Demonstration Tour

CPR Claim Calculator

The CPR Claim Page allows you to calculate buy/sell-side claims for late-settling TBA trades. The logic behind this page was developed on our understanding of SIFMA Uniform Practices and Street-accepted Bloomberg CPR calculations.

There is some built-in error checking to validate claims, such as checking the set of pool CPRs are greater than the CPR of the generic cohort.

When calculating a claim, you can indicate the logic set to apply (to accommodate SIFMA methodology changes over time ) or generate your own F-value for the claim, using the manual option and entering your own WAC, WAM and CPR values. More information is available by clicking the informational "i" help button.

You can view your claim report online and/or download it a spreadsheet to save and forward to your counterparty.

For privacy purposes, trade data is not saved anywhere in our system.

Firm Name
Counterparty Name
TBA Trade Id	Buy/Sell	TBA/Override Price	Fail Month/Yr
	BuySell	Override SIFMA Price	Choose MonthJAN21-FEB21 DEC20-JAN21 NOV20-DEC20 OCT20-NOV20 SEP20-OCT20 AUG20-SEP20 JUL20-AUG20 JUN20-JUL20 MAY20-JUN20 APR20-MAY20 MAR20-APR20 FEB20-MAR20 JAN20-FEB20 DEC19-JAN20 NOV19-DEC19 OCT19-NOV19 SEP19-OCT19 AUG19-SEP19 JUL19-AUG19 JUN19-JUL19 MAY19-JUN19 APR19-MAY19 MAR19-APR19 FEB19-MAR19
Select logic to use for this claim: Default logic (based on Fail Month) Manual: Use WAC, WAM, and CPR from right -->>		Override cohort WAC, WAM, CPR (<<-- if Manual button selected to the left)
		WAC	WAM	CPR
Paste Security Identifiers and Original Face Amounts Here (Delimiter can be: Tab (Excel), Comma, or Pipe NOTE: If Comma delimiter, do not use commas in Original Face amounts) CUSIPs Pool Numbers Mnemonics AgencyFreddie MacFannie MaeGinnie Mae IGinnie Mae II (FNMAA0002 or FNAA0002 or NAA0002)
			Defaults to:
Overrides	Market Ticker	FNCL FNCI FGLMC FGCI GNSF GNJO G2SF G2JO	Ticker of pools
	Coupon		Coupon of pools
	Allocation Month	FEB21 JAN21 DEC20 NOV20 OCT20 SEP20 AUG20 JUL20 JUN20 MAY20 APR20 MAR20 FEB20 JAN20 DEC19 NOV19 OCT19 SEP19 AUG19 JUL19 JUN19 MAY19 APR19 MAR19	Ending month of fail

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Demonstration Tour