FULL PRICE PER $100

The full price of the MBS, assuming a single tranche that repays at time M, is calculated: 

[11]

where

a Number of days from settlement to the 15th of next month

Number of days in the settlement month

ACCRUED INTEREST PER $100

Accrued interest per $100 is calculated:

[12]

where

d Number of days from 1st of settlement month to settlement date

Number of days in settlement month

c=monthly MBS coupon

MARKET PRICE PER $100

The market price is simply the full MBS price less accrued interest:

P=FP - AI [13] 

Date Published: March 31, 2018