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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
Scheduled Principal36.663,665.9536.66
Prepayment Principal23.532,353.1223.53
Price Spread6,094.93
Total Financing Cost4,413.71

Effective Annual Rates
Prepayment Rate
26.0006.74 6.76 6.78 6.80 6.82
27.0007.11 7.13 7.15 7.17 7.19
28.0007.48 7.50 7.52 7.54 7.56
29.0007.85 7.87 7.89 7.91 7.93
30.0008.22 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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