Fixed-Income Toolbox™

mbsnoprepay - End-of-month mortgage cash flows and balances without prepayment

Syntax

[Balance, Interest, Payment, Principal] = 
mbsnoprepay(OriginalBalance, GrossRate, Term)

Arguments

All inputs are number of mortgage-backed securities (NMBS)-by-1 vectors.

Description

[Balance, Interest, Payment, Principal] = mbsnoprepay(OriginalBalance, GrossRate, Term) computes end-of-month mortgage balance, interest payments, principal payments, and cash flow payments with zero prepayment rate.

The function returns amortizing cash flows and balances over a specified term with no prepayment. When the lengths of pass-throughs are not the same, MATLAB software pads the shorter ones with NaN.

Balance lists the end-of-month balances over the life of the pass-through.

Interest lists all end-of-month interest payments over the life of the pass-through.

Payment lists all end-of-month payments over the life of the pass-through.

Principal lists all scheduled end-of-month principal payments over the life of the pass-through.

All outputs are Term-by-1 vectors.

Examples

Given mortgage pools with the following characteristics, compute an amortization schedule.

OriginalBalance = 400000000;
CouponRate = 0.08125;
Term = [357; 355]; % Three- and five-month old mortgage pools.

[Balance, Interest, Payment, Principal] = ... 
mbsnoprepay(OriginalBalance, CouponRate, Term);

mbsdury

mbsoas2price