I am trying to develop my own MBS prepayment model. I am confused by the terms SMM and CPR. Are they estimates/models in themselves or are they ACTUAL data for the MBS pool. where can I find actual historical MBS prepayment data?
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SMM stands for single-month mortality and CPR stands for constant (or conditional) prepayment rate. They're both units of voluntary prepayment rates ($CPR = 1-(1-SMM)^{12}$). They could be based on either estimated or actual prepayments. Where to get actual MBS prepayment data will depend on what type(s) of MBS pools you're modeling (e.g. agency, specified, etc.). CPR&CDR is one source I can think of off the top of my head. |
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