Mortgage-backed securities.

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How to calculate APR on term year

What is the APR on a $$300,000 fixed rate loan amortized over 30 years but due in 10 years if the stated annual interest rate is 5.0% and the lender charges 2% as an origination fee, $18 for a credit ...
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Mortgage parameters

I'm looking for readings about the trade-off between the parameters of a mortgage: length of the mortgage, percentage of the principal to repay, inflation rate (at which the payment growths) and total ...
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87 views

Key Rate Duration for MBSs greater than Key Rate Tenor

Key Rate Durations (KRD) are essentially some fixed income instrument's price sensitivity to a non-parallel shift in interest rates (i.e., a shift at the "Key" Rate). For example, a 10-year bond's ...
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What is the hedging underlying of MBS

I am working on hedging agency MBSs using treasury bonds. So my question raise as which treasury bond should more likely be a hedging underlying of a MBS. What is the matching criteria usually for MBS ...
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Interest Rate Swaps on Mortgages [closed]

Is it possible to get interest rate swaps on mortgages? If not, why not? Are there models that describe this? Any direction would be great.
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Why are some MBS's with coupons below the FRM rate priced at a premium?

I'm looking at 30Y 4.0% Freddie Mac MBS prices as of yesterday, approximately 104:10. Meanwhile, 30Y FRM Freddie Mac quotes are 4.39%. Why are the MBS priced at such a premium, even though the coupon ...
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Fair interest of mortgages

May be a stupid question, but I don't know the answer. Suppose someone asking me money for a mortgage for buying something. If I know the chance (mean value of payments and variance of payments) that ...
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Valuation of Mortgage Backed floating notes

Does anybody have experience in valuation of mortgage backed floating notes? I have task to value the 4 different MBS floating notes. I know that it should be done through montecarlo, refinancing ...
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332 views

mortgage prepayment model

I am trying to develop my own MBS prepayment model. I am confused by the terms SMM and CPR. Are they estimates/models in themselves or are they ACTUAL data for the MBS pool. where can I find actual ...
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What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?

I constructed a model to forecast the prepayment rates for a mortgage loan portfolio (of mortgages in an emerging market) using probit regression on factors such as loan-to-value, PTI, time from ...
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416 views

Can duration gap analysis be applied to mortgages?

Can a mortgage loan be treated like a bond and its duration calculated using the bond duration formula? More precisely, can I calculate the loan portfolio duration for duration gap analysis, with ...
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334 views

Are there any standard MBS coupon stack models?

I need to model MBS coupon stack prices. It would not be difficult to create something from scratch, but I don't want to re-invent the wheel (and explain why I did) if a somewhat standard model ...
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How are prices calculated for commercial/residential mortgage-backed securities?

What is the theoretical/mathematical basis for the valuation of [C]MBS and other structured finance products? Is the methodology mostly consistent across different products?