Home » Uncategorized » Annual CPR Vectors

Just what everyone has been waiting for, another CPR vector analysis. I have at least two other CPR vector posts. This one allows for your own CPR model, with CPRs potentially changing each year. I say potentially, because one could keep the same CPR for numerous years. First enter a description of the pool on sheet “Amortization”.

Then on sheet “Vector” enter the CPR for each year of the life of the pool from the year issued:

The year column will ask for as many years CPRs as needed, so enter a CPR only next to a year.

The other calculations on the “Vectors” sheet  are needed for the monthly CPRs from issue month and from the current month these CPRs will start to apply. The chart will show the annual vectors and where you are currently:

Back to Sheet “Amortization”, you will see the pool being amortized along with your monthly CPRs.

Download:  VectorA

 

3 thoughts on “Annual CPR Vectors

  1. Kathleen Klassen says:

    Have you done any spreadsheet calculators that determine prices of Canadian NHA MBS?

    1. Don Pistulka Don Pistulka says:

      Hi Kathleen,
      No, I have not. I had to Goolge Canadian NHA MBS. I noticed some interesting aspects, such as no prepayments on some types of loans. I know that the day counts are different on Canadian securities, than U.S. securities. Even if I knew the day counts and other differences, I would not know if the results matched the industry standards. Without any experience in these markets, and not knowing the nuances, it would be hard to give you correct results.

      Don

Leave a Reply

Your email address will not be published. Required fields are marked *

*
*