Standard Terminology and Calculations for MBS

CMHC for Housing Finance Clients and International Clients	November 2006

This report describes the standards recently adopted by the major Canadian securities dealers for the pricing and trading of NHA mortgage-backed securities.

In This Section:

Calculating Prepayment Rates
Calculating MBS Cash Flows
Price Calculations
Total Prepayment (UPP)
Risk Measures
Tranche Payments

Miscellaneous Formulas
Appendix 1: Notation
Appendix 2: Old Annualizing Formula
Appendix 3: Appropriateness of PPR and LQR
Appendix 4: Penalty Interest Payments in PCBOND

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