)

Arguments

`OriginalBalance`	Original balance value in dollars (balance at the beginning of each `TermRemaining`).
`GrossRate`	Gross coupon rate (including fees), in decimal.
`OriginalTerm`	Term of the mortgage in months.
`TermRemaining`	(Optional) Number of full months between settlement and maturity.
`PrepaySpeed`	(Optional) Relation of the conditional payment rate (CPR) to the benchmark model. Default = 0 (no prepayment). Set `PrepaySpeed` to `[]` if you input a customized prepayment matrix.
`PrepayMatrix`	(Optional) Used only when `PrepaySpeed` is unspecified. Customized prepayment vector. A `NaN`-padded matrix of size `max(TermRemaining)`-by-`NMBS`. Each column corresponds to each mortgage-backed security, and each row corresponds to each month after settlement.

All inputs (except PrepayMatrix) are number of mortgage-backed securities (NMBS) by 1 vectors.

Description

[Balance, Payment, Principal, Prepayment, Interest] = mbspassthrough(OriginalBalance, GrossRate, OriginalTerm, TermRemaining, PrepaySpeed, PrepayMatrix) computes the cash flow of principal, interest, and prepayment of pass-through securities.

All outputs are TermRemaining-by-1 vectors of end-of-month values.

Balance is a matrix for the principal balance at end of month.

Payment is a matrix for the total monthly payment.

Principal is a matrix for the principal portion of the payment.

Interest is a matrix for the interest portion of the payment.

Prepayment is a matrix that indicates any unscheduled principal payment.

By default, the securities are seasoned. The applicable CPR depends upon TermRemaining based on a 30-year prepayment model (PSA or FHA). You may supply a different CPR vector of size TermRemaining-by-1.

Examples

Compute the cash flows and balances of a 3-month old mortgage pool with original term of 360 months, assuming a prepayment speed of 100.

OriginalBalance = 100000;
GrossRate = 0.08125;
OriginalTerm = 360;
TermRemaining = 357;
PrepaySpeed = 100;

[Balance, Payment, Principal, Interest, Prepayment] =... 
mbspassthrough(OriginalBalance, GrossRate, OriginalTerm,... 
TermRemaining, PrepaySpeed);

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mbspassthrough - Mortgage pool cash flows and balances with prepayment

Syntax

Arguments

Description

Examples

See Also