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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.

CPR Claim

Firm Name
Counterparty Name
TBA Trade IdBuy/Sell TBA/Override Price Fail Month/Yr

Override SIFMA Price
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)
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)
CUSIPsPool NumbersMnemonics

(FNMAA0002 or FNAA0002 or NAA0002)
Defaults to:
OverridesMarket TickerTicker of pools
Coupon Coupon of pools
Allocation Month Ending month of fail

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