Dollar Roll Calculator Excel Template
Dollar Roll Calculator Excel Template
Interactive Excel Financial Model
Download, customize, and integrate into your own analysis
What's Included
- Interactive financial model with live Excel formulas
- All formulas visible and fully editable
- Professional formatting with color-coded inputs & outputs
- Formula reference sheet with variable definitions
- Step-by-step instructions sheet
- Compatible with Microsoft Excel 2016 and later
Download Template
Price range: $0.00 through $20.00
Calculate MBS dollar roll implied financing rates, compare roll vs repo costs, and analyze financing advantage in basis points.
Online Calculator vs Excel Template
| Feature | Online | Excel |
|---|---|---|
| Instant use — no download | ✓ | — |
| Works offline | — | ✓ |
| Customize formulas & layout | — | ✓ |
| Save & share with colleagues | — | ✓ |
| Integrate into your own models | — | ✓ |
| Print-ready formatting | — | ✓ |
About This Template
Analyze MBS dollar roll financing decisions with this professional Excel template. Whether you are an MBS trader comparing roll versus repo costs, a portfolio manager evaluating financing alternatives, or a student learning fixed income securities, this Dollar Roll Calculator Excel template provides the analytical framework you need.
What You Can Calculate
This template computes all key dollar roll metrics from your inputs:
- Price Drop - The difference between front and back month settlement prices
- Implied Financing Rate - The annualized cost of financing via the roll (360-day convention)
- Financing Advantage - Basis point comparison showing whether roll or repo is cheaper
- Coupon Foregone - Interest you forfeit during the roll period
- P&L vs Repo - Dollar savings or cost compared to repo financing
Required Inputs
Enter seven values to analyze your dollar roll:
- Front/Back Month Prices - MBS prices as percentage of par (e.g., 101.50)
- Coupon Rate - Annual coupon of the MBS (e.g., 5% for GNMA 5s)
- Settlement Days - Days to front and back leg settlement
- Repo Rate - Current repo rate for comparison
- Face Amount - Par value of the MBS position
Methodology
The implied financing rate is calculated using standard money market conventions:
Implied Rate = (Coupon Foregone - Net Drop Value) / Front Price Value x (360 / Days in Roll)
MBS coupons are pro-rated using a 30-day month convention. A positive financing advantage indicates the roll is cheaper than repo; negative means repo is the better choice.
Assumptions and Limitations
- Uses 30-day month / 360-day year conventions for rate calculations
- Assumes TBA-eligible agency MBS
- Does not model prepayment risk or delivery variance
- Coupon proration is simplified; actual accruals depend on payment dates
Frequently Asked Questions
Enter live front/back month prices from your trading screen along with the current repo rate to instantly compare financing costs. The template calculates implied roll rate and P&L vs repo, helping you decide whether to roll positions or finance via repo. Save scenarios by copying the Calculator sheet for different coupons or settlement dates.
Yes. The formulas use a 30-day month / 360-day year convention by default. To adjust for actual/360 or other conventions, unprotect the sheet (right-click tab > Unprotect Sheet) and modify the coupon foregone and implied rate formulas. All formula references are documented in the Formula Reference sheet.
The template calculates implied financing rates but does not model prepayment risk, pool-level characteristics, or delivery variance tolerances. It uses simplified 30-day coupon proration rather than exact payment dates. For production trading decisions, supplement this analysis with your firm's prepayment models and settlement conventions.
A fully interactive financial model with live Excel formulas, an Instructions sheet with usage guide, and a Formula Reference sheet with variable definitions and model assumptions. All formulas are visible and editable.
Microsoft Excel 2016 or later. The template uses standard Excel formulas only — no macros, VBA, or add-ins required.
Yes. All cells are fully editable. You can modify any formula, add your own calculations, change formatting, or integrate the model into your existing spreadsheets.
The online calculator runs in your browser for quick calculations. This Excel template gives you a portable, offline financial model you can customize, save, share with colleagues, and integrate into your own analysis.
This template is provided for educational and personal use. You may use it in your own professional analysis and presentations. Redistribution or resale of the template itself is not permitted.
You can re-download the latest version from your account or by requesting a new download link. Free downloads are limited to 5 per email address per month.
