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Here are some general contributing factors. I could be more specific, but you haven't given specifics about which Freddie, 30-year, 4% MBS price you are quoting. I'm going to assume it's the front-month TBA price. I'm also going to assume the 4.39% rate is the PMMS rate. The PMMS is the primary market rate (what the borrower pays). The investor doesn't ...


Assuming the underlying mortgages that have been pooled into a Mortgage-Backed Security (MBS) are freely prepayable, the notional of the interest swap is unknown at inception. Therefore, you have two options - estimate a notional schedule to the best of your ability assuming some future evolution of interest rates (which are an important driver of ...

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