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Show Guide Chapters
- Terminology and Calculations for Mortgage-Backed Securities
- Appendix 1: Notation
- Appendix 2: Old Annualizing Formula
- Appendix 3: Appropriateness of PPR and LQR
- Appendix 4: Penalty Interest Payments in PCBOND
- Calculating MBS Cash Flows
- Calculating Prepayment Rates
- Miscellaneous Formulas
- Price Calculations
- Risk Measures
- Total Prepayment (UPP)
- Tranche Payments
| Daily Settlement Factor | a |
| Accrued Interest per $100 | AI |
| Remaining Principal Balance | Bk; B0=1, BM=0 |
| Monthly Coupon Rate | c |
| Convexity | CX |
| Coupon Rate | C |
| Period Cash Flow | CFk |
| Accrued Days | d |
| Modified Duration | DMod |
| Pool Factor | F; 0 <=F <=1 |
| Full Price of MBS per $100 | FP |
| Interest Payment Cash Flow | Ik |
| Liquidation Rate | LQR (annual percentage) |
| Liquidation Cash Flow in Month k | lqrk |
| MBS Term to Maturity | M (months) |
| Scheduled Monthly MBS Payment | MPk |
| Market Price per 100 | P |
| Monthly Partial Prepayment Rate | p |
| Partial Prepayment Rate | PPR (annual percentage) |
| Partial Prepayment Cash Flow in Month k | pprk |
| Monthly Liquidation Rate | q |
| Monthly WAC Rate | r |
| Weighted Average Remaining Amortization | RAMk (months) |
| Scheduled Principal Cash Flow | Sk |
| Scheduled Remaining Principal | SRPk |
| Days from Settle to WAMD + 14 | t |
| Tranche Amount at k=0 of tranche maturing i months before maturity, M | TRM-i |
| Constant Monthly Unscheduled Principal Payment Rate | u |
| Unscheduled Principal Cash Flow | Uk |
| Unscheduled Principal Payment Rate | UPP (annual percentage) |
| Weighted Average Mortgage Coupon | WAC (semi-annual percentage) |
| Weighted Average Maturity | WAMD (calendar date) |
| Liquidation Fraction | x (decimal) |
| Monthly Yield | y |
| Bond Equivalent Yield | Ys |
| Money Market Yield | Ymmkt |
