Suppose that the following values for a RMBS are correct for each prepayment assumption: PSA Assumption Value of Security 192 112.10 194 111.80 200 111.20 202 111.05 210 110.70 Assume that the value of the security in the market is 111.20 based on 200 PSA. What is the prepayment sensitivity of this security?

AppendixLO1