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Calculators

Mortgage Roll

While viewing a security, you can run a Mortgage Roll analysis on it. While viewing or your portfolio, you can also run a Mortgage Roll analysis on any security or product/coupon group within the portfolio.

You can calculate cash in, cash out, cost of financing and effective rate of financing for a Mortgage roll. It includes a financing matrix of effective rates.

You can also go directly to the Mortgage Roll calculator from the Analytics page.

Mortgage Roll Analysis

Security: FHLE04961 Cusip: 31294PQN7

Roll Amount		Orig Face		Factor	0.34828152 (02/2021)
Coupon	%	Service Fee		WAM

Roll In Date				CPR	%
Roll Out Date			Or

Effective Annual Rate	7.52 %	Days	30
Cash In $	704,399.37	Cash Out $	698,304.45
Spread $	6,094.93	Total Financing Cost $	4,413.71

	Contribution to Financing Cost	Foregone Income
	Contribution to Financing Cost	Payment	Gain
Interest	(1,741.41)	1,741.41
Scheduled Principal	36.66	3,665.95	36.66
Prepayment Principal	23.53	2,353.12	23.53
Price Spread	6,094.93
Total Financing Cost	4,413.71

Effective Annual Rates
	Prepayment Rate
Drop	0.00	2.00	4.00	6.00	8.00

26.000	6.74	6.76	6.78	6.80	6.82
27.000	7.11	7.13	7.15	7.17	7.19
28.000	7.48	7.50	7.52	7.54	7.56
29.000	7.85	7.87	7.89	7.91	7.93
30.000	8.22	8.24	8.26	8.28	8.30

Matrix Settings
Prepay	Increment %	Number
Drop	Increment /32	Number
OR Eff Rate	Increment BP	Number

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