Home » Excel Spreadsheet » Default Rates Affect on Servicing

A reader (Justin) asked about how the CRD (Constant Default Rate) affects MSR (Mortgage Servicing Rights). I have taken a spreadsheet previously published on CDR, and added the value of servicing. The new spreadsheet is called CDR_Servicing. The CDR includes an additional CPR, which will reduce the life of the MBS and reduce the value of servicing. However,  the Loss Severity has no effect on servicing. Generally, the CDR is calculated after the normal principal and the CPR are calculated. There are two sheets, both with servicing valuations:







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