Credit: mortgage pool conventions

A mortgage pool priced under standard market conventions, reconciling published factors, CPR and SMM against a fixed prepayment vector.

Every number below is checked against an independent reference implementation on every commit — period by period, and on each metric, inside a declared tolerance. See benchmark methodology.

The case

A 30-year agency mortgage pool run at market-standard conventions: a constant prepayment rate converted to a single monthly mortality, a default rate, a loss severity on defaulted balances, and a lag before recoveries arrive. These are the definitional mechanics of mortgage cash flow.

The reference

The industry's own standard formulas for analyzing mortgage-backed securities — the document that defines CPR, SMM, PSA and SDA. It ships two complete 176-month cash flow schedules, so the comparison is period by period against the definitions themselves.

Not redistributable. The publisher forbids reproduction in any form, so the source is neither vendored nor quoted; its figures are carried as anchor values and cited as facts.

What it exercises

The result

Interest, scheduled principal, prepayments and recoveries each reproduce as their own column across the schedule, rather than only in a total.

Asserted: four stream columns period by period.

The delta

The tolerance is 0.51 — just over half a dollar — because the published schedule prints whole dollars while compounding on unrounded balances. Half a dollar is the closest any implementation can come to a figure rounded to the dollar.

There is no summary metric; the four columns are asserted directly.

Run configuration

{
  "deterministic": {
    "annual_discount_rate": 0.08
  }
}

Verified results

Checked period by period: 4 series across 25 periods — 95 values in all, each within ±0.51 of the reference.

• credit.loan.interest.a
• credit.loan.sched_principal.a
• credit.loan.prepay.a
• credit.loan.recoveries.a