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Mortgage Pass-Through

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


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mbscfamountsCash flow and time mapping for mortgage pool
mbsconvpConvexity of mortgage pool given price
mbsconvyConvexity of mortgage pool given yield
mbsdurpDuration of mortgage pool given price
mbsduryDuration of mortgage pool given yield
mbsnoprepayEnd-of-month mortgage cash flows and balances without prepayment
mbspassthroughMortgage pool cash flows and balances with prepayment
mbspriceMortgage-backed security price given yield
mbswalWeighted average life of mortgage pool
mbsyieldMortgage-backed security yields given price
mbsprice2speedImplied PSA prepayment speeds given price
mbsyield2speedImplied PSA prepayment speeds given yield
psaspeed2defaultBenchmark default
psaspeed2rateSingle monthly mortality rate given PSA speed
mbsoas2pricePrice given option-adjusted spread
mbsoas2yieldYield given option-adjusted spread
mbsprice2oasOption-adjusted spread given price
mbsyield2oasOption-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.

Prepayment Modeling with a Two Factor Hull White Model and a LIBOR Market Model

This example shows how to model prepayment in MATLAB® using functionality from the Financial Instruments Toolbox™.


What Are Mortgage-Backed Securities?

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