Category Archives: Mortgage-Backed Securities

Fast Formulas #3 (Follow-up): The Derivation

Fast Formulas #3: Pool Average Life with CPR Prepayments presented Formula 3.1., a compact formula for the weighted average life of a homogeneous loan pool assuming a constant prepayment rate.  I wrote that the formula took a few pages and “a couple … Continue reading

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CMBS Analytics

QuantumRisk now offers Property Risk Analytics Reports that analyze more than 100,000 commercial properties nationwide. If you click on the previous link you can find an overview and some sample reports.

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Puzzle #2: Answers to Follow-up Questions

Puzzle #2 asked how a $6 million mortgage pool with a weighted average LTV of 80% could have a total property value of $9 million when the average LTV implies a value of $7.5 million. Chun Lee NG gave a good general … Continue reading

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Puzzle #2: Follow-up Questions

Puzzle #2 asked how a $6 million mortgage pool with a weighted average LTV of 80% could have a total property value of $9 million when the average LTV implies a value of $7.5 million. Chun Lee NG provided a good explanation … Continue reading

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Puzzle #2: Weighted Average LTV

The loan-to-value ratio (“LTV”) of a mortgage equals the loan amount divided by the property’s value. The LTV is a key indicator of mortgage quality. The lower the LTV, the more likely it is that the mortgage can be paid off … Continue reading

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