What is negative convexity in this context?

It explains why MBS prices rise less than Treasuries when rates fall due to accelerated prepayments, a key concept for structured product valuation and risk management.

Does it support CLO analysis?

Yes, it includes logic for analyzing CLO portfolios, calculating subordination levels, and evaluating waterfall tests like overcollateralization (OC) and interest coverage (IC).

Can it calculate prepayment speeds?

Yes, it provides formulas and logic for PSA, CPR, and SMM prepayment models to estimate how cash flows change with interest rates.

How does it handle complex tranches?

The skill analyzes various CMO structures like sequential pay, PAC tranches, and companion tranches, explaining how they redistribute risk and cash flows.

Fixed Income Structured Products

Name: Fixed Income Structured Products
Author: JoelLewis

byJoelLewis

•

Data Science & ML

Analyzes and models structured fixed income products including MBS, ABS, and CLOs with a focus on prepayment risk and waterfall mechanics.

This skill empowers Claude to perform sophisticated analysis of securitized debt instruments, specifically mortgage-backed securities (MBS), asset-backed securities (ABS), and collateralized loan obligations (CLOs). It provides deep domain expertise in prepayment modeling using PSA and CPR benchmarks, calculating weighted average life (WAL), and evaluating complex waterfall structures and tranching mechanics. It is particularly useful for financial analysts and portfolio managers needing to assess extension/contraction risks, negative convexity, and credit enhancement via subordination levels.

Key Features

01Evaluates CLO waterfall mechanics, overcollateralization, and interest coverage tests

02Models prepayment speeds using PSA, CPR, and SMM benchmarks

03Analyzes CMO tranching structures including sequential pay and PAC tranches

0418 GitHub stars

05Identifies risk factors like negative convexity, extension risk, and contraction risk

06Calculates Weighted Average Life (WAL) and Option-Adjusted Spread (OAS) for securitized assets

Use Cases

01Calculating the impact of interest rate changes on MBS prepayment speeds and duration

02Evaluating the credit subordination levels and structural protection of CLO tranches

03Determining the Weighted Average Life of amortizing asset-backed securities

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add joellewis/finance_skills fixed-income-structured

For use in Claude.ai and ChatGPT

Download Skill