FM 5032-3 Spring 2011
Analysis and Valuation of Mortgage Backed Securities

Instructor

Jason Vinar
vina0007@.umn.edu

Resources

Syllabus

Class 1 Rates
Class 1 Mortgage Cash Flows
Homework 1 Solutions

Class 2 Prepayment Modelling
Prepayment Data
There is a typo in the prepayment data for the WAC/PTR pair 5.51/8. It should be 8.51/8 instead. For all of these observations you should add 0.03 to the RI. It won't make a major difference in the fit so if you are already done with the assignment don't worry about changing it.
Homework 2 Solutions
Class 2 CMOs

Class 3 Scenario and Total Return Analysis
Matlab Rate Curve Demo
Cash Flow and SMM
Homework 3 Solutions
Found the bug for HW#5... someone pointed out that I was using SMM in my passthru.m function instead of CPR which muted the prepayments by a factor or 10 making the rate sensitivity small. The total return for the PO is -9% and is +48% for the IO. I've updated the code.

Class 4 Dynamic Analysis
Hull White Demo

Final Project
There is a type for IO-1. The PTR should be 0.045 and the WAC should be 0.05.

Documents

Links

School of Mathematics
Institute of Technology
University of Minnesota

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