Mortgage Note Pricer

Simulates thousands of borrower paths, with defaults, payoffs and balloon refinance failures, and discounts each path’s cash flows at your target yield. The price is the average across paths.

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Auto-calculateRecalculates 5 seconds after your last change, or sooner if you press the button.

As-of date (UTC)

Sets the random draw and the FRED rates and delinquency figure used. The same date and inputs reproduce a result exactly.

Loan terms

Loan type

Original balance

Current balanceUsed to infer months already paid

Estimated market valueProperty value; sets loss severity from equity

Equity in the property: 22.8% (above the 20% haircut: no loss on default)

Note interest rate

TermMaturity from origination

yrs

Amortization

yrs

Balloon

Balloon dueFrom origination; 0 = none

yrs

Refinance failureChance the borrower can’t pay the balloon

Credit risk

Base annual default prob.

On-time payments, lifetime

On-time, last 12 monthsPayments out of 12

of 12

Loss severityCalculated from equity; clear the market value to enter your own

Liquidation haircutCosts and discount selling after default

Months to recovery

Pricing

Target yield

Prepayment speed (CPR)

Prepayment responds to rates

Needs a reference rate for this loan type, so prepayment speed stays flat.

Simulations

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Expected price

Median price

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5th – 95th percentile

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Paths that defaulted

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Std. error of price

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Distribution of path values

Present value of each simulated path. The left cluster is defaults; the right peak is performing loans.

Payment-history multiplier: base default probability × e^{2.5 × lifetime late share} × e^{4 × recent late share}. A spotless borrower keeps the base rate; one missed payment in the last year raises it about 40%. Recent history is weighted more heavily because it predicts default better.Conventions: interest accrues 30/360 (the note rate ÷ 12 each month), payments fall at the end of each month starting one month after the as-of date, and the price is for a valuation on a payment date, with no accrued interest. Other conventions, such as actual/360 interest or payments due at the start of the month, typically move the price by around half a point of the balance.For illustration only. This is not an offer to buy or sell a note, an appraisal, or investment advice, and results depend entirely on the assumptions you enter. Everything runs in your browser; nothing you enter is sent to or stored by LienStreet.