Suppose that the following values for a RMBS are correct for each assumption: PSA Assumption Value of
Question:
Suppose that the following values for a RMBS are correct for each assumption:
PSA Assumption | Value of Security |
192 | 112.10 |
194 | 111.80 |
200 | 111.20 |
202 | 111.05 |
210 | 110.70 |
Assuming that the value of the security in the market is 111.20 based on 200 PSA. What is the prepayment sensitivity of this security?
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To assess prepayment sensitivity market participants have used the following measure Thi...View the full answer
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