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Terminology and Calculations for Mortgage-Backed Securities

A guide to the standards recently adopted by the major Canadian securities dealers.

Appendix 1: Notation

Part of the Guide to Terminology and Calculations for Mortgage-Backed Securities.

Appendix 2: Old Annualizing Formula

Part of the Guide to Terminology and Calculations for Mortgage-Backed Securities.

Appendix 3: Appropriateness of PPR and LQR

Part of the Guide to Terminology and Calculations for Mortgage-Backed Securities.

Appendix 4: Penalty Interest Payments in PCBOND

Part of the Guide to Terminology and Calculations for Mortgage-Backed Securities.

Calculating MBS Cash Flows

Part of the Guide to Terminology and Calculations for Mortgage-Backed Securities.

Calculating Prepayment Rates

Part of the Guide to Terminology and Calculations for Mortgage-Backed Securities.

Miscellaneous Formulas

Part of the Guide to Terminology and Calculations for Mortgage-Backed Securities.

Price Calculations

Part of the Guide to Terminology and Calculations for Mortgage-Backed Securities.

Risk Measures

Part of the Guide to Terminology and Calculations for Mortgage-Backed Securities.

Total Prepayment (UPP)

Part of the Guide to Terminology and Calculations for Mortgage-Backed Securities.

Tranche Payments

Part of the Guide to Terminology and Calculations for Mortgage-Backed Securities.

This reference guide by Roger D. Quick is courtesy of ScotiaMcLeod.

In This Section:

  • Calculating Prepayment Rates
  • Calculating MBS Cash Flows
  • Miscellaneous Formulas
  • Price Calculations
  • Risk Measures
  • Total Prepayment (UPP)
  • Tranche Payments
  • Appendix 1: Notation
  • Appendix 2: Old Annualizing Formula
  • Appendix 3: Appropriateness of PPR and LQR
  • Appendix 4: Penalty Interest Payments in PCBOND
Next Appendix 1: Notation

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Date Published: May 8, 2018
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